This markdown document reproduces the research “Ensemble learning of the spatiotemporal structure of urban traffic flows”, submitted to EURO Working Group on Transportation Meeting, EWGT 2019
# Downloaded data folder
dir.create(file.path(getwd(),"data"), showWarnings = FALSE)
data.folder.downloaded <- file.path(getwd(),"data","downloaded")
dir.create(data.folder.downloaded, showWarnings = FALSE)
data.folder.tmp <- file.path(getwd(),"data","tmp")
dir.create(data.folder.tmp, showWarnings = FALSE)
# Transformed data folder
data.folder.prepared <- file.path(getwd(),"data","prepared")
dir.create(data.folder.prepared, showWarnings = FALSE)
# Local config folder
config.folder <- file.path(getwd(),"data","config")
dir.create(config.folder, showWarnings = FALSE)
### Configure remote settings
download.website <- "http://www.d.umn.edu/tdrl/traffic/"
# Setup the first date for downloading
download.start.date <- as.Date("20170101", format="%Y%m%d")
# Setup number of days for downloading
download.days <- 7*52
# Define remote file names
download.files <- paste0(format(seq(download.start.date, by = "day", length.out = download.days),
format="%Y%m%d", tz = "UTC"),".traffic")
# Setup detector network config url
config.filename <- "metro_config.xml"
config.filename.gz <- paste0(config.filename,".gz")
config.url<-paste0("http://data.dot.state.mn.us/iris_xml/",config.filename.gz)
config.file.gz <- file.path(config.folder, config.filename.gz)
config.file <- file.path(config.folder, config.filename)
# Define local file names
config.rds <- file.path(data.folder.prepared, "config.rds")
data.rds.file <- "working-raw.rds"
block.size <- 7 # save 1 week per block
impute.limit <- 0.2memory.limit(size=1024*128)[1] 131072library(needs)Warning: package 'needs' was built under R version 3.4.4needs(tidyverse)
needs(reshape2)
needs(ggplot2)
needs(geosphere)
needs(igraph)
needs(Metrics)
needs(imputeTS)
needs(e1071)
needs(MTS)
needs(forecast)
needs(doParallel)
source(file.path("R","prepare_data_functions.R"))
source(file.path("R","cv_functions.R"))
source(file.path("R","cv_utils.R"))
source(file.path("R","models.R"))sample.rds <- file.path(data.folder.prepared,"EWGT2019.rds")
# Set up temporal aggregation
ta <- 1 #minutes
if (!file.exists(sample.rds)){
print("Preparing sample")
# Read road network configuration
config.tibble <- readRDS(config.rds)
config.nodes <- CombineToNodes(config.tibble)
# Calculate shortest distance between every pair of nodes
shortest.distances<-CalculateShortestDistances(config.nodes)
# Weeks to be include into the research sample
weeks <- 1:40 #first 40 weeks of 2017; 30 for historical pattern learning, 10 - for model validation
# Research area is all nodes within 6 minutes of travel from an arbitrary selected central node (S567)
central.node<-config.nodes%>% filter(node_station_id=="S567")%>%select(node_name)%>%first%>%unlist
max.distance.time<-6
res<- GetNetwork(central.node,shortest.distances,max.distance.time)
# Use traffic volume as the only characteristic of interest
series<-paste0(names(res),".volume")
# Read traffic data for selected nodes week by week
dat <- tibble()
for (b in weeks){
block.file <-file.path(data.folder.prepared, paste0(sprintf("%02d",b),"-",data.rds.file))
block <- readRDS(block.file)
cols <- intersect(colnames(block),series)
block <- block%>%select(datetime,cols)
dat<-bind_rows(dat,block)
}
# Aggregate data
dat <- dat%>%AggregateData(ta*2)
series<-colnames(dat%>%select(-datetime))
dat <- dat%>%mutate(dow=weekdays(datetime))%>%mutate(dow_time=paste(dow,format(datetime, "%H:%M")))
# Prepare first 30 weeks for historical pattern learning
nhist <- 30*7*24*60/ta
historical.until <- dat[nhist,]$datetime
dat.historical <- dat%>%
filter(datetime<=historical.until)
#DropOrImpute(imputeLimit=impute.limit)
#series<-colnames(dat.historical%>%select(-datetime))
# Estimate periodical component and outlier bounds using robust statistics (median and iqr)
outlier.alpha <- 0.05
dat.historical <- dat.historical%>%gather(series,key='node', value='value')%>%
group_by(node, dow_time) %>% summarise(s_m=median(value,na.rm = T),
s_lb=quantile(value, 0.25, na.rm = T) - (0.15/outlier.alpha)*iqr(value, na.rm = T),
s_ub=quantile(value, 0.75, na.rm = T) + (0.15/outlier.alpha)*iqr(value, na.rm = T))
#series<-dat.historical%>%select(node)%>%pull
#summary(dat.historical%>%select(dow_time,node,s_m)%>%spread(key = node, value = s_m))
#ggplot(dat.historical, aes(x = dow_time, y = s_m, col=node, group=node)) + geom_line()+facet_wrap( ~ node)
# Use weeks 31-40 for modelling
# Clean-up (drop missing nodes where number of missed values is higher than impute.limit and impute other missed values)
dat.training <- dat%>%filter(datetime>historical.until)%>%
DropOrImpute(imputeLimit=impute.limit)
# Exclude nodes with small variation in traffic volumes (errorneous, closed roads, etc.)
series <- colnames(dat.training%>%select(-datetime, -dow, -dow_time))
dat.training <- dat.training%>%gather(series,key='node', value='value')
series<-dat.training%>%group_by(node)%>%summarise(sd=sd(value))%>%filter(sd>0.1)%>%select(node)%>%pull
dat.training <- dat.training%>%filter(node %in% series) %>% left_join(dat.historical, by=c("node"="node", "dow_time"="dow_time"))
print(paste("Upper outliers", dat.training%>%filter(value>s_ub, s_ub>0)%>%nrow))
print(paste("Lower outliers", dat.training%>%filter(value<s_lb)%>%nrow))
dat.training <- dat.training%>%
mutate(prepared=(ifelse(value<s_lb,s_lb,ifelse(value>s_ub, s_ub,value))-s_m))%>%
select(datetime,node,prepared)
# Exclude nodes without variance in traffic
series <- dat.training%>%group_by(node)%>%summarise(sd=sd(prepared))%>%
filter(sd>0.1)%>%select(node)%>%pull
# Exclude nodes with more than 4 hours without traffic
series <- dat.training%>%filter(node %in% series)%>%group_by(node)%>%summarise(m=MaxRle(prepared,0))%>%
filter(m<240)%>%select(node)%>%pull
dat.training <-dat.training%>%filter(node %in% series)
res<-gsub(paste0(".volume"),"",series)
#ggplot(dat.training, aes(x = prepared, col=node, group=node)) + geom_histogram()+facet_wrap( ~ node)
#ggplot(dat.training, aes(x = datetime, y = prepared, col=node, group=node)) + geom_line()+facet_wrap( ~ node)
mysample <-list(data=dat.training%>%spread(key = node, value = prepared),
shortest.distances=shortest.distances[res,res])
saveRDS(mysample,sample.rds)
}else{
print("Sample exists - using saved")
mysample <- readRDS(sample.rds)
}[1] "Preparing sample"Warning: package 'bindrcpp' was built under R version 3.4.4[1] "Upper outliers 80777"
[1] "Lower outliers 117985"series <- colnames(mysample$data)[-1]
print(paste("Number of series", length(series)))[1] "Number of series 98"trainingMinutes <- seq(480,480, by=120)
validationSize <- 7*24*60/ta
validationEnd <- nrow(mysample$data)
validationStart <- validationEnd - validationSize
forecastEvery<-30
forecastingSteps<-3 #12/ta
# lagMatrix <- round(mysample$shortest.distances / ta)
# lagMatrix[is.infinite(lagMatrix)]<-0
# rownames(lagMatrix)<-paste0(rownames(lagMatrix),".volume")
# colnames(lagMatrix)<-paste0(colnames(lagMatrix),".volume")
# lagMatrix<-lagMatrix[as.vector(series),as.vector(series)]
trainingSize <- trainingMinutes[1]/ta
dat.restricted<-mysample$data[(validationStart-trainingSize+1):validationEnd,]
base_params<-list(data=dat.restricted,
seriesNames=series,
forecastingSteps=forecastingSteps,
forecastEvery=forecastEvery)
params<-c(base_params,list(trainingWindowSize=trainingSize))
# dat.restricted%>%gather(series,key = "node", value = "value")%>%group_by(node)%>%arrange(datetime)%>%summarise(cou=max_rle(value,0))%>%print(n=111)
#
# max_rle(dat.restricted%>%select(rnd_89115.volume)%>%pull,0)
#
#
# %>%filter(sd>0.1)%>%select(node)%>%pull)
#
# ggplot(dat.restricted%>%gather(series,key = "node", value = "value")%>%filter(node=="rnd_95335.volume"), aes(x = datetime, y = value, col=node, group=node))+ geom_line()
results<-tibble()
#
#res1<-do.call(movingWindow,c(params,list(xModel=xModel.naive)), envir=environment())
#results<-add_results(results,res1,"naive",trainingSize,ta,forecastingSteps)
res<-do.call(rollingWindow,
c(params,list(xModel=xModel.naive)),
envir=environment())[1] "Models to estimate: 336 Number of clusters: 7"
[1] "Forecasting completed" results<-bind_rows(results,res)
res<-do.call(rollingWindow,
c(params,list(xModel=xModel.zero)),
envir=environment())[1] "Models to estimate: 336 Number of clusters: 7"
[1] "Forecasting completed" results<-bind_rows(results,res)
res<-do.call(rollingWindow,
c(params,list(xModel=xModel.mean)),
envir=environment())[1] "Models to estimate: 336 Number of clusters: 7"
[1] "Forecasting completed" results<-bind_rows(results,res)
res<-do.call(rollingWindow,
c(params,list(xModel=xModel.ma)),
envir=environment())[1] "Models to estimate: 336 Number of clusters: 7"
[1] "Forecasting completed" results<-bind_rows(results,res)
res<-do.call(rollingWindow,
c(params,list(xModel=xModel.autoarima)),
envir=environment())[1] "Models to estimate: 336 Number of clusters: 7"
[1] "Auto ARIMA; training sample: 2017-09-30 16:01:00 - 2017-10-01 00:00:00"
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[1] "Auto ARIMA; training sample: 2017-10-03 12:01:00 - 2017-10-03 20:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 12:31:00 - 2017-10-03 20:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 13:01:00 - 2017-10-03 21:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 13:31:00 - 2017-10-03 21:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 14:01:00 - 2017-10-03 22:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 14:31:00 - 2017-10-03 22:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 15:01:00 - 2017-10-03 23:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 15:31:00 - 2017-10-03 23:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 16:01:00 - 2017-10-04 00:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 16:31:00 - 2017-10-04 00:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 17:01:00 - 2017-10-04 01:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 17:31:00 - 2017-10-04 01:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 18:01:00 - 2017-10-04 02:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 18:31:00 - 2017-10-04 02:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 19:01:00 - 2017-10-04 03:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 19:31:00 - 2017-10-04 03:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 20:01:00 - 2017-10-04 04:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 20:31:00 - 2017-10-04 04:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 21:01:00 - 2017-10-04 05:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 21:31:00 - 2017-10-04 05:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 22:01:00 - 2017-10-04 06:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 22:31:00 - 2017-10-04 06:30:00"
[1] "Auto ARIMA; training sample: 2017-10-03 23:01:00 - 2017-10-04 07:00:00"
[1] "Auto ARIMA; training sample: 2017-10-03 23:31:00 - 2017-10-04 07:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 00:01:00 - 2017-10-04 08:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 00:31:00 - 2017-10-04 08:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 01:01:00 - 2017-10-04 09:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 01:31:00 - 2017-10-04 09:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 02:01:00 - 2017-10-04 10:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 02:31:00 - 2017-10-04 10:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 03:01:00 - 2017-10-04 11:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 03:31:00 - 2017-10-04 11:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 04:01:00 - 2017-10-04 12:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 04:31:00 - 2017-10-04 12:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 05:01:00 - 2017-10-04 13:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 05:31:00 - 2017-10-04 13:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 06:01:00 - 2017-10-04 14:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 06:31:00 - 2017-10-04 14:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 07:01:00 - 2017-10-04 15:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 07:31:00 - 2017-10-04 15:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 08:01:00 - 2017-10-04 16:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 08:31:00 - 2017-10-04 16:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 09:01:00 - 2017-10-04 17:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 09:31:00 - 2017-10-04 17:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 10:01:00 - 2017-10-04 18:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 10:31:00 - 2017-10-04 18:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 11:01:00 - 2017-10-04 19:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 11:31:00 - 2017-10-04 19:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 12:01:00 - 2017-10-04 20:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 12:31:00 - 2017-10-04 20:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 13:01:00 - 2017-10-04 21:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 13:31:00 - 2017-10-04 21:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 14:01:00 - 2017-10-04 22:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 14:31:00 - 2017-10-04 22:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 15:01:00 - 2017-10-04 23:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 15:31:00 - 2017-10-04 23:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 16:01:00 - 2017-10-05 00:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 16:31:00 - 2017-10-05 00:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 17:01:00 - 2017-10-05 01:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 17:31:00 - 2017-10-05 01:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 18:01:00 - 2017-10-05 02:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 18:31:00 - 2017-10-05 02:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 19:01:00 - 2017-10-05 03:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 19:31:00 - 2017-10-05 03:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 20:01:00 - 2017-10-05 04:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 20:31:00 - 2017-10-05 04:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 21:01:00 - 2017-10-05 05:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 21:31:00 - 2017-10-05 05:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 22:01:00 - 2017-10-05 06:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 22:31:00 - 2017-10-05 06:30:00"
[1] "Auto ARIMA; training sample: 2017-10-04 23:01:00 - 2017-10-05 07:00:00"
[1] "Auto ARIMA; training sample: 2017-10-04 23:31:00 - 2017-10-05 07:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 00:01:00 - 2017-10-05 08:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 00:31:00 - 2017-10-05 08:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 01:01:00 - 2017-10-05 09:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 01:31:00 - 2017-10-05 09:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 02:01:00 - 2017-10-05 10:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 02:31:00 - 2017-10-05 10:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 03:01:00 - 2017-10-05 11:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 03:31:00 - 2017-10-05 11:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 04:01:00 - 2017-10-05 12:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 04:31:00 - 2017-10-05 12:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 05:01:00 - 2017-10-05 13:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 05:31:00 - 2017-10-05 13:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 06:01:00 - 2017-10-05 14:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 06:31:00 - 2017-10-05 14:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 07:01:00 - 2017-10-05 15:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 07:31:00 - 2017-10-05 15:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 08:01:00 - 2017-10-05 16:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 08:31:00 - 2017-10-05 16:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 09:01:00 - 2017-10-05 17:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 09:31:00 - 2017-10-05 17:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 10:01:00 - 2017-10-05 18:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 10:31:00 - 2017-10-05 18:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 11:01:00 - 2017-10-05 19:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 11:31:00 - 2017-10-05 19:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 12:01:00 - 2017-10-05 20:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 12:31:00 - 2017-10-05 20:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 13:01:00 - 2017-10-05 21:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 13:31:00 - 2017-10-05 21:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 14:01:00 - 2017-10-05 22:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 14:31:00 - 2017-10-05 22:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 15:01:00 - 2017-10-05 23:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 15:31:00 - 2017-10-05 23:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 16:01:00 - 2017-10-06 00:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 16:31:00 - 2017-10-06 00:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 17:01:00 - 2017-10-06 01:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 17:31:00 - 2017-10-06 01:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 18:01:00 - 2017-10-06 02:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 18:31:00 - 2017-10-06 02:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 19:01:00 - 2017-10-06 03:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 19:31:00 - 2017-10-06 03:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 20:01:00 - 2017-10-06 04:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 20:31:00 - 2017-10-06 04:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 21:01:00 - 2017-10-06 05:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 21:31:00 - 2017-10-06 05:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 22:01:00 - 2017-10-06 06:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 22:31:00 - 2017-10-06 06:30:00"
[1] "Auto ARIMA; training sample: 2017-10-05 23:01:00 - 2017-10-06 07:00:00"
[1] "Auto ARIMA; training sample: 2017-10-05 23:31:00 - 2017-10-06 07:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 00:01:00 - 2017-10-06 08:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 00:31:00 - 2017-10-06 08:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 01:01:00 - 2017-10-06 09:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 01:31:00 - 2017-10-06 09:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 02:01:00 - 2017-10-06 10:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 02:31:00 - 2017-10-06 10:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 03:01:00 - 2017-10-06 11:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 03:31:00 - 2017-10-06 11:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 04:01:00 - 2017-10-06 12:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 04:31:00 - 2017-10-06 12:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 05:01:00 - 2017-10-06 13:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 05:31:00 - 2017-10-06 13:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 06:01:00 - 2017-10-06 14:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 06:31:00 - 2017-10-06 14:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 07:01:00 - 2017-10-06 15:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 07:31:00 - 2017-10-06 15:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 08:01:00 - 2017-10-06 16:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 08:31:00 - 2017-10-06 16:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 09:01:00 - 2017-10-06 17:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 09:31:00 - 2017-10-06 17:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 10:01:00 - 2017-10-06 18:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 10:31:00 - 2017-10-06 18:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 11:01:00 - 2017-10-06 19:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 11:31:00 - 2017-10-06 19:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 12:01:00 - 2017-10-06 20:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 12:31:00 - 2017-10-06 20:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 13:01:00 - 2017-10-06 21:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 13:31:00 - 2017-10-06 21:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 14:01:00 - 2017-10-06 22:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 14:31:00 - 2017-10-06 22:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 15:01:00 - 2017-10-06 23:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 15:31:00 - 2017-10-06 23:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 16:01:00 - 2017-10-07 00:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 16:31:00 - 2017-10-07 00:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 17:01:00 - 2017-10-07 01:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 17:31:00 - 2017-10-07 01:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 18:01:00 - 2017-10-07 02:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 18:31:00 - 2017-10-07 02:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 19:01:00 - 2017-10-07 03:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 19:31:00 - 2017-10-07 03:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 20:01:00 - 2017-10-07 04:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 20:31:00 - 2017-10-07 04:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 21:01:00 - 2017-10-07 05:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 21:31:00 - 2017-10-07 05:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 22:01:00 - 2017-10-07 06:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 22:31:00 - 2017-10-07 06:30:00"
[1] "Auto ARIMA; training sample: 2017-10-06 23:01:00 - 2017-10-07 07:00:00"
[1] "Auto ARIMA; training sample: 2017-10-06 23:31:00 - 2017-10-07 07:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 00:01:00 - 2017-10-07 08:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 00:31:00 - 2017-10-07 08:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 01:01:00 - 2017-10-07 09:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 01:31:00 - 2017-10-07 09:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 02:01:00 - 2017-10-07 10:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 02:31:00 - 2017-10-07 10:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 03:01:00 - 2017-10-07 11:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 03:31:00 - 2017-10-07 11:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 04:01:00 - 2017-10-07 12:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 04:31:00 - 2017-10-07 12:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 05:01:00 - 2017-10-07 13:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 05:31:00 - 2017-10-07 13:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 06:01:00 - 2017-10-07 14:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 06:31:00 - 2017-10-07 14:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 07:01:00 - 2017-10-07 15:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 07:31:00 - 2017-10-07 15:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 08:01:00 - 2017-10-07 16:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 08:31:00 - 2017-10-07 16:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 09:01:00 - 2017-10-07 17:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 09:31:00 - 2017-10-07 17:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 10:01:00 - 2017-10-07 18:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 10:31:00 - 2017-10-07 18:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 11:01:00 - 2017-10-07 19:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 11:31:00 - 2017-10-07 19:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 12:01:00 - 2017-10-07 20:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 12:31:00 - 2017-10-07 20:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 13:01:00 - 2017-10-07 21:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 13:31:00 - 2017-10-07 21:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 14:01:00 - 2017-10-07 22:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 14:31:00 - 2017-10-07 22:30:00"
[1] "Auto ARIMA; training sample: 2017-10-07 15:01:00 - 2017-10-07 23:00:00"
[1] "Auto ARIMA; training sample: 2017-10-07 15:31:00 - 2017-10-07 23:30:00"
[1] "Forecasting completed" results<-bind_rows(results,res)
res<-do.call(rollingWindow,
c(params,list(xModel=xModel.star,
lagMatrix=NULL,matrixMode="CCF",
control=list(ccfThreshold=0.3),
arLags=3,complete=F,include.mean=F, clusterNumber=1)),
envir=environment())[1] "Models to estimate: 336 Number of clusters: 1"
Attaching package: 'tseries'The following object is masked from 'package:imputeTS':
na.remove[1] "SpVAR; CCF training sample: 2017-09-30 16:01:00 - 2017-10-01 00:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8048 -0.0409 -27.05 -27.11
-0.4583 -0.4988 -22.10 -26.19
-0.3230 -0.1226 -26.22 -27.73
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.66 0.7282 0.8556 -0.010221
-26.78 0.3281 1.2401 -0.107947
-27.43 0.2310 1.0178 0.006623
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.2687 0.250752 2.878 -8.850
0.4611 0.282026 2.770 -9.308
0.1652 0.004304 3.138 -8.376
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.2897 -2.313 -2.014 1.2125
0.9376 -2.674 -2.061 1.3386
0.9438 -2.391 -2.521 0.5609
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.198 1.2405 -0.3805 2.503
-1.248 -0.2041 -1.3511 3.157
-2.633 -0.2506 -0.3171 3.347
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-28.00 -2.212 -60.14 -28.03
-22.56 -2.330 -53.35 -25.27
-26.33 -1.967 -54.37 -25.54
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.964 -29.18 -31.39 -5.683
-2.109 -28.25 -29.86 -5.415
-2.184 -26.45 -29.29 -5.740
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-26.79 -3.139 -24.60 -12.04
-27.70 -2.980 -29.35 -12.12
-27.76 -2.984 -28.28 -11.82
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.718 -26.05 -27.76 -28.08
-7.010 -28.89 -25.88 -25.82
-6.688 -27.51 -26.62 -26.65
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1192 2.9577 0.35279 -0.14305
-0.8050 -0.3495 -0.02359 0.15436
-0.6121 1.1244 0.14243 -0.03116
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.24228 0.04998 -16.41 -19.91
-0.00977 0.05951 -15.50 -19.10
-0.15718 -0.03097 -15.86 -18.31
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1535 -1.448 -13.66 0.5286
-1.4326 -1.675 -13.27 -0.5531
-1.2204 -1.284 -12.94 -0.2007
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.308 -1.593 -7.157 0.06226
4.793 -2.000 -6.606 0.71731
2.234 -2.091 -7.230 0.31930
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9373 -6.339 -0.5777 -2.145
-0.6206 -6.365 -3.7263 -4.614
-0.8085 -6.527 -3.4390 -4.830
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.909 -0.315818 0.04524 -5.141
-1.575 0.009026 0.00523 1.233
-4.142 -0.028785 -0.01917 -3.412
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0 -3.251 0.7974 -2.50096
0 -1.078 0.6572 -2.89395
0 -1.919 0.4538 0.01541
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.3862 -0.020511 -2.121 -0.003646
-1.8138 0.006938 -3.126 -0.113310
-0.1815 0.067908 -2.514 -0.008413
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.237 -0.4188 0.4979 0.4919
-3.608 -0.1651 -0.4805 -0.9440
-3.457 -0.2613 1.7217 -0.5412
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8115 3.1744 9.572 -0.07382
-1.2082 -0.3032 10.373 3.57348
-0.4461 -0.4748 10.535 0.01964
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.751 0.005897 1.655 -0.24618
7.135 0.077831 3.000 -0.14768
4.849 0.005256 5.403 -0.07679
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.273 1.0768 -0.1740 -0.078688
1.821 0.3423 -0.8089 -0.061134
6.315 0.3303 -1.2061 -0.009556
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8102 0.04320 -2.128 -2.911
0.8629 -0.40991 -2.383 -2.542
-0.3145 -0.08848 -1.661 -1.576
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6259 -0.07702 -0.3147 -0.6725
-0.2444 -0.31614 -0.1145 -0.1191
-0.3400 -0.40372 -0.4105 -0.2072
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1262 -0.14415 -4.759 -1.2393
1.4535 -0.23281 -4.943 -1.1027
0.4449 -0.09772 -4.853 -0.9123
rnd_95776.volume rnd_95787.volume
-23.61 -27.87
-26.17 -28.69
-27.63 -27.37
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.368 4.099 10.56 9.805 9.721 1.973 3.022 6.141 7.569 6.073 5.123
[2,] 6.493 4.108 10.62 10.212 10.235 1.989 3.080 6.157 7.587 7.851 5.648
[3,] 6.861 4.147 10.77 10.738 10.358 2.063 3.184 6.204 7.770 7.895 6.053
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.331 4.217 4.718 6.287 5.718 7.325 6.993 9.647 10.45 15.28 6.311
[2,] 5.881 4.333 5.419 6.911 5.868 7.785 8.205 10.572 11.00 15.48 6.657
[3,] 5.967 4.562 5.706 7.414 5.934 8.431 8.643 10.903 12.10 15.65 6.884
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.62 10.59 0.6902 9.968 10.51 1.506 9.738 0.7329 9.40 2.135 1.621
[2,] 21.43 10.90 0.7312 10.429 11.60 1.528 10.419 0.7714 10.31 2.280 1.696
[3,] 21.53 10.94 0.7884 11.158 12.14 1.641 10.886 0.8118 10.87 2.387 1.771
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.689 9.994 9.362 6.341 4.889 5.484 2.082 5.141 1.578 5.639 6.078
[2,] 9.961 10.733 10.216 6.438 5.664 5.490 2.082 5.141 1.578 5.877 6.728
[3,] 10.333 10.879 10.392 6.445 5.826 5.491 2.087 5.187 1.579 6.019 7.026
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.343 2.468 4.828 7.662 7.519 4.228 6.619 6.407 2.341 5.242 4.407
[2,] 5.685 2.622 5.006 7.669 7.547 4.282 7.789 6.564 2.393 6.739 5.548
[3,] 6.013 2.698 5.064 8.220 8.023 4.287 8.077 6.861 2.424 7.396 6.163
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.190 2.410 4.923 1.168 4.049 1.656 3.459 4.125 3.911 6.281 2.087
[2,] 5.042 4.716 4.942 1.169 4.364 1.696 3.500 4.167 4.996 7.406 2.090
[3,] 5.832 5.590 4.942 1.169 5.605 1.750 3.862 4.250 5.088 7.432 2.097
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.841 4.162 4.431 2.123 7.475 6.721 6.967 7.341 8.669 7.959 4.708
[2,] 6.329 4.162 6.049 2.161 7.606 6.832 6.982 8.263 9.090 10.020 7.673
[3,] 6.564 4.168 6.843 2.189 8.119 7.251 7.020 8.282 9.801 10.522 8.155
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.774 5.320 4.640 5.122 3.123 3.261 2.481 4.029 4.176 10.42 7.987
[2,] 1.777 6.972 4.685 6.286 3.155 3.403 2.499 5.619 4.196 10.75 8.152
[3,] 1.784 8.455 4.733 7.900 3.186 3.466 2.501 5.738 4.209 10.84 8.371
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.822 4.850 5.117 4.303 3.905 3.015 1.002 2.211 17.38 9.996
[2,] 4.186 5.136 5.383 5.483 4.153 3.015 1.040 2.247 22.00 10.527
[3,] 4.382 5.508 5.758 5.671 4.447 3.029 1.147 2.314 22.79 11.015
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.087 5.205 13.41 12.45 12.34 2.506 3.837 7.798
[2,] 1302.440 283.533 1185.76 2941.06 3298.39 261.554 612.938 459.416
[3,] 2285.945 583.645 1839.80 3419.66 1642.07 560.607 832.937 785.613
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.611 7.711 6.505 5.5 5.355 5.991 7.983 7.261
[2,] 536.323 5127.231 2450.844 4098.5 1022.717 2745.457 2956.766 1357.002
[3,] 1729.288 856.699 2242.457 1037.4 1470.022 1840.158 2766.136 913.082
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.302 8.88 12.25 13.27 19.4 8.014 23.64 13.44
[2,] 2714.415 4421.68 4455.28 3539.28 2566.9 2183.679 10939.76 2692.15
[3,] 3335.385 2798.61 2746.28 5185.09 2392.2 1802.569 2095.19 872.18
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8764 12.66 13.35 1.912 12.37 0.9307 11.94 2.711
[2,] 248.7658 3159.68 5058.25 267.336 3818.57 247.8010 4358.82 824.567
[3,] 303.6130 4087.15 3684.76 615.813 3247.40 260.4537 3543.50 728.641
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.059 12.3 12.69 11.89 8.052 6.208 6.964 2.644
[2,] 514.250 2380.6 4032.01 4212.20 1149.536 2947.622 252.974 2.102
[3,] 522.633 2830.4 1834.77 1963.40 291.003 1405.529 100.092 153.581
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.528 2.004 7.16 7.719 6.785 3.133 6.131 9.73
[2,] 12.409 33.811 1704.41 2970.317 1999.010 912.227 1362.368 325.87
[3,] 709.504 48.249 1338.93 2085.766 2020.334 657.059 790.643 3047.50
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 9.548 5.369 8.405 8.136 2.972 6.656 5.596 5.32
[2,] 665.725 702.623 4229.786 1470.956 512.370 4363.658 3473.207 2890.42
[3,] 2804.581 194.179 2201.732 2055.200 401.413 3139.527 2764.292 3018.00
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.06 6.251 1.484 5.141 2.102 4.393 5.237 4.967
[2,] 4176.61 450.762 31.011 1677.547 380.509 545.840 608.334 3202.821
[3,] 3090.91 28.855 5.809 3622.984 443.660 1682.786 864.793 990.077
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.975 2.65 6.148 5.285 5.627 2.696 9.492 8.535
[2,] 4043.389 121.90 4200.044 4.283 4241.940 419.883 1449.068 1258.778
[3,] 634.913 172.90 1793.053 242.942 3297.460 353.997 2925.660 2502.616
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.847 9.322 11.01 10.11 5.979 2.252 6.755 5.892
[2,] 475.907 3907.791 2817.33 6272.05 6241.838 111.851 4643.507 667.155
[3,] 747.475 570.247 3775.57 3307.09 2845.648 159.176 4926.565 696.075
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.504 3.965 4.141 3.15 5.116 5.303 13.24 10.14
[2,] 3753.871 468.090 1003.210 310.33 4035.710 421.568 2714.94 1683.56
[3,] 4929.515 455.757 676.795 106.99 1197.315 347.302 1376.83 1960.21
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.854 6.159 6.498 5.464 4.959 3.829 1.273 2.808
[2,] 1757.335 1740.443 1720.961 3501.873 1456.712 11.613 284.233 408.843
[3,] 1335.796 2051.795 2105.392 1490.287 1637.566 296.278 498.687 570.341
[,97] [,98]
[1,] 22.06 12.69
[2,] 13898.12 3401.27
[3,] 6130.60 3339.16
[1] "--- VAR model 2017-09-30 16:01:00 completed"
[1] "Completed training sample: 2017-09-30 16:01:00 - 2017-10-01 00:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 16:31:00 - 2017-10-01 00:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.097 -0.29454 -22.88 -25.39
1.801 0.20681 -25.03 -26.25
1.039 0.09826 -23.76 -24.55
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.85 -0.2425 0.22902 -0.3012
-24.51 0.2307 0.20821 -0.6957
-24.75 0.4517 -0.09646 -0.4028
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.1642 -4.3554 1.967 -11.469
-0.9729 -0.1049 2.041 -8.687
-0.4306 -0.9986 1.092 -9.388
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.3313 -4.585 -2.559 2.264
0.8573 -5.212 -5.748 2.134
1.0066 -4.677 -4.345 1.983
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.646 -5.139 -2.418 4.873
-5.094 -4.506 -5.238 2.002
-4.253 -4.489 -4.161 2.195
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.87 -1.569 -51.20 -21.67
-24.14 -1.480 -50.34 -22.18
-24.14 -1.251 -51.57 -23.58
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.205 -25.54 -27.34 -4.775
-1.237 -24.94 -27.07 -4.871
-1.483 -24.24 -25.96 -5.079
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-27.72 -2.267 -26.50 -10.09
-26.68 -2.318 -25.50 -10.30
-25.91 -2.390 -25.11 -10.56
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.347 -21.07 -24.69 -24.32
-5.669 -23.00 -24.26 -24.46
-5.544 -23.23 -24.60 -25.42
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2165 -3.154 -0.15870 0.08799
0.7807 -3.413 -0.17074 0.03071
0.5083 -2.629 -0.09806 -0.05558
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9256 -0.039985 -14.78 -16.41
1.0518 -0.023043 -15.26 -16.26
1.0544 0.004452 -15.34 -16.51
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.6255 -0.9520 -11.54 0.7712
-0.1057 -0.3104 -11.22 2.5980
-0.8920 -0.2449 -11.55 2.1040
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.9456 -1.867 -5.496 1.763
-0.4090 -1.489 -8.905 2.377
-0.3971 -1.599 -7.657 1.802
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2865 -7.427 -7.958 -10.264
-0.7164 -6.816 -3.587 -5.334
-0.5229 -8.071 -5.938 -6.544
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.92 0.348563 0.041612 -6.767
-8.21 -0.050907 0.044231 -8.879
-3.64 0.001638 0.002183 -6.441
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2669 -5.487 -0.6927 -6.611
-0.3096 -3.873 -0.4602 -4.498
-0.3394 -5.368 -0.2145 -4.503
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.732 0.052832 -5.436 0.15427
-4.368 -0.060940 -4.577 0.10484
-3.012 -0.001161 -3.107 0.02572
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.583 -0.6756 0.9032 0.7716
-5.743 -0.3564 1.5948 0.6966
-4.077 -0.3366 1.2006 0.1815
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.37202 0.4418 13.63 6.427
-0.20936 0.5248 13.13 4.787
0.01576 0.9968 12.10 4.894
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.494 0.07487 6.149 -0.34696
7.663 0.04540 7.276 -0.23834
7.621 -0.08983 5.923 -0.07604
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.334 0.7367 -1.844 -0.020634
7.690 0.7452 -1.065 0.047271
7.298 0.8409 -1.305 0.004439
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.095 -0.13579 2.0475 -0.6756
-3.234 0.03389 0.7155 -0.2954
-1.746 0.04115 1.1065 -0.1789
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3052 -0.1489 0.15579 -0.6842
0.2949 -0.1877 0.08515 -1.0970
0.1471 -0.1075 0.34486 0.2571
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.772 0.11171 -4.182 -0.9849
-3.319 0.05273 -4.177 -0.9425
-4.118 0.01319 -4.241 -0.4243
rnd_95776.volume rnd_95787.volume
-23.81 -24.22
-22.03 -25.73
-17.61 -24.40
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.213 3.912 10.23 9.291 9.311 1.933 2.891 5.862 7.295 5.896 4.740
[2,] 6.349 3.914 10.27 9.671 9.778 1.948 2.952 5.882 7.316 7.579 5.267
[3,] 6.685 3.941 10.51 10.013 9.933 2.016 3.047 5.935 7.444 7.613 5.667
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.180 4.088 4.628 6.214 5.551 7.450 6.965 9.732 10.41 14.95 6.367
[2,] 5.692 4.200 5.187 6.744 5.716 7.673 8.206 10.316 10.99 15.09 6.684
[3,] 5.753 4.415 5.460 7.216 5.786 8.350 8.582 10.569 12.01 15.24 6.893
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.29 10.18 0.6722 9.347 9.724 1.550 9.195 0.7309 8.884 2.040
[2,] 20.38 10.46 0.7097 9.841 10.770 1.606 9.797 0.7647 9.740 2.171
[3,] 20.56 10.53 0.7610 10.555 11.246 1.703 10.211 0.8157 10.307 2.282
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.576 9.212 9.559 8.753 6.047 4.756 5.143 2.018 4.940 1.526 5.158
[2,] 1.689 9.342 10.379 9.733 6.149 5.490 5.144 2.018 4.945 1.527 5.404
[3,] 1.778 9.747 10.502 9.863 6.154 5.614 5.146 2.025 4.985 1.527 5.526
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.601 5.265 2.393 4.651 7.328 7.308 4.097 6.493 6.289 2.315 5.218
[2,] 6.081 5.565 2.517 4.790 7.332 7.327 4.131 7.701 6.451 2.363 6.819
[3,] 6.264 5.920 2.591 4.865 7.908 7.777 4.136 7.932 6.706 2.389 7.394
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.357 3.985 2.312 4.751 1.086 3.899 1.423 3.360 3.914 3.834 6.215
[2,] 5.531 4.846 4.628 4.761 1.087 4.146 1.430 3.405 3.932 4.880 7.279
[3,] 6.164 5.697 5.524 4.761 1.087 5.436 1.435 3.779 3.977 4.971 7.297
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.990 5.337 3.960 4.224 2.061 7.159 6.586 6.836 7.212 8.627 7.963
[2,] 1.997 5.972 3.962 5.869 2.109 7.306 6.697 6.853 8.090 9.012 9.957
[3,] 2.005 6.143 3.966 6.593 2.121 7.858 7.093 6.907 8.113 9.697 10.484
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.605 1.734 5.168 4.527 4.976 3.074 3.205 2.365 3.827 4.004 9.874
[2,] 7.622 1.740 6.856 4.580 6.238 3.108 3.359 2.378 5.364 4.014 10.089
[3,] 8.087 1.743 8.354 4.622 7.956 3.143 3.427 2.380 5.501 4.020 10.130
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.853 3.631 4.725 4.995 4.199 3.711 2.856 0.9317 2.122 16.96 9.498
[2,] 7.993 3.988 4.985 5.253 5.197 3.903 2.856 0.9702 2.159 21.19 9.981
[3,] 8.174 4.164 5.349 5.638 5.355 4.162 2.874 1.0288 2.243 22.01 10.477
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.89 4.968 12.99 11.8 11.82 2.455 3.672 7.444
[2,] 1319.77 123.994 980.75 2708.6 3012.15 244.735 602.886 494.221
[3,] 2110.02 462.582 2242.49 2621.1 1767.78 521.440 760.183 794.364
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 9.264 7.487 6.019 5.309 5.191 5.877 7.89
[2,] 557.006 4806.793 2317.701 3898.815 973.703 2364.726 2646.49
[3,] 1383.850 727.069 2113.221 845.750 1374.629 1719.791 2589.94
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 7.048 9.461 8.845 12.36 13.22 18.99 8.085 21.95
[2,] 1376.117 1851.135 4378.768 3452.43 3543.09 2081.42 2051.098 10890.03
[3,] 910.593 3324.506 2537.585 2321.32 4894.85 2105.94 1702.227 2755.51
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 12.93 0.8536 11.87 12.35 1.968 11.68 0.9282 11.28
[2,] 2428.22 229.7354 3110.42 4674.07 424.333 3413.69 226.7044 4030.59
[3,] 1200.55 277.2050 3849.57 3267.43 572.966 2902.49 286.5625 3403.81
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.59 2.001 11.7 12.14 11.11 7.679 6.039 6.53
[2,] 751.49 613.898 1565.4 4081.65 4297.38 1123.605 2767.798 117.79
[3,] 708.29 559.074 2805.3 1619.00 1607.06 252.365 1184.500 158.92
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.563 6.274 1.937 6.55 7.112 6.685 3.039 5.906
[2,] 16.923 205.399 56.844 1627.29 2390.692 1820.826 787.555 1155.316
[3,] 162.333 639.667 35.340 1167.66 1518.580 2038.508 621.534 859.313
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 9.305 9.28 5.202 8.246 7.986 2.939 6.626 5.533
[2,] 253.516 540.22 537.395 4178.230 1449.528 476.881 4430.748 3439.404
[3,] 2990.526 2628.99 203.604 1920.030 1850.936 354.621 2886.520 2745.234
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.06 2.936 6.033 1.379 4.951 1.806 4.267 4.971
[2,] 2783.10 4046.743 308.055 54.665 1424.249 144.724 557.582 375.829
[3,] 3024.32 3043.904 49.174 2.390 3547.349 123.452 1654.338 603.895
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.868 7.892 2.527 6.778 5.029 5.364 2.617 9.091
[2,] 3048.191 3825.501 174.496 2703.284 124.402 4112.707 450.214 1471.462
[3,] 955.680 514.146 172.284 1453.032 171.938 3031.099 233.296 2921.339
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 8.363 8.68 9.158 10.96 10.11 5.847 2.202 6.563
[2,] 1227.018 499.14 3699.660 2628.35 6034.46 6130.619 143.002 4547.587
[3,] 2356.762 867.92 617.078 3612.76 3312.35 2726.630 114.338 4816.950
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.749 6.319 3.904 4.069 3.003 4.86 5.085 12.54
[2,] 697.858 3797.304 457.925 1016.380 254.213 3793.18 286.992 2093.31
[3,] 628.742 4984.056 473.641 685.450 95.929 1232.93 216.424 913.85
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.972 4.61 6 6.343 5.332 4.712 3.627 1.183
[2,] 1501.116 1666.61 1604 1639.528 3091.821 1220.677 39.144 273.292
[3,] 1727.026 1206.40 1960 2067.248 1299.491 1459.232 322.567 345.242
[,96] [,97] [,98]
[1,] 2.695 21.53 12.06
[2,] 403.478 12827.54 3096.87
[3,] 612.550 6019.68 3216.88
[1] "--- VAR model 2017-09-30 16:31:00 completed"
[1] "Completed training sample: 2017-09-30 16:31:00 - 2017-10-01 00:30:00"
[1] "SpVAR; CCF training sample: 2017-09-30 17:01:00 - 2017-10-01 01:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2741 0.3315076 -16.52 -20.90
0.9065 0.0376958 -20.07 -17.23
0.4798 0.0005676 -14.06 -17.67
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.49 0.3514 -0.01283 0.02653
-19.78 0.4483 0.07976 0.20738
-17.29 -0.1215 0.17075 -0.01502
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.35170 1.1507 2.539 -5.932
-0.20779 0.1560 3.661 -5.635
-0.02753 0.2563 2.360 -6.031
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.5372 -1.795 -3.194 0.9095
0.7258 -1.499 -1.333 -0.5308
0.6016 -1.465 -1.402 1.9062
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.236 -0.6252 -2.7823 3.742
-1.903 -1.3409 -0.9114 4.737
-1.519 -1.0269 -1.7164 3.566
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.76 -1.515 -38.24 -17.78
-20.30 -1.352 -38.37 -17.10
-16.69 -1.245 -38.09 -17.92
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9837 -17.02 -19.76 -3.540
-1.1310 -19.10 -19.50 -3.497
-1.0510 -18.07 -19.03 -3.477
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.09 -1.551 -21.27 -7.698
-16.81 -1.681 -18.66 -8.080
-18.04 -1.467 -18.90 -7.956
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.881 -18.77 -19.41 -19.70
-3.692 -18.95 -18.79 -18.77
-3.997 -17.85 -18.08 -18.73
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0146 -0.2873 -0.12847 -0.035981
0.4814 0.9863 0.34039 0.006724
0.6336 -0.8152 -0.03956 0.069748
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.1579 0.013501 -11.58 -14.30
0.2217 0.004763 -10.98 -14.05
-0.2921 -0.014175 -12.26 -13.26
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.4254 -0.8485 -8.994 2.889
0.8946 -0.9122 -8.331 4.021
0.5320 -0.5911 -7.714 2.827
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.0291 0.8303 0.8988 1.2071
1.2516 -1.3876 -3.5574 0.5033
0.7203 -0.5669 -3.2329 0.9364
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3011 3.085 1.56518 -2.901
-0.1143 -1.181 -0.00928 2.026
-0.2402 -3.586 -1.98146 -1.735
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.918 0.048056 0 0.3626
1.203 -0.002663 0 -5.1796
-0.321 -0.001745 0 2.7915
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2773 -1.143 -0.22671 -3.4086
-0.1252 -1.936 -0.18649 0.4265
-0.2791 -1.261 -0.08659 -2.9915
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.5488 0.005951 -2.7640 0.04249
-0.9965 0.038548 -1.7450 0.05909
-1.5050 -0.085910 -0.3184 0.01812
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.9857 -0.04662 1.1566 0.2010
-3.1098 -0.33465 1.0167 0.6124
0.1151 -0.13698 0.3241 0.1672
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3455 -1.5409 8.281 5.284
0.4141 0.7750 8.662 4.409
0.3836 0.7366 7.333 4.306
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.863 0.3099 3.541 0.07805
3.256 0.3800 5.720 0.14362
5.384 0.1486 3.565 0.03176
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.743 0.6696 0.001743 0.102705
7.062 0.4258 0.368603 0.008741
3.056 0.7952 -0.622796 0.050125
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.365768 0.24791 -0.07314 -2.740
0.253054 0.14137 0.08310 -1.713
-0.003984 -0.04324 0.37111 -1.003
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6504 -0.6766 -0.02688 0.8255
-0.1766 0.6235 -0.28600 0.7187
0.4237 0.7137 -0.39925 0.3320
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2931 0.04769 -3.596 -0.8780
-0.2978 0.10808 -3.053 -0.4721
-0.4876 0.04235 -3.027 -0.2167
rnd_95776.volume rnd_95787.volume
-0.8212 -19.16
-8.5205 -19.50
-6.9948 -17.50
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.004 3.775 9.676 8.833 8.776 1.870 2.722 5.663 7.097 5.768 4.587
[2,] 6.117 3.778 9.701 9.282 9.235 1.883 2.790 5.684 7.110 7.348 5.130
[3,] 6.441 3.803 9.842 9.673 9.438 1.941 2.899 5.729 7.217 7.394 5.550
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.082 4.015 4.569 5.500 5.274 7.274 6.778 9.606 10.21 12.69 5.883
[2,] 5.464 4.036 5.076 6.159 5.453 7.576 7.939 10.163 10.76 12.77 6.207
[3,] 5.520 4.278 5.362 6.546 5.492 8.191 8.405 10.417 11.76 12.93 6.343
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.00 9.871 0.6424 9.074 9.622 1.456 8.617 0.7028 8.561 1.977
[2,] 20.68 10.241 0.6770 9.481 10.622 1.501 9.317 0.7376 9.445 2.108
[3,] 20.75 10.470 0.7268 10.339 11.205 1.580 9.727 0.7820 10.080 2.217
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.514 8.545 9.106 8.398 5.742 4.501 4.860 1.901 4.685 1.479 4.969
[2,] 1.630 8.779 9.864 9.136 5.837 5.306 4.862 1.901 4.689 1.480 5.202
[3,] 1.708 9.133 10.024 9.337 5.842 5.406 4.866 1.905 4.732 1.480 5.343
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.186 5.204 2.111 4.600 7.064 7.215 4.029 6.345 6.145 2.299 5.093
[2,] 5.581 5.507 2.124 4.697 7.067 7.230 4.101 7.611 6.278 2.382 7.247
[3,] 5.770 5.854 2.130 4.768 7.608 7.664 4.113 7.680 6.543 2.389 7.465
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.176 3.831 2.277 4.610 1.054 3.768 1.377 3.236 3.754 3.727 5.989
[2,] 5.327 4.616 4.510 4.624 1.057 3.964 1.382 3.281 3.774 4.689 7.016
[3,] 5.993 5.726 5.379 4.625 1.057 5.269 1.397 3.632 3.808 4.767 7.032
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.898 5.099 3.673 4.128 1.909 6.691 6.408 6.769 6.942 8.493 7.900
[2,] 1.917 5.775 3.674 5.706 1.960 6.832 6.496 6.778 7.724 8.881 9.898
[3,] 1.922 5.941 3.681 6.367 1.974 7.297 6.877 6.868 7.749 9.603 10.411
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.409 1.689 5.010 4.345 4.885 2.954 3.136 2.205 3.655 3.865 9.377
[2,] 7.447 1.696 6.635 4.403 5.976 2.981 3.293 2.208 5.141 3.876 9.587
[3,] 7.928 1.701 8.142 4.440 7.733 3.019 3.368 2.209 5.270 3.883 9.615
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.721 3.271 3.949 4.729 4.625 3.716 2.747 0.9175 2.036 19.89 9.244
[2,] 7.825 3.643 4.862 4.973 4.813 3.821 2.747 0.9581 2.074 20.39 9.745
[3,] 8.024 4.085 4.990 5.293 5.046 4.110 2.763 1.0289 2.165 21.38 10.312
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.625 4.794 12.29 11.22 11.14 2.374 3.456 7.191
[2,] 1149.206 139.893 686.38 2810.49 2833.27 217.382 605.195 488.477
[3,] 1988.468 427.393 1633.26 2681.54 1922.07 466.874 776.165 701.909
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 9.012 7.324 5.824 5.183 5.099 5.802 6.984
[2,] 431.659 4486.263 2263.746 3579.922 406.796 2177.938 2732.043
[3,] 1221.448 813.359 2089.165 773.833 1398.258 1704.267 2184.765
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 6.697 9.236 8.608 12.2 12.96 16.12 7.47 21.59
[2,] 1366.010 2090.080 4073.525 3270.0 3339.78 1390.37 1952.10 11597.20
[3,] 648.127 3068.881 2719.571 2250.5 4676.08 1964.82 1283.04 1759.29
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 12.53 0.8158 11.52 12.22 1.849 10.94 0.8925 10.87
[2,] 2688.85 210.3260 2706.19 4432.24 360.868 3491.86 220.6112 3932.00
[3,] 2144.92 260.7329 4064.97 3516.06 486.639 2754.05 255.8472 3471.09
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.511 1.923 10.85 11.56 10.66 7.291 5.716 6.172
[2,] 718.603 594.521 1981.27 3737.79 3544.94 1035.567 2768.490 136.810
[3,] 676.659 503.715 2484.78 1760.75 1895.21 226.803 1017.434 178.498
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.414 5.949 1.878 6.309 6.586 6.609 2.68 5.842
[2,] 16.213 194.236 40.651 1516.750 2030.786 1774.498 231.37 934.934
[3,] 114.533 628.952 7.670 1201.875 1444.830 1958.243 168.63 804.893
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 8.97 9.162 5.116 8.057 7.803 2.92 6.467 5.303
[2,] 190.52 464.845 756.802 4142.859 1267.230 614.05 5081.240 3259.175
[3,] 2776.30 2504.184 303.334 1009.592 1814.781 174.38 1765.036 2704.727
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.864 2.891 5.854 1.339 4.785 1.748 4.11 4.767
[2,] 2537.340 3836.422 351.009 76.976 1213.224 123.966 528.81 380.626
[3,] 3339.517 2888.412 118.520 19.215 3420.536 198.196 1535.82 497.333
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.732 7.605 2.411 6.475 4.664 5.242 2.425 8.496
[2,] 2804.356 3602.371 261.075 2670.064 103.279 3882.313 436.646 1360.003
[3,] 847.488 462.087 137.267 1376.252 212.443 2782.345 234.426 2527.151
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 8.137 8.595 8.815 10.78 10.03 5.599 2.145 6.362
[2,] 1051.565 340.908 3337.496 2560.22 5876.50 5914.579 142.299 4286.797
[3,] 2223.087 1094.438 609.461 3597.95 3181.59 2680.517 136.704 4650.197
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.518 6.204 3.751 3.983 2.80 4.641 4.908 11.91
[2,] 703.961 3392.141 394.982 990.362 116.04 3562.734 282.021 1966.80
[3,] 562.869 4835.678 472.979 695.038 13.46 1141.907 242.723 722.58
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.804 4.154 5.015 6.005 5.873 4.719 3.488 1.165
[2,] 1255.184 1579.193 2794.555 1517.200 1313.173 876.368 31.890 272.063
[3,] 1748.186 1821.646 1108.533 1786.021 1491.926 1490.250 291.432 369.618
[,96] [,97] [,98]
[1,] 2.586 25.25 11.74
[2,] 385.220 4438.08 3040.57
[3,] 612.090 6331.10 3321.98
[1] "--- VAR model 2017-09-30 17:01:00 completed"
[1] "Completed training sample: 2017-09-30 17:01:00 - 2017-10-01 01:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 17:31:00 - 2017-10-01 01:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1363 0.62933 -14.62 -15.14
-0.2039 0.19334 -16.23 -15.47
0.3824 -0.05317 -15.59 -16.20
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-15.72 0.5799 -0.10558 0.02965
-16.55 -0.1992 -0.18542 -0.25508
-15.27 0.1086 -0.06499 -0.23759
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6743 -3.07514 -2.957 -7.522
-0.5994 -0.05571 -2.340 -5.063
-0.0929 -0.50764 -2.364 -6.285
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.735 -3.058 -2.510 1.3164
-1.393 -3.713 -3.896 -0.2299
-1.050 -2.430 -2.156 2.1118
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.079 -2.575 -2.849 2.20448
-4.029 -2.662 -4.110 0.03199
-2.955 -3.655 -3.669 0.01776
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.70 -1.558 -35.78 -16.17
-15.39 -1.487 -32.98 -15.05
-17.37 -1.633 -33.23 -16.15
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8040 -15.68 -17.33 -2.771
-0.8055 -15.89 -16.87 -2.168
-0.6734 -15.68 -16.12 -2.607
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.50 -1.372 -18.27 -7.429
-15.45 -1.223 -16.37 -7.403
-16.35 -1.252 -16.61 -7.488
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.469 -15.86 -16.63 -16.62
-3.577 -16.10 -16.03 -16.93
-3.599 -15.86 -15.57 -16.41
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.3652 0.3414 0.01624 0.0743
0.8733 0.6265 0.05195 -0.1433
0.1434 -0.5483 0.09032 0.1612
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.18952 0.014377 -8.945 -10.79
0.01389 -0.035956 -10.091 -11.49
0.02013 -0.000157 -10.628 -12.77
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.09734 -0.7763 -7.855 1.2256
-0.62900 -0.5271 -6.769 0.2326
-1.25743 -0.6295 -6.977 0.6717
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1572 -0.7800 -3.883 2.330
-0.9939 -0.3124 -3.160 1.381
0.2607 -0.2883 -4.242 1.381
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5033 -6.603 -3.460 -3.025
-0.1647 -1.492 -2.202 -3.847
-0.2383 -3.467 -1.989 -1.244
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.398 -0.09120 0 1.701
-3.285 0.09346 0 -3.633
-2.308 0.03068 0 -3.975
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2110 1.242 0.6346 -2.8168
-0.1605 -1.817 0.6839 0.5675
-0.2147 -2.392 0.3459 -2.1908
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.5754 0.14916 -2.63732 0.17027
1.4489 0.07697 -0.81163 0.29544
-0.6952 0.08165 -0.02335 0.09577
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.59346 -0.40956 0.3876 -0.39662
-3.42461 -0.24986 0.5816 -0.18785
-0.09575 -0.02795 0.2423 0.05753
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.09691 -0.4828 1.327 5.407
0.25179 0.4903 1.255 1.991
0.40658 0.6255 1.730 1.596
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.37261 0.010373 -1.2704 0.2886
0.05607 -0.098478 4.8655 0.3828
1.08327 -0.008497 0.2653 0.2122
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.4325 0.6807 -1.3995 0.13084
5.6866 -0.1919 -0.7746 0.02501
0.1092 0.7168 -0.4790 0.05861
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.4638 0.6634 -1.2190 -1.3824
0.2547 0.4105 -0.8141 -0.4869
0.7382 -0.1279 -0.5489 -0.3424
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.28969 0.1972 0.88258 0.9276
0.25225 0.2133 -0.30831 -0.4140
-0.01289 -0.1185 0.06034 -0.2480
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.8549 -0.04166 -2.946 -0.4612
-0.4558 -0.06988 -2.889 -0.9321
-1.2551 -0.10775 -2.776 -0.5267
rnd_95776.volume rnd_95787.volume
-1.543 -17.12
-9.276 -17.17
-3.618 -15.73
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.738 3.646 8.858 8.163 8.209 1.858 2.538 5.444 6.856 5.559 4.357
[2,] 5.852 3.647 8.912 8.639 8.715 1.872 2.586 5.456 6.858 7.124 5.008
[3,] 6.092 3.658 9.220 9.055 8.920 1.926 2.702 5.477 6.937 7.167 5.399
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.996 3.883 4.366 5.539 5.204 7.027 6.735 9.407 10.06 12.16 4.921
[2,] 5.199 3.907 4.843 6.113 5.407 7.291 7.605 9.948 10.57 12.24 4.997
[3,] 5.260 4.157 5.108 6.526 5.442 7.846 7.947 10.187 11.61 12.39 5.007
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.64 9.118 0.6157 8.573 8.757 1.392 8.094 0.6804 8.180 1.877 1.318
[2,] 18.73 9.333 0.6449 8.943 9.592 1.432 8.779 0.7156 8.884 2.011 1.414
[3,] 18.97 9.432 0.6914 9.717 10.027 1.514 9.318 0.7573 9.380 2.099 1.493
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.223 8.482 7.876 5.450 4.363 4.612 1.767 4.400 1.412 4.693 4.917
[2,] 8.431 9.097 8.662 5.518 5.131 4.619 1.767 4.412 1.412 4.929 5.272
[3,] 8.822 9.355 8.796 5.518 5.218 4.622 1.772 4.437 1.412 5.034 5.472
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.963 2.041 4.448 6.637 7.116 3.874 6.157 5.977 2.266 4.878 4.084
[2,] 5.262 2.054 4.511 6.641 7.124 3.966 7.395 6.119 2.349 6.827 5.138
[3,] 5.621 2.061 4.561 7.100 7.492 3.981 7.461 6.364 2.360 7.123 5.796
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.780 2.230 4.474 1.033 3.646 1.302 3.127 3.609 4.071 5.813 1.823
[2,] 4.584 4.439 4.491 1.036 3.853 1.311 3.184 3.629 4.588 6.842 1.843
[3,] 5.558 5.209 4.493 1.036 5.079 1.324 3.552 3.664 4.676 6.862 1.849
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.891 3.479 4.044 1.847 6.403 6.119 6.516 6.660 8.297 8.052 4.331
[2,] 5.620 3.479 5.753 1.898 6.535 6.207 6.524 7.442 8.654 9.332 7.364
[3,] 5.747 3.490 6.223 1.914 6.932 6.495 6.606 7.475 9.347 9.815 7.846
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.599 4.917 4.204 4.690 2.820 3.013 2.068 3.524 3.699 8.847 7.457
[2,] 1.607 6.515 4.247 5.769 2.857 3.177 2.068 4.907 3.704 9.099 7.517
[3,] 1.614 7.822 4.287 7.603 2.909 3.251 2.069 5.028 3.705 9.136 7.690
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.941 3.579 4.238 4.309 3.632 2.567 0.9131 1.895 18.98 8.626
[2,] 3.401 4.432 4.448 4.451 3.729 2.569 0.9336 2.013 19.88 9.104
[3,] 3.949 4.522 4.652 4.658 4.006 2.576 1.0106 2.067 20.41 9.535
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.286 4.63 11.25 10.37 10.42 2.359 3.222 6.913
[2,] 1065.444 90.30 909.38 2626.34 2715.68 209.481 462.984 338.684
[3,] 1571.769 254.22 2189.75 2515.82 1765.27 420.204 727.367 448.896
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 8.706 7.059 5.533 5.075 4.931 5.544 7.034
[2,] 167.551 4134.698 2290.329 3085.998 401.379 1944.105 2399.422
[3,] 969.440 727.624 1873.621 740.349 1316.619 1506.647 2120.151
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 6.608 8.923 8.553 11.95 12.78 15.45 6.248 19.86
[2,] 1362.195 1804.549 3277.542 3002.55 2987.37 1258.35 809.887 9557.88
[3,] 575.179 2688.801 2138.841 2033.78 4470.34 1764.64 282.489 2808.39
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 11.58 0.7818 10.89 11.12 1.768 10.28 0.864 10.39
[2,] 1845.67 178.1101 2359.35 3633.01 312.949 3154.36 205.503 3215.11
[3,] 1269.61 231.1911 3527.52 2710.62 454.759 2899.21 230.213 2794.61
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.384 1.674 10.44 10.77 10 6.921 5.54 5.857 2.244
[2,] 669.518 473.635 1728.65 3048.96 3345 800.450 2506.30 228.265 7.305
[3,] 556.596 445.212 2408.12 2027.17 1421 55.290 881.76 146.593 117.217
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.588 1.793 5.959 6.244 6.302 2.592 5.648 8.428
[2,] 299.384 13.328 1399.040 1764.741 1622.963 210.359 694.853 221.749
[3,] 433.842 19.025 949.865 1360.534 1834.025 163.749 626.130 2329.920
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 9.037 4.919 7.819 7.59 2.878 6.195 5.186 4.8
[2,] 300.657 788.475 3800.564 1215.13 571.834 4431.377 2892.475 2406.5
[3,] 2151.996 322.433 918.068 1623.21 215.409 1886.340 2490.459 2917.6
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.832 5.681 1.312 4.63 1.654 3.971 4.582 5.169
[2,] 3561.967 360.775 70.721 1155.87 141.885 555.798 353.018 1964.486
[3,] 2528.442 140.166 23.126 3070.14 172.098 1460.684 473.788 835.811
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.382 2.315 6.21 4.418 5.135 2.345 8.131 7.77
[2,] 3348.017 252.356 2569.61 24.963 3797.108 404.473 1211.025 965.96
[3,] 487.716 130.220 1113.69 259.453 2200.669 230.437 2144.871 1773.36
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.274 8.458 10.54 10.23 5.5 2.031 6.243 5.338
[2,] 305.115 3081.447 2282.62 4377.60 5526.1 141.980 3966.532 562.413
[3,] 961.130 644.397 3277.86 2822.24 2512.9 145.818 4017.328 542.005
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.956 3.581 3.826 2.626 4.475 4.698 11.23 9.469
[2,] 3117.600 424.844 935.482 39.369 3168.434 176.767 1972.47 876.592
[3,] 4595.066 510.183 636.957 43.702 1017.429 45.939 758.19 1504.154
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.734 4.544 5.381 5.472 4.612 3.26 1.16 2.406
[2,] 1584.727 2425.581 1254.830 1032.239 783.741 99.27 180.52 630.571
[3,] 1863.739 832.942 1264.294 1275.878 1358.872 166.49 358.94 435.056
[,97] [,98]
[1,] 24.1 10.95
[2,] 5466.5 2702.63
[3,] 4322.5 2628.83
[1] "--- VAR model 2017-09-30 17:31:00 completed"
[1] "Completed training sample: 2017-09-30 17:31:00 - 2017-10-01 01:30:00"
[1] "SpVAR; CCF training sample: 2017-09-30 18:01:00 - 2017-10-01 02:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.6545 -0.1938 -12.42 -11.86
0.5833 -0.2873 -12.54 -11.77
0.4901 -0.1622 -10.87 -12.33
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.28 0.19107 0.3462 0.19760
-12.78 0.00615 0.4760 0.07239
-12.18 -0.02054 0.3298 -0.10633
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.2279998 -0.38571 1.922 -4.395
0.3350682 -0.03923 2.447 -4.423
0.0004024 -0.05618 2.092 -4.342
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.8539 -1.595 -2.284 1.222510
1.0646 -2.523 -1.539 1.569780
0.9800 -2.061 -1.526 0.006021
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.660 -1.329 0.19902 7.935
-1.269 -1.374 0.26484 7.886
-1.606 -1.156 -0.01246 7.589
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.34 -1.370 -24.35 -11.92
-12.32 -1.506 -27.97 -12.38
-11.31 -1.348 -26.00 -12.00
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9023 -11.70 -13.26 -2.387
-0.8391 -12.41 -13.00 -2.411
-0.8543 -12.44 -13.61 -2.432
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.99 -1.090 -13.40 -5.375
-12.28 -1.070 -12.82 -5.545
-13.09 -1.056 -12.69 -5.609
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.044 -12.94 -13.99 -14.30
-3.090 -12.73 -12.86 -12.96
-3.060 -11.97 -12.09 -13.02
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3888 -3.405 0.1671 0.1144323
0.1798 -1.207 0.1553 -0.0006875
0.4177 -1.010 0.1462 -0.0072209
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.49510 -0.0525798 -7.577 -8.140
0.05672 -0.0008077 -7.530 -9.303
0.05766 -0.0025629 -7.715 -8.738
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.3294 -0.4286 -5.520 0.9214
0.6602 -0.6424 -5.646 1.2094
0.6897 -0.5072 -5.276 1.6193
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.38837 0.1665 -1.624 -0.9210
0.34951 -0.6512 -1.963 -1.1862
-0.09268 -0.6688 -2.776 -0.9835
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.15815 -1.3452 0.03415 -1.928
-0.01129 -0.9927 -1.41182 -1.327
-0.21035 -2.2143 -1.02395 -1.171
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.956 -0.224210 0 -4.4267
-0.400 -0.020202 0 -2.4338
-1.660 0.002211 0 -0.4022
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.07528 -3.3942 -0.09738 -3.204
-0.05934 -1.9328 -0.13024 -2.586
-0.12391 -0.9788 -0.06604 -1.651
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.889 0.13681 -2.878 0.16426
-2.708 0.14097 -2.578 0.06100
-1.568 0.03046 -1.822 0.01438
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.325 -0.3085 0.8509 1.1123
-2.421 -0.1849 -0.3793 0.5478
-2.568 -0.3125 0.3723 -0.1168
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2036 1.2349 4.488 2.550
0.4538 0.5478 5.237 3.591
0.1940 -0.1443 4.127 2.671
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.7647 0.03478 2.162 0.32164
3.3918 0.04933 2.153 0.24186
3.2739 -0.03680 3.199 0.07721
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.9834 1.0688 -0.02154 0
0.4557 0.7787 -0.24919 0
3.3139 0.2195 -0.31974 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.8013 -0.1887 0.36354 0.5471
-1.9855 -0.1890 0.15961 1.7087
-0.6933 -0.0834 -0.03666 0.1994
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5337 0.4201 -0.5676 -0.7081
0.2800 -0.3312 -0.4768 -0.4218
-0.3261 -0.3689 0.2708 0.1703
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.9064 -0.15605 -2.348 -1.0223
-1.3184 -0.07464 -2.283 -0.6059
-0.5992 -0.05479 -2.208 -0.5236
rnd_95776.volume rnd_95787.volume
0.0924 -12.60
-6.5187 -12.55
-4.2159 -13.03
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.445 3.448 8.223 7.643 7.785 1.751 2.435 5.094 6.434 5.263 4.245
[2,] 5.560 3.448 8.282 8.229 8.235 1.752 2.490 5.109 6.435 6.705 4.869
[3,] 5.750 3.462 8.541 8.695 8.442 1.787 2.604 5.110 6.535 6.754 5.258
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.870 3.841 4.301 5.447 5.116 6.888 6.645 9.298 9.371 11.97 4.424
[2,] 5.050 3.866 4.724 5.919 5.371 7.178 7.488 9.835 9.782 12.05 4.485
[3,] 5.109 4.099 4.977 6.326 5.412 7.731 7.863 10.095 10.467 12.23 4.488
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.60 8.611 0.5925 8.015 8.445 1.363 7.650 0.6537 7.617 1.618 1.188
[2,] 17.27 8.785 0.6180 8.341 9.300 1.404 8.407 0.6819 8.414 1.756 1.254
[3,] 17.36 8.962 0.6567 9.005 9.788 1.487 8.859 0.7281 8.888 1.831 1.304
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.756 7.919 7.140 5.242 4.167 4.391 1.664 4.160 1.341 4.324 4.605
[2,] 7.973 8.445 7.767 5.294 5.016 4.400 1.664 4.187 1.341 4.556 4.866
[3,] 8.351 8.864 7.940 5.295 5.078 4.402 1.668 4.215 1.343 4.637 5.062
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.814 1.979 4.419 6.276 6.886 3.818 5.874 5.834 2.211 4.766 4.094
[2,] 5.100 1.994 4.492 6.281 6.904 3.880 7.058 5.973 2.289 6.642 5.178
[3,] 5.437 1.998 4.553 6.748 7.242 3.888 7.120 6.207 2.301 6.966 5.681
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.668 2.153 4.244 1.008 3.485 1.220 3.006 3.503 3.464 5.115 1.697
[2,] 4.433 4.400 4.269 1.010 3.697 1.231 3.066 3.520 4.386 6.147 1.716
[3,] 5.459 5.168 4.269 1.011 5.011 1.245 3.451 3.549 4.453 6.173 1.723
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.718 3.321 3.901 1.769 5.769 4.961 6.169 6.285 8.206 7.839 4.199
[2,] 5.229 3.321 5.471 1.822 5.900 5.869 6.184 7.168 8.574 8.982 7.169
[3,] 5.404 3.332 6.111 1.834 6.103 5.961 6.253 7.227 9.247 9.535 7.798
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.564 4.729 3.964 4.519 2.724 2.866 1.929 3.388 3.500 8.342 7.365
[2,] 1.574 6.307 4.011 5.596 2.758 3.013 1.930 4.835 3.502 8.622 7.395
[3,] 1.582 7.489 4.054 7.330 2.830 3.093 1.934 4.952 3.503 8.654 7.544
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.364 2.790 3.827 3.777 3.662 2.316 0.9022 1.869 18.52 8.231
[2,] 2.953 3.856 4.001 3.897 3.701 2.326 0.9406 1.972 19.41 8.673
[3,] 3.617 3.949 4.201 4.096 3.908 2.327 1.0047 2.028 20.04 9.087
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.915 4.378 10.44 9.706 9.886 2.223 3.092 6.468
[2,] 1016.005 21.368 893.80 2762.250 2432.480 51.083 474.416 357.271
[3,] 1330.712 278.959 1888.33 2544.258 1681.775 318.375 689.431 102.773
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 8.17 6.683 5.391 4.914 4.877 5.462 6.917
[2,] 83.39 3763.432 2160.804 2939.242 398.369 1771.000 2098.235
[3,] 1033.51 741.664 1796.794 701.734 1235.224 1416.955 2023.309
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 6.497 8.746 8.439 11.81 11.9 15.2 5.618 18.54
[2,] 1480.212 1829.290 3126.834 2903.71 2540.9 1235.8 664.849 8353.18
[3,] 604.746 2602.640 2172.715 2061.94 3375.1 1922.1 168.355 1660.82
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 10.94 0.7523 10.18 10.72 1.731 9.715 0.8302 9.673
[2,] 1572.55 159.3790 2090.08 3528.22 304.669 3158.326 175.6222 3237.451
[3,] 1608.11 201.2606 3076.37 2765.56 443.471 2531.490 231.1969 2594.445
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.055 1.508 9.849 10.06 9.067 6.656 5.291 5.575
[2,] 618.258 365.488 1675.060 2657.90 2769.965 675.975 2529.100 254.274
[3,] 470.503 323.002 2249.659 2439.91 1489.825 25.488 720.261 120.067
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.113 5.282 1.703 5.49 5.847 6.112 2.512 5.611
[2,] 9.209 431.744 18.710 1302.36 1424.456 1527.953 221.664 730.607
[3,] 95.154 438.930 59.230 777.71 1263.938 1707.016 123.278 674.415
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.97 8.745 4.849 7.459 7.409 2.808 6.052 5.198
[2,] 213.59 445.025 622.130 3545.241 1156.837 535.085 4190.918 2873.091
[3,] 2234.65 1979.927 232.531 851.705 1530.359 215.578 1903.726 2116.852
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.658 2.735 5.389 1.28 4.425 1.549 3.817 4.448
[2,] 2254.914 3475.687 417.666 54.82 1118.104 152.479 546.129 309.048
[3,] 2886.243 2455.801 46.111 37.81 3064.044 165.299 1435.678 413.328
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.399 6.495 2.155 5.991 4.217 4.954 2.247 7.325
[2,] 2437.467 3088.604 230.052 2041.805 43.993 3474.523 391.941 1120.772
[3,] 692.512 516.630 139.590 1236.300 247.737 2467.152 196.322 1415.721
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.3 7.833 7.98 10.42 9.954 5.331 1.985 6.005
[2,] 2840.0 390.732 3122.17 2248.99 3971.759 5264.578 161.097 3780.447
[3,] 948.0 841.135 841.42 3138.61 2900.148 2780.500 148.139 3658.898
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.033 5.739 3.459 3.639 2.449 4.302 4.445 10.59
[2,] 557.880 2989.381 390.738 841.919 64.865 3125.441 102.564 1973.94
[3,] 529.186 4289.065 576.730 632.879 115.242 966.824 85.483 678.23
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.352 3.001 3.543 4.859 4.796 4.65 2.94 1.146
[2,] 604.878 1603.741 2411.317 1058.207 870.907 490.20 202.38 240.936
[3,] 1351.462 1891.713 773.636 1159.576 1141.398 1134.86 49.40 319.862
[,96] [,97] [,98]
[1,] 2.374 23.51 10.45
[2,] 568.444 5265.26 2474.30
[3,] 427.561 4529.55 2456.57
[1] "--- VAR model 2017-09-30 18:01:00 completed"
[1] "Completed training sample: 2017-09-30 18:01:00 - 2017-10-01 02:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 18:31:00 - 2017-10-01 02:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2756 0.19907 -10.02 -12.27
0.1936 -0.02467 -10.70 -12.28
0.2065 -0.06516 -10.68 -10.81
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.49 0.19256 0.14042 0.06416
-11.33 0.07995 0.02819 -0.30172
-11.16 0.16351 0.04057 -0.19556
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.3008 -1.9324 1.0561 -5.242
-0.7505 0.2609 1.6697 -2.815
0.1231 -0.4049 0.9535 -3.657
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.301 -2.123 -0.6493 -0.1304
1.852 -1.824 -2.5092 -0.5452
1.462 -1.629 -0.9860 0.4623
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.255 -3.476 -4.431 1.20812
-3.895 -2.365 -3.179 1.73753
-2.245 -2.912 -3.709 0.04127
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.688 -0.9217 -23.99 -12.02
-12.086 -0.6152 -26.09 -14.18
-11.708 -1.0733 -22.05 -11.08
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.5929 -11.55 -13.40 -2.229
-0.5680 -10.30 -12.31 -2.124
-0.3949 -11.31 -12.97 -2.201
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.00 -1.0038 -13.25 -5.866
-11.53 -0.9512 -12.94 -5.801
-11.34 -0.9912 -12.04 -5.354
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.827 -11.56 -11.84 -10.90
-2.523 -11.85 -11.96 -12.13
-2.483 -12.61 -10.79 -11.68
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0437 1.3257 0.170174 -0.12388
0.2049 -0.3713 -0.022702 0.03164
0.6445 0.8754 -0.009843 0.07465
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -7.164 -8.466
0 0 -7.459 -8.300
0 0 -7.282 -8.512
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.04266 -0.8140 -5.200 0.4031
-1.30657 -0.4578 -5.296 0.5899
-1.44736 -0.6594 -5.621 0.3796
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.101609 -0.6617 0.4487 2.648
-0.300521 -0.8032 -2.8217 1.524
0.001407 -0.5547 -1.0132 1.434
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.29324 0.9978 -0.5782 -2.8582
-0.31312 -1.4938 0.5696 0.8923
0.07303 -1.4432 -1.5757 -1.6094
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.838 0.35458 0.23620 1.0161
-1.173 0.17135 0.07805 0.2920
0.553 0.09444 0.07421 -0.1004
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.31769 0.0608 -0.28714 -1.5470
-0.10585 -0.2201 -0.07493 0.2142
-0.07483 -1.4094 -0.04599 -0.4715
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.5112 0.04646 1.0437 0.06011
-0.1262 0.06863 -0.5324 0.07585
-0.1364 0.09144 0.2032 0.02196
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.6323 -0.10819 0.01462 -0.77037
-0.9267 0.14184 0.47181 0.80391
0.8137 -0.09298 -0.24057 0.05505
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.4690 -0.99563 6.464 3.1399
-0.2249 0.08444 4.895 0.1193
-0.1024 0.25233 5.825 1.2174
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.684 0.066452 1.498 -0.8511
2.450 0.007794 3.443 -0.7169
2.627 0.008334 1.239 -0.4185
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.7825 0.4451 -0.6097 0
4.2272 0.1021 0.1798 0
2.1770 0.6697 -0.4652 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.7676 0.16523 0.5966 -2.8562
-0.8917 0.04281 0.2276 -1.0765
0.7749 -0.08904 0.3212 -0.6169
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1525 -0.2161 -0.7846 -0.2484
-0.2565 -0.4966 -0.7816 -0.2991
-0.4142 0.6400 0.7428 0.4052
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4864 0.088769 -2.221 -0.90016
0.8025 0.006961 -2.338 0.08899
-0.4146 -0.001192 -2.277 -0.04607
rnd_95776.volume rnd_95787.volume
-5.9545 -13.06
-0.2866 -11.95
-5.6966 -11.87
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.159 3.294 7.865 7.277 7.247 1.744 2.358 4.841 6.158 5.059 4.119
[2,] 5.258 3.294 7.919 7.815 7.727 1.745 2.405 4.853 6.159 6.464 4.720
[3,] 5.463 3.315 8.144 8.210 7.995 1.776 2.500 4.858 6.257 6.504 5.091
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.455 3.622 4.045 4.352 5.021 6.613 6.501 9.050 8.777 11.46 4.172
[2,] 4.615 3.811 4.502 4.872 5.250 6.894 7.248 9.576 9.402 11.51 4.258
[3,] 4.661 4.033 4.804 5.407 5.296 7.398 7.599 9.848 9.957 11.69 4.273
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.51 8.054 0.5696 7.476 8.062 1.205 7.108 0.5842 7.256 1.588 1.020
[2,] 15.95 8.239 0.5978 7.713 8.761 1.241 7.777 0.6118 8.012 1.730 1.088
[3,] 16.12 8.322 0.6383 8.328 9.204 1.316 8.071 0.6442 8.396 1.803 1.128
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.080 7.490 6.695 5.037 3.997 4.104 1.574 3.888 1.266 3.898 4.465
[2,] 7.296 7.891 7.270 5.086 4.886 4.118 1.574 3.925 1.267 4.124 4.722
[3,] 7.609 8.330 7.455 5.088 4.955 4.121 1.575 3.950 1.267 4.195 4.911
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.660 1.879 4.294 6.023 6.729 3.660 5.904 5.721 2.162 4.660 4.024
[2,] 4.931 1.886 4.360 6.039 6.740 3.703 6.866 5.857 2.256 6.477 5.101
[3,] 5.260 1.890 4.416 6.441 7.084 3.712 6.977 6.087 2.270 6.787 5.522
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.566 2.066 4.068 0.9675 3.370 1.159 2.901 3.327 3.775 4.928 1.621
[2,] 4.410 4.299 4.102 0.9701 3.558 1.170 2.973 3.346 4.201 5.903 1.634
[3,] 5.421 5.067 4.102 0.9722 4.981 1.191 3.324 3.380 4.278 5.929 1.639
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.972 3.084 3.773 1.713 4.977 4.668 5.912 5.892 7.830 7.590 4.088
[2,] 5.111 3.091 5.410 1.753 5.010 5.324 5.923 6.791 8.127 8.577 6.774
[3,] 5.249 3.100 5.767 1.779 5.138 5.369 5.965 6.813 8.800 9.121 7.351
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.497 4.544 3.879 4.243 2.604 2.783 1.757 3.256 3.346 7.887 7.177
[2,] 1.507 6.081 3.925 5.327 2.637 2.939 1.763 4.763 3.346 8.098 7.205
[3,] 1.519 7.159 3.969 7.066 2.704 3.019 1.766 4.832 3.351 8.105 7.333
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.064 2.323 3.562 3.570 3.567 2.065 0.8671 1.716 18.02 7.532
[2,] 2.723 3.590 3.772 3.700 3.602 2.071 0.8987 1.806 19.09 7.799
[3,] 3.421 3.674 3.935 3.901 3.809 2.071 0.9851 1.871 19.58 8.192
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.551 4.183 9.987 9.241 9.202 2.215 2.994 6.147
[2,] 931.243 4.008 839.774 2602.315 2448.757 38.280 432.305 313.638
[3,] 1352.930 337.920 1736.644 2298.337 1873.580 304.296 622.214 194.085
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.82 6.424 5.23 4.387 4.599 5.136 5.527 6.376
[2,] 79.80 3674.391 2105.48 2794.953 1083.276 1805.592 1999.738 1402.096
[3,] 1006.11 655.972 1741.90 596.456 1203.695 1530.161 2141.121 632.752
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.398 8.256 11.49 11.15 14.55 5.298 17.16 10.23
[2,] 1776.868 2926.346 2860.46 3075.85 1012.50 777.462 7738.16 1586.59
[3,] 2451.025 2083.535 2097.92 2994.32 1860.71 334.033 2160.83 1068.90
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7233 9.493 10.24 1.531 9.025 0.7418 9.213 2.016
[2,] 165.7403 1732.056 3131.36 270.825 2882.996 166.1029 3103.915 626.575
[3,] 204.3736 2868.226 2576.37 398.736 1970.617 184.2440 2291.836 464.645
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.295 8.991 9.512 8.502 6.396 5.075 5.212 1.999
[2,] 346.677 1609.382 2265.942 2586.534 645.378 2566.055 307.977 19.643
[3,] 270.898 1970.942 2437.786 1507.298 135.452 756.725 150.463 57.475
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.937 1.608 4.95 5.67 5.917 2.386 5.452 7.648
[2,] 493.913 24.271 1230.44 1403.85 1474.153 151.925 693.616 403.717
[3,] 403.008 28.258 699.28 1229.55 1672.404 110.774 639.093 2045.044
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 8.544 4.648 7.498 7.265 2.745 5.918 5.109 4.529
[2,] 354.407 514.807 3200.312 1146.116 588.857 4107.337 2863.250 2368.343
[3,] 1992.127 235.257 1129.980 1513.208 225.593 1852.139 1932.602 2878.827
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.624 5.166 1.229 4.28 1.472 3.684 4.225 4.793
[2,] 3442.479 480.449 65.220 1042.45 146.356 593.177 322.542 1683.189
[3,] 2448.870 8.319 58.377 3183.25 204.581 1356.867 436.684 740.052
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.257 2.058 5.043 3.917 4.791 2.175 6.32 5.927
[2,] 2968.491 186.985 2937.540 187.087 3541.098 343.236 525.48 2339.688
[3,] 502.157 116.534 1091.201 214.834 1824.008 274.540 1040.09 629.431
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.508 7.481 9.943 9.639 5.191 1.901 5.77 4.925
[2,] 327.840 3084.331 1987.940 3646.517 4932.648 160.369 3690.50 547.272
[3,] 642.186 501.183 3081.753 2835.600 2607.261 171.479 3449.14 542.254
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.387 3.306 3.534 2.231 4.135 4.249 10.02 9.114
[2,] 2942.107 381.889 862.168 131.467 3174.932 53.583 1676.64 577.474
[3,] 4239.990 546.824 631.040 102.167 740.390 156.841 302.04 1245.173
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.621 2.95 4.523 4.533 4.529 2.622 1.101 2.179
[2,] 1622.634 2499.49 1134.605 888.449 457.497 147.863 215.766 512.891
[3,] 1890.668 711.10 1023.530 1129.856 1131.764 25.392 368.463 448.613
[,97] [,98]
[1,] 22.88 9.564
[2,] 5771.64 1846.363
[3,] 3955.77 2288.953
[1] "--- VAR model 2017-09-30 18:31:00 completed"
[1] "Completed training sample: 2017-09-30 18:31:00 - 2017-10-01 02:30:00"
[1] "SpVAR; CCF training sample: 2017-09-30 19:01:00 - 2017-10-01 03:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.3131 0.11535 -8.670 -8.142
-0.2026 -0.02892 -10.003 -9.013
-0.4603 -0.07665 -8.713 -8.955
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.537 -0.15885 0.2784 0.7991
-6.943 -0.10350 0.4672 0.3893
-8.902 -0.03486 0.3082 -0.1339
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.34584 -2.1756 2.018 -3.159
-0.01603 1.3342 4.680 -2.207
0.12021 0.2362 3.928 -3.092
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9772 1.0045 1.6999 1.064
0.8606 -1.5442 -1.3743 1.416
1.3197 -0.4957 -0.4981 1.443
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.8200 0.03038 -1.5607 1.069
-0.1234 0.71355 -0.1987 2.737
-0.1857 0.03718 -0.1389 2.635
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.285 -0.7197 -18.72 -9.392
-9.114 -0.5700 -20.00 -9.652
-9.088 -0.7960 -19.64 -9.497
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4025 -8.240 -10.38 -1.878
-0.4901 -9.001 -10.57 -2.027
-0.3027 -8.491 -10.16 -1.972
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.043 -0.6607 -7.709 -4.066
-8.988 -0.8640 -9.182 -4.383
-8.755 -0.8594 -8.949 -4.303
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.164 -9.041 -8.921 -9.924
-2.135 -8.612 -8.731 -8.758
-2.249 -9.128 -8.843 -8.632
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.310502 2.0078 0 0.045589
0.009462 -1.6364 0 0.002514
-0.232292 -0.6303 0 -0.001690
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 -0.11563 -6.076 -6.387
0 0.11089 -4.950 -6.720
0 -0.06867 -4.951 -5.789
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.649 -0.3928 -3.837 0.8113
1.188 -0.3539 -4.121 1.4886
1.302 -0.5508 -3.756 1.9838
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.430 -0.1887 0.6113 1.2779
4.055 -0.4548 -0.8445 0.7175
1.452 -0.5040 -1.5038 0.4593
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.09771 -0.007925 -0.003085 1.1669
0.19633 0.417209 -0.099980 0.3936
-0.12525 -0.975990 -0.380427 -0.2642
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.5001 0.15585 0 -4.3633
0.4629 0.12802 0 -1.1763
-0.1849 0.03303 0 0.4069
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.21771 -2.64414 0.2394 -0.1542
0.01235 -2.06410 0.3041 -2.7642
-0.07505 -0.04793 0.2186 -0.7153
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.150 0.18697 0.5669 0
-1.912 0.15339 -1.1031 0
-1.290 0.09349 -2.1647 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.9954 -0.02662 -0.2672 -0.1579
-0.1063 0.02422 -0.1425 -0.1795
-2.3376 -0.11342 -0.5713 -0.5290
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.5004 -1.81652 4.807 1.266
0.3709 0.05025 1.674 1.204
0.1121 -0.33926 2.369 1.291
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.0718 0.4892 4.023 0.9645
1.2417 0.4373 1.011 0.6829
0.8735 0.1974 1.155 0.5616
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.350 0.1654 0.17199 -0.106488
2.485 0.6526 0.13847 -0.005187
1.123 0.3204 -0.07874 -0.037462
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.9584 -0.01065 0.1910 -0.7139
0.5250 -0.05981 0.1075 -0.3326
-1.2887 -0.05819 0.1166 -0.1573
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5093 0.4266 0.8156 0.1768
0.4738 0.1710 2.4315 2.5127
0.8972 2.1059 1.6497 1.8993
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.99699 0.09337 -2.067 0.005528
-1.24995 0.07013 -1.984 -0.092357
0.08976 0.06371 -1.795 -0.081920
rnd_95776.volume rnd_95787.volume
3.093 -8.658
-2.409 -8.617
-2.022 -8.401
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.019 3.113 7.176 6.908 6.494 1.735 2.225 4.610 5.971 4.883 3.991
[2,] 5.137 3.114 7.270 7.431 7.130 1.735 2.257 4.618 5.972 6.167 4.601
[3,] 5.337 3.136 7.527 7.811 7.343 1.765 2.349 4.625 6.039 6.199 4.953
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.222 3.549 4.013 4.058 4.526 6.423 6.297 8.709 8.083 9.442 3.829
[2,] 4.214 3.746 4.404 4.475 4.713 6.697 7.118 9.209 8.827 9.570 3.899
[3,] 4.264 3.966 4.632 4.889 4.788 7.199 7.398 9.487 9.349 9.760 3.907
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.53 7.370 0.5538 6.891 7.631 1.102 6.642 0.5460 6.644 1.565 0.9809
[2,] 14.64 7.543 0.5871 7.066 8.333 1.126 7.245 0.5701 7.508 1.695 1.0636
[3,] 14.78 7.566 0.6223 7.557 8.667 1.185 7.493 0.6113 7.802 1.753 1.1189
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.481 6.889 6.089 4.534 3.698 3.729 1.454 3.536 1.152 3.369 3.995
[2,] 6.796 7.287 6.438 4.563 4.618 3.741 1.456 3.583 1.154 3.550 4.103
[3,] 7.061 7.556 6.636 4.565 4.716 3.744 1.457 3.622 1.156 3.672 4.290
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.059 1.811 4.264 5.201 6.645 3.579 5.743 5.535 2.125 4.562 3.921
[2,] 4.327 1.814 4.343 5.222 6.655 3.622 6.632 5.690 2.209 6.246 4.934
[3,] 4.446 1.816 4.396 5.392 7.018 3.631 6.751 5.900 2.224 6.542 5.323
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.390 1.998 3.882 0.9472 3.312 1.125 2.795 3.124 3.685 4.773 1.565
[2,] 4.201 4.205 3.919 0.9515 3.475 1.136 2.883 3.145 4.107 5.712 1.576
[3,] 5.130 4.935 3.920 0.9541 4.901 1.160 3.204 3.169 4.179 5.741 1.581
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.236 2.833 3.583 1.675 4.918 5.061 5.558 5.331 7.326 6.900 3.847
[2,] 4.733 2.838 5.122 1.729 4.998 5.122 5.563 6.642 7.568 8.130 6.312
[3,] 4.850 2.840 5.502 1.744 5.232 5.385 5.588 6.660 8.191 8.404 6.921
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.454 3.813 3.742 3.988 2.438 2.596 1.533 3.075 3.071 7.471 7.134
[2,] 1.464 6.234 3.779 5.071 2.498 2.763 1.535 4.539 3.071 7.659 7.143
[3,] 1.478 7.213 3.798 6.624 2.555 2.850 1.536 4.621 3.077 7.660 7.272
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.860 1.969 3.460 3.470 3.496 1.953 0.8238 1.662 16.93 7.394
[2,] 2.591 3.450 3.724 3.604 3.534 1.960 0.8661 1.737 18.09 7.689
[3,] 3.332 3.520 3.870 3.817 3.722 1.960 0.9223 1.817 18.51 8.195
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.374 3.954 9.113 8.772 8.247 2.203 2.826 5.854
[2,] 999.694 12.928 1066.229 2501.069 2688.816 50.097 344.164 237.858
[3,] 1323.043 340.770 1778.865 2201.293 1603.273 294.624 596.305 240.011
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 7.583 6.201 5.068 4.092 4.507 5.096 5.152
[2,] 48.979 3442.241 2091.886 2481.347 1095.822 1655.868 1725.075
[3,] 822.009 567.599 1674.382 596.296 1190.100 1311.681 1799.087
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.747 8.157 7.997 11.06 10.26 11.99 4.862 15.91
[2,] 1199.995 1731.526 3032.087 2734.81 3240.85 1428.67 671.365 6914.47
[3,] 773.083 2411.738 1841.152 2082.87 2814.09 1749.98 238.883 1892.87
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.359 0.7032 8.751 9.69 1.4 8.434 0.6934 8.437
[2,] 1467.537 178.0150 1427.624 3058.32 211.7 2645.929 149.6217 3194.838
[3,] 532.704 188.5017 2448.236 2177.14 335.0 1743.793 201.6677 1939.309
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.987 1.246 8.23 8.748 7.732 5.757 4.696 4.735
[2,] 595.467 375.650 1869.02 2170.497 1910.705 468.353 2527.651 273.285
[3,] 407.079 317.543 1750.11 1825.129 1470.257 138.852 874.122 137.360
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.846 4.49 1.463 4.278 5.073 5.154 2.30 5.415
[2,] 73.266 532.19 60.871 1024.985 857.634 1370.204 103.66 751.286
[3,] 49.244 481.64 58.379 855.315 1142.498 932.078 58.52 626.676
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 6.604 8.438 4.544 7.292 7.028 2.699 5.794 4.979
[2,] 431.886 336.818 512.920 3030.870 1204.282 550.893 3897.217 2735.902
[3,] 1225.329 2034.532 224.549 1155.676 1428.493 233.279 1778.248 1825.053
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.304 2.537 4.929 1.203 4.206 1.429 3.55 3.967
[2,] 2266.863 3381.172 496.485 81.946 962.298 141.901 643.03 332.079
[3,] 2690.102 2359.850 53.640 64.102 3157.443 214.643 1277.79 351.305
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.679 6.061 1.987 5.378 3.598 4.55 2.127 6.246
[2,] 1656.877 2867.229 168.994 1929.884 145.747 3344.39 392.623 812.136
[3,] 708.817 526.585 118.352 968.445 108.096 1837.45 203.158 1415.079
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.426 7.058 6.77 9.303 8.762 4.885 1.846 4.842
[2,] 722.882 205.021 3619.41 1735.372 3927.902 4572.951 156.702 4506.684
[3,] 1518.145 489.880 455.93 2862.367 1947.514 2592.400 182.883 3314.933
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.752 5.065 3.096 3.296 1.947 3.904 3.90 9.487
[2,] 481.108 2861.882 496.691 863.773 68.250 3050.901 30.03 1540.580
[3,] 343.037 3893.925 493.132 638.278 47.663 793.310 167.88 111.566
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.059 2.362 2.5 4.393 4.407 4.439 2.479 1.046
[2,] 324.307 1648.445 2588.5 1258.459 889.214 477.214 158.010 244.437
[3,] 1249.199 1913.598 640.2 963.750 1148.975 1066.560 22.662 289.565
[,96] [,97] [,98]
[1,] 2.111 21.5 9.389
[2,] 461.529 5817.1 1927.008
[3,] 486.749 3589.0 2591.351
[1] "--- VAR model 2017-09-30 19:01:00 completed"
[1] "Completed training sample: 2017-09-30 19:01:00 - 2017-10-01 03:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 19:31:00 - 2017-10-01 03:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.23245 -0.13355 -6.131 -6.855
0.04623 -0.01031 -3.775 -5.330
0.04861 0.02065 -5.532 -5.400
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.523 0.17282 0 0.02124
-6.700 -0.07838 0 0.32607
-5.220 0.13152 0 0.07502
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.656663 0.45121 0.08298 -0.6025
-0.007182 -0.02684 1.08654 -1.8077
0.203192 0.43085 0.73092 -0.7231
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.007814 -0.5232 -0.2385 0.7605
0.043447 -1.3863 -0.1901 1.0039
0.209002 -0.8346 -0.1467 1.0696
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.52057 0.4540 0.05559 1.1634
-0.06391 0.6103 0.15564 1.1383
-0.42784 0.2589 0.47083 0.6496
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.721 -0.4306 -13.613 -4.420
-4.377 -0.4828 -12.259 -5.347
-5.721 -0.5800 -9.548 -4.697
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.0103 -7.155 -6.571 -0.8741
-0.1617 -7.045 -5.472 -0.7039
-0.1254 -6.490 -5.645 -0.6976
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.195 -0.3359 -7.696 -3.253
-5.808 -0.1123 -6.381 -3.042
-5.737 -0.1450 -5.596 -2.565
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.055 -6.519 -6.761 -8.069
-1.223 -5.889 -7.604 -6.565
-1.122 -4.988 -5.633 -6.663
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.13801 1.2316 -0.013999 0.076033
0.54067 0.3433 0.059157 -0.007117
-0.08975 1.8203 0.002964 0.029899
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.889 -4.842
0 0 -3.475 -4.216
0 0 -3.417 -3.364
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.9926 -0.097765 -3.253 0.7321
0.6077 0.007627 -2.331 3.1241
0.3921 -0.166509 -2.477 0.7725
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.305289 -0.002133 0.09721 1.929
-0.149192 -0.313238 -2.01148 2.493
-0.002311 -0.273721 -1.60862 2.083
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1272 -0.4867 -0.7988 0.9176
-0.2284 -0.0914 0.8802 0.2329
-0.1429 -1.4685 -1.0338 -0.3085
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
6.8759 0.24995 0 0.1248
-1.4467 0.06759 0 6.0468
0.7209 0.05551 0 -1.4965
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.02779 -1.33091 0.08768 -1.659
0.16466 2.33799 0.04777 -0.312
-0.08120 -0.05973 0.06279 2.241
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.3654 0 -0.7400 -0.033104
-0.5299 0 -1.2249 -0.002542
2.1870 0 0.2389 -0.003249
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.3361 -0.16959 -0.12121 0.22128
-1.3294 0.03231 0.01716 0.01995
-0.4506 -0.18453 0.18925 0.06528
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.3196 0.38303 3.904 1.853
0.5746 0.06970 5.875 2.626
0.2775 -0.05436 4.271 2.464
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.927 0 8.243 0.19203
2.101 0 1.414 0.07247
2.950 0 2.364 0.02730
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.398 0.03866 -0.3652 0
3.309 1.20032 -0.0211 0
2.096 0.30733 -0.4028 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.010 -0.06547 0.1255 -0.5831
-0.304 0.01504 -0.3335 -0.8374
1.363 0.03992 0.1474 -0.2212
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1716 0.08786 0.5653 0.4951
0.2514 0.44034 -0.1778 -0.1697
0.3086 -0.07412 0.1802 0.2625
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4481 0 -0.5447 -0.1766
1.6257 0 -0.8036 -0.2764
0.4782 0 -0.7253 -0.1709
rnd_95776.volume rnd_95787.volume
-4.416 -3.746
-5.493 -4.994
-2.623 -4.672
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.544 2.867 6.661 6.204 5.987 1.711 2.152 4.387 5.096 4.677 3.850
[2,] 4.633 2.867 6.860 6.687 6.417 1.712 2.179 4.393 5.593 5.889 4.336
[3,] 4.729 2.893 7.016 6.927 6.658 1.741 2.265 4.400 5.645 5.911 4.717
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.971 3.502 3.795 3.938 4.423 6.244 6.079 8.456 7.887 8.944 3.280
[2,] 3.856 3.588 4.064 4.306 4.614 6.530 6.888 8.961 8.487 9.065 3.371
[3,] 3.945 3.747 4.409 4.651 4.710 6.992 7.212 9.269 8.993 9.178 3.382
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.44 7.131 0.5245 6.268 6.766 1.060 6.073 0.5326 5.941 1.519 0.8600
[2,] 14.14 7.594 0.5505 6.434 7.450 1.090 6.590 0.5615 6.596 1.652 0.9234
[3,] 14.35 7.679 0.5818 6.893 7.821 1.133 6.825 0.6067 7.035 1.719 0.9690
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.928 6.187 5.627 4.302 3.527 3.451 1.352 3.298 1.084 3.107 3.592
[2,] 6.210 6.572 5.868 4.336 4.421 3.454 1.355 3.334 1.085 3.256 3.721
[3,] 6.481 7.152 6.093 4.336 4.530 3.456 1.356 3.370 1.085 3.357 3.911
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.078 1.689 4.137 4.899 6.423 3.536 5.497 5.235 2.024 4.364 3.759
[2,] 4.330 1.709 4.231 4.912 6.436 3.576 6.349 5.375 2.102 5.904 4.759
[3,] 4.450 1.718 4.301 5.057 6.744 3.585 6.472 5.596 2.119 6.241 5.159
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.213 1.919 3.736 0.9016 3.138 1.090 2.730 2.969 3.464 4.327 1.486
[2,] 4.024 3.997 3.772 0.9034 3.271 1.105 2.760 2.992 3.948 5.347 1.499
[3,] 4.932 4.727 3.773 0.9054 4.633 1.130 3.078 3.008 4.000 5.374 1.505
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.901 2.539 3.457 1.606 4.600 4.547 5.273 5.108 7.015 6.618 3.362
[2,] 4.412 2.547 4.832 1.655 4.638 4.566 5.281 6.210 7.196 7.841 6.069
[3,] 4.614 2.559 5.219 1.670 4.798 4.759 5.305 6.219 7.661 8.045 6.545
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.357 3.306 3.545 3.475 2.330 2.404 1.377 2.873 2.846 7.051 6.897
[2,] 1.363 5.711 3.572 4.371 2.362 2.588 1.378 4.244 2.846 7.189 6.901
[3,] 1.381 6.799 3.593 6.174 2.416 2.672 1.382 4.318 2.850 7.190 7.032
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.757 1.857 3.383 3.370 3.409 1.741 0.8416 1.596 16.03 6.448
[2,] 2.455 3.321 3.635 3.477 3.445 1.751 0.8894 1.671 17.18 6.764
[3,] 3.230 3.371 3.772 3.676 3.569 1.754 0.9809 1.755 17.56 7.102
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.77 3.641 8.458 7.877 7.602 2.173 2.733 5.571
[2,] 784.76 8.433 1423.489 2168.184 2006.596 44.759 298.808 198.231
[3,] 825.12 336.487 1278.433 1569.476 1539.483 276.149 536.336 218.716
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.471 5.94 4.889 3.773 4.447 4.82 5 5.616
[2,] 2002.564 3107.38 1731.219 2133.978 675.516 1262.16 1513 1139.741
[3,] 661.709 443.13 1612.420 724.158 939.560 1484.20 1526 825.355
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.929 7.72 10.74 10.02 11.36 4.165 14.53 9.056
[2,] 1659.735 2813.02 2575.55 2721.67 1280.45 673.576 7218.97 2267.301
[3,] 2169.083 1855.66 2059.09 2582.07 1245.61 239.243 2121.98 987.600
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.666 7.959 8.591 1.346 7.712 0.6763 7.545 1.929
[2,] 145.377 1264.227 2707.649 220.823 2221.516 154.6351 2487.183 562.089
[3,] 163.465 2147.660 2068.169 267.866 1539.847 199.5591 2124.462 413.501
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.092 7.528 7.857 7.145 5.463 4.479 4.382 1.716
[2,] 291.967 1605.686 1924.393 1444.701 471.798 2314.929 124.045 89.243
[3,] 255.174 1610.321 2449.899 1425.733 47.285 858.580 105.397 8.462
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.188 1.376 3.945 4.562 5.179 2.145 5.253 6.221
[2,] 423.109 35.997 847.909 843.337 1262.657 226.399 769.364 308.998
[3,] 428.678 35.108 707.305 1043.104 893.750 152.855 672.621 1044.912
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 8.156 4.491 6.981 6.648 2.571 5.542 4.774 4.08
[2,] 358.213 460.410 2758.074 1056.389 492.200 3452.566 2534.564 2103.38
[3,] 1751.558 219.065 1088.891 1352.504 227.557 1755.934 1729.446 2476.99
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.437 4.744 1.145 3.984 1.385 3.466 3.771 4.398
[2,] 3044.104 451.504 49.135 801.098 155.163 356.725 321.115 1645.125
[3,] 2191.379 79.801 52.712 2849.429 204.147 1182.937 262.113 560.162
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.494 1.886 4.953 3.224 4.389 2.04 5.842 5.775
[2,] 2727.557 171.358 1790.322 169.328 2931.274 345.20 515.080 355.991
[3,] 471.864 117.207 1171.292 216.420 1712.807 194.36 1065.664 1164.921
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.695 6.486 8.908 8.403 4.27 1.723 4.198 4.501
[2,] 257.602 3067.128 1390.610 3652.708 4387.02 117.314 4043.219 380.558
[3,] 439.276 282.097 2283.470 1561.757 2128.97 188.726 3203.443 341.124
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.412 2.958 3.053 1.749 3.648 3.613 8.954 8.758
[2,] 2302.146 339.635 831.424 50.313 2712.259 17.622 1215.384 201.289
[3,] 3786.431 440.504 578.647 90.444 693.736 144.521 135.065 1171.632
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.231 2.358 4.296 4.279 4.329 2.211 1.069 2.027
[2,] 1488.765 2390.314 1155.242 745.651 430.296 161.127 249.888 430.883
[3,] 1822.133 502.081 874.589 1034.774 809.390 80.768 359.124 465.602
[,97] [,98]
[1,] 20.36 8.188
[2,] 5375.44 1773.493
[3,] 3133.82 1881.055
[1] "--- VAR model 2017-09-30 19:31:00 completed"
[1] "Completed training sample: 2017-09-30 19:31:00 - 2017-10-01 03:30:00"
[1] "SpVAR; CCF training sample: 2017-09-30 20:01:00 - 2017-10-01 04:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3975 -0.004491 -3.653 -4.948
0.3136 -0.072199 -4.854 -4.621
0.1202 -0.035349 -4.739 -4.885
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.830 0.000000 0.2977 0.324083
-5.132 -0.001908 0.2913 -0.009765
-4.704 0.018850 0.2666 -0.181968
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.976362 -1.87261 0.1441 -2.610
0.086160 0.46765 -0.2604 -2.042
0.002652 -0.04598 0.1253 -1.712
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6108 -2.615 -1.9328 0.2407
0.1786 -1.668 -2.0261 -0.1487
0.1387 -1.612 -0.9959 0.6942
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.389 -1.581 -2.171 -0.02434
-2.514 -1.484 -1.485 1.09702
-2.049 -2.177 -1.754 0.04046
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.145 -0.3710 -11.124 -5.481
-4.437 -0.4042 -9.268 -4.605
-5.576 -0.4911 -9.941 -4.630
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.19767 -5.244 -4.799 -0.3330
-0.03894 -4.973 -5.042 -0.3622
-0.03926 -4.011 -4.625 -0.3557
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.178 -0.4012 -4.548 -2.110
-5.228 -0.2370 -3.711 -2.153
-5.160 -0.2899 -4.570 -2.009
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.128 -5.119 -6.341 -5.868
-1.130 -3.985 -5.035 -5.727
-1.105 -4.342 -4.210 -4.796
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.05143 0.4996 0 0
0.57424 -0.4255 0 0
0.07356 0.1143 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.306 -3.250
0 0 -3.107 -3.308
0 0 -2.898 -3.473
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.15592 -0.20083 -2.127 0.29479
0.15209 -0.04349 -2.247 -0.09910
0.06486 0.15357 -2.441 0.07077
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.2606 -0.3346 -1.7051 -0.20210
-0.2812 -0.3613 -0.8531 -0.04565
0.2725 -0.3059 -1.3172 -0.06130
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1310 -1.6219 -0.5951 -0.3875
-0.2033 -1.1843 -0.9080 -0.7095
-0.1287 -0.8941 -0.5883 0.1088
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.7019 0.18438 0 -0.2767
-0.5661 -0.06532 0 -0.9507
-0.8952 0.05357 0 -0.7212
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.10526 -0.503844 0.067450 -1.4868
0.01008 -0.003981 0.009239 -0.3675
-0.09186 -0.235594 0.008007 -0.6130
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.0719 0 -0.53915 0
-0.3720 0 -1.43145 0
-0.1175 0 -0.01013 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.3918 0.1336 0.6269 0.4605
-1.5963 -0.1746 0.1140 0.2485
0.1444 -0.1377 -0.1735 0.1374
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.14671 -1.7431 2.8654 0.09151
-0.03076 0.7335 1.0237 0.24485
-0.01098 -0.1066 0.6899 0.32392
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.9480 0.11579 -0.4121 0
0.4612 0.01204 0.3167 0
1.1087 0.01117 0.4515 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.002752 0.13687 -0.2981 0
1.192765 0.03228 -0.4320 0
0.136529 0.12178 -0.2445 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.1770 0.082814 0.41999 -0.18194
0.1829 -0.003792 0.14844 -0.22333
0.2739 -0.061878 0.01702 -0.05432
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1600 0.3808 0.15391 0.16433
0.2802 0.2585 0.84847 0.79957
0.3879 0.6478 0.07236 0.03116
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.1814 0 -0.8630 -0.3548
0.4926 0 -0.7421 -0.2683
-0.1440 0 -0.7486 -0.2297
rnd_95776.volume rnd_95787.volume
-4.442 -5.119
-3.338 -4.155
-5.638 -4.577
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.312 2.744 6.141 5.482 5.381 1.700 2.077 4.140 4.844 4.477 3.381
[2,] 4.384 2.744 6.365 5.931 5.704 1.701 2.099 4.143 5.323 5.604 3.857
[3,] 4.461 2.773 6.514 6.142 6.006 1.727 2.173 4.148 5.369 5.623 4.178
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.970 3.283 3.494 3.740 4.181 6.000 5.745 7.817 7.667 8.601 3.298
[2,] 3.693 3.332 3.839 4.109 4.320 6.310 6.545 8.547 8.257 8.696 3.387
[3,] 3.863 3.451 4.166 4.458 4.397 6.781 6.836 8.901 8.817 8.815 3.399
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.79 6.513 0.4886 5.715 6.254 1.010 5.409 0.4856 5.412 1.482 0.8422
[2,] 13.32 6.897 0.5130 5.906 6.702 1.047 6.064 0.5135 6.046 1.588 0.9185
[3,] 13.51 7.031 0.5389 6.415 7.169 1.083 6.319 0.5373 6.379 1.661 0.9611
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.294 5.591 4.982 4.101 3.199 2.979 1.232 2.903 0.9981 2.821 3.162
[2,] 5.474 5.821 5.210 4.133 3.989 2.987 1.239 2.964 0.9998 2.966 3.353
[3,] 5.801 6.277 5.465 4.133 4.057 2.988 1.241 3.019 1.0002 3.045 3.498
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.120 1.615 3.837 4.471 6.248 3.442 5.224 5.073 1.917 4.167 3.687
[2,] 4.295 1.629 3.910 4.545 6.256 3.478 5.933 5.201 2.000 5.534 4.611
[3,] 4.575 1.637 3.985 4.620 6.546 3.486 6.032 5.424 2.011 5.753 4.929
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.122 1.842 3.417 0.8738 2.965 1.046 2.585 2.803 3.341 4.082 1.385
[2,] 3.905 3.862 3.459 0.8765 3.108 1.057 2.631 2.829 3.691 5.107 1.392
[3,] 4.674 4.549 3.459 0.8781 4.513 1.079 2.934 2.849 3.758 5.135 1.401
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.459 2.365 3.227 1.544 4.228 4.268 5.051 4.876 6.714 6.270 3.159
[2,] 4.086 2.378 4.621 1.585 4.276 4.284 5.052 5.760 6.900 7.397 5.821
[3,] 4.310 2.389 4.926 1.604 4.429 4.424 5.065 5.782 7.206 7.612 6.248
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.236 3.146 3.337 3.260 2.190 2.309 1.238 2.533 2.635 6.461 6.619
[2,] 1.243 5.551 3.366 4.075 2.239 2.473 1.238 3.824 2.635 6.532 6.619
[3,] 1.248 6.573 3.378 5.741 2.275 2.540 1.242 3.912 2.642 6.532 6.759
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.678 1.765 3.244 3.202 3.131 1.643 0.7695 1.484 14.64 5.720
[2,] 2.332 3.176 3.479 3.293 3.157 1.652 0.8076 1.567 15.33 6.159
[3,] 3.069 3.215 3.620 3.494 3.300 1.656 0.8583 1.601 15.90 6.244
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.475 3.485 7.798 6.961 6.833 2.159 2.637 5.257
[2,] 795.812 24.863 1678.522 2268.601 1898.543 50.565 307.587 162.197
[3,] 825.898 397.307 1388.066 1603.284 1883.843 299.541 560.502 205.713
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.151 5.685 4.294 3.771 4.169 4.436 4.749 5.31
[2,] 2213.679 3380.090 1860.769 2201.104 568.244 1595.264 1706.889 1087.47
[3,] 700.441 458.291 1610.484 1137.169 901.048 1623.201 1733.688 823.42
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.62 7.295 9.926 9.735 10.92 4.187 13.7 8.27
[2,] 1956.82 3144.907 3466.785 3073.857 1286.53 776.279 7839.9 2274.24
[3,] 2488.79 1976.375 2490.162 3099.901 1444.46 285.198 2252.4 1370.73
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6205 7.257 7.941 1.282 6.869 0.6167 6.872 1.882
[2,] 156.5621 1496.256 2417.169 279.151 2748.467 167.1948 2701.365 572.069
[3,] 165.6588 2509.608 2549.958 277.582 1781.631 158.5557 2040.083 487.411
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.069 6.723 7.1 6.326 5.207 4.062 3.783 1.564
[2,] 367.492 1392.680 1626.5 1528.933 521.884 2390.271 227.707 130.202
[3,] 283.702 1926.567 2354.5 1654.761 14.011 740.377 68.538 77.253
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.687 1.267 3.582 4.015 5.232 2.05 4.873 5.677
[2,] 599.222 58.773 917.199 1116.901 1216.390 214.23 753.800 819.063
[3,] 572.496 29.805 694.206 1000.187 1579.116 163.76 766.891 829.640
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.935 4.371 6.634 6.442 2.435 5.291 4.682 3.964
[2,] 310.818 500.157 2819.243 1148.916 568.644 3651.728 2776.034 2351.108
[3,] 1930.291 233.448 1090.156 1542.768 216.474 1577.167 1745.750 2575.473
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.339 4.339 1.11 3.765 1.328 3.282 3.559 4.242
[2,] 3403.404 543.038 69.72 934.500 150.658 490.906 384.930 1573.639
[3,] 2410.263 4.270 52.30 3280.410 217.071 1302.009 333.592 706.244
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.184 1.758 4.392 3.004 4.098 1.961 5.369 5.419
[2,] 3076.661 141.701 2181.246 242.332 3316.154 358.016 635.658 369.705
[3,] 538.628 157.105 1375.805 229.721 1710.143 246.324 1159.082 1109.427
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.414 6.192 8.526 7.962 4.012 1.57 3.995 4.238
[2,] 65.877 3074.550 1594.155 3933.662 4901.372 128.82 4584.846 439.661
[3,] 366.293 502.624 2082.667 1801.828 2275.157 119.58 3529.856 286.238
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.14 2.781 2.932 1.573 3.216 3.346 8.205 8.405
[2,] 2450.79 466.741 887.347 9.258 2872.569 32.527 957.796 39.162
[3,] 4054.15 408.352 581.862 88.675 825.535 186.787 65.971 1373.147
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.131 2.241 4.119 4.066 3.975 2.086 0.9772 1.885
[2,] 1624.096 2646.873 1260.133 768.482 407.955 173.583 245.5459 504.683
[3,] 2000.377 505.562 1004.675 1170.840 964.715 114.188 291.5560 325.484
[,97] [,98]
[1,] 18.59 7.264
[2,] 4559.20 2289.219
[3,] 4240.75 1026.153
[1] "--- VAR model 2017-09-30 20:01:00 completed"
[1] "Completed training sample: 2017-09-30 20:01:00 - 2017-10-01 04:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 20:31:00 - 2017-10-01 04:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.08501 0.22567 -6.218 -7.346
-0.20799 0.06795 -5.362 -6.097
-0.02026 0.03654 -6.139 -5.887
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.914 0.00000 0.2712 0.3074
-6.219 0.06893 0.2670 0.5009
-6.215 0.07499 0.1959 0.2763
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.5938 2.3976 -0.48264 -1.446
-0.8048 0.1718 2.50546 -0.494
0.9688 0.6186 0.09729 -1.755
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2128 -1.4952 -1.04509 0.07832
1.4844 -0.6758 0.05789 0.93503
0.3609 -0.9996 -1.34560 -0.51454
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.2026 0.5820 1.3956 4.285
-1.0498 -0.1375 0.4091 3.324
0.1316 0.2526 0.1089 1.708
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.539 -0.3186 -12.96 -5.529
-5.590 -0.2668 -12.00 -4.951
-6.226 -0.2669 -10.91 -5.559
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.0846 -6.104 -6.449 -0.3540
-0.1565 -6.014 -5.866 -0.9720
-0.1652 -5.808 -5.742 -0.6909
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.367 -0.4325 -6.355 -2.739
-6.779 -0.5658 -5.832 -2.543
-6.144 -0.6623 -5.569 -2.680
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.402 -5.553 -7.59 -6.703
-1.469 -6.192 -7.03 -6.447
-1.443 -5.338 -5.84 -5.712
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.52159 -0.7578 0 0
0.05966 -0.4730 0 0
0.23227 -1.3556 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.032 -5.273
0 0 -2.841 -3.708
0 0 -2.910 -4.154
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0323 -0.1467 -2.176 1.0317
0.9001 -0.1107 -2.440 0.8966
0.5919 -0.3651 -2.337 0.6986
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.3040 -0.2813 -1.502 0.72011
-0.2692 -0.2092 -1.510 -0.04611
0.1752 -0.2951 -1.354 0.11655
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.30640 -0.7781 -0.9888 -2.4141
-0.05199 -1.5605 -1.3838 -0.4577
-0.18575 -1.2916 -0.9688 -1.2760
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.143 0 0 -2.7708
-1.058 0 0 -3.4489
-1.318 0 0 -0.3695
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.006893 -1.250 0.3887 -0.7761
0.030744 -1.746 0.3920 -1.0872
0.002259 -1.194 0.0960 -1.9689
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.3668 0.1284 -1.3964 0
-0.3565 0.2171 -0.3996 0
-1.6929 0.2098 -1.1347 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.3626 0.14225 0.09018 -0.06308
-0.1168 -0.20847 -0.10299 -0.40685
-1.1883 -0.04394 -0.07170 -0.25137
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0 -0.04918 0.1810 0.2239
0 -0.02534 1.0799 0.9080
0 -0.12876 0.2851 0.5924
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.87778 0 1.4053 0.19924
0.08769 0 -0.2818 0.18060
0.62311 0 0.6902 0.05298
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.9685 -0.10447 -0.3422 0
-1.4923 0.08012 -0.2092 0
0.2276 -0.05396 -0.2769 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.4294 0.14306 1.17246 -0.03922
-0.3965 0.05377 -0.04579 -0.39861
-0.9405 0.01186 -0.01480 -0.03577
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2926 0.7998 0.8708 0.8262
0.7386 0.6713 0.2790 0.2828
0.5946 0.2864 0.3700 0.3572
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4991 0 -0.8428 -0.2475
-1.3377 0 -0.7298 -0.4104
-0.7275 0 -0.7439 -0.3395
rnd_95776.volume rnd_95787.volume
-4.505 -5.501
-3.727 -5.101
-3.744 -4.952
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.098 2.645 5.374 4.952 4.679 1.653 1.926 3.972 4.622 4.171 3.254
[2,] 4.146 2.645 5.590 5.374 5.042 1.654 1.958 3.973 5.100 5.314 3.707
[3,] 4.197 2.678 5.727 5.637 5.258 1.679 2.017 3.978 5.149 5.338 4.067
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.831 3.073 3.386 3.605 4.117 5.847 5.858 7.777 7.152 5.553 2.008
[2,] 3.586 3.311 3.755 3.950 4.256 6.161 6.657 8.365 7.817 5.592 2.110
[3,] 3.709 3.491 4.073 4.271 4.330 6.648 6.989 8.811 8.376 5.775 2.117
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 9.748 6.206 0.4522 5.321 5.848 0.9267 4.828 0.4767 4.979 1.404
[2,] 11.849 6.759 0.4726 5.481 6.344 0.9393 5.419 0.4936 5.541 1.507
[3,] 12.008 6.868 0.4963 5.876 6.742 1.0129 5.696 0.5266 5.865 1.584
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.8032 4.871 5.161 4.547 3.806 3.121 2.556 1.167 2.635 0.9495 2.439
[2,] 0.8707 5.063 5.403 4.756 3.847 3.758 2.578 1.175 2.673 0.9502 2.579
[3,] 0.9084 5.398 5.729 4.969 3.847 3.809 2.579 1.179 2.710 0.9505 2.689
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.797 3.769 1.612 3.698 4.310 6.073 3.299 4.962 4.468 1.834 3.978
[2,] 2.958 3.978 1.618 3.771 4.355 6.084 3.340 5.604 4.479 1.906 5.327
[3,] 3.069 4.121 1.623 3.834 4.467 6.367 3.353 5.694 4.676 1.917 5.546
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.482 2.931 1.762 3.302 0.8433 2.772 0.9899 2.414 2.667 3.221 3.847
[2,] 4.430 3.656 3.660 3.344 0.8460 2.887 0.9957 2.475 2.690 3.582 4.873
[3,] 4.744 4.380 4.351 3.345 0.8473 4.197 1.0183 2.764 2.712 3.640 4.940
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.266 3.243 2.161 3.144 1.444 3.894 3.998 4.840 4.713 6.336 6.070
[2,] 1.268 3.858 2.168 4.426 1.479 3.929 4.009 4.841 5.426 6.507 7.052
[3,] 1.276 4.055 2.175 4.734 1.492 4.046 4.088 4.856 5.449 6.893 7.231
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.049 1.160 2.970 3.076 3.096 2.011 2.094 1.109 2.371 2.482 5.943
[2,] 5.609 1.170 5.394 3.119 3.932 2.059 2.253 1.109 3.669 2.483 5.993
[3,] 5.968 1.175 6.314 3.126 5.554 2.094 2.329 1.114 3.768 2.492 5.993
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.441 1.624 1.655 3.099 3.110 2.987 1.532 0.7229 1.388 14.23 5.607
[2,] 6.441 2.215 3.043 3.311 3.209 3.021 1.545 0.7636 1.471 14.83 5.958
[3,] 6.568 2.951 3.091 3.459 3.414 3.134 1.546 0.8253 1.527 15.55 6.107
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.204 3.359 6.825 6.288 5.942 2.098 2.446 5.044
[2,] 624.951 21.240 1533.270 2080.921 1870.901 65.117 351.614 88.042
[3,] 651.162 420.773 1242.615 1696.545 1487.081 286.349 481.715 192.368
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.869 5.296 4.132 3.595 3.902 4.3 4.578 5.228
[2,] 2147.939 3282.931 1770.644 2193.800 1229.263 1617.3 1607.861 1074.892
[3,] 706.187 504.683 1666.097 943.846 1102.659 1572.2 1620.811 796.581
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.425 7.439 9.875 9.082 7.052 2.55 12.38 7.88
[2,] 1934.906 3152.212 3072.660 3144.411 654.827 643.85 6714.13 2670.47
[3,] 2489.637 2122.433 2759.906 3000.668 1437.954 173.03 1945.47 1211.30
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5743 6.757 7.426 1.177 6.131 0.6053 6.322 1.783
[2,] 136.6910 1311.678 2452.004 152.794 2452.661 127.5956 2424.756 546.034
[3,] 151.1659 2111.268 2275.917 377.788 1750.259 182.9015 1917.289 484.540
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.02 6.186 6.554 5.774 4.833 3.963 3.246 1.481
[2,] 335.11 1375.254 1594.354 1391.941 557.105 2086.494 338.634 143.376
[3,] 258.19 1867.474 1898.764 1434.794 49.846 619.571 35.214 96.741
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.346 1.206 3.097 3.552 4.787 2.047 4.695 5.473
[2,] 444.170 35.186 836.218 957.802 1268.188 143.223 739.206 626.884
[3,] 449.385 24.231 759.256 816.038 1070.035 121.306 687.672 990.620
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.712 4.189 6.301 5.674 2.329 5.052 4.422 3.722
[2,] 364.345 519.940 2595.984 316.324 516.501 3531.345 2729.233 2178.587
[3,] 1872.667 302.194 1006.115 1336.519 207.839 1537.753 1692.034 2404.889
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.238 4.194 1.071 3.519 1.257 3.065 3.387 4.09
[2,] 3197.421 524.876 66.760 806.093 106.988 545.659 344.579 1562.79
[3,] 2346.573 82.748 46.984 3036.545 212.765 1226.756 347.441 642.79
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.885 1.607 4.118 2.744 3.992 1.834 4.945 5.076
[2,] 2982.247 80.998 2083.088 168.418 3105.898 317.933 520.929 306.150
[3,] 810.221 136.933 1245.887 181.400 1674.207 200.618 963.455 797.162
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.146 5.985 8.046 7.708 3.871 1.474 3.772 3.906
[2,] 93.618 2680.524 1478.060 3579.374 4694.090 149.835 4487.843 514.220
[3,] 386.052 498.820 2265.400 1592.537 2030.837 105.565 3271.834 201.577
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.931 2.554 2.659 1.408 3.01 3.152 7.547 8.179
[2,] 2416.837 440.164 829.554 31.088 2790.93 30.468 768.174 69.182
[3,] 3909.525 376.923 586.817 101.122 855.02 217.018 31.205 1279.051
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.062 2.102 3.936 3.949 3.792 1.946 0.918 1.762
[2,] 1501.709 2545.585 1162.270 789.437 452.784 193.596 245.140 486.406
[3,] 1943.212 542.975 996.390 1161.520 831.582 69.211 312.317 408.561
[,97] [,98]
[1,] 18.07 7.12
[2,] 4160.26 2010.05
[3,] 4666.78 1333.08
[1] "--- VAR model 2017-09-30 20:31:00 completed"
[1] "Completed training sample: 2017-09-30 20:31:00 - 2017-10-01 04:30:00"
[1] "SpVAR; CCF training sample: 2017-09-30 21:01:00 - 2017-10-01 05:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.07085 0.083005 -7.059 -6.405
0.05574 0.001701 -6.278 -6.612
-0.11544 0.012525 -6.971 -6.285
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.066 0.0000 0.3811 -0.09685
-6.175 -0.1693 0.3523 0.03543
-6.459 0.0876 0.2223 -0.14885
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.83681 -1.93321 -0.86113 -3.481
-0.24076 -0.18218 0.59742 -1.032
0.03944 -0.04867 0.01127 -1.895
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9237 -2.298 -0.9441 0.4635
-0.2911 -2.952 -2.2805 0.9412
0.1666 -2.053 -0.7643 0.8879
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.138 -2.021 -2.419 -0.03865
-1.894 -1.315 -1.777 0.89731
-1.746 -1.786 -1.734 0.82843
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.539 -0.4474 -14.64 -7.320
-5.723 -0.5165 -14.12 -6.592
-5.451 -0.6700 -12.04 -6.600
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1044 -6.722 -7.569 -0.5447
-0.1655 -6.386 -7.786 -0.8617
-0.1844 -6.515 -7.311 -0.9545
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.240 -0.1852 -6.748 -1.610
-6.880 -0.2536 -6.537 -1.700
-6.692 -0.2785 -6.768 -1.668
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.173 -5.829 -6.149 -6.393
-1.344 -6.450 -6.814 -7.477
-1.280 -6.313 -6.748 -6.631
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4066 0.5788 0.043077 0.155813
0.2060 -0.9034 0.007326 0.093766
-0.2473 0.3809 0.001589 0.008157
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.187 -3.656
0 0 -3.505 -4.147
0 0 -3.476 -4.044
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.02276 -0.1919 -2.591 0.1622
-0.07296 -0.1337 -2.592 0.5022
-0.09745 -0.2408 -2.521 0.3360
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.2688 -0.0144 -1.550 0.8729
-0.1870 -0.3817 -2.500 0.5668
0.4730 -0.2421 -1.927 0.3170
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2287 -1.476 -1.202 -2.373
-0.1727 -1.621 -1.508 -1.090
-0.2796 -2.381 -2.036 -1.731
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.358 0.40002 0 1.003
-1.193 0.05868 0 -3.102
-1.466 0.01423 0 -1.104
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.01711 -1.1084 -0.007809 -1.7350
0.03057 -0.0301 -0.001218 -0.3893
-0.00988 -1.0982 -0.001296 -0.8643
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.40379 0 -1.753 0.042011
0.17591 0 -1.107 0.003513
-0.06536 0 -0.403 0.003421
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.6426 -0.0492 0.24633 0.34715
-1.1611 -0.1857 0.01650 0.17280
0.1335 -0.1118 0.02823 -0.09587
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.01764 -0.065895 3.178 0.9069
0.12824 0.392846 2.360 1.2102
0.01124 0.006262 1.850 1.0559
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.235 0 2.7837 0.000000
1.490 0 0.7725 -0.007851
1.355 0 1.2002 0.010909
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.013 0.26071 -0.4258 0
1.038 0.36833 -0.3275 0
1.203 0.02012 -0.5318 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5084 0.069580 0.0711221 -0.3699
-0.6236 0.002276 0.0076209 -0.2435
0.2803 0.006775 0.0003173 -0.1036
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.11617 -0.01052 -0.05388 -0.1275
-0.07063 -0.19294 0.07805 0.1718
-0.01762 0.18252 -0.19434 -0.1311
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9758 0.038483 -1.081 -0.2049
0.6934 0.003482 -1.084 -0.5305
-0.6873 -0.000621 -1.064 -0.3108
rnd_95776.volume rnd_95787.volume
-7.707 -7.195
-6.728 -7.041
-8.536 -6.957
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.540 2.276 4.914 4.409 4.497 1.570 1.860 3.688 4.437 3.923 3.079
[2,] 3.547 2.277 5.167 4.874 4.948 1.571 1.889 3.690 4.876 4.939 3.490
[3,] 3.558 2.302 5.287 5.115 5.092 1.585 1.939 3.696 4.911 4.968 3.844
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.601 2.854 3.306 3.425 3.922 5.693 5.642 7.510 6.969 5.374 2.034
[2,] 3.299 3.024 3.543 3.688 4.052 6.008 6.384 8.080 7.574 5.533 2.158
[3,] 3.378 3.212 3.867 3.999 4.128 6.290 6.730 8.519 8.130 5.636 2.171
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 8.666 5.467 0.4306 4.920 5.231 0.8749 4.431 0.4589 4.615 1.310
[2,] 10.352 5.995 0.4507 5.152 5.743 0.9046 5.069 0.4854 5.113 1.390
[3,] 10.643 6.106 0.4753 5.473 6.140 0.9537 5.282 0.5089 5.362 1.445
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.7077 4.549 4.995 4.061 3.524 2.916 2.347 1.060 2.426 0.8452 2.338
[2,] 0.7586 4.716 5.255 4.188 3.559 3.497 2.381 1.073 2.449 0.8454 2.502
[3,] 0.7991 5.127 5.655 4.428 3.560 3.543 2.382 1.077 2.476 0.8476 2.573
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.537 3.713 1.468 3.508 4.027 5.482 3.070 4.703 4.606 1.697 3.687
[2,] 2.718 3.894 1.480 3.560 4.061 5.550 3.209 5.334 4.691 1.761 5.005
[3,] 2.800 4.115 1.484 3.642 4.202 5.661 3.242 5.429 4.859 1.773 5.236
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.192 2.742 1.661 3.176 0.7919 2.597 0.9562 2.303 2.506 3.093 3.418
[2,] 4.079 3.438 3.376 3.210 0.7958 2.731 0.9641 2.377 2.536 3.440 4.460
[3,] 4.425 4.152 4.010 3.212 0.7970 3.943 0.9884 2.618 2.570 3.500 4.509
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.205 3.009 1.926 2.764 1.334 3.331 3.660 4.727 4.382 5.990 5.759
[2,] 1.208 3.668 1.933 3.677 1.368 3.339 3.661 4.728 5.111 6.172 6.707
[3,] 1.211 3.885 1.939 4.035 1.382 3.361 3.685 4.745 5.130 6.516 6.904
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.872 1.066 2.850 2.888 2.898 1.940 2.014 0.9821 2.199 2.315 5.341
[2,] 5.228 1.081 5.199 2.924 3.726 1.981 2.160 0.9829 3.384 2.316 5.372
[3,] 5.560 1.086 6.003 2.931 5.168 2.030 2.228 0.9863 3.474 2.327 5.372
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.105 1.555 1.549 2.862 2.920 2.810 1.431 0.6915 1.294 13.51 5.024
[2,] 6.109 2.089 2.856 3.087 3.019 2.850 1.437 0.7194 1.391 14.15 5.300
[3,] 6.185 2.771 2.909 3.266 3.201 2.966 1.437 0.7777 1.447 14.79 5.781
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.495 2.89 6.24 5.599 5.71 1.994 2.362 4.683
[2,] 216.083 44.37 1516.14 1974.023 1961.13 54.834 316.700 134.900
[3,] 259.402 326.28 1064.27 1472.126 1141.19 195.705 413.274 198.658
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.634 4.981 3.91 3.302 3.624 4.198 4.349 4.98
[2,] 1920.077 2850.503 1560.26 1928.995 950.314 1210.100 1299.454 969.83
[3,] 556.481 508.881 1531.53 689.205 1029.041 1472.443 1468.116 750.08
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.229 7.165 9.537 8.85 6.824 2.583 11 6.943
[2,] 1822.734 2837.570 2832.220 2817.09 1250.978 684.297 5379 2335.819
[3,] 1769.203 2024.624 2564.368 2806.58 1020.415 231.437 2351 1099.469
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5468 6.248 6.643 1.111 5.627 0.5828 5.861 1.663
[2,] 126.4190 1451.680 2250.869 218.216 2338.044 150.1598 2091.305 441.481
[3,] 143.1984 1754.545 2062.728 287.139 1411.152 145.1400 1534.043 377.708
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.8987 5.776 6.343 5.156 4.475 3.703 2.98 1.346
[2,] 259.4261 1182.890 1550.353 975.023 469.650 1833.331 379.16 156.863
[3,] 238.5436 1911.945 1983.633 1363.916 84.321 543.314 82.28 94.402
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.08 1.073 2.969 3.222 4.715 1.864 4.454 5.114
[2,] 323.56 13.027 846.631 926.655 1113.575 176.764 575.091 500.564
[3,] 346.54 57.943 571.787 639.858 1264.533 110.254 729.046 1023.451
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.961 3.898 5.972 5.849 2.155 4.682 4.053 3.482
[2,] 824.776 889.221 2390.968 846.689 448.606 3215.263 2412.093 1970.181
[3,] 1057.766 434.521 958.591 1203.066 195.118 1459.968 1629.209 2212.161
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.109 4.033 1.006 3.298 1.214 2.924 3.182 3.928
[2,] 2792.409 442.641 74.485 800.994 116.670 561.504 371.279 1428.902
[3,] 2054.913 107.390 41.288 2702.461 207.003 1042.111 395.069 615.366
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.34 1.531 3.821 2.446 3.51 1.694 4.23 4.647
[2,] 2721.78 70.366 1992.904 153.029 2303.89 288.640 211.95 82.079
[3,] 630.65 91.172 1215.413 149.018 1578.01 188.848 362.73 403.025
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.003 5.564 7.606 7.313 3.647 1.354 3.619 3.667
[2,] 82.417 2499.880 1414.720 3264.379 4149.427 165.604 4130.525 436.781
[3,] 384.471 412.427 1984.700 1556.107 1798.960 104.144 2851.006 192.161
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.68 2.463 2.557 1.247 2.792 2.939 6.783 7.752
[2,] 2224.31 379.179 742.731 37.822 2443.075 71.957 543.712 221.241
[3,] 3402.28 424.401 518.297 78.199 746.536 214.102 23.263 917.882
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.975 1.966 3.635 3.708 3.568 1.817 0.8781 1.643
[2,] 1325.458 2279.896 1098.925 728.014 450.418 122.975 188.4769 483.613
[3,] 1728.601 524.931 1012.576 1010.464 782.519 21.977 280.6724 379.362
[,97] [,98]
[1,] 17.15 6.38
[2,] 4017.50 1603.71
[3,] 4092.20 2192.06
[1] "--- VAR model 2017-09-30 21:01:00 completed"
[1] "Completed training sample: 2017-09-30 21:01:00 - 2017-10-01 05:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 21:31:00 - 2017-10-01 05:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.2050 0.39772 -8.371 -9.951
0.7662 0.14869 -8.820 -9.380
0.3462 0.07002 -8.894 -9.198
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.421 0.08620 0.4707 0.0658
-9.018 0.08661 0.2100 0.1769
-8.109 0.06516 0.1246 0.1061
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.7386 2.0954 1.441 -2.800
-0.3271 0.1975 2.899 -1.789
0.3570 0.1792 1.576 -2.598
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.6731 -1.871 -1.996 2.929
0.7605 -1.618 -1.400 3.720
0.8786 -2.585 -2.079 3.026
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.043 2.5657 -0.2190 5.699
-2.630 0.5334 0.3845 4.783
-2.320 0.9605 -0.7343 4.439
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.731 1.8331 -22.19 -8.775
-8.031 0.1553 -18.27 -9.865
-7.828 0.2360 -17.59 -8.519
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.047383 -9.753 -9.916 -0.9355
-0.006447 -9.177 -9.406 -0.6301
-0.031132 -9.460 -8.814 -0.8168
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.241 -0.07467 -9.333 -2.862
-9.748 0.20416 -9.160 -2.994
-9.373 0.06852 -8.924 -2.920
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.511 -8.918 -10.389 -9.902
-1.646 -8.881 -9.428 -9.508
-1.749 -9.053 -9.253 -9.277
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.35472 -1.0520 0 0.20015
0.04873 -0.6080 0 0.12237
0.11489 -0.2862 0 0.01092
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -4.707 -5.954
0 0 -4.823 -6.187
0 0 -4.020 -6.112
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.62889 0.278356 -1.904 1.176
-0.16002 -0.044401 -1.763 1.701
0.03076 0.005778 -2.217 1.626
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.3836 -1.1029 -2.9203 0.5461
0.4809 0.7117 -2.5892 0.3792
0.6937 0.3158 0.7468 0.2193
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3857 -2.697 -1.530 -2.043
-0.2197 -1.408 -1.485 -1.272
-0.1260 -1.454 -1.565 -1.617
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.7937 0.07418 0 -2.387
-1.4594 0.07659 0 -1.189
-1.5969 0.04140 0 -1.908
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.01060 -1.2250 -0.11656 -0.5112
-0.04359 -0.3861 -0.07149 -1.3974
-0.02662 -0.7451 0.11131 -0.3215
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.5400 0.030560 -0.6091 0
-1.2061 0.049764 -1.9210 0
-0.3952 0.007716 -0.5230 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.2094 -0.27698 1.3605 1.4856
-0.8552 -0.07246 0.8410 1.0388
-1.0701 -0.18829 0.5126 0.5221
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.5699 3.354 4.391 8.096
0.3393 1.740 4.511 6.222
0.1236 1.015 3.975 5.110
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.639 0 9.830 0
4.265 0 6.715 0
3.631 0 5.219 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.116 0.9514 -0.3857 0
6.349 1.1837 -0.5856 0
4.143 0.8280 -0.6064 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.07056 0.32963 0.08008 -0.05166
-0.98468 0.13622 0.00667 -0.38201
-0.40847 0.05114 0.00288 -0.15369
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.13112 0.03108 0.2586 0.9291
0.09304 0.86959 0.6964 0.7148
0.70376 0.62059 0.6095 1.2205
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.8364 0 -0.6617 -0.2666
-0.2162 0 -0.7018 -0.5428
-0.4577 0 -0.7409 -0.4184
rnd_95776.volume rnd_95787.volume
-5.379 -9.830
-3.802 -10.060
-5.814 -8.598
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.380 2.129 4.449 3.837 4.132 1.497 1.711 3.508 4.146 3.754 3.184
[2,] 3.395 2.130 4.672 4.234 4.380 1.499 1.744 3.514 4.511 4.715 3.538
[3,] 3.404 2.159 4.762 4.524 4.677 1.514 1.782 3.521 4.552 4.752 3.849
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.788 2.838 3.008 3.071 3.692 5.059 5.395 7.379 7.193 5.165 2.151
[2,] 3.450 2.882 3.202 3.340 3.765 5.667 6.059 7.924 7.861 5.499 2.263
[3,] 3.554 3.029 3.544 3.722 3.844 6.081 6.411 8.360 8.476 5.565 2.272
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 7.538 5.056 0.4267 4.469 4.727 0.8398 3.514 0.4683 3.903 1.237
[2,] 9.855 5.175 0.4459 4.603 5.171 0.8709 4.221 0.4959 4.272 1.344
[3,] 10.264 5.633 0.4778 5.183 5.607 0.9155 4.553 0.5351 4.493 1.410
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.7139 3.975 4.505 3.573 3.304 2.600 2.165 0.9698 2.172 0.7904 2.022
[2,] 0.7768 4.091 4.818 3.694 3.336 3.212 2.223 0.9891 2.206 0.7908 2.219
[3,] 0.8201 4.329 5.113 3.944 3.336 3.251 2.223 0.9962 2.235 0.7919 2.286
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.139 3.388 1.342 2.940 3.830 5.325 2.828 4.176 4.262 1.591 3.476
[2,] 2.331 3.555 1.397 3.146 3.894 5.395 2.980 4.714 4.334 1.645 4.647
[3,] 2.533 3.729 1.411 3.222 4.033 5.591 3.053 4.823 4.528 1.655 4.811
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.032 2.622 1.563 2.944 0.7621 2.450 0.9257 2.134 2.233 2.780 3.258
[2,] 3.798 3.248 3.198 2.967 0.7661 2.531 0.9315 2.202 2.241 3.073 4.079
[3,] 4.036 3.864 3.759 2.968 0.7682 3.743 0.9439 2.450 2.262 3.118 4.155
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.133 2.766 1.658 2.295 1.256 3.168 3.452 4.465 3.994 5.766 5.276
[2,] 1.141 3.388 1.673 3.517 1.285 3.175 3.459 4.467 4.746 5.889 6.319
[3,] 1.144 3.571 1.702 3.719 1.298 3.199 3.472 4.495 4.767 6.205 6.506
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.291 0.9644 2.658 2.592 2.791 1.819 1.866 0.8827 2.003 2.126 5.104
[2,] 4.844 0.9814 5.119 2.620 3.300 1.839 1.981 0.8835 2.985 2.129 5.122
[3,] 5.214 0.9867 5.961 2.620 4.812 1.887 2.045 0.8839 3.103 2.148 5.125
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.736 1.484 1.455 2.585 2.696 2.574 1.301 0.6855 1.245 12.19 4.395
[2,] 5.739 1.803 2.645 2.759 2.785 2.610 1.312 0.7284 1.348 12.80 4.760
[3,] 5.826 2.595 2.694 2.923 2.999 2.734 1.314 0.7814 1.403 13.64 5.343
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.292 2.704 5.649 4.872 5.247 1.901 2.172 4.455
[2,] 289.264 59.217 1306.497 1638.227 1330.806 70.051 309.035 173.613
[3,] 236.756 322.852 844.199 1459.338 1502.708 196.952 337.832 209.679
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.264 4.767 4.043 3.541 3.604 3.819 3.9 4.688
[2,] 1628.021 2611.423 1412.314 1859.769 457.958 1006.948 1202.2 675.210
[3,] 562.516 541.183 1388.730 782.946 854.339 1389.455 1504.0 710.533
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.424 6.85 9.37 9.134 6.559 2.732 9.572 6.421
[2,] 2338.315 2526.09 2643.35 2903.623 1727.462 641.935 5811.748 1009.467
[3,] 2017.697 1916.40 2440.75 2901.516 782.079 192.171 2626.877 2036.824
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5418 5.675 6.002 1.066 4.462 0.5947 4.956 1.571
[2,] 118.7239 1008.001 1918.356 210.921 2140.630 149.2000 1590.235 482.311
[3,] 157.1026 2181.091 1986.156 258.571 1561.650 184.1515 1276.701 388.967
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.9065 5.048 5.721 4.537 4.196 3.302 2.75 1.232
[2,] 280.2891 884.737 1563.004 861.277 418.101 1726.654 460.16 177.723
[3,] 240.7308 1294.575 1567.600 1263.520 56.975 460.000 48.12 108.663
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.758 1.004 2.568 2.717 4.303 1.704 3.733 4.863
[2,] 353.903 22.597 835.421 847.490 983.180 356.824 1026.301 644.437
[3,] 327.162 38.955 504.565 907.614 1032.175 181.280 636.676 962.854
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.762 3.591 5.302 5.412 2.02 4.414 3.851 3.33
[2,] 790.971 859.466 2003.310 722.325 384.68 2823.209 2093.758 1754.10
[3,] 1343.813 608.192 931.970 1199.203 166.89 1140.198 1249.111 1916.85
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.985 3.738 0.9677 3.111 1.176 2.71 2.835 3.531
[2,] 2554.326 341.532 71.7913 582.973 94.608 497.42 176.263 1197.109
[3,] 1808.634 72.489 52.5048 2524.213 139.896 982.55 285.957 483.721
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.137 1.439 3.513 2.105 2.915 1.596 4.023 4.384
[2,] 2246.761 121.948 1791.326 204.652 2439.115 244.853 182.365 191.277
[3,] 727.184 77.760 1031.514 287.138 1107.205 169.056 360.152 275.432
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.669 5.072 7.322 6.7 2.909 1.225 3.375 3.291
[2,] 130.059 2347.162 1093.638 3183.4 3908.201 166.505 4005.658 348.816
[3,] 458.267 405.896 1789.382 1418.5 1764.014 94.000 2795.205 50.967
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.544 2.31 2.37 1.121 2.543 2.70 6.481 7.284
[2,] 1611.338 251.37 609.13 34.453 2026.531 95.76 389.250 168.672
[3,] 3206.531 386.55 464.39 25.214 774.878 267.12 168.140 917.257
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.884 1.847 3.282 3.424 3.269 1.652 0.8705 1.581
[2,] 937.730 2022.976 883.738 638.640 394.818 150.842 225.4692 473.856
[3,] 1708.367 465.968 882.749 1018.117 746.400 70.240 259.0243 355.752
[,97] [,98]
[1,] 15.48 5.581
[2,] 3588.08 1674.574
[3,] 4319.13 2221.052
[1] "--- VAR model 2017-09-30 21:31:00 completed"
[1] "Completed training sample: 2017-09-30 21:31:00 - 2017-10-01 05:30:00"
[1] "SpVAR; CCF training sample: 2017-09-30 22:01:00 - 2017-10-01 06:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.927 0.47640 -10.179 -10.07
4.423 0.23833 -10.415 -11.01
3.647 0.08079 -9.665 -10.38
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.38 0 0.7762 0.23635
-10.25 0 0.3233 0.27476
-10.38 0 0.2128 -0.03639
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.5139 -1.2542 -0.8900 -4.094
-0.2728 0.8782 -0.5994 -2.875
0.3123 0.1326 -0.7874 -2.343
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9454 0.3991 0.9948 5.587
0.9839 -1.8911 -1.6666 6.342
0.4471 -1.9831 -1.0282 6.038
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.958 6.765 6.281 10.126
6.213 6.464 7.345 9.332
4.593 3.413 6.598 9.711
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.995 0.13694 -23.80 -9.707
-9.405 0.05416 -22.10 -9.902
-9.159 0.28123 -19.99 -9.632
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2953 -12.09 -12.151 -0.5356
-0.4530 -10.97 -10.378 -0.4743
-0.2866 -10.75 -9.768 -0.8071
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.17 -0.3020 -10.84 -3.613
-11.78 -0.2618 -10.33 -3.762
-10.84 -0.2992 -10.24 -3.734
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.936 -11.63 -11.86 -11.32
-2.171 -10.99 -10.77 -10.67
-2.154 -10.65 -10.53 -10.29
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8798 -0.08178 -0.007932 0.14684
0.5430 -0.14060 -0.029915 0.09450
0.4465 -0.64724 -0.007139 0.03704
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3217 0.041938 -4.628 -6.525
0.3127 -0.002170 -5.333 -6.745
0.1324 0.002319 -4.839 -6.902
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.193 0.8076 -2.151 0.7104
2.235 0.6042 -3.173 0.7267
2.203 0.6925 -2.484 1.1962
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.271 -0.24851 -0.6126 0.4609
1.102 0.71105 -0.2762 0.3925
1.003 0.05354 0.3271 0.8270
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1041 -0.1238 -0.64106 -0.9431
-0.1560 -0.6052 0.14808 0.3045
0.1409 0.9245 0.03742 -0.4321
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.34608 0.4587 0 1.3764
-0.49656 0.1538 0 -1.9790
0.01705 0.2199 0 0.1903
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.028331 -0.3932 0.2634 -0.3627
-0.003430 -0.7830 0.2058 -0.0143
-0.006616 -0.5841 0.1091 -1.3523
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.4197 -0.01994 -1.9264 0.16203
0.3130 -0.03144 0.3906 0.20720
-0.3495 0.07981 0.5424 0.03533
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.9530 0.52031 3.999 3.990
-0.5740 -0.04472 3.454 4.072
0.2498 0.25497 2.785 2.815
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.8894 9.274 7.889 13.97
1.0764 5.725 8.007 10.95
0.1741 4.911 6.032 10.32
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.821 0 7.940 -0.015417
9.388 0 13.187 0.052695
8.218 0 9.701 0.006532
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.352 1.7194 -0.2276 0.08180
14.163 0.8393 0.1442 0.05229
9.731 1.7345 -0.0775 0.04635
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.0389 0.49448 0.40900 0.95919
-0.4950 0.15390 -0.10642 -0.09196
0.2155 0.07726 0.02495 -0.15168
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.0000 0.8685 0 0.2715
0.6221 0.1457 0 0.3641
0.1094 0.3673 0 0.3524
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5702 0.19839 -1.190 -0.3353
-0.4927 -0.09343 -1.227 -0.4658
-0.3072 -0.03118 -1.259 -0.2124
rnd_95776.volume rnd_95787.volume
-3.934 -10.913
3.352 -10.371
-2.062 -9.577
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.351 1.924 3.449 3.601 3.565 1.375 1.673 3.361 3.899 3.467 3.089
[2,] 3.453 1.931 3.656 4.341 3.885 1.391 1.703 3.361 4.361 4.378 3.355
[3,] 3.489 1.948 3.790 4.487 4.092 1.413 1.747 3.364 4.416 4.405 3.650
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.398 2.551 2.620 2.820 3.494 4.648 4.601 6.753 6.603 4.163 2.126
[2,] 3.135 2.643 2.841 3.059 3.545 4.983 5.355 7.195 7.159 4.480 2.229
[3,] 3.242 2.770 3.135 3.316 3.612 5.317 6.093 7.614 7.649 4.587 2.241
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.113 4.139 0.3970 4.230 3.909 0.7946 2.989 0.4301 3.525 1.144 0.6222
[2,] 7.916 4.740 0.4111 4.387 4.335 0.8376 3.843 0.4617 3.722 1.235 0.6652
[3,] 8.194 4.909 0.4265 4.743 4.685 0.8731 4.024 0.4827 3.901 1.281 0.6973
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.513 3.688 2.907 3.042 2.425 1.875 0.8593 1.981 0.7469 1.530 1.858
[2,] 3.645 3.968 3.178 3.074 2.878 1.925 0.8652 2.007 0.7479 1.600 1.896
[3,] 4.034 4.232 3.369 3.086 2.926 1.930 0.8688 2.031 0.7491 1.678 2.073
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.082 1.310 2.693 3.703 5.085 2.563 3.759 3.677 1.503 3.146 2.714
[2,] 3.242 1.358 2.899 3.741 5.117 2.594 4.292 3.789 1.551 4.113 3.334
[3,] 3.389 1.373 3.031 3.931 5.187 2.776 4.385 3.855 1.560 4.308 3.523
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.608 1.399 2.808 0.7261 2.288 0.8608 1.990 1.943 2.380 3.291 1.072
[2,] 2.991 2.837 2.830 0.7314 2.388 0.8671 2.021 1.949 2.593 3.652 1.079
[3,] 3.431 3.209 2.833 0.7326 3.396 0.8901 2.252 1.966 2.671 3.769 1.082
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.463 1.517 2.095 1.213 3.196 3.406 4.159 3.783 5.249 4.992 2.350
[2,] 2.849 1.537 3.137 1.236 3.248 3.482 4.163 4.785 5.389 5.806 4.441
[3,] 2.964 1.569 3.272 1.244 3.325 3.522 4.210 4.846 5.777 6.087 4.861
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8837 2.365 2.418 2.611 1.673 1.790 0.8335 1.944 1.927 4.687 5.220
[2,] 0.8947 4.735 2.436 3.214 1.695 1.920 0.8343 2.780 1.931 4.711 5.245
[3,] 0.8994 5.450 2.436 4.533 1.766 1.994 0.8353 2.857 1.950 4.734 5.288
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.094 1.208 2.125 2.099 2.200 1.174 0.6433 1.201 11.36 4.287
[2,] 1.486 2.192 2.267 2.175 2.227 1.180 0.6720 1.286 12.13 4.601
[3,] 2.050 2.220 2.346 2.305 2.394 1.181 0.7175 1.325 12.55 5.135
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.255 2.443 4.38 4.572 4.527 1.746 2.124 4.268
[2,] 838.362 168.236 1216.04 2432.906 1548.627 213.700 322.846 9.964
[3,] 499.442 257.964 1001.00 1141.080 1291.818 248.900 387.861 134.315
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.951 4.402 3.923 3.045 3.239 3.327 3.581 4.436
[2,] 1960.229 2682.665 1314.121 2025.808 696.218 1102.797 1191.285 606.151
[3,] 695.860 494.474 1442.337 829.617 830.227 1330.727 1284.264 693.376
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.902 5.843 8.575 8.385 5.286 2.7 7.762 5.256
[2,] 1804.595 2749.150 2492.708 2774.874 1661.660 670.0 5047.475 2318.212
[3,] 1859.380 2916.161 2499.650 2704.876 989.958 237.6 2125.217 1279.764
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5041 5.371 4.963 1.009 3.796 0.5462 4.476 1.453
[2,] 107.0958 1167.131 1880.139 265.939 2424.561 168.2708 1199.303 466.888
[3,] 114.1902 1810.122 1783.186 247.129 1196.524 141.4633 1171.084 341.255
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.7901 4.461 4.683 3.692 3.863 3.08 2.381 1.091
[2,] 236.2271 976.494 1468.698 1289.257 440.052 1555.03 438.929 101.478
[3,] 210.0003 1732.868 1478.369 1120.951 279.315 528.21 140.289 78.540
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.516 0.9485 1.942 2.36 3.913 1.664 3.42 4.702
[2,] 319.844 38.7991 470.943 376.46 1010.925 358.992 1078.26 535.899
[3,] 310.882 41.4505 506.037 840.87 990.357 203.585 886.97 1211.564
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.457 3.254 4.774 4.669 1.908 3.995 3.446 3.312
[2,] 574.782 404.253 2077.445 921.026 384.711 2658.910 1943.411 1468.633
[3,] 852.122 990.201 905.176 708.281 166.950 1287.231 1142.581 1686.928
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.776 3.566 0.922 2.906 1.093 2.527 2.468 3.023
[2,] 2477.459 348.416 88.674 687.361 104.593 351.032 152.678 1032.284
[3,] 1504.139 144.017 42.742 2422.826 201.748 997.867 256.081 644.221
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.179 1.361 3.127 1.926 2.66 1.54 4.058 4.325
[2,] 1589.853 129.536 1436.713 246.689 2343.76 238.77 582.062 728.260
[3,] 933.496 75.482 821.887 315.455 931.73 136.20 714.880 528.437
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.281 4.804 6.665 6.339 2.984 1.122 3.004 3.07
[2,] 175.144 2940.381 1224.572 2975.772 3781.917 140.654 4116.411 295.33
[3,] 628.058 772.692 2089.762 1834.388 1984.685 91.672 2708.727 17.41
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.316 2.124 2.272 1.058 2.469 2.448 5.951 6.628
[2,] 1880.447 274.440 696.993 34.834 1994.477 117.723 483.361 517.361
[3,] 3208.023 499.625 542.188 42.347 662.216 272.777 462.368 675.929
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.389 1.535 2.699 2.665 2.793 1.491 0.8169 1.526
[2,] 1008.436 1835.480 791.343 571.841 346.142 116.878 194.7769 460.778
[3,] 1418.310 354.523 607.799 766.767 882.852 55.053 252.4975 317.955
[,97] [,98]
[1,] 14.42 5.444
[2,] 4269.79 1677.015
[3,] 3246.45 2288.419
[1] "--- VAR model 2017-09-30 22:01:00 completed"
[1] "Completed training sample: 2017-09-30 22:01:00 - 2017-10-01 06:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 22:31:00 - 2017-10-01 06:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.627 0.3830 -19.37 -22.40
9.844 0.2107 -18.81 -18.83
9.368 0.3218 -20.41 -19.16
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.46 0 0.8808 0.7349
-20.28 0 0.6448 0.2309
-18.47 0 0.3824 -0.1743
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.0864 -2.7039 3.686 -5.076
1.3975 1.3645 2.337 -5.522
-0.6648 -0.2847 3.432 -5.091
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9672 -1.761 -1.125 7.278
0.1804 -4.401 -3.490 8.598
0.7783 -2.127 -1.581 9.385
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.207 6.942 9.243 18.47
7.573 7.104 9.172 16.41
7.940 5.392 11.267 19.61
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-17.98 -0.3922 -47.31 -19.10
-16.95 -1.3086 -36.78 -20.34
-17.81 -1.2310 -36.82 -18.82
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9370 -19.15 -20.93 -2.157
-0.9219 -19.06 -24.55 -2.503
-0.9013 -19.83 -21.57 -2.763
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-23.80 -0.8419 -21.77 -6.070
-20.25 -0.7841 -19.69 -6.278
-20.78 -0.8212 -20.84 -6.737
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.818 -17.86 -18.40 -19.03
-4.777 -22.44 -20.34 -16.98
-4.716 -19.93 -19.44 -19.74
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6371 3.229 0.07888 0.03953
0.4559 1.395 0.01995 0.07100
0.3521 -1.494 0.00823 0.01210
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5451 0 -9.692 -11.43
0.3566 0 -9.892 -12.61
0.2011 0 -9.531 -12.15
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.129 3.801 -6.105 2.091
4.516 2.885 -4.929 2.280
4.024 4.176 -4.415 3.233
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.625 -0.05783 -1.1642 0.03110
1.790 -0.78057 1.3555 1.08145
1.138 -0.54165 -0.2552 0.06128
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.23004 0.9777 1.787 -2.6880
0.61170 1.2169 0.593 0.4356
-0.06837 0.1208 1.598 0.9402
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.4505 0.22514 0 4.083
1.1630 0.06371 0 -4.775
0.6614 0.02581 0 1.364
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.27149 1.988 -0.004710 -1.303
0.66877 -1.158 -0.023539 1.670
0.07772 -1.569 0.001121 -2.121
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.6437 -0.09595 -1.93317 0.15570
1.5566 -0.13936 0.09688 0.03721
-1.5655 -0.10861 0.47822 0.02997
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.6132 -0.03319 11.37 10.70
-0.6312 -0.30030 12.05 10.00
0.3715 -0.07938 11.33 10.52
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.880 21.39 11.38 26.88
5.603 15.99 11.85 23.63
6.300 16.62 12.20 22.91
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
23.06 0.1629 23.29 2.481
20.42 0.1409 22.81 2.420
17.40 0.1190 20.23 2.573
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
23.12 1.982 0.8307 0.18140
22.45 2.411 -0.3034 0.15343
21.00 2.429 0.4325 0.09605
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.2405 0.2176 -0.01672 1.1209
2.2231 0.2535 -0.21767 0.5895
0.5507 0.1669 -0.02108 0.3164
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.2350 0.3533 -1.427 -0.8655
-0.2197 0.1808 -1.614 -0.1816
-1.3931 0.1885 -1.573 -0.2847
rnd_95776.volume rnd_95787.volume
13.2128 -18.99
0.8803 -21.46
1.6680 -19.17
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.025 1.772 3.193 3.002 2.749 1.273 1.595 3.196 3.645 3.219 2.807
[2,] 3.233 1.772 3.363 3.272 2.957 1.288 1.612 3.196 4.125 4.158 3.111
[3,] 3.334 1.797 3.462 3.443 3.120 1.308 1.654 3.210 4.179 4.185 3.364
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.355 2.335 2.681 2.697 3.265 3.810 3.105 4.616 5.228 3.434 2.166
[2,] 3.055 2.409 2.912 2.940 3.294 4.115 4.359 5.232 5.422 3.553 2.258
[3,] 3.149 2.497 3.189 3.223 3.317 4.394 4.516 5.459 5.666 3.655 2.268
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.079 2.872 0.3911 2.745 3.242 0.7717 2.542 0.4236 2.876 1.129 0.5848
[2,] 6.613 3.027 0.4051 2.922 3.302 0.8033 2.930 0.4590 3.110 1.196 0.6309
[3,] 6.867 3.243 0.4175 3.125 3.764 0.8324 3.045 0.4774 3.261 1.250 0.6606
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.869 2.832 2.624 2.807 2.337 1.793 0.7918 1.797 0.7063 1.152 1.517
[2,] 2.965 3.131 2.869 2.846 2.759 1.851 0.8004 1.823 0.7063 1.223 1.588
[3,] 3.070 3.277 2.987 2.875 2.821 1.861 0.8019 1.864 0.7069 1.331 1.736
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.902 1.232 2.508 3.069 4.672 2.681 3.358 3.470 1.443 3.059 2.483
[2,] 2.988 1.265 2.535 3.069 4.736 2.697 3.820 3.596 1.484 3.710 2.965
[3,] 3.116 1.318 2.616 3.124 4.780 2.701 3.864 3.650 1.492 3.871 3.186
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.380 1.340 2.555 0.6661 2.226 0.8200 1.906 1.688 2.051 3.045 1.005
[2,] 2.866 2.641 2.572 0.6714 2.302 0.8234 1.934 1.691 2.301 3.358 1.009
[3,] 3.199 2.946 2.573 0.6779 3.229 0.8434 2.109 1.694 2.345 3.389 1.019
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.385 1.413 2.046 1.139 3.018 3.226 3.766 3.493 5.143 4.371 2.474
[2,] 2.686 1.438 2.998 1.158 3.109 3.367 3.766 4.507 5.303 5.020 4.246
[3,] 2.740 1.461 3.125 1.164 3.300 3.466 3.836 4.604 5.626 5.164 4.673
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8244 2.327 2.217 2.409 1.603 1.676 0.7919 1.836 1.720 4.304 5.099
[2,] 0.8352 4.097 2.223 3.157 1.622 1.797 0.7924 2.579 1.726 4.317 5.099
[3,] 0.8433 4.651 2.223 4.203 1.662 1.868 0.7943 2.698 1.746 4.331 5.180
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9602 0.9205 1.772 1.812 2.104 1.058 0.5985 1.117 9.708 3.034
[2,] 1.2307 1.7686 1.840 1.842 2.140 1.070 0.6294 1.178 10.461 3.091
[3,] 1.7337 1.7805 1.857 1.890 2.239 1.070 0.6657 1.205 10.575 3.350
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.842 2.25 4.055 3.812 3.49 1.617 2.025 4.058
[2,] 973.316 29.86 900.139 1111.593 930.13 167.180 203.261 46.853
[3,] 694.684 250.53 702.678 914.809 851.69 193.905 316.502 247.187
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.629 4.088 3.564 2.99 2.965 3.405 3.425 4.147
[2,] 1648.051 2247.808 1146.415 1662.44 505.966 969.871 998.452 367.109
[3,] 570.676 405.144 1091.476 651.95 561.286 1109.584 1127.170 334.247
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.838 3.943 5.861 6.639 4.361 2.751 6.45 3.647
[2,] 1328.623 2611.911 2103.482 1226.674 778.348 543.287 3616.08 817.868
[3,] 1314.037 1008.635 1331.104 1406.659 731.522 188.109 1580.34 992.418
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4967 3.485 4.117 0.98 3.228 0.5379 3.652 1.434
[2,] 90.0464 856.984 534.992 190.32 1243.716 151.0666 1010.765 336.493
[3,] 86.0593 945.506 1542.732 186.30 708.729 112.0543 837.978 311.194
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.7426 3.643 3.596 3.333 3.564 2.968 2.277 1.005
[2,] 202.0999 639.470 1140.618 989.689 401.604 1251.917 393.347 100.371
[3,] 167.1377 681.385 824.611 709.504 346.259 501.280 161.326 41.631
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.282 0.8969 1.463 1.926 3.685 1.564 3.184 3.897
[2,] 261.593 0.8392 350.786 401.397 607.187 245.800 317.091 5.309
[3,] 332.068 25.7538 448.504 598.501 753.679 316.600 553.264 499.206
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.933 3.404 4.264 4.406 1.832 3.885 3.153 3.022
[2,] 663.281 254.519 1554.587 805.621 297.644 1792.609 1382.503 1363.570
[3,] 553.363 127.876 497.137 538.567 130.749 943.949 996.311 1212.335
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.701 3.244 0.8458 2.827 1.041 2.42 2.144 2.604
[2,] 1943.365 253.299 71.7900 498.343 63.367 283.65 83.761 890.262
[3,] 1114.165 70.429 80.0109 1933.738 156.083 717.94 80.322 388.864
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.867 1.276 3.028 1.794 2.598 1.446 3.832 4.097
[2,] 1207.279 82.321 1055.767 226.306 1870.826 177.739 640.312 821.372
[3,] 391.458 119.563 461.688 220.630 753.943 106.452 943.270 702.534
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.782 4.435 6.531 5.55 3.142 1.047 2.954 2.815
[2,] 47.615 2432.016 1101.272 2108.08 2946.147 114.692 2879.370 143.476
[3,] 621.893 801.192 1605.223 1033.01 1666.817 99.159 1879.939 9.352
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.059 2.036 2.129 1.006 2.332 2.184 5.466 6.475
[2,] 1741.660 210.156 552.822 23.116 1546.401 120.480 283.080 10.847
[3,] 2368.708 308.330 436.820 47.402 677.283 224.866 290.703 776.995
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.219 1.169 2.251 2.301 2.672 1.343 0.76 1.419
[2,] 657.255 1289.398 421.962 279.625 333.443 140.614 166.30 318.162
[3,] 1042.644 175.384 214.515 364.151 562.844 3.135 185.24 217.707
[,97] [,98]
[1,] 12.33 3.853
[2,] 3327.32 503.178
[3,] 1326.45 1102.595
[1] "--- VAR model 2017-09-30 22:31:00 completed"
[1] "Completed training sample: 2017-09-30 22:31:00 - 2017-10-01 06:30:00"
[1] "SpVAR; CCF training sample: 2017-09-30 23:01:00 - 2017-10-01 07:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
13.69 0.7361 -17.04 -18.18
11.82 0.7102 -15.34 -17.77
13.48 0.3238 -16.43 -17.92
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.22 0 0.7860 0.9099
-17.32 0 0.4000 0.3535
-16.16 0 0.2234 0.9425
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.31499 9.307 2.801 1.7010
0.18136 -1.075 2.025 0.3783
0.02626 1.251 1.718 0.2353
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.4798 -1.925 -2.058 6.395
0.4151 -1.202 3.341 7.554
0.3046 -2.291 -1.349 8.991
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.579 15.73 11.96 15.09
11.267 5.99 13.36 24.26
11.881 8.58 12.03 16.72
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-19.63 -1.0389 -41.02 -20.03
-17.38 -1.0956 -37.25 -18.82
-17.35 -0.8563 -33.67 -18.05
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.118 -18.54 -19.30 -2.876
-1.116 -18.88 -20.49 -2.601
-1.085 -18.05 -19.33 -2.728
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.27 -1.1961 -20.93 -5.869
-18.74 -0.8333 -18.15 -5.660
-18.87 -0.8467 -19.22 -5.675
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.232 -18.89 -18.12 -20.55
-3.077 -17.21 -18.32 -18.26
-3.127 -18.18 -16.63 -18.43
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.7620 7.672 1.2958 0.17236
0.7800 1.734 0.5653 0.02055
0.4136 2.053 0.2247 0.01522
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.8294 0.12480 -9.850 -10.61
0.5274 0.11743 -9.677 -10.87
0.3285 0.06266 -9.576 -10.33
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.193 3.547 -5.460 0.8119
6.453 3.172 -4.250 1.5962
5.354 3.762 -4.511 1.6316
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.327 0.9308 0.6615 0.9955
7.351 1.4628 0.4036 0.7456
6.356 0.9374 0.9974 0.8810
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.51533 1.5847 2.602 0.1899
0.07947 -0.1441 1.380 1.8205
0.26639 1.1784 0.998 0.2971
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.507 -0.02656 0.20699 3.667
2.020 0.01008 0.38724 1.777
1.025 -0.02056 0.07382 2.197
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.39549 2.9331 0.09688 3.2443
0.07459 0.5757 0.05693 0.8251
0.08100 -0.2742 0.04281 0.9517
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.002932 0.004096 -2.7739 0.4142
1.948861 -0.002317 2.9261 0.2847
0.161521 0.113814 -0.8389 0.1705
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.336 0.1094 7.442 13.21
2.444 -0.2388 8.429 12.31
1.126 0.3903 7.769 12.98
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.043 15.22 14.88 21.53
5.561 15.48 16.00 21.03
3.871 14.74 14.71 20.14
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
21.69 0.1409 21.25 3.098
18.71 0.1568 20.02 3.383
19.22 0.1674 19.03 2.482
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.69 -0.5198 0.42533 0.4247
20.79 -0.3863 0.02162 0.3883
17.93 -0.1770 0.11560 0.2797
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.745 0.7381 -0.2757 2.297
3.803 0.5949 0.6043 1.967
1.650 0.3028 -0.2047 1.114
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.05338 0.9036 0 -0.01233
0.60111 -0.1023 0 0.13540
-0.12910 0.1447 0 0.08677
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.866 0.1727 -1.389 -0.4758
1.619 0.2140 -1.406 -0.2012
-0.393 0.1208 -1.555 -0.3022
rnd_95776.volume rnd_95787.volume
0.6634 -19.25
6.3498 -18.90
4.4437 -16.80
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.920 1.700 2.799 2.399 2.157 1.057 1.519 3.189 4.024 3.123 2.631
[2,] 3.116 1.701 2.919 2.767 2.261 1.062 1.539 3.191 4.026 4.046 3.020
[3,] 3.288 1.728 3.096 2.933 2.466 1.066 1.578 3.195 4.044 4.075 3.174
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.807 2.258 2.785 2.428 3.119 3.291 2.346 3.593 4.607 3.036 1.779
[2,] 3.363 2.276 3.046 2.763 3.135 3.784 3.621 4.714 4.925 3.342 1.805
[3,] 3.538 2.326 3.235 3.083 3.152 4.144 3.951 4.891 5.075 3.529 1.831
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.387 2.471 0.3861 2.385 2.654 0.7515 1.986 0.4052 2.172 1.083 0.6098
[2,] 5.923 2.807 0.3998 2.531 2.808 0.7813 2.338 0.4379 2.378 1.149 0.6489
[3,] 6.288 3.059 0.4134 2.793 3.145 0.8148 2.466 0.4520 2.529 1.212 0.6924
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.299 2.275 2.260 2.659 2.215 1.736 0.7784 1.656 0.6295 1.061 1.097
[2,] 2.369 2.373 2.391 2.722 2.656 1.814 0.7839 1.683 0.6318 1.135 1.302
[3,] 2.640 2.527 2.484 2.738 2.711 1.829 0.7869 1.733 0.6359 1.236 1.346
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.595 1.237 2.391 2.992 4.130 2.390 3.242 3.416 1.418 2.774 2.447
[2,] 2.627 1.346 2.449 3.016 4.155 2.399 3.806 3.534 1.464 3.412 2.870
[3,] 2.703 1.371 2.519 3.161 4.164 2.585 3.830 3.581 1.475 3.603 3.161
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.294 1.315 2.428 0.6546 2.028 0.7788 1.878 1.586 1.891 2.854 0.9449
[2,] 2.665 2.562 2.447 0.6606 2.105 0.7819 1.907 1.586 2.168 3.192 0.9511
[3,] 3.059 2.868 2.450 0.6654 2.864 0.7966 2.095 1.589 2.206 3.207 0.9583
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.251 1.323 2.005 1.044 2.777 2.969 3.701 3.530 4.801 4.216 2.594
[2,] 2.581 1.356 2.851 1.075 2.899 3.099 3.726 4.323 4.952 4.773 4.139
[3,] 2.644 1.388 3.027 1.085 3.006 3.214 3.790 4.485 5.335 5.023 4.454
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7767 2.369 2.183 2.453 1.734 1.657 0.7764 1.776 1.666 4.113 4.810
[2,] 0.7844 3.953 2.195 3.117 1.752 1.753 0.7771 2.407 1.673 4.114 4.811
[3,] 0.7938 4.415 2.199 4.059 1.773 1.824 0.7842 2.538 1.701 4.133 4.970
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7954 0.7854 1.240 1.314 2.088 1.044 0.5549 1.108 9.798 2.640
[2,] 1.0032 1.2964 1.246 1.315 2.124 1.055 0.5882 1.163 10.536 2.809
[3,] 1.2934 1.3012 1.250 1.327 2.262 1.055 0.6168 1.188 10.762 2.909
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.708 2.158 3.554 3.047 2.739 1.342 1.929 4.05 5.11
[2,] 787.742 40.706 601.121 996.857 490.035 72.604 178.685 69.67 95.23
[3,] 758.081 219.994 744.727 702.190 711.732 71.219 250.434 118.19 273.45
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.966 3.341 3.565 2.868 3.537 3.084 3.961 4.179
[2,] 1859.322 1072.507 1339.398 203.231 890.938 953.285 232.196 1350.743
[3,] 353.644 705.559 794.411 346.791 789.711 988.629 230.870 1221.115
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.979 4.562 5.851 3.855 2.26 5.571 3.138 0.4903
[2,] 1994.634 2206.466 1258.506 1010.700 218.94 2877.131 962.398 75.2028
[3,] 1142.741 945.003 884.115 818.420 223.81 1528.207 878.841 75.8965
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.029 3.371 0.9543 2.522 0.5146 2.758 1.376 0.7744
[2,] 612.416 662.920 154.4865 892.105 119.9205 700.907 275.893 160.3865
[3,] 853.213 1023.608 167.3124 566.295 81.1876 621.432 279.828 174.6936
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.92 2.889 2.87 3.376 2.813 2.205 0.9884 2.103
[2,] 412.04 488.523 564.52 421.237 1059.674 379.470 67.1218 217.395
[3,] 842.86 628.128 487.16 216.836 392.316 169.661 49.7049 298.105
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.7994 1.348 1.392 3.296 1.571 3.037 3.799 5.244
[2,] 38.9290 289.936 507.013 293.687 383.199 383.770 277.409 333.441
[3,] 51.9280 353.795 247.256 462.110 191.104 424.616 682.445 192.712
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.036 4.117 4.338 1.8 3.522 3.107 2.914 1.67
[2,] 150.000 1440.929 654.576 265.0 1436.698 1084.158 980.212 1590.20
[3,] 694.983 308.475 418.473 128.4 837.531 958.199 1085.821 931.08
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.083 0.8313 2.575 0.9889 2.385 2.014 2.401 3.625
[2,] 221.442 64.0541 407.694 50.3976 239.951 20.144 767.517 1032.559
[3,] 78.368 57.6596 1404.517 110.3467 625.855 67.605 293.814 226.579
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.20 2.859 1.68 2.547 1.325 3.526 3.77 4.7 4.483
[2,] 78.53 913.017 214.36 1465.253 186.974 601.798 642.22 312.6 1804.751
[3,] 84.76 414.913 215.18 734.659 103.684 577.136 616.18 499.0 861.589
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.097 5.354 3.295 0.9863 3.009 2.773 3.114 2.202
[2,] 876.191 1618.255 2331.691 79.1254 2287.823 165.085 1391.108 181.627
[3,] 1436.108 1130.621 1190.646 88.0599 1421.488 85.141 1879.819 197.788
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.104 0.986 2.255 2.115 5.223 6.108 1.01 0.9973
[2,] 415.027 23.739 1174.336 116.050 74.814 49.621 442.03 745.7489
[3,] 364.480 75.973 582.426 222.207 284.795 903.563 590.32 80.8112
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.575 1.669 2.651 1.326 0.7046 1.408 12.44 3.352
[2,] 90.884 11.797 283.862 108.964 141.1092 254.892 2801.72 694.199
[3,] 73.054 128.698 560.937 26.470 134.1662 176.632 1584.85 546.187
[1] "--- VAR model 2017-09-30 23:01:00 completed"
[1] "Completed training sample: 2017-09-30 23:01:00 - 2017-10-01 07:00:00"
[1] "SpVAR; CCF training sample: 2017-09-30 23:31:00 - 2017-10-01 07:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
11.477 0.1899 -24.35 -23.38
9.614 0.4285 -24.70 -23.01
8.384 0.3195 -23.75 -23.31
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.67 0 0.8917 0.2294
-23.22 0 0.7939 -0.2235
-22.35 0 0.7605 -0.3982
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.38237 -1.7263 -1.4255 -9.860
-0.42733 -0.1320 -0.4114 -5.833
0.00614 -0.3142 -0.9393 -6.202
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2766 -3.665 -2.279 7.638
0.5323 -3.546 -3.246 8.184
0.3708 -3.579 -2.221 4.369
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.989 9.147 6.984 16.88
5.206 6.566 10.511 15.61
-1.129 5.627 6.409 14.66
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-23.54 -1.350 -48.03 -23.01
-23.78 -1.422 -49.31 -23.79
-23.32 -1.343 -50.40 -23.72
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.628 -21.79 -26.96 -3.592
-1.667 -23.12 -24.76 -3.544
-1.553 -23.39 -26.10 -3.238
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-24.25 -1.164 -24.84 -7.473
-24.57 -1.413 -24.32 -7.827
-24.05 -1.451 -23.04 -7.861
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.583 -22.86 -24.42 -22.65
-3.970 -23.48 -23.10 -23.32
-3.846 -23.34 -22.61 -22.77
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.00007125 -2.981 0.0411 -0.02900
0.80999549 -2.271 0.2025 0.11852
0.04956619 -1.639 0.0584 0.01296
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.8244 0.09379 -13.75 -14.84
0.1899 0.15796 -13.69 -15.00
0.1883 0.07116 -13.58 -14.58
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.939 1.393 -7.760 3.586
2.783 3.056 -7.437 2.232
3.393 2.043 -8.249 1.911
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.867 1.56845 -4.473 1.650
3.161 -0.32911 -1.900 1.289
6.556 -0.05155 -3.154 1.192
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.00226 -0.6124 0.454 -0.07452
-0.13973 -2.1761 -3.127 -1.09321
-0.27094 -2.0837 -1.261 -1.52544
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.3100 0.15629 0.6474 -5.4833
0.3406 0.13542 0.3994 -1.7246
-2.9005 0.02682 0.3189 -0.1121
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.15176 -2.7330 0.12166 1.133
0.08123 -2.6705 0.02382 -3.220
0.03356 -0.8792 0.01558 -1.208
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.012 -0.2540 -0.7913 1.1765
-2.380 -0.1357 -1.3262 1.2094
-1.718 -0.1364 -2.8758 0.8993
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.010 -0.4339 7.153 14.933
1.146 -0.1045 8.816 9.848
-2.844 -0.1565 7.894 8.225
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.603 18.571 12.97 22.10
2.841 9.881 10.47 15.65
5.306 13.337 11.30 15.18
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.807 -0.071816 2.504 3.310
22.381 0.062628 21.719 3.181
13.333 -0.003597 14.406 4.330
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.275 -1.7509 0.4640 -0.29215
9.099 -1.3351 -0.6048 -0.13129
22.195 -0.9074 -0.2465 -0.05887
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.0644 0.12452 0.0295 -1.7418
-0.6625 0.02015 0.1835 -1.1926
-1.8743 0.01180 -0.0172 -0.6019
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.1891 -0.66916 0.29219 0.20865
-0.3990 0.40769 0.11825 -0.06854
0.2312 0.01209 0.04387 0.02742
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.07668 -0.17701 -1.716 0.4364
-1.75130 -0.11143 -1.581 -0.2855
-0.08495 -0.03117 -1.610 -0.3963
rnd_95776.volume rnd_95787.volume
-1.738 -23.00
-6.701 -23.26
-0.668 -22.50
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.889 1.603 2.170 1.655 1.956 0.9597 1.463 3.178 4.061 3.067 2.522
[2,] 3.046 1.605 2.289 1.881 2.065 0.9604 1.490 3.180 4.061 3.904 2.943
[3,] 3.185 1.630 2.475 2.104 2.177 0.9618 1.516 3.182 4.077 3.922 3.038
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.126 2.084 2.623 2.426 2.969 3.160 2.357 3.530 4.496 2.381 1.909
[2,] 2.980 2.227 2.882 2.845 2.981 3.561 3.613 4.475 4.849 2.571 1.934
[3,] 2.997 2.256 3.035 3.161 3.018 4.033 3.985 4.756 4.996 2.615 1.957
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.839 2.219 0.3655 1.991 2.180 0.7275 1.650 0.3821 1.759 1.099 0.6082
[2,] 4.831 2.479 0.3763 2.192 2.315 0.7572 1.829 0.4085 1.908 1.153 0.6561
[3,] 5.090 2.582 0.3878 2.292 2.686 0.7829 1.939 0.4197 2.158 1.212 0.7158
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.900 1.781 1.700 2.597 2.181 1.561 0.7618 1.447 0.6064 0.9316 1.034
[2,] 1.948 1.961 1.734 2.649 2.572 1.619 0.7685 1.461 0.6091 0.9824 1.086
[3,] 2.127 2.047 1.809 2.658 2.623 1.634 0.7731 1.494 0.6166 1.0698 1.166
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.258 1.235 2.511 2.650 3.934 2.086 3.076 2.986 1.338 2.569 2.292
[2,] 2.377 1.295 2.513 2.666 3.969 2.117 3.730 3.067 1.391 3.156 2.771
[3,] 2.465 1.348 2.582 2.783 3.982 2.199 3.777 3.135 1.402 3.383 3.047
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.345 1.253 2.294 0.6303 2.021 0.7113 1.794 1.553 1.906 2.757 0.9296
[2,] 2.603 2.407 2.316 0.6414 2.072 0.7173 1.807 1.553 2.191 3.099 0.9420
[3,] 2.921 2.723 2.322 0.6468 2.672 0.7272 2.022 1.565 2.217 3.118 0.9487
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.128 1.283 1.924 1.019 2.712 2.512 3.606 3.482 4.442 4.081 2.826
[2,] 2.461 1.306 2.742 1.042 2.813 3.055 3.611 4.307 4.569 4.704 4.016
[3,] 2.495 1.335 2.928 1.050 3.004 3.120 3.654 4.381 4.866 4.882 4.401
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7073 2.464 2.166 2.594 1.700 1.589 0.7759 1.688 1.611 3.885 4.629
[2,] 0.7106 3.889 2.174 3.267 1.747 1.680 0.7770 2.331 1.632 3.885 4.629
[3,] 0.7179 4.412 2.187 4.057 1.801 1.755 0.7895 2.443 1.639 3.901 4.779
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6964 0.7003 1.035 1.025 1.964 1.019 0.5673 1.048 8.983 2.292
[2,] 0.9150 1.0425 1.038 1.025 1.985 1.028 0.5999 1.119 9.695 2.420
[3,] 1.0327 1.0506 1.046 1.044 2.096 1.034 0.6373 1.137 9.812 2.611
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.669 2.035 2.755 2.102 2.484 1.219 1.857 4.036 5.156
[2,] 620.347 52.321 468.712 573.773 424.905 23.479 181.672 69.354 46.664
[3,] 596.554 184.162 604.484 604.843 442.017 33.238 180.760 69.628 231.139
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.894 3.203 2.7 2.647 3.331 3.08 3.77 4.013
[2,] 1551.538 973.770 1340.6 502.611 766.159 954.43 174.93 1054.050
[3,] 238.860 482.967 206.2 232.283 610.752 883.93 300.36 1214.653
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.993 4.483 5.71 3.023 2.425 4.875 2.818 0.4641
[2,] 1758.281 1765.117 1165.14 622.179 199.600 1882.069 709.894 57.6173
[3,] 1079.080 1035.496 773.60 306.512 189.390 1028.925 462.219 60.0713
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.528 2.768 0.9238 2.095 0.4852 2.234 1.395 0.7724
[2,] 588.527 501.431 134.8160 506.246 92.7201 473.208 223.241 157.9379
[3,] 430.643 873.510 127.7697 414.180 61.9508 647.154 241.017 183.7243
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.413 2.261 2.159 3.298 2.77 1.982 0.9674 1.837
[2,] 275.974 526.842 218.960 335.837 875.01 275.141 64.6734 128.383
[3,] 547.388 376.488 331.670 137.718 329.51 144.050 54.2130 200.369
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.7701 1.183 1.314 2.868 1.568 3.189 3.366 4.996
[2,] 36.5197 200.277 213.026 475.696 251.045 61.077 184.776 337.296
[3,] 61.5017 271.882 272.174 420.666 239.322 378.846 511.509 203.121
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.649 3.906 3.792 1.699 3.262 2.911 2.978 1.591
[2,] 231.749 1354.550 449.909 244.413 1176.708 999.989 724.368 1319.034
[3,] 382.826 379.626 416.697 110.729 781.631 812.748 850.868 817.988
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.913 0.8004 2.567 0.9033 2.278 1.972 2.421 3.501
[2,] 203.137 76.2619 291.564 59.2097 138.393 32.770 693.329 909.024
[3,] 104.767 53.1207 1083.265 76.9825 583.200 122.359 218.750 219.286
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.18 2.703 1.63 2.443 1.294 3.443 3.19 4.579
[2,] 97.72 793.655 156.87 1254.431 138.608 480.547 1115.58 120.059
[3,] 72.18 261.385 177.13 659.225 82.029 676.006 407.37 360.080
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.421 5.64 5.182 3.589 0.8981 3.129 2.75 3.293
[2,] 1627.645 688.07 1501.774 1831.906 44.0999 1932.062 122.32 1274.876
[3,] 512.938 1073.62 838.462 1155.034 65.4827 1336.766 148.03 1544.575
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.159 2.018 0.9852 2.144 2.046 4.933 5.878 0.8844
[2,] 259.813 349.940 27.3092 1031.607 167.330 11.628 41.482 381.0053
[3,] 278.837 326.428 89.5976 470.270 98.048 228.712 763.367 307.3773
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.8893 1.314 1.302 2.494 1.294 0.7204 1.331 11.41
[2,] 495.7802 46.784 20.121 185.881 89.657 125.2088 250.623 2340.35
[3,] 83.5062 84.160 127.076 432.149 71.061 138.0860 128.618 972.00
[,98]
[1,] 2.911
[2,] 499.395
[3,] 629.025
[1] "--- VAR model 2017-09-30 23:31:00 completed"
[1] "Completed training sample: 2017-09-30 23:31:00 - 2017-10-01 07:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 00:01:00 - 2017-10-01 08:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
6.115 0.4809 -26.76 -27.72
6.390 0.5022 -26.66 -26.38
5.001 0.2900 -26.69 -26.94
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.20 0 1.487 -0.003154
-26.57 0 1.531 0.032360
-26.35 0 1.085 0.086386
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.019439 1.4960 0.6813 -5.136
-0.061246 -0.2504 0.3662 -6.215
0.001634 0.1423 -0.3298 -6.340
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.235 -3.3297 -3.646 8.326
1.291 -0.5959 -2.040 4.628
1.522 -2.5274 -1.995 3.837
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.1931 8.763 10.351 18.27
3.4893 5.660 7.723 19.77
-0.2423 3.666 5.744 15.40
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-27.19 -2.112 -58.83 -26.85
-26.59 -1.794 -57.14 -26.30
-28.16 -1.823 -56.13 -26.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.740 -25.46 -27.36 -6.319
-2.598 -26.92 -29.98 -6.301
-2.602 -26.36 -28.49 -6.265
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-28.11 -1.660 -30.05 -8.455
-27.19 -1.631 -27.00 -8.272
-27.49 -1.709 -28.88 -8.454
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.552 -27.01 -25.63 -26.63
-4.715 -26.34 -26.80 -29.00
-4.571 -26.40 -25.74 -26.77
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7388 2.880 2.089 0.25787
-0.5922 1.002 1.541 0.08708
-0.2737 -1.037 1.428 0.32433
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.39412 0.033813 -14.63 -16.88
0.14473 0.004681 -14.60 -17.06
0.08702 0.004136 -14.27 -17.03
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.601 0.08637 -9.571 0.7814
3.030 1.47312 -8.526 1.7801
3.242 1.22195 -9.003 2.4871
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.809 1.8595 -0.2069 0.3590
5.286 0.9175 -1.6785 -0.1124
5.829 0.9884 -1.4907 -0.1280
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.28934 0.07154 1.32394 -4.14893
0.73200 -0.18099 0.09767 -0.10483
0.02597 -1.50718 -1.45108 -0.06794
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.90306 0.11636 0.6769 1.0377
0.77457 0.09699 0.5483 -5.4615
-0.09888 0.01503 0.5804 0.9864
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.11348 0.3473 1.0313 2.0162
0.12017 -0.6348 0.7001 0.1261
0.03271 -0.7066 0.2422 -1.7114
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.4708 0.23760 1.3552 0.09540
0.2571 0.18824 0.4128 0.07403
-0.9149 0.05866 -0.3417 0.07981
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.03888 0.04327 5.517 6.777
1.78364 0.41920 5.006 4.469
0.12091 -0.02100 5.629 3.297
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.592 5.267 12.98 7.009
2.106 6.686 11.02 9.786
2.697 7.249 12.02 8.851
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.986 0.4256 3.365 4.062
12.043 0.2963 8.036 4.386
10.842 0.2447 9.480 3.590
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.359 -2.416 0.63151 0.5114
6.383 -2.084 0.28180 0.9485
12.863 -1.836 -0.09622 0.5172
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.2790 -0.28138 -0.3583 -1.3557
0.5916 0.04136 0.1079 0.3264
0.0445 -0.11874 0.1206 -0.1777
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.80218 1.61489 0.2901 0.2326
1.07691 -0.04367 0.3358 0.3534
0.04182 0.36655 0.2499 0.1466
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3821 0.2254 -2.454 0.21051
-0.9133 0.1944 -2.242 0.38174
-1.1639 0.1278 -2.139 0.09714
rnd_95776.volume rnd_95787.volume
4.05390 -24.23
-0.07887 -23.03
-1.69919 -24.25
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.917 1.618 1.966 1.564 1.917 0.8623 1.409 3.126 3.992 2.956 2.354
[2,] 3.065 1.626 2.134 1.740 2.044 0.8643 1.435 3.131 3.992 3.881 2.775
[3,] 3.146 1.644 2.206 1.824 2.102 0.8644 1.468 3.134 4.001 3.893 2.855
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.064 2.010 2.624 2.396 2.944 3.391 2.293 3.602 4.454 2.118 1.917
[2,] 2.944 2.107 2.941 2.744 3.027 3.844 3.787 4.480 4.773 2.242 1.936
[3,] 2.957 2.120 3.106 3.093 3.086 4.355 4.166 4.859 5.053 2.324 1.958
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.324 1.879 0.3673 1.793 1.990 0.7383 1.597 0.4135 1.584 1.104 0.5636
[2,] 4.204 2.106 0.3912 1.858 2.164 0.7704 1.726 0.4363 1.664 1.158 0.5987
[3,] 4.393 2.202 0.4062 2.052 2.442 0.8081 1.825 0.4577 1.852 1.228 0.6326
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.874 1.688 1.327 2.774 2.037 1.482 0.7756 1.465 0.5949 0.8522 0.9935
[2,] 1.979 1.858 1.424 2.828 2.371 1.540 0.7788 1.486 0.6006 0.8966 1.0443
[3,] 2.051 1.911 1.497 2.852 2.416 1.554 0.7870 1.511 0.6050 0.9303 1.0978
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.107 1.278 2.313 2.578 3.697 2.083 3.011 2.916 1.365 2.606 2.354
[2,] 2.244 1.349 2.348 2.585 3.708 2.126 3.741 3.002 1.421 3.184 2.820
[3,] 2.303 1.390 2.381 2.738 3.752 2.172 3.785 3.096 1.441 3.407 3.110
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.242 1.346 2.178 0.6131 2.013 0.6720 1.831 1.590 1.899 2.742 0.9204
[2,] 2.623 2.436 2.199 0.6231 2.079 0.6811 1.846 1.591 2.191 3.099 0.9324
[3,] 2.937 2.765 2.201 0.6294 2.741 0.6876 1.958 1.604 2.211 3.106 0.9419
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.170 1.261 1.897 1.047 2.956 2.573 3.438 3.616 4.331 3.994 2.947
[2,] 2.521 1.284 2.721 1.067 3.129 3.228 3.475 4.397 4.512 4.621 4.117
[3,] 2.567 1.297 2.924 1.075 3.365 3.321 3.515 4.512 4.657 4.849 4.561
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6977 2.589 2.342 2.755 1.607 1.583 0.8184 1.767 1.648 3.871 4.525
[2,] 0.7151 3.917 2.414 3.385 1.667 1.647 0.8201 2.341 1.677 3.872 4.526
[3,] 0.7179 4.418 2.449 4.055 1.757 1.756 0.8420 2.413 1.680 3.887 4.690
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6451 0.650 1.025 0.9959 1.987 1.008 0.5485 1.078 8.923 2.088
[2,] 0.8449 1.025 1.029 1.0006 1.995 1.018 0.5747 1.142 9.519 2.269
[3,] 0.9938 1.027 1.036 1.0157 2.109 1.023 0.6178 1.169 9.654 2.399
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.704 2.054 2.497 1.986 2.434 1.095 1.79 3.969 5.069
[2,] 557.675 95.133 491.120 450.259 420.376 35.421 158.38 109.932 13.621
[3,] 418.143 144.444 330.581 324.699 289.395 3.780 185.22 75.792 157.648
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.754 2.99 2.621 2.552 3.332 3.042 3.738 4.306
[2,] 1487.698 868.66 1242.027 372.933 785.709 791.035 417.630 1070.599
[3,] 179.900 398.80 162.352 140.603 589.759 844.518 355.771 1210.801
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.912 4.575 5.655 2.69 2.434 4.221 2.386 0.4664
[2,] 1782.554 1575.373 1016.130 435.20 161.101 1522.899 562.154 79.6362
[3,] 1027.543 1113.805 980.975 362.07 172.846 752.718 381.711 64.5877
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.277 2.527 0.9375 2.029 0.5251 2.011 1.402 0.7157
[2,] 288.412 502.256 130.2749 386.032 82.3297 300.773 207.777 119.5295
[3,] 515.683 669.526 144.2581 351.599 81.8073 481.501 241.654 120.7776
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 2.38 2.143 1.685 3.522 2.587 1.882 0.9849 1.86 0.7554
[2,] 375.44 459.973 305.092 327.967 717.917 247.481 41.8923 147.59 48.7284
[3,] 319.89 265.517 274.104 214.047 272.902 125.025 66.7570 162.29 43.0536
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.082 1.262 2.676 1.623 2.937 3.274 4.695 2.645
[2,] 164.848 190.300 456.778 255.231 239.679 109.415 163.821 250.669
[3,] 146.679 200.289 307.164 198.331 231.614 534.638 341.111 261.842
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.824 3.703 1.734 3.309 2.989 2.847 1.709 2.766
[2,] 1313.471 421.639 232.834 1082.974 918.465 805.674 1201.188 181.277
[3,] 340.904 448.331 141.918 716.139 775.973 780.970 774.317 40.913
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.7786 2.556 0.8533 2.325 2.019 2.411 3.481 1.169
[2,] 65.7798 307.202 65.5888 138.224 34.903 647.182 854.934 88.033
[3,] 52.3240 1057.143 55.9365 386.792 122.733 176.471 120.822 78.924
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.755 1.601 2.409 1.329 3.753 3.267 4.366 4.592
[2,] 759.703 142.347 1154.528 123.298 608.470 1153.443 295.673 1479.139
[3,] 285.072 110.462 633.250 77.860 731.180 461.200 315.751 599.427
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.5 5.072 3.743 0.8859 3.288 2.974 3.499 2.041
[2,] 747.9 1375.416 1700.512 92.9019 1738.419 347.584 1163.470 262.917
[3,] 682.2 868.341 1161.442 37.1011 1208.867 243.362 1320.338 327.161
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.01 1.039 2.244 2.093 4.916 5.746 0.8192 0.8254
[2,] 269.02 31.120 908.094 182.613 31.234 61.391 322.7374 468.4734
[3,] 360.50 112.825 345.479 58.894 202.346 726.283 309.5717 42.0542
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.301 1.265 2.523 1.28 0.6965 1.369 11.33 2.651
[2,] 55.332 57.714 103.227 86.60 101.5681 223.303 1960.71 526.028
[3,] 70.315 103.057 405.073 60.37 133.9943 147.369 953.48 460.951
[1] "--- VAR model 2017-10-01 00:01:00 completed"
[1] "Completed training sample: 2017-10-01 00:01:00 - 2017-10-01 08:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 00:31:00 - 2017-10-01 08:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.369 0.5874 -40.03 -33.99
3.094 0.2356 -39.82 -37.31
4.559 0.1716 -39.50 -37.83
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-37.32 0.09036 0.6720 -0.8480
-37.53 0.02077 0.2748 0.4112
-37.48 0.09338 0.2088 -0.4141
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.29186 -3.50330 -3.5797 -14.807
-0.48883 -0.30713 -0.7030 -9.061
-0.06121 0.09048 -0.8528 -8.706
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.694 -4.9478 -6.321 10.283
2.402 -1.7817 -6.427 9.362
1.413 -0.6882 -2.396 8.449
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
12.282 16.434 12.187 21.23
1.853 4.666 16.936 23.93
8.208 4.850 5.413 17.65
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-43.12 -2.956 -84.16 -35.92
-43.84 -2.478 -84.37 -35.57
-43.88 -2.264 -86.03 -34.45
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.962 -37.57 -38.46 -7.427
-4.863 -37.07 -40.39 -7.623
-4.875 -36.64 -40.39 -7.536
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-35.87 -2.289 -38.00 -12.20
-38.28 -2.237 -37.73 -12.72
-38.30 -2.215 -38.50 -12.87
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.598 -36.35 -38.03 -37.08
-6.337 -36.82 -36.37 -36.89
-6.502 -37.20 -37.14 -37.24
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9098 -2.049 0.35319 0.20430
0.4386 -2.421 0.04924 0.12122
0.3424 -1.380 0.16492 0.05062
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.04438 -0.064355 -19.43 -21.88
0.06729 -0.009594 -20.30 -22.28
-0.02957 -0.008133 -20.31 -22.25
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.075 1.572 -11.60 4.076
5.186 1.364 -10.67 4.803
4.940 1.796 -11.64 5.154
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.431 1.224 -6.678 1.963
4.576 2.080 -2.011 2.312
6.084 1.086 -1.420 1.372
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.2182 -5.664 -2.177 -4.036
-0.1393 -3.705 -5.355 -4.853
-0.3340 -1.736 -2.040 -3.471
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.756 -0.042295 0.6140 -7.843
-2.714 -0.007496 0.7131 -3.180
-5.151 -0.003177 0.6084 -4.174
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.10573 -4.580 0.26164 -4.197
0.14953 -3.928 0.26528 -4.624
0.08765 -2.501 0.07607 -3.035
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.189 0.07842 -4.296 -0.086306
-3.912 0.23943 -4.901 -0.191439
-3.170 0.15673 -4.121 0.008893
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.070 0.1688 4.280 4.229
-4.097 -0.1102 5.586 2.655
-4.411 -0.1111 4.383 5.318
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.752 7.902 17.23 14.30
3.075 7.922 18.75 15.35
2.769 7.835 15.49 16.32
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.17 0.5096 18.00 7.706
13.57 0.1226 13.32 7.132
14.97 0.3398 14.07 5.376
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
23.71 -4.195 -0.7472 0.101627
19.35 -3.552 -2.0375 0.007833
18.25 -3.395 -0.4015 0.024313
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.294 0.23216 -0.3295 -0.91515
-4.318 0.43842 -0.5710 0.09167
-2.619 0.09055 -0.3911 -0.20813
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.86951 1.8693 0.3046 0.1901
1.04093 -0.1449 0.1324 0.3588
-0.08394 0.3120 0.3363 0.1571
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.884 -0.4330 -3.224 -0.3707
-3.056 -0.5629 -2.987 -0.3807
-1.523 -0.4168 -3.219 -0.6094
rnd_95776.volume rnd_95787.volume
-2.449 -35.16
-3.291 -36.49
-3.668 -34.02
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.133 1.649 2.097 1.673 1.957 0.8130 1.390 3.184 4.017 2.933 2.415
[2,] 3.287 1.657 2.287 2.079 2.180 0.8163 1.415 3.200 4.017 3.946 2.791
[3,] 3.450 1.685 2.414 2.151 2.289 0.8165 1.464 3.200 4.021 3.962 2.858
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.260 2.034 2.956 2.434 2.595 3.819 2.270 3.617 4.504 2.168 2.072
[2,] 3.209 2.080 3.356 2.901 2.738 4.267 3.986 4.613 4.699 2.313 2.102
[3,] 3.215 2.089 3.459 3.283 2.798 4.764 4.329 4.996 4.913 2.510 2.129
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.112 1.934 0.3899 2.030 1.993 0.7712 1.701 0.3985 1.582 1.101 0.5592
[2,] 3.958 2.041 0.4162 2.155 2.316 0.8141 2.071 0.4089 1.815 1.154 0.5961
[3,] 4.183 2.216 0.4366 2.391 2.377 0.8608 2.144 0.4236 1.952 1.225 0.6383
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.944 1.887 1.311 2.860 2.230 1.506 0.8029 1.407 0.5919 0.8709 1.049
[2,] 2.167 2.053 1.618 2.950 2.565 1.553 0.8050 1.435 0.5984 0.9325 1.109
[3,] 2.255 2.159 1.746 2.971 2.601 1.569 0.8224 1.446 0.6031 0.9847 1.209
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.188 1.329 2.240 2.496 3.605 2.116 3.457 2.864 1.325 2.797 2.557
[2,] 2.291 1.387 2.286 2.515 3.637 2.117 3.997 2.927 1.410 3.559 3.101
[3,] 2.359 1.442 2.296 2.578 3.681 2.157 4.032 3.014 1.426 3.669 3.360
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.403 1.613 2.153 0.6440 2.074 0.6882 1.825 1.616 1.941 2.582 0.9160
[2,] 2.668 2.542 2.187 0.6589 2.244 0.6921 1.863 1.622 2.215 2.938 0.9246
[3,] 3.034 3.060 2.193 0.6648 2.774 0.6997 1.980 1.634 2.229 2.960 0.9326
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.162 1.256 1.948 1.085 3.111 2.636 3.470 3.672 4.378 3.786 3.032
[2,] 2.488 1.279 2.754 1.085 3.286 3.386 3.500 4.377 4.506 4.676 4.182
[3,] 2.555 1.283 2.970 1.085 3.553 3.477 3.568 4.490 4.601 4.760 4.634
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7069 2.763 2.420 3.046 1.475 1.644 0.8265 2.411 1.691 3.909 4.582
[2,] 0.7161 3.870 2.494 3.444 1.552 1.709 0.8290 2.614 1.721 3.910 4.583
[3,] 0.7207 4.488 2.564 4.227 1.650 1.825 0.8522 2.679 1.725 3.916 4.753
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6245 0.5936 0.9602 0.9408 1.996 1.001 0.5584 1.100 9.549 2.168
[2,] 0.7631 0.9778 0.9716 0.9451 2.002 1.012 0.5826 1.155 9.841 2.338
[3,] 0.8902 0.9796 0.9767 0.9600 2.088 1.027 0.6248 1.162 10.258 2.476
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.978 2.094 2.663 2.125 2.486 1.032 1.765 4.043 5.101
[2,] 512.857 82.313 470.104 635.702 494.416 37.873 136.891 165.217 4.161
[3,] 539.495 157.632 398.393 285.693 360.023 8.742 192.841 12.408 91.893
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.724 3.067 2.87 2.583 3.754 3.09 3.295 4.849
[2,] 1360.943 721.006 1174.11 223.629 818.609 813.88 449.933 980.840
[3,] 182.945 317.054 99.25 98.835 433.131 791.66 296.889 1092.673
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.882 4.594 5.719 2.754 2.631 3.952 2.456 0.4951
[2,] 1688.609 1475.089 691.129 414.303 183.620 1260.168 335.513 74.9944
[3,] 871.216 989.143 738.579 502.633 173.463 698.616 445.749 67.9775
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.578 2.531 0.9793 2.16 0.5061 2.008 1.398 0.7102
[2,] 372.282 607.856 134.3958 608.64 47.2481 458.535 178.104 106.3577
[3,] 534.635 275.572 144.1375 285.76 56.9750 371.312 210.874 117.5844
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 2.469 2.396 1.664 3.632 2.832 1.913 1.02 1.787 0.7516
[2,] 493.612 416.391 489.387 372.243 652.961 195.578 30.34 145.951 45.4817
[3,] 321.434 344.585 337.432 183.719 224.203 113.983 86.77 88.758 38.5596
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.106 1.331 2.778 1.688 2.845 3.17 4.577 2.687
[2,] 171.805 186.384 349.928 204.215 234.799 158.03 247.420 26.628
[3,] 162.945 248.139 291.165 204.110 110.171 291.85 295.112 212.904
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.39 3.637 1.682 3.551 3.246 3.051 2.049 2.735
[2,] 1033.76 311.581 248.779 1134.400 904.220 598.034 1012.349 196.720
[3,] 276.16 370.091 110.911 461.021 667.534 744.021 878.182 83.400
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.8178 2.634 0.8739 2.317 2.052 2.465 3.279 1.163
[2,] 71.7302 440.775 37.5113 193.446 74.715 549.682 722.305 64.777
[3,] 45.6894 840.624 53.0500 345.323 102.806 129.984 187.935 62.577
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.745 1.595 2.473 1.377 3.951 3.347 4.406 4.663
[2,] 635.012 123.375 1003.884 21.857 544.544 1095.404 236.558 1227.037
[3,] 298.238 50.593 572.427 5.743 696.646 407.165 356.741 516.442
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.56 4.808 3.85 0.8976 3.509 3.074 3.869 1.873
[2,] 548.15 1414.436 1485.02 58.9590 1396.710 309.165 827.700 248.938
[3,] 479.55 457.675 1027.87 41.8762 1171.217 307.444 1263.086 289.087
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.087 1.05 3.062 2.147 4.964 5.818 0.7931 0.7538
[2,] 240.637 32.85 520.105 164.544 35.501 40.104 225.9934 400.4703
[3,] 330.595 101.92 303.172 60.321 109.871 650.097 236.3006 30.4249
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.219 1.195 2.535 1.271 0.7091 1.397 12.13 2.754
[2,] 76.299 46.113 77.374 76.814 85.5662 181.054 1226.44 450.994
[3,] 51.747 86.997 306.677 89.516 116.3911 65.680 1491.99 419.340
[1] "--- VAR model 2017-10-01 00:31:00 completed"
[1] "Completed training sample: 2017-10-01 00:31:00 - 2017-10-01 08:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 01:01:00 - 2017-10-01 09:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.181 -0.15147 -46.37 -46.83
10.847 -0.04836 -44.60 -43.08
9.439 0.18935 -45.24 -47.27
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-42.99 0 1.471 0.36164
-43.14 0 2.279 -0.53989
-42.00 0 2.519 0.01332
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.16746 2.5754 -2.151 -11.493
-0.19298 -0.4458 -1.121 -6.679
-0.06219 -0.6011 -1.292 -10.153
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.125 -5.227 -7.481 13.40
2.933 -1.079 -2.110 14.67
3.395 -1.216 -2.399 12.98
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.005 7.587 6.693 19.10
12.035 8.019 9.997 21.97
7.134 13.839 16.231 24.51
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-47.28 -1.955 -97.55 -48.43
-42.92 -1.759 -93.79 -48.95
-46.03 -1.381 -92.28 -45.94
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.973 -39.48 -41.71 -9.496
-6.340 -47.32 -46.25 -9.991
-6.559 -44.64 -48.34 -10.229
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-49.80 -3.210 -47.15 -14.54
-42.51 -2.814 -43.46 -13.92
-49.21 -2.832 -45.22 -13.83
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.064 -47.08 -42.79 -42.61
-8.757 -43.73 -45.85 -46.58
-8.929 -44.15 -43.25 -42.82
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.840 0.7379 -0.4389 -0.1451
3.199 -0.3739 -0.2008 -0.2592
2.516 -0.2750 -0.2251 -0.1250
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9722 0.4438 -23.50 -25.84
0.3450 0.7122 -22.65 -24.76
0.1790 0.7866 -23.62 -25.67
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.062 3.069 -14.90 5.872
5.510 2.294 -14.63 4.283
6.223 2.117 -13.50 4.672
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.574 0.9676 -6.443 3.663
6.666 0.5444 -3.173 3.261
8.371 1.3085 -4.072 2.676
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9594 -9.270 -7.273 -0.9401
-0.2392 -2.694 -5.637 -8.2188
-0.1080 -1.892 -2.259 -3.0007
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.1394 0.7285 0.2174 -7.3608
-8.9222 0.4518 0.4246 0.1317
-4.4459 0.2962 0.1080 -8.4198
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.061855 -2.750 0.00760 -0.1852
-0.123374 -3.277 0.26481 -3.6509
0.007848 -3.621 -0.05415 -1.9741
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.8052 0.03269 -2.812 -0.41481
-2.6632 0.20206 -2.712 -0.05175
-2.7035 0.12756 -2.838 -0.22967
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.277 0.032085 9.511 13.646
-0.576 0.094525 8.925 9.848
-3.743 0.007195 9.979 8.339
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.513 17.25 27.66 26.44
2.005 12.54 26.99 27.64
3.131 11.45 23.23 26.79
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
23.65 -0.02467 28.75 9.629
26.67 0.30039 23.75 7.946
24.42 -0.09150 25.30 8.515
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
33.66 4.879 -0.7981 -0.06501
27.46 3.540 -1.7821 -0.12511
29.38 3.322 -0.3152 -0.03413
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.43120 0.5940 0.17658 -3.711
0.09758 -0.6879 -0.09816 -2.402
-1.22912 -0.2689 -0.05459 -1.581
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.6586 4.8774 1.584 1.470
3.3027 0.2771 1.194 1.496
0.6568 1.2262 1.049 1.306
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.433 -0.2864 -4.734 -1.0633
-1.105 -0.4560 -4.923 -0.3400
-1.636 -0.1607 -4.569 -0.1184
rnd_95776.volume rnd_95787.volume
-0.2916 -44.44
0.5611 -42.81
-1.7686 -43.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.212 1.684 2.949 2.010 2.200 0.7272 1.347 3.268 4.073 2.963 2.305
[2,] 3.367 1.691 3.160 2.413 2.375 0.7337 1.359 3.280 4.074 4.021 2.635
[3,] 3.489 1.710 3.220 2.480 2.469 0.7338 1.361 3.280 4.077 4.030 2.685
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.221 2.163 3.007 2.991 2.737 3.922 2.498 3.944 4.599 3.123 2.811
[2,] 3.217 2.188 3.484 3.484 2.909 4.422 4.276 4.799 4.875 3.402 2.858
[3,] 3.252 2.201 3.575 3.796 2.963 4.830 4.691 5.215 5.238 3.646 2.914
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.360 2.246 0.4916 2.210 2.468 0.8177 1.947 0.4231 1.965 1.194 0.5851
[2,] 5.922 2.740 0.5129 2.297 2.594 0.8604 2.386 0.4386 2.243 1.271 0.6133
[3,] 6.243 2.920 0.5585 2.784 2.933 0.9210 2.519 0.4534 2.304 1.397 0.6531
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.343 1.957 1.905 3.148 2.575 1.541 0.8266 1.541 0.6383 1.027 1.068
[2,] 2.667 2.058 2.095 3.282 2.956 1.610 0.8289 1.574 0.6429 1.109 1.140
[3,] 2.724 2.258 2.270 3.330 2.986 1.637 0.8551 1.580 0.6490 1.176 1.202
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.120 1.512 2.176 2.546 3.702 2.144 3.210 2.893 1.301 3.026 2.774
[2,] 2.188 1.543 2.237 2.594 3.739 2.144 3.918 2.982 1.356 3.741 3.106
[3,] 2.244 1.579 2.254 2.649 3.778 2.184 3.932 3.083 1.367 3.900 3.478
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.375 1.805 2.187 0.6429 2.325 0.6817 1.748 1.624 1.948 2.469 0.9391
[2,] 2.773 2.525 2.228 0.6554 2.671 0.6820 1.786 1.643 2.229 2.840 0.9413
[3,] 3.179 2.994 2.238 0.6623 3.010 0.6941 1.906 1.645 2.237 2.869 0.9518
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.370 1.327 1.840 1.086 3.302 2.732 3.567 3.891 4.732 3.845 3.072
[2,] 2.555 1.341 2.596 1.088 3.532 3.637 3.603 4.608 4.862 4.794 4.251
[3,] 2.622 1.343 2.828 1.089 3.780 3.751 3.630 4.727 5.039 4.897 4.664
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7602 2.912 2.531 3.464 1.738 1.696 0.9557 2.674 1.784 4.006 4.518
[2,] 0.7656 4.032 2.657 3.866 1.899 1.719 0.9577 2.834 1.817 4.007 4.528
[3,] 0.7685 4.699 2.723 4.639 2.109 1.828 0.9651 2.887 1.819 4.019 4.742
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6206 0.6837 0.9642 0.9791 2.065 1.061 0.5531 1.114 10.67 2.499
[2,] 0.7449 1.0456 0.9667 0.9855 2.089 1.070 0.5736 1.174 10.78 2.737
[3,] 0.8582 1.0577 0.9709 0.9899 2.178 1.085 0.6194 1.177 10.89 2.851
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.079 2.139 3.744 2.552 2.793 0.9235 1.711 4.15 5.172
[2,] 603.903 86.950 680.294 799.306 536.418 58.3841 106.776 163.82 31.967
[3,] 549.773 152.591 369.691 344.705 403.588 6.5316 42.615 37.81 92.523
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.763 2.927 2.82 2.747 3.819 3.798 3.475 4.981
[2,] 1628.287 765.030 1394.22 198.759 1053.513 1070.366 590.894 1222.754
[3,] 152.973 306.208 282.28 140.807 479.509 902.808 336.314 1163.444
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.172 5.009 5.84 3.966 3.569 5.537 2.852 0.6243
[2,] 2078.621 1637.515 969.07 807.750 310.962 2399.941 940.440 87.4781
[3,] 1155.326 1221.588 1147.72 785.898 339.529 1184.558 603.195 132.3492
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.807 3.134 1.038 2.473 0.5373 2.495 1.516 0.743
[2,] 373.877 478.104 160.322 825.599 69.1655 647.132 260.743 110.133
[3,] 942.783 819.523 196.812 483.714 68.8043 316.644 347.222 134.326
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.975 2.484 2.419 3.997 3.269 1.956 1.05 1.956
[2,] 763.303 382.579 522.061 555.605 870.005 281.019 37.52 192.881
[3,] 331.850 556.469 523.264 337.415 251.725 176.416 125.71 86.361
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.8106 1.304 1.356 2.692 1.92 2.764 3.232 4.701
[2,] 45.9704 251.318 239.689 324.044 183.77 308.485 299.361 312.211
[3,] 53.0669 233.105 228.587 298.525 201.51 166.084 319.962 327.351
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.723 4.076 3.674 1.652 3.842 3.523 3.016 2.292
[2,] 20.773 1345.732 433.522 229.157 1317.339 836.220 857.006 1057.506
[3,] 248.960 200.758 467.832 102.950 661.418 937.316 931.557 963.519
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.778 0.8163 2.952 0.8656 2.219 2.062 2.473 3.135
[2,] 253.991 76.5242 787.768 12.6777 220.611 150.659 648.998 840.581
[3,] 124.644 57.0683 830.787 77.4476 399.307 45.136 117.257 242.017
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.192 3.01 1.685 2.337 1.379 4.192 3.47 4.529
[2,] 38.760 570.54 114.860 1096.493 42.430 751.328 1437.85 304.807
[3,] 84.435 354.32 40.678 672.882 23.657 807.147 548.11 265.531
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.941 6.009 4.883 3.901 0.9654 3.698 3.214 4.399
[2,] 1478.404 668.788 1714.597 1759.927 54.4772 1669.866 484.379 1027.444
[3,] 632.054 793.452 598.152 1148.403 40.0027 1445.136 356.635 1536.313
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.207 2.154 1.214 3.396 2.265 5.087 5.737 0.788
[2,] 457.974 166.568 37.224 561.554 207.059 32.754 177.622 246.795
[3,] 549.852 372.184 71.619 330.885 54.456 190.974 843.928 255.221
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.8682 1.224 1.243 2.622 1.347 0.7023 1.414 13.55
[2,] 473.7911 41.940 67.225 189.465 84.627 91.1403 222.747 899.06
[3,] 95.4767 53.762 55.698 370.843 106.257 139.9623 47.182 923.46
[,98]
[1,] 3.173
[2,] 669.513
[3,] 477.679
[1] "--- VAR model 2017-10-01 01:01:00 completed"
[1] "Completed training sample: 2017-10-01 01:01:00 - 2017-10-01 09:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 01:31:00 - 2017-10-01 09:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.035 2.306 -43.16 -44.58
8.768 1.711 -46.90 -44.93
7.037 1.498 -40.77 -48.37
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-47.03 -0.064081 2.399 -0.1327
-46.00 -0.010842 2.281 0.1183
-44.78 0.001692 2.656 0.2952
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.38436 1.3006 -0.3005 -6.293
0.09132 -0.5228 -0.1847 -7.229
-0.42950 0.2542 0.6859 -9.640
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.350 -2.354 -2.740 14.05
3.447 -1.208 -1.176 12.03
3.348 -0.216 -1.650 14.13
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
10.05 17.19 5.531 25.20
11.34 11.12 17.134 23.81
16.69 10.97 14.397 25.52
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-45.76 -4.060 -110.61 -35.24
-48.44 -4.383 -92.87 -36.73
-40.62 -2.838 -98.44 -32.21
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.502 -42.77 -42.74 -12.00
-6.056 -51.96 -49.78 -12.17
-6.440 -46.13 -48.30 -11.96
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-42.64 -4.226 -43.38 -19.76
-45.57 -3.888 -45.54 -19.46
-48.59 -4.008 -49.32 -18.30
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.253 -45.56 -49.11 -42.54
-8.050 -38.76 -45.29 -45.87
-8.091 -40.95 -46.46 -44.23
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.05519 1.039 -0.7329 0.29069
0.08605 -2.970 -0.3633 0.10561
0.73156 -2.812 -0.4463 0.06579
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4256 -0.090163 -25.73 -26.61
0.1781 -0.008452 -26.36 -24.66
-0.1326 -0.010222 -25.12 -24.76
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.192 2.750 -13.00 4.897
5.701 1.202 -16.72 6.342
5.934 2.625 -14.20 5.803
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.969 0.22464 -10.488 1.593
6.834 0.06547 -10.555 1.819
5.725 -0.02264 -8.947 1.573
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3972 -8.657 -15.341 -11.209
-0.4587 -8.301 -8.027 -8.544
-0.3989 -8.932 -9.575 -6.459
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.249 0.125461 0.3199 -16.578
-12.825 -0.003319 0.4175 -8.964
-7.472 -0.069022 0.1156 -7.009
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6330 -5.845 2.192 -9.680
-0.6050 -7.744 1.001 -6.015
-0.3512 -5.747 0.922 -4.412
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.017 0.8156 -6.931 -0.02410
-4.949 0.2577 -3.966 0.09740
-5.871 0.1515 -6.640 0.08221
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.765 -0.086714 6.005 8.534
-7.965 -0.006884 9.476 7.283
-6.012 -0.106243 9.244 10.135
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.050 3.725 31.78 11.35
5.485 9.270 31.41 17.31
1.730 10.647 28.46 23.10
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
33.73 0.170427 30.85 10.555
19.01 0.505172 13.14 8.497
24.21 -0.002512 16.76 9.966
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
30.64 5.396 -2.827 -0.02913
26.86 5.110 -1.452 -0.08149
24.31 4.816 -1.736 -0.04641
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.457 0.3185 3.885 5.665
-2.680 1.0069 2.995 6.945
-4.453 0.5725 6.251 3.710
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6675 1.8331 1.5180 1.6311
2.0074 1.4029 0.6715 0.9731
1.1719 0.7275 1.2684 1.6398
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.355 0.5974 -5.772 -0.8536
-4.269 0.3856 -5.371 -0.8130
-4.341 0.1539 -5.121 -0.1057
rnd_95776.volume rnd_95787.volume
-21.40 -48.91
-15.92 -45.86
-14.89 -47.25
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.709 1.690 3.224 2.438 2.580 0.6705 1.560 3.404 4.175 3.018 2.293
[2,] 3.939 1.691 3.290 3.042 2.806 0.6801 1.565 3.419 4.178 4.082 2.610
[3,] 4.059 1.715 3.427 3.144 2.945 0.6803 1.566 3.419 4.181 4.092 2.645
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.270 2.249 3.034 3.047 2.982 4.084 2.714 4.087 4.691 3.466 2.737
[2,] 3.264 2.268 3.588 3.619 3.193 4.533 4.476 4.999 4.903 3.522 2.767
[3,] 3.290 2.281 3.683 3.925 3.227 5.173 4.947 5.412 5.225 3.616 2.803
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.378 3.401 0.5162 3.014 2.927 0.8637 2.210 0.4388 2.733 1.155 0.6252
[2,] 6.991 3.768 0.5465 3.192 3.342 0.9204 2.772 0.4623 2.918 1.210 0.6598
[3,] 7.150 3.976 0.5980 3.578 3.564 1.0012 2.877 0.4863 3.145 1.276 0.7096
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.973 2.336 2.450 3.356 2.704 1.638 0.9008 1.615 0.6823 1.169 1.396
[2,] 3.159 2.522 2.570 3.531 3.094 1.703 0.9026 1.655 0.6853 1.300 1.484
[3,] 3.474 2.663 2.836 3.565 3.127 1.736 0.9217 1.656 0.6897 1.367 1.634
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.130 1.546 2.306 2.796 3.791 2.292 3.246 3.059 1.282 3.127 2.783
[2,] 2.242 1.564 2.383 2.840 3.838 2.299 3.952 3.169 1.324 3.749 3.102
[3,] 2.288 1.619 2.419 2.885 3.879 2.324 3.997 3.228 1.340 4.009 3.559
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.385 1.870 2.238 0.6623 2.300 0.7562 1.758 1.734 2.105 3.067 1.077
[2,] 2.746 2.506 2.290 0.6740 2.728 0.7563 1.796 1.766 2.381 3.271 1.079
[3,] 3.160 3.065 2.305 0.6814 2.987 0.7692 1.930 1.770 2.410 3.280 1.092
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.589 1.399 2.185 1.094 3.670 2.973 3.978 4.136 4.799 4.555 3.251
[2,] 2.693 1.410 2.735 1.098 3.928 4.059 4.039 5.330 5.031 5.150 4.311
[3,] 2.742 1.410 2.921 1.098 4.122 4.210 4.096 5.466 5.281 5.532 4.813
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8456 3.145 2.971 3.772 2.031 1.772 1.027 2.814 1.995 4.812 4.626
[2,] 0.8516 4.524 3.059 4.215 2.246 1.788 1.028 2.961 2.042 4.813 4.642
[3,] 0.8543 4.935 3.133 4.675 2.488 1.878 1.031 2.999 2.048 4.835 4.943
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6769 0.6823 1.067 1.021 2.179 1.188 0.5508 1.160 11.21 3.153
[2,] 0.8118 1.0869 1.068 1.022 2.205 1.216 0.5776 1.212 11.35 3.352
[3,] 0.9220 1.0920 1.074 1.031 2.269 1.232 0.6172 1.214 11.59 3.525
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.71 2.146 4.094 3.096 3.276 0.8515 1.981 4.323
[2,] 855.94 31.116 422.090 1174.239 713.228 73.2297 83.182 205.684
[3,] 632.74 186.884 620.421 510.903 576.500 11.4444 23.267 22.772
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.302 3.832 2.912 2.883 2.856 3.852 3.869 3.787
[2,] 101.861 1774.759 804.741 1513.949 187.280 1236.338 1260.289 737.039
[3,] 100.806 183.329 276.425 266.419 154.529 535.953 980.192 298.203
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.186 3.446 5.19 5.956 4.401 3.476 6.83 4.319
[2,] 1270.488 2297.842 1858.00 921.290 405.789 259.772 2882.34 1046.928
[3,] 1608.546 1359.710 1338.58 1165.747 526.933 289.663 970.08 819.517
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6555 3.827 3.716 1.097 2.806 0.5572 3.47 1.467
[2,] 115.7055 679.697 1041.334 205.351 1080.080 94.0672 659.93 231.893
[3,] 156.7652 1042.348 798.588 254.355 497.238 97.4117 758.47 261.769
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.7939 3.775 2.966 3.111 4.262 3.433 2.08 1.144
[2,] 136.1256 690.249 613.189 500.613 707.738 971.131 301.94 36.697
[3,] 168.5088 933.110 552.071 774.562 318.780 289.661 215.54 120.588
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.05 0.8664 1.484 1.773 2.705 1.963 2.928 3.55 4.814
[2,] 233.77 41.2913 366.577 323.975 451.488 154.898 387.785 320.75 385.872
[3,] 39.73 49.9319 273.060 441.532 294.008 268.369 269.913 330.30 361.445
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.91 4.121 3.884 1.628 3.971 3.533 3.028 2.375
[2,] 114.27 1455.799 534.219 214.016 1334.681 885.488 879.071 1077.293
[3,] 220.98 382.638 396.379 134.951 917.546 1125.059 1008.661 1139.076
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.842 0.8411 2.92 0.9602 2.233 2.202 2.673 3.895
[2,] 313.331 80.6167 946.69 10.0301 236.391 216.882 718.096 732.987
[3,] 167.666 64.4961 786.40 90.6190 455.334 68.736 240.257 157.030
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.368 3.287 1.777 2.775 1.389 4.66 3.776 5.051
[2,] 31.869 478.500 111.332 1061.287 61.229 903.16 1783.476 450.215
[3,] 109.440 332.160 9.517 661.582 4.983 806.97 719.988 441.775
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.252 6.094 5.784 4.129 1.074 3.993 3.773 4.79
[2,] 2169.996 975.117 1551.642 1827.323 65.095 2099.430 469.237 1214.09
[3,] 781.028 1035.779 1303.851 1381.294 43.646 1271.878 438.544 1304.66
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.579 2.25 1.304 3.573 2.534 6.11 5.875 0.8595
[2,] 619.512 151.95 19.342 595.543 280.068 59.25 243.620 289.2625
[3,] 690.176 371.42 54.034 305.306 98.221 296.20 1096.582 282.0839
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.8664 1.354 1.296 2.767 1.508 0.6995 1.473 14.23
[2,] 546.0992 39.630 30.692 216.759 169.829 112.0740 227.721 1170.94
[3,] 68.2406 69.290 90.480 346.848 125.548 140.5287 34.918 1515.96
[,98]
[1,] 4.004
[2,] 734.232
[3,] 703.144
[1] "--- VAR model 2017-10-01 01:31:00 completed"
[1] "Completed training sample: 2017-10-01 01:31:00 - 2017-10-01 09:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 02:01:00 - 2017-10-01 10:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
11.23 1.4829 -48.25 -56.88
12.57 1.0309 -50.91 -51.59
14.34 0.6139 -51.38 -52.62
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-44.02 -0.35518 2.791 -0.5732
-53.74 -0.03356 2.574 -0.3509
-51.76 -0.15809 2.292 0.4400
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.6917 2.45529 -1.7238 -10.27
-0.5757 -1.75950 -0.8934 -14.47
-0.6295 -0.07592 -0.5594 -13.62
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.449 -5.245 -6.116 11.23
2.255 -2.594 -1.733 12.51
2.439 -2.001 -4.352 13.35
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.176 2.592 7.261 23.66
7.717 6.396 9.587 25.10
7.639 9.350 12.938 23.67
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-50.56 -7.212 -108.7 -52.49
-57.14 -5.987 -107.5 -51.02
-54.57 -7.420 -112.4 -55.23
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.017 -51.90 -59.15 -15.45
-5.773 -50.77 -54.16 -14.85
-5.841 -55.27 -57.77 -15.06
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-58.79 -5.352 -45.25 -21.10
-51.70 -5.344 -54.86 -22.25
-53.55 -4.996 -52.31 -21.92
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.26 -45.94 -48.52 -49.33
-10.95 -52.15 -55.29 -49.20
-10.89 -52.05 -54.21 -54.06
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.913 -3.4121 -1.8319 0.1953
1.740 -0.4326 -1.3706 0.2354
1.706 -4.0023 -0.9043 0.0801
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.78552 0.16368 -33.80 -35.62
0.36510 0.08878 -32.11 -34.67
0.07863 -0.09642 -31.94 -35.44
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.729 5.182 -26.87 3.992
6.623 5.148 -23.46 5.033
7.080 4.529 -22.02 5.158
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.046 -0.9189 -21.40 2.265
9.636 -0.4374 -23.78 3.166
9.174 -0.9559 -16.63 3.613
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.806 -16.48 -12.01 -14.37
-1.827 -16.65 -11.90 -12.28
-1.494 -17.45 -14.93 -13.77
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-17.07 0.5466 -0.01373 -7.095
-12.09 0.1717 -0.03690 -14.230
-12.53 0.4292 0.12352 -11.503
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9374 -3.834 1.6542 -6.414
-0.6996 -8.806 0.5833 -2.619
-1.1109 -7.415 0.8995 -8.197
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.818 0.37502 -4.683 -0.23403
-2.328 0.41377 -3.802 -0.05224
-5.135 0.08863 -4.674 -0.09089
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.812 -0.20170 22.63 23.28
-5.755 -0.25340 22.11 19.63
-2.854 -0.02579 20.07 19.91
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.623 26.09 19.59 36.58
6.248 20.26 19.36 32.48
5.527 20.11 21.73 31.78
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
34.61 0.2121 30.72 7.240
36.60 -0.0696 33.54 6.790
31.40 0.2409 29.28 7.399
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
35.52 0.8772 -3.428 -0.23899
39.09 0.8254 -3.529 -0.14107
33.14 0.7621 -4.104 -0.04757
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.393 1.0989 0.6868 1.609
-1.581 0.6262 -0.4361 2.439
-2.350 0.5767 -1.2471 1.264
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
12.77 24.85 20.70 17.68
12.06 25.60 18.75 16.74
10.25 25.91 15.82 13.27
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.703 1.681 -6.910 -1.0021
-4.863 1.895 -6.706 -0.9842
-4.107 2.134 -6.402 -1.2204
rnd_95776.volume rnd_95787.volume
-51.20 -50.89
-39.83 -47.53
-40.48 -54.68
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.319 1.984 3.859 3.388 3.446 0.6325 1.699 3.723 4.607 3.259 2.443
[2,] 4.515 1.989 4.082 4.258 3.899 0.6440 1.712 3.731 4.609 4.416 2.774
[3,] 4.564 2.053 4.219 4.589 4.295 0.6440 1.714 3.732 4.612 4.432 2.815
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.366 2.399 3.241 3.218 3.628 4.633 2.974 4.346 5.203 4.442 2.732
[2,] 3.416 2.409 3.903 3.815 3.756 5.143 4.992 5.396 5.385 4.547 2.760
[3,] 3.451 2.428 4.026 4.183 3.796 5.579 5.449 5.946 5.763 4.846 2.800
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.137 3.689 0.5344 3.513 4.035 0.9653 3.022 0.4655 3.239 1.253 0.6486
[2,] 9.025 4.019 0.5581 4.152 4.420 1.0119 3.895 0.4963 3.437 1.325 0.6774
[3,] 9.339 4.126 0.6092 4.421 5.093 1.0971 4.224 0.5182 3.773 1.433 0.7323
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.736 3.154 3.100 3.724 2.925 1.704 0.9785 1.782 0.7413 1.400 1.537
[2,] 3.852 3.566 3.338 3.933 3.291 1.774 0.9801 1.823 0.7449 1.530 1.679
[3,] 4.225 3.823 3.582 3.955 3.309 1.807 0.9992 1.825 0.7457 1.637 1.750
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.273 1.770 2.434 2.972 4.007 2.400 3.281 2.936 1.266 3.275 2.879
[2,] 2.451 1.803 2.517 3.025 4.015 2.407 4.010 2.983 1.301 3.946 3.240
[3,] 2.512 1.835 2.587 3.102 4.058 2.432 4.130 2.988 1.322 4.205 3.710
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.580 1.945 2.326 0.6757 2.521 0.7821 1.875 1.902 2.286 3.860 1.165
[2,] 2.897 2.604 2.363 0.6916 2.917 0.7860 1.902 1.943 2.603 4.021 1.170
[3,] 3.313 3.217 2.374 0.6987 3.199 0.8093 2.024 1.944 2.620 4.026 1.185
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.491 1.601 2.272 1.133 4.046 3.487 4.248 4.780 5.112 5.547 3.901
[2,] 2.830 1.614 2.898 1.141 4.249 4.553 4.322 5.926 5.289 6.111 4.668
[3,] 2.881 1.614 3.121 1.141 4.357 4.678 4.359 6.037 5.554 6.399 5.245
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9415 4.464 3.160 3.963 2.173 1.866 1.117 2.987 2.081 5.056 4.789
[2,] 0.9454 4.923 3.308 4.460 2.358 1.885 1.118 3.140 2.111 5.068 4.824
[3,] 0.9484 5.321 3.372 4.912 2.611 2.001 1.123 3.154 2.123 5.078 5.053
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.498 1.608 1.523 1.362 2.233 1.346 0.5440 1.158 11.38 3.652
[2,] 1.634 1.916 1.889 1.714 2.261 1.365 0.5668 1.237 11.95 4.025
[3,] 1.754 2.189 2.102 1.937 2.340 1.368 0.5988 1.239 12.27 4.124
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.484 2.52 4.9 4.303 4.376 0.8032 2.157 4.728 5.85
[2,] 961.669 93.90 973.4 1882.959 1332.410 88.3568 156.301 174.799 105.25
[3,] 486.649 373.48 776.3 1249.026 1314.572 1.2055 58.637 44.899 134.91
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.138 3.102 3.004 3.047 4.115 4.087 4.607 5.883
[2,] 2175.945 959.057 1799.828 156.543 1588.553 1496.254 711.546 1631.064
[3,] 272.191 349.989 354.658 220.413 721.912 1252.863 401.062 1577.917
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.777 5.519 6.607 5.64 3.469 9.063 4.685 0.6786
[2,] 2927.766 2334.570 1012.778 711.25 287.047 4033.589 1164.602 117.5028
[3,] 1594.364 1823.665 1499.493 1223.97 345.438 1753.276 680.332 178.2437
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.461 5.124 1.226 3.837 0.5911 4.113 1.591 0.8236
[2,] 1615.421 1318.293 221.503 1794.259 125.5290 839.107 314.880 142.7807
[3,] 1110.238 1847.836 309.610 1194.354 109.0758 1137.411 398.687 203.0062
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.744 4.005 3.936 4.729 3.714 2.163 1.243 2.263
[2,] 684.628 1214.155 905.097 923.778 1102.755 360.227 40.404 279.723
[3,] 1266.566 1005.965 948.338 306.343 244.717 254.060 142.209 60.397
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.9413 1.778 1.952 2.886 2.248 3.09 3.774 5.089
[2,] 52.9922 450.974 492.266 670.411 251.128 468.60 411.283 182.101
[3,] 26.1373 425.070 361.752 400.154 248.243 437.38 500.719 428.337
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.048 4.166 3.729 1.608 4.159 3.655 3.277 2.47
[2,] 138.925 1684.313 383.788 217.495 1607.415 1085.433 961.525 1264.48
[3,] 250.349 721.767 128.369 169.416 1061.173 1319.756 1173.580 1378.77
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.953 0.858 3.201 0.9931 2.381 2.415 2.902 4.902
[2,] 305.535 107.684 1070.998 57.3943 234.735 291.846 910.079 821.927
[3,] 163.286 72.368 958.652 140.8173 504.419 39.915 218.284 142.111
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.48 3.163 2.032 2.886 1.439 5.137 4.428 5.394
[2,] 76.39 979.852 150.886 1313.137 93.753 949.383 2137.390 582.825
[3,] 137.04 396.452 21.696 845.354 1.745 703.063 784.278 414.402
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 6.07 6.492 7.043 4.954 1.196 5.669 4.013 5.032
[2,] 2557.13 990.453 1872.637 1871.898 62.328 1516.248 714.025 1494.851
[3,] 843.58 1236.714 1386.573 1746.083 54.866 1473.375 475.314 1501.838
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.759 2.369 1.418 3.793 2.643 6.42 6.081 1.903
[2,] 668.457 199.218 44.082 706.543 258.082 252.70 423.622 475.996
[3,] 818.488 489.373 77.795 221.479 163.479 236.74 1097.224 465.432
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.042 1.933 1.729 2.835 1.709 0.6908 1.471 14.45
[2,] 760.453 816.033 759.806 260.791 164.864 116.1568 315.917 2667.61
[3,] 773.000 674.470 659.334 439.545 64.783 141.0978 50.956 2005.16
[,98]
[1,] 4.638
[2,] 1234.523
[3,] 658.307
[1] "--- VAR model 2017-10-01 02:01:00 completed"
[1] "Completed training sample: 2017-10-01 02:01:00 - 2017-10-01 10:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 02:31:00 - 2017-10-01 10:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
17.80 2.346 -54.98 -60.07
21.13 3.276 -54.35 -49.59
15.99 1.937 -61.90 -55.42
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-39.91 -0.3096 5.009 -1.4338
-57.04 -0.4796 4.105 -1.1312
-53.33 -0.2934 3.865 -0.9372
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.197 -4.255 -0.8645 -19.56
-1.132 -1.854 0.4771 -14.30
-1.143 -1.657 0.3155 -16.22
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.506 -9.234 -10.979 9.433
2.436 -8.470 -4.561 12.121
2.859 -5.702 -4.293 13.412
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.410 -5.706 1.227 31.81
4.191 1.177 -2.150 23.52
3.993 6.723 10.365 31.31
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-50.88 -8.787 -122.8 -58.10
-47.88 -5.202 -117.0 -57.17
-55.12 -7.090 -108.6 -53.89
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.268 -47.27 -54.05 -16.78
-7.527 -56.44 -59.08 -17.16
-6.920 -56.76 -58.22 -17.38
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-58.51 -5.265 -56.13 -21.50
-49.59 -5.084 -51.78 -21.83
-56.62 -4.973 -59.46 -20.94
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.26 -50.48 -46.12 -59.50
-12.86 -54.44 -55.15 -53.55
-12.11 -57.41 -53.86 -49.87
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.263 0.6459 -0.30698 -0.6059
2.675 -0.3332 -0.29421 -0.5116
2.706 -2.3061 -0.08236 -0.1389
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.49166 -0.006168 -32.70 -33.61
0.40586 -0.211474 -28.04 -34.92
0.08337 -0.012744 -32.22 -34.36
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
13.13 8.214 -22.03 6.064
13.05 6.053 -21.84 3.668
12.89 4.896 -22.43 4.850
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.633 -1.1450 -18.719 4.207
8.504 -1.6461 -9.688 5.815
8.305 -0.6676 -13.931 5.739
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.4317 -14.921 -7.260 -8.172
-0.4298 -13.370 -11.142 -11.693
-0.7421 -9.358 -6.816 -9.030
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.787 -0.5807 -0.12806 -9.047
-8.202 -0.2733 -0.02500 -10.098
-10.751 -0.3259 -0.01874 -10.597
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.03570 -2.650 1.7686 -7.172
0.87349 -8.632 0.7436 -1.755
0.03616 -4.926 0.9211 -6.224
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.360 0.38054 -8.877 0.36536
-0.696 0.17103 -1.809 -0.01655
-4.624 0.06615 -5.210 -0.15598
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.382 0.11177 25.09 13.56
-6.593 -0.03135 21.98 19.34
-1.598 0.11781 21.07 14.65
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.444 19.91 37.76 39.11
8.511 22.25 33.95 41.69
6.883 20.64 32.93 42.42
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
42.16 -0.10245 40.63 3.523
41.34 0.02524 43.27 5.001
40.81 -0.24313 44.38 4.363
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
37.88 0.12905 -1.360 -0.32530
38.45 0.05433 -3.259 -0.43587
42.01 0.06440 -1.744 -0.09084
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.1471 0.0365 2.437 4.364
-0.7642 0.2748 0.188 3.290
-1.9410 0.0523 -1.324 1.967
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
13.76 14.61 19.70 15.81
13.64 13.88 18.51 15.32
12.89 13.31 18.37 14.56
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.291 4.328 -6.854 0.1988
-3.907 5.057 -6.366 -0.5493
-2.753 4.274 -6.898 -0.6848
rnd_95776.volume rnd_95787.volume
-24.93 -50.78
-28.10 -55.17
-31.10 -54.93
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.547 1.935 4.915 4.091 3.930 0.4797 1.803 4.098 4.938 3.357 2.641
[2,] 4.698 1.968 5.103 5.051 4.595 0.4967 1.841 4.117 4.939 4.653 2.909
[3,] 4.783 1.988 5.439 5.334 5.063 0.4969 1.849 4.117 4.960 4.668 2.953
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.610 2.549 3.064 3.220 3.792 4.767 3.243 4.632 5.104 5.142 2.660
[2,] 3.774 2.566 3.881 3.901 3.988 5.175 5.040 5.783 5.359 5.377 2.702
[3,] 3.799 2.587 3.971 4.294 4.055 5.827 5.518 6.264 5.858 5.576 2.770
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.406 4.161 0.6067 4.256 4.525 1.024 3.923 0.4881 3.521 1.306 0.7372
[2,] 10.780 4.636 0.6394 4.756 4.998 1.090 4.877 0.5134 3.732 1.372 0.7755
[3,] 10.993 4.827 0.7063 5.194 5.567 1.163 5.139 0.5359 3.930 1.485 0.8312
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.396 3.650 3.939 4.192 3.089 1.918 1.084 1.866 0.8126 1.743 2.042
[2,] 4.635 3.973 4.192 4.351 3.442 2.006 1.090 1.908 0.8141 1.918 2.276
[3,] 4.945 4.366 4.377 4.372 3.459 2.025 1.104 1.909 0.8141 2.094 2.358
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.311 1.914 2.566 3.209 4.242 2.444 3.374 3.078 1.284 3.404 2.950
[2,] 2.597 1.978 2.652 3.231 4.257 2.449 4.221 3.117 1.310 4.150 3.341
[3,] 2.675 2.026 2.704 3.394 4.286 2.465 4.289 3.139 1.331 4.446 3.909
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.664 1.983 2.427 0.6826 2.509 0.9188 1.928 2.035 2.427 4.391 1.220
[2,] 2.945 2.630 2.463 0.6955 2.924 0.9190 1.983 2.089 2.738 4.535 1.224
[3,] 3.425 3.277 2.465 0.7027 3.230 0.9512 2.139 2.093 2.760 4.556 1.238
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.733 1.803 2.541 1.145 4.320 3.880 4.733 4.984 5.087 5.654 4.152
[2,] 3.211 1.807 3.217 1.152 4.605 4.910 4.760 6.223 5.462 6.499 5.031
[3,] 3.289 1.807 3.425 1.153 4.756 5.032 4.881 6.369 5.729 6.796 5.598
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.008 4.634 3.240 4.322 2.259 1.884 1.269 3.154 2.267 5.479 5.077
[2,] 1.011 5.022 3.385 4.708 2.451 1.923 1.269 3.299 2.306 5.486 5.127
[3,] 1.012 5.618 3.468 5.322 2.698 2.088 1.280 3.311 2.312 5.494 5.362
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.857 2.061 1.853 1.654 2.119 1.464 0.5474 1.183 12.18 4.254
[2,] 2.030 2.290 2.329 2.226 2.190 1.473 0.5682 1.256 12.53 4.474
[3,] 2.181 2.492 2.530 2.388 2.317 1.502 0.5946 1.260 12.79 4.865
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.774 2.458 6.241 5.195 4.991 0.6092 2.289 5.204
[2,] 999.658 303.693 1161.283 2509.403 2015.736 108.9395 314.271 329.177
[3,] 760.714 234.319 1594.930 1451.092 1800.448 11.9596 147.638 53.070
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.27 4.263 3.354 3.314 3.237 3.891 4.089 4.815
[2,] 111.00 2728.579 1031.748 2308.130 252.352 2016.394 1864.844 1047.100
[3,] 385.21 310.663 433.930 372.405 276.498 713.010 1519.405 621.648
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.054 4.119 5.882 6.481 6.53 3.378 10.67 5.284
[2,] 1704.720 3266.266 2931.406 1382.382 1331.03 399.063 5714.74 1730.400
[3,] 2268.406 1903.099 2039.534 2004.200 1248.46 518.891 1821.76 1139.850
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7705 5.404 5.746 1.301 4.981 0.6198 4.471 1.659
[2,] 170.8691 1797.464 1796.947 316.430 2453.367 134.8573 1047.843 356.215
[3,] 254.0077 1767.852 2076.535 341.953 1373.105 130.0984 1044.300 481.042
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.9362 5.582 4.635 5.002 5.323 3.923 2.436 1.377
[2,] 203.7287 1242.979 1329.741 1214.758 985.562 1285.288 498.013 94.087
[3,] 253.4328 1460.119 1532.172 1065.798 365.824 287.630 229.546 148.230
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.369 1.032 2.213 2.593 2.934 2.431 3.258 4.075
[2,] 337.662 41.413 678.036 850.943 1003.686 422.197 568.462 320.511
[3,] 61.374 4.685 711.729 522.426 541.588 372.663 443.645 879.556
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.387 3.103 4.285 3.908 1.631 4.323 3.746 3.383
[2,] 301.759 140.049 2147.135 417.106 221.545 2009.893 1328.486 1063.050
[3,] 421.132 230.858 644.146 313.178 195.349 1351.860 1718.142 1480.752
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.518 3.082 0.8668 3.187 1.167 2.448 2.584 3.082
[2,] 1462.244 353.920 112.8627 1270.865 16.987 391.058 401.814 1072.730
[3,] 1656.483 86.694 84.6076 1161.464 207.982 680.290 106.579 299.526
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.576 1.549 3.471 2.289 3.227 1.454 5.486 4.927
[2,] 959.556 82.544 1427.315 98.002 1670.581 108.371 1349.883 2547.491
[3,] 373.967 160.743 602.079 3.935 994.602 30.416 1004.869 933.574
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.011 6.329 6.459 7.18 5.272 1.28 5.884 4.114
[2,] 429.198 3155.981 1683.965 2712.52 2406.424 62.40 1638.677 830.610
[3,] 912.831 1145.676 1465.601 1682.92 2078.650 41.92 2133.122 637.462
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.488 2.869 2.393 1.611 4.005 2.879 6.958 6.446
[2,] 1580.937 805.343 324.755 3.856 818.934 354.724 237.358 609.169
[3,] 2100.834 954.693 688.938 144.824 245.969 146.084 238.736 1329.148
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.358 2.617 2.353 2.1 2.69 1.859 0.6951 1.502
[2,] 695.838 845.644 1194.536 1261.5 469.60 141.354 129.0866 357.224
[3,] 673.682 831.195 837.307 732.5 641.27 249.220 148.1840 81.310
[,97] [,98]
[1,] 15.46 5.402
[2,] 2505.88 1173.395
[3,] 2147.34 1618.809
[1] "--- VAR model 2017-10-01 02:31:00 completed"
[1] "Completed training sample: 2017-10-01 02:31:00 - 2017-10-01 10:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 03:01:00 - 2017-10-01 11:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.273 1.643 -69.90 -67.32
8.901 2.557 -63.94 -63.85
4.856 1.741 -59.34 -62.60
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-51.57 -0.7363 2.980 -2.347
-64.87 -0.8373 2.892 -2.726
-65.46 -0.7093 2.852 -4.296
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.251 -6.212 0.27758 -20.03
-4.147 -3.670 0.36750 -17.67
-3.798 -5.773 -0.08472 -18.80
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.936 -6.575 -6.116 4.233
2.143 -9.857 -9.503 5.390
2.051 -9.574 -6.959 4.949
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.335 4.524 -2.8384 13.57
-2.451 -1.939 0.4017 14.56
-1.220 -3.962 1.0659 18.00
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.27 -8.012 -105.0 -55.29
-71.34 -7.070 -134.8 -61.96
-60.49 -7.266 -138.9 -66.93
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.307 -64.78 -76.69 -15.84
-9.281 -61.06 -58.15 -15.44
-9.191 -65.39 -71.12 -16.84
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-71.91 -5.547 -67.82 -25.68
-63.90 -5.603 -71.49 -26.17
-62.61 -6.243 -56.29 -25.77
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.51 -51.95 -52.19 -64.40
-13.48 -64.00 -68.82 -57.38
-13.64 -65.61 -67.68 -66.83
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.0269 -6.603 1.1183 -0.4640
1.2747 -1.006 0.4583 -0.3307
0.7093 -4.350 0.3767 -0.0959
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.3964 -0.03892 -37.13 -40.35
0.1048 -0.15291 -32.54 -37.93
-0.2606 -0.01718 -38.02 -41.65
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.590 5.288 -27.42 6.515
8.705 4.280 -28.86 9.406
8.909 4.555 -25.28 7.057
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.494 -1.4852 -22.57 5.179
3.354 -0.4414 -21.02 3.300
5.095 -1.2623 -17.86 4.454
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.091 -18.59 -10.86 -14.73
-1.279 -19.22 -16.60 -15.35
-1.151 -16.30 -14.20 -12.57
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-18.99 -0.18445 0.5279 -11.97
-11.64 0.02299 0.3989 -13.31
-15.84 -0.04322 0.3492 -15.70
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.184 -7.674 1.5192 -11.682
-1.262 -11.687 0.6594 -5.563
-1.225 -8.380 1.1423 -8.696
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.792 -0.3097 -16.218 0.12828
-3.692 -0.6910 -5.144 -0.03472
-6.120 -0.2249 -5.548 -0.03007
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.067 -0.1881494 19.59 13.371
-9.884 -0.1501771 16.18 10.214
-3.717 0.0008559 17.01 8.148
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.1125 10.77 11.07 13.77
-1.2820 13.34 14.05 17.89
-0.8930 10.54 10.99 19.69
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.78 -0.031432 18.81 3.961
18.28 -0.064249 14.46 2.583
19.16 -0.003078 18.92 4.291
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
17.24 -0.4273 -2.597 0.28097
14.48 -0.6278 -4.347 0.37954
19.03 -0.6841 -2.848 0.09385
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.551 -1.1310 1.451 0.05758
-1.629 -0.7621 3.917 -1.66184
-2.705 -0.4953 3.631 -0.33856
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
11.050 15.15 16.53 13.16
10.883 15.16 15.86 15.13
9.781 14.25 15.56 14.80
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.509 2.992 -8.032 -1.3292
-5.883 1.360 -7.483 -0.7692
-3.535 1.405 -7.718 -1.0423
rnd_95776.volume rnd_95787.volume
-43.88 -66.13
-30.27 -53.86
-46.13 -65.95
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.757 2.277 5.892 4.764 4.760 0.3935 1.900 4.247 4.969 3.530 2.854
[2,] 4.879 2.343 6.170 5.887 5.400 0.4078 1.940 4.247 5.020 4.632 3.107
[3,] 4.938 2.366 6.451 6.081 5.844 0.4126 1.953 4.250 5.043 4.660 3.160
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.755 2.738 3.270 3.354 3.934 4.923 3.566 5.311 5.906 6.379 2.599
[2,] 3.888 2.746 3.971 3.973 4.164 5.083 5.332 6.285 6.174 6.561 2.640
[3,] 3.923 2.754 4.093 4.366 4.264 5.873 5.702 6.616 6.500 6.762 2.683
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.897 5.105 0.6396 5.294 5.272 1.079 4.744 0.4939 4.394 1.356 0.8139
[2,] 12.935 5.674 0.6752 5.598 5.840 1.147 6.016 0.5199 4.759 1.457 0.8587
[3,] 13.369 5.842 0.7443 6.208 6.607 1.217 6.197 0.5437 4.888 1.599 0.9224
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.409 4.310 4.375 4.533 3.222 2.260 1.250 2.258 0.8940 2.159 2.519
[2,] 5.529 4.720 4.717 4.676 3.595 2.324 1.255 2.278 0.8991 2.356 2.683
[3,] 6.039 5.182 4.938 4.704 3.623 2.342 1.270 2.279 0.8995 2.471 2.857
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.682 1.980 2.712 3.605 4.577 2.472 3.729 3.211 1.401 3.564 3.045
[2,] 2.802 2.082 2.752 3.632 4.605 2.474 4.489 3.269 1.424 4.369 3.506
[3,] 2.905 2.144 2.839 3.818 4.625 2.487 4.570 3.323 1.441 4.626 3.997
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.782 2.080 2.613 0.7277 2.650 0.9496 2.049 2.250 2.584 4.560 1.326
[2,] 3.073 2.803 2.650 0.7358 3.038 0.9546 2.128 2.305 2.843 4.687 1.333
[3,] 3.641 3.439 2.650 0.7418 3.357 0.9643 2.325 2.311 2.868 4.703 1.367
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.910 2.019 2.696 1.232 4.760 4.365 5.507 5.458 5.540 5.855 4.521
[2,] 3.359 2.034 3.369 1.237 5.036 5.164 5.613 6.571 5.885 6.707 5.570
[3,] 3.497 2.038 3.534 1.240 5.142 5.264 5.845 6.758 6.147 6.998 6.013
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.033 4.896 3.385 4.442 2.428 1.922 1.423 3.307 2.650 6.100 5.487
[2,] 1.033 5.112 3.540 4.899 2.617 1.974 1.424 3.469 2.696 6.100 5.519
[3,] 1.035 5.921 3.646 5.555 2.851 2.098 1.429 3.487 2.710 6.183 5.736
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.182 2.086 2.177 1.876 2.330 1.785 0.5725 1.220 12.44 4.950
[2,] 2.369 2.676 2.708 2.381 2.456 1.817 0.5887 1.297 13.06 5.439
[3,] 2.517 2.893 2.866 2.972 2.616 1.843 0.6125 1.301 13.30 5.797
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.04 2.892 7.482 6.05 6.044 0.4997 2.413 5.393
[2,] 1001.74 511.271 1691.768 3193.86 2354.311 98.8352 362.359 9.264
[3,] 705.13 303.739 1739.567 1407.80 2063.223 57.7347 204.849 140.672
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.31 4.482 3.624 3.498 3.477 4.153 4.259 4.996
[2,] 657.88 2769.939 1133.557 2532.867 189.777 2079.165 1966.651 1260.758
[3,] 442.04 472.918 534.448 487.142 196.745 916.417 1672.515 844.450
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.251 4.529 6.745 7.5 8.1 3.3 12.57 6.482
[2,] 1167.238 3659.963 3102.519 1661.0 1416.4 427.9 7691.78 2287.252
[3,] 2718.321 1866.714 1908.502 1878.1 1510.8 442.0 3119.91 1285.731
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8122 6.723 6.694 1.37 6.024 0.6272 5.58 1.722
[2,] 199.8180 1679.188 2319.805 360.19 3416.373 149.8414 1686.76 493.288
[3,] 289.1271 2478.260 2853.819 374.32 1375.087 146.9847 1029.18 608.062
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.034 6.869 5.473 5.555 5.756 4.091 2.87 1.588
[2,] 252.707 1059.250 1775.936 1629.391 1060.534 1472.471 498.83 100.172
[3,] 311.062 2243.352 1975.647 1348.997 477.266 414.361 267.85 176.517
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.867 1.135 2.741 3.198 3.406 2.514 3.444 4.578
[2,] 278.627 88.272 871.565 852.405 747.969 593.554 432.245 409.080
[3,] 76.984 26.985 687.820 908.521 709.033 472.142 644.303 1087.807
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.813 3.139 4.736 4.078 1.779 4.526 3.867 3.533
[2,] 461.555 106.916 2307.128 563.372 236.400 2333.274 1604.026 1203.881
[3,] 401.885 231.398 789.649 550.969 199.014 1404.074 1772.831 1803.066
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.641 3.318 0.924 3.365 1.206 2.602 2.857 3.282
[2,] 1734.869 410.983 100.832 1373.144 90.496 528.992 461.496 1093.274
[3,] 1841.048 3.250 86.734 1319.328 125.692 864.716 156.835 354.088
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.791 1.684 3.696 2.564 3.424 1.564 6.044 5.543
[2,] 999.466 120.410 1549.002 226.691 1866.018 104.255 1518.534 2548.442
[3,] 366.275 281.523 899.311 110.150 984.752 78.836 957.204 940.311
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.993 6.931 7.034 7.435 5.741 1.312 6.218 4.298
[2,] 1000.896 3379.511 1835.089 3022.422 3004.872 16.403 1355.132 957.848
[3,] 1504.963 1457.840 1638.451 1843.946 2091.140 60.270 2760.542 805.169
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.641 3.083 2.441 1.807 4.199 3.366 7.746 6.968
[2,] 1908.254 903.284 415.563 34.622 968.714 454.176 55.171 543.310
[3,] 2417.972 1043.702 655.411 115.886 324.541 257.299 929.214 1443.128
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.77 2.648 2.765 2.383 2.958 2.266 0.727 1.549
[2,] 852.43 1549.030 1486.789 1353.860 719.096 315.866 126.532 406.113
[3,] 786.52 1012.894 867.283 1642.631 832.308 282.775 156.232 101.111
[,97] [,98]
[1,] 15.79 6.286
[2,] 3669.67 2081.411
[3,] 2360.41 1851.941
[1] "--- VAR model 2017-10-01 03:01:00 completed"
[1] "Completed training sample: 2017-10-01 03:01:00 - 2017-10-01 11:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 03:31:00 - 2017-10-01 11:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
6.214 1.612 -52.92 -68.76
4.710 2.684 -63.34 -58.70
5.784 2.640 -58.46 -57.97
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-55.57 -0.5446 3.061 -2.477
-59.99 -0.5376 2.351 -2.944
-58.56 -0.6163 2.258 -1.951
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.330 -8.180 1.067 -16.07
-3.055 -2.206 -0.560 -18.93
-2.435 -3.932 -0.985 -16.45
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.720 -6.791 -11.542 2.439
2.927 -8.794 -5.371 2.948
1.691 -7.641 -7.971 3.144
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.2538 -10.656 5.725 24.14
0.2956 -1.594 -7.749 13.58
-2.9564 -1.202 1.615 14.76
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-53.71 2.4261 -107.4 -52.14
-59.58 -0.1923 -113.8 -58.28
-58.87 -4.4106 -124.5 -60.42
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.544 -59.19 -63.92 -14.66
-6.618 -51.70 -57.91 -15.20
-6.907 -57.50 -60.31 -14.95
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-67.56 -5.159 -61.15 -27.83
-58.62 -5.650 -56.72 -27.66
-55.38 -5.533 -52.09 -27.57
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.99 -59.25 -65.81 -55.82
-12.41 -61.39 -65.45 -61.02
-12.95 -61.20 -62.55 -61.13
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.886 3.7805 0.3593 -0.43980
2.318 -3.9673 0.5119 -0.32910
2.730 -0.0264 0.2653 -0.07038
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.28842 0.159568 -32.21 -41.98
0.06569 -0.035057 -35.87 -39.79
0.15211 0.005447 -35.61 -38.44
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.202 5.301 -22.71 5.003
8.953 1.374 -26.80 6.584
7.898 5.076 -25.67 9.455
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.689 0.07195 -24.673 3.836
7.636 0.09358 -4.763 5.311
3.305 -0.41925 -17.592 4.161
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.20590 -23.387 -10.789 -8.455
-0.02106 -13.704 -18.658 -16.067
-0.46122 -7.834 -3.488 -12.580
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.517 2.9108 -0.14295 -11.111
-14.675 -0.2642 -0.05484 -6.096
-16.937 0.3209 -0.02842 -17.481
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7304 -8.988 0.3613 -7.212
-1.5872 -2.509 0.1798 -6.547
-0.4534 -6.902 0.5928 -2.846
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.540 -0.25552 -9.004 0.9753
-4.348 -0.03625 -5.808 1.6532
-1.100 -0.06427 -2.502 -0.1522
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.934 -0.0003766 5.603 5.289
-5.583 -0.2638771 6.915 1.535
-4.294 -0.0311569 7.553 5.415
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.5211 4.906 11.35 10.54
1.2120 5.712 11.37 12.26
0.8347 5.877 16.45 12.20
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.42 -0.1963 5.543 3.740
12.73 -0.2941 14.106 4.575
11.69 -0.1161 11.713 2.855
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.31 -0.9049 -2.7669 0.2475
13.94 -0.9644 -4.6746 0.1041
14.19 -1.2236 0.2159 -0.2475
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.6477 2.0053 3.792 -0.6356
-4.1566 1.0719 1.329 -0.3527
-0.6129 0.8743 1.580 -0.2195
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.717 14.08 13.74 12.17
5.636 10.10 12.52 13.92
6.796 10.62 10.34 9.39
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.0160 -0.1598 -7.674 0.4744
-0.5995 0.3058 -7.445 -0.6451
-2.8227 1.9179 -7.816 -1.8029
rnd_95776.volume rnd_95787.volume
-14.85 -58.81
-25.68 -53.48
-45.10 -57.78
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.102 3.018 6.411 5.313 5.404 0.2969 2.035 4.417 5.212 3.668 2.993
[2,] 5.289 3.020 6.636 6.432 5.998 0.3032 2.078 4.418 5.323 4.845 3.237
[3,] 5.351 3.076 6.826 6.604 6.342 0.3081 2.095 4.426 5.337 4.893 3.305
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.986 3.077 3.404 3.465 4.613 5.769 4.204 6.214 6.426 7.062 2.983
[2,] 4.149 3.114 4.077 4.087 4.755 5.942 6.474 7.575 6.753 7.325 3.145
[3,] 4.206 3.203 4.236 4.526 4.933 6.665 6.686 8.132 7.297 7.549 3.215
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.22 5.533 0.6468 5.927 5.814 1.130 5.189 0.5038 5.164 1.524 0.8748
[2,] 14.27 6.167 0.6834 6.333 6.257 1.194 6.245 0.5309 5.619 1.616 0.9087
[3,] 14.67 6.313 0.7777 7.080 7.194 1.285 6.400 0.5600 5.774 1.756 0.9737
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.097 4.952 5.106 4.902 3.568 2.628 1.369 2.451 1.040 2.469 3.123
[2,] 6.295 5.344 5.487 5.025 3.917 2.692 1.374 2.462 1.044 2.597 3.475
[3,] 6.784 5.750 5.794 5.063 3.947 2.713 1.385 2.465 1.044 2.758 3.538
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.888 2.101 2.835 3.919 5.071 2.619 3.994 3.508 1.474 3.788 3.326
[2,] 3.041 2.154 2.883 3.931 5.111 2.623 4.868 3.577 1.496 4.825 3.805
[3,] 3.211 2.192 2.952 4.101 5.227 2.637 4.938 3.611 1.506 5.018 4.319
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.217 2.193 2.957 0.7608 2.859 1.031 2.170 2.426 2.733 4.663 1.413
[2,] 3.556 3.065 3.026 0.7688 3.215 1.039 2.236 2.495 2.974 4.797 1.418
[3,] 4.149 3.781 3.026 0.7789 3.580 1.045 2.459 2.504 2.996 4.808 1.460
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.137 2.275 2.953 1.301 5.084 4.805 5.951 6.267 5.681 6.104 4.785
[2,] 3.655 2.288 3.682 1.310 5.338 5.560 6.093 7.236 5.979 6.866 6.118
[3,] 3.715 2.303 3.822 1.311 5.505 5.761 6.286 7.351 6.182 7.222 6.503
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.134 5.235 3.580 4.959 2.588 2.011 1.644 3.433 3.141 6.425 5.742
[2,] 1.134 5.473 3.713 5.554 2.751 2.066 1.645 3.693 3.190 6.428 5.771
[3,] 1.137 6.435 3.837 6.312 2.950 2.262 1.651 3.739 3.200 6.522 5.999
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.380 2.288 2.420 1.981 2.565 2.019 0.5995 1.250 13.71 5.434
[2,] 2.611 2.949 2.894 2.584 2.737 2.040 0.6153 1.319 14.06 6.002
[3,] 2.743 3.189 3.064 3.160 2.906 2.048 0.6461 1.329 14.38 6.334
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.479 3.832 8.14 6.747 6.863 0.377 2.584 5.609
[2,] 1561.470 130.107 1925.18 4065.984 2918.049 69.251 472.392 72.823
[3,] 911.452 656.062 1793.94 1680.994 2311.881 61.453 293.907 295.968
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.619 4.658 3.801 3.792 3.907 4.323 4.4 5.858
[2,] 1212.315 3549.464 1383.842 3230.403 537.528 2516.609 2430.2 1290.174
[3,] 432.119 770.323 746.251 773.355 842.176 1289.468 2181.9 1475.351
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.326 5.338 7.89 8.16 8.967 3.788 14.25 7.026
[2,] 1599.590 5522.808 4859.68 2328.96 2181.710 1118.012 9885.58 3055.045
[3,] 3384.855 1872.290 3318.95 3100.28 2047.391 746.664 3803.67 1514.515
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8213 7.527 7.383 1.435 6.59 0.6398 6.557 1.935
[2,] 247.5681 2501.084 2593.365 433.381 3896.71 187.5875 2485.201 602.108
[3,] 416.3710 3549.930 3981.236 533.334 1572.38 200.0366 1487.843 771.321
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.111 7.742 6.288 6.483 6.225 4.531 3.337 1.739
[2,] 276.093 1757.582 2252.637 2254.471 1235.054 1811.424 656.879 130.352
[3,] 392.245 2836.314 2380.384 2086.486 702.366 544.187 373.067 195.401
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.112 1.32 3.135 3.966 3.667 2.668 3.6 4.976
[2,] 260.527 101.22 902.935 1710.533 1070.633 534.625 588.8 350.543
[3,] 141.501 14.33 1043.206 739.845 1155.810 456.847 712.9 1307.783
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.44 3.326 5.071 4.454 1.872 4.811 4.223 4.085
[2,] 712.85 155.649 3122.504 783.577 282.732 3352.020 2073.358 1698.691
[3,] 1227.79 308.483 926.295 559.487 195.444 1545.417 2291.234 2398.496
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.784 3.755 0.9661 3.63 1.309 2.755 3.08 3.471
[2,] 2401.328 722.420 124.2261 1651.40 140.988 604.929 653.17 1315.527
[3,] 2483.182 29.383 140.0698 1764.77 127.455 1148.271 241.27 402.670
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.921 1.794 3.983 2.888 3.75 1.651 6.456 6.102
[2,] 1263.209 128.777 2105.541 273.877 2465.97 172.378 1823.222 3136.038
[3,] 360.741 390.918 743.083 294.761 1150.11 75.582 1508.478 1692.979
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.557 7.958 7.215 7.751 6.076 1.439 6.648 4.546
[2,] 1466.776 4057.531 2089.682 3527.147 4276.351 17.872 1791.984 1104.114
[3,] 1732.520 1452.925 1761.652 2510.729 2473.044 92.286 3794.841 1084.493
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.297 3.286 2.554 2.088 4.359 3.989 8.158 7.291
[2,] 2804.902 1047.754 530.841 70.042 1527.485 619.874 223.574 643.902
[3,] 3365.806 1195.423 1032.139 146.235 656.513 294.797 1239.627 1839.434
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.023 2.906 3.073 2.516 3.257 2.564 0.7613 1.587
[2,] 1202.587 2086.463 1780.148 1859.656 1071.506 328.121 155.2527 472.925
[3,] 944.251 1361.513 1129.701 2041.360 1095.780 199.692 221.1999 183.579
[,97] [,98]
[1,] 17.4 6.9
[2,] 3529.9 2859.1
[3,] 3352.0 2270.5
[1] "--- VAR model 2017-10-01 03:31:00 completed"
[1] "Completed training sample: 2017-10-01 03:31:00 - 2017-10-01 11:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 04:01:00 - 2017-10-01 12:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.034 0.8530 -58.58 -62.99
4.764 -0.4188 -56.96 -63.97
3.593 0.2214 -61.47 -64.36
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-64.10 -1.2329 0.9555 -5.789
-60.97 -0.9379 0.6747 -2.306
-65.03 -0.8382 0.9340 -3.375
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.699 -17.280 -1.774 -27.60
-5.764 -5.045 -1.919 -21.57
-5.085 -6.280 -2.652 -19.87
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9513 -8.414 -2.819 4.354
1.3634 -13.372 -16.949 4.244
0.4311 -10.478 -9.898 5.630
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.512 -3.318 -0.4131 15.647
-6.740 -2.878 -0.4553 14.730
-5.775 -6.831 -1.6430 9.432
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-65.07 -7.192 -114.1 -56.33
-66.93 -6.115 -129.1 -68.51
-62.76 -6.953 -126.7 -62.53
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.635 -63.98 -63.01 -21.28
-7.524 -61.97 -68.38 -21.51
-7.624 -64.80 -69.44 -21.71
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-64.28 -6.295 -69.11 -29.35
-68.14 -6.674 -61.68 -28.61
-66.12 -6.367 -64.81 -29.63
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.72 -70.75 -67.55 -55.77
-13.87 -65.99 -65.19 -71.26
-14.68 -63.38 -65.40 -63.35
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.646 -1.004 2.39829 0.53847
0.818 -2.969 1.23156 0.24242
1.277 -3.361 0.04675 -0.03474
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.04444 -0.14929 -36.81 -45.85
0.53663 -0.06069 -39.96 -39.17
-0.36682 -0.05711 -40.15 -47.15
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.817 0.4321 -31.33 3.959
5.259 1.5028 -30.18 8.168
4.972 1.4259 -29.19 4.740
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.976 -3.027 -17.00 8.727
4.638 -4.119 -27.47 4.854
3.895 -2.203 -20.04 6.326
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6087 -19.14 -20.45 -24.93
-1.1849 -16.57 -12.11 -14.19
-0.8164 -23.70 -19.24 -14.19
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-22.10 -0.7627 -0.08558 -9.855
-18.88 -0.1492 -0.03778 -22.473
-12.13 -0.7386 -0.01476 -12.543
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.936 -7.33 0.3430 -8.521
-1.277 -10.45 -0.2354 -4.370
-1.208 -11.21 0.3630 -9.196
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.336 -1.0759 -4.776 0.73006
-3.471 -0.2379 -5.498 0.34364
-6.020 -0.2611 -5.701 0.02792
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.7118 -0.28600 2.527 0.09097
-6.9743 0.11335 4.513 3.57601
-0.8654 -0.04447 2.170 3.45557
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.9028 0.5771 17.42 12.038
1.4014 3.4318 15.66 9.018
0.8555 5.3767 15.16 13.022
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
16.617 0.078995 16.23 -0.33834
9.929 -0.000670 12.94 -0.05505
11.869 0.003272 11.24 1.07811
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.141 -1.05379 -6.403 -0.05615
14.683 -0.91217 -2.460 -0.02988
11.097 -0.07875 -4.230 -0.00469
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4465 1.4896 -1.0846 -2.676
-3.1352 0.2862 -1.9007 -2.837
-1.4155 0.4919 -0.4195 -1.462
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3156 1.845 3.745 0.7128
1.1534 2.092 1.497 0.8255
0.7805 1.489 2.778 2.0498
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.173 0.1417 -9.924 0.0296
-6.255 1.1507 -9.576 -2.0350
-7.478 0.4628 -9.841 -0.9796
rnd_95776.volume rnd_95787.volume
-54.74 -56.70
-50.80 -57.67
-44.23 -61.96
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.369 3.193 7.029 5.614 6.090 0.2710 2.114 4.549 5.488 3.886 3.215
[2,] 5.641 3.196 7.242 6.628 6.644 0.2814 2.141 4.559 5.627 5.085 3.446
[3,] 5.741 3.245 7.482 6.849 7.013 0.2860 2.150 4.587 5.648 5.188 3.542
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.305 3.308 3.663 3.599 5.008 5.758 4.273 6.335 6.949 8.594 4.000
[2,] 4.512 3.345 4.391 4.235 5.209 6.167 6.771 7.688 7.154 8.679 4.099
[3,] 4.569 3.455 4.563 4.685 5.352 7.115 7.017 8.304 7.640 8.963 4.127
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.31 6.486 0.6649 6.700 6.230 1.228 5.685 0.5114 5.621 1.721 0.9639
[2,] 15.34 7.037 0.7003 7.235 6.891 1.296 6.843 0.5441 6.188 1.789 1.0030
[3,] 15.67 7.095 0.8021 7.726 7.655 1.401 7.084 0.5681 6.395 1.934 1.0717
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.624 5.749 5.756 5.344 3.854 3.079 1.526 2.684 1.182 2.849 3.669
[2,] 6.792 6.297 6.139 5.448 4.298 3.190 1.539 2.688 1.187 3.107 4.060
[3,] 7.211 6.759 6.424 5.488 4.341 3.225 1.548 2.688 1.187 3.220 4.226
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.933 2.206 3.004 4.263 5.605 2.704 4.152 3.911 1.536 3.965 3.491
[2,] 3.104 2.276 3.070 4.266 5.647 2.774 4.938 3.970 1.565 5.030 4.006
[3,] 3.202 2.299 3.156 4.611 5.703 2.792 5.074 3.979 1.575 5.217 4.428
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.443 2.293 3.306 0.8100 3.001 1.103 2.384 2.547 2.884 4.879 1.614
[2,] 3.814 3.341 3.355 0.8164 3.336 1.114 2.467 2.606 3.143 4.968 1.625
[3,] 4.359 4.055 3.355 0.8234 3.759 1.130 2.745 2.616 3.174 4.974 1.679
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.230 2.516 3.111 1.436 5.548 5.012 6.231 6.735 6.220 6.358 5.022
[2,] 3.744 2.525 3.895 1.444 5.687 5.833 6.383 7.878 6.393 7.407 6.545
[3,] 3.822 2.546 4.051 1.446 5.944 5.938 6.557 7.998 6.772 7.889 7.032
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.209 5.368 3.674 5.169 2.713 2.115 1.796 3.818 3.312 6.901 6.229
[2,] 1.209 5.688 3.790 5.788 2.887 2.181 1.796 4.064 3.359 6.913 6.261
[3,] 1.210 6.842 3.921 6.769 3.048 2.333 1.803 4.113 3.365 7.052 6.457
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.518 2.578 2.663 2.411 2.795 2.391 0.6207 1.295 13.77 6.615
[2,] 2.735 3.276 3.174 2.925 2.982 2.398 0.6425 1.375 14.32 7.330
[3,] 2.861 3.544 3.386 3.556 3.128 2.431 0.6782 1.385 14.79 7.581
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.818 4.055 8.926 7.129 7.733 0.3441 2.684 5.776
[2,] 2269.440 176.638 2280.637 4616.954 3481.055 99.7146 443.283 404.953
[3,] 1397.675 736.890 2465.313 2259.129 2941.273 66.7915 259.838 665.598
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.969 4.935 4.082 4.197 4.201 4.651 4.57 6.36
[2,] 1629.860 4297.440 1624.140 4024.815 647.431 3172.037 2925.17 1878.92
[3,] 641.751 1347.721 1073.237 938.837 1133.278 1627.210 2623.41 1609.41
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 7.312 5.426 8.045 8.824 10.91 5.079 15.63
[2,] 2894.085 6882.928 5706.786 2227.525 1584.46 1175.810 12007.24
[3,] 4648.635 2411.513 4114.563 3516.317 2934.33 623.203 4139.63
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 8.237 0.8443 8.508 7.911 1.559 7.219 0.6494
[2,] 3575.469 288.3569 3576.506 3861.068 541.446 4989.944 243.3057
[3,] 1190.225 512.4646 3551.159 4367.767 698.161 2400.046 214.0058
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 7.138 2.185 1.224 8.412 7.3 7.309 6.786 4.894
[2,] 3389.996 642.261 363.327 1962.221 3367.6 2795.929 1390.884 2491.419
[3,] 2114.019 961.109 494.550 3176.570 3219.7 2478.705 866.353 803.393
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 3.91 1.938 3.408 1.501 3.618 4.659 3.724 2.801
[2,] 1093.61 261.220 185.873 139.474 1623.195 2277.895 1333.193 737.776
[3,] 619.94 212.370 35.567 8.956 1106.945 1535.081 1028.224 419.368
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.815 5.413 7.117 3.433 5.272 4.967 1.95 5.035
[2,] 831.948 189.945 907.388 812.034 3503.116 891.593 396.79 4055.044
[3,] 957.784 2293.673 1047.321 419.419 1525.157 351.191 230.51 1815.535
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.433 4.372 2.912 4.199 1.029 3.811 1.401 3.027
[2,] 2575.362 2149.623 3183.236 746.558 133.198 1908.799 208.732 828.361
[3,] 2470.162 2766.100 3012.238 14.589 140.990 2269.918 246.940 1577.346
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.234 3.662 6.196 2.05 4.102 3.195 3.95 1.823
[2,] 720.982 1638.479 1224.417 244.93 2478.955 272.493 3071.20 197.192
[3,] 304.495 572.682 312.423 554.00 1010.194 434.688 1458.45 106.573
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 7.045 6.364 7.913 8.553 7.899 8.074 6.378 1.535
[2,] 1637.532 3911.313 1810.912 5354.617 1935.602 4977.957 5499.280 13.486
[3,] 2267.401 1456.302 1969.454 1806.923 2927.327 3557.391 3370.634 65.608
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 6.816 4.666 6.564 3.446 2.686 2.28 4.848 4.206
[2,] 2463.434 1216.082 3411.671 1290.927 694.557 12.49 1823.326 733.393
[3,] 4983.422 1318.817 4599.624 1282.827 1086.337 203.21 833.089 267.704
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 8.763 7.909 3.197 3.274 3.381 3.062 3.549
[2,] 541.050 838.263 1399.206 2649.146 2263.319 2168.935 1361.618
[3,] 1819.455 2067.995 1102.303 1769.012 1545.504 2651.730 1240.045
[,94] [,95] [,96] [,97] [,98]
[1,] 3.036 0.7882 1.645 17.48 8.4
[2,] 249.403 217.2383 605.177 5167.63 4135.3
[3,] 525.981 284.5721 218.531 4840.10 2538.5
[1] "--- VAR model 2017-10-01 04:01:00 completed"
[1] "Completed training sample: 2017-10-01 04:01:00 - 2017-10-01 12:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 04:31:00 - 2017-10-01 12:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9721 0.6443 -57.93 -57.92
-2.6854 0.2358 -59.68 -63.16
-2.1177 0.8826 -62.97 -64.19
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-62.59 -1.302 -0.3519 -2.770
-56.84 -1.314 -0.5280 -5.286
-61.93 -1.201 0.5960 -6.387
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-11.217 -9.793 -2.773 -25.70
-8.619 -2.828 -4.241 -23.33
-9.835 -10.440 -3.473 -22.74
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.360556 -18.68 -18.22 -1.4493
-0.474497 -12.99 -10.06 -1.3301
0.009504 -11.27 -11.65 -0.7857
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-14.36 -10.43 0.01286 3.195
-19.40 -20.15 -10.35522 4.931
-15.38 -16.92 -19.62064 -4.584
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-54.51 -6.888 -120.9 -59.54
-70.22 -6.970 -125.6 -60.07
-60.25 -5.932 -129.4 -64.32
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.691 -63.46 -64.15 -21.21
-7.993 -61.92 -68.06 -22.37
-7.934 -61.27 -65.97 -21.02
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-59.51 -6.623 -64.48 -30.66
-62.89 -6.946 -58.51 -30.42
-65.18 -6.552 -62.50 -29.28
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.61 -63.65 -66.25 -61.02
-12.90 -67.36 -59.44 -57.66
-13.41 -70.13 -62.75 -65.94
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.58429 -2.741 0.0002889 -0.32132
0.07819 -2.795 0.2660619 -0.05033
-0.12153 -5.903 0.0234793 0.02152
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.04566 -0.38949 -37.31 -41.24
-0.04991 -0.09313 -35.82 -41.35
-0.02078 -0.07743 -36.06 -40.97
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.310 -0.8431 -30.51 7.383
0.982 -1.3235 -31.41 5.958
1.284 -0.4990 -30.78 8.286
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.6414 -5.283 -30.91 7.332
1.2728 -2.693 -19.72 7.028
3.2491 -2.943 -22.82 2.543
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.461 -27.49 -18.26 -16.35
-1.255 -21.25 -21.56 -20.13
-1.314 -19.60 -15.18 -19.23
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-19.18 0.02888 -0.2219 -21.96
-18.21 0.71589 -0.2751 -15.53
-20.67 0.24964 -0.1035 -16.58
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.278 -8.573 -1.3079 -4.429
-1.500 -10.739 -0.8483 -9.602
-1.497 -10.271 -0.8488 -9.556
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.7792 0.11809 -3.821 0.16686
-4.2265 -0.21649 -5.772 0.26106
-6.6893 0.02865 -8.422 0.07596
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.948 -0.11318 1.451 6.582
-3.304 0.48785 3.950 1.448
-7.303 0.02446 5.546 3.325
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.973 0.5872 16.559 2.1550
-3.017 -3.3285 13.063 0.8787
-3.249 -1.8834 9.686 -0.2138
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.730 -0.08031 7.244 0.483
7.784 -0.09756 3.336 -1.310
4.055 -0.04051 4.828 -1.002
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.004 -2.923 -3.690 -0.3855
1.558 -2.630 -5.432 0.3892
4.829 -2.645 -3.009 0.1099
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.683 0.6589 0.9854 -5.700
-2.240 0.6751 0.7178 -4.958
-5.088 0.3213 0.9209 -6.496
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.8412 0.2788 1.429 -0.3165
0.1144 1.8378 3.415 0.3469
0.7160 0.2519 1.241 1.4636
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.841 -1.0841 -10.82 0.3853
-8.963 -0.6186 -10.68 -0.8901
-7.512 0.7946 -10.86 -1.7250
rnd_95776.volume rnd_95787.volume
-52.27 -64.10
-53.72 -58.98
-55.11 -59.14
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.679 3.341 7.392 6.383 6.433 0.2885 2.283 4.694 5.862 4.272 3.439
[2,] 5.915 3.343 7.567 7.588 7.164 0.3003 2.303 4.715 5.955 5.467 3.673
[3,] 6.097 3.393 7.788 7.870 7.628 0.3040 2.328 4.750 6.001 5.555 3.755
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.465 3.408 3.847 4.401 5.486 5.413 4.268 6.567 7.599 10.68 4.645
[2,] 4.723 3.443 4.744 5.161 5.696 6.031 6.546 7.798 7.819 10.89 4.782
[3,] 4.785 3.535 4.865 5.470 6.037 6.869 7.051 8.576 8.102 11.19 4.823
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.00 7.280 0.7073 7.024 7.375 1.296 6.201 0.5104 5.991 1.923 1.003
[2,] 16.96 8.168 0.7462 7.623 8.143 1.365 7.357 0.5371 6.623 2.025 1.060
[3,] 17.21 8.291 0.8369 8.260 8.996 1.469 7.638 0.5626 6.967 2.174 1.116
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.572 5.923 6.429 5.832 3.848 3.408 1.618 2.997 1.251 3.593 4.260
[2,] 7.786 6.424 6.914 5.939 4.159 3.502 1.633 2.998 1.259 3.809 4.676
[3,] 8.284 6.878 7.342 5.978 4.258 3.528 1.637 2.999 1.259 3.965 4.864
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.117 2.363 3.140 4.670 6.358 2.840 4.395 4.272 1.683 4.308 3.659
[2,] 3.299 2.426 3.229 4.670 6.387 2.914 5.470 4.391 1.707 5.509 4.144
[3,] 3.380 2.466 3.349 5.142 6.749 2.935 5.648 4.393 1.710 5.737 4.655
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.611 2.392 3.566 0.8704 3.203 1.178 2.609 2.764 3.080 5.022 1.753
[2,] 4.071 3.534 3.610 0.8757 3.547 1.185 2.736 2.839 3.369 5.181 1.759
[3,] 4.627 4.166 3.610 0.8838 3.966 1.198 2.979 2.847 3.405 5.278 1.797
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.684 2.707 3.317 1.572 6.057 5.117 6.212 6.803 6.471 6.609 5.286
[2,] 4.202 2.712 4.211 1.584 6.307 6.151 6.288 8.020 6.628 7.676 6.780
[3,] 4.316 2.731 4.381 1.588 6.738 6.332 6.407 8.157 7.142 8.063 7.366
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.295 5.551 3.847 5.471 2.893 2.359 1.963 3.686 3.550 7.465 6.133
[2,] 1.295 5.850 3.966 6.118 3.054 2.475 1.963 4.291 3.594 7.483 6.145
[3,] 1.297 6.932 4.075 7.078 3.250 2.665 1.969 4.359 3.601 7.607 6.337
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.732 2.695 2.804 2.599 2.827 2.657 0.7043 1.404 14.72 7.229
[2,] 3.021 3.445 3.416 3.125 3.056 2.658 0.7227 1.527 15.32 7.802
[3,] 3.163 3.719 3.646 3.787 3.203 2.703 0.7676 1.540 15.79 8.019
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.211 4.243 9.386 8.106 8.169 0.3663 2.899 5.961
[2,] 2364.318 146.839 2308.693 5857.325 4500.913 118.9527 430.172 623.635
[3,] 2111.903 831.375 2635.789 2983.773 3741.040 67.3501 480.152 820.924
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.443 5.424 4.367 4.4 4.328 4.885 5.589 6.966
[2,] 1500.819 4870.949 1843.789 4582.6 694.651 3963.082 3850.440 2189.688
[3,] 1055.172 1410.689 1114.020 1099.0 1141.598 1545.904 2584.968 2855.324
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.873 5.42 8.339 9.649 13.57 5.898 17.78 9.245
[2,] 3797.892 7086.09 6004.841 2633.201 3035.46 1625.708 13677.23 5288.376
[3,] 4694.654 3742.36 5096.338 3026.951 3644.16 898.165 4168.52 2032.945
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8982 8.92 9.365 1.646 7.875 0.6482 7.607 2.442
[2,] 339.6120 4229.65 4929.660 610.354 5651.296 238.4758 4033.042 906.305
[3,] 540.8956 4539.58 5460.571 774.821 2931.788 239.1010 3085.528 1128.597
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.274 9.616 7.522 8.163 7.406 4.886 4.327 2.055
[2,] 488.783 2588.906 3549.148 3633.124 1603.011 2252.587 1155.726 307.767
[3,] 497.958 4039.397 3511.548 3527.587 971.325 1307.569 602.054 162.764
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.805 1.589 4.563 5.41 3.958 3.001 3.987 5.93
[2,] 112.867 202.809 1802.151 2752.26 1544.640 782.056 1078.683 16.50
[3,] 93.841 10.812 1574.418 1910.90 1045.162 631.992 1266.474 3075.47
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 8.074 3.606 5.581 5.425 2.138 5.471 4.647 4.585
[2,] 868.667 929.281 4648.765 1449.283 401.309 4902.775 2777.622 2683.571
[3,] 3114.427 507.721 2010.392 171.302 146.711 2286.362 3028.238 3142.486
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.038 4.528 1.105 4.067 1.496 3.313 3.51 3.911
[2,] 3715.356 801.080 137.861 2176.850 185.493 1178.611 929.13 1951.816
[3,] 3148.582 52.645 170.941 2531.956 255.416 1679.845 288.78 701.568
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.377 2.226 4.679 3.438 4.212 1.996 7.691 6.498
[2,] 1822.050 213.687 2883.967 220.856 3704.480 280.680 2513.329 4874.455
[3,] 1438.921 527.452 1409.769 458.384 1724.421 152.947 3383.640 2141.596
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 7.889 8.639 8.218 8.393 6.713 1.644 7.049
[2,] 1389.757 6063.900 2043.290 5574.970 6062.714 1.623 2638.409
[3,] 1751.805 2126.600 3801.047 3524.541 4110.833 114.685 5308.738
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.884 6.947 3.673 2.996 2.492 4.681 4.508 9.479
[2,] 1377.866 3910.954 1399.509 1070.774 47.571 3137.264 799.684 745.600
[3,] 1338.774 5081.394 1584.994 1409.717 225.424 1090.488 330.119 1954.800
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 7.788 3.469 3.422 3.56 3.3 3.59 3.375 0.8944
[2,] 560.813 1842.255 3065.249 2786.57 2479.5 1657.41 46.147 230.9169
[3,] 2209.527 1337.868 1998.578 1819.07 3052.3 1370.97 707.721 369.3192
[,96] [,97] [,98]
[1,] 1.782 18.69 9.18
[2,] 858.396 6062.40 4188.95
[3,] 281.612 5474.78 2645.16
[1] "--- VAR model 2017-10-01 04:31:00 completed"
[1] "Completed training sample: 2017-10-01 04:31:00 - 2017-10-01 12:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 05:01:00 - 2017-10-01 13:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.5709 -1.4079 -66.15 -59.46
-0.7929 -0.3291 -68.84 -65.31
0.2991 -0.1528 -73.51 -77.87
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-78.86 -0.9296 1.1234 -6.519
-65.45 -1.0751 0.6851 -4.515
-73.60 -1.1554 0.4271 -3.429
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.308 -5.270 -0.5482 -25.35
-8.119 -10.424 -0.9880 -24.40
-8.401 -6.831 -1.2604 -24.40
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.0624 -10.60 -9.003 4.9780
0.3368 -10.62 -15.626 0.4391
0.7426 -13.46 -12.561 2.7112
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.116 -4.962 -14.4928 6.026
-12.669 -9.793 -0.5844 8.377
-10.427 -12.596 -10.1077 11.858
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-74.62 -7.848 -161.6 -72.05
-74.71 -8.136 -134.8 -73.64
-72.53 -7.746 -145.0 -65.94
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.081 -61.82 -67.68 -19.53
-8.451 -78.91 -75.64 -20.54
-8.484 -68.71 -78.18 -20.63
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-59.78 -8.235 -60.92 -31.37
-67.56 -7.867 -66.68 -31.80
-80.32 -8.037 -73.99 -32.30
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.45 -73.85 -82.19 -74.19
-15.92 -64.74 -67.03 -65.58
-14.73 -71.13 -72.57 -67.58
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4934 -6.368 0.188669 -1.0886
-0.5918 -8.465 0.304053 -0.5229
-0.4810 -4.253 0.003671 -1.0085
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.1514 0.1666 -35.40 -46.01
0.1521 0.1724 -42.84 -40.04
-0.1770 0.1647 -40.07 -45.84
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.179 -2.286 -33.83 7.783
1.920 -1.888 -33.81 10.040
4.617 -1.528 -33.80 5.588
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.007 -4.902 -19.82 5.055
3.184 -5.234 -28.46 2.075
2.504 -3.092 -25.61 4.468
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9302 -15.97 -16.67 -19.77
-1.2428 -18.66 -14.12 -13.29
-1.1166 -21.66 -18.51 -15.41
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-21.84 0.05636 0.31711 -9.129
-14.39 -0.69485 0.20090 -21.824
-14.69 -0.06669 0.08322 -12.813
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.141 -11.64 1.3976 -10.070
-1.410 -11.12 -0.3311 -8.581
-1.484 -10.65 0.9509 -10.814
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.883 -0.72802 -13.011 -0.7882
-6.330 -0.32829 -6.467 -0.2705
-6.297 -0.08874 -6.405 -0.1276
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-15.556 -0.0007109 4.3017 4.902
-6.497 -0.1289050 3.5269 3.138
-7.498 -0.0565437 0.8529 3.671
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.077 -1.962 13.03 15.224
-2.025 -1.858 15.57 11.530
-1.605 -2.199 13.54 7.962
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.402 -0.06956 14.22 3.073
9.207 0.19781 15.05 1.309
8.576 0.15121 11.17 1.101
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.751 2.185 -2.659 -1.5256
16.528 2.633 -4.672 -1.8592
12.271 2.640 -4.920 -0.9506
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.722 -0.6063 2.190 -11.38
-5.678 -0.3447 2.408 -11.58
-2.151 -0.2397 0.926 -10.55
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.98830 -1.53230 -0.8251 -1.7194
0.02708 3.67867 1.8670 -0.7669
-0.69466 -0.09294 0.7238 2.7215
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.105 3.0465 -10.36 -2.5535
-4.813 0.4132 -10.79 -0.8084
-5.302 0.7457 -10.50 -1.3529
rnd_95776.volume rnd_95787.volume
-57.30 -63.44
-54.61 -73.27
-57.37 -69.77
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.881 3.435 8.111 7.111 7.441 0.2946 2.378 4.878 6.002 4.513 3.763
[2,] 6.141 3.436 8.328 8.229 8.121 0.3079 2.448 4.886 6.126 5.788 3.942
[3,] 6.338 3.484 8.600 8.467 8.544 0.3116 2.473 4.905 6.206 5.822 4.044
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.671 3.573 4.030 4.501 5.393 5.394 4.459 8.637 7.981 11.30 4.648
[2,] 4.888 3.617 4.935 5.339 5.494 5.974 6.697 9.674 8.222 11.63 4.796
[3,] 4.925 3.708 5.104 5.732 5.765 6.839 7.186 10.447 8.460 11.93 4.840
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.24 7.700 0.7372 7.817 7.863 1.374 6.917 0.5532 6.582 2.271 1.100
[2,] 18.36 8.708 0.7733 8.301 8.841 1.463 8.321 0.5827 7.276 2.356 1.140
[3,] 18.73 8.855 0.8586 9.010 9.866 1.595 8.564 0.6099 7.581 2.532 1.191
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.194 6.999 7.116 6.245 4.085 3.592 1.682 3.427 1.365 4.064 4.804
[2,] 8.525 7.477 7.694 6.321 4.410 3.671 1.732 3.440 1.373 4.262 5.287
[3,] 9.067 7.944 8.026 6.367 4.538 3.687 1.741 3.440 1.373 4.412 5.494
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.394 2.373 3.407 5.204 6.666 2.957 4.605 4.634 1.725 4.439 3.752
[2,] 3.567 2.489 3.551 5.205 6.691 3.020 5.584 4.867 1.772 5.688 4.267
[3,] 3.669 2.567 3.664 5.800 7.037 3.059 5.768 4.890 1.776 5.978 4.789
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.714 2.485 3.776 0.9051 3.446 1.281 2.803 2.932 3.217 5.993 1.848
[2,] 4.245 3.618 3.814 0.9101 3.778 1.294 2.926 2.972 3.506 6.196 1.854
[3,] 4.826 4.324 3.815 0.9176 4.251 1.332 3.242 2.983 3.598 6.212 1.884
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.888 2.845 3.646 1.757 5.928 5.176 6.585 6.978 6.811 6.886 5.462
[2,] 4.460 2.849 4.535 1.763 6.012 6.033 6.639 8.434 7.036 8.099 6.985
[3,] 4.573 2.874 4.707 1.765 6.224 6.117 6.747 8.539 7.609 8.630 7.705
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.357 5.654 4.030 5.606 3.042 2.399 2.049 3.658 3.721 7.934 6.237
[2,] 1.357 5.991 4.163 6.474 3.193 2.546 2.083 4.248 3.751 7.956 6.262
[3,] 1.360 7.138 4.277 7.404 3.389 2.744 2.100 4.341 3.760 8.073 6.472
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.857 2.819 2.940 2.783 3.031 2.859 0.7183 1.465 15.01 7.672
[2,] 3.119 3.616 3.588 3.304 3.283 2.861 0.7377 1.569 15.77 8.231
[3,] 3.232 3.827 3.808 3.968 3.395 2.901 0.7825 1.583 16.28 8.653
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.467 4.361 10.3 9.03 9.449 0.3741 3.019 6.194
[2,] 2595.709 169.249 2769.4 6079.16 4774.827 131.2784 854.890 408.980
[3,] 2306.531 839.692 3154.9 2922.10 3898.247 70.0158 520.860 629.288
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 7.622 5.731 4.779 4.662 4.537 5.117 5.716
[2,] 1799.496 5320.025 1724.993 4736.634 831.947 4181.473 4213.954
[3,] 1458.847 923.142 1322.059 889.246 1194.615 1910.029 3063.737
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 6.849 6.85 5.663 10.97 10.13 14.35 5.903 19.35
[2,] 1536.617 3769.79 7334.273 6395.37 2901.48 4046.96 1735.058 15041.87
[3,] 2562.618 4885.47 3824.080 5789.84 2925.34 3887.38 953.229 5373.48
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 9.777 0.9362 9.927 9.984 1.745 8.784 0.7025
[2,] 5969.985 342.4699 4100.346 5934.864 738.929 6787.907 268.9041
[3,] 2362.692 547.6759 5139.933 6427.509 933.585 2975.280 264.3202
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 8.358 2.884 1.397 10.41 8.887 9.037 7.93 5.188
[2,] 4554.856 921.592 439.162 3452.70 3862.816 4294.418 1433.96 2438.531
[3,] 3122.082 1362.815 506.213 4531.76 3938.812 3351.072 1131.07 1573.014
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.562 2.135 4.352 1.734 5.161 6.1 4.309 3.013
[2,] 1105.636 608.183 423.679 203.509 1883.684 3241.5 1614.355 1101.925
[3,] 515.604 260.758 34.919 26.540 1677.156 2194.1 1255.754 925.932
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.326 6.609 8.465 3.755 5.848 5.884 2.191 5.636
[2,] 1469.182 83.091 837.047 902.589 4637.640 2184.611 595.058 5220.911
[3,] 1326.009 3757.872 3200.445 716.621 2119.007 694.867 170.260 2703.035
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.764 4.716 3.155 4.795 1.149 4.376 1.626 3.559
[2,] 2983.445 3018.874 3860.647 787.767 139.231 2272.934 276.582 1230.212
[3,] 3190.648 3369.159 3476.918 119.415 171.996 2860.481 458.430 2049.744
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.723 4.085 7.61 2.347 4.937 3.612 4.63 2.231
[2,] 709.923 2044.948 2309.22 210.368 3207.407 223.532 3957.37 212.909
[3,] 375.378 1186.485 652.67 496.016 1482.136 562.218 1854.85 124.059
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.527 6.573 8.362 8.861 8.649 8.744 6.936
[2,] 1478.179 4548.319 1239.309 6954.516 2590.372 6259.370 6391.262
[3,] 2364.166 1486.120 1769.231 1957.719 4250.047 4374.575 4775.569
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.723 7.18 5.117 7.119 3.863 3.047 2.602 4.645
[2,] 11.533 2905.37 1533.341 4753.280 1421.045 1251.993 551.841 3168.998
[3,] 131.131 5696.44 1439.439 5272.986 1668.943 1501.568 392.343 1317.797
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.725 10.07 7.92 3.628 3.58 3.733 3.534 3.849
[2,] 703.313 868.01 823.88 1834.874 3323.63 3019.118 2614.811 1853.260
[3,] 370.115 2009.73 2400.52 1244.192 1840.04 1872.957 3225.610 1266.698
[,94] [,95] [,96] [,97] [,98]
[1,] 3.63 0.9121 1.86 19.07 9.742
[2,] 145.24 246.3749 826.89 7073.14 4378.596
[3,] 710.70 383.4613 302.10 5957.03 3917.500
[1] "--- VAR model 2017-10-01 05:01:00 completed"
[1] "Completed training sample: 2017-10-01 05:01:00 - 2017-10-01 13:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 05:31:00 - 2017-10-01 13:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7887 -1.0622 -68.25 -72.62
-3.1988 -0.3445 -76.05 -75.62
1.7690 0.4503 -69.32 -72.56
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-84.66 -1.2121 3.176 -7.568
-76.82 -1.1460 1.591 -4.821
-77.65 -0.9911 2.118 -5.033
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.771 -11.145 2.0535 -24.08
-13.366 -10.325 1.6248 -27.45
-8.405 -6.875 -0.4595 -28.69
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6219 -11.50 -14.06 -0.2096
0.5390 -17.04 -15.10 -2.6320
0.2170 -15.90 -17.51 -2.6668
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.38 -24.0 -18.84 5.003
-15.78 -16.8 -20.92 2.416
-20.31 -19.2 -15.10 5.580
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-66.48 -9.531 -147.4 -78.01
-75.68 -7.279 -143.9 -68.18
-72.77 -7.816 -155.1 -75.44
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.919 -76.35 -82.10 -18.43
-7.690 -73.48 -84.88 -18.99
-7.914 -71.39 -77.37 -18.76
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-65.90 -7.431 -73.50 -29.22
-79.59 -7.646 -77.75 -30.52
-75.25 -7.905 -77.79 -31.69
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.30 -75.41 -81.97 -73.31
-14.92 -67.31 -70.18 -74.84
-14.79 -79.68 -80.36 -71.54
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.898 -10.581 0.2319 0.05267
-2.345 -10.133 0.3614 -0.76002
-1.071 -3.393 -0.1984 -1.06884
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.47379 -0.015361 -38.47 -35.12
-0.01237 0.035137 -41.39 -44.25
0.09187 0.004435 -39.02 -43.83
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.194 -1.5940 -34.59 5.138
4.508 -0.8086 -34.16 9.302
3.799 -0.4242 -35.46 6.090
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.258 -5.180 -21.03 4.162
-3.032 -4.504 -28.56 4.580
-4.719 -4.681 -26.07 2.351
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5661 -29.09 -22.10 -16.14
-1.3654 -20.97 -17.21 -22.89
-1.0769 -26.65 -20.27 -18.49
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.83 -0.73441 -0.11513 -14.03
-20.75 -0.86186 -0.05876 -16.65
-17.34 0.01556 -0.01905 -19.35
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.720 -12.26 0.8478 -14.264
-1.941 -11.23 1.8985 -12.505
-1.838 -13.06 0.9222 -9.731
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-14.990 0.22082 -15.226 0.39066
-10.075 0.24204 -10.839 0.81896
-6.989 0.02594 -9.245 0.01627
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-15.54 0.02818 4.2761 -1.747
-12.25 -0.04333 5.3199 0.666
-10.39 0.01673 0.2045 1.994
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.982 -10.487 12.859 8.594
-3.805 -3.119 9.040 3.964
-5.590 -6.842 8.479 1.926
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.357 0.24001 1.199 -1.9780
3.773 0.05177 8.688 -0.1505
3.952 0.01628 4.901 -2.0918
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.826 0.6647 -6.129 -2.1163
2.795 -0.4064 -2.764 -2.0988
6.691 0.2041 -5.397 -0.9069
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.231 -0.53994 7.53578 -13.344
-9.195 -0.54203 5.80113 -11.023
-4.776 -0.09161 0.05224 -8.904
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.900 8.734 8.543 4.694
3.114 5.265 5.326 8.443
3.952 5.615 6.011 4.389
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.937 -0.5516 -10.52 -0.9471
-3.206 1.3050 -10.38 -1.7633
-5.698 0.5630 -10.60 -0.9373
rnd_95776.volume rnd_95787.volume
-70.65 -74.32
-66.48 -66.58
-53.53 -67.54
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.932 3.540 8.923 7.609 8.017 0.3255 2.559 5.028 6.149 4.606 3.944
[2,] 6.087 3.543 9.427 8.600 8.811 0.3361 2.611 5.076 6.274 5.985 4.090
[3,] 6.212 3.591 9.637 8.765 9.147 0.3390 2.654 5.101 6.467 6.040 4.215
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.807 3.663 4.037 6.460 5.505 5.438 4.630 8.761 7.848 11.82 4.863
[2,] 4.969 3.715 4.948 7.346 5.624 5.935 6.831 9.841 8.618 12.12 4.993
[3,] 5.019 3.810 5.226 7.686 5.966 6.949 7.276 10.579 8.915 12.40 5.047
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.81 8.302 0.7673 8.129 8.209 1.478 7.394 0.5625 7.093 2.369 1.165
[2,] 18.87 9.256 0.8013 8.524 9.265 1.590 8.780 0.5897 7.846 2.480 1.208
[3,] 19.57 9.436 0.8885 9.284 10.099 1.762 9.073 0.6204 8.130 2.680 1.269
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.929 7.592 7.578 6.543 4.399 3.660 1.740 3.633 1.417 4.332 5.327
[2,] 9.244 8.194 8.228 6.615 4.665 3.727 1.798 3.643 1.427 4.526 5.841
[3,] 9.742 8.534 8.570 6.674 4.857 3.751 1.806 3.644 1.427 4.696 5.997
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.556 2.445 3.550 5.474 6.922 3.076 4.853 4.924 1.815 4.601 3.957
[2,] 3.731 2.533 3.677 5.475 6.935 3.134 5.946 5.100 1.858 5.897 4.442
[3,] 3.831 2.593 3.781 6.120 7.322 3.190 6.108 5.169 1.861 6.130 5.006
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.794 2.593 4.026 0.9664 3.631 1.349 2.919 3.132 3.376 6.067 1.917
[2,] 4.360 3.836 4.065 0.9711 3.960 1.364 3.042 3.154 3.711 6.348 1.921
[3,] 4.989 4.519 4.067 0.9786 4.487 1.379 3.315 3.177 3.801 6.384 1.946
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.069 3.085 3.910 1.859 6.383 5.155 6.649 6.998 7.104 7.041 5.717
[2,] 4.659 3.091 4.902 1.863 6.567 6.408 6.755 8.543 7.342 8.174 7.118
[3,] 4.760 3.115 5.133 1.864 6.910 6.571 6.850 8.698 7.963 8.508 7.943
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.412 5.707 4.093 5.743 3.198 2.665 2.222 3.696 3.892 8.615 6.510
[2,] 1.412 6.040 4.246 6.580 3.361 2.830 2.255 4.325 3.916 8.618 6.535
[3,] 1.416 7.373 4.366 7.484 3.525 2.995 2.270 4.468 3.926 8.746 6.768
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.978 2.967 3.212 2.971 3.105 3.199 0.7428 1.541 15.76 7.942
[2,] 3.230 3.718 3.821 3.441 3.374 3.204 0.7641 1.669 16.42 8.444
[3,] 3.343 3.934 4.019 4.048 3.536 3.346 0.8102 1.681 17.02 8.926
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.533 4.495 11.33 9.662 10.18 0.4133 3.249 6.385
[2,] 1928.346 207.425 4306.48 5672.186 5174.45 118.6725 736.885 978.280
[3,] 1753.233 833.356 2828.24 2396.391 3475.64 61.9731 671.466 719.668
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 7.808 5.849 5.009 4.835 4.651 5.126 8.203
[2,] 1766.280 5407.477 1529.114 4517.447 875.974 4049.231 4949.685
[3,] 2219.462 1151.819 1445.509 1006.064 1197.597 2376.859 3198.366
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 6.99 6.905 5.879 11.13 9.965 15.01 6.176 20.07
[2,] 1628.39 3366.447 7106.262 6341.89 5040.591 3770.41 1601.647 14586.93
[3,] 2816.16 5112.503 3547.747 5493.36 3225.876 3744.36 1040.896 7338.08
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 10.54 0.9744 10.32 10.42 1.876 9.389 0.7143 9.007
[2,] 5789.83 326.5607 3628.66 6078.44 830.886 6700.520 250.3274 4744.588
[3,] 2597.04 543.1506 5204.62 5688.19 1074.820 3232.678 272.7843 3013.614
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.008 1.479 11.34 9.641 9.622 8.309 5.586 4.647
[2,] 1038.101 456.132 3384.00 4362.381 4536.928 1370.742 2196.019 995.095
[3,] 1438.931 549.918 4353.53 3373.791 3389.876 1257.212 1910.970 601.385
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.209 4.613 1.799 5.501 6.764 4.515 3.104 4.508
[2,] 643.576 392.825 239.504 1857.675 3388.719 1599.656 936.173 1353.654
[3,] 231.135 91.569 2.596 1770.171 1925.845 1225.984 784.829 1248.340
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 6.951 8.79 3.906 6.163 6.253 2.304 5.842 5.025
[2,] 100.846 612.10 849.582 4859.225 1879.345 565.199 5218.496 2855.453
[3,] 3872.103 3324.27 838.966 1981.152 1186.666 142.351 2367.987 3264.528
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.817 3.292 5.112 1.227 4.611 1.712 3.707 3.977
[2,] 3041.751 4000.544 803.471 134.952 2238.080 285.728 1209.303 523.567
[3,] 3429.322 3380.880 164.127 170.761 2983.774 295.491 1863.826 544.796
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.287 7.704 2.434 5.167 3.918 4.966 2.361 8.106
[2,] 2182.289 2642.673 182.039 3209.175 266.605 4182.162 166.598 2178.584
[3,] 1162.757 955.742 438.087 1381.975 550.291 2154.080 89.323 3044.468
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 6.546 8.444 8.887 9.021 8.941 7.259 1.793
[2,] 5385.371 1683.878 6933.740 2625.535 5875.067 6000.296 36.015
[3,] 2058.421 1611.606 2311.740 4360.549 3341.610 4989.426 143.972
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 7.247 5.198 7.292 4.06 3.385 2.821 4.693 4.942
[2,] 2795.791 1596.178 4543.469 1465.69 1344.148 542.680 3177.696 620.384
[3,] 5982.851 1442.521 5047.158 1504.18 1388.964 374.573 1588.301 381.435
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 10.94 8.267 3.781 3.768 4.079 3.773 3.943
[2,] 348.64 800.452 1771.699 3170.294 2928.474 2455.427 1868.262
[3,] 2106.95 2490.241 1217.935 1819.843 1763.074 3016.682 1495.443
[,94] [,95] [,96] [,97] [,98]
[1,] 4.062 0.9433 1.957 20.02 10.09
[2,] 247.009 253.2668 905.793 6508.64 4055.78
[3,] 1367.341 380.9815 288.490 6307.62 4093.55
[1] "--- VAR model 2017-10-01 05:31:00 completed"
[1] "Completed training sample: 2017-10-01 05:31:00 - 2017-10-01 13:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 06:01:00 - 2017-10-01 14:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.406 -0.9594 -66.00 -59.48
1.788 -0.4375 -56.72 -65.64
2.765 -0.2338 -59.93 -62.44
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-58.18 -0.8510 -0.6181 -5.042
-64.43 -0.8307 -1.0140 -3.366
-64.84 -0.8734 -1.4042 -4.863
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-9.628 -17.255 -0.59542 -29.39
-10.978 -8.189 0.08846 -25.61
-7.390 -6.020 -0.81277 -25.58
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.6183 -17.51 -16.79 -7.536
1.4994 -15.82 -14.99 -1.392
0.9966 -14.10 -14.44 -2.012
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.63 -21.91 -9.708 9.174
-26.70 -20.54 -11.961 3.860
-17.42 -23.09 -15.866 2.722
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.25 -6.979 -130.9 -69.05
-58.27 -7.684 -133.2 -61.44
-62.01 -7.773 -124.0 -62.94
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.117 -66.33 -72.83 -16.75
-7.648 -61.93 -70.31 -17.85
-7.914 -65.78 -70.42 -17.27
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-57.16 -7.773 -57.00 -27.94
-64.57 -7.506 -64.24 -27.85
-62.46 -7.217 -64.43 -27.09
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.04 -56.79 -56.48 -70.29
-15.35 -62.85 -59.48 -60.13
-15.06 -65.36 -61.97 -63.40
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.965 -0.4502 0.109944 -0.006802
2.906 -6.6104 -0.002708 0.094704
1.594 -5.0135 0.029097 -0.655922
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.27516 -0.26331 -35.62 -34.48
0.09373 0.11118 -35.04 -38.98
-0.02652 -0.09342 -34.45 -38.49
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.026 -2.960 -30.20 -1.671
2.114 -2.723 -29.97 8.231
-0.261 -3.249 -30.01 5.785
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.769 -2.679 -19.44 2.746
5.778 -3.044 -21.32 1.768
2.029 -3.079 -22.43 3.076
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.213 -25.78 -17.84 -13.27
-1.278 -15.39 -16.96 -21.11
-1.192 -23.28 -14.68 -13.65
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.65 -0.6415 0.28373 -17.07
-19.35 -0.1587 0.15629 -14.47
-15.62 -0.4240 0.04917 -17.70
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7165 -7.594 2.149 -4.993
-2.1405 -10.760 1.755 -8.474
-1.7139 -11.288 1.163 -8.861
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.420 -0.33649 -4.803 0.054275
-5.591 0.20737 -6.376 0.134472
-7.624 -0.04732 -8.388 -0.007348
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.7526 0.2185 -4.120 -1.822
-6.0456 -0.1837 -5.211 -4.316
-6.9722 -0.4480 -2.775 -3.810
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.067 -4.935 16.87 7.293
-1.906 -7.016 18.49 6.545
-4.156 -7.177 16.01 8.172
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.115 0.005635 4.192 -4.2304
8.207 -0.001843 10.655 -3.1776
4.983 0.038403 4.990 -0.6478
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.296 -1.1831 -4.965 0.2250
10.224 -0.2830 -4.556 -0.3654
5.445 -0.2934 -2.825 -0.7457
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.388 -0.61837 3.170 -12.818
-2.232 -0.73907 4.429 -1.041
-3.517 0.01267 4.809 -8.858
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.018 -5.429 -4.883 -5.672
-3.077 -4.964 -4.675 -4.980
-2.954 -4.733 -4.456 -4.623
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.286 2.0290 -10.53 -2.069
-5.162 -0.5941 -10.33 -1.260
-7.020 -0.8402 -10.18 -1.424
rnd_95776.volume rnd_95787.volume
-36.16 -64.67
-52.72 -62.46
-44.52 -60.68
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.974 3.655 9.262 7.926 8.497 0.3375 2.631 5.084 6.234 4.766 4.121
[2,] 6.086 3.658 9.659 8.882 9.486 0.3493 2.708 5.119 6.318 6.198 4.248
[3,] 6.204 3.694 9.858 9.040 9.812 0.3528 2.761 5.158 6.456 6.254 4.367
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.863 3.874 4.157 6.617 5.508 5.401 4.743 9.571 8.003 12.29 4.877
[2,] 4.990 3.919 5.051 7.443 5.663 6.206 6.884 10.538 8.865 12.62 5.008
[3,] 5.039 4.039 5.335 7.732 5.992 7.096 7.544 11.477 9.125 12.96 5.059
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.73 8.779 0.8377 8.611 8.767 1.478 8.012 0.5724 7.689 2.535 1.294
[2,] 19.91 9.793 0.8752 9.058 9.929 1.552 9.403 0.5910 8.300 2.674 1.345
[3,] 20.43 9.951 0.9458 9.839 10.848 1.694 9.763 0.6182 8.624 2.871 1.398
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.274 8.072 8.065 6.766 4.621 3.860 1.822 3.837 1.486 4.617 5.606
[2,] 9.600 8.740 8.723 6.842 4.917 3.919 1.886 3.851 1.494 4.803 6.051
[3,] 10.108 9.092 9.031 6.903 5.072 3.930 1.896 3.851 1.494 4.972 6.220
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.815 2.405 3.801 5.713 7.282 3.221 5.216 5.164 1.832 5.153 4.302
[2,] 4.015 2.525 3.909 5.716 7.287 3.269 6.234 5.322 1.876 6.422 4.807
[3,] 4.107 2.595 4.014 6.398 7.710 3.325 6.366 5.409 1.885 6.776 5.339
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.947 2.801 4.165 1.009 3.779 1.384 3.077 3.485 3.572 6.200 2.013
[2,] 4.594 4.085 4.206 1.013 4.163 1.399 3.208 3.521 3.929 6.466 2.016
[3,] 5.277 4.821 4.211 1.022 4.715 1.424 3.504 3.534 3.993 6.503 2.034
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.491 3.326 4.236 1.919 6.558 5.188 6.892 6.997 7.363 7.389 5.687
[2,] 4.980 3.332 5.183 1.945 6.747 6.469 6.983 8.729 7.624 8.398 7.112
[3,] 5.134 3.353 5.397 1.952 7.132 6.627 7.092 8.879 8.271 8.695 8.105
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.494 5.810 4.119 5.944 3.303 2.808 2.341 3.822 4.065 9.059 6.874
[2,] 1.494 6.203 4.259 6.799 3.496 2.935 2.366 4.441 4.080 9.077 6.936
[3,] 1.499 7.602 4.373 7.787 3.659 3.102 2.377 4.574 4.086 9.189 7.293
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.131 3.088 3.355 3.076 3.293 3.338 0.7614 1.592 16.38 8.603
[2,] 3.381 3.872 4.013 3.575 3.508 3.340 0.7825 1.732 16.98 9.042
[3,] 3.495 4.119 4.233 4.245 3.705 3.472 0.8251 1.746 17.55 9.582
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.586 4.641 11.76 10.06 10.79 0.4286 3.341 6.456
[2,] 1634.237 200.474 3845.54 5627.28 5918.81 126.1506 898.181 835.700
[3,] 1687.434 725.488 2768.27 2358.32 3521.05 69.7139 759.054 889.794
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 7.916 6.052 5.233 4.905 4.92 5.279 8.403
[2,] 1441.636 5560.674 1446.594 4434.431 829.72 4027.465 4783.321
[3,] 1868.664 1179.674 1421.802 983.727 1371.53 2411.548 2937.300
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 6.994 6.859 6.022 12.15 10.16 15.61 6.193 21.24
[2,] 1850.293 4288.488 7003.603 6191.28 5353.46 4031.75 1594.225 15157.75
[3,] 2745.510 4829.162 4330.178 6379.67 3032.74 4139.91 1011.419 6397.41
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 11.15 1.064 10.94 11.13 1.877 10.17 0.7268 9.764
[2,] 6090.02 355.608 3943.86 6541.57 662.946 6906.54 206.9019 4386.283
[3,] 2476.55 503.238 5391.77 6132.82 955.115 3690.27 254.2572 3283.811
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.219 1.643 11.78 10.25 10.24 8.592 5.867 4.902
[2,] 1195.583 515.898 3480.58 4703.11 4665.57 1421.501 2359.504 952.333
[3,] 1468.239 536.091 4441.05 3519.52 3281.13 1291.518 1744.704 406.153
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.313 4.872 1.887 5.863 7.119 4.844 3.054 4.827
[2,] 685.090 456.135 218.618 1857.060 3196.695 1757.620 1078.890 1278.564
[3,] 270.266 51.962 39.344 1801.795 2020.914 1216.046 837.888 1281.779
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.255 9.247 4.09 6.623 6.557 2.326 6.544 5.463
[2,] 231.906 378.090 789.88 4791.925 1806.695 567.625 5378.311 3009.011
[3,] 4036.075 3537.929 847.92 1809.570 1357.179 258.353 3033.641 3262.071
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.012 3.557 5.289 1.281 4.799 1.758 3.908 4.425
[2,] 3298.632 4174.214 821.910 127.681 2452.496 288.797 1274.390 709.155
[3,] 3644.864 3592.481 271.276 186.571 3104.951 366.395 1977.817 420.251
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.536 7.872 2.556 5.703 4.224 5.378 2.437 8.327
[2,] 2294.220 2577.494 163.064 3022.153 272.944 4193.045 442.956 2226.713
[3,] 1003.593 970.688 379.046 1747.568 530.046 2112.856 242.184 3245.741
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.588 8.751 8.886 9.35 9.383 7.222 1.898 7.377
[2,] 5423.151 1580.984 7324.534 2774.34 5603.126 5994.453 4.311 3051.361
[3,] 2016.557 1738.364 2281.161 4500.60 3160.964 5455.481 155.490 6168.530
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.231 7.548 4.194 3.566 2.973 4.853 5.162 11.5
[2,] 1517.798 4633.606 1608.471 1197.948 480.684 3175.511 483.409 790.7
[3,] 1390.952 5327.306 1516.497 1405.903 319.840 1537.213 314.659 2004.5
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 8.729 3.976 3.921 4.261 3.906 4.182 4.239
[2,] 1296.837 1790.477 3279.394 3089.296 2556.483 1695.182 141.996
[3,] 3163.715 1244.270 1970.276 1892.766 3212.457 1674.916 1335.300
[,95] [,96] [,97] [,98]
[1,] 0.9668 2.022 20.8 10.92
[2,] 253.2192 957.978 6280.8 3907.31
[3,] 367.2132 307.946 6235.3 4448.03
[1] "--- VAR model 2017-10-01 06:01:00 completed"
[1] "Completed training sample: 2017-10-01 06:01:00 - 2017-10-01 14:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 06:31:00 - 2017-10-01 14:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.761 -1.6223 -74.17 -63.17
-3.766 -0.5319 -64.60 -62.05
-2.452 0.6444 -66.23 -66.63
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-60.10 -0.9912 -0.8869 -4.656
-74.68 -1.0745 -1.3454 -6.304
-67.14 -0.9170 -1.2226 -7.896
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.352 -13.823 -1.3776 -31.26
-12.712 -9.346 -0.7892 -24.48
-9.471 -11.453 -3.1029 -28.12
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.826 -15.34 -22.44 4.1899
-2.501 -16.90 -15.92 0.2209
-1.367 -15.92 -11.75 -2.4448
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.308 -17.58 -19.682 6.928
-22.354 -16.89 -9.183 14.468
-18.699 -23.63 -18.753 17.145
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-67.78 -9.033 -147.9 -71.58
-54.05 -8.234 -148.7 -68.20
-68.37 -8.553 -138.3 -62.52
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.403 -64.83 -64.98 -17.51
-7.596 -65.41 -84.63 -17.73
-7.774 -66.49 -79.11 -18.04
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-71.05 -7.637 -71.36 -24.19
-63.51 -7.728 -57.88 -26.30
-68.34 -7.943 -70.20 -25.28
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.89 -60.77 -62.30 -68.54
-14.91 -65.46 -68.87 -68.48
-16.23 -73.14 -64.40 -62.44
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.098 -11.79 -1.0490 0.7976
3.151 -10.85 -0.2582 -0.9366
1.840 -10.19 0.2573 -1.1480
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.378115 -0.1934 -46.82 -44.46
-0.138708 -0.2647 -35.44 -47.39
0.001154 -0.1094 -40.41 -39.13
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.980 -4.051 -30.13 5.942
2.918 -1.689 -32.66 8.202
5.425 -2.609 -32.86 6.057
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
12.009 -5.345 -17.22 3.937
6.457 -2.369 -18.91 4.610
4.078 -4.835 -26.58 3.000
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.3125 -17.01 -16.05 -24.14
-0.4913 -21.12 -17.45 -17.62
-1.6165 -23.49 -16.52 -18.51
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-22.89 -0.3051 -0.1396 -28.30
-15.25 -0.8255 -0.4090 -22.99
-19.55 -0.5359 -0.2424 -14.85
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.992 -15.95 -0.5153383 -12.14
-2.176 -14.58 -0.3571936 -12.69
-1.859 -11.04 0.0005851 -13.09
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-11.74 0.23772 -11.47 -0.12728
-11.12 0.33029 -12.38 1.64151
-11.57 0.02861 -11.93 -0.04546
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.27 -0.7331 -3.663 -1.767
-10.46 -0.8166 -4.920 -4.021
-11.65 -0.7514 -4.244 -4.461
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.008 -0.7107 21.42 3.9824
-4.856 -8.2620 20.09 2.6256
-3.498 -9.0342 17.36 -0.6755
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.460 0.1519 3.334 2.3822
5.895 0.2755 4.780 -0.5437
1.695 0.1024 5.685 -1.0824
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.402 0.1609 -4.257 -1.617
9.058 -0.4341 -1.928 -1.541
4.694 -0.8483 -3.126 -1.618
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.385 -0.7744 1.6154 -6.501
-10.422 -0.6721 -0.6416 -7.658
-9.741 -0.2564 0.4276 -7.728
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.322 4.250 1.328 4.719
3.098 3.397 1.889 2.003
1.122 3.684 2.128 2.448
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-11.270 -1.5034 -10.44 -0.4733
-9.842 -1.0655 -10.76 -1.1900
-5.899 -0.8435 -10.47 -0.7135
rnd_95776.volume rnd_95787.volume
-32.64 -63.90
-58.03 -71.42
-44.29 -67.96
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.991 3.797 9.733 8.258 9.179 0.3442 2.783 5.440 6.556 4.864 4.273
[2,] 6.095 3.799 10.109 9.252 9.908 0.3555 2.855 5.477 6.624 6.356 4.395
[3,] 6.178 3.839 10.289 9.467 10.351 0.3579 2.954 5.518 6.746 6.427 4.513
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.892 4.030 4.206 7.483 6.396 7.992 5.498 11.85 8.034 12.64 5.764
[2,] 5.174 4.076 5.195 8.126 6.491 8.573 7.091 12.90 8.544 12.96 5.818
[3,] 5.241 4.192 5.480 8.391 6.768 9.207 7.519 13.50 9.128 13.29 5.955
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.72 9.215 0.8572 9.036 9.35 1.504 8.325 0.5900 8.232 2.612
[2,] 20.43 10.198 0.8946 9.609 10.42 1.567 9.781 0.6216 8.741 2.767
[3,] 21.08 10.392 0.9662 10.393 11.26 1.701 10.219 0.6450 9.056 2.952
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.393 9.659 8.701 8.506 6.905 4.780 4.162 1.900 4.063 1.542 4.964
[2,] 1.424 9.903 9.277 9.193 6.987 5.087 4.194 1.961 4.078 1.550 5.187
[3,] 1.468 10.327 9.607 9.424 7.062 5.237 4.209 1.972 4.080 1.551 5.343
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.015 3.884 2.404 4.091 5.944 7.556 3.359 5.441 5.523 1.936 5.426
[2,] 6.450 4.094 2.532 4.203 5.954 7.560 3.432 6.519 5.699 1.990 6.653
[3,] 6.622 4.165 2.598 4.349 6.762 7.983 3.474 6.660 5.810 1.999 6.940
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.515 4.088 2.986 4.399 1.027 3.931 1.431 3.286 3.632 3.675 6.436
[2,] 4.920 4.788 4.259 4.447 1.030 4.298 1.448 3.391 3.668 4.083 6.751
[3,] 5.485 5.489 4.953 4.452 1.036 4.889 1.466 3.689 3.684 4.120 6.781
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.067 4.787 3.617 4.495 1.995 6.688 5.236 7.062 7.147 7.588 7.391
[2,] 2.071 5.303 3.618 5.419 2.019 6.868 6.580 7.143 8.811 7.841 8.521
[3,] 2.089 5.413 3.647 5.627 2.028 7.261 6.720 7.247 8.921 8.491 8.852
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.682 1.533 5.761 4.209 5.918 3.352 2.914 2.404 4.005 4.201 9.662
[2,] 7.216 1.533 6.167 4.350 6.735 3.532 3.011 2.422 4.602 4.220 9.666
[3,] 8.263 1.539 7.616 4.468 7.857 3.704 3.188 2.431 4.696 4.225 9.854
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.446 3.283 3.280 3.578 3.292 3.503 3.288 0.7907 1.671 17.30 8.916
[2,] 7.460 3.593 4.016 4.158 3.788 3.679 3.293 0.8201 1.822 17.68 9.248
[3,] 7.727 3.739 4.310 4.419 4.359 3.918 3.328 0.8612 1.834 18.18 9.696
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.607 4.822 12.36 10.49 11.66 0.4371 3.534 6.908
[2,] 1572.240 170.295 3831.53 5846.89 5227.78 124.4664 889.965 885.181
[3,] 1410.777 769.671 2684.89 2808.04 4195.96 58.4581 1065.534 939.350
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 8.325 6.177 5.426 4.942 5.118 5.341 9.502
[2,] 1327.590 5733.266 1438.258 4776.969 853.082 4273.629 4441.210
[3,] 1790.554 1330.940 1435.271 1175.319 1374.172 2445.349 2933.302
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 8.122 10.15 6.982 15.04 10.2 16.06 7.319 22.51
[2,] 1547.554 4348.34 6274.540 7160.66 4074.1 3962.37 1116.019 14232.46
[3,] 2685.835 4707.18 3505.093 5594.31 4501.8 4124.14 1774.845 7271.98
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 11.7 1.088 11.47 11.87 1.91 10.57 0.7492 10.45
[2,] 6119.2 358.944 4579.71 6442.89 616.78 7195.57 274.1344 4116.27
[3,] 2807.2 511.639 5548.83 5994.53 926.61 4147.63 241.3015 3318.47
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.317 1.769 12.26 11.05 10.8 8.769 6.07 5.285
[2,] 1276.594 417.019 3061.34 4509.65 4888.1 1489.748 2437.91 729.556
[3,] 1443.561 497.584 4107.61 3498.80 2902.3 1444.270 1742.54 492.638
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.413 5.16 1.958 6.304 7.638 4.932 3.052 5.195
[2,] 675.827 479.88 231.661 2105.271 3265.318 1814.840 1113.907 1351.535
[3,] 295.353 199.14 28.801 1798.555 2097.853 1068.215 816.412 1563.223
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.548 9.595 4.265 6.91 7.013 2.458 6.89 5.733
[2,] 494.834 350.520 989.256 5030.21 1973.313 642.085 5396.60 2738.436
[3,] 4490.402 3590.675 751.574 1911.65 1583.933 265.219 2766.48 3400.235
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.192 3.791 5.586 1.304 4.991 1.817 4.172 4.611
[2,] 3492.176 4257.118 911.987 102.783 2435.332 315.040 1174.256 721.645
[3,] 3760.943 3543.071 298.243 152.542 3267.324 317.436 2035.630 482.010
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.667 8.173 2.625 6.079 4.593 5.708 2.533 8.492
[2,] 2492.952 2854.227 185.415 3197.939 112.871 4241.090 438.623 2193.831
[3,] 766.865 890.892 382.213 1523.923 637.779 2122.660 258.764 3300.028
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 6.649 8.968 9.075 9.636 9.385 7.215 1.946
[2,] 5584.909 1503.446 7221.452 2769.304 5943.338 6234.797 16.034
[3,] 1907.521 1715.320 1957.159 4566.935 3359.970 5639.548 191.025
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 7.316 5.345 7.515 4.257 3.7 3.053 5.085 5.334
[2,] 3081.390 1539.296 4507.034 1558.017 1066.2 413.096 3176.530 557.459
[3,] 6262.328 1430.237 5668.424 1563.694 1465.0 289.293 1312.290 290.458
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 12.27 9.455 4.169 4.165 4.543 4.18 4.449 4.175
[2,] 383.21 652.518 2043.722 3247.713 2969.829 2626.95 1574.918 250.871
[3,] 2687.92 2821.868 1451.810 2193.400 2098.226 3022.84 1887.639 678.235
[,95] [,96] [,97] [,98]
[1,] 1.004 2.121 21.96 11.32
[2,] 305.259 1019.363 5117.74 3442.88
[3,] 368.307 290.520 5928.17 4083.69
[1] "--- VAR model 2017-10-01 06:31:00 completed"
[1] "Completed training sample: 2017-10-01 06:31:00 - 2017-10-01 14:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 07:01:00 - 2017-10-01 15:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.363 -0.9340 -52.34 -62.75
-0.770 -0.1280 -61.85 -64.31
-2.263 -0.4071 -63.16 -66.08
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-69.19 -1.078 -1.3406 -7.768
-64.74 -1.018 -0.9799 -3.475
-67.50 -0.903 -1.2144 -5.459
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-11.817 -4.105 3.1319 -20.51
-7.150 -11.177 0.9656 -28.25
-6.656 -7.142 0.5465 -26.15
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.93937 -9.113 -0.6489 -7.2702
-0.41862 -14.134 6.5193 -3.9829
-0.08629 -15.467 -5.0696 -0.9533
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.18 -21.03 -29.412 -1.244
-14.68 -15.99 -16.919 10.541
-17.22 -17.94 -8.876 11.687
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-65.14 -9.516 -136.9 -62.43
-64.70 -7.531 -128.5 -61.81
-63.14 -7.905 -132.5 -64.60
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.005 -67.77 -79.00 -16.87
-7.911 -66.47 -67.74 -17.60
-7.831 -64.40 -70.85 -17.68
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-57.70 -8.193 -65.98 -27.69
-67.90 -8.148 -70.67 -29.31
-66.02 -8.201 -62.89 -27.29
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.81 -66.66 -66.30 -67.76
-15.57 -69.64 -63.39 -66.41
-14.72 -65.46 -70.82 -71.57
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.058585 -6.039 1.4816 0.03606
-0.007953 -3.153 0.6884 -0.60470
-0.324271 -12.343 -0.3527 -0.30889
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4079 -0.05475 -35.94 -37.78
-0.6175 -0.30639 -37.43 -38.67
-0.2721 -0.08921 -36.61 -38.51
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3044 -3.857 -35.35 1.597
-0.4875 -3.315 -37.55 2.722
1.1140 -2.275 -34.20 2.197
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.770 -5.084 -24.90 1.508
1.262 -4.548 -27.32 1.110
2.025 -4.125 -27.97 2.525
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6959 -26.11 -24.59 -25.52
-0.8139 -22.86 -17.99 -21.71
-1.6591 -23.50 -19.55 -17.24
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-25.86 -1.0837 -0.3327 -20.83
-21.04 0.5100 -0.5005 -27.11
-17.26 -0.2256 -0.3197 -19.41
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.820 -9.291 0.54821 -10.42
-2.056 -13.648 -0.04506 -9.40
-2.165 -12.667 0.10938 -12.29
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.845 -0.26857 -12.349 0.33649
-6.980 0.13076 -5.375 0.26724
-11.536 -0.01765 -11.145 0.04954
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.622 -0.9483 -7.101 -6.046
-10.142 -0.9510 -5.688 -6.922
-10.672 -0.2256 -5.705 -5.185
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.567 -5.970 17.04 6.1088
-7.360 -12.539 16.43 -0.4981
-5.421 -8.215 13.46 3.8369
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.357 0.006631 4.794 -0.7267
1.932 0.090506 8.571 -3.8081
-2.047 0.036029 1.917 -2.7432
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.704 -1.3974 -6.233 -0.91383
11.571 -1.3152 -5.364 -0.02266
2.622 -0.7178 -4.724 -1.33476
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.910 -0.48947 -5.438 -5.883
-2.824 0.09869 -4.210 -8.543
-8.868 -0.12132 -2.370 -6.950
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.796 6.235 4.718 2.050
2.299 5.414 1.836 3.905
2.097 3.132 1.390 2.721
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.024 -0.7100 -10.95 -0.7159
-10.635 -1.4259 -10.69 -1.9966
-11.091 -0.7395 -10.86 -1.5257
rnd_95776.volume rnd_95787.volume
-57.81 -55.00
-60.36 -63.81
-63.65 -62.71
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.159 3.794 11.72 8.674 9.683 0.3193 2.850 5.554 6.754 5.226 4.389
[2,] 6.246 3.859 12.38 9.630 10.406 0.3270 2.916 5.632 6.775 6.516 4.486
[3,] 6.331 3.874 12.64 9.825 10.746 0.3334 3.021 5.664 6.887 6.597 4.607
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.029 4.127 4.246 11.63 6.578 8.111 5.502 12.00 7.014 13.19 5.783
[2,] 5.292 4.155 5.303 12.07 6.691 8.700 6.999 13.03 7.864 13.56 5.845
[3,] 5.370 4.277 5.533 12.62 6.911 9.354 7.499 13.58 8.612 13.84 5.967
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 18.83 9.577 0.8668 9.542 9.593 1.554 8.925 0.6176 8.814 2.745
[2,] 21.37 10.462 0.9049 10.188 10.646 1.650 10.297 0.6497 9.359 2.868
[3,] 22.02 10.590 0.9737 11.055 11.497 1.801 10.810 0.6767 9.779 3.061
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.480 9.99 9.355 8.943 7.099 4.954 4.437 1.970 4.390 1.614 5.503
[2,] 1.505 10.27 9.968 9.769 7.161 5.230 4.460 2.016 4.395 1.618 5.675
[3,] 1.546 10.71 10.310 9.987 7.227 5.380 4.481 2.025 4.402 1.619 5.855
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.264 3.992 2.413 4.153 6.272 7.869 3.562 5.684 5.814 2.003 5.525
[2,] 6.784 4.178 2.533 4.278 6.278 7.871 3.628 6.612 6.009 2.068 6.933
[3,] 6.923 4.255 2.621 4.407 7.052 8.306 3.662 6.853 6.134 2.077 7.199
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.766 4.273 3.355 4.736 1.040 3.632 1.465 3.397 3.798 3.841 6.692
[2,] 5.143 4.986 4.627 4.767 1.042 4.688 1.477 3.524 3.833 4.228 6.978
[3,] 5.734 5.818 5.381 4.770 1.050 5.252 1.489 3.822 3.842 4.270 7.024
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.164 5.265 3.791 4.420 2.071 6.805 5.273 7.154 7.162 7.756 7.706
[2,] 2.171 5.553 3.791 5.689 2.096 6.984 6.616 7.216 8.870 8.035 8.792
[3,] 2.185 5.640 3.803 5.894 2.103 7.384 6.719 7.310 9.000 8.561 9.133
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.668 1.553 5.842 4.245 6.029 3.475 2.988 2.467 4.269 4.358 9.974
[2,] 7.299 1.553 6.337 4.391 6.935 3.623 3.103 2.485 4.818 4.369 9.985
[3,] 8.388 1.559 7.737 4.495 8.090 3.809 3.282 2.493 4.920 4.379 10.178
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.761 3.424 3.463 3.726 3.460 3.548 3.412 0.8145 1.696 17.79 9.459
[2,] 7.781 3.739 4.137 4.253 3.910 3.761 3.418 0.8442 1.856 18.27 9.716
[3,] 8.026 3.880 4.421 4.519 4.459 4.026 3.439 0.8874 1.867 18.83 10.268
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.82 4.818 14.88 11.02 12.3 0.4055 3.62 7.053
[2,] 1649.64 1119.102 6339.30 6643.53 6052.3 111.8041 974.93 1484.155
[3,] 1649.97 529.288 4063.55 3089.25 4264.6 103.3506 1252.97 954.745
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 8.576 6.636 5.574 5.116 5.241 5.392 14.77
[2,] 845.536 6182.887 1473.637 5451.110 764.495 5045.237 5078.43
[3,] 1970.756 1632.670 1668.148 1444.399 1608.603 2507.729 5887.74
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 8.353 10.3 6.986 15.24 8.907 16.75 7.343 23.92
[2,] 1947.448 4998.3 6870.873 8048.10 5648.130 5028.46 1350.215 16033.46
[3,] 2744.128 5455.4 4277.467 6077.12 5574.895 4351.84 1909.091 8428.32
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 12.16 1.101 12.12 12.18 1.973 11.33 0.7843 11.19
[2,] 6689.58 412.689 5671.15 7333.99 884.364 8158.43 319.9549 5000.36
[3,] 2607.90 571.007 6815.14 6892.82 1144.771 5224.93 301.0053 4502.37
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.486 1.88 12.69 11.88 11.36 9.014 6.29 5.634
[2,] 1316.128 430.33 3810.44 5466.96 6241.22 1502.868 2662.72 718.464
[3,] 1699.388 563.70 4804.24 4183.55 3302.45 1537.865 2003.99 681.713
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.501 5.575 2.049 6.988 7.954 5.07 3.063 5.273
[2,] 685.542 306.067 197.793 2203.393 4140.026 1956.81 1227.179 1635.043
[3,] 292.881 398.393 39.569 2289.448 2190.865 1281.56 1068.728 1677.355
[,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 7.964 9.993 4.523 7.218 7.383 2.544 7.016
[2,] 435.313 280.285 1093.071 5366.245 2411.835 813.691 6653.023
[3,] 5101.604 4215.116 789.421 2859.403 1952.121 310.878 3076.833
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 6.053 5.426 4.26 6.014 1.321 4.612 1.861 4.313
[2,] 3067.254 4081.224 5061.92 857.833 106.249 4707.738 300.190 1489.906
[3,] 4026.775 4761.620 4363.71 272.626 200.591 3758.485 299.243 2349.654
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.823 4.878 8.498 2.748 6.685 4.814 5.612 2.629
[2,] 820.869 2805.522 3141.356 279.216 2803.265 20.267 5689.295 515.931
[3,] 432.128 944.365 1266.619 384.571 1567.271 474.979 2449.295 263.200
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.641 6.696 9.084 9.095 9.849 9.786 7.197
[2,] 2493.459 6347.097 1504.618 8309.767 3332.011 6720.895 7305.849
[3,] 3809.275 1859.720 1850.352 2419.905 4691.993 3927.980 6562.628
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.972 7.418 5.391 7.655 4.413 3.795 3.133 5.421
[2,] 16.428 3901.374 1781.965 5444.480 1624.398 1328.274 477.190 3547.350
[3,] 223.242 7049.189 1528.498 6616.237 1867.046 1699.261 317.945 1583.506
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 5.534 12.67 9.856 4.348 4.397 4.731 4.394 4.505
[2,] 506.299 748.86 876.616 2386.572 3595.653 3259.035 2890.766 1985.580
[3,] 465.779 3129.71 3128.321 1649.239 2477.529 2424.352 3403.740 2278.154
[,94] [,95] [,96] [,97] [,98]
[1,] 4.332 1.034 2.154 22.59 12.01
[2,] 322.993 352.780 1194.995 6648.35 3522.14
[3,] 603.788 434.200 328.954 7211.54 5278.51
[1] "--- VAR model 2017-10-01 07:01:00 completed"
[1] "Completed training sample: 2017-10-01 07:01:00 - 2017-10-01 15:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 07:31:00 - 2017-10-01 15:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.09163 0.07975 -62.67 -67.99
-1.28195 -0.33547 -56.17 -61.03
1.83188 -0.39051 -64.79 -72.74
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-59.82 -0.7381 1.6256 -1.413
-63.70 -0.8373 0.5327 -3.537
-58.31 -0.7971 0.2828 -1.435
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.396 -9.033 -0.1482 -25.52
-6.742 -6.131 -0.5010 -23.81
-8.586 -6.593 -1.2591 -20.62
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.693 -17.37 -13.625 -2.191
3.583 -14.06 -10.567 2.803
3.076 -10.44 -8.709 3.180
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.60 -11.68 8.203 24.57
-15.53 -15.00 -2.031 18.20
-11.59 -14.94 -10.574 14.30
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-53.63 -7.453 -169.2 -73.68
-59.35 -7.654 -121.3 -60.27
-60.29 -7.593 -122.9 -58.70
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.690 -54.35 -58.50 -17.45
-7.973 -75.99 -78.99 -17.56
-7.757 -62.48 -66.47 -17.97
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-70.89 -6.949 -61.34 -26.72
-57.51 -6.951 -54.55 -25.15
-74.69 -6.837 -71.22 -25.65
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.14 -62.77 -55.79 -58.73
-12.99 -64.28 -60.33 -59.24
-14.80 -65.01 -56.76 -56.82
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.9756 -0.3963 0.14092 0.0147
-1.2152 4.3761 0.57674 -0.2177
-1.0064 5.1674 0.02235 0.3789
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.1819 -0.07458 -35.95 -38.07
0.5542 -0.04279 -35.30 -38.63
0.1917 -0.06439 -36.19 -37.38
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.318 0.58492 -34.02 8.023
5.290 0.07192 -30.98 10.090
4.919 2.80331 -28.70 7.793
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
17.32 0.4304 -16.12 11.967
15.97 -2.7192 -14.57 7.995
12.23 -2.1224 -19.36 10.004
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6265 -11.608 -7.235 -1.249
-0.4994 -9.585 -10.501 -11.247
-0.5823 -14.096 -9.348 -11.177
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.015 1.1086 -0.2788 0.1259
-9.644 0.2273 -0.3108 -1.4155
-10.611 0.1225 -0.1347 -13.3543
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9356 -3.598 4.104 0.8911
-1.4956 -1.601 3.699 -2.1430
-1.2879 -7.291 2.868 -0.6227
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.4787 0.1178 1.2858 0.03781
-0.2345 0.2182 -2.2836 0.26893
1.2114 -0.0545 0.5712 0.01001
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.16641 -0.18655 -3.654 -1.502
0.74326 0.12111 -3.667 -3.869
0.06521 -0.01255 -3.172 -1.906
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.8087 0.4759 17.88 9.798
-0.8074 -2.4447 15.75 8.486
-2.1661 -1.6067 19.04 6.286
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.527 -0.019951 0.3557 -0.5480
10.207 -0.096704 8.1512 0.8969
6.486 -0.009164 7.9261 2.6320
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.170 1.0274 -0.06686 -0.9596
9.479 -0.3556 -3.01718 0.7069
8.893 0.2269 -1.48230 0.6528
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.304 0.09528 1.273 -7.702
2.388 0.36882 2.714 -5.622
3.869 -0.02231 1.269 -4.370
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
23.61 31.45 31.42 23.04
20.44 26.95 25.56 31.56
20.70 23.57 24.09 26.41
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.8030 -0.001347 -9.980 -1.3651
4.0218 0.501699 -9.724 -0.3301
-0.1652 -0.590489 -9.382 -0.6398
rnd_95776.volume rnd_95787.volume
-14.69 -64.43
-39.68 -70.28
-33.66 -59.71
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.399 3.892 15.54 9.50 10.48 0.3214 2.913 5.749 6.832 5.254 4.486
[2,] 6.497 3.961 15.98 10.41 11.03 0.3347 2.972 5.829 6.861 6.615 4.566
[3,] 6.602 3.975 16.17 10.57 11.45 0.3374 3.087 5.852 6.890 6.718 4.673
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.144 4.269 4.307 12.88 6.594 7.886 5.588 12.07 7.157 13.58 5.934
[2,] 5.369 4.290 5.480 13.36 6.676 8.596 7.045 13.09 8.099 13.94 5.985
[3,] 5.437 4.424 5.716 14.05 6.897 9.201 7.587 13.65 8.831 14.20 6.103
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.73 9.833 0.9030 10.05 10.16 1.593 9.499 0.6369 9.142 2.803
[2,] 22.28 10.845 0.9448 10.75 11.09 1.680 10.809 0.6680 9.823 2.927
[3,] 22.90 10.953 1.0103 11.51 11.85 1.825 11.270 0.7010 10.254 3.142
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.560 10.49 9.687 9.285 7.219 5.278 4.831 2.080 4.591 1.657 5.768
[2,] 1.588 10.75 10.233 10.171 7.298 5.661 4.851 2.134 4.594 1.661 5.916
[3,] 1.624 11.20 10.588 10.407 7.357 5.794 4.870 2.145 4.611 1.661 6.106
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.525 4.293 2.500 4.209 6.521 8.397 3.628 6.093 6.103 2.067 5.908
[2,] 6.978 4.448 2.624 4.338 6.524 8.397 3.701 7.094 6.380 2.125 7.433
[3,] 7.118 4.554 2.697 4.491 7.297 9.189 3.718 7.292 6.522 2.133 7.691
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.257 4.596 3.457 5.084 1.075 4.106 1.524 3.609 4.040 3.993 7.717
[2,] 5.629 5.400 4.954 5.100 1.079 5.246 1.535 3.754 4.109 4.428 8.063
[3,] 6.213 6.358 5.780 5.100 1.088 5.902 1.545 4.152 4.126 4.470 8.116
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.238 5.625 3.912 4.650 2.206 6.922 5.267 7.105 7.251 8.065 7.872
[2,] 2.245 5.880 3.912 5.947 2.209 7.110 6.677 7.423 9.090 8.289 8.854
[3,] 2.254 5.920 3.923 6.152 2.214 7.444 6.779 7.512 9.186 8.813 9.301
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.736 1.607 5.840 4.362 6.061 3.535 3.063 2.620 4.437 4.475 10.32
[2,] 7.542 1.607 6.383 4.525 7.013 3.697 3.198 2.646 4.962 4.482 10.33
[3,] 8.682 1.615 7.806 4.598 8.203 3.863 3.400 2.653 5.060 4.490 10.48
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 8.414 3.930 3.764 4.074 4.147 3.828 3.581 0.8413 1.727 19.27 9.703
[2,] 8.551 4.251 4.515 4.671 4.223 3.983 3.588 0.8689 1.896 19.77 10.115
[3,] 9.194 4.504 4.763 4.957 4.791 4.292 3.601 0.9128 1.913 20.59 10.477
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.126 4.942 19.73 12.06 13.31 0.4082 3.699 7.3
[2,] 1873.978 1229.848 6223.50 7093.73 5735.92 155.3288 988.413 1603.3
[3,] 1953.272 539.359 4125.25 3097.70 5092.29 71.1587 1389.670 871.2
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.675 6.671 5.696 5.262 5.421 5.47 16.35 8.374
[2,] 1051.387 6704.658 1422.624 5695.186 693.285 5651.47 5966.41 1730.609
[3,] 1053.578 1957.305 1658.363 1423.155 1806.155 2708.45 7228.96 2894.580
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 10.01 7.096 15.33 9.089 17.24 7.535 25.05 12.49
[2,] 5708.23 7154.195 8456.92 6322.353 5256.19 1300.598 17276.52 7629.50
[3,] 5470.85 4696.709 6437.98 5873.295 4559.39 1995.159 8827.63 2561.11
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.147 12.77 12.9 2.023 12.06 0.8088 11.61 3.56
[2,] 463.384 6371.82 7408.1 889.591 8602.77 336.1834 5995.37 1404.16
[3,] 596.865 6836.86 6964.5 1187.798 5320.62 354.3346 4904.51 1907.01
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.981 13.32 12.3 11.79 9.167 6.702 6.134 2.641
[2,] 493.475 3951.15 5500.4 6922.98 1783.339 3416.766 737.577 796.068
[3,] 568.021 5191.77 4534.8 3680.26 1553.417 2058.020 726.435 365.976
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.829 2.104 7.324 8.286 5.451 3.174 5.345 8.281
[2,] 288.306 196.356 2193.700 4122.113 1940.734 1333.698 1748.298 337.479
[3,] 660.418 33.551 2518.940 2349.140 1631.362 1039.850 1939.693 5452.698
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.66 4.608 7.737 7.75 2.625 7.502 6.675 5.837
[2,] 46.63 1217.368 6058.287 3100.96 821.164 7523.105 3357.156 4726.319
[3,] 6223.97 583.395 2815.839 2262.50 298.104 3292.093 4385.369 5598.866
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.39 6.456 1.366 5.214 1.935 4.582 5.13 5.071
[2,] 5916.71 676.900 137.213 5447.023 319.173 1723.478 1255.95 3191.959
[3,] 4968.43 85.776 236.105 4511.386 291.719 2961.513 621.38 1015.779
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.8 2.842 7.142 4.967 5.905 2.801 8.789 6.688
[2,] 3897.7 299.897 2857.291 60.787 6182.504 187.032 2712.308 6844.814
[3,] 1534.3 337.179 1146.125 501.235 2626.282 240.204 3679.305 1960.934
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.023 9.207 10.24 9.997 7.284 2.041 7.416 5.538
[2,] 3586.228 9143.406 3187.36 6758.922 8166.685 6.807 4295.349 2007.597
[3,] 1913.702 2211.236 4993.30 4749.186 7173.990 259.426 7494.493 1369.017
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.696 4.489 3.889 3.327 5.634 5.683 13.11 10.68
[2,] 5884.502 1806.491 1534.065 620.467 3705.754 430.774 830.32 2539.33
[3,] 7097.223 1868.931 1927.299 313.321 1655.334 438.947 2948.95 5637.59
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.991 4.779 5.173 5.266 4.861 4.547 1.068 2.192
[2,] 2701.632 4158.113 3811.481 1328.891 1833.687 377.018 362.333 1308.637
[3,] 2482.104 2533.846 2768.125 3775.483 2667.160 508.831 466.394 421.732
[,97] [,98]
[1,] 24.47 12.32
[2,] 7365.45 4767.46
[3,] 9630.14 4552.99
[1] "--- VAR model 2017-10-01 07:31:00 completed"
[1] "Completed training sample: 2017-10-01 07:31:00 - 2017-10-01 15:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 08:01:00 - 2017-10-01 16:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.3399 -0.5415 -57.23 -60.57
0.8493 0.3862 -65.53 -67.09
-1.7668 0.2967 -58.45 -60.61
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-60.21 -0.5981 2.306 -2.831
-60.93 -0.8337 2.557 -1.427
-65.40 -0.5965 1.757 -2.031
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.859 -4.724 0.19271 -22.11
-7.146 -4.612 -0.09174 -18.16
-7.059 -4.115 -0.64478 -20.04
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5828 -10.435 -10.163 0.6405
-1.2174 -7.456 -7.305 4.4528
-0.5939 -10.226 -6.530 6.3203
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.080 -15.809 -1.322 18.07
-3.679 -3.663 -7.972 14.54
-5.281 -4.083 1.292 23.93
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-57.48 -7.402 -124.3 -64.55
-61.64 -6.001 -122.3 -58.19
-59.60 -6.112 -130.0 -59.16
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.213 -73.19 -68.13 -14.12
-7.876 -65.87 -60.95 -14.47
-7.781 -61.50 -61.32 -14.42
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-63.11 -7.677 -59.93 -25.00
-68.68 -7.208 -62.71 -25.29
-63.35 -7.055 -59.10 -25.05
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.05 -60.81 -57.36 -58.59
-14.36 -58.29 -64.15 -57.74
-13.82 -63.23 -61.67 -60.28
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.810 1.258 1.5701 -0.03073
2.375 -1.947 1.3147 -0.06418
1.551 5.129 0.6174 -0.27329
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.027119 -0.28002 -33.06 -37.86
0.172022 0.04875 -33.22 -37.61
-0.005118 -0.08136 -34.43 -36.95
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.142 -1.652 -30.24 15.825
6.859 -1.549 -28.77 7.559
6.595 -1.504 -28.43 9.556
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
25.73 -2.251 -10.876 14.49
24.05 -2.991 -17.067 21.05
25.06 -1.563 -9.339 21.19
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1171 6.860 -0.0606 7.3335
-0.7485 -3.567 3.5323 2.8682
-0.2372 -1.759 -2.7125 0.9187
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
6.656 1.685 0.075274 1.628
3.056 1.431 0.029320 6.443
0.178 1.112 0.009492 3.317
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.01579 -3.873 1.419 -0.3108
-0.26725 1.099 1.942 -0.9247
0.19359 -1.737 1.637 2.0724
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.863 -0.046501 3.0652 0.1407
2.708 -0.060442 -0.9263 -0.3504
4.033 -0.006666 3.9022 -0.1180
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.5706 0.05989 1.673 -1.6466
2.1525 0.06416 2.588 0.4753
1.5654 -0.06205 -2.194 0.7171
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4229 -0.4325 20.17 13.28
-4.3197 0.2748 20.00 15.79
-2.7479 0.5450 21.13 13.03
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.55 0.09147 12.17 -1.9964
13.92 -0.17065 10.97 0.8551
12.16 -0.01192 14.55 3.2647
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.857 1.409 1.5839 -0.63292
8.938 1.338 -0.2969 0.01208
12.894 1.318 -1.8142 0.13266
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.098 -0.6070 1.90879 -7.042
2.433 -0.3383 -0.35489 -1.381
2.850 -0.1802 0.07723 -2.405
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
23.65 24.55 26.84 25.03
24.44 25.25 27.16 26.81
23.44 24.63 29.07 26.36
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.307 0.2847 -9.849 2.37682
3.894 -0.1084 -9.873 0.02873
3.780 -0.7075 -9.691 -0.26304
rnd_95776.volume rnd_95787.volume
-32.673 -66.72
-5.074 -59.33
-33.092 -56.24
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.420 4.160 16.27 9.881 10.93 0.3464 2.928 6.614 7.301 5.542 4.620
[2,] 6.480 4.160 16.58 10.865 11.50 0.3519 2.986 6.647 7.301 7.307 4.710
[3,] 6.535 4.222 16.94 11.039 11.91 0.3536 3.102 6.929 7.424 7.328 4.847
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.335 4.422 4.516 12.94 6.606 8.651 5.832 12.19 7.276 14.02 5.880
[2,] 5.694 4.439 5.795 13.48 6.675 9.440 7.146 13.22 8.316 14.45 5.928
[3,] 5.743 4.571 6.068 14.26 6.887 9.993 7.862 13.85 9.023 14.77 6.097
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 20.68 10.48 0.9220 10.38 10.58 1.632 9.968 0.6603 9.55 2.881 1.576
[2,] 23.36 11.55 0.9612 11.14 11.55 1.729 11.084 0.6912 10.27 3.009 1.618
[3,] 23.83 11.66 1.0193 11.97 12.20 1.876 11.544 0.7255 10.73 3.221 1.659
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.04 10.19 9.659 7.375 5.565 5.261 2.144 4.683 1.738 5.996 6.631
[2,] 11.38 10.75 10.529 7.431 5.944 5.279 2.200 4.688 1.743 6.164 7.045
[3,] 11.81 11.04 10.763 7.479 6.129 5.349 2.209 4.706 1.743 6.369 7.210
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.386 2.588 4.356 7.068 8.427 3.647 6.380 6.157 2.112 6.298 5.423
[2,] 4.609 2.770 4.515 7.071 8.442 3.687 7.351 6.438 2.133 7.697 5.765
[3,] 4.706 2.868 4.672 7.797 9.216 3.768 7.937 6.500 2.146 8.181 6.446
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.826 3.728 5.447 1.081 4.397 1.771 3.988 4.252 3.832 7.309 2.363
[2,] 5.776 5.343 5.470 1.084 5.604 1.814 4.102 4.364 4.820 8.071 2.366
[3,] 6.625 6.118 5.474 1.090 6.396 1.880 4.593 4.408 4.862 8.130 2.371
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.871 4.106 5.230 2.240 6.719 5.335 7.272 7.551 8.176 8.044 5.730
[2,] 6.156 4.108 5.917 2.245 6.818 6.680 7.652 9.461 8.346 8.963 7.623
[3,] 6.188 4.141 6.495 2.248 7.005 6.746 7.712 9.516 8.687 9.349 8.794
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.645 5.782 4.368 6.347 3.619 3.241 2.694 4.621 4.609 10.70 8.584
[2,] 1.645 6.378 4.532 7.352 3.765 3.355 2.734 5.124 4.622 10.70 8.715
[3,] 1.652 7.859 4.608 8.395 3.903 3.496 2.752 5.242 4.638 10.93 9.329
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.259 3.899 4.165 4.242 3.999 3.738 0.8524 1.804 16.75 10.26
[2,] 4.571 4.636 4.745 4.294 4.293 3.750 0.8811 1.941 21.01 10.62
[3,] 5.022 4.868 4.958 4.851 4.569 3.761 0.9161 1.960 21.41 10.99
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.152 5.282 20.66 12.55 13.88 0.4399 3.719 8.398
[2,] 1478.332 45.115 5377.62 7563.04 5992.23 104.0388 977.373 1115.332
[3,] 1416.068 1205.300 5823.50 3274.10 5196.01 56.5732 1405.919 3273.666
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 9.271 7.037 5.866 5.504 5.616 5.735 16.43
[2,] 101.506 7973.343 1537.102 6182.546 647.325 6080.625 6315.72
[3,] 2247.934 933.262 1917.309 1253.836 1824.529 3009.711 7798.53
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 8.389 10.99 7.406 15.47 9.24 17.8 7.466 26.26
[2,] 1606.085 6327.37 6914.649 8598.65 6742.49 5887.3 1267.888 18180.87
[3,] 2837.925 5487.56 5487.338 6904.23 5860.83 5087.9 2385.472 7935.59
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 13.31 1.171 13.18 13.43 2.072 12.66 0.8385 12.13
[2,] 8121.02 455.151 6762.05 7756.36 954.845 8115.92 342.1992 6327.00
[3,] 2618.91 568.191 7318.09 6623.83 1220.892 5402.73 369.0803 5186.17
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.659 2.001 14.02 12.94 12.26 9.365 7.066 6.68
[2,] 1452.619 613.668 4585.93 5742.25 7017.56 1519.953 3497.801 731.12
[3,] 1926.793 613.205 5332.07 4206.35 3738.27 1418.936 2500.148 1445.40
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.723 5.947 2.207 7.613 8.421 5.569 3.286 5.531
[2,] 827.295 339.662 226.853 2394.120 3983.189 2373.695 1654.595 1987.770
[3,] 331.072 689.237 20.466 2683.991 2565.349 1590.257 1243.090 2010.833
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 8.975 10.7 4.631 8.101 7.819 2.682 7.997 6.887
[2,] 347.037 845.1 908.596 6114.133 3149.405 497.771 7407.765 3271.821
[3,] 5503.027 6188.2 1300.516 5012.190 1497.731 402.499 4642.691 4831.558
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 6.129 4.734 6.917 1.373 5.583 2.249 5.064 5.399
[2,] 5314.127 6408.027 839.384 123.957 5818.025 661.184 1610.187 1648.608
[3,] 5433.896 4992.333 355.424 188.541 5162.632 824.627 3458.999 1043.191
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.866 9.281 3.001 7.455 5.214 6.641 2.845 8.533
[2,] 4896.540 5734.806 197.207 3098.612 169.140 4635.143 235.033 1929.950
[3,] 1068.858 1633.707 239.849 1056.544 877.802 4483.140 215.608 2696.363
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.775 9.234 9.589 10.38 10.22 7.276 2.089 7.342
[2,] 6729.131 3989.226 9543.983 2803.84 6617.93 8417.199 32.133 4510.331
[3,] 1586.708 1607.918 1705.871 4035.03 4452.59 7343.826 249.186 7686.791
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.546 8.06 4.596 4.116 3.421 5.867 5.853 13.58
[2,] 2026.380 6212.46 1738.225 1447.903 784.392 3707.396 580.525 532.51
[3,] 1398.658 6785.37 1722.538 1644.794 521.444 1856.614 647.536 3714.99
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 10.9 5.409 4.951 5.289 5.386 5.078 4.747 1.082
[2,] 2526.7 2776.712 4200.242 3807.133 1116.003 2614.852 512.780 373.460
[3,] 5571.9 3482.427 2488.226 2409.237 3779.827 2618.804 480.267 420.145
[,96] [,97] [,98]
[1,] 2.291 21.27 13.03
[2,] 1197.966 21228.81 4590.20
[3,] 457.174 6886.10 4678.83
[1] "--- VAR model 2017-10-01 08:01:00 completed"
[1] "Completed training sample: 2017-10-01 08:01:00 - 2017-10-01 16:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 08:31:00 - 2017-10-01 16:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.8166 0.7025 -54.84 -69.35
0.6115 0.9586 -54.41 -63.32
-1.7395 0.4299 -49.83 -62.65
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-66.79 0.7852 1.6821 -6.645
-70.68 0.2777 1.1994 -7.094
-63.18 0.3462 0.4246 -4.504
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-9.000 -9.869 -1.6860 -29.60
-7.964 -8.712 0.4429 -26.62
-9.901 -9.463 0.0856 -26.47
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.80912 -16.54 -12.55 0.7192
-0.47193 -13.36 -10.45 0.3991
0.09495 -13.84 -10.13 0.6925
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.868 -9.868 -11.811 18.60
-16.797 -11.895 -3.322 20.45
-13.293 -15.851 -7.833 17.61
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-60.74 -6.870 -129.2 -54.83
-55.14 -6.377 -137.1 -65.17
-53.85 -5.654 -129.2 -56.53
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.682 -70.77 -64.67 -15.17
-8.631 -67.56 -66.21 -15.73
-8.580 -69.62 -67.30 -16.23
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-82.41 -8.474 -81.02 -25.00
-64.92 -8.139 -62.94 -26.74
-64.17 -8.139 -62.91 -26.40
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.02 -80.00 -63.37 -59.43
-14.83 -68.08 -77.62 -73.50
-15.44 -65.25 -63.93 -65.81
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.666 5.470 1.941 -0.20075
-1.514 1.202 1.787 -0.20920
-0.975 4.911 1.131 -0.03576
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.3087 0.25475 -39.46 -33.77
-0.5419 0.12786 -38.66 -40.50
-0.2124 0.04749 -38.46 -42.70
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.046 -1.636 -31.63 2.000
6.583 -2.327 -33.54 4.880
8.214 -1.340 -32.19 4.314
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
25.01 -3.552 -16.87 11.10
19.80 -2.485 -13.48 12.67
19.17 -3.410 -18.85 11.13
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.0278 -13.276 -7.142 -8.656
0.0078 -8.388 -7.189 -8.340
0.1266 -11.263 -4.916 -5.065
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.580 4.094 -0.14220 4.049
-8.259 3.634 -0.14860 -6.841
-6.506 4.271 -0.07217 -5.024
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.4153 1.275 3.541 -3.355
0.3737 -3.514 2.617 4.597
0.8707 -4.060 2.663 -3.535
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.431 0.001672 -2.0399 1.091
5.326 -0.070906 2.7372 1.171
-1.359 0.003828 0.7896 0.459
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.423 -0.134466 -1.511 -2.901
3.547 0.050756 -1.152 -2.400
4.623 -0.002088 -2.013 -1.777
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.706 -3.686 25.95 13.006
-2.287 -4.274 24.27 10.412
-1.902 -1.935 24.49 9.313
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.681 0.081985 14.73 -1.3245
11.750 -0.061162 14.73 -1.5894
9.464 -0.004199 13.11 -0.4025
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.13 1.754 -2.422 -0.8171
14.63 1.619 -2.892 0.5185
11.71 1.545 -2.069 0.2813
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.050 -0.4847 0.9508 -6.402
-3.028 -0.6108 1.5732 -5.321
2.527 -0.8529 0.4922 -3.944
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
22.16 23.54 21.77 21.41
20.24 23.64 22.98 21.82
21.06 23.41 22.08 22.21
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3839 -1.53489 -10.39 -1.9352
2.6134 0.01156 -10.79 -0.5839
-1.3450 0.57056 -10.66 -0.6890
rnd_95776.volume rnd_95787.volume
-22.72 -60.09
-46.85 -66.78
-34.43 -58.59
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.422 4.358 20.33 10.38 10.89 0.8347 2.957 6.804 8.062 5.724 4.839
[2,] 6.492 4.358 21.70 11.47 11.48 0.8651 3.015 6.830 8.142 7.460 4.974
[3,] 6.542 4.413 22.82 11.70 11.77 0.9294 3.128 7.123 8.545 7.468 5.145
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.389 4.551 4.716 13.03 6.613 8.864 5.945 13.13 7.409 16.35 6.370
[2,] 5.811 4.567 5.977 13.59 6.680 9.501 7.320 14.04 8.512 17.04 6.601
[3,] 5.862 4.701 6.258 14.39 6.906 10.142 7.984 14.56 9.240 18.60 7.166
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 21.89 11.24 0.9480 10.83 11.03 1.671 10.38 0.6825 9.943 2.993 1.602
[2,] 25.54 12.72 0.9883 11.66 12.26 1.773 11.58 0.7156 10.731 3.135 1.633
[3,] 26.03 12.92 1.0573 12.52 13.21 1.927 12.20 0.7574 11.273 3.378 1.671
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.45 10.68 9.974 7.555 5.691 5.516 2.289 4.820 1.793 6.334 7.105
[2,] 11.87 11.40 10.901 7.605 6.082 5.550 2.300 4.823 1.801 6.494 7.631
[3,] 12.44 11.67 11.172 7.658 6.236 5.624 2.308 4.863 1.801 6.749 7.798
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.427 2.688 4.246 7.272 8.641 3.713 6.642 6.386 2.301 5.976 5.252
[2,] 4.630 2.856 4.489 7.275 8.668 3.744 7.597 6.789 2.316 7.755 6.081
[3,] 4.717 2.971 4.635 8.028 9.482 3.845 8.118 6.877 2.342 8.466 6.863
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.954 3.766 5.479 1.111 4.571 1.807 4.195 4.369 3.869 7.480 2.442
[2,] 5.587 5.066 5.492 1.112 5.805 1.852 4.341 4.493 4.950 8.333 2.445
[3,] 6.964 6.383 5.531 1.115 6.383 1.928 4.742 4.540 5.021 8.418 2.450
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.951 4.439 5.435 2.303 6.755 5.400 7.447 7.735 8.179 8.090 5.969
[2,] 6.248 4.456 6.040 2.305 6.832 6.687 7.923 9.638 8.385 9.123 7.798
[3,] 6.280 4.563 6.635 2.307 7.053 6.768 7.982 9.691 8.694 9.560 8.996
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.671 5.789 4.457 6.362 3.638 3.336 2.756 4.703 4.810 10.83 8.613
[2,] 1.671 6.539 4.605 7.512 3.816 3.415 2.800 5.290 4.816 10.83 8.751
[3,] 1.675 8.149 4.684 8.538 3.943 3.518 2.819 5.405 4.825 11.10 9.402
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.383 4.222 4.523 4.567 4.129 3.838 0.8791 1.851 17.09 10.96
[2,] 4.669 4.878 4.997 4.650 4.366 3.856 0.9098 1.980 21.73 11.46
[3,] 5.054 5.085 5.218 5.122 4.559 3.870 0.9501 1.999 22.10 11.79
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.155 5.533 25.82 13.18 13.83 1.06 3.755 8.64
[2,] 1046.150 23.967 8387.47 5402.87 4005.90 250.94 646.597 651.24
[3,] 887.799 766.469 7776.58 2525.56 2890.02 374.81 920.889 2231.32
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.24 7.268 6.144 5.574 5.779 5.989 16.55 8.397
[2,] 1249.76 5279.345 1272.206 4202.442 422.395 4050.749 4245.01 1044.256
[3,] 2864.50 388.540 1451.194 851.374 1232.616 2047.562 5213.83 1932.101
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.26 7.55 16.67 9.409 20.76 8.089 27.79 14.27
[2,] 3773.99 4711.85 5499.30 4623.036 5317.95 1908.314 14523.98 6578.91
[3,] 3916.35 3516.31 4243.04 3967.206 8212.75 3077.407 5518.38 2504.85
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.204 13.75 14.01 2.121 13.18 0.8667 12.63 3.801
[2,] 308.238 4760.55 5896.79 655.861 5657.53 237.3947 4453.07 1028.344
[3,] 414.464 5033.39 5435.65 831.303 4243.86 273.6243 3809.78 1387.399
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.035 14.54 13.57 12.67 9.593 7.227 7.004 2.907
[2,] 348.129 3454.43 4373.78 4855.14 959.599 2367.754 679.207 240.600
[3,] 391.296 4093.06 2773.35 2700.09 999.029 1520.173 1007.033 215.109
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.12 2.276 8.044 9.022 5.621 3.414 5.392 9.234
[2,] 203.37 188.620 1581.024 3070.034 1495.641 1063.754 1607.098 251.792
[3,] 683.22 2.420 2025.974 1775.905 998.996 902.955 1275.413 3743.621
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.97 4.714 8.434 8.109 2.922 7.588 6.669 6.291
[2,] 750.18 535.528 4070.060 2542.101 286.396 5453.778 3381.713 2850.298
[3,] 4243.05 963.800 3155.993 1211.918 389.291 3746.643 3510.951 4586.804
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.782 6.958 1.411 5.805 2.294 5.327 5.548 4.913
[2,] 3738.806 413.382 58.983 3948.546 450.485 1229.053 1157.279 3406.805
[3,] 4285.212 722.310 88.694 2927.858 590.951 2107.497 716.778 927.255
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.498 3.101 7.557 5.637 6.902 2.925 8.578 6.857
[2,] 4052.033 129.230 2100.638 430.217 2906.828 107.764 1126.661 4353.102
[3,] 1323.328 178.303 696.354 1084.228 3030.309 101.399 1933.314 1152.982
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.456 9.822 10.39 10.27 7.579 2.121 7.351 5.66
[2,] 2984.690 6343.911 2036.21 4652.51 5536.848 41.843 3356.504 1275.06
[3,] 1069.444 1121.499 2535.77 3152.80 4949.471 131.250 5364.328 944.92
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.079 4.62 4.236 3.499 5.972 6.108 13.75 10.94
[2,] 4406.422 1271.11 806.213 545.709 2672.503 282.646 222.31 1707.05
[3,] 4478.380 1094.54 931.013 363.390 1223.310 316.803 2686.42 3794.20
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 5.566 5.361 5.744 5.799 5.243 4.874 1.116 2.35
[2,] 1774.496 2696.978 2343.409 967.454 1566.077 405.395 258.720 777.71
[3,] 2134.559 1581.665 1655.789 2369.159 1448.159 357.586 302.126 297.82
[,97] [,98]
[1,] 21.7 13.91
[2,] 14804.7 3708.82
[3,] 4433.2 3046.53
[1] "--- VAR model 2017-10-01 08:31:00 completed"
[1] "Completed training sample: 2017-10-01 08:31:00 - 2017-10-01 16:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 09:01:00 - 2017-10-01 17:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.396 0.09322 -48.46 -60.05
4.545 0.49226 -47.14 -55.99
2.915 0.37614 -54.30 -58.23
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-66.29 0.6968 1.2693 1.096
-58.87 0.5666 0.9970 -0.618
-55.20 0.6802 0.2179 -1.067
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.860 -8.4298 1.278 -26.21
-4.167 0.1228 3.557 -19.61
-6.071 -1.8837 3.034 -19.74
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8273 -13.043 -9.185 0.3706
0.2770 -12.418 -6.374 -0.1425
0.2881 -7.518 -5.401 2.8642
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.487 -5.582 -7.193 19.23
-12.873 -12.216 -2.117 24.90
-4.239 -11.922 -6.794 19.02
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-52.59 -6.315 -121.6 -62.15
-47.11 -6.050 -121.8 -56.65
-47.64 -5.504 -110.1 -55.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.405 -57.18 -60.31 -13.60
-8.242 -60.17 -61.43 -13.80
-8.266 -61.48 -63.69 -14.01
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-64.03 -7.325 -55.55 -26.34
-56.39 -7.458 -56.35 -24.57
-59.75 -7.293 -56.85 -25.58
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.23 -68.25 -72.97 -59.55
-13.61 -62.50 -59.75 -60.81
-14.37 -55.98 -58.20 -59.84
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.366 -0.3211 2.831 0.34890
-1.461 2.7833 2.643 0.17308
-1.320 -3.8810 1.812 0.05154
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.32292 0.021962 -35.39 -43.08
-0.14600 -0.013648 -36.57 -38.58
-0.05055 -0.002241 -37.57 -38.92
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.297 -0.9187 -30.94 10.877
7.901 -0.1792 -28.01 9.757
6.843 -0.3391 -28.31 9.491
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.958 -1.255 -7.811 11.494
15.502 -2.205 -19.011 6.234
12.759 -1.073 -12.093 10.204
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4931 -12.106 -12.523 -5.859
-0.5352 -7.231 -4.638 -6.963
-0.2619 -11.689 -12.126 -6.061
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.015 3.006 0.02020 -8.255
-13.085 2.585 0.07769 -5.233
-4.377 3.258 0.07459 -6.698
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.853 -7.771 0.65762 -3.010
-1.589 -5.739 -0.51500 -7.474
-1.267 -5.253 -0.06898 -4.611
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.914 0.075662 -3.507 0.87086
-6.931 0.088159 -2.673 0.05319
-3.373 -0.003346 -5.060 0.04952
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.712 -0.006007 3.632 -1.628
-1.253 0.123439 4.251 2.265
-7.382 -0.085202 1.352 3.687
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.1725 -4.4056 23.58 15.81
-2.8319 0.1922 23.54 11.57
-0.6484 2.2711 24.09 13.81
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
30.482 -0.1548 16.88 0.6235
9.851 -0.1063 18.11 -1.1015
13.283 -0.0236 10.97 1.7143
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.582 -0.5717 -3.202 0.09949
24.699 0.7094 -1.028 0.08925
11.611 0.9639 -2.984 0.15785
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.792 0.4407 0.06303 0.4758
1.869 -0.4846 1.64130 3.7203
-2.751 0.2375 0.36793 1.5112
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
8.340 9.673 7.799 9.389
9.252 7.047 7.433 9.279
6.366 8.753 11.136 8.311
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.128 1.304 -10.844 0.7275
-4.392 0.671 -10.187 -0.8784
-1.375 1.826 -9.826 -0.4280
rnd_95776.volume rnd_95787.volume
-29.88 -57.24
-20.29 -64.16
-29.43 -60.36
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.496 4.443 22.57 10.81 11.24 1.077 2.985 6.959 8.277 6.099 4.993
[2,] 6.547 4.443 23.94 11.98 11.95 1.091 3.030 6.976 8.361 8.262 5.157
[3,] 6.604 4.490 25.20 12.12 12.20 1.175 3.131 7.294 8.777 8.360 5.341
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.542 4.519 4.754 13.91 6.540 8.869 5.911 14.99 7.467 16.69 6.094
[2,] 6.039 4.527 6.190 14.26 6.577 9.450 7.224 15.85 8.638 17.42 6.331
[3,] 6.109 4.626 6.505 15.38 6.719 10.081 7.907 16.28 9.274 18.96 6.927
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 22.75 11.53 0.9044 11.05 11.36 1.681 10.71 0.7030 10.23 3.076 1.700
[2,] 26.53 12.93 0.9366 11.96 12.79 1.784 11.84 0.7316 11.03 3.188 1.723
[3,] 26.99 13.11 0.9952 12.82 13.34 1.949 12.59 0.7677 11.65 3.449 1.774
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.72 11.20 10.25 7.510 5.822 5.757 2.382 4.859 1.831 7.398 7.482
[2,] 12.18 11.87 11.18 7.547 6.243 5.788 2.390 4.865 1.839 7.725 8.496
[3,] 12.58 12.30 11.42 7.594 6.381 5.867 2.396 4.898 1.840 8.497 8.659
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.531 2.602 4.509 7.506 8.793 3.786 6.913 6.551 2.349 5.993 5.517
[2,] 4.769 2.765 4.791 7.508 8.925 3.822 7.858 6.927 2.363 8.056 6.628
[3,] 4.870 2.874 4.960 8.278 9.790 3.942 8.289 7.038 2.385 8.804 7.293
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.086 3.802 5.810 1.134 4.666 1.845 4.298 4.469 3.989 7.527 2.526
[2,] 5.772 5.303 5.846 1.134 5.869 1.904 4.381 4.606 5.038 8.366 2.528
[3,] 7.316 6.791 5.873 1.136 6.590 1.978 4.835 4.656 5.089 8.443 2.533
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.083 4.737 5.563 2.353 6.797 5.408 7.685 7.822 8.273 8.099 6.030
[2,] 6.382 4.764 6.211 2.355 6.833 6.823 8.187 9.790 8.521 9.004 7.939
[3,] 6.408 4.867 6.828 2.357 7.055 6.881 8.243 9.822 8.910 9.476 9.208
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.697 5.906 4.386 6.206 3.370 3.436 2.795 4.875 4.893 11.06 8.743
[2,] 1.697 6.701 4.496 7.360 3.514 3.540 2.855 5.492 4.894 11.07 8.865
[3,] 1.701 8.356 4.546 8.464 3.583 3.659 2.882 5.614 4.902 11.32 9.552
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.026 4.861 4.660 4.605 4.276 4.154 0.8803 1.913 18.36 11.87
[2,] 4.394 5.207 5.037 5.337 4.534 4.155 0.9198 2.031 23.11 11.89
[3,] 4.763 5.524 5.295 5.600 4.731 4.240 0.9437 2.052 23.84 12.64
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.249 5.641 28.66 13.73 14.27 1.367 3.79 8.837
[2,] 878.467 42.977 8602.02 5566.99 4366.29 189.331 558.08 524.184
[3,] 925.160 699.649 8479.75 1970.65 2650.13 469.796 850.03 2295.282
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.51 7.745 6.34 5.768 5.738 6.037 17.66 8.305
[2,] 1275.04 5999.489 1388.95 4283.584 288.292 4267.581 3399.67 748.802
[3,] 2875.03 1377.443 1497.01 994.213 1024.826 2152.659 6189.44 1483.477
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.26 7.506 19.03 9.483 21.2 7.738 28.89 14.65
[2,] 3512.01 4470.987 5543.32 4673.522 5348.4 1846.234 14699.71 6299.79
[3,] 3781.07 3459.847 4006.37 3635.072 8075.2 3027.461 5311.39 2283.43
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.148 14.04 14.43 2.134 13.61 0.8927 12.98 3.906
[2,] 262.125 4913.09 6328.29 644.882 5434.52 218.2257 4442.57 901.662
[3,] 362.065 4983.81 4067.85 843.627 4610.17 250.3433 4062.16 1414.914
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.159 14.88 14.22 13.02 9.537 7.393 7.311 3.024
[2,] 299.907 3577.80 4246.80 4803.83 801.769 2426.184 636.880 217.619
[3,] 455.453 3384.92 3479.53 2508.83 908.669 1421.898 1038.603 171.622
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.17 2.325 9.395 9.502 5.753 3.305 5.725 9.531
[2,] 259.01 184.331 2391.251 4332.747 1602.349 1004.603 1743.459 161.337
[3,] 608.43 69.352 3809.918 1797.166 1061.152 845.504 1385.108 3755.178
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.17 4.807 8.778 8.319 2.983 7.61 7.005 6.459
[2,] 1642.70 568.649 4023.037 2423.997 270.379 5795.73 3955.000 2938.356
[3,] 4331.14 1036.938 2838.793 1343.005 347.466 3823.28 3274.719 4839.621
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.827 7.377 1.44 5.925 2.343 5.458 5.675 5.065
[2,] 3980.845 702.478 24.97 3832.875 506.301 912.737 1198.312 3312.144
[3,] 4566.832 606.598 69.61 3226.665 576.994 2201.017 732.154 777.381
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.558 3.208 7.724 6.016 7.065 2.988 8.631 6.867
[2,] 3931.590 108.787 2080.587 542.986 2972.232 107.087 760.439 4479.188
[3,] 1219.721 172.679 618.046 1074.497 3054.594 104.113 1889.960 963.143
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.759 9.933 10.51 10.28 7.657 2.155 7.5 5.569
[2,] 3038.295 6337.865 2194.09 4233.94 5560.270 14.250 3408.8 1064.489
[3,] 1034.573 856.567 2806.57 3179.90 5021.757 116.828 5373.4 725.471
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.881 4.279 4.363 3.55 6.19 6.213 14.05 11.1
[2,] 4258.775 1073.511 915.152 623.59 2724.27 104.342 173.99 1581.5
[3,] 4501.250 750.105 996.194 425.96 1248.19 307.502 2572.90 3830.2
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 5.113 6.173 5.917 5.847 5.43 5.275 1.118 2.429
[2,] 1894.424 2006.882 2058.071 2905.899 1622.74 93.302 286.814 733.616
[3,] 1979.390 1986.123 1756.875 1825.256 1451.70 913.358 227.547 318.134
[,97] [,98]
[1,] 23.32 15.07
[2,] 15116.04 712.23
[3,] 6267.12 4624.94
[1] "--- VAR model 2017-10-01 09:01:00 completed"
[1] "Completed training sample: 2017-10-01 09:01:00 - 2017-10-01 17:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 09:31:00 - 2017-10-01 17:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.558 0.6708 -66.33 -71.40
1.061 0.5748 -64.47 -63.52
2.626 0.1953 -65.90 -63.43
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-55.65 0.8586 1.5418 -3.511
-61.57 0.6458 0.9305 -5.151
-59.94 0.3545 1.2981 -3.635
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.174 -7.188 -0.1074 -24.45
-6.072 -4.731 -0.6677 -21.16
-5.818 -7.492 -1.4971 -21.55
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5376 -16.05 -4.961 1.496
-0.3001 -10.90 -3.629 1.790
-0.3540 -10.50 -2.998 2.420
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.131 -5.337 -13.260 11.34
-13.222 -9.001 -2.884 22.00
-7.993 -13.690 -5.959 20.58
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-67.72 -7.015 -121.2 -55.22
-61.28 -6.549 -139.3 -57.79
-61.88 -5.874 -130.5 -62.54
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.125 -67.92 -74.61 -12.76
-7.828 -63.81 -64.15 -12.84
-7.823 -70.80 -67.87 -13.32
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-71.20 -7.545 -65.92 -25.26
-65.04 -7.837 -66.70 -24.27
-62.05 -7.594 -59.57 -24.46
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.22 -64.52 -48.78 -56.35
-14.35 -62.43 -57.44 -62.25
-14.04 -63.19 -54.84 -61.01
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.745 7.7593 2.223 0.07062
2.986 -0.8668 2.821 -0.13571
1.477 -0.1734 1.782 -0.05040
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.1416 0.080838 -34.26 -34.86
0.5433 -0.043084 -35.34 -34.48
0.1961 0.008008 -35.75 -34.31
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.187 -2.2358 -29.27 7.960
5.645 -1.8040 -29.97 9.897
7.917 -0.6286 -29.27 10.890
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.490 -1.7482 -14.522 11.85
11.529 -0.7999 -5.415 10.52
8.129 -0.7989 -10.124 10.96
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.15487 -10.750 -4.370 0.1632
-0.03302 -3.086 -7.735 -6.6003
0.11574 -1.059 -2.175 -2.6256
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.190 2.399 -0.06198 -9.926
-5.072 2.665 -0.05429 1.063
-7.721 1.654 -0.02363 -5.418
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4194 -8.513 2.3991 0.9098
-0.1071 -1.827 1.2473 -7.2112
-0.1288 -3.344 0.5195 0.5993
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.474 -0.140175 -0.305 5.068
-5.085 0.017707 -2.851 4.798
1.831 -0.006448 -1.720 2.980
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.114 0.0382764 5.709 -0.1569
-2.075 -0.0036270 2.336 3.4150
-3.407 -0.0008128 3.101 2.1018
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.867 -3.106 20.07 16.97
1.429 3.019 20.36 10.98
1.929 -0.873 18.91 13.63
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
19.87 -0.06775 8.509 1.4695
9.32 -0.12322 18.027 -0.4751
13.26 -0.02579 10.764 -0.1786
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.891 0.8517 -1.1998 0.6661
19.050 0.4094 -2.5015 1.2637
9.989 1.1099 -0.4461 -0.4276
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.470 0.25978 0.9647 -6.038
6.777 -0.04647 2.7886 1.946
-1.160 0.68486 0.4426 -1.476
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.816 9.814 5.627 7.664
6.921 8.040 8.595 7.336
6.045 9.033 8.079 7.953
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.527 -0.3174 -10.291 -0.7381
-1.328 -0.9362 -9.807 -0.2887
1.170 -0.2881 -10.202 -0.5642
rnd_95776.volume rnd_95787.volume
2.566 -60.73
-7.396 -61.20
-3.731 -66.41
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.462 4.433 22.68 11.56 11.72 1.282 2.900 7.020 8.336 6.097 5.048
[2,] 6.517 4.434 24.07 13.20 12.90 1.299 2.937 7.035 8.424 8.337 5.204
[3,] 6.603 4.478 25.32 13.61 13.52 1.398 3.028 7.352 8.845 8.436 5.401
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.632 4.550 4.870 14.00 6.850 8.710 5.975 15.24 7.429 17.11 6.363
[2,] 6.145 4.558 6.396 14.38 6.911 9.253 7.295 15.90 8.626 17.87 6.609
[3,] 6.251 4.662 6.773 15.49 6.934 9.849 7.898 16.26 9.340 19.53 7.198
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.32 12.33 0.9414 11.69 11.76 1.684 11.27 0.7192 10.46 3.209 1.808
[2,] 29.27 14.09 0.9866 13.35 13.76 1.794 12.77 0.7502 11.49 3.379 1.847
[3,] 30.56 14.61 1.0855 14.19 14.44 1.963 14.04 0.7916 12.52 3.691 1.922
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 12.64 12.26 10.42 7.580 5.897 6.200 2.439 5.034 1.904 7.677 9.260
[2,] 13.89 13.31 11.40 7.604 6.357 6.232 2.444 5.035 1.913 7.971 9.741
[3,] 14.46 13.98 11.83 7.644 6.473 6.314 2.450 5.079 1.915 8.824 10.511
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.550 2.636 4.809 7.646 8.934 4.365 7.896 6.817 2.400 6.018 5.378
[2,] 4.783 2.761 4.941 7.646 9.075 4.440 9.051 7.117 2.413 9.048 6.718
[3,] 4.892 2.893 5.069 8.468 9.902 4.612 9.675 7.347 2.434 9.524 7.261
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.311 3.807 5.852 1.142 4.734 1.869 4.418 4.558 3.970 7.430 2.532
[2,] 6.061 5.363 5.897 1.143 5.886 1.929 4.502 4.686 5.096 8.326 2.534
[3,] 7.994 7.146 5.924 1.144 6.717 2.013 4.954 4.735 5.144 8.427 2.537
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.976 4.976 5.683 2.444 6.698 5.424 7.858 7.697 8.622 7.827 6.044
[2,] 6.469 5.021 6.347 2.444 6.793 6.842 8.460 9.672 8.906 8.858 8.045
[3,] 6.493 5.125 6.950 2.445 7.050 6.898 8.540 9.729 9.386 9.355 9.369
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.728 5.840 4.066 6.086 3.322 3.499 2.821 4.692 4.962 10.87 8.925
[2,] 1.728 6.605 4.195 7.265 3.353 3.626 2.878 5.444 4.962 10.87 8.998
[3,] 1.738 8.388 4.222 8.538 3.365 3.826 2.907 5.728 4.973 11.15 9.745
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.056 5.007 4.603 5.042 4.449 4.222 0.9225 1.938 22.74 13.25
[2,] 4.489 5.322 5.057 5.265 4.671 4.223 0.9851 2.056 24.99 13.59
[3,] 4.839 5.678 5.273 5.633 4.904 4.305 1.0237 2.087 27.53 14.58
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.206 5.629 28.8 14.68 14.89 1.628 3.683 8.914
[2,] 885.644 102.580 8435.3 6683.08 5644.56 222.108 483.592 490.490
[3,] 1112.090 655.473 8228.3 3468.79 4209.55 540.729 770.012 2234.325
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.59 7.743 6.411 5.881 5.778 6.185 17.78 8.698
[2,] 1270.67 5950.306 1323.202 4225.999 290.950 4339.429 3400.12 958.189
[3,] 2823.23 1348.346 1511.027 1202.898 1021.484 2332.600 6035.85 597.618
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.06 7.587 19.36 9.434 21.73 8.08 30.88 15.66
[2,] 3269.00 4380.771 4728.14 4589.234 5389.75 1867.61 17054.15 7128.63
[3,] 3533.39 3167.785 3567.45 3748.620 8260.28 2986.20 9197.20 4046.09
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.195 14.84 14.94 2.139 14.31 0.9133 13.28 4.075
[2,] 308.763 6759.31 7479.66 646.524 6288.80 223.3272 4971.71 1107.209
[3,] 473.820 5032.04 4583.87 834.524 6089.86 264.4722 5196.99 1556.276
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.296 16.05 15.57 13.23 9.625 7.488 7.873 3.097
[2,] 394.211 6029.82 5429.14 4837.07 629.431 2485.515 662.651 169.020
[3,] 555.506 4196.55 4470.33 3294.42 823.743 1273.947 1063.839 183.022
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.392 2.418 9.748 11.76 5.778 3.348 6.107 9.709
[2,] 127.879 193.625 2248.217 3163.25 1542.083 859.341 1188.477 24.341
[3,] 698.739 82.730 3961.460 4133.50 1073.060 903.055 1186.000 3809.358
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.35 5.542 10.03 8.657 3.048 7.642 6.83 6.745
[2,] 1664.89 852.926 4631.10 2140.286 261.414 7071.581 4212.44 3055.876
[3,] 4147.04 1306.340 3577.87 1909.291 331.194 3109.861 2883.76 5455.815
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.834 7.431 1.451 6.011 2.373 5.61 5.789 5.041
[2,] 3952.723 759.085 24.657 3661.237 499.505 905.40 1136.094 3344.378
[3,] 4944.008 589.053 52.045 3387.683 600.896 2163.33 712.935 730.375
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.436 3.215 7.588 6.319 7.216 3.103 8.505 6.887
[2,] 3930.897 94.618 2593.705 698.600 2958.291 56.617 1183.439 4364.438
[3,] 1366.355 137.251 575.556 1076.353 2964.061 47.761 1975.965 925.039
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.978 9.774 10.95 9.939 7.675 2.195 7.416 5.163
[2,] 3281.003 6129.875 2334.67 4341.149 5556.690 1.958 3228.896 1082.155
[3,] 1217.348 1102.986 3098.96 3149.126 5024.779 189.095 5411.641 498.906
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.728 4.219 4.443 3.582 5.958 6.30 13.81 11.33
[2,] 4152.990 474.064 997.775 596.192 2890.672 72.59 35.74 1193.69
[3,] 4693.273 294.426 1275.769 424.546 1862.477 348.71 2582.20 3918.38
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 5.15 6.358 5.845 6.403 5.649 5.361 1.171 2.461
[2,] 2013.94 1889.552 2191.297 1584.082 1489.710 110.765 361.633 717.947
[3,] 1892.46 2071.033 1562.647 2096.597 1563.728 873.910 291.334 375.448
[,97] [,98]
[1,] 28.87 16.82
[2,] 10858.78 3184.91
[3,] 12076.39 5508.99
[1] "--- VAR model 2017-10-01 09:31:00 completed"
[1] "Completed training sample: 2017-10-01 09:31:00 - 2017-10-01 17:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 10:01:00 - 2017-10-01 18:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5499 -0.01751 -59.45 -72.36
1.0445 -0.22972 -60.04 -61.64
2.6941 -0.16351 -60.37 -69.15
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.30 2.6836 1.437 -2.6056
-56.89 1.6622 1.407 -0.1581
-53.90 0.8768 1.343 -0.2302
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.3754 -2.088 3.0923 -17.94
0.1404 -4.243 0.8901 -20.66
2.3707 -1.123 0.7646 -16.49
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.3450 -2.431 -9.422 0.1664
0.8353 -6.174 -6.197 1.2530
1.0103 -3.654 -5.339 2.0420
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.356 -18.207 -8.178 25.11
-5.009 -6.674 -10.768 18.04
-5.740 -4.342 -3.587 19.44
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.48 -6.960 -132.6 -69.15
-66.72 -6.292 -113.6 -63.02
-70.10 -5.634 -123.1 -68.11
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.879 -55.74 -69.36 -13.68
-7.897 -63.54 -69.29 -13.76
-7.755 -60.41 -69.58 -13.61
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-59.84 -8.129 -63.23 -21.52
-53.32 -7.896 -61.34 -22.29
-61.12 -7.935 -59.90 -22.03
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.49 -68.36 -53.64 -51.39
-15.83 -69.27 -54.96 -62.76
-15.73 -63.80 -51.38 -62.25
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6528 1.181 1.8235 0.2595
-0.9445 -3.527 -0.2973 0.2740
-0.5395 3.404 0.8412 0.1017
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.19205 -0.066926 -40.89 -46.28
0.07327 0.094211 -40.54 -45.03
0.02607 -0.006612 -41.00 -44.91
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.087 -1.3413 -28.18 6.226
6.540 -0.5981 -29.82 6.373
6.657 -1.3856 -30.46 6.524
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.67 -2.416 -1.108 12.76
13.82 -2.661 -3.679 12.29
12.28 -2.613 -3.136 13.34
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1755 1.780 -2.9176 -0.4627
0.4218 -1.076 -0.4417 1.8729
0.2139 0.744 -0.3698 0.4679
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.299 -0.5491 -0.020857 -4.1696
-1.730 0.6670 -0.005321 -0.1976
-1.325 0.1345 -0.000425 0.2335
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5548 -4.260 2.890 -4.9402
0.4163 -1.357 2.166 -2.8334
0.1416 -1.629 1.118 0.9401
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.3479 0.01161 -4.426 0.1256
0.2293 -0.04270 -3.519 -0.1184
0.7507 -0.03021 1.098 -0.3981
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.154 -0.040071 -2.6702 4.0999
-5.030 -0.015099 1.3733 -2.1449
1.806 0.009456 0.9462 -0.1261
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.0375 0.2697 27.00 17.57
-0.9315 -4.7188 27.80 13.55
-1.0048 -1.6723 25.03 13.18
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.38 0.10006 14.82 -0.06023
16.62 -0.11740 15.02 0.62431
11.53 0.01971 12.17 -0.20845
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.55 0.7805 -2.2664 -0.8426
13.41 1.3476 -0.3191 0.5075
14.31 1.4218 -0.4368 -0.3517
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.3295 -0.3247 1.1194 8.962
1.7586 0.2129 1.7921 4.128
-0.2601 -0.4436 0.3526 4.050
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.485 10.61 13.13 11.28
10.282 12.43 10.22 11.97
10.024 11.59 11.75 12.44
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.4928 2.8076 -10.35 1.50260
0.6913 1.7568 -10.26 -0.56350
1.2528 0.4426 -10.14 -0.02997
rnd_95776.volume rnd_95787.volume
-8.023 -61.35
-1.079 -72.86
-5.407 -69.93
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.294 4.522 22.85 11.41 12.16 1.403 2.843 7.060 8.291 6.155 5.113
[2,] 6.348 4.522 24.24 13.13 13.32 1.412 2.877 7.080 8.374 8.356 5.276
[3,] 6.422 4.551 25.49 13.53 13.99 1.511 2.954 7.386 8.806 8.463 5.488
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.157 4.595 5.365 14.06 6.816 8.688 5.927 15.11 8.358 17.26 6.370
[2,] 6.870 4.606 7.066 14.43 6.881 9.350 7.261 15.51 9.363 18.03 6.619
[3,] 7.288 4.726 7.700 15.55 6.902 9.989 8.040 15.87 9.876 19.65 7.216
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.62 12.58 0.9372 11.99 11.77 1.653 11.23 0.7194 11.00 3.235 1.954
[2,] 29.83 14.37 0.9797 13.62 13.94 1.774 12.70 0.7594 12.41 3.392 2.003
[3,] 31.13 14.95 1.0815 14.48 14.63 1.939 13.96 0.8002 13.19 3.700 2.216
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 12.79 12.59 10.88 7.581 6.012 6.474 2.459 5.066 1.970 7.796 9.428
[2,] 14.05 13.60 11.96 7.597 6.552 6.505 2.465 5.067 1.978 8.090 9.982
[3,] 14.71 14.25 12.66 7.644 6.669 6.564 2.471 5.104 1.981 8.942 10.745
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.431 2.587 4.935 7.776 8.850 4.409 7.739 6.759 2.445 6.031 5.464
[2,] 4.729 2.705 5.071 7.776 9.030 4.485 9.862 7.045 2.460 8.905 6.807
[3,] 4.813 2.833 5.578 8.620 9.792 4.684 10.313 7.298 2.477 9.717 7.641
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.338 3.823 5.973 1.145 4.939 1.899 4.515 4.614 4.052 7.349 2.567
[2,] 6.210 5.357 6.020 1.146 6.074 1.959 4.614 4.737 5.154 8.283 2.572
[3,] 8.176 7.049 6.040 1.146 6.955 2.044 5.072 4.791 5.197 8.373 2.579
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.096 5.103 5.825 2.464 6.941 5.149 7.827 7.532 8.579 6.404 5.749
[2,] 6.633 5.146 6.512 2.464 7.021 6.702 8.504 9.610 8.858 8.750 7.927
[3,] 6.655 5.236 7.097 2.464 7.463 6.744 8.576 9.644 9.362 9.306 9.262
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.732 4.808 4.167 5.974 3.388 3.555 2.885 4.671 5.125 11.03 9.357
[2,] 1.732 6.318 4.220 7.079 3.420 3.689 2.948 5.449 5.125 11.03 9.439
[3,] 1.742 8.226 4.253 8.312 3.445 3.958 2.984 5.753 5.129 11.28 10.089
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.879 4.509 4.892 4.920 4.528 4.229 0.9369 2.005 23.92 13.55
[2,] 4.280 5.150 5.067 5.133 4.769 4.231 1.0098 2.117 25.54 13.91
[3,] 4.780 5.279 5.327 5.455 5.032 4.298 1.0444 2.147 28.89 14.98
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.992 5.743 29.01 14.49 15.44 1.781 3.61 8.965
[2,] 910.146 4.530 8884.00 7112.94 5958.16 177.179 483.15 591.441
[3,] 1062.516 557.380 8637.59 3583.42 4695.99 591.298 737.33 2306.459
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.53 7.816 6.493 6.548 5.835 6.812 17.85 8.655
[2,] 1289.80 6193.008 1426.718 4974.659 344.930 5040.119 3557.93 1034.411
[3,] 2987.52 1468.302 1653.911 2664.612 1163.353 3352.869 6356.02 593.248
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.03 7.526 19.19 10.61 21.91 8.088 31.26 15.98
[2,] 3787.67 4596.736 3807.99 4624.62 5727.71 1970.964 18461.18 7596.71
[3,] 3852.40 3784.184 3674.13 3441.73 8571.45 3149.269 9769.93 4522.39
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.19 15.22 14.95 2.099 14.26 0.9135 13.97 4.108
[2,] 313.10 7095.21 8176.25 708.046 6494.49 266.5914 6285.73 1117.585
[3,] 501.83 5381.53 4860.03 856.892 6348.22 276.4418 4919.47 1618.358
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.482 16.24 15.99 13.81 9.627 7.635 8.221 3.122
[2,] 479.973 6368.54 5645.15 5458.92 535.543 2852.314 700.924 195.695
[3,] 1040.422 4798.33 4659.24 4553.04 930.938 1364.910 961.899 175.810
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.433 2.501 9.899 11.97 5.627 3.285 6.267 9.874
[2,] 120.104 201.648 2368.598 3591.56 1810.289 865.472 1278.367 17.445
[3,] 667.570 110.584 4174.524 4359.92 983.344 922.248 2545.650 4076.558
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.24 5.598 9.827 8.583 3.105 7.658 6.938 6.779
[2,] 1964.90 902.276 6698.523 2178.094 299.494 7179.991 4449.372 3476.539
[3,] 4148.91 1479.654 3308.246 2088.636 317.309 4260.764 3804.702 5828.666
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.855 7.585 1.455 6.271 2.411 5.733 5.86 5.146
[2,] 4112.534 817.109 22.042 3875.063 530.689 1042.639 1173.05 3489.953
[3,] 5020.645 537.903 20.380 3713.138 639.311 2309.097 783.83 736.076
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.332 3.26 7.741 6.48 7.397 3.128 8.813 6.539
[2,] 4187.265 169.57 2863.872 728.31 3191.206 9.982 1163.903 4700.681
[3,] 1347.213 212.45 596.981 1060.49 3092.734 31.304 2771.305 823.673
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.939 9.565 10.89 8.132 7.3 2.199 6.106 5.291
[2,] 3642.178 6540.636 2418.50 6535.158 5981.2 36.589 4491.821 732.660
[3,] 1214.927 883.058 3317.93 3469.567 5248.5 206.014 5772.089 578.253
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.586 4.302 4.514 3.663 5.931 6.508 14.00 11.88
[2,] 4161.448 508.325 1080.118 665.039 3074.515 37.355 62.53 1361.33
[3,] 4775.005 458.700 1573.232 505.050 2021.494 199.027 2580.57 3903.72
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.926 5.726 6.212 6.247 5.75 5.37 1.19 2.546
[2,] 1979.987 2727.465 1447.478 1604.549 1639.30 149.25 412.92 744.260
[3,] 2333.300 1269.390 1803.510 2022.486 1760.33 828.69 292.35 392.555
[,97] [,98]
[1,] 30.38 17.2
[2,] 9784.24 3485.4
[3,] 14807.90 6090.8
[1] "--- VAR model 2017-10-01 10:01:00 completed"
[1] "Completed training sample: 2017-10-01 10:01:00 - 2017-10-01 18:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 10:31:00 - 2017-10-01 18:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.6175 -0.083823 -73.75 -68.76
0.4233 -0.121369 -78.41 -63.23
1.9184 -0.005741 -75.00 -67.50
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-58.23 1.281 0.6803 -0.1748
-55.23 1.673 0.2987 -1.8007
-55.37 1.596 0.4584 -1.8034
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.1076 -2.5401 5.384 -19.11
-2.5938 -0.4353 6.827 -14.95
-0.7862 -3.5574 3.975 -17.01
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.385 -5.9770 -0.8251 4.099
2.221 -0.7179 -1.3916 3.384
1.759 -1.9446 -0.9522 2.507
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.6849 3.5601 3.1066 33.78
-2.1287 -1.4229 1.5848 32.92
-0.6581 0.1679 -0.7948 31.12
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-65.40 -6.235 -137.8 -53.13
-68.19 -5.830 -128.1 -52.38
-67.74 -5.247 -132.9 -56.24
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.618 -61.65 -71.02 -12.20
-7.707 -66.97 -66.67 -12.55
-7.745 -66.38 -67.27 -12.47
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-65.79 -7.151 -61.58 -20.34
-60.68 -7.223 -62.81 -20.02
-65.03 -6.964 -60.41 -19.86
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.10 -61.39 -61.48 -57.28
-16.64 -61.65 -60.68 -58.92
-16.63 -62.22 -57.97 -60.06
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6961 0.3793 0.6268 -0.073616
-0.7966 -2.0624 0.6640 0.004803
-0.4456 -1.3710 0.7917 0.026348
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.8133 0.277037 -33.04 -37.96
1.3421 -0.094601 -35.70 -34.27
0.6129 0.004823 -35.94 -35.68
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
13.38 -0.1933 -25.30 5.547
12.96 -0.2344 -23.20 6.390
13.56 0.8025 -21.22 5.805
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.089 -2.669 -12.042 3.786
6.247 -2.834 -8.191 7.096
8.615 -2.351 -12.008 6.001
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5656 -5.842 -2.953 -10.865
0.6304 -7.945 -9.248 -5.755
0.9097 -11.590 -5.709 -7.489
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.206 0.63121 -0.020809 -11.215
-2.874 2.43242 -0.021160 -8.779
-9.147 -0.02724 -0.002486 -3.750
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3770 -5.084 3.636 -0.1651
-0.3168 -6.006 2.301 -3.1914
-0.3806 -3.754 2.236 -4.4890
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.522 0.46701 -3.934 1.081
-2.897 0.25183 -1.080 1.808
-2.978 0.08337 -3.793 1.817
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.737 0.008614 2.839 3.731
2.031 0.057114 3.936 1.409
-3.025 0.018600 6.318 2.182
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.0670 8.930 26.33 22.87
0.9762 1.794 24.49 17.62
-0.2552 2.040 22.79 14.96
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.20 0.6629 22.49 0.5204
21.91 0.2065 19.67 0.4170
14.45 0.0644 16.99 0.1008
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
23.54 1.681 -0.9767 -0.02967
16.85 2.027 -2.7013 0.37529
19.24 1.875 -1.2287 -0.36934
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.173 0.10791 5.374 0.8897
3.358 -0.05009 2.154 3.2646
-2.107 0.04328 1.059 1.6320
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.329 6.942 3.290 3.568
4.807 4.198 6.642 6.032
3.991 6.840 5.725 6.618
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.468 0.71525 -9.711 -0.3745
-1.816 0.14174 -9.726 -0.2589
-1.902 0.08481 -9.694 -0.7060
rnd_95776.volume rnd_95787.volume
-17.65 -64.18
-34.99 -70.03
-23.43 -69.86
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.417 4.580 24.56 11.55 13.47 1.449 2.801 6.989 8.227 6.169 5.165
[2,] 6.464 4.580 25.88 13.25 14.42 1.459 2.823 7.008 8.324 8.388 5.379
[3,] 6.534 4.593 27.62 13.67 15.86 1.546 2.895 7.322 8.707 8.485 5.635
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.224 4.597 5.421 14.10 6.844 9.001 6.057 15.33 8.407 17.16 6.373
[2,] 6.812 4.614 7.059 14.48 6.895 9.630 7.555 15.79 9.498 17.93 6.623
[3,] 7.236 4.756 7.758 15.59 6.919 10.275 8.294 16.05 10.068 19.59 7.222
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.82 14.25 0.8897 12.04 11.83 1.638 11.21 0.7541 11.20 3.241 1.956
[2,] 30.05 14.78 0.9236 13.69 14.18 1.751 12.65 0.7843 12.66 3.361 1.999
[3,] 31.42 15.93 1.0135 14.58 14.64 1.925 13.95 0.8556 13.48 3.644 2.220
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 12.92 12.84 10.87 7.456 6.034 6.569 2.476 5.233 1.983 7.788 9.579
[2,] 14.20 13.86 12.44 7.473 6.611 6.598 2.479 5.233 1.993 8.088 10.179
[3,] 14.89 14.51 12.99 7.522 6.712 6.660 2.486 5.282 1.995 8.920 10.973
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.576 2.544 5.315 7.936 8.915 4.493 6.906 6.721 2.479 6.046 5.515
[2,] 4.891 2.664 5.563 7.937 9.126 4.567 9.051 6.997 2.495 8.434 6.675
[3,] 5.010 2.793 6.032 8.775 9.878 4.787 9.357 7.262 2.515 9.387 7.454
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.251 3.819 6.095 1.145 4.993 1.867 4.507 4.694 4.033 7.165 2.599
[2,] 6.140 5.377 6.132 1.145 6.208 1.934 4.622 4.813 5.156 8.131 2.605
[3,] 7.738 6.803 6.159 1.146 7.077 2.008 5.065 4.863 5.206 8.228 2.612
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.114 5.204 5.861 2.49 6.725 5.009 7.828 7.842 8.591 6.419 5.729
[2,] 6.611 5.246 6.563 2.49 6.745 6.380 8.477 9.500 8.923 8.988 8.045
[3,] 6.637 5.317 7.169 2.49 7.008 6.387 8.549 9.544 9.408 9.469 9.366
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.755 4.743 4.375 5.908 3.366 3.603 2.851 4.604 5.243 11.16 9.163
[2,] 1.757 6.253 4.443 7.074 3.407 3.703 2.911 5.383 5.243 11.16 9.225
[3,] 1.769 8.630 4.458 8.693 3.437 3.932 2.950 5.684 5.250 11.42 9.848
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.783 4.395 5.008 5.053 4.530 4.174 1.001 2.024 24.10 13.76
[2,] 4.152 5.217 5.190 5.281 4.785 4.185 1.051 2.136 26.13 14.15
[3,] 4.738 5.369 5.528 5.670 5.045 4.225 1.104 2.160 29.58 15.20
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.148 5.816 31.19 14.67 17.1 1.84 3.556 8.875
[2,] 847.286 23.799 8857.77 7060.55 5585.2 187.02 389.012 562.291
[3,] 1036.562 374.672 10482.38 3650.28 7184.8 556.56 693.761 2303.399
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.45 7.834 6.559 6.634 5.838 6.884 17.91 8.69
[2,] 1370.14 6172.742 1629.063 4747.884 423.985 4909.545 3553.05 913.65
[3,] 2776.45 1389.511 1824.364 2649.731 1252.277 3497.086 6286.47 629.24
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.43 7.692 19.46 10.68 21.79 8.093 31.52 18.09
[2,] 3719.20 4904.011 4139.03 4800.29 5644.66 1956.760 18395.40 4268.82
[3,] 3891.07 3715.828 3132.46 3627.81 8573.58 3126.649 9954.27 6450.24
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.13 15.29 15.02 2.08 14.23 0.9576 14.22 4.115
[2,] 269.26 7082.30 8498.34 671.15 6378.16 234.1080 6413.95 966.277
[3,] 453.19 5424.72 3953.49 869.42 6380.10 371.4521 5026.73 1528.996
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.484 16.41 16.3 13.8 9.468 7.662 8.342 3.144
[2,] 448.061 6402.06 5677.0 6582.0 552.274 2935.551 668.321 144.171
[3,] 1047.482 4857.72 4667.6 4040.4 926.470 1260.024 988.236 199.857
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.646 2.518 9.889 12.16 5.811 3.231 6.75 10.08
[2,] 9.078 209.601 2370.336 3739.33 1873.003 855.820 1781.17 142.79
[3,] 779.495 95.000 4085.881 4452.25 1179.264 913.654 2533.81 4064.64
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.32 5.706 8.77 8.534 3.148 7.677 7.003 6.667
[2,] 2122.56 889.293 6353.25 2115.044 305.760 6386.458 4083.620 3457.514
[3,] 4105.06 1557.987 2577.56 2112.233 346.567 4476.493 3602.633 5113.960
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.85 7.739 1.454 6.34 2.371 5.723 5.961 5.121
[2,] 4110.08 732.588 23.858 4006.93 547.754 1114.826 1153.725 3490.039
[3,] 4526.03 629.495 26.302 3690.38 583.938 2248.441 755.092 780.267
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.099 3.3 7.764 6.608 7.443 3.162 8.539 6.361
[2,] 4173.028 196.4 2731.423 720.157 3206.917 12.711 568.743 4290.640
[3,] 1374.043 210.9 633.683 942.837 3134.202 37.612 2063.654 343.796
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.941 9.958 10.91 8.151 7.275 2.229 6.023 5.556
[2,] 3532.882 5823.552 2622.11 6833.397 6134.952 76.841 4426.590 839.219
[3,] 1202.958 991.273 3238.57 3233.652 5208.700 223.171 6458.643 395.814
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.503 4.275 4.575 3.62 5.847 6.658 14.17 11.64
[2,] 4225.121 569.812 930.180 639.04 3029.488 61.744 138.09 1156.44
[3,] 5486.428 491.334 1434.768 518.20 1982.201 290.103 2635.17 3744.34
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.803 5.581 6.36 6.416 5.752 5.3 1.272 2.571
[2,] 1859.573 3052.926 1478.63 1668.920 1674.216 331.7 348.127 739.745
[3,] 2479.701 1379.616 2066.09 2240.849 1735.559 627.5 364.956 348.932
[,97] [,98]
[1,] 30.61 17.47
[2,] 10952.33 3566.02
[3,] 15057.06 6053.46
[1] "--- VAR model 2017-10-01 10:31:00 completed"
[1] "Completed training sample: 2017-10-01 10:31:00 - 2017-10-01 18:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 11:01:00 - 2017-10-01 19:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.164656 0.44763 -50.35 -53.32
0.591553 -0.01834 -46.44 -61.90
0.007349 0.02566 -48.23 -59.42
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.27 1.2692 1.7007 -3.016
-58.42 0.7441 0.8219 -2.506
-54.91 0.4728 0.6485 -2.342
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.328 -5.394 3.930 -18.87
0.421 -3.743 4.027 -18.64
-0.313 -4.591 2.869 -17.30
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.416 -9.697 -4.492 5.428
1.542 -9.017 -5.277 2.590
1.165 -6.774 -3.826 3.568
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.785 -5.388 5.319 29.47
-6.625 -1.458 -1.481 21.28
-4.775 -6.893 -1.156 26.55
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-70.19 -5.490 -136.2 -71.67
-67.80 -5.339 -146.5 -71.84
-65.47 -4.827 -141.1 -70.71
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.072 -64.55 -65.77 -10.47
-6.385 -64.99 -71.00 -11.36
-6.444 -66.13 -70.56 -10.92
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-58.49 -6.965 -61.75 -19.11
-64.01 -6.971 -58.09 -18.76
-63.83 -6.955 -63.61 -19.11
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.25 -57.82 -58.22 -58.79
-14.66 -54.04 -52.87 -60.70
-14.71 -57.93 -55.86 -58.48
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0769 -5.986 0.3170 0.3850
1.1116 -1.769 0.7036 0.3001
0.3799 -1.159 0.3234 0.1002
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.1181 0.114729 -35.98 -40.42
0.9933 -0.053372 -36.30 -39.85
0.5730 0.001082 -35.01 -36.55
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.802 -0.8833 -23.09 5.347
9.622 -0.2178 -27.08 5.910
8.598 0.2590 -23.92 6.758
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.109 -0.17869 -14.006 7.422
4.575 -0.01145 -5.446 8.944
3.394 0.02633 -14.227 8.083
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1505 -12.104 -8.055 -11.701
0.4103 -6.130 -9.927 -9.385
0.3224 -9.719 -4.120 -5.788
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.348 0.4007 0.008588 -0.2552
-8.538 0.0316 0.039764 -10.6665
-9.526 1.0866 0.026577 -8.1750
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.005371 -3.849 0.48903 -3.067
0.457958 -5.085 -0.04485 -3.055
0.113479 -5.559 0.58429 -4.840
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.942 -0.24455 -3.312 1.943
-1.050 -0.12978 -5.177 2.855
-6.001 -0.05402 -2.302 2.052
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.077 0.005371 2.1235 0.1930
-3.079 0.031432 0.5609 1.7958
-1.489 -0.001662 0.9653 0.5019
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.455 -0.637 19.02 23.81
1.863 3.909 18.32 10.54
2.400 1.053 17.04 12.35
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
21.690 0.5251 8.426 -0.1934
9.692 0.3252 20.799 -0.3891
11.177 0.1012 7.924 -0.2992
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.145 3.971 -2.609 0.3652
19.906 2.081 -2.799 -0.8659
9.296 3.036 -0.660 -0.2518
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.370 -0.3338 -0.8817 1.454
-5.764 0.1012 2.8535 1.935
1.522 0.1434 -0.2485 1.219
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2827 -3.282 0.0248 -0.0736
-2.0731 1.348 1.0732 0.3932
0.4866 0.633 0.6822 -0.8844
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.428 0.6144 -9.606 -0.6110
-2.106 0.3720 -9.470 -0.7685
-3.531 -0.2865 -9.467 -0.5453
rnd_95776.volume rnd_95787.volume
-11.88 -61.30
-36.60 -56.73
-19.50 -50.89
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.332 4.425 24.56 11.55 13.48 1.485 2.801 7.008 8.186 6.114 5.205
[2,] 6.366 4.425 25.92 13.21 14.39 1.495 2.809 7.028 8.290 8.435 5.401
[3,] 6.393 4.440 27.70 13.63 15.74 1.587 2.868 7.366 8.675 8.532 5.636
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.192 4.559 5.483 14.05 6.900 9.001 6.040 15.26 8.503 17.10 6.373
[2,] 6.768 4.572 7.036 14.43 6.975 9.645 7.435 15.86 9.404 17.85 6.624
[3,] 7.201 4.696 7.814 15.56 7.008 10.276 8.091 16.10 10.244 19.58 7.222
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.54 14.28 0.8810 11.90 11.68 1.635 11.15 0.7681 11.24 3.218 1.984
[2,] 29.54 14.82 0.9117 13.58 13.94 1.732 12.55 0.8014 12.72 3.350 2.025
[3,] 30.87 15.94 0.9985 14.44 14.38 1.910 13.80 0.8816 13.54 3.609 2.243
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 12.26 12.93 11.01 7.347 5.980 6.552 2.462 5.291 1.982 7.904 9.551
[2,] 13.47 13.94 12.44 7.365 6.607 6.580 2.464 5.292 1.992 8.203 10.176
[3,] 14.14 14.54 12.92 7.417 6.822 6.645 2.470 5.375 1.993 9.050 10.924
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.640 2.654 5.357 7.969 8.836 4.552 6.984 6.651 2.442 6.003 5.529
[2,] 5.134 2.712 5.577 7.969 8.978 4.626 9.133 6.939 2.464 8.304 6.666
[3,] 5.265 2.860 6.006 8.826 9.884 4.850 9.420 7.216 2.491 9.335 7.436
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.364 3.813 6.132 1.177 5.006 1.860 4.436 4.654 3.959 7.275 2.593
[2,] 6.126 5.374 6.172 1.178 6.250 1.915 4.568 4.766 5.146 8.273 2.600
[3,] 7.622 6.794 6.192 1.179 7.015 1.990 4.942 4.815 5.206 8.377 2.603
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.140 5.309 5.932 2.491 6.750 5.021 7.752 7.624 8.529 6.447 5.452
[2,] 6.671 5.351 6.694 2.492 6.770 6.713 8.449 9.436 8.866 9.083 7.853
[3,] 6.702 5.415 7.336 2.492 7.058 6.725 8.502 9.486 9.394 9.737 9.424
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.820 4.753 4.323 6.008 3.364 3.688 2.831 4.590 5.218 11.23 9.106
[2,] 1.826 6.220 4.355 6.945 3.416 3.809 2.901 5.397 5.218 11.23 9.180
[3,] 1.837 8.706 4.359 8.706 3.464 4.013 2.939 5.732 5.222 11.44 9.823
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.589 4.102 4.908 4.865 4.505 4.078 1.013 2.036 23.35 13.83
[2,] 4.024 5.013 5.069 5.060 4.800 4.093 1.068 2.139 25.83 14.22
[3,] 4.595 5.151 5.448 5.443 5.070 4.121 1.121 2.164 28.74 15.41
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.041 5.619 31.19 14.67 17.12 1.886 3.557 8.899
[2,] 747.714 6.869 9450.53 7319.47 5748.37 197.105 250.059 614.295
[3,] 671.641 423.082 11148.63 3805.35 7267.31 608.368 658.376 2517.204
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.4 7.764 6.609 6.593 5.789 6.963 17.84 8.762
[2,] 1497.0 6635.945 1646.469 4957.320 394.123 5035.484 3746.06 1164.909
[3,] 2917.1 1466.365 1842.846 2809.975 1222.373 3881.296 6652.94 768.062
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.43 7.67 19.38 10.8 21.72 8.093 31.16 18.13
[2,] 3957.98 4951.02 4922.74 4587.2 5832.32 2061.473 18780.89 4543.68
[3,] 4047.49 3644.36 3204.67 4639.6 9202.02 3285.616 10227.34 6704.73
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.119 15.11 14.84 2.076 14.16 0.9753 14.27 4.086
[2,] 267.857 7487.24 8693.28 652.529 6563.28 261.1983 6810.27 1064.855
[3,] 465.051 5596.15 4025.99 919.937 6572.38 419.5128 5281.13 1531.822
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.519 15.56 16.42 13.98 9.33 7.594 8.32 3.126
[2,] 460.322 6393.16 5961.10 6609.26 583.17 3206.390 687.68 132.066
[3,] 1102.521 4891.92 4718.13 4000.32 998.63 1939.995 1060.82 187.081
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.719 2.517 10.04 12.13 5.892 3.371 6.802 10.12
[2,] 121.926 225.330 2506.57 4008.06 2508.243 634.037 1772.379 38.57
[3,] 1071.389 96.155 4364.72 4535.77 1333.947 1038.202 2545.890 4333.16
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.22 5.78 8.868 8.446 3.101 7.623 7.021 6.812
[2,] 1817.77 943.88 6721.540 2257.525 369.921 6551.687 4251.798 3379.351
[3,] 4720.44 1663.14 2634.424 2263.360 420.519 4870.036 3763.813 5178.343
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.842 7.786 1.495 6.356 2.362 5.634 5.91 5.027
[2,] 4324.913 803.536 45.038 4274.518 520.674 1241.405 1172.53 3755.473
[3,] 4747.003 562.853 54.585 3636.742 618.371 2154.118 781.37 897.380
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.239 3.293 7.797 6.742 7.533 3.164 8.572 6.376
[2,] 4498.639 208.418 2978.375 760.578 3542.274 10.046 593.965 5089.092
[3,] 1502.632 146.812 732.543 951.161 3427.299 44.778 2276.398 454.643
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.843 9.681 10.83 8.187 6.923 2.311 6.036 5.489
[2,] 3839.041 6349.818 2763.13 7306.623 6454.915 173.071 4581.416 602.885
[3,] 1077.852 1108.681 3547.16 4007.649 5949.517 228.421 6956.386 216.304
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.629 4.272 4.683 3.595 5.828 6.626 14.26 11.56
[2,] 3978.808 676.729 1084.864 725.086 3243.383 26.455 24.43 1328.94
[3,] 5995.791 657.168 1442.530 536.020 2205.511 244.734 2502.11 3989.65
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.558 5.208 6.232 6.178 5.721 5.179 1.287 2.585
[2,] 2077.089 3291.485 1449.191 1588.561 1893.117 395.857 386.591 750.201
[3,] 2533.130 1352.151 2279.339 2290.273 1863.755 551.101 387.568 374.774
[,97] [,98]
[1,] 29.65 17.57
[2,] 12596.73 3758.50
[3,] 14399.34 6775.08
[1] "--- VAR model 2017-10-01 11:01:00 completed"
[1] "Completed training sample: 2017-10-01 11:01:00 - 2017-10-01 19:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 11:31:00 - 2017-10-01 19:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.7491 0.10685 -65.20 -52.09
0.5236 0.18956 -66.50 -54.46
0.3203 -0.07632 -65.59 -51.71
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-60.31 0.5563 0.9093 -0.4281
-54.07 -0.2788 0.4687 0.2160
-56.84 0.2050 0.4224 -0.1181
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.9030 -4.184 -0.7735 -15.55
-0.3506 -2.524 -0.2904 -16.79
-1.7828 -1.057 1.0162 -14.56
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.06062 -5.367 -7.948 0.4173
0.37818 -7.619 -6.154 2.9711
0.46403 -4.949 -5.009 1.7802
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.113 -7.388 -2.711 16.98
-4.339 -6.711 -5.052 13.66
-6.810 -4.977 -4.227 14.39
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.61 -6.067 -108.5 -57.07
-60.35 -5.840 -114.7 -56.61
-57.16 -5.218 -119.9 -61.82
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.664 -59.06 -67.52 -10.02
-5.705 -53.59 -58.68 -10.36
-5.595 -54.12 -58.91 -10.38
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-46.95 -6.986 -54.30 -19.41
-57.46 -6.982 -59.53 -19.46
-52.76 -6.975 -55.59 -19.10
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.19 -55.29 -55.03 -67.52
-13.16 -53.51 -52.20 -59.29
-13.40 -57.33 -55.59 -59.40
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3374 -3.215 2.5815 0.02645
0.1844 5.898 1.2284 -0.04290
0.3146 -3.728 0.6956 0.08277
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.08245 0.07043 -36.86 -42.08
0.30955 -0.07533 -35.28 -42.80
0.17810 -0.00991 -34.90 -40.96
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.218 -0.9445 -26.38 5.748
4.934 -1.2803 -25.65 5.350
4.447 -1.0804 -25.32 3.206
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.322 -1.855 -12.84 12.77
5.307 -2.316 -15.88 12.63
6.195 -1.858 -13.14 11.68
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4331 -4.031 -5.498 -10.980
-0.4426 -12.564 -5.079 -2.258
-0.4812 -10.657 -8.885 -9.699
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.826 0.189270 0.03889 -3.564
-5.036 0.972289 0.07847 -10.926
-5.158 0.008957 0.06036 -2.690
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9582 0.1704 0.9212 1.6650
-0.9379 -7.7326 1.4992 0.6554
-0.9193 -2.5084 0.6903 -6.9040
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.3248 0.5245 -2.409 -0.02615
-0.9493 0.3137 4.057 0.36502
-5.5855 0.2910 -6.149 0.29440
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.559 0.02734 1.494089 -2.1895
4.407 -0.01050 0.165885 1.4417
-3.612 -0.01101 0.004623 0.2188
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.2418 4.037 17.16 13.334
2.1674 1.911 14.60 9.320
0.7527 1.198 13.24 9.471
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.608 0.5708 10.730 0.58966
10.091 0.5635 11.145 0.08539
8.884 0.2089 8.614 -0.33653
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.700 2.146 -2.634 -0.4301
9.550 1.386 -1.636 -0.5211
8.532 1.619 -3.008 0.5675
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.67114 0.59748 1.396 -0.86383
1.66565 0.03731 -1.525 -0.06769
0.04608 0.10508 0.397 -0.21374
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.641 4.276 5.443 5.658
4.375 6.205 5.530 4.725
5.801 5.054 5.410 5.551
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.130 -0.1448 -10.28 -1.6657
-3.631 -0.5932 -10.38 -0.3446
-1.161 -0.3403 -10.73 -0.6928
rnd_95776.volume rnd_95787.volume
-55.67 -51.38
-35.20 -49.12
-41.84 -50.77
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.243 4.298 24.53 11.48 12.24 1.512 2.734 6.974 8.141 6.126 5.274
[2,] 6.257 4.298 25.86 13.24 13.38 1.524 2.740 6.992 8.231 8.493 5.472
[3,] 6.277 4.313 27.67 13.72 13.94 1.606 2.792 7.334 8.603 8.596 5.731
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.797 4.493 5.579 14.07 6.553 8.984 5.967 15.13 8.488 17.05 6.393
[2,] 5.984 4.505 7.008 14.44 6.614 9.566 7.300 15.74 9.557 17.79 6.584
[3,] 6.204 4.616 7.779 15.58 6.648 10.052 7.921 15.97 10.412 19.58 7.198
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.49 14.23 0.8696 11.77 11.65 1.634 11.13 0.7627 11.15 3.163 2.016
[2,] 29.68 14.84 0.8998 13.50 14.03 1.724 12.62 0.7943 12.64 3.291 2.068
[3,] 31.02 16.03 0.9775 14.41 14.50 1.888 13.90 0.8755 13.51 3.541 2.285
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 12.25 12.98 10.75 7.293 5.943 6.529 2.513 5.332 1.965 7.885 9.323
[2,] 13.50 14.00 12.23 7.310 6.611 6.555 2.515 5.334 1.975 8.173 9.878
[3,] 14.18 14.63 12.75 7.360 6.854 6.630 2.517 5.419 1.976 9.027 10.627
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.389 2.504 5.073 7.985 8.610 4.608 6.792 6.723 2.483 5.989 5.471
[2,] 5.013 2.560 5.190 7.985 8.755 4.666 8.777 7.008 2.502 8.235 6.509
[3,] 5.081 2.671 5.373 8.826 9.673 4.887 9.018 7.342 2.528 9.185 7.270
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.155 3.810 6.022 1.206 4.961 1.842 4.485 4.643 3.965 7.256 2.614
[2,] 5.969 5.318 6.049 1.206 6.217 1.897 4.591 4.745 5.157 8.216 2.622
[3,] 7.504 6.589 6.077 1.207 6.902 1.974 4.969 4.801 5.213 8.313 2.624
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.121 5.313 5.890 2.486 6.467 4.792 7.549 7.520 8.658 6.476 5.299
[2,] 6.665 5.351 6.632 2.487 6.467 6.762 8.289 9.543 9.146 9.062 7.663
[3,] 6.701 5.407 7.230 2.487 6.597 6.768 8.354 9.588 10.054 9.753 9.407
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.833 4.608 4.303 5.851 3.305 3.722 2.746 4.508 5.079 11.08 9.029
[2,] 1.841 6.120 4.335 6.750 3.370 3.849 2.809 5.346 5.079 11.08 9.094
[3,] 1.855 8.577 4.337 8.552 3.434 4.043 2.846 5.714 5.082 11.27 9.717
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.408 3.792 4.847 4.757 4.452 3.958 1.067 2.088 24.34 13.96
[2,] 3.925 4.793 5.006 4.933 4.714 3.986 1.117 2.179 26.21 14.42
[3,] 4.568 4.931 5.375 5.324 5.004 4.008 1.204 2.205 30.07 15.57
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.928 5.458 31.15 14.58 15.54 1.92 3.471 8.855
[2,] 475.569 48.777 9399.72 7594.76 6215.23 221.94 206.965 577.825
[3,] 574.465 406.303 11333.40 4128.76 4525.67 584.07 616.618 2548.131
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.34 7.779 6.698 6.092 5.706 7.084 17.87 8.321
[2,] 1397.12 6771.280 1678.911 4117.678 371.864 4880.833 3745.67 1032.679
[3,] 2879.67 1522.443 1959.344 1883.204 1157.917 3887.715 6722.45 776.109
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.41 7.578 19.22 10.78 21.66 8.118 31.1 18.06
[2,] 3781.54 4840.253 5000.32 5053.17 5847.49 1811.098 19297.0 4847.83
[3,] 3555.50 3537.504 3092.64 4758.27 9401.52 3346.930 10370.7 6986.18
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.104 14.95 14.8 2.075 14.13 0.9685 14.16 4.017
[2,] 266.200 7609.35 9003.8 631.350 6837.67 255.2140 6853.41 1046.254
[3,] 439.359 5782.32 4188.0 886.012 6717.24 423.9718 5479.18 1505.364
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.56 15.55 16.49 13.65 9.26 7.547 8.29 3.192
[2,] 532.92 6543.01 6039.71 6719.10 587.65 3333.764 679.06 93.571
[3,] 1117.05 4983.03 4882.77 4159.14 983.04 2078.669 1143.82 120.021
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.771 2.496 10.01 11.84 5.573 3.179 6.442 10.14
[2,] 163.257 223.113 2473.91 3757.46 2786.977 618.200 1260.271 70.35
[3,] 1102.487 57.695 4411.66 4510.95 953.628 875.208 1599.761 4326.84
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.93 5.852 8.624 8.537 3.153 7.605 6.947 6.547
[2,] 1828.72 845.629 6398.015 2279.054 353.865 6505.829 4059.407 3463.041
[3,] 4733.49 1669.610 2385.492 2517.474 414.420 4680.907 3727.082 5234.648
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.838 7.647 1.531 6.299 2.339 5.695 5.895 5.035
[2,] 4270.262 657.586 6.814 4313.788 520.654 1130.286 1128.130 3795.838
[3,] 4477.511 667.235 54.377 3449.370 627.072 2187.191 841.646 878.093
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.214 3.319 7.772 6.746 7.48 3.157 8.212 6.086
[2,] 4436.630 244.355 3036.595 733.972 3507.78 41.741 76.843 5491.066
[3,] 1451.175 123.411 798.084 898.472 3314.13 58.678 1499.171 324.618
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.587 9.549 10.99 8.223 6.729 2.327 5.851 5.464
[2,] 3937.826 6762.052 3391.97 7295.368 6370.973 201.915 4635.745 606.846
[3,] 1196.521 1076.997 4806.04 4152.356 6279.015 264.261 6916.275 150.689
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.43 4.197 4.726 3.487 5.724 6.45 14.07 11.47
[2,] 3873.36 757.286 1131.075 678.157 3307.253 32.84 229.57 1253.17
[3,] 6044.19 760.210 1422.359 529.691 2324.545 198.96 2381.40 3939.94
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.328 4.816 6.155 6.04 5.653 5.026 1.355 2.651
[2,] 2241.074 3373.414 1437.535 1506.76 1782.464 535.561 380.299 718.737
[3,] 2689.068 1335.264 2255.226 2302.85 1933.371 487.765 517.454 382.791
[,97] [,98]
[1,] 30.91 17.73
[2,] 11201.73 4156.41
[3,] 16968.28 6761.34
[1] "--- VAR model 2017-10-01 11:31:00 completed"
[1] "Completed training sample: 2017-10-01 11:31:00 - 2017-10-01 19:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 12:01:00 - 2017-10-01 20:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5032 -0.419806 -56.61 -51.04
-0.2659 0.058232 -58.24 -51.56
-0.1652 -0.006091 -57.02 -50.80
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-48.45 1.620 -0.22355 -1.5765
-49.90 1.067 -0.01893 -0.4478
-50.99 1.173 -0.04385 0.9247
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.639 2.464 -1.79044 -11.88
-3.621 -4.737 -0.06944 -13.64
-3.227 -2.853 -0.43909 -14.46
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1593 -10.263 -2.811 1.7148
-0.4218 -2.764 -2.339 2.0962
-0.2876 -6.564 -1.910 0.4029
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.038 -8.364 7.207 29.50
-4.816 -8.172 -4.442 19.42
-5.994 -1.200 -3.081 14.30
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-56.18 -5.072 -122.1 -58.60
-58.98 -4.416 -109.8 -56.81
-58.82 -4.243 -115.1 -57.61
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.172 -54.89 -59.81 -10.15
-5.371 -58.36 -61.50 -10.29
-5.335 -54.11 -58.34 -10.46
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-45.15 -5.772 -44.69 -19.57
-49.91 -5.848 -50.86 -17.87
-53.84 -5.772 -52.72 -19.40
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.38 -43.76 -51.32 -58.41
-10.53 -50.54 -42.67 -47.75
-10.58 -51.24 -49.07 -51.10
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0359 0.187 0.2745 0.07965
1.2424 -2.389 1.5113 0.15598
0.8613 -1.851 -0.2378 0.17653
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.08413 0.01768 -29.53 -34.82
0.50993 -0.01714 -26.98 -36.60
0.23530 0.01063 -26.36 -35.89
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.547 -1.3799 -21.28 8.572
9.051 -0.8748 -19.18 4.843
5.263 -0.5697 -18.04 6.348
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.666 -0.29311 -6.054 3.5248
1.493 -0.77598 -3.367 2.6187
4.731 0.04627 -9.027 0.8778
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.1002 -5.172 -6.231 -6.778
0.6719 -2.280 -6.339 -8.570
0.6384 -7.099 -5.171 -3.411
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.375 -0.7557 0.01262 -10.553
-6.694 -0.8384 0.04653 -4.993
-6.014 -0.4864 0.02141 -8.380
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2124 -5.012 0.1058 -3.239
0.5170 -3.507 0.1856 -5.025
0.4160 -4.034 -0.2297 -2.268
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.282 0.16313 -5.468 -0.6525
-5.128 -0.04306 -3.202 0.3984
-2.826 0.12174 -2.918 0.1341
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.640 0.04707 -0.7280 -0.01112
-2.842 0.01344 -0.5079 -0.58631
-3.825 0.01203 -0.1361 -0.57133
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.01705 -1.9435 18.35 4.506
-0.60663 -1.5612 18.52 9.887
-0.27694 -0.7877 16.64 8.366
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.170 0.15093 9.052 -0.11799
8.286 0.04479 3.618 0.27745
8.716 0.02505 8.914 -0.06243
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.629 1.3248 -0.6588 -0.7254
3.639 1.4015 -1.2012 0.1719
8.045 0.7999 -0.2630 -0.5035
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.696 -0.2071 0.3961 -1.5659
2.218 -0.1249 3.0395 0.7346
-1.990 -0.6377 -0.5242 -0.1238
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1673 2.1148 0.4951 1.349
1.3254 1.0131 0.7657 1.603
0.4244 0.9443 0.1484 1.154
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.802 -0.39982 -8.445 0.1510
-2.588 0.47377 -8.027 -0.3162
-2.430 -0.07802 -8.031 -0.2594
rnd_95776.volume rnd_95787.volume
9.365 -54.27
-9.897 -50.52
-3.625 -54.01
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.184 4.248 24.44 11.41 11.96 1.532 2.713 7.007 8.158 5.693 5.270
[2,] 6.193 4.248 25.78 13.14 13.08 1.546 2.723 7.026 8.273 7.770 5.498
[3,] 6.212 4.260 27.58 13.52 13.62 1.617 2.774 7.350 8.605 7.774 5.751
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.146 4.541 5.633 14.02 6.270 9.067 5.826 14.65 8.52 15.27 5.182
[2,] 6.570 4.551 6.844 14.38 6.388 9.688 7.174 15.60 9.54 16.05 5.240
[3,] 7.008 4.660 7.456 15.50 6.463 10.190 7.770 15.99 10.50 17.80 5.885
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.39 14.04 0.8371 11.34 11.67 1.581 11.06 0.7425 11.12 2.834 1.861
[2,] 29.31 14.75 0.8478 12.45 14.00 1.675 12.48 0.7619 12.65 2.898 1.953
[3,] 30.67 16.02 0.9004 14.05 14.48 1.823 13.45 0.8305 13.53 3.015 2.042
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 12.04 11.87 10.60 7.132 5.932 6.411 2.464 5.262 1.928 7.792 9.033
[2,] 13.32 13.20 12.06 7.155 6.422 6.422 2.465 5.265 1.936 8.091 9.551
[3,] 13.99 13.64 12.58 7.218 6.633 6.505 2.468 5.374 1.938 8.949 10.277
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.444 2.414 4.848 8.034 8.684 4.564 6.647 6.705 2.525 6.113 5.454
[2,] 4.996 2.476 5.130 8.034 8.830 4.625 8.999 6.995 2.544 8.301 6.487
[3,] 5.137 2.594 5.296 8.913 9.757 4.826 9.254 7.433 2.571 9.263 7.333
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.030 3.806 5.701 1.228 5.045 1.810 4.397 4.726 3.974 7.217 2.523
[2,] 5.936 5.260 5.706 1.228 6.204 1.861 4.509 4.833 5.256 8.287 2.528
[3,] 7.535 6.539 5.735 1.230 6.907 1.927 4.888 4.905 5.320 8.370 2.529
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.184 5.251 5.845 2.454 6.289 4.680 7.460 7.257 8.495 6.480 5.215
[2,] 6.785 5.288 6.575 2.454 6.292 6.666 8.231 9.252 8.837 8.942 7.647
[3,] 6.824 5.343 7.225 2.454 6.381 6.672 8.298 9.313 9.424 9.673 9.367
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.846 4.649 4.295 5.787 3.304 3.722 2.690 4.412 4.984 11.08 8.896
[2,] 1.855 6.195 4.337 6.729 3.364 3.847 2.751 5.268 4.985 11.09 8.967
[3,] 1.875 8.558 4.339 8.497 3.454 4.060 2.789 5.618 4.988 11.26 9.597
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.257 3.503 4.709 4.598 4.446 3.824 1.020 2.130 23.99 13.64
[2,] 3.800 4.682 4.875 4.796 4.701 3.850 1.076 2.215 25.90 14.07
[3,] 4.548 4.816 5.222 5.185 4.937 3.859 1.124 2.242 28.81 15.22
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.852 5.395 31.04 14.49 15.19 1.946 3.445 8.898
[2,] 374.888 53.730 9254.71 7378.72 5986.04 229.252 259.886 572.819
[3,] 562.421 353.826 11085.66 3563.30 4306.22 538.339 602.050 2443.929
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.36 7.229 6.692 6.534 5.766 7.153 17.81 7.962
[2,] 1551.43 5983.219 1772.151 4622.654 345.364 4397.665 3611.44 1382.964
[3,] 2678.75 287.816 1911.884 2757.965 1134.275 3346.414 6525.34 1104.458
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.51 7.398 18.6 10.82 19.39 6.58 30.97 17.83
[2,] 3863.77 4736.365 6074.7 4857.32 5611.22 878.41 18389.87 5099.94
[3,] 3573.50 3377.684 3977.7 4951.07 8701.11 3031.76 10242.92 7088.46
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.063 14.4 14.82 2.008 14.04 0.9428 14.13 3.599
[2,] 152.316 5820.1 8754.32 625.381 6556.82 193.4208 6804.75 686.954
[3,] 342.950 7366.5 4169.75 813.832 5663.29 373.9960 5458.29 937.615
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.364 15.29 15.07 13.46 9.057 7.532 8.141 3.129
[2,] 667.384 6436.15 6520.12 6524.51 651.326 2785.251 431.643 74.067
[3,] 675.367 4863.16 3912.80 4036.26 1077.387 1877.598 1171.725 144.978
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.682 2.448 9.895 11.47 5.643 3.066 6.156 10.20
[2,] 200.420 205.909 2465.052 3507.79 2583.189 620.306 1898.118 11.79
[3,] 1214.420 78.471 4325.289 4295.00 1352.581 875.263 1487.866 4366.67
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.03 5.795 8.44 8.514 3.206 7.763 6.926 6.388
[2,] 1809.88 852.567 6863.52 2256.883 347.994 6353.732 3972.868 3564.451
[3,] 4696.96 1558.676 2439.86 2844.453 426.578 4649.366 3869.839 5252.128
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.833 7.24 1.56 6.407 2.299 5.583 6.001 5.046
[2,] 4108.374 258.46 17.58 4083.996 487.855 1133.210 1147.186 3891.953
[3,] 4395.228 654.01 64.67 3435.313 567.483 2135.445 947.049 933.259
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.165 3.203 7.853 6.668 7.422 3.116 7.987 5.943
[2,] 4606.873 190.533 3156.957 707.212 3406.222 71.078 183.889 5369.785
[3,] 1330.454 64.434 832.729 864.439 3390.785 27.542 1206.556 327.426
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.473 9.215 10.79 8.228 6.622 2.344 5.904 5.454
[2,] 3936.507 6493.376 2755.21 6972.269 6328.470 210.104 4632.926 681.740
[3,] 1187.140 1200.789 3704.35 4172.555 6119.527 305.414 6679.627 131.821
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.349 4.195 4.726 3.415 5.603 6.329 14.07 11.3
[2,] 3884.775 714.257 1099.513 655.215 3256.473 25.503 513.99 1279.8
[3,] 5870.411 889.851 1470.969 519.928 2209.100 219.532 2248.51 3868.6
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.136 4.449 5.98 5.839 5.646 4.856 1.296 2.704
[2,] 2212.920 3515.048 1426.75 1542.792 1728.668 506.169 385.760 690.188
[3,] 2828.918 1272.778 2115.59 2229.361 1705.631 303.682 369.880 386.856
[,97] [,98]
[1,] 30.46 17.32
[2,] 11036.85 3882.70
[3,] 14284.87 6582.82
[1] "--- VAR model 2017-10-01 12:01:00 completed"
[1] "Completed training sample: 2017-10-01 12:01:00 - 2017-10-01 20:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 12:31:00 - 2017-10-01 20:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.4224 -0.2368 -48.51 -43.21
-0.3929 0.3115 -49.02 -46.95
-0.1512 -0.1101 -50.52 -48.52
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-53.12 0.4457 -0.8255 -1.377
-46.05 0.6595 -1.0654 1.403
-48.30 1.2163 -0.8860 -0.555
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.984 -3.455 -0.1186 -18.24
-3.253 -3.467 1.8063 -16.25
-4.641 -1.608 1.8110 -14.66
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.4957 -8.837 -7.613 1.091
-0.6192 -7.745 -6.798 1.949
-0.4274 -6.227 -5.227 2.436
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.834 -10.149 -8.5689 11.957
-6.253 -4.169 -4.1208 5.555
-5.586 -6.976 0.6312 6.407
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-54.41 -4.902 -115.0 -39.70
-54.40 -4.153 -106.2 -35.48
-55.96 -4.073 -108.4 -34.95
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.560 -48.07 -48.67 -9.193
-4.251 -53.50 -50.80 -9.922
-4.460 -48.97 -49.32 -8.966
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-39.85 -4.751 -45.75 -19.42
-47.77 -4.277 -45.98 -19.28
-50.78 -4.661 -46.65 -19.50
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.198 -51.30 -53.27 -51.39
-9.478 -42.92 -46.83 -52.77
-9.166 -46.81 -46.22 -47.64
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8734 -2.3128332 -0.1324 -0.001028
0.2916 -4.1799807 0.3142 0.027386
0.1873 0.0005325 0.5128 -0.029259
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2216 -0.051463 -32.64 -37.40
0.9554 0.010451 -31.85 -36.97
0.4785 0.002936 -31.91 -36.40
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4841 -0.8406 -21.44 5.918
3.9392 0.1985 -20.17 6.968
1.7653 0.3948 -18.88 6.070
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.2381 -1.633 -2.777 1.0101
0.9086 -2.149 -13.204 1.7692
0.5060 -1.415 -11.660 0.8346
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.04934 -15.363 -13.515 -13.04
-0.54523 -5.425 -4.605 -12.29
-0.36233 -15.700 -9.206 -7.07
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.917 -0.6957 0.04316 -4.638
-13.283 0.6556 -0.01090 -7.928
-4.754 0.4357 -0.03237 -12.624
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2680 -3.825 -0.8201 -3.219
-1.1034 -4.417 -0.3189 -4.533
-0.8979 -6.988 -0.3394 -2.958
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.530 -0.0001066 -3.594 1.4702
-3.228 0.1413116 -4.893 0.6538
-4.310 0.1769895 -1.267 0.7808
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.340 0.11870 -0.34339 0.07395
-3.926 0.08426 -0.17169 -0.29900
-1.866 0.04498 -0.06584 -0.27950
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.39574 1.3761 26.24 14.80
-0.04262 -1.3072 26.84 14.81
0.03803 -0.5909 27.63 13.71
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.58 0.5598 11.81 -0.4127
14.21 0.6230 12.36 -0.4600
12.87 0.3176 13.16 -0.1874
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.06 2.258 -3.3961 0.6040
12.20 2.073 -0.4557 -0.5084
12.99 1.981 -2.1093 -0.5385
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.3365 0.01916 3.0401 1.0003
-1.8375 -0.27237 -1.2852 -0.3634
-0.3235 -0.31452 0.6991 0.1094
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.62241 -1.28739 -1.5413 -0.04691
-1.35207 0.36263 -0.6342 0.29889
-0.07205 0.01304 -1.5770 -0.17258
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.378 0.009789 -6.923 -1.019
-1.450 -0.109514 -7.193 -1.031
-4.714 0.152912 -6.953 -0.289
rnd_95776.volume rnd_95787.volume
-21.89 -54.40
-29.71 -53.26
-14.30 -52.60
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.156 4.168 24.34 10.97 11.54 1.601 2.665 7.042 7.327 5.639 5.233
[2,] 6.179 4.168 25.65 12.48 12.59 1.621 2.673 7.054 7.338 7.595 5.445
[3,] 6.196 4.176 27.39 12.75 13.09 1.690 2.723 7.326 7.349 7.611 5.739
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.654 4.575 5.572 13.61 6.215 9.028 5.785 13.14 9.542 14.43 5.042
[2,] 5.894 4.586 6.629 13.94 6.327 9.595 7.197 14.16 10.305 15.13 5.131
[3,] 6.041 4.704 7.110 15.10 6.354 10.090 7.682 14.59 11.171 16.68 5.819
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 22.89 13.66 0.8234 11.21 11.31 1.528 10.86 0.7249 11.07 2.797 1.785
[2,] 28.37 14.26 0.8355 12.16 13.52 1.599 12.21 0.7527 12.48 2.849 1.843
[3,] 29.64 15.56 0.8798 13.92 13.94 1.723 13.10 0.7957 13.28 2.969 1.912
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.22 11.89 10.24 6.815 5.872 6.312 2.461 5.130 1.917 7.505 8.682
[2,] 11.65 13.08 11.55 6.835 6.445 6.324 2.461 5.134 1.926 7.747 9.211
[3,] 12.50 13.37 11.87 6.895 6.564 6.410 2.466 5.250 1.927 8.550 9.909
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.399 2.416 4.844 7.942 8.573 4.497 6.609 6.708 2.494 5.888 5.682
[2,] 5.117 2.472 5.126 7.942 8.717 4.550 8.618 6.972 2.507 7.893 6.810
[3,] 5.244 2.583 5.284 8.829 9.654 4.730 8.968 7.496 2.537 9.209 7.662
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.857 3.771 5.678 1.203 5.016 1.778 4.279 4.653 3.877 7.121 2.477
[2,] 5.779 5.333 5.679 1.203 6.108 1.842 4.367 4.755 5.106 8.103 2.483
[3,] 7.241 6.705 5.708 1.204 6.866 1.907 4.781 4.837 5.198 8.174 2.484
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.000 5.241 5.774 2.392 6.176 4.601 7.181 6.938 8.762 6.346 4.952
[2,] 6.579 5.285 6.483 2.393 6.181 6.660 8.021 9.166 9.250 8.783 7.527
[3,] 6.622 5.338 7.101 2.394 6.273 6.666 8.072 9.210 10.147 9.614 9.267
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.839 4.495 4.278 5.659 3.330 3.611 2.613 4.317 4.875 10.89 8.827
[2,] 1.850 6.236 4.327 6.516 3.387 3.740 2.677 5.145 4.875 10.90 8.905
[3,] 1.869 8.579 4.333 8.376 3.465 3.914 2.712 5.560 4.877 11.08 9.445
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.090 3.304 4.643 4.493 4.425 3.694 0.9482 2.177 19.75 13.35
[2,] 3.641 4.598 4.812 4.710 4.672 3.712 1.0108 2.212 24.40 13.72
[3,] 4.407 4.737 5.161 5.080 4.913 3.716 1.0405 2.238 25.16 14.91
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.817 5.292 30.9 13.94 14.65 2.033 3.384 8.943
[2,] 629.999 70.359 9544.4 6991.27 5913.15 294.897 239.620 467.270
[3,] 542.845 311.701 11298.7 3090.73 4210.99 563.239 614.601 2329.679
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.305 7.161 6.645 5.909 5.81 7.075 17.28 7.892
[2,] 460.825 5985.811 1769.819 4256.114 360.89 4225.387 3567.23 1399.064
[3,] 472.013 574.020 2133.824 1553.257 1231.60 3025.249 6810.76 685.703
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.46 7.346 16.68 12.12 18.33 6.403 29.07 17.35
[2,] 3821.19 5036.716 6235.13 4579.97 5353.17 1117.176 19704.58 4796.59
[3,] 3672.14 3160.866 4100.76 5074.66 8253.34 3229.371 10097.75 7325.61
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.046 14.24 14.36 1.94 13.79 0.9205 14.06 3.551
[2,] 167.147 5532.67 8718.55 553.71 6574.14 238.3139 6767.75 641.672
[3,] 324.043 7980.07 3975.15 756.91 5570.43 303.7706 5362.07 982.719
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.267 14.25 15.1 13 8.654 7.456 8.015 3.125
[2,] 539.321 3692.18 6417.4 6284 613.835 3124.562 463.861 30.164
[3,] 600.164 5321.97 3256.1 3250 1068.994 1464.130 1226.130 183.065
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.515 2.434 9.53 11.02 5.587 3.068 6.151 10.08
[2,] 237.375 214.809 2257.83 3622.57 3073.738 617.415 1971.969 15.04
[3,] 1289.190 64.645 4257.36 4297.68 1350.120 878.969 1509.853 4537.32
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.89 5.71 8.393 8.518 3.167 7.477 7.215 6.168
[2,] 1854.75 820.37 6506.737 2232.615 296.084 6184.484 4416.048 3684.968
[3,] 4880.62 1518.00 2918.776 3242.108 460.464 5579.156 4132.530 5132.128
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.789 7.21 1.528 6.37 2.258 5.434 5.908 4.924
[2,] 4436.102 159.71 3.249 4099.73 564.498 1027.043 1152.918 3908.971
[3,] 4780.655 671.40 64.133 3689.68 579.017 2287.798 1042.821 1143.296
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.042 3.145 7.619 6.656 7.332 3.037 7.842 5.843
[2,] 4548.722 201.447 3176.326 792.669 3468.614 100.465 291.237 5665.105
[3,] 1263.946 98.029 887.458 882.393 3409.420 48.115 1259.166 317.179
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.119 8.81 11.13 8.059 6.288 2.335 5.708 5.432
[2,] 4203.835 7048.12 3486.51 7142.730 6668.173 244.808 5085.607 768.979
[3,] 1060.636 1051.71 4908.76 4601.410 6359.225 306.736 6931.156 264.670
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.186 4.229 4.586 3.318 5.482 6.190 13.83 11.21
[2,] 3801.423 723.594 1146.429 684.612 3292.284 5.734 616.88 1380.74
[3,] 6190.683 864.976 1354.645 515.262 2479.572 164.846 2337.38 3701.67
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.924 4.195 5.896 5.705 5.619 4.691 1.204 2.764
[2,] 2266.398 3761.653 1486.617 1661.705 1765.591 429.245 412.020 465.064
[3,] 2920.351 1343.466 2196.865 2239.302 1786.329 186.828 290.394 398.950
[,97] [,98]
[1,] 25.08 16.95
[2,] 16860.12 3703.36
[3,] 7208.96 6865.58
[1] "--- VAR model 2017-10-01 12:31:00 completed"
[1] "Completed training sample: 2017-10-01 12:31:00 - 2017-10-01 20:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 13:01:00 - 2017-10-01 21:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2709 0.12051 -45.32 -45.33
0.2495 -0.14685 -45.64 -43.73
0.3240 0.07188 -43.92 -44.10
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-44.60 0.5379 -0.05941 -1.4812
-44.32 -0.1906 0.97459 -0.3390
-41.51 0.1547 0.74204 -0.6479
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.527 -3.260 -1.467 -16.21
-4.586 -4.013 -3.017 -17.19
-3.286 -2.676 -2.440 -14.75
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.8326 -9.341 -6.477 4.3854
0.9591 -8.343 -3.935 2.0069
0.5415 -6.809 -3.560 0.4407
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.605 -0.2731 -2.772 15.80
-7.109 -5.8165 2.905 16.76
-7.400 -7.5400 -3.258 14.28
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-47.69 -4.968 -88.20 -39.10
-48.59 -4.394 -87.55 -39.43
-48.66 -4.228 -90.33 -39.96
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.159 -42.60 -44.43 -9.255
-4.170 -46.82 -45.56 -9.587
-4.161 -44.10 -47.14 -9.730
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-46.33 -5.143 -42.59 -15.85
-42.14 -5.254 -41.75 -17.30
-43.66 -5.116 -41.19 -16.97
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.135 -46.08 -43.47 -42.23
-8.612 -41.41 -46.55 -43.03
-8.592 -41.34 -42.64 -42.26
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7650 -0.2763 -1.13659 -0.10579
-0.5963 -5.7239 -1.00059 -0.15867
-0.3511 -3.4207 0.02093 -0.05705
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.5473 -0.059387 -28.64 -32.27
-0.4192 0.032939 -29.58 -31.88
-0.1831 0.007542 -29.33 -32.54
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.024 -2.633 -13.50 4.276
4.469 -2.223 -18.17 7.589
5.670 -1.732 -17.81 6.917
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.717 -2.620 -13.074 2.120
-3.383 -2.798 -3.358 2.361
3.930 -2.729 -12.678 3.652
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4976 -8.140 -6.920 -9.184
0.4494 -9.949 -11.216 -8.992
0.2008 -7.862 -4.774 -7.639
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.446 1.0428 -0.01559 -13.632
-6.724 0.1701 0.03036 -8.205
-10.564 -0.1710 0.02579 -7.747
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8497 -7.840 -0.4757 -5.521
-0.7605 -4.908 -0.5318 -8.140
-0.6898 -5.158 -0.3364 -5.082
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.565 0.2284 -4.375 1.591
-7.197 0.1037 -8.293 1.737
-4.891 0.3162 -5.293 1.014
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.4606 -0.06178 0.5683 7.3632
-8.4737 -0.03531 1.7841 0.4243
-6.3826 0.01118 0.9989 2.1080
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.917 4.1935 12.520 3.173
-1.800 -0.6471 8.927 12.111
-1.433 0.4178 7.503 2.550
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.551 0.19326 3.358 -0.6565
13.404 0.01445 1.235 -0.4652
3.976 -0.01291 11.193 -0.2044
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.430 1.8705 -1.292 -0.3580
-2.164 1.2645 -2.279 -0.2181
12.090 0.3868 -0.350 -0.8341
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.441 -0.09074 -0.7899 -2.243
-3.227 0.08926 1.2414 -1.703
-4.343 0.06555 -0.4493 -1.232
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9433 5.2170 1.7478 1.499
3.8230 0.6796 -0.2308 1.521
0.2158 2.0796 1.3280 3.122
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.457 0.20655 -6.803 -0.7421
-3.589 0.04846 -6.662 -0.5000
-2.606 -0.26198 -6.790 -0.2953
rnd_95776.volume rnd_95787.volume
-6.007 -48.20
-22.717 -48.21
-14.343 -46.76
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.117 4.151 24.12 10.58 10.74 1.677 2.637 6.961 7.889 5.569 5.169
[2,] 6.137 4.151 25.45 11.86 11.46 1.686 2.646 6.970 7.977 7.457 5.401
[3,] 6.150 4.161 27.21 12.01 11.69 1.778 2.691 7.214 8.266 7.480 5.705
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.566 4.518 5.544 13.00 5.963 9.432 5.756 13.14 9.447 14.04 5.038
[2,] 6.026 4.525 6.623 13.21 6.080 9.713 7.255 14.19 10.281 14.68 5.125
[3,] 6.228 4.657 7.202 14.29 6.116 10.250 7.707 14.56 11.137 16.17 5.806
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 22.56 13.27 0.8125 10.64 11.01 1.494 10.20 0.6915 10.66 2.555 1.741
[2,] 28.03 13.83 0.8272 11.23 12.78 1.550 11.29 0.7153 11.69 2.622 1.803
[3,] 29.24 15.04 0.8755 12.49 13.07 1.639 12.15 0.7500 12.81 2.734 1.878
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.64 11.54 9.606 6.509 5.687 6.237 2.392 4.941 1.870 7.223 8.340
[2,] 11.16 12.72 10.491 6.536 6.363 6.250 2.392 4.957 1.879 7.472 8.849
[3,] 11.83 12.99 10.827 6.580 6.488 6.338 2.396 5.072 1.879 8.233 9.466
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.303 2.386 4.740 7.758 8.314 4.452 6.602 6.653 2.515 5.853 5.679
[2,] 5.048 2.434 5.055 7.758 8.468 4.502 8.676 6.909 2.529 7.947 6.764
[3,] 5.193 2.543 5.206 8.557 9.230 4.683 9.032 7.435 2.554 9.189 7.660
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.768 3.757 5.575 1.206 5.042 1.701 4.085 4.591 3.834 6.487 2.432
[2,] 5.718 5.373 5.577 1.206 6.052 1.776 4.190 4.731 4.992 7.486 2.439
[3,] 7.239 6.675 5.601 1.207 6.821 1.849 4.634 4.799 5.069 7.594 2.441
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.854 5.213 5.550 2.292 6.103 4.604 7.044 6.782 8.991 6.533 4.862
[2,] 6.479 5.257 6.322 2.293 6.107 6.609 7.915 9.022 9.429 8.935 7.547
[3,] 6.534 5.307 6.955 2.293 6.193 6.615 7.968 9.064 10.347 9.763 9.342
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.836 4.474 4.162 5.564 3.216 3.611 2.514 4.231 4.787 10.69 8.722
[2,] 1.847 6.398 4.205 6.470 3.270 3.730 2.576 5.005 4.787 10.70 8.787
[3,] 1.863 8.745 4.213 8.374 3.356 3.906 2.614 5.443 4.789 10.86 9.267
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.861 3.091 4.551 4.403 4.295 3.573 0.9544 2.398 19.80 13.13
[2,] 3.501 4.511 4.721 4.623 4.555 3.587 1.0092 2.404 24.61 13.51
[3,] 4.296 4.650 5.059 5.009 4.813 3.590 1.0400 2.432 25.32 14.74
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.767 5.271 30.63 13.44 13.63 2.13 3.348 8.839
[2,] 568.658 29.569 9346.94 6165.69 4609.79 200.26 258.125 401.265
[3,] 471.392 332.893 11071.46 2174.17 2698.53 647.40 561.676 2144.167
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.02 7.071 6.564 5.798 5.737 7.04 16.51 7.572
[2,] 1355.82 5712.906 1800.989 4530.578 290.066 4173.92 2701.01 1365.013
[3,] 2499.75 669.481 2116.534 1812.707 1267.077 3259.54 6271.03 767.777
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.98 7.31 16.68 12 17.83 6.397 28.64 16.85
[2,] 2673.10 5087.19 6166.26 4670 4959.45 1083.785 19160.08 4474.99
[3,] 3769.99 2992.51 3761.72 4932 7797.26 3142.789 9595.46 6807.92
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.032 13.51 13.98 1.897 12.95 0.8781 13.53 3.245
[2,] 179.284 4127.23 7485.43 474.766 5562.23 210.7375 5528.69 676.019
[3,] 330.116 6307.40 3130.67 614.377 5192.20 259.6117 6040.12 894.052
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.211 13.51 14.65 12.2 8.266 7.221 7.92 3.037
[2,] 540.172 3884.73 6165.54 4855.9 681.583 3289.017 468.21 30.899
[3,] 607.194 4503.82 3018.98 3084.5 870.178 1458.356 1209.53 164.400
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.274 2.375 9.173 10.59 5.464 3.03 6.019 9.851
[2,] 461.454 203.659 2199.978 3409.54 3040.065 552.08 2021.494 60.404
[3,] 1237.440 58.937 3982.307 3871.54 1404.486 849.16 1436.781 4158.600
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.56 5.653 8.384 8.448 3.194 7.433 7.212 6.055
[2,] 1854.37 773.518 6483.433 2148.318 300.425 6190.890 4231.205 3634.922
[3,] 4228.50 1485.887 2890.945 3163.364 411.562 5313.553 4141.460 5113.239
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.771 7.08 1.531 6.403 2.16 5.187 5.83 4.869
[2,] 4424.432 139.69 14.437 3854.818 588.08 1072.424 1317.85 3681.359
[3,] 4560.854 604.22 42.559 3623.373 591.57 2280.555 927.37 1015.186
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.237 3.089 7.434 6.62 7.048 2.911 7.749 5.847
[2,] 4304.584 213.318 3199.138 780.63 3486.109 72.877 251.930 5461.057
[3,] 1468.534 96.835 971.254 838.56 3341.111 23.639 1189.797 329.156
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.945 8.612 11.42 8.296 6.175 2.331 5.681 5.286
[2,] 4156.104 6853.683 3270.31 7021.092 6648.432 234.983 5268.792 683.225
[3,] 1058.049 1006.828 4907.63 4529.993 6341.909 280.615 6866.681 307.834
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.066 4.084 4.585 3.193 5.373 6.078 13.57 11.08
[2,] 3802.264 683.953 1079.820 645.016 3078.269 94.874 660.79 1226.70
[3,] 6124.363 867.679 1333.358 509.903 2466.003 137.182 2111.34 3389.19
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.634 3.926 5.779 5.591 5.454 4.538 1.212 3.045
[2,] 2323.791 3783.489 1447.970 1625.196 1747.856 357.279 378.003 196.877
[3,] 2867.278 1298.633 2092.251 2220.687 1789.917 166.685 289.411 426.186
[,97] [,98]
[1,] 25.14 16.68
[2,] 16835.03 3662.94
[3,] 6854.56 6778.54
[1] "--- VAR model 2017-10-01 13:01:00 completed"
[1] "Completed training sample: 2017-10-01 13:01:00 - 2017-10-01 21:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 13:31:00 - 2017-10-01 21:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2399 -0.1851 -45.71 -44.41
-0.1956 -0.2182 -43.61 -40.71
-0.1849 0.1095 -45.53 -42.16
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-44.74 0.99932 -0.06711 -2.664
-42.14 0.09665 -0.81880 -3.385
-40.63 0.32575 -0.27640 -2.775
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.24128 -8.887 0.55168 -14.43
-1.09483 -3.112 -0.53593 -13.30
-0.04638 -4.454 -0.00545 -14.06
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.2550 -4.167 -4.613 2.0111
-0.2632 -8.367 -4.167 0.8418
-0.4574 -6.303 -3.303 0.7009
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.384 -12.386 -5.4174 2.268
-6.741 -2.365 -5.7406 -2.336
-6.221 -8.651 -0.8807 5.011
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-49.59 -3.326 -92.72 -43.84
-48.62 -3.379 -92.76 -43.93
-48.42 -3.120 -91.45 -43.54
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.731 -45.73 -47.32 -8.243
-3.805 -45.33 -44.72 -7.875
-3.995 -45.03 -46.31 -8.357
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-46.53 -4.877 -44.63 -17.10
-44.19 -5.173 -45.15 -15.60
-43.92 -4.987 -42.02 -16.83
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.465 -45.6 -44.42 -44.61
-8.770 -43.8 -43.05 -43.63
-8.717 -40.8 -42.64 -43.83
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.27637 -0.6071 -0.3859 0.12934
0.33368 -3.2249 -0.3861 0.05442
0.05668 0.7540 -1.1804 -0.04589
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5193 -0.08703 -25.39 -30.44
0.2621 0.02167 -25.13 -30.06
0.1367 -0.01062 -25.32 -28.03
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.2320 -2.018 -18.52 7.193
0.5520 -1.515 -18.85 4.077
-0.8873 -1.707 -20.64 3.690
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.86806 -0.6002 -13.722 3.281
0.06468 1.1893 -11.233 2.962
2.16050 1.2799 -9.345 2.599
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.24996 -9.617 -6.246 -6.393
0.13767 -12.322 -7.112 -7.771
0.09072 -7.631 -6.611 -9.374
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.927 0.8871 0.003334 -5.562
-7.056 0.3416 0.023962 -1.941
-7.769 -0.4015 0.013853 -7.341
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7710 -2.927 -0.5966 -8.3230
-0.5590 -1.054 -0.2102 -2.8908
-0.5771 -4.661 -0.4049 0.1407
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.599 -0.3419 -7.65646 0.7830
-2.461 -0.1961 -3.73730 0.4056
-1.449 -0.2213 -0.01775 0.3281
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.0799 0.006423 -0.54157 -0.1011
-6.3039 0.025986 -0.21994 -0.8741
-0.3494 -0.026209 -0.08793 -0.2093
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.6441 -5.4639 10.508 1.478
-1.0475 -0.5318 7.627 4.606
-0.9311 -0.8811 8.640 1.959
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.376 0.18572 2.655 -0.5372
2.258 0.08984 1.882 -0.2064
3.232 0.03260 3.213 -0.3800
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.206 0.4979 -0.9463 -0.06216
2.620 0.2646 -2.2784 -0.16562
2.784 0.3509 -2.3176 -0.47781
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.1755 0.1001 -1.3100 -3.2648
-0.4503 -0.2470 -0.5632 4.5925
-1.9057 -0.3161 0.1616 0.6286
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5200 2.2211 -0.01923 1.058
1.3748 0.8269 0.19962 1.444
0.6609 1.3986 0.07022 1.759
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.2936 0.3055 -7.342 -1.0954
0.6205 -0.2172 -6.700 -0.9363
-2.5202 -0.2786 -6.962 -0.3973
rnd_95776.volume rnd_95787.volume
-35.34 -40.84
-15.38 -45.64
-28.10 -42.74
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.085 4.11 23.83 10.42 10.15 1.714 2.544 6.847 7.739 5.719 5.118
[2,] 6.109 4.11 25.16 11.58 10.58 1.722 2.551 6.857 7.811 7.778 5.381
[3,] 6.119 4.12 26.85 11.65 11.03 1.810 2.605 7.082 8.054 7.887 5.703
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.155 4.505 4.990 12.28 5.875 9.584 5.645 13.08 9.132 13.58 4.716
[2,] 5.570 4.509 5.882 12.45 6.009 9.820 6.999 14.06 9.694 14.16 4.793
[3,] 5.708 4.643 6.282 13.72 6.048 9.928 7.451 14.24 10.309 15.53 5.488
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 21.55 11.12 0.8023 10.37 10.81 1.494 9.704 0.6742 10.26 2.480 1.655
[2,] 26.23 12.03 0.8210 10.93 12.14 1.546 10.657 0.6922 11.15 2.529 1.717
[3,] 26.89 12.23 0.8691 11.97 12.43 1.641 11.193 0.7243 12.04 2.642 1.766
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.15 10.73 9.337 6.317 5.446 6.209 2.365 4.817 1.859 6.257 6.856
[2,] 10.68 11.54 10.106 6.342 6.089 6.223 2.365 4.834 1.864 6.450 7.311
[3,] 11.28 11.81 10.468 6.377 6.316 6.305 2.368 4.957 1.865 6.640 7.397
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.280 2.312 4.702 7.714 8.340 4.444 7.269 6.608 2.481 5.871 5.493
[2,] 4.987 2.361 4.778 7.715 8.479 4.500 8.459 6.861 2.492 8.241 6.732
[3,] 5.091 2.471 4.865 8.476 9.408 4.630 8.965 7.386 2.527 8.967 7.402
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.880 3.647 5.714 1.182 4.964 1.655 4.020 4.478 3.818 6.379 2.391
[2,] 5.944 5.274 5.740 1.182 6.037 1.727 4.132 4.643 4.995 7.355 2.399
[3,] 7.458 6.688 5.793 1.183 6.872 1.801 4.567 4.706 5.073 7.484 2.401
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.809 5.108 5.448 2.27 5.911 4.485 6.862 6.398 9.107 8.54 4.532
[2,] 6.439 5.153 6.177 2.27 5.913 6.526 7.697 8.881 9.580 9.07 7.495
[3,] 6.492 5.206 6.809 2.27 5.981 6.531 7.729 8.911 10.399 10.41 9.217
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.832 4.365 4.089 5.464 3.115 3.512 2.392 4.077 4.749 10.30 8.728
[2,] 1.849 7.210 4.131 6.438 3.170 3.671 2.449 4.904 4.750 10.31 8.768
[3,] 1.864 7.957 4.139 8.007 3.263 3.837 2.484 5.335 4.751 10.46 9.158
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.708 2.883 4.435 4.334 4.253 3.447 0.8899 2.381 20.08 11.61
[2,] 3.390 4.484 4.605 4.575 4.548 3.460 0.9214 2.387 24.69 11.62
[3,] 4.287 4.630 4.957 4.982 4.800 3.461 0.9595 2.419 25.44 12.05
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.727 5.219 30.26 13.23 12.89 2.176 3.231 8.695
[2,] 647.878 73.245 9638.35 6037.98 3559.18 198.226 218.966 438.311
[3,] 417.332 345.891 11221.60 1596.49 3747.24 668.082 631.162 2119.734
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.828 7.262 6.498 5.277 5.721 6.336 15.59 7.46
[2,] 1261.991 6304.667 1990.110 4434.642 222.044 3723.729 2482.00 1510.51
[3,] 2346.956 1563.963 2258.067 1496.817 1321.037 2640.179 6893.72 821.87
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 12.17 7.168 16.61 11.6 17.25 5.988 27.36 14.12
[2,] 2557.16 4948.444 6171.14 3891.3 4766.68 1024.285 17882.22 5471.06
[3,] 1751.35 3055.331 2705.33 4193.8 7630.35 3196.207 7078.55 2681.10
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.019 13.16 13.72 1.898 12.32 0.8561 13.02 3.149
[2,] 208.501 4158.07 6614.31 472.989 5267.89 187.7143 5242.04 591.148
[3,] 341.016 5827.67 3199.87 660.389 4091.93 254.7708 5433.89 914.088
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.101 12.89 13.62 11.86 8.022 6.916 7.884 3.003
[2,] 546.131 3992.01 5081.71 4624.17 669.636 3256.077 502.881 21.638
[3,] 497.970 4339.81 2996.84 3262.74 800.316 2006.563 1209.585 135.803
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.117 2.361 7.946 8.706 5.435 2.936 5.971 9.795
[2,] 471.330 160.995 1871.677 3038.670 3061.119 571.872 1011.707 151.742
[3,] 1317.010 50.581 1883.746 1346.005 1224.188 870.003 1094.133 4198.388
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.59 5.643 9.231 8.391 3.15 7.456 6.975 6.196
[2,] 1824.93 851.260 5173.408 2208.062 286.71 6915.679 4654.477 4058.977
[3,] 4876.77 1302.258 3550.410 3270.782 502.58 4226.288 3680.440 5386.181
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.631 7.256 1.501 6.303 2.101 5.105 5.687 4.849
[2,] 4556.022 654.303 4.859 4108.657 593.046 1142.545 1466.000 3850.210
[3,] 4917.907 931.611 33.899 3925.473 610.320 2327.202 915.260 1062.176
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.101 3.036 7.376 6.487 6.918 2.882 7.506 5.696
[2,] 4376.542 230.154 3323.470 804.135 3481.913 17.537 196.679 5668.171
[3,] 1658.395 121.458 987.135 888.723 3425.168 2.275 1073.300 312.907
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.713 8.125 11.56 10.84 5.755 2.326 5.543 5.193
[2,] 4169.598 7365.331 3558.60 3652.47 7138.763 301.595 6863.150 697.799
[3,] 843.689 871.077 4836.54 6106.31 6415.864 280.165 4023.524 311.112
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.938 3.956 4.46 3.038 5.177 6.031 13.08 11.08
[2,] 4071.804 699.040 1275.96 624.081 3258.536 81.320 452.14 1004.64
[3,] 5692.597 927.940 1337.39 495.656 2514.024 140.314 2158.10 3163.27
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.439 3.661 5.632 5.503 5.401 4.377 1.13 3.024
[2,] 2438.914 4107.244 1482.370 1754.662 1927.082 357.375 285.84 210.134
[3,] 3138.640 1378.141 2193.784 2358.631 1836.311 111.515 320.03 465.809
[,97] [,98]
[1,] 25.49 14.75
[2,] 17190.03 324.96
[3,] 7335.08 3825.36
[1] "--- VAR model 2017-10-01 13:31:00 completed"
[1] "Completed training sample: 2017-10-01 13:31:00 - 2017-10-01 21:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 14:01:00 - 2017-10-01 22:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2835 0.1574 -42.14 -38.90
-0.4637 -0.2497 -41.12 -40.11
-0.2632 0.1011 -40.00 -37.89
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-39.11 0.47297 0.5320 -2.531
-39.04 -0.02572 0.7481 -4.293
-38.81 -0.10047 0.1699 -3.208
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.349 -9.322 -0.2245 -16.15
-3.580 -3.612 2.2611 -13.80
-4.903 -6.028 0.7752 -13.91
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.1284 -10.400 -4.548 0.6687
1.0182 -9.108 -4.785 1.7213
0.5083 -7.344 -3.387 0.2702
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.975 -3.171 0.7536 5.689
-9.529 -9.419 -2.1806 9.803
-8.592 -7.933 -4.6023 7.173
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-41.30 -4.010 -89.97 -39.62
-39.83 -4.272 -82.24 -36.98
-38.63 -4.357 -81.56 -38.70
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.052 -41.72 -46.73 -6.597
-3.369 -39.95 -43.11 -6.924
-3.398 -39.53 -40.90 -7.456
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-42.02 -4.301 -40.72 -15.44
-42.82 -4.110 -41.72 -16.22
-40.18 -4.281 -39.82 -15.90
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.297 -39.00 -40.03 -42.29
-7.932 -40.06 -38.67 -40.56
-7.955 -38.78 -40.37 -39.82
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.24015 2.1881 -0.2400 -0.00714
-0.15301 -3.8909 -0.4631 -0.07495
-0.02418 -0.8219 -0.3506 -0.04582
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.11596 -0.063244 -22.50 -25.61
-0.14336 0.001083 -21.91 -28.02
-0.04847 0.002136 -23.67 -26.88
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.529 -2.347 -17.34 3.6020
2.298 -1.875 -15.69 -1.0937
2.861 -1.583 -17.96 -0.1447
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1830 -3.428 -10.55 1.032
-3.1060 -2.155 -11.19 1.858
0.7534 -1.885 -12.50 1.915
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.032 -12.69 -7.685 -8.832
-1.051 -11.80 -8.437 -10.185
-1.148 -13.90 -8.510 -9.284
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.428 -0.2033 -0.0151153 -7.364
-7.618 -0.8980 -0.0225558 -5.975
-8.081 -1.0224 -0.0003252 -9.326
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.04152 -3.022 -0.5147 -3.196
-0.07582 -3.587 -1.2952 -3.889
-0.03032 -5.166 -0.6909 -3.534
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.220 -0.4856 -1.779 0.5575
-3.310 -0.5464 -4.589 0.8538
-4.434 -0.4516 -2.696 0.7690
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.921 0.03304 -0.5402 -1.7621
-5.631 -0.03148 -0.6046 -0.7177
-2.396 -0.04046 -0.2625 -0.7946
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.5878 -4.305 13.43 0.02742
-0.6879 -1.082 12.11 -0.25094
-0.9632 -1.197 12.28 -1.24582
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.8255 -0.07566 -1.7307 -0.3723
4.0819 -0.04881 0.8777 0.3200
5.5673 -0.01514 1.1117 -0.2272
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.934 0.7579 -2.478 -0.4149
1.161 -0.4203 -2.112 0.2064
3.339 -0.2722 -2.094 -0.6298
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.90090 0.03051 -0.2112 -3.183
0.07798 -0.01373 -0.8763 -2.378
-2.85647 -0.03978 0.4658 -1.449
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.6941054 0.9086 -0.3507 -0.40840
-0.0002067 -0.3278 0.8633 -0.55780
0.1000724 -0.1921 1.3231 0.05809
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.930 -0.4387 -6.238 0.2896
-1.771 0.2113 -5.977 0.2644
-2.928 0.2564 -5.854 0.1487
rnd_95776.volume rnd_95787.volume
-36.47 -39.14
-41.40 -37.11
-41.62 -38.52
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.983 4.027 23.71 10.06 9.569 1.743 2.521 6.703 7.758 5.631 5.085
[2,] 6.017 4.027 25.02 10.91 10.021 1.749 2.527 6.722 7.827 7.655 5.368
[3,] 6.026 4.040 26.71 11.08 10.426 1.837 2.591 6.942 8.070 7.769 5.688
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.084 4.385 5.407 12.19 5.655 8.811 5.757 12.58 9.158 11.79 4.274
[2,] 5.511 4.387 6.606 12.35 5.774 9.333 7.039 13.71 9.720 11.96 4.276
[3,] 5.659 4.496 7.195 13.60 5.868 9.706 7.710 13.90 10.362 12.37 4.444
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 20.61 10.76 0.7411 9.883 10.50 1.489 9.35 0.6674 9.784 2.454 1.595
[2,] 24.44 11.45 0.7555 10.505 11.69 1.593 10.25 0.6887 10.759 2.529 1.666
[3,] 24.68 11.58 0.8106 11.367 12.14 1.709 10.75 0.7228 11.248 2.704 1.716
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.898 10.24 8.907 6.143 5.292 6.068 2.305 4.727 1.859 5.827 6.555
[2,] 10.414 10.92 9.687 6.164 5.881 6.084 2.306 4.749 1.862 5.971 6.927
[3,] 11.001 11.11 10.053 6.190 6.133 6.175 2.306 4.866 1.863 6.092 7.012
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.220 2.281 4.626 7.650 8.013 4.409 7.378 6.545 2.238 5.598 5.275
[2,] 4.891 2.332 4.720 7.654 8.152 4.461 8.871 6.841 2.338 8.755 6.608
[3,] 5.006 2.436 4.809 8.387 8.884 4.604 9.067 7.361 2.348 9.181 7.497
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.778 3.475 5.607 1.158 4.882 1.636 3.971 4.309 3.709 6.282 2.293
[2,] 5.906 5.179 5.627 1.158 5.893 1.701 4.087 4.440 4.891 7.326 2.318
[3,] 7.844 6.678 5.687 1.158 6.866 1.767 4.506 4.515 4.976 7.436 2.325
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.539 4.953 5.269 2.171 5.784 4.290 6.660 6.203 9.018 8.382 4.315
[2,] 6.157 4.996 5.985 2.171 5.786 6.550 7.476 8.645 9.450 8.956 7.347
[3,] 6.214 5.049 6.627 2.171 5.852 6.555 7.513 8.680 10.299 10.194 9.139
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.795 4.267 4.009 5.213 3.036 3.458 2.302 3.991 4.659 9.979 8.443
[2,] 1.811 7.198 4.041 6.197 3.083 3.635 2.365 4.831 4.661 9.997 8.516
[3,] 1.826 7.903 4.052 7.859 3.189 3.862 2.399 5.258 4.664 10.144 8.764
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.379 2.752 4.289 4.254 4.218 3.334 0.8688 2.346 24.79 11.00
[2,] 3.147 4.387 4.444 4.459 4.558 3.340 0.8880 2.353 25.80 11.18
[3,] 4.111 4.508 4.795 4.862 4.827 3.341 0.9276 2.390 29.87 11.52
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.598 5.114 30.11 12.77 12.15 2.213 3.201 8.511
[2,] 768.098 41.166 9650.24 5106.63 3589.79 185.753 210.876 614.109
[3,] 404.384 394.468 11300.12 2314.78 3476.08 677.811 689.923 2094.956
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.851 7.151 6.457 5.186 5.568 6.866 15.48 7.18
[2,] 1247.812 6260.867 2076.047 4468.281 174.341 4583.440 2447.28 1410.32
[3,] 2376.114 1599.288 2272.050 1553.058 1186.524 3441.655 6856.27 1261.86
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 11.19 7.31 15.97 11.63 14.97 5.427 26.18 13.67
[2,] 3716.00 4890.03 6603.71 3930.12 2430.36 157.185 15848.55 4730.97
[3,] 3215.77 3799.11 2768.82 4336.95 3827.01 1461.750 4167.24 2080.92
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9411 12.55 13.33 1.89 11.87 0.8475 12.42 3.117
[2,] 177.2831 4300.58 6199.79 683.87 5081.90 204.9887 5401.56 733.926
[3,] 354.7878 5242.06 3954.23 748.11 3908.92 265.0267 3964.35 1158.268
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.026 12.57 13 11.31 7.801 6.72 7.706 2.927
[2,] 579.760 3910.14 4574 4596.67 605.631 3097.61 520.917 57.875
[3,] 494.312 4280.62 2484 3244.38 688.671 2102.45 1274.366 78.936
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.002 2.361 7.4 8.324 5.359 2.896 5.874 9.715
[2,] 559.287 128.560 1570.0 2704.596 2983.954 588.329 1131.866 279.105
[3,] 1275.836 66.295 1461.9 1315.082 1288.348 848.348 1113.657 4138.980
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.18 5.599 9.369 8.311 2.842 7.109 6.698 6.067
[2,] 1809.90 821.794 5945.764 2404.884 814.842 8127.043 4804.372 4190.713
[3,] 4261.47 1370.278 2267.516 3279.863 259.127 3339.571 4275.287 6232.484
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.413 7.12 1.471 6.199 2.077 5.043 5.472 4.71
[2,] 4635.978 582.89 6.107 3985.365 561.530 1166.046 1290.797 3848.40
[3,] 5090.600 994.07 21.196 4253.215 576.532 2289.677 993.092 1104.42
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.977 2.912 7.034 6.29 6.69 2.757 7.345 5.448
[2,] 4550.913 405.847 3245.286 785.72 3428.71 50.049 186.755 5975.500
[3,] 1538.853 230.283 1010.693 882.87 3435.68 14.529 1058.314 329.300
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.457 7.877 11.45 10.64 5.479 2.279 5.418 5.091
[2,] 4100.652 7270.357 3408.98 3808.03 7179.319 287.827 6998.533 605.654
[3,] 894.130 939.878 4943.04 5879.24 6561.766 286.185 3938.969 371.783
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.62 3.855 4.391 2.923 5.067 5.917 12.67 10.72
[2,] 4045.29 648.708 1351.687 653.662 3287.803 153.963 737.61 1345.02
[3,] 5836.01 983.638 1574.082 488.328 2504.129 199.995 2076.46 2498.73
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.021 3.494 5.446 5.402 5.357 4.234 1.103 2.979
[2,] 2487.564 4124.748 1406.699 1612.856 2083.920 229.030 221.877 227.720
[3,] 3193.319 1255.768 2172.506 2340.660 1917.321 107.574 323.723 504.916
[,97] [,98]
[1,] 31.48 13.97
[2,] 8634.14 2378.46
[3,] 18160.88 3377.74
[1] "--- VAR model 2017-10-01 14:01:00 completed"
[1] "Completed training sample: 2017-10-01 14:01:00 - 2017-10-01 22:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 14:31:00 - 2017-10-01 22:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1710 -0.002926 -36.18 -32.00
0.3346 0.339856 -34.28 -31.23
-0.2142 -0.243402 -35.53 -30.89
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-31.82 -0.3904 0.5116 -0.2258
-33.08 -0.5805 1.0471 -0.6650
-32.27 -0.4121 0.8725 -0.1100
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.42000 -0.9711 -0.4421 -7.596
-1.13199 -0.4604 -0.8328 -9.135
0.06608 -0.5859 -0.9975 -9.137
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6733 -3.138 -3.205 0.5834
-0.2542 -3.229 -2.842 1.2574
-0.3263 -2.707 -2.193 1.2896
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.5428 -8.438 -8.1429 3.087
-0.4343 -2.846 -3.8272 2.881
-4.0845 -1.678 -0.9189 5.032
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-35.99 -3.552 -74.14 -34.33
-32.95 -3.727 -72.89 -33.43
-33.11 -3.422 -68.48 -32.41
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.444 -33.81 -38.15 -4.922
-2.529 -34.71 -36.17 -4.742
-2.605 -34.40 -35.50 -5.121
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-36.38 -3.216 -31.41 -12.38
-34.45 -3.255 -34.85 -12.21
-34.00 -3.324 -33.20 -12.46
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.536 -30.67 -33.54 -36.01
-6.591 -33.64 -33.09 -30.32
-6.636 -31.97 -32.59 -33.51
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6146 -5.626 0.60754 0.0136095
0.4667 -3.200 0.02955 0.0436278
0.5894 -1.331 -0.50132 -0.0004677
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.01724 0.0233151 -19.43 -23.50
0.12749 0.0014499 -19.80 -24.13
0.08158 -0.0007581 -19.84 -21.94
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.2662 -0.04453 -15.52 3.039
0.8924 0.25871 -14.44 2.097
0.7917 0.30004 -14.15 2.398
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.7030 -3.141 -10.13 0.05069
-0.0516 -3.227 -14.43 0.34020
0.9093 -2.452 -13.02 0.37392
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9851 -11.27 -11.103 -10.865
-1.0515 -11.30 -8.154 -8.937
-0.9678 -12.41 -10.839 -9.405
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.097 -0.2317 -0.00849125 -4.865
-10.744 -0.6352 0.00001537 -8.461
-7.797 0.2814 -0.00026336 -9.412
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3649 -5.333 -0.0929 -0.9332
-0.2659 -4.851 0.1057 -5.5858
-0.2107 -5.419 0.1860 -4.0102
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.780 -0.008349 -1.719 0.01955
-4.314 0.192907 -6.735 0.22737
-4.993 0.014503 -3.510 0.64912
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.513 0.05429 0.01414 -5.4135
-2.678 0.09091 -0.97852 0.3052
-4.341 0.04060 -0.47703 -1.1331
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.2355 0.8718 7.401 5.678
0.6758 0.7257 5.844 2.797
1.2114 0.6606 3.679 4.021
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.250 -0.032577 6.914 -0.28137
1.355 -0.004429 4.263 -0.27862
3.798 -0.003969 2.151 -0.05371
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.914 1.4381 -3.051 0.2859
3.499 0.7664 -1.845 -0.9561
1.160 0.6768 -2.672 -0.4720
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.6641 -0.188352 -1.2500 -1.6898
-4.5993 0.001425 0.6411 -0.8253
-0.7274 0.096883 -0.5567 -0.5493
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.1170 1.8539 -0.1928 0.3139
1.3942 0.3876 -0.1490 1.4240
0.0349 1.1441 0.1778 1.0863
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.311 0.05017 -5.084 -0.7179
-2.393 -0.11549 -4.882 -0.5885
-3.801 0.15119 -4.953 -0.5072
rnd_95776.volume rnd_95787.volume
-33.98 -33.76
-33.67 -32.60
-32.49 -32.26
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.969 3.918 23.44 9.869 8.963 1.763 2.455 6.403 7.417 5.497 5.021
[2,] 5.996 3.918 24.75 10.796 9.421 1.770 2.462 6.430 7.492 7.447 5.328
[3,] 6.008 3.927 26.39 11.085 9.779 1.853 2.518 6.592 7.720 7.547 5.662
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.932 4.300 5.271 11.55 4.784 6.690 5.539 10.52 8.610 12.49 3.357
[2,] 5.291 4.302 6.280 11.72 4.919 7.402 7.055 11.54 9.268 12.62 3.364
[3,] 5.433 4.420 6.869 12.98 5.067 8.038 7.526 11.80 9.838 12.93 3.428
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 20.43 10.58 0.7368 9.554 9.908 1.449 9.099 0.6837 9.295 2.257
[2,] 23.23 11.08 0.7536 10.246 11.225 1.545 9.863 0.7011 10.374 2.307
[3,] 23.58 11.20 0.8245 10.990 11.575 1.640 10.391 0.7581 10.969 2.462
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.474 9.349 9.752 8.458 5.952 5.324 5.876 2.253 4.519 1.811 5.469
[2,] 1.525 9.835 10.426 9.171 5.976 5.868 5.893 2.253 4.548 1.815 5.606
[3,] 1.577 10.549 10.722 9.571 5.993 6.106 5.971 2.253 4.648 1.816 5.747
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.103 4.208 2.219 4.482 7.517 7.850 4.306 8.118 6.315 2.181 5.917
[2,] 6.441 4.831 2.269 4.555 7.530 7.985 4.366 9.358 6.601 2.301 8.280
[3,] 6.511 4.955 2.373 4.649 8.157 8.858 4.531 9.803 7.108 2.311 8.810
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.185 4.682 3.294 5.444 1.158 4.835 1.601 3.931 4.188 3.640 6.187
[2,] 6.709 5.947 5.185 5.462 1.158 5.820 1.659 4.036 4.317 4.826 7.221
[3,] 7.520 7.465 6.680 5.530 1.158 6.967 1.720 4.464 4.391 4.915 7.350
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.285 5.414 4.785 5.156 2.132 5.709 4.303 6.473 6.058 8.702 8.182
[2,] 2.292 6.011 4.846 5.880 2.132 5.711 6.427 7.318 8.543 9.183 8.757
[3,] 2.295 6.086 4.888 6.535 2.133 5.781 6.432 7.350 8.574 9.742 9.994
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.187 1.790 4.184 3.924 5.323 3.031 3.373 2.230 3.821 4.548 9.512
[2,] 7.152 1.806 6.991 3.948 6.230 3.076 3.630 2.288 4.778 4.548 9.524
[3,] 9.020 1.819 7.721 3.965 7.795 3.178 3.858 2.323 5.148 4.551 9.611
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 8.241 2.328 2.702 4.183 4.166 4.148 3.239 0.8660 2.279 24.51 10.88
[2,] 8.295 3.103 4.293 4.320 4.362 4.460 3.245 0.8963 2.293 25.44 11.11
[3,] 8.561 4.007 4.420 4.662 4.738 4.705 3.247 0.9307 2.333 29.42 11.49
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.579 4.975 29.77 12.53 11.38 2.239 3.117 8.131
[2,] 665.451 46.865 9304.63 5128.30 3397.56 179.906 217.447 684.809
[3,] 441.220 312.443 10736.87 2944.55 3072.88 642.247 618.096 1701.338
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.418 6.98 6.376 4.993 5.461 6.693 14.67 6.075
[2,] 1246.818 5886.37 2087.025 4147.775 148.587 3998.883 2341.55 1336.490
[3,] 2179.909 1434.75 2245.073 1449.346 1185.319 3261.034 6531.48 1424.597
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.495 7.034 13.36 10.93 15.86 4.263 25.94 13.44
[2,] 3712.316 5117.749 5558.78 4019.18 2133.31 258.985 12951.92 3841.85
[3,] 3670.871 3071.955 2905.27 3865.86 3268.50 773.782 4734.48 1924.58
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9356 12.13 12.58 1.84 11.55 0.8682 11.8 2.866
[2,] 185.4980 4334.33 6180.96 627.45 4458.28 181.6291 5397.2 563.401
[3,] 391.7231 4659.20 3312.60 644.15 3831.99 338.0445 4173.0 1005.604
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.872 11.87 12.38 10.74 7.559 6.761 7.462 2.861
[2,] 457.685 3577.87 4319.66 4154.12 616.335 2889.408 515.237 39.562
[3,] 471.233 4468.74 2931.24 3208.91 533.800 1981.183 1125.022 36.581
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.739 2.30 6.945 7.749 5.344 2.818 5.692 9.546
[2,] 594.018 131.96 1443.541 2414.936 2780.583 552.457 948.481 509.064
[3,] 1126.378 69.02 1481.135 1108.701 1286.654 814.621 1090.816 3674.786
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 9.968 5.468 10.31 8.019 2.769 7.514 6.584 5.946
[2,] 1716.370 843.372 5454.10 2253.082 860.684 6785.426 4988.750 4295.711
[3,] 4492.379 1418.662 3418.53 3088.861 246.793 3526.783 3978.300 5286.112
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.182 6.913 1.470 6.14 2.033 4.992 5.318 4.622
[2,] 4692.028 521.148 2.713 3795.43 512.005 1070.359 1227.804 3712.980
[3,] 4933.350 1016.887 42.078 4485.71 530.452 2234.988 940.158 1086.345
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.857 2.902 6.876 6.076 6.547 2.708 7.249 5.464
[2,] 4361.132 206.435 3059.223 898.663 3313.344 23.763 207.837 5592.845
[3,] 1609.486 134.314 1113.326 753.236 3340.285 64.893 1049.261 302.653
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.22 7.693 11.05 10.39 5.317 2.273 5.312 4.982
[2,] 3997.52 7055.821 3435.73 3657.65 6793.633 285.072 6561.316 519.439
[3,] 801.11 854.913 3810.00 5641.85 6437.973 255.477 3840.261 421.761
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.759 3.849 4.283 2.831 4.852 5.775 12.08 10.46
[2,] 3792.272 615.372 1572.299 603.350 3361.649 38.492 554.64 1110.72
[3,] 5489.912 936.211 1531.600 471.590 2244.246 189.171 1515.89 2481.41
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.956 3.431 5.312 5.29 5.267 4.112 1.1 2.893
[2,] 2403.712 3907.658 1261.161 1513.75 1918.640 236.013 270.7 305.418
[3,] 2969.146 1233.972 2054.620 2167.37 1757.777 129.025 293.6 500.928
[,97] [,98]
[1,] 31.12 13.82
[2,] 8025.47 2620.47
[3,] 17293.71 3443.85
[1] "--- VAR model 2017-10-01 14:31:00 completed"
[1] "Completed training sample: 2017-10-01 14:31:00 - 2017-10-01 22:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 15:01:00 - 2017-10-01 23:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.28992 0.02434 -21.38 -25.78
0.35011 -0.06291 -19.83 -23.82
-0.02453 0.09686 -16.57 -22.91
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-25.39 0.08421 -0.06096 -0.6184
-23.42 0.30211 -0.21624 -0.9987
-23.28 0.28776 -0.21945 -1.7016
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.366 -7.119 -0.6870 -11.481
-2.459 -1.976 -0.2617 -8.611
-2.540 -2.675 -1.0581 -8.700
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1069 -7.562 -3.922 2.235
-0.8384 -6.741 -6.163 1.024
-0.5109 -4.915 -3.715 2.084
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.235 -0.5874 0.9998 2.595
-5.850 -3.8153 0.8867 3.660
-3.255 -4.9937 -2.0185 4.830
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-27.70 -2.424 -51.89 -25.51
-25.51 -2.780 -54.84 -25.48
-26.03 -3.049 -51.46 -24.29
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.910 -23.32 -28.45 -4.530
-1.774 -22.69 -26.03 -4.923
-1.856 -25.37 -26.03 -5.094
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-27.09 -2.624 -26.79 -9.768
-25.03 -2.491 -24.94 -9.507
-23.91 -2.468 -24.37 -9.654
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.259 -26.07 -22.07 -26.24
-4.982 -25.12 -25.16 -24.51
-4.995 -23.30 -24.04 -24.64
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.01087 -3.3894 -0.2508 0.02012
-0.01835 0.9658 0.1447 0.02675
-0.18367 0.1326 -0.3442 -0.04198
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4143 0.13397 -15.21 -18.33
0.7143 -0.03812 -14.97 -16.85
0.3513 -0.02111 -14.05 -16.77
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.3447 -0.3740 -9.952 4.266
0.9982 -0.5935 -10.519 6.340
1.1834 -0.2348 -11.615 4.822
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.84449 -0.1956 -4.693 2.867
-0.00353 -0.2111 -7.248 1.839
2.08924 -0.1829 -3.931 2.290
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05449 -0.5207 -4.214 -7.6612
-0.52008 -4.8269 -2.991 -0.5538
-0.30654 -4.4507 -4.482 -3.8741
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.233 0.2884 0 -0.9308
-4.135 -0.1706 0 -4.1752
-2.659 -0.1128 0 -2.1165
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.9153 -0.4756 0.7808 -3.7004
0.8280 -2.1314 0.8453 0.2728
0.5836 -1.5900 0.5097 -1.5450
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.1621 -0.06150 -3.7648 -0.38696
0.7374 -0.07946 -0.7304 -0.06621
-2.4714 -0.13089 -0.3212 -0.06161
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2573 0.0506325 0.89383 -0.6158
-3.3197 0.0366862 0.11190 1.3399
0.9415 0.0008365 0.06503 0.1421
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.4248 -2.706003 10.16 9.155
-0.8760 0.435537 10.16 6.325
-0.6928 -0.006136 7.24 6.189
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.961 0.003247 5.431 -0.4375
3.162 0.061834 6.702 -0.3139
6.006 0.045706 4.530 -0.0755
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.109 1.036 -1.1324 -0.66401
5.856 1.246 -0.4486 -0.49898
3.327 1.224 -1.3606 -0.03931
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.9144 0.05544 -0.3417 0.1481
-2.6479 -0.09972 1.0152 0.8351
0.4101 -0.08232 -0.6206 0.4304
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.08323 1.8866 0.4723 1.5277
1.28644 1.0838 0.9237 0.8708
1.26746 0.9145 0.2527 1.4957
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9987 -0.18645 -3.700 0.069774
-1.0827 0.06172 -3.781 -0.073845
-1.4535 0.11022 -3.791 0.004296
rnd_95776.volume rnd_95787.volume
-17.045 -21.44
-11.198 -22.23
-6.836 -23.78
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.730 3.754 21.24 9.349 8.431 1.777 2.412 6.231 7.282 5.363 4.902
[2,] 5.760 3.754 21.42 10.237 8.859 1.784 2.416 6.253 7.338 7.313 5.203
[3,] 5.768 3.759 21.53 10.560 9.264 1.863 2.472 6.380 7.588 7.413 5.532
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.793 4.192 5.220 6.199 4.646 6.640 5.335 10.32 8.745 11.53 3.066
[2,] 5.210 4.198 6.224 6.647 4.752 7.293 7.035 11.26 9.071 11.59 3.067
[3,] 5.340 4.307 6.761 7.197 4.885 7.932 7.378 11.49 9.773 11.87 3.103
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.58 10.24 0.7277 9.128 9.669 1.434 8.530 0.6618 8.956 2.104
[2,] 22.28 10.75 0.7464 9.803 11.023 1.529 9.374 0.6802 9.871 2.174
[3,] 22.63 10.89 0.8264 10.496 11.275 1.629 9.975 0.7253 10.545 2.290
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.406 9.030 9.128 8.027 5.794 5.021 5.658 2.197 4.261 1.755 5.253
[2,] 1.454 9.443 9.859 8.558 5.822 5.505 5.678 2.197 4.279 1.760 5.386
[3,] 1.499 10.141 10.183 8.997 5.844 5.815 5.749 2.197 4.373 1.762 5.509
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.799 4.120 2.134 4.512 7.309 7.461 4.187 7.817 6.139 2.138 5.921
[2,] 6.152 4.778 2.194 4.571 7.320 7.583 4.218 9.196 6.395 2.251 8.253
[3,] 6.222 4.857 2.290 4.630 7.996 8.389 4.381 9.542 6.893 2.259 8.761
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.939 4.671 2.823 4.913 1.127 4.552 1.564 3.897 3.837 3.524 6.060
[2,] 6.543 5.805 4.975 4.913 1.127 5.348 1.613 4.023 4.001 4.690 7.017
[3,] 7.327 7.068 6.354 4.937 1.127 6.741 1.667 4.404 4.036 4.820 7.177
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.187 5.283 4.633 5.007 2.081 5.628 4.150 6.191 5.821 8.533 8.062
[2,] 2.191 5.830 4.700 5.718 2.082 5.629 6.255 7.053 8.187 8.920 8.630
[3,] 2.198 5.925 4.758 6.266 2.083 5.692 6.260 7.093 8.226 9.404 9.843
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.143 1.772 4.128 3.792 5.251 2.928 3.338 2.170 3.684 4.383 9.173
[2,] 6.987 1.789 6.952 3.818 6.182 2.989 3.568 2.234 4.653 4.384 9.195
[3,] 8.734 1.801 7.656 3.838 7.706 3.076 3.821 2.269 4.990 4.384 9.284
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 8.008 2.233 2.661 4.103 4.044 4.079 3.119 0.8675 2.249 23.90 10.16
[2,] 8.037 3.014 4.195 4.224 4.218 4.385 3.125 0.9061 2.265 24.69 10.33
[3,] 8.269 3.900 4.306 4.535 4.592 4.547 3.129 0.9372 2.311 28.53 10.81
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.276 4.767 26.97 11.87 10.71 2.257 3.062 7.912
[2,] 675.135 17.959 3224.43 4809.12 3135.19 172.583 169.520 598.984
[3,] 347.559 239.105 2487.20 2990.21 3123.75 619.090 601.276 1460.974
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.248 6.81 6.225 4.817 5.323 6.628 7.871 5.9
[2,] 1038.961 5732.44 2010.266 4117.792 253.783 3909.429 2766.467 1150.8
[3,] 2225.500 1400.71 2166.910 1351.698 1109.330 3045.166 3182.522 1306.0
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.431 6.775 13.1 11.1 14.65 3.893 24.86 13
[2,] 3478.608 5287.385 5200.7 2779.2 1317.35 81.330 12256.16 3768
[3,] 3597.707 2563.358 2644.2 4193.0 2978.19 542.290 4585.27 2019
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9241 11.59 12.28 1.821 10.83 0.8404 11.37 2.671
[2,] 191.3351 4122.95 6102.02 613.741 4479.70 181.4420 4784.66 632.197
[3,] 408.8423 4324.06 2733.37 647.844 3932.59 290.1641 4278.08 828.730
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.785 11.47 11.59 10.19 7.357 6.376 7.184 2.789
[2,] 428.874 3183.35 4296.11 3424.04 660.745 2603.247 553.438 12.380
[3,] 420.445 4265.51 2935.96 3200.88 587.914 2158.075 1040.757 38.896
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.411 2.229 6.67 7.364 5.232 2.71 5.73 9.281
[2,] 455.877 152.518 1374.33 2365.632 2790.282 586.01 845.41 465.444
[3,] 1039.548 107.112 1330.08 1074.293 1002.495 754.87 846.41 3710.418
[,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 9.475 5.316 9.926 7.795 2.715 7.518 6.272
[2,] 1562.154 589.897 5585.179 2066.881 812.800 6630.133 4948.203
[3,] 4137.110 1363.638 2934.364 2966.297 214.755 3387.458 3802.466
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.932 3.585 6.239 1.431 5.781 1.986 4.949 4.873
[2,] 3973.913 4722.845 9.963 7.085 3237.425 455.624 1151.558 1305.397
[3,] 4648.641 4558.083 558.336 21.131 4730.624 484.825 2063.855 611.379
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.476 7.695 2.777 6.709 5.883 6.358 2.643 7.147
[2,] 3568.160 4079.263 155.064 2842.619 913.957 3184.375 35.316 108.174
[3,] 1281.313 1739.140 200.353 1220.663 850.503 2953.753 90.649 971.798
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.269 7.861 7.391 10.84 10.24 5.261 2.25 5.242
[2,] 5395.818 3897.406 6637.621 2998.35 3548.31 6486.137 282.56 6448.889
[3,] 304.645 860.927 923.374 3432.55 5457.64 6042.567 239.75 3697.957
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.815 6.668 3.718 4.239 2.756 4.679 5.565 11.65
[2,] 517.188 3760.684 691.323 1450.919 607.790 3276.179 114.199 732.42
[3,] 444.616 5305.410 839.258 1578.942 461.898 2080.268 54.150 1474.78
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 10.17 2.835 3.379 5.21 5.135 5.179 3.96 1.102
[2,] 784.74 2334.677 3738.995 1158.97 1382.740 1857.893 226.64 301.637
[3,] 2245.95 2852.601 1121.736 1900.97 2091.681 1386.257 193.98 276.312
[,96] [,97] [,98]
[1,] 2.856 30.35 12.91
[2,] 313.659 7124.69 2100.86
[3,] 529.536 16491.56 3689.49
[1] "--- VAR model 2017-10-01 15:01:00 completed"
[1] "Completed training sample: 2017-10-01 15:01:00 - 2017-10-01 23:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 15:31:00 - 2017-10-01 23:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1955 -0.14406 -25.57 -19.98
-0.2776 0.13493 -23.78 -22.18
-0.1994 -0.05043 -22.63 -21.52
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-21.28 0.3960 0.19372 -0.887937
-21.15 0.6194 0.21012 0.004149
-21.46 0.6204 0.05153 -0.594530
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.2821 -4.2754 -0.858 -5.348
-1.7409 -2.2088 -1.769 -7.026
-0.7567 -0.9949 -1.222 -5.373
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9528 -3.904 -2.118 1.78247
-1.0163 -5.632 -3.692 1.95450
-0.7878 -4.396 -3.209 0.06489
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8559 -2.136 1.0055 5.781
-0.6484 -1.277 -0.4124 5.127
-5.1569 -2.147 0.4269 5.626
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.76 -2.004 -51.98 -25.43
-23.15 -2.318 -47.70 -21.31
-23.20 -2.121 -48.73 -22.13
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.146 -24.38 -25.25 -2.647
-1.141 -23.88 -25.85 -2.799
-1.189 -22.05 -24.15 -3.099
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-23.01 -2.711 -23.09 -7.003
-23.23 -2.468 -23.36 -7.393
-23.60 -2.432 -23.46 -7.033
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.630 -20.26 -21.98 -21.31
-4.948 -20.89 -21.99 -21.55
-4.592 -22.50 -21.17 -21.83
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.28462 -0.8982 -0.40210 -0.13235
0.01791 -1.7513 0.14295 -0.03131
0.19274 -0.7554 -0.05313 0.10614
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.0392 -0.052030 -13.42 -15.51
0.5796 -0.013104 -13.12 -15.45
0.4325 0.001734 -13.48 -15.53
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.057 0.9812 -9.024 2.711
1.356 0.9762 -8.017 3.280
1.841 1.2648 -8.723 2.477
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.9973 0.7861 -3.927 -0.1907
3.4135 0.2012 -4.378 -0.5309
0.8156 0.5241 -4.314 -0.4983
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3523 -5.762 -4.828 -4.465
-0.2246 -3.491 -3.094 -4.616
-0.2907 -4.191 -3.053 -2.930
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.411 -0.1896 -0.013458 -5.314
-4.817 0.6049 0.003413 -4.062
-3.226 -0.1123 0.008077 -4.540
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5893 -3.176 -0.023427 -4.057
0.5376 -2.168 0.123096 -3.033
0.4280 -3.273 0.003649 -2.112
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.103 0.60086 -2.944 0.3935
-2.480 -0.07638 -3.151 0.3633
-2.497 0.08923 -2.245 0.1159
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.5974 -0.02980 -0.21281 1.97637
-4.3576 0.11122 0.05593 -0.25898
-2.2643 0.01844 0.13877 -0.03497
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2105 -0.5352 7.017 0.5008
-0.9701 -0.7762 6.871 3.1785
-0.3614 -0.1020 6.052 1.0364
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.428 0.14035 3.796 0.26065
4.324 0.08142 -1.414 0.07313
3.153 0.02431 3.397 -0.09161
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.467 0.98590 -1.1237 -0.17459
-2.658 0.80928 -0.5259 -0.09211
3.594 0.01455 -0.7809 -0.29821
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.6972 0.02196 0.2897 -0.6549
-2.7222 -0.01777 -0.5939 0.8667
-1.7293 -0.03367 0.2697 0.3455
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2388 0.7246 0.1700 -0.5649
0.6824 -0.1469 0.7242 0.8498
0.2320 0.8912 0.3998 0.1265
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.172 0.073468 -3.382 -0.6262
-1.076 -0.003621 -3.546 -0.5143
-1.382 0.006573 -3.461 -0.2716
rnd_95776.volume rnd_95787.volume
-8.401 -24.74
-10.658 -24.07
-7.740 -22.20
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.530 3.623 18.10 8.772 8.061 1.808 2.328 5.942 7.057 5.189 4.758
[2,] 5.553 3.623 18.19 9.682 8.671 1.815 2.333 5.961 7.103 7.056 5.093
[3,] 5.562 3.628 18.26 10.024 9.023 1.894 2.378 6.063 7.345 7.165 5.431
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.753 4.031 5.038 4.375 4.630 5.767 4.999 10.24 7.888 11.87 3.561
[2,] 5.083 4.040 5.936 5.073 4.769 6.440 6.833 11.10 8.497 11.95 3.606
[3,] 5.230 4.123 6.486 5.602 4.836 6.841 7.186 11.35 9.120 12.42 3.663
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.15 9.927 0.6915 8.802 9.158 1.395 8.042 0.6617 8.620 2.011
[2,] 22.13 10.468 0.7079 9.429 10.604 1.478 8.956 0.6760 9.516 2.069
[3,] 22.32 10.616 0.7813 10.249 10.861 1.573 9.527 0.7284 10.176 2.186
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.316 8.357 8.737 7.641 5.561 4.845 5.083 2.055 4.081 1.722 5.034
[2,] 1.369 8.793 9.463 8.216 5.575 5.330 5.083 2.057 4.101 1.727 5.214
[3,] 1.411 9.421 9.739 8.606 5.607 5.453 5.090 2.057 4.186 1.729 5.340
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.487 3.754 2.071 4.264 7.093 7.153 4.135 6.667 5.739 2.094 5.636
[2,] 5.827 4.301 2.129 4.333 7.101 7.203 4.163 8.097 5.857 2.193 7.561
[3,] 5.889 4.391 2.221 4.378 7.779 7.866 4.332 8.228 6.140 2.200 8.085
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.272 4.517 2.660 4.562 1.11 4.288 1.529 3.692 3.636 3.406 4.751
[2,] 5.956 5.576 5.140 4.563 1.11 4.982 1.576 3.807 3.779 4.478 5.774
[3,] 6.418 6.671 5.784 4.586 1.11 6.305 1.624 4.277 3.801 4.603 5.995
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.066 5.042 4.511 4.724 2.038 5.400 3.995 6.098 5.658 8.202 7.375
[2,] 2.084 5.567 4.581 5.531 2.039 5.400 6.031 6.866 7.871 8.606 7.927
[3,] 2.101 5.659 4.640 6.203 2.042 5.466 6.036 6.904 7.901 9.118 9.164
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.034 1.714 4.066 3.661 5.129 2.870 3.254 1.981 3.533 4.248 8.842
[2,] 6.783 1.736 6.547 3.694 6.028 2.938 3.451 2.043 4.508 4.249 8.868
[3,] 8.505 1.745 7.283 3.714 7.503 3.020 3.694 2.092 4.784 4.250 8.975
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.764 2.082 2.518 3.762 3.644 3.867 2.907 0.8525 2.228 22.89 9.90
[2,] 7.775 2.828 3.917 3.921 3.834 4.142 2.911 0.8906 2.245 23.68 10.06
[3,] 7.973 3.553 4.040 4.211 4.148 4.351 2.922 0.9221 2.294 27.23 10.56
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.022 4.601 22.99 11.14 10.24 2.296 2.956 7.546
[2,] 570.626 16.820 1995.46 4628.70 3608.91 173.703 175.210 537.148
[3,] 349.047 198.868 1777.70 2933.28 2818.36 612.902 520.999 1250.463
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 8.961 6.589 6.042 4.766 5.119 6.398 5.555
[2,] 913.777 5400.510 2053.243 3871.494 303.296 3545.706 2901.697
[3,] 2111.651 1401.149 2128.215 1386.784 930.249 2952.085 2682.026
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.879 7.323 6.348 13.01 10.02 15.07 4.521 24.31
[2,] 1288.536 3236.251 5261.510 4845.49 3568.19 1606.53 647.356 12537.76
[3,] 906.582 2605.754 2512.564 2668.44 3742.07 3807.83 724.181 3233.55
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 12.61 0.8781 11.18 11.63 1.772 10.21 0.8402 10.95
[2,] 3750.99 170.9524 3815.72 6036.63 549.466 4452.45 156.4740 4551.33
[3,] 1990.17 373.2550 4538.53 2656.40 610.274 3666.71 306.2234 4071.07
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.554 1.671 10.61 11.09 9.702 7.062 6.153 6.454
[2,] 547.331 425.743 3089.62 4105.47 3409.599 451.219 2508.492 63.248
[3,] 799.137 385.206 3816.97 2600.44 2892.889 672.018 1299.175 304.103
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.61 5.183 2.187 6.392 6.968 4.768 2.629 5.415
[2,] 82.10 457.890 144.405 1535.576 2216.063 2370.012 559.909 865.979
[3,] 22.83 945.095 90.494 1302.585 959.570 999.269 711.836 709.898
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 9.007 9.083 5.251 8.466 7.287 2.66 7.157 6.695
[2,] 375.260 960.654 542.509 5188.576 1322.515 735.81 5691.106 3128.658
[3,] 3586.805 3568.983 1351.656 1653.802 2079.658 194.47 3235.861 2701.130
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.736 3.378 5.794 1.409 5.445 1.941 4.689 4.617
[2,] 3692.995 4966.968 106.202 27.156 2864.152 431.587 1046.209 1165.612
[3,] 4134.196 2993.880 509.014 4.634 4364.967 444.847 2201.065 459.216
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.325 6.034 2.623 6.402 5.729 5.999 2.588 6.857
[2,] 3284.202 3705.358 311.597 2665.490 898.266 3249.311 45.660 5.472
[3,] 1199.345 1819.933 300.505 1147.343 829.388 3171.416 139.982 958.274
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.073 7.744 7.184 10.41 9.365 5.122 2.177 5.163
[2,] 5101.534 3563.179 6180.228 2941.65 3283.741 6157.899 307.119 5795.021
[3,] 301.029 817.707 774.223 3403.72 5191.575 5794.003 205.915 3603.657
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.648 6.513 3.645 4.133 2.516 4.487 5.394 11.23
[2,] 559.295 3577.152 710.401 1295.204 564.123 3161.436 136.286 764.63
[3,] 431.517 5043.678 788.963 1489.724 506.406 1807.486 92.180 1560.63
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.859 2.643 3.198 4.777 4.627 4.91 3.692 1.083
[2,] 469.478 2162.282 3388.803 1248.553 1347.479 1676.40 161.832 291.000
[3,] 1995.004 2429.020 1114.620 1734.864 1785.808 1504.48 293.766 269.599
[,96] [,97] [,98]
[1,] 2.829 29.06 12.57
[2,] 309.046 6861.31 2034.78
[3,] 535.451 15176.87 3600.90
[1] "--- VAR model 2017-10-01 15:31:00 completed"
[1] "Completed training sample: 2017-10-01 15:31:00 - 2017-10-01 23:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 16:01:00 - 2017-10-02 00:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.216446 -0.002713 -16.41 -17.13
-0.005047 -0.082922 -16.21 -14.47
-0.134985 0.068778 -17.69 -14.25
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.83 0.11292 0.09427 0.16836
-16.99 0.01003 0.58564 0.63772
-14.52 0.03261 0.47898 0.06251
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.8359 -1.4777 -1.1130 -5.156
-0.4972 -0.2055 -0.8486 -4.289
-1.0180 0.3090 -0.6404 -3.980
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1561 -3.883 -0.9816 0.48798
-0.5508 -4.293 -2.7609 -0.02818
-0.4042 -2.769 -1.5840 0.25151
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.449 -5.1436 -4.725 -3.3378
-2.895 -0.9674 -2.221 -2.1311
-2.835 -3.1955 -1.087 -0.9277
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.90 -1.820 -34.62 -17.37
-17.17 -1.502 -32.58 -16.03
-17.32 -1.700 -32.68 -15.77
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.068 -14.19 -17.92 -2.227
-1.048 -15.88 -17.06 -2.331
-1.136 -15.30 -16.81 -2.382
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.71 -1.561 -19.36 -5.139
-14.37 -1.641 -16.25 -4.805
-16.12 -1.733 -16.37 -4.710
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.454 -17.84 -18.18 -16.87
-3.359 -16.38 -17.03 -17.51
-3.120 -14.81 -14.73 -15.65
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.55192 -0.7515 -0.3101 -0.01342
0.31753 -1.6903 -0.3541 0.00354
-0.03071 -1.4237 -0.3353 0.03338
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.02297 0 -10.374 -11.57
-0.19861 0 -9.446 -12.11
-0.09454 0 -9.581 -11.64
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.06213 -0.6251 -6.673 -0.711041
-0.74001 -0.5416 -6.520 0.005322
-0.48918 -0.5627 -5.917 -0.337991
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.4578 -1.3237 -3.991 -0.4649
-0.7869 -0.8872 -3.415 -0.7622
-0.2871 -0.6836 -5.115 -0.7211
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6734 -7.690 -5.690 -4.384
-0.1185 -2.486 -3.795 -5.595
-0.3758 -4.988 -2.782 -2.038
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.337 -0.10402 0 -4.745
-5.450 0.30862 0 -5.044
-3.770 0.03005 0 -5.416
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.17271 -3.586 0.15216 -4.063
-0.03201 -3.168 0.05496 -3.341
-0.13439 -3.824 0.12820 -3.211
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.109 0.19167 -2.465 0.1616
-3.462 0.17487 -3.526 0.3254
-3.126 -0.04419 -3.354 0.2419
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.337 -0.04443 -0.03385 -2.73116
-3.409 0.07552 -0.48090 0.04296
-2.995 -0.01853 -0.30261 -0.52669
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.9035 -2.5160 1.7075 -0.54585
-0.1358 -0.3782 1.7051 -2.48643
-0.2733 -0.3193 0.9518 0.03096
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.1940 0.3831 2.919 0.2103
-1.9781 0.2449 -1.276 0.1974
0.8756 0.1746 -1.653 0.2684
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.6360 0.1088 -2.0702 -0.10507
0.2053 0.5934 -1.0703 -0.07384
-1.8967 -0.1659 -0.6092 -0.17740
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.3901 -0.0228939 -0.2705 -0.5110
-0.3208 0.0016278 0.5854 -0.2232
-1.4239 0.0005121 -0.2690 -0.1219
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.05038 -0.11346 -0.02334 0.02725
-0.10526 0.02306 0.01874 0.01632
-0.01787 -0.01053 0.15949 0.02884
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.903 0.10933 -2.369 -0.46781
-1.660 0.02273 -2.503 -0.12017
-1.548 -0.02680 -2.370 -0.03556
rnd_95776.volume rnd_95787.volume
-6.084 -14.92
-14.911 -15.40
-9.848 -15.38
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.307 3.439 17.80 8.162 7.420 1.787 2.252 5.707 6.839 5.054 4.609
[2,] 5.336 3.440 17.91 9.002 7.999 1.795 2.256 5.713 6.878 6.802 4.950
[3,] 5.353 3.440 17.98 9.192 8.435 1.867 2.295 5.824 7.139 6.894 5.270
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.515 3.800 4.899 4.200 4.526 5.535 4.756 9.381 7.296 11.37 3.673
[2,] 4.929 3.809 5.760 4.866 4.667 6.110 6.386 10.262 8.142 11.42 3.726
[3,] 5.009 3.877 6.306 5.400 4.778 6.773 6.734 10.485 8.762 11.80 3.804
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.16 9.152 0.6705 8.261 8.618 1.358 7.485 0.6530 8.148 1.964 1.283
[2,] 20.39 9.588 0.6907 8.873 9.903 1.430 8.465 0.6771 8.994 2.036 1.330
[3,] 20.70 9.851 0.7707 9.631 10.174 1.519 8.906 0.7307 9.527 2.147 1.370
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.745 8.054 7.035 5.180 4.642 4.762 1.975 3.973 1.642 4.608 5.341
[2,] 8.166 8.897 7.611 5.203 5.069 4.765 1.975 4.002 1.646 4.796 5.656
[3,] 8.869 9.209 7.886 5.234 5.203 4.766 1.975 4.089 1.648 4.881 5.726
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.552 1.975 4.201 6.618 6.836 4.062 6.324 5.271 2.072 5.113 4.700
[2,] 4.052 2.018 4.235 6.618 6.965 4.090 7.267 5.428 2.129 6.395 5.494
[3,] 4.214 2.112 4.278 7.328 7.452 4.254 7.551 5.692 2.155 7.114 5.916
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.251 2.644 4.485 1.077 4.020 1.352 3.468 3.580 3.320 4.495 1.921
[2,] 5.137 4.632 4.525 1.077 4.669 1.368 3.551 3.637 4.304 5.546 1.942
[3,] 5.829 5.314 4.561 1.077 5.842 1.376 3.951 3.681 4.366 5.719 1.968
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.756 4.051 4.574 1.980 5.165 3.811 5.730 5.282 8.043 7.096 3.910
[2,] 5.267 4.124 5.477 1.980 5.165 5.798 6.520 7.462 8.415 7.538 6.551
[3,] 5.325 4.161 5.902 1.984 5.245 5.803 6.567 7.493 8.958 8.833 8.223
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.672 3.990 3.585 4.996 2.777 3.147 1.848 3.442 3.984 8.383 7.535
[2,] 1.695 6.409 3.616 5.883 2.845 3.320 1.910 4.400 3.985 8.395 7.547
[3,] 1.707 7.037 3.635 7.256 2.930 3.455 1.923 4.653 3.986 8.437 7.722
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.812 2.199 3.527 3.491 3.675 2.672 0.8276 2.162 17.45 9.541
[2,] 2.595 3.688 3.687 3.722 3.956 2.672 0.8680 2.182 20.83 9.550
[3,] 3.233 3.825 3.922 3.956 4.168 2.687 0.8981 2.240 21.25 10.009
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.739 4.367 22.61 10.36 9.422 2.27 2.86 7.247
[2,] 679.225 64.571 2414.11 4592.61 3614.203 192.08 168.26 319.416
[3,] 508.034 54.297 1797.39 2254.49 3240.558 624.57 510.46 1368.769
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 8.684 6.418 5.853 4.464 4.825 6.221 5.333
[2,] 888.107 5507.969 2185.670 4181.010 319.317 3665.864 2972.478
[3,] 2314.059 1358.177 2185.956 1078.768 876.081 3106.011 2833.573
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.748 7.029 6.039 11.91 9.265 14.44 4.664 23.06
[2,] 1375.065 3130.870 5155.890 5031.29 4371.225 1195.80 758.254 11226.77
[3,] 1238.870 3536.503 2584.834 2603.97 3915.928 3614.03 929.383 4328.04
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 11.62 0.8514 10.49 10.94 1.725 9.505 0.8292 10.35
[2,] 3459.77 200.9343 3917.88 5902.31 541.221 4782.529 216.5951 4607.07
[3,] 2733.41 413.5060 4531.94 2823.32 618.995 3350.199 332.2688 3804.13
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.494 1.629 9.835 10.23 8.933 6.578 5.894 6.047
[2,] 647.033 424.025 3130.094 4573.16 3514.463 598.155 2463.961 203.366
[3,] 824.080 397.168 4187.383 2878.59 2495.421 684.536 1421.148 105.893
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.507 5.045 2.085 5.851 6.782 4.51 2.508 5.335
[2,] 64.155 585.289 140.035 1608.652 2250.832 2359.80 501.850 648.501
[3,] 17.028 1012.507 74.150 1100.241 1084.904 1400.53 751.415 730.876
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 8.404 8.68 5.158 8.03 6.693 2.631 6.493 5.969
[2,] 60.298 1616.06 574.903 4330.62 1568.059 590.707 4647.003 3440.539
[3,] 3806.154 3207.89 1415.086 2482.92 2072.985 400.850 3769.444 2655.131
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.398 3.357 5.695 1.367 5.105 1.716 4.404 4.546
[2,] 3488.991 4601.521 728.312 26.176 2872.949 254.750 918.232 778.627
[3,] 3333.647 3150.523 690.745 34.278 4247.842 182.531 2096.193 688.531
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.215 5.708 2.44 6.039 5.144 5.809 2.514 6.559
[2,] 3315.031 3930.308 339.57 2736.963 934.691 3645.352 2.445 51.332
[3,] 882.076 1689.326 388.20 948.839 674.327 2660.897 142.944 1103.201
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.839 7.277 6.707 10.21 9.011 4.965 2.124 5.067
[2,] 5286.766 3762.805 6377.647 2993.60 3075.404 6358.911 337.464 6068.190
[3,] 274.850 946.220 827.769 3715.59 5570.740 6012.532 239.374 3514.764
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.552 6.344 3.526 3.996 2.347 4.371 5.059 10.65
[2,] 577.721 3758.725 752.470 1279.699 583.673 3316.235 110.417 540.30
[3,] 444.277 5139.023 844.773 1159.484 270.590 1830.119 97.536 1015.36
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.568 2.302 2.793 4.479 4.433 4.666 3.393 1.051
[2,] 524.493 2247.371 3581.256 1298.729 1559.765 1772.688 25.729 316.524
[3,] 1975.726 2333.365 1227.444 1618.424 1624.124 1587.002 340.887 278.940
[,96] [,97] [,98]
[1,] 2.745 22.16 12.12
[2,] 363.149 13749.70 505.76
[3,] 608.544 5124.74 3627.20
[1] "--- VAR model 2017-10-01 16:01:00 completed"
[1] "Completed training sample: 2017-10-01 16:01:00 - 2017-10-02 00:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 16:31:00 - 2017-10-02 00:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.18730 0.02287 -15.06 -15.72
0.04558 -0.01290 -13.41 -15.45
0.08863 0.05850 -13.94 -14.36
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-15.19 0 0.1841 -0.3145
-14.94 0 0.5977 -0.2303
-14.67 0 0.2756 0.1219
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.590 -0.5210 0.5522 -4.557
-1.644 -1.2726 0.8189 -4.887
-1.412 -0.7542 0.6750 -4.471
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5160 -5.084 -3.722 -0.11154
-0.5800 -4.193 -2.071 0.80661
-0.4867 -3.786 -2.258 0.09986
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.249 -4.283 -3.902 -1.2613
-1.642 -3.504 -2.570 0.3641
-3.076 -1.926 -1.597 0.6365
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.08 -1.658 -32.00 -14.81
-14.76 -1.612 -30.87 -14.82
-15.59 -1.581 -29.02 -15.30
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.115 -15.96 -17.70 -2.228
-1.108 -14.99 -17.47 -2.246
-1.107 -14.88 -16.58 -2.282
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.72 -1.411 -15.26 -4.247
-16.16 -1.252 -15.31 -4.713
-15.04 -1.309 -15.94 -4.834
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.599 -14.89 -17.0 -15.96
-2.799 -14.98 -14.9 -15.21
-2.910 -14.80 -14.4 -15.05
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.48664 0.3976 -0.01415 0.003539
0.52118 -1.2593 0.52511 0.068533
0.09487 -0.6243 0.36962 -0.002867
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.1412 0 -8.578 -8.861
0.1681 0 -8.922 -10.167
0.1450 0 -8.430 -9.855
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3577 -0.6095 -6.067 2.803
0.1600 -0.5173 -6.146 3.242
0.5032 -0.5309 -5.851 2.551
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.05783 -0.04783 -3.271 0.6064
-0.12924 -0.79291 -3.416 0.9571
-0.10570 -0.84048 -3.328 0.9581
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2734 -2.296 -2.219 -3.490
-0.2468 -3.761 -2.301 -1.744
-0.1985 -2.730 -2.499 -2.823
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.507 0.5149 0 -4.897
-1.984 0.3337 0 -2.658
-2.188 0.3740 0 -1.732
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.10421 -3.176 -0.1290 -0.02649
-0.03971 -2.132 -0.2397 -3.24312
-0.22983 -1.296 -0.1384 -1.81322
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.9141 -0.05613 -0.5499 0
-3.3540 -0.06217 -3.4088 0
-1.9665 -0.06212 -2.3278 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.789 0.007116 -0.23093 0.80680
-1.237 -0.199007 0.01300 -0.28249
-2.981 -0.075963 0.09094 0.05739
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.63241 -0.090962 6.394 0.7321
-0.01667 -0.275617 5.366 3.3996
-0.15274 -0.005406 4.515 1.1635
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.2425 0 1.8956 -0.3680
4.1213 0 0.7403 -0.4057
2.4056 0 3.4206 -0.3506
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.2533 0.01829 -0.6826 0
0.4241 0.04429 -0.6127 0
3.7334 0.05210 -0.6536 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.2638 -0.047559 0.08660 -0.3357
-0.1433 -0.002642 0.15536 0.6770
-1.2370 0.003503 -0.07598 0.2273
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8175 0.1046 0.7065 0.3285
0.2085 0.5227 0.5181 0.4627
0.5340 0.4415 0.5154 0.3166
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.4639 0.03154 -2.102 -0.4856
-0.8186 0.09028 -1.985 -0.5001
-0.6088 0.09015 -2.024 -0.4337
rnd_95776.volume rnd_95787.volume
-9.096 -15.77
-7.680 -15.13
-8.663 -14.56
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.170 3.192 15.36 7.552 6.994 1.645 2.197 5.314 6.264 4.769 4.384
[2,] 5.196 3.194 15.50 8.168 7.515 1.647 2.201 5.329 6.323 6.472 4.638
[3,] 5.210 3.194 15.77 8.440 7.901 1.704 2.233 5.435 6.561 6.566 4.925
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.417 3.593 4.71 3.983 4.411 5.394 4.632 9.056 7.204 10.78 3.635
[2,] 4.635 3.604 5.47 4.595 4.530 5.950 6.103 9.899 8.014 10.82 3.680
[3,] 4.779 3.668 6.04 5.181 4.658 6.529 6.492 10.110 8.617 11.04 3.778
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.84 8.413 0.6417 7.355 7.957 1.294 7.005 0.6223 7.663 1.771 1.234
[2,] 18.54 8.869 0.6602 7.777 8.894 1.355 7.773 0.6436 8.440 1.846 1.298
[3,] 18.85 9.193 0.7389 8.584 9.146 1.441 8.177 0.6842 8.829 1.960 1.344
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.385 7.534 6.589 4.904 4.535 4.445 1.913 3.779 1.562 4.049 4.869
[2,] 7.776 8.128 7.067 4.932 5.002 4.445 1.915 3.817 1.564 4.212 5.145
[3,] 8.383 8.464 7.408 4.964 5.009 4.445 1.915 3.869 1.566 4.318 5.209
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.376 1.591 4.105 6.327 6.623 4.022 5.946 5.067 2.017 4.865 4.263
[2,] 3.879 1.592 4.163 6.327 6.832 4.050 6.847 5.218 2.082 6.505 4.985
[3,] 4.045 1.595 4.213 6.987 7.332 4.210 7.053 5.541 2.095 6.822 5.367
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.921 2.440 4.145 1.022 3.990 1.299 3.197 3.409 3.202 4.298 1.830
[2,] 4.781 4.179 4.158 1.022 4.179 1.323 3.241 3.451 4.088 5.218 1.841
[3,] 5.593 4.845 4.168 1.023 5.419 1.329 3.599 3.495 4.123 5.306 1.855
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.525 3.991 4.161 1.811 4.918 3.561 5.489 4.939 7.709 6.902 3.666
[2,] 5.024 4.030 5.168 1.837 4.922 5.579 6.155 7.130 8.153 7.398 6.176
[3,] 5.060 4.033 5.592 1.854 4.975 5.581 6.204 7.156 8.599 8.528 7.875
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.610 3.760 3.427 4.883 2.660 3.009 1.814 3.408 3.773 8.140 7.341
[2,] 1.635 6.133 3.455 5.731 2.732 3.177 1.814 4.314 3.775 8.145 7.346
[3,] 1.651 6.738 3.484 7.006 2.807 3.302 1.814 4.647 3.776 8.171 7.482
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.619 1.976 3.182 3.110 3.767 2.518 0.8240 2.113 18.03 8.413
[2,] 2.386 3.303 3.263 3.204 3.770 2.519 0.8635 2.131 19.44 8.575
[3,] 2.946 3.322 3.380 3.320 3.932 2.529 0.8964 2.197 19.79 8.960
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.565 4.053 19.51 9.59 8.881 2.089 2.79 6.748
[2,] 644.566 140.978 2534.77 3841.38 3393.602 115.481 159.22 498.201
[3,] 476.731 59.161 3599.85 2620.28 3011.720 535.485 463.71 1318.338
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 7.955 6.056 5.567 4.338 4.562 5.981 5.058
[2,] 1063.857 5401.086 1867.564 3866.558 355.097 3433.285 2828.010
[3,] 2160.743 1363.685 2044.664 1433.088 839.440 3159.580 2952.308
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.601 6.849 5.882 11.5 9.148 13.7 4.615 21.38
[2,] 1273.741 3099.823 4905.495 4933.3 4332.954 1094.1 712.797 9577.14
[3,] 1341.153 3319.824 2732.108 2536.6 3910.382 2715.3 1054.500 4170.15
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 10.68 0.8149 9.34 10.1 1.643 8.895 0.7902 9.73
[2,] 3464.60 191.1043 3118.97 4903.1 495.881 4157.033 202.8374 4365.90
[3,] 2985.31 409.6561 4483.79 2632.1 607.885 3132.556 286.6847 3199.73
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.249 1.567 9.378 9.567 8.367 6.227 5.759 5.644
[2,] 644.690 496.489 3005.569 3763.441 3155.151 647.596 2605.970 69.570
[3,] 813.384 431.098 3865.746 2918.143 2739.758 700.254 319.995 78.654
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.429 4.799 1.984 5.142 6.182 4.287 2.02 5.212
[2,] 99.244 658.396 95.695 1432.376 2055.036 2357.877 89.72 859.710
[3,] 12.673 784.065 103.202 1169.284 1002.513 1414.926 116.71 791.971
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 8.034 8.41 5.108 7.551 6.435 2.562 6.178 5.413
[2,] 61.291 2067.58 583.516 4191.331 1538.074 634.886 5328.908 3189.643
[3,] 3658.729 3286.83 1419.729 2087.639 2298.187 286.380 2539.438 2456.439
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.978 3.099 5.263 1.298 5.067 1.65 4.06 4.328
[2,] 3376.854 4187.600 413.695 19.025 1532.887 304.38 654.09 666.458
[3,] 3583.683 3024.981 352.420 51.101 4258.487 157.84 1931.48 679.227
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.067 5.457 2.324 5.747 5.068 5.284 2.3 6.245
[2,] 3135.747 3652.133 253.555 2691.820 684.733 3782.966 382.4 241.127
[3,] 659.723 1189.393 280.828 752.741 187.893 2636.382 308.0 898.277
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.522 6.97 6.272 9.79 8.765 4.656 2.044 4.774
[2,] 5300.216 3436.58 6347.063 3274.37 3285.759 6133.843 350.105 5980.720
[3,] 195.167 964.30 749.883 3373.58 5235.226 6030.884 283.574 3445.459
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.352 6.201 3.378 3.821 2.303 4.328 4.791 10.34
[2,] 534.369 3701.891 768.824 1255.625 5.569 3263.636 172.258 343.88
[3,] 555.677 4974.467 793.433 1110.249 35.640 2132.931 99.416 807.11
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.322 2.056 2.51 4.04 3.95 4.783 3.197 1.046
[2,] 308.415 2163.226 3266.71 891.05 947.04 202.666 98.023 318.898
[3,] 1757.838 2133.270 438.25 1089.38 1075.34 1376.308 280.526 296.855
[,96] [,97] [,98]
[1,] 2.683 22.89 10.68
[2,] 347.023 8980.32 2044.64
[3,] 656.350 4576.00 3209.00
[1] "--- VAR model 2017-10-01 16:31:00 completed"
[1] "Completed training sample: 2017-10-01 16:31:00 - 2017-10-02 00:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 17:01:00 - 2017-10-02 01:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.02368 -0.07184 -7.011 -8.804
0.05895 -0.01980 -7.806 -7.190
-0.07755 0.02006 -8.183 -7.989
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.392 0 -0.01766 0.4512
-9.149 0 -0.04962 -0.5300
-7.662 0 -0.15996 -0.3863
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.78945 -1.59205 0.7662 -2.814
-0.09378 0.04295 0.1567 -2.875
-0.23693 -0.87150 0.2580 -2.767
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.05895 -1.794 -1.4762 1.4695
0.15661 -2.749 -1.7751 0.2126
0.02534 -1.189 -0.9574 0.5149
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.4523 -1.88232 0.9082 5.07677
-1.8440 0.07585 0.3530 -0.06705
-1.0012 -1.61332 -0.7847 2.70368
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.707 0.2641 -21.47 -9.702
-7.948 -0.3557 -18.41 -8.863
-8.244 -0.6893 -18.23 -8.538
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.5680 -9.876 -11.331 -0.6778
-0.6698 -8.973 -10.282 -0.9382
-0.5807 -7.982 -9.524 -1.2259
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.082 -0.5743 -10.472 -1.705
-9.331 -0.4953 -11.205 -2.079
-9.047 -0.5131 -9.052 -2.395
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.737 -11.844 -9.115 -9.036
-1.787 -8.837 -9.364 -11.077
-1.778 -8.270 -9.211 -9.452
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.12089 1.8993 0.1684 -0.14254
0.13006 -0.1235 0.1783 0.03822
0.01879 -0.4547 0.5298 0.12113
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.8791 0.016692 -4.809 -6.815
0.6527 -0.002971 -4.582 -5.860
0.3321 0.020389 -4.771 -6.187
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0310 -0.2979 -3.155 0.6618
0.7525 -0.2715 -2.774 1.0355
0.5360 -0.3025 -3.213 1.2363
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.1563 0.8678 -1.972 0.55896
0.3362 0.1441 -1.276 -0.09081
0.4385 0.5392 -2.056 0.13522
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.31104 -2.4882 -1.2104 -2.0679
-0.04289 -0.1173 -1.4068 -1.7815
-0.16725 -1.5390 -0.7688 -0.2073
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.564 -0.009346 0.071559 -0.8995
-1.524 0.202391 -0.029073 -2.3165
-1.324 -0.125314 0.005327 -1.2479
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.09455 -0.4919 0.01895 -2.2304
-0.01105 -0.6024 -0.06488 -0.5139
-0.05569 -0.8936 -0.07943 -0.9223
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.0188 0 -0.4811 0
-0.3649 0 -1.1748 0
-1.1028 0 -0.5207 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.5990 0.024812 0.1848 1.57722
-2.8044 -0.000258 0.3974 0.04343
-0.2617 0.001184 0.3070 0.46188
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.0692 -0.47248 0.2814 -0.8900
0.4772 0.08158 1.3975 -0.0827
0.1720 0.09719 -0.1803 0.1467
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.5255 0 0.07359 0.6507
0.4734 0 -0.04463 0.4745
0.9351 0 -0.01061 0.2768
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.03857 0.9501 -0.4003 0
1.55882 0.3073 -0.4724 0
0.15307 0.1999 -0.1613 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.1131 0.047571 -0.1576 -0.15290
1.3181 0.005231 0.2202 -0.07647
-0.2094 -0.008102 -0.1058 -0.02670
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.01269 0.008157 0.09363 -0.16145
0.07868 -0.139277 0.18910 -0.17868
-0.02791 -0.113631 0.05060 -0.07855
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.01532 0 -1.144 -0.20553
-0.69574 0 -1.178 -0.01070
-0.41942 0 -1.235 0.04034
rnd_95776.volume rnd_95787.volume
-0.1355 -7.627
-4.7670 -8.451
-4.2136 -7.638
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.848 3.028 12.79 6.889 6.441 1.511 2.088 5.039 5.868 4.519 4.173
[2,] 4.882 3.032 13.06 7.547 6.827 1.515 2.093 5.064 5.910 6.053 4.384
[3,] 4.896 3.034 13.50 7.760 7.192 1.557 2.137 5.156 6.167 6.156 4.657
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.446 3.467 4.077 3.833 4.327 5.216 4.448 6.011 6.457 10.33 3.649
[2,] 4.341 3.478 4.548 4.355 4.459 5.841 5.784 6.775 7.478 10.37 3.694
[3,] 4.463 3.559 4.915 4.848 4.594 6.356 6.174 7.183 8.071 10.56 3.794
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.12 7.831 0.6250 7.011 7.423 1.281 6.350 0.6011 7.041 1.711 1.130
[2,] 16.91 8.204 0.6541 7.361 8.230 1.344 7.175 0.6217 7.781 1.788 1.189
[3,] 17.14 8.529 0.7237 8.118 8.459 1.444 7.441 0.6609 8.106 1.910 1.253
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.756 7.043 6.047 4.694 4.276 4.457 1.764 3.664 1.424 3.680 4.380
[2,] 7.125 7.623 6.502 4.728 4.733 4.473 1.768 3.711 1.424 3.895 4.608
[3,] 7.756 7.944 6.922 4.768 4.741 4.491 1.768 3.771 1.424 3.970 4.685
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.229 1.526 3.983 5.770 6.188 3.817 5.620 4.789 1.967 4.719 4.078
[2,] 3.531 1.527 4.081 5.797 6.207 3.843 6.532 4.917 2.022 6.130 4.639
[3,] 3.726 1.532 4.167 6.255 6.629 3.990 6.722 5.192 2.033 6.435 5.011
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.709 2.350 3.879 0.9849 3.833 1.240 3.042 3.218 2.960 4.144 1.700
[2,] 4.537 3.988 3.893 0.9849 4.016 1.255 3.098 3.242 3.887 4.991 1.719
[3,] 5.270 4.527 3.898 0.9874 5.269 1.263 3.472 3.281 3.923 5.069 1.734
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.730 3.615 3.933 1.786 4.638 3.380 5.038 4.644 7.580 6.683 3.427
[2,] 4.847 3.648 4.897 1.786 4.647 5.242 5.665 6.777 7.984 7.229 5.964
[3,] 4.875 3.649 5.281 1.788 4.687 5.245 5.712 6.806 8.420 8.142 7.548
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.556 3.501 3.292 4.759 2.541 2.892 1.656 3.079 3.602 7.747 7.054
[2,] 1.581 5.894 3.322 5.566 2.605 3.037 1.657 3.881 3.611 7.755 7.061
[3,] 1.600 6.454 3.357 6.773 2.661 3.140 1.657 4.232 3.612 7.778 7.145
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.443 1.733 2.902 2.791 3.567 2.216 0.7714 1.992 16.39 7.996
[2,] 2.096 2.910 2.964 2.887 3.572 2.218 0.8087 2.022 17.72 8.113
[3,] 2.610 2.933 3.053 2.976 3.714 2.219 0.8366 2.086 18.05 8.513
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.157 3.846 16.24 8.748 8.179 1.919 2.652 6.399
[2,] 693.272 184.355 3198.22 3740.124 2745.032 127.911 167.534 606.198
[3,] 451.046 128.340 4148.16 2188.509 2745.307 436.110 521.835 1180.623
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 7.452 5.738 5.299 4.376 4.402 5.177 4.868
[2,] 845.784 4886.278 1630.483 3202.546 346.923 2445.761 2507.608
[3,] 2136.867 1363.981 1905.249 1255.649 914.856 2258.785 2582.791
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.495 6.624 5.648 7.633 8.199 13.12 4.634 19.21
[2,] 1306.074 3188.644 4486.011 3792.629 4578.266 1094.85 696.907 9174.09
[3,] 1343.567 3041.518 2619.551 2896.270 3683.084 2429.37 1051.195 3370.28
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 9.944 0.7937 8.903 9.425 1.627 8.063 0.7633
[2,] 2967.936 234.1506 2721.449 4314.622 492.540 4053.749 192.9401
[3,] 2829.089 375.5923 4153.778 2367.802 640.260 2392.763 271.8038
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 8.941 2.172 1.435 8.579 8.944 7.679 5.961 5.429
[2,] 4016.508 631.844 449.737 2744.922 3536.668 2898.875 688.550 2461.889
[3,] 2758.777 813.236 479.431 3719.330 2713.235 2882.561 740.756 342.334
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 5.66 2.24 4.652 1.808 4.673 5.562 4.1 1.938
[2,] 455.31 135.71 718.811 20.272 1550.891 1739.151 1733.0 48.981
[3,] 482.22 25.14 815.285 11.457 932.748 1021.359 1445.0 156.766
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.058 7.327 7.857 4.847 7.137 6.081 2.498
[2,] 1076.527 677.505 593.802 545.498 4038.815 1353.888 571.378
[3,] 1023.858 2848.760 2823.739 1301.685 1922.991 2019.987 246.016
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 5.992 5.179 4.71 2.984 4.926 1.251 4.868 1.574
[2,] 4746.395 2681.132 3169.84 3909.886 405.957 8.546 1450.727 233.016
[3,] 2376.533 2300.028 3253.27 2598.832 227.022 85.574 4139.047 171.901
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 3.863 4.087 3.759 5.262 2.159 6.006 4.59 4.994
[2,] 706.941 477.974 3055.226 3375.753 305.779 1285.943 594.04 3538.918
[3,] 1901.771 610.472 643.779 1072.464 272.448 628.101 97.92 2401.018
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.268 5.89 4.292 6.397 5.897 9.625 8.486 4.352
[2,] 17.235 341.42 4862.159 3144.615 5987.858 3042.094 3342.498 5921.480
[3,] 103.738 742.59 206.347 886.752 770.329 3245.740 4545.092 5613.044
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.976 4.446 4.18 6.043 3.227 3.672 2.102 3.91
[2,] 337.606 5753.313 537.90 3503.048 698.271 1125.810 71.731 2865.82
[3,] 298.063 3190.329 588.50 4681.628 658.109 964.665 30.197 2046.36
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.573 9.838 8.958 1.833 2.2 3.685 3.544 4.529
[2,] 316.625 410.046 371.895 1844.061 2836.6 733.039 893.609 235.281
[3,] 122.138 723.185 1324.770 1886.233 443.7 887.368 880.712 1236.085
[,94] [,95] [,96] [,97] [,98]
[1,] 2.813 0.9795 2.529 20.81 10.15
[2,] 115.902 294.4936 420.522 8159.24 1667.81
[3,] 79.130 260.0541 625.231 4160.86 3130.97
[1] "--- VAR model 2017-10-01 17:01:00 completed"
[1] "Completed training sample: 2017-10-01 17:01:00 - 2017-10-02 01:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 17:31:00 - 2017-10-02 01:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.03817 -0.152521 -6.328 -7.342
0.26443 -0.006963 -7.334 -7.767
0.02996 0.037072 -5.998 -7.223
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.363 0.05501 0.2695 0.01077
-6.165 0.22552 0.3446 0.58236
-6.809 0.27928 0.1977 0.45124
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.00388 0.4331 0.4849 -0.864
-0.03012 -0.4960 -0.1703 -2.403
0.47550 0.5469 0.1658 -1.377
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2672 -0.5268 -0.0996 0.05072
-0.5768 -0.4599 -0.3648 0.21301
-0.3634 -0.9608 -0.9286 0.94866
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.9840 -3.0672 -4.2175 0.397
-0.2228 0.5223 0.1322 -2.295
-0.5338 -0.4446 0.7913 0.651
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.784 -0.5433 -18.20 -8.073
-7.986 -0.4992 -16.26 -7.167
-6.905 -0.4317 -16.28 -7.287
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.02239 -8.039 -8.011 -0.1628
-0.02366 -7.487 -8.177 -0.1880
-0.03778 -6.989 -7.657 -0.3220
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.594 -0.4685 -7.382 -2.146
-7.254 -0.5239 -7.722 -1.965
-7.533 -0.6953 -7.371 -2.069
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.198 -6.305 -6.547 -6.735
-1.149 -6.883 -6.147 -6.062
-1.088 -6.842 -6.230 -6.472
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.25895 -0.7195 0 0
-0.25781 -0.4773 0 0
-0.01417 -0.1498 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -4.212 -4.534
0 0 -3.459 -3.954
0 0 -3.860 -3.855
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.7489 -0.1480 -2.889 0.5608
-0.5427 -0.2218 -2.458 0.9630
0.1558 -0.1440 -2.743 0.6055
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.6787 -0.02774 -1.734 0.03994
2.6455 0.19187 -2.351 -0.01316
1.2005 -0.21630 -1.279 0.18550
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.05523 0.4938 0.1945 -0.8998
-0.17749 -2.1666 -0.8005 0.1744
-0.07184 -0.9970 -1.4543 -1.7506
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.6545 0.44397 0 -1.0720
0.1464 0.06897 0 -1.0520
-0.4731 0.01974 0 0.1355
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.129076 -0.8390 -0.07593 -3.2198
0.030977 -0.6197 -0.07577 -0.8613
0.002299 -0.1671 -0.11551 -0.7113
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.3764 0 -2.2965 0
-0.5671 0 -1.1475 0
-0.9312 0 -0.4181 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.1846 -0.0184973 0.24049 -0.05958
-2.8614 -0.0035685 0.32295 0.31042
-0.2958 -0.0008082 0.05009 0.29562
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.63604 -0.6335 2.3582 0.5201
-0.05740 0.0250 0.1365 0.7034
-0.09506 0.2106 2.2958 0.7226
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.7088 0 0.4606 -0.02716
0.5304 0 1.4463 -0.02633
0.2126 0 0.2007 -0.05122
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.1819 0.3175 0.08469 0.07871
2.6781 0.4087 -0.18338 0.04731
0.5196 0.2093 -0.47976 -0.03835
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5760 -0.09716 0.06064 -0.0727
-0.9277 -0.06021 0.11883 -0.3953
-0.3213 0.01023 0.05451 -0.2265
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.12966 -0.05372 0.10193 0.1411
-0.06346 0.04362 0.02041 0.0592
0.10646 -0.02193 0.07385 0.1167
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.67261 0.03243 -1.0560 -0.148854
-0.20001 0.05809 -0.9931 -0.003256
0.06216 0.00471 -1.0048 -0.244281
rnd_95776.volume rnd_95787.volume
-6.720 -7.641
-2.702 -7.540
-3.276 -5.958
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.615 2.897 12.41 6.174 6.212 1.343 2.011 4.851 5.598 4.347 4.027
[2,] 4.648 2.906 12.69 6.836 6.580 1.345 2.015 4.877 5.640 5.755 4.243
[3,] 4.657 2.906 13.07 6.998 6.960 1.379 2.059 4.976 5.887 5.861 4.502
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.271 3.334 3.939 3.563 3.937 5.000 4.214 5.814 6.493 9.764 3.313
[2,] 4.139 3.348 4.366 4.068 4.066 5.635 5.461 6.622 7.245 9.856 3.361
[3,] 4.263 3.428 4.688 4.526 4.206 6.105 5.868 7.045 7.922 10.038 3.411
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.36 7.188 0.6134 6.526 6.851 1.198 5.750 0.5922 6.535 1.621 1.081
[2,] 14.90 7.519 0.6477 6.851 7.894 1.256 6.705 0.6101 7.165 1.696 1.139
[3,] 15.15 7.826 0.7133 7.472 8.131 1.341 6.958 0.6553 7.640 1.807 1.198
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.343 6.348 5.417 4.373 3.988 3.753 1.666 3.371 1.364 3.247 3.669
[2,] 6.582 6.757 6.050 4.410 4.397 3.770 1.666 3.403 1.366 3.389 3.966
[3,] 7.225 7.071 6.353 4.446 4.413 3.784 1.666 3.455 1.366 3.500 4.067
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.028 1.421 3.799 5.333 5.845 3.679 5.412 4.488 1.883 4.600 3.869
[2,] 3.295 1.421 3.921 5.451 5.883 3.695 6.204 4.637 1.935 5.928 4.368
[3,] 3.493 1.428 4.000 5.732 6.288 3.824 6.369 4.926 1.946 6.183 4.698
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.533 2.233 3.755 0.9606 3.487 1.195 2.797 2.981 2.840 3.895 1.566
[2,] 4.283 3.748 3.762 0.9607 3.724 1.207 2.855 3.011 3.702 4.736 1.587
[3,] 5.006 4.211 3.765 0.9631 4.884 1.211 3.189 3.057 3.743 4.821 1.606
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.571 3.259 3.685 1.668 4.411 3.242 4.851 4.477 7.080 6.572 3.195
[2,] 4.694 3.272 4.559 1.669 4.421 5.018 5.409 6.392 7.344 6.981 5.640
[3,] 4.724 3.278 4.969 1.670 4.455 5.021 5.462 6.431 7.672 7.897 7.087
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.457 3.343 2.995 4.513 2.407 2.726 1.454 2.852 3.279 7.462 6.579
[2,] 1.482 5.730 2.999 5.196 2.470 2.884 1.491 3.686 3.311 7.466 6.616
[3,] 1.491 6.198 3.008 6.294 2.542 2.966 1.500 4.007 3.313 7.474 6.655
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.309 1.499 2.637 2.604 3.288 1.992 0.7448 1.674 15.05 7.542
[2,] 1.911 2.624 2.688 2.689 3.308 1.996 0.7782 1.749 16.43 7.635
[3,] 2.411 2.648 2.782 2.753 3.443 1.997 0.8092 1.800 16.61 8.013
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.86 3.679 15.76 7.839 7.889 1.706 2.554 6.16
[2,] 676.24 278.281 3220.51 3576.428 2644.129 90.066 152.080 610.15
[3,] 352.22 5.004 3819.32 1822.907 2761.494 369.177 517.919 1205.90
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.109 5.52 5.113 4.154 4.234 5.002 4.525 4.999
[2,] 833.090 4594.44 1630.235 3090.812 368.927 2293.477 2390.482 1237.156
[3,] 2055.264 1351.39 1832.026 1243.848 897.639 2080.710 2419.084 1312.360
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.35 5.351 7.383 8.245 12.4 4.207 16.97 9.127
[2,] 3166.37 4232.925 3862.381 3917.124 1632.3 690.311 8023.53 2691.476
[3,] 2860.85 2615.429 2930.092 3902.326 2320.6 703.397 3352.78 2642.846
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7789 8.287 8.7 1.521 7.302 0.752 8.298 2.059
[2,] 253.4728 2539.637 4777.8 461.005 4201.839 179.031 3579.734 607.396
[3,] 364.2250 3632.818 2374.7 571.030 2265.725 291.210 3234.305 758.757
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.373 8.055 8.061 6.879 5.553 5.064 4.766 2.115
[2,] 436.940 2142.239 2821.870 3282.260 689.952 2257.297 433.901 21.531
[3,] 452.448 3629.372 2537.197 2365.233 686.929 459.712 394.351 35.392
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.28 1.733 4.123 4.659 3.845 1.804 4.824 6.772
[2,] 566.83 68.094 1181.832 1833.745 1584.571 30.884 1183.000 1372.432
[3,] 731.07 22.866 1065.809 1100.062 1413.543 171.462 963.718 2161.864
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.422 4.672 6.872 5.7 2.391 5.842 4.913 4.486
[2,] 817.967 415.173 3695.549 1420.1 542.166 4555.251 2470.520 2950.423
[3,] 2706.108 1200.873 1754.679 2024.5 254.341 2141.717 2109.150 3156.480
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.836 4.769 1.22 4.427 1.517 3.551 3.786 3.606
[2,] 3668.197 271.519 11.16 1593.460 208.977 701.174 512.219 2893.376
[3,] 2338.708 177.481 83.63 3850.404 120.312 1729.924 645.860 677.682
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.946 1.989 5.804 4.138 4.68 2.118 5.602 4.117
[2,] 3283.813 312.197 1303.626 367.436 3270.41 70.576 352.432 4666.372
[3,] 1093.912 296.383 648.648 234.637 2408.02 77.650 669.463 239.646
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.16 5.685 8.99 8.346 4.058 1.85 4.245 3.803
[2,] 2913.79 5560.114 2378.27 2866.706 5663.198 334.38 5671.045 198.265
[3,] 930.56 854.703 2704.95 4499.639 5229.478 202.93 2880.242 274.851
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.73 3.056 3.461 1.846 3.621 4.163 9.476 8.354
[2,] 3139.29 677.544 1150.019 403.560 2846.505 562.146 283.920 852.993
[3,] 4326.74 730.971 844.238 199.630 1912.246 131.715 423.964 878.968
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.662 1.904 3.349 3.307 4.176 2.529 0.9457 2.126
[2,] 1696.417 2624.299 631.572 818.746 436.346 152.852 275.0164 615.331
[3,] 1792.506 434.541 875.113 715.988 1161.753 88.350 270.4482 516.570
[,97] [,98]
[1,] 19.12 9.577
[2,] 8013.07 1448.772
[3,] 2987.28 2962.481
[1] "--- VAR model 2017-10-01 17:31:00 completed"
[1] "Completed training sample: 2017-10-01 17:31:00 - 2017-10-02 01:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 18:01:00 - 2017-10-02 02:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.02985 0.072639 -5.971 -4.166
-0.15310 0.074738 -7.683 -5.332
-0.01391 0.003044 -5.908 -6.340
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.829 0 0.03866 0.002672
-5.308 0 0.23772 -0.417338
-5.533 0 0.13844 -0.450943
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5038 -1.8666 1.0355 -3.180
-0.6705 0.5548 0.9122 -1.699
-0.7106 -0.3899 0.4888 -2.472
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.047136 0.5699 0.2397 0.26280
-0.077911 -1.1472 -2.2081 0.33476
0.005529 -0.6729 -0.5478 0.09104
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.208 3.3973 -1.615 -0.07676
-2.597 -0.4922 0.726 1.34169
-1.063 -1.3515 -1.999 -0.01196
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.336 -0.8074 -14.99 -5.715
-5.143 -0.3721 -13.90 -5.714
-5.764 -0.6979 -14.03 -7.031
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1477 -5.536 -6.672 -0.4149
-0.1089 -6.572 -6.988 -0.7728
-0.1808 -6.454 -6.611 -0.7653
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.684 -0.05944 -5.610 -1.557
-5.754 -0.20125 -6.018 -1.665
-5.997 -0.20822 -6.143 -1.490
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9689 -5.941 -5.949 -6.973
-1.2026 -5.699 -4.819 -6.324
-0.9952 -6.081 -5.321 -5.613
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.39040 1.0267 0.21453 0
-0.06874 -0.9890 0.01978 0
-0.03025 -0.3549 0.03809 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.378 -4.010
0 0 -3.350 -3.926
0 0 -3.352 -3.891
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4791 -0.2191 -1.458 -0.5887
0.5738 -0.1177 -2.480 1.2078
0.3234 -0.1211 -2.864 0.2185
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.03743 -0.09670 -3.6074 -0.43338
-0.66103 -0.01472 -0.1450 -0.06374
-0.25808 -0.24559 -0.8577 0.09236
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.26499 -2.1358 -1.052 -1.3138
-0.02825 -1.0303 -2.065 -1.7938
0.03559 -0.1948 -0.477 -0.4798
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.485 0 0.09382 -3.6273
-1.224 0 0.01018 -0.9394
-1.702 0 0.00973 -1.1098
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.24930 -1.4953 0 -1.3583
-0.08144 -0.4803 0 -1.8115
-0.10955 -0.8342 0 -0.4731
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.4573 0.09887 -0.8583 0
-1.0950 0.11676 -1.8082 0
-0.6554 0.02380 -0.6601 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.06743 -0.06656 -0.09374 -0.04096
-1.15972 0.03242 -0.14476 -0.22154
-0.76745 -0.09838 -0.01492 -0.16924
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.1896 1.65911 1.562 -0.9148
-0.1374 0.02080 1.260 -0.8390
0.1472 -0.01006 1.757 -0.8611
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.4606 0 -0.15716 0
1.6755 0 -0.11036 0
0.4288 0 0.08942 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.6927 -0.2796 -0.31248 0
0.2056 -0.2082 -0.73725 0
1.0963 0.1926 0.00566 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8674 0.44396 -0.04083 -0.04814
0.3305 0.22259 -0.08378 -0.30914
-1.1272 0.06301 -0.03751 -0.13407
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.00000 -0.06220 -0.044385 0.08206
-0.02206 0.05784 -0.008319 0.01267
0.05263 0.02035 0.141944 0.17764
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.3060 -0.02246 -1.0657 124.1
-0.3896 0.06538 -0.9805 128.3
-0.3831 0.04366 -0.9751 132.8
rnd_95776.volume rnd_95787.volume
-1.5041 -7.995
0.9797 -6.854
-2.0420 -7.110
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.259 2.604 11.80 5.719 5.626 1.217 1.893 4.534 5.262 4.102 3.796
[2,] 4.274 2.605 11.93 6.300 6.049 1.221 1.895 4.557 5.310 5.489 3.993
[3,] 4.277 2.607 12.20 6.538 6.419 1.249 1.947 4.664 5.569 5.581 4.205
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.091 3.106 3.637 3.132 3.680 4.702 4.113 5.560 5.835 9.126 3.295
[2,] 3.953 3.110 4.044 3.630 3.801 5.359 5.277 6.421 6.753 9.294 3.342
[3,] 4.029 3.168 4.381 4.102 3.905 5.809 5.610 6.804 7.258 9.469 3.391
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.99 6.627 0.5658 5.786 6.258 1.147 5.179 0.5751 5.865 1.53 1.013
[2,] 13.33 7.055 0.6039 6.085 7.174 1.191 6.122 0.5945 6.688 1.62 1.069
[3,] 13.69 7.281 0.6514 6.720 7.382 1.270 6.410 0.6398 7.054 1.72 1.115
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.654 5.711 5.108 4.013 3.638 3.250 1.573 3.183 1.216 2.975 3.086
[2,] 5.905 6.040 5.529 4.071 3.946 3.264 1.575 3.212 1.217 3.177 3.370
[3,] 6.484 6.356 5.777 4.118 3.955 3.314 1.575 3.278 1.219 3.281 3.467
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.946 1.392 3.607 4.931 5.529 3.501 5.017 4.228 1.820 4.257 3.557
[2,] 3.169 1.392 3.676 4.986 5.541 3.519 5.736 4.336 1.868 5.422 3.956
[3,] 3.458 1.403 3.763 5.271 5.866 3.615 5.850 4.581 1.878 5.675 4.275
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.282 2.139 3.430 0.9518 3.309 1.129 2.633 2.823 3.049 4.004 1.474
[2,] 3.985 3.505 3.442 0.9520 3.522 1.146 2.649 2.847 3.465 4.382 1.485
[3,] 4.590 3.928 3.447 0.9573 4.437 1.157 2.948 2.897 3.490 4.458 1.494
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.129 2.981 3.337 1.514 4.113 3.080 4.549 4.188 7.072 6.287 2.857
[2,] 4.278 2.989 4.350 1.538 4.116 4.730 5.004 6.059 7.298 6.694 5.346
[3,] 4.343 2.992 4.545 1.551 4.135 4.737 5.050 6.082 7.725 7.540 6.762
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.405 3.116 2.794 4.364 2.229 2.574 1.299 2.718 2.938 7.018 5.864
[2,] 1.429 5.354 2.807 4.903 2.278 2.724 1.299 3.447 2.956 7.025 5.892
[3,] 1.438 5.838 2.840 5.992 2.357 2.795 1.300 3.761 2.960 7.043 5.975
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.207 1.337 2.276 2.329 3.043 1.791 0.7106 4.541 13.87 6.828
[2,] 1.748 2.307 2.306 2.357 3.071 1.791 0.7355 6.676 15.13 6.958
[3,] 2.170 2.311 2.346 2.388 3.188 1.795 0.7714 8.339 15.34 7.290
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.408 3.306 14.99 7.262 7.145 1.546 2.404 5.758
[2,] 425.064 111.024 2019.39 3102.206 2605.839 115.199 85.927 537.566
[3,] 185.431 114.231 3001.46 2053.001 2524.013 305.234 528.296 1165.596
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.682 5.208 4.82 3.925 3.945 4.618 3.978 4.673
[2,] 832.608 4281.821 1456.20 2892.268 167.204 2076.423 2153.569 1117.902
[3,] 1973.274 1186.374 1546.97 917.141 711.687 1975.537 2240.732 1048.932
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.971 5.222 7.061 7.41 11.59 4.184 15.23 8.416
[2,] 3017.255 3881.326 3769.097 3988.63 2065.77 652.100 6839.59 2840.502
[3,] 2630.825 2236.346 2642.593 3124.51 2128.56 674.414 3618.11 2110.823
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7185 7.348 7.946 1.456 6.576 0.7303 7.447 1.942
[2,] 247.6033 2210.374 4117.655 379.988 3831.305 177.0968 3774.011 624.612
[3,] 286.6302 3346.279 2041.422 517.201 2230.005 277.5299 2629.400 678.661
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.287 7.18 7.252 6.487 5.096 4.62 4.127 1.998
[2,] 398.093 1998.41 2309.613 2482.157 804.493 1792.84 351.696 74.834
[3,] 374.633 3143.82 2319.805 1968.053 723.819 320.25 677.262 15.295
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.042 1.545 3.777 3.918 3.741 1.768 4.581 6.261
[2,] 508.030 41.570 1309.814 1590.813 1370.663 17.656 831.523 868.161
[3,] 764.910 85.187 960.350 957.067 1622.803 199.967 944.708 2008.827
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.021 4.445 6.371 5.369 2.311 5.406 4.517 4.168
[2,] 430.704 417.469 3263.204 1124.395 495.401 3941.914 2032.688 2652.524
[3,] 2259.486 975.321 1347.641 1738.240 228.042 1963.558 1900.890 2673.131
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.716 4.356 1.209 4.202 1.433 3.343 3.585 3.871
[2,] 3258.953 329.996 22.231 1415.459 233.834 340.974 432.748 1933.242
[3,] 2083.080 224.627 118.716 3167.658 190.492 1520.331 625.317 484.826
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.084 1.872 5.243 3.786 4.237 1.923 5.223 3.911
[2,] 2091.091 207.750 1315.119 247.365 3275.360 311.837 204.620 4214.235
[3,] 962.501 196.008 874.536 171.323 1544.852 241.400 461.203 290.628
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.776 5.319 8.98 7.983 3.628 1.784 3.957 3.549
[2,] 2448.629 5138.523 2116.59 2699.118 5304.242 306.196 5110.300 316.196
[3,] 796.658 629.999 2971.61 4074.165 4859.731 190.708 2733.157 505.780
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.542 2.831 3.268 1.65 3.452 3.731 8.912 7.446
[2,] 2621.537 552.089 1047.879 26.40 2488.130 378.602 366.571 668.960
[3,] 4043.977 710.984 732.905 21.73 1764.421 191.467 578.193 1166.084
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.533 1.698 2.89 2.958 3.865 2.274 0.9023 5.767
[2,] 1484.443 2206.832 433.62 422.251 486.157 47.238 222.9823 5744.288
[3,] 1509.410 157.455 507.44 450.764 1003.614 137.426 272.8501 5864.796
[,97] [,98]
[1,] 17.61 8.671
[2,] 7098.26 1570.887
[3,] 2942.18 2552.648
[1] "--- VAR model 2017-10-01 18:01:00 completed"
[1] "Completed training sample: 2017-10-01 18:01:00 - 2017-10-02 02:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 18:31:00 - 2017-10-02 02:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.122966 -0.063578 -4.078 -5.381
-0.009663 0.061005 -3.984 -4.895
-0.001722 -0.001969 -3.656 -4.417
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.250 0.18698 0.18861 0.1706
-4.409 0.19686 -0.11670 0.4966
-4.678 0.04896 -0.05852 0.5162
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.18104 1.4865 0.3694 -1.7076
-0.03128 0.2426 0.7010 -0.8729
-0.20171 0.8258 0.3298 -1.2910
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.12558 5.776 -0.03954 1.838
0.05222 5.773 -0.45071 1.248
0.02241 3.810 -0.72898 1.246
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.19577 2.3248 2.50196 4.103
-0.02464 -0.2317 0.27237 3.643
-0.05753 0.1115 0.02834 1.331
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.582 -0.3736 -10.929 -6.191
-4.469 -0.1714 -10.165 -4.703
-5.083 -0.2070 -9.373 -5.130
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.01580 -4.710 -7.266 -0.1620
-0.05289 -4.758 -6.375 -0.2348
-0.01240 -4.382 -5.632 -0.2691
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.416 -0.1573 -6.280 -1.375
-4.889 -0.1578 -6.531 -1.453
-4.977 -0.1908 -5.272 -1.511
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8207 -5.437 -5.452 -5.664
-0.7670 -5.423 -4.319 -5.811
-0.7529 -4.942 -4.906 -5.306
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.189264 0.7242 0.06682 0
-0.283729 0.3794 0.00587 0
-0.004768 -0.1846 0.01153 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -2.455 -3.880
0 0 -2.828 -3.679
0 0 -2.494 -3.683
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4917 -0.12298 -1.909 0.7614
1.6507 -0.22136 -1.624 1.2708
0.8649 -0.04957 -1.754 0.3398
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.8728 -0.6488 -1.0914 0.9845
0.3154 -0.5077 -0.3770 0.3931
0.5631 -0.4146 -0.8144 0.6819
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.057063 1.3184 0.9670 0.2585
0.007843 -0.3496 -0.7014 0.5136
-0.031930 -0.3666 -0.3007 -0.3479
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.64135 0.039240 0 1.14320
1.21815 0.036492 0 0.06185
-0.09048 0.006195 0 1.18805
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.011431 0.7733 0.035402 -1.6118
0.005656 -0.2971 0.002696 0.5677
0.017681 0.3151 0.014911 -0.5207
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.9012 0 -0.7360 0
1.5065 0 0.8641 0
-0.3963 0 -0.1988 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.8179 0.11564 -0.162158 -0.00710
-0.6236 -0.05557 -0.001667 -0.18273
1.0255 -0.04499 -0.009994 0.02419
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3763 -0.19050 2.653 0.9703
-0.4062 -0.31810 2.825 -0.1431
-0.2151 -0.01404 2.973 0.3990
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.445 0 0.5640 0
1.300 0 1.1382 0
1.038 0 0.3303 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.1292 -0.3833 0.47217 0
1.3348 0.1545 -0.27716 0
0.9074 0.2392 -0.05378 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.1813 0 0.37921 0.293074
1.2924 0 -0.03834 0.045032
-0.1205 0 0.02280 0.006849
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.079127 -0.01052 0.03637 0.03176
-0.001512 0.07282 0.05977 0.05526
0.064585 0.07894 0.17982 0.16113
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3386 0 -0.7844 129.8
-0.1632 0 -0.7742 130.4
0.3637 0 -0.7472 131.1
rnd_95776.volume rnd_95787.volume
0.3411 -6.052
-0.9197 -5.655
-0.8518 -4.619
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.905 2.282 9.010 5.119 5.034 1.116 1.719 4.268 4.997 3.834 3.571
[2,] 3.917 2.283 9.182 5.747 5.560 1.118 1.720 4.283 5.037 5.087 3.707
[3,] 3.918 2.288 9.343 5.985 5.843 1.139 1.761 4.412 5.290 5.171 3.891
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.649 2.872 3.867 2.913 3.757 5.329 3.781 5.263 5.663 8.602 3.273
[2,] 3.648 2.872 4.112 3.374 3.868 5.394 4.617 6.182 6.325 8.711 3.321
[3,] 3.692 2.917 4.427 3.769 3.938 5.828 4.981 6.321 6.626 8.794 3.363
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.96 5.988 0.5366 5.520 5.751 1.034 4.834 0.5363 5.453 1.388 0.9507
[2,] 12.13 6.316 0.5749 5.961 6.750 1.077 5.713 0.5658 6.031 1.470 1.0091
[3,] 12.51 6.600 0.6123 6.531 6.938 1.134 6.013 0.5989 6.699 1.553 1.0461
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.033 5.092 4.581 3.845 3.446 2.878 1.465 2.827 1.143 2.552 2.681
[2,] 5.318 5.417 4.974 3.898 3.711 2.889 1.465 2.846 1.143 2.730 2.910
[3,] 6.043 5.642 5.238 3.940 3.714 2.932 1.467 2.903 1.145 2.796 3.062
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.865 1.269 3.404 4.588 5.097 3.310 4.737 4.061 1.732 4.008 3.353
[2,] 3.099 1.273 3.479 4.644 5.098 3.322 5.351 4.256 1.780 5.053 3.776
[3,] 3.257 1.296 3.565 4.958 5.329 3.414 5.468 4.390 1.792 5.322 4.063
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.046 2.084 3.107 0.9196 3.034 1.127 2.516 2.482 2.803 3.571 1.348
[2,] 3.730 3.361 3.118 0.9196 3.226 1.141 2.543 2.489 3.276 4.066 1.354
[3,] 4.276 3.811 3.129 0.9226 4.079 1.145 2.827 2.598 3.305 4.144 1.360
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.878 2.599 2.982 1.449 3.834 2.657 4.232 3.934 6.997 6.048 2.751
[2,] 4.030 2.601 3.919 1.471 3.834 4.182 4.606 5.734 7.127 6.397 5.218
[3,] 4.088 2.604 4.150 1.486 3.842 4.205 4.650 5.761 7.649 7.157 6.416
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.302 3.018 2.515 4.230 2.105 2.408 1.216 2.507 2.421 6.419 5.632
[2,] 1.322 5.182 2.530 4.751 2.176 2.560 1.217 3.265 2.436 6.428 5.670
[3,] 1.331 5.611 2.553 5.878 2.275 2.634 1.217 3.559 2.438 6.438 5.758
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.064 1.188 2.042 1.965 2.878 1.566 0.6733 5.615 12.82 6.618
[2,] 1.535 2.042 2.063 2.020 2.906 1.567 0.7007 7.622 14.09 6.894
[3,] 1.872 2.055 2.116 2.063 3.024 1.567 0.7251 9.142 14.39 7.417
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.959 2.897 11.44 6.5 6.393 1.417 2.183 5.419
[2,] 355.859 89.944 2052.73 3028.3 2736.077 91.955 59.815 422.160
[3,] 63.531 171.265 2001.33 1939.6 2083.710 248.386 437.507 1228.586
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.345 4.868 4.535 3.364 3.647 4.91 3.699 4.771
[2,] 733.488 3876.103 1155.657 2908.098 7.488 1621.08 1974.435 1064.486
[3,] 1875.111 1079.818 1370.283 659.689 591.164 1902.50 1946.509 857.884
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.767 4.802 6.684 7.192 10.92 4.156 13.92 7.604
[2,] 968.481 3072.201 3758.648 3264.552 1595.50 653.630 6036.46 2328.400
[3,] 2560.398 2166.938 1530.333 2290.916 1397.17 610.463 3514.47 2222.388
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6814 7.01 7.303 1.313 6.139 0.681 6.925 1.763
[2,] 239.1001 2609.18 4097.454 348.360 3529.162 209.257 2986.038 558.270
[3,] 244.3561 3093.29 1861.724 414.504 2175.031 227.457 3382.488 582.859
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.207 6.391 6.466 5.817 4.882 4.376 3.655 1.86
[2,] 392.335 1991.217 2144.184 2245.733 747.995 1595.689 293.170 48.21
[3,] 319.779 3326.277 1825.584 1904.211 663.179 178.013 575.633 75.01
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.59 1.451 3.241 3.404 3.638 1.611 4.323 5.827
[2,] 376.74 25.343 1123.517 1312.222 1370.011 116.199 829.467 827.830
[3,] 663.00 79.616 701.669 1103.453 1159.757 282.777 905.813 2013.869
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.473 4.203 6.015 5.157 2.199 5.089 4.258 3.868
[2,] 105.324 332.634 2885.498 1474.934 475.886 3567.737 2013.151 2494.970
[3,] 1796.498 912.509 1305.404 1250.788 242.886 1935.865 1738.587 2426.022
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.647 3.945 1.168 3.852 1.431 3.195 3.151 3.559
[2,] 3057.397 307.505 7.917 1272.761 211.766 425.998 219.140 1965.359
[3,] 2082.280 308.931 85.977 2893.148 108.299 1431.328 864.428 509.452
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.535 1.711 4.924 3.3 3.786 1.84 4.869 3.375
[2,] 2253.171 152.343 1271.188 121.1 2948.949 291.59 45.848 3743.523
[3,] 928.666 145.192 794.518 146.3 1584.021 245.18 274.016 510.222
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.374 4.995 8.885 7.68 3.493 1.653 3.833 3.194
[2,] 2107.513 4836.638 1572.455 2418.70 5140.472 265.747 4883.372 315.710
[3,] 736.395 647.227 3220.278 3719.16 4329.266 181.496 2494.265 396.228
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.371 2.673 3.058 1.545 3.183 3.075 8.151 7.152
[2,] 2509.015 640.489 1008.464 23.050 2426.380 307.910 396.798 759.186
[3,] 4011.201 767.607 715.325 28.600 1640.444 132.518 428.464 1163.346
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.351 1.509 2.593 2.495 3.655 1.989 0.855 7.13
[2,] 1283.413 1925.628 339.817 545.735 463.974 63.929 224.617 5975.10
[3,] 1240.955 263.370 542.818 485.981 968.988 17.224 216.619 5852.30
[,97] [,98]
[1,] 16.28 8.404
[2,] 6763.67 2237.634
[3,] 3380.16 3173.531
[1] "--- VAR model 2017-10-01 18:31:00 completed"
[1] "Completed training sample: 2017-10-01 18:31:00 - 2017-10-02 02:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 19:01:00 - 2017-10-02 03:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.012416 -0.0767934 -5.334 -6.340
0.089591 0.0009347 -4.185 -5.093
0.003897 -0.0011153 -4.858 -4.388
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.827 0 0.1448 -0.4340
-4.788 0 0.2353 -0.7439
-4.441 0 0.1522 -0.7449
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5675 -2.2144 -0.29216 -2.692
-0.9531 -0.4987 0.19973 -1.621
-0.8193 -1.0523 -0.09503 -1.931
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.21964 5.968 -1.5014 3.364
-0.10796 6.046 -1.6640 3.581
-0.01121 5.519 -0.8459 2.985
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.7161 1.5681 0.9681 -0.8095
-1.8275 -1.1718 0.2854 1.3232
-0.4982 -0.4562 -0.4521 0.6352
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.932 0.002054 -9.502 -5.571
-4.645 0.148445 -11.415 -5.080
-5.307 0.054008 -9.826 -4.848
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.08040 -4.741 -5.482 -0.7086
-0.11546 -4.460 -5.039 -0.6982
-0.07382 -5.008 -5.007 -0.6054
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.979 -0.1796 -4.946 -1.740
-5.107 -0.1589 -5.527 -1.608
-4.549 -0.2382 -4.996 -1.478
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5300 -4.394 -4.807 -4.409
-0.5930 -4.989 -4.073 -4.957
-0.6254 -4.382 -4.528 -4.556
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.10258 -1.3440 0 0
0.25105 -0.9528 0 0
-0.07295 -0.2551 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.033 -3.567
0 0 -2.697 -3.140
0 0 -2.682 -3.189
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.09747 -0.1236 -1.027 0.5644
0.08404 -0.1926 -2.100 1.0036
0.32469 -0.1479 -1.787 0.8458
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0 -0.437697 -1.136 0.2033
0 -0.009009 -1.439 0.3419
0 -0.140836 -0.996 0.2521
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.03697 0.4801 0.02345 -0.6250
-0.22561 -2.1891 -0.60312 0.1088
-0.10791 -0.6574 -1.04500 -1.5568
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.4816 -0.042569 0 -0.1688
0.2083 -0.003086 0 -0.5998
-0.4603 -0.007335 0 0.6305
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.075414 -0.933337 -0.02539 -0.004446
-0.101115 -0.727024 0.01300 -1.176185
-0.005714 -0.002272 0.01022 -0.893380
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2674 0.10441 -0.6643 0
-0.9957 0.03536 -1.2951 0
-0.7149 -0.03216 -0.5943 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.6941 -0.07360 0.06098 0.78499
-0.1291 -0.05730 0.14123 -0.03591
-0.7468 -0.01982 0.12562 0.12048
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.17632 0.324457 1.3436 -0.1185
0.02127 -0.008732 0.9115 0.8043
0.03391 0.130013 0.6305 0.8369
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.6428 0 1.1485 0
1.3913 0 0.2182 0
0.3976 0 0.9887 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.1792 0.17666 0.21870 0
0.4232 0.06741 -0.07601 0
1.0350 0.09120 -0.27846 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.37396 0.0275466 -0.02116 -0.3099
-1.61242 -0.0148574 0.20923 -0.3165
-0.08896 -0.0005133 -0.12690 -0.3184
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.00000 0.00000 0.04752 0.05321
0.02149 0.04081 0.03865 0.06629
0.04624 0.06342 0.04024 0.02175
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.75827 0 -0.001813 114.8
-0.35951 0 -0.169852 115.2
-0.05939 0 -0.239817 113.4
rnd_95776.volume rnd_95787.volume
-5.410 -3.525
-1.472 -3.530
-2.601 -3.922
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.523 2.078 8.757 4.310 4.432 1.05 1.562 3.843 4.743 3.615 3.395
[2,] 3.527 2.078 9.101 4.928 4.864 1.05 1.563 3.868 4.782 4.740 3.518
[3,] 3.529 2.078 9.257 5.252 5.167 1.07 1.604 3.957 5.027 4.829 3.701
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.508 2.719 3.720 2.782 3.497 4.875 3.755 5.021 5.294 8.684 2.995
[2,] 3.498 2.720 4.055 3.249 3.615 5.260 4.603 5.940 5.900 9.115 3.043
[3,] 3.541 2.750 4.285 3.665 3.865 5.685 4.882 6.137 6.202 9.302 3.092
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.05 5.274 0.5045 5.126 5.336 0.9465 4.198 0.4994 4.547 1.353 0.8069
[2,] 11.45 5.705 0.5405 5.526 6.189 0.9861 4.843 0.5180 5.068 1.437 0.8644
[3,] 12.12 6.048 0.5738 6.038 6.399 1.0258 5.235 0.5404 5.700 1.538 0.9051
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.346 4.329 3.909 3.630 3.205 2.728 1.339 2.441 1.070 2.175 2.499
[2,] 4.682 4.822 4.368 3.690 3.448 2.741 1.339 2.448 1.070 2.270 2.650
[3,] 5.253 5.001 4.635 3.729 3.477 2.783 1.342 2.451 1.072 2.356 2.767
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.738 1.191 3.265 4.289 4.720 2.884 4.502 3.714 1.660 3.785 3.141
[2,] 2.929 1.197 3.342 4.321 4.720 2.904 5.110 3.830 1.709 4.822 3.489
[3,] 3.057 1.203 3.408 4.567 4.897 2.913 5.207 4.008 1.722 5.131 3.798
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.917 2.033 2.864 0.8552 2.877 1.084 2.397 2.393 2.372 2.966 1.250
[2,] 3.539 3.158 2.871 0.8553 3.076 1.101 2.423 2.472 3.166 3.788 1.251
[3,] 4.099 3.526 2.913 0.8569 3.855 1.105 2.706 2.497 3.206 3.834 1.262
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.675 2.281 2.745 1.381 3.390 2.441 3.757 3.641 6.750 5.851 2.659
[2,] 3.826 2.282 3.439 1.401 3.393 3.652 4.067 5.266 6.868 6.272 4.986
[3,] 3.899 2.294 3.871 1.414 3.394 3.665 4.133 5.287 7.325 6.684 5.953
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.191 2.867 2.301 4.116 2.024 2.142 1.092 2.331 2.223 5.812 5.223
[2,] 1.200 5.066 2.322 4.657 2.085 2.333 1.092 3.074 2.226 5.813 5.286
[3,] 1.212 5.452 2.347 5.660 2.192 2.432 1.093 3.343 2.227 5.822 5.350
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9564 1.086 1.824 1.744 2.695 1.448 0.6644 6.162 12.23 5.182
[2,] 1.3834 1.872 1.849 1.796 2.730 1.449 0.7145 8.054 13.51 5.404
[3,] 1.6984 1.878 1.882 1.889 2.889 1.451 0.7481 9.672 13.73 5.600
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.473 2.638 11.12 5.473 5.628 1.333 1.983 4.88
[2,] 189.363 28.378 2774.33 2675.174 2242.552 45.682 59.354 493.83
[3,] 137.971 33.836 1894.84 2033.495 1950.441 228.652 404.661 935.59
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.023 4.591 4.311 3.185 3.453 4.724 3.533 4.44
[2,] 683.869 3430.800 1030.788 2728.166 72.377 1806.040 1877.205 1026.46
[3,] 1732.773 1032.664 1286.254 618.819 456.038 1550.287 1899.026 1530.28
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.19 4.768 6.375 6.722 11.03 3.803 12.76 6.697
[2,] 2209.91 2980.999 3552.368 2916.659 3098.29 605.216 6143.55 2434.977
[3,] 2415.23 1819.310 1728.438 2138.368 2076.90 612.973 4464.57 2249.292
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6406 6.51 6.775 1.202 5.33 0.6342 5.774 1.718
[2,] 217.1601 2308.15 3509.540 309.389 2703.76 154.0997 2505.626 541.715
[3,] 215.4801 2725.12 1818.687 316.627 2224.20 172.2530 2917.635 614.367
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.025 5.519 5.497 4.964 4.61 4.069 3.464 1.701
[2,] 346.911 1948.886 2377.618 2181.048 738.65 1424.369 304.212 1.557
[3,] 300.510 2665.607 1483.837 1734.455 606.41 499.596 538.766 87.486
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.1 1.359 2.761 3.173 3.477 1.512 4.146 5.446
[2,] 200.3 18.415 728.050 987.118 1163.720 130.928 799.187 587.764
[3,] 133.1 62.195 707.332 893.933 977.962 135.240 747.907 1656.731
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.994 3.662 5.717 4.716 2.107 4.806 3.988 3.704
[2,] 47.617 382.310 2705.832 1046.257 456.810 3344.041 1701.397 2242.822
[3,] 1458.498 261.987 1119.456 1322.080 241.023 1962.598 1678.944 2314.264
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.581 3.637 1.086 3.653 1.376 3.044 3.039 3.012
[2,] 2704.946 232.342 12.955 1218.195 217.044 398.418 690.327 2346.526
[3,] 1754.647 552.288 58.772 2600.440 103.302 1346.993 397.961 562.527
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.767 1.587 4.667 2.897 3.486 1.753 4.305 3.1
[2,] 2637.637 68.249 1191.970 74.351 2318.047 264.397 155.082 3040.3
[3,] 657.906 183.490 838.319 263.023 1989.526 215.118 82.735 336.5
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.771 4.623 8.572 7.429 3.377 1.513 3.641 2.921
[2,] 1741.552 4258.491 1416.735 2528.951 4720.774 164.539 4674.217 353.753
[3,] 826.539 522.712 2849.882 2585.704 3640.026 186.662 2255.673 382.614
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.227 2.57 2.719 1.386 2.96 2.823 7.38 6.633
[2,] 2437.117 560.29 1036.407 17.002 2242.95 133.190 76.28 905.685
[3,] 3599.914 757.98 766.183 48.273 1469.75 32.667 367.64 924.986
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.215 1.378 2.316 2.215 3.423 1.839 0.8437 7.824
[2,] 1118.567 1707.461 344.079 479.673 485.410 57.542 293.9361 5804.478
[3,] 1102.789 165.826 387.584 657.059 1057.926 75.162 248.1965 5992.754
[,97] [,98]
[1,] 15.53 6.58
[2,] 6419.66 1716.91
[3,] 2762.24 1644.14
[1] "--- VAR model 2017-10-01 19:01:00 completed"
[1] "Completed training sample: 2017-10-01 19:01:00 - 2017-10-02 03:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 19:31:00 - 2017-10-02 03:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.07203 0 -4.044 -6.373
0.07126 0 -4.293 -5.501
0.10863 0 -3.931 -4.690
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.531 0 0.0346 1.0324
-6.355 0 0.2243 -0.6810
-5.890 0 0.1431 -0.1877
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5394 -0.5625 0.28940 -1.381
-1.0392 0.1175 -0.06214 -1.497
-0.7017 -1.0200 -0.08463 -1.827
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.17357 7.580 -1.8464 4.917
0.17688 8.034 -0.5467 4.681
0.06833 7.385 -0.7420 5.078
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.6021 6.1969 4.7949 1.4352
-0.5026 -1.8706 0.7841 3.4802
0.4610 0.7591 -0.1836 0.9342
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.432 0.3441 -12.69 -5.562
-6.022 0.2839 -12.18 -5.422
-5.474 0.5393 -10.96 -6.034
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.05362 -5.875 -6.492 0.03140
-0.04385 -4.943 -5.768 -0.07642
-0.06009 -5.243 -5.504 -0.12503
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.874 -0.3066 -6.156 -1.916
-6.002 -0.3030 -6.109 -1.874
-5.550 -0.3169 -5.693 -1.816
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9716 -6.031 -5.690 -6.569
-1.0219 -5.014 -5.368 -6.000
-1.0309 -5.008 -5.119 -5.990
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.00723 -0.3234 0.5851 0
-0.06394 -0.3926 0.4044 0
-0.01183 -0.4002 0.1653 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.271 -4.194
0 0 -3.134 -3.892
0 0 -3.283 -3.813
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4376 -0.03856 -2.125 0.02889
0.8142 -0.17620 -2.524 1.35476
1.0233 0.09826 -1.712 0.51686
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.3045 0.3503 0.7327 0.6679
0.4797 -0.3381 -0.9399 -0.1153
0.6931 -0.1699 -1.3429 0.8162
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.02852 -0.7539 -1.5617 -0.16557
-0.04533 -0.1762 0.2655 -0.27465
-0.06733 -0.8210 -0.8185 -0.06928
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.1111 0 0 -0.1294
-1.0341 0 0 0.4768
0.2734 0 0 -0.4645
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.27083 -0.3360 0.041788 0.5729
0.08481 0.3674 0.085997 -0.4777
0.05046 -0.4813 -0.001256 0.6123
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.8182 0 0.4085 0
-0.4249 0 -0.1791 0
0.4821 0 0.1586 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.6760 -0.03091 -0.02912 2.5003
0.3906 0.05074 0.07707 -0.4352
-0.1837 0.04932 0.23987 0.1221
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.26342 2.6838 0.3696 1.7956
0.02893 0.3066 1.0356 2.4547
0.04415 0.2873 1.2854 0.0381
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.360 0 -1.019 0
2.927 0 2.427 0
0.466 0 2.147 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.9491 -0.17660 -0.92720 0
2.0866 0.01931 0.04305 0
2.4814 0.53631 0.19501 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4251 0 -0.07903 -0.2709
-0.7225 0 0.44068 -0.2546
-0.4412 0 -0.15598 -0.2091
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.0000000 0.00000 -0.045904 -0.037621
0.0009265 -0.03642 0.007119 0.002006
-0.0238667 0.01201 0.054144 0.042644
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.51737 0 -0.6323 119.9
0.07188 0 -0.8677 119.2
-0.21070 0 -0.8309 119.4
rnd_95776.volume rnd_95787.volume
-2.075 -5.426
-2.138 -4.566
-3.706 -4.812
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.276 1.853 8.210 3.670 3.771 0.9927 1.445 3.619 4.131 3.182 3.188
[2,] 3.280 1.855 8.439 4.204 4.072 0.9929 1.446 3.642 4.131 4.118 3.275
[3,] 3.280 1.856 8.533 4.456 4.326 1.0180 1.482 3.715 4.194 4.151 3.421
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.435 2.626 3.601 2.587 3.450 4.492 3.587 4.425 4.998 7.626 2.831
[2,] 3.244 2.626 3.926 3.000 3.589 4.847 4.374 5.734 5.521 7.706 2.895
[3,] 3.289 2.648 4.187 3.356 3.817 5.279 4.639 5.879 5.781 7.917 2.964
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.129 4.496 0.4756 4.300 4.797 0.9166 3.673 0.4826 3.855 1.253 0.7108
[2,] 8.886 4.646 0.5145 4.532 5.382 0.9613 4.192 0.5018 4.281 1.320 0.7499
[3,] 9.108 4.770 0.5575 4.885 5.528 1.0128 4.409 0.5213 4.737 1.414 0.7868
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.612 3.674 3.581 3.235 2.856 2.312 1.117 2.201 0.9724 1.932 1.975
[2,] 3.904 4.028 3.808 3.294 3.026 2.314 1.118 2.204 0.9724 2.049 2.173
[3,] 4.327 4.175 4.100 3.314 3.042 2.322 1.119 2.205 0.9725 2.113 2.306
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.577 1.113 2.802 4.018 4.439 2.633 4.308 3.452 1.529 3.378 2.891
[2,] 2.797 1.119 2.908 4.057 4.439 2.650 4.800 3.510 1.575 4.384 3.261
[3,] 2.943 1.133 3.083 4.343 4.565 2.668 4.874 3.715 1.582 4.567 3.585
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.692 1.919 2.605 0.7878 2.727 1.025 2.224 2.204 2.177 2.672 1.090
[2,] 3.199 2.930 2.614 0.7879 2.921 1.037 2.255 2.224 2.934 3.519 1.092
[3,] 3.765 3.256 2.640 0.7894 3.628 1.043 2.502 2.279 2.967 3.577 1.100
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.120 2.034 2.490 1.285 3.140 2.208 3.502 3.376 6.460 5.536 2.644
[2,] 3.497 2.042 2.980 1.296 3.141 3.394 3.791 4.942 6.670 5.844 4.637
[3,] 3.537 2.052 3.553 1.312 3.141 3.415 3.847 4.963 7.033 6.253 5.686
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.053 2.803 2.097 3.956 1.909 1.930 0.996 2.254 2.036 5.566 4.998
[2,] 1.058 4.824 2.114 4.508 1.953 2.078 0.996 2.795 2.040 5.567 5.079
[3,] 1.063 5.119 2.143 5.342 2.035 2.221 0.996 3.029 2.044 5.582 5.150
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8838 1.018 1.721 1.666 2.365 1.296 0.6160 6.855 11.40 4.611
[2,] 1.2790 1.826 1.748 1.730 2.394 1.301 0.6516 8.636 12.17 4.861
[3,] 1.6205 1.833 1.786 1.798 2.546 1.301 0.6722 10.300 12.36 4.976
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.16 2.353 10.42 4.66 4.789 1.261 1.835 4.595
[2,] 163.36 89.739 2152.03 2261.10 1693.766 21.573 55.122 456.649
[3,] 35.68 55.697 1398.66 1626.88 1607.559 247.463 357.303 806.805
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.245 4.04 4.048 3.092 3.334 4.572 3.285 4.38
[2,] 23.623 2882.18 827.199 2362.978 11.869 1723.988 1673.142 1092.39
[3,] 803.010 577.15 1088.909 597.572 380.148 1603.917 1658.721 1432.27
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.704 4.555 5.619 6.347 9.684 3.595 10.32 5.71
[2,] 2009.588 2759.566 4020.033 2585.550 1224.284 665.616 3954.79 1288.78
[3,] 2304.957 1703.648 1429.417 1889.416 2002.074 701.326 2205.68 1189.81
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.604 5.461 6.091 1.164 4.664 0.6128 4.896 1.591
[2,] 216.352 1576.046 2689.056 319.460 2227.291 151.2871 2052.363 459.741
[3,] 236.540 2011.510 1391.019 351.482 1503.716 155.8060 2234.368 556.987
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.9027 4.587 4.665 4.547 4.107 3.626 2.935 1.418
[2,] 263.2785 1634.343 1820.200 1427.207 689.193 1104.678 125.517 57.982
[3,] 262.4466 2056.006 1210.444 1674.440 391.965 338.000 210.323 54.919
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.795 1.235 2.453 2.509 3.272 1.414 3.558 5.102
[2,] 127.743 1.671 753.393 998.751 1200.474 122.982 856.630 623.108
[3,] 52.389 18.317 567.289 850.304 1006.858 197.455 1128.633 1707.765
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.636 3.344 5.47 4.384 1.941 4.289 3.671 3.418
[2,] 15.769 333.845 2332.70 699.300 417.166 3079.589 1664.432 1905.053
[3,] 1175.921 334.073 933.43 1342.830 168.726 1411.730 1639.683 2189.186
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.437 3.308 1.00 3.463 1.302 2.824 2.799 2.764
[2,] 2441.361 242.543 14.01 1153.285 171.351 408.458 326.171 2168.005
[3,] 1564.825 406.453 53.45 2371.276 127.004 1194.291 549.481 487.458
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.393 1.385 3.962 2.582 3.162 1.631 3.988 2.804
[2,] 2524.425 58.380 1741.202 206.721 1803.424 191.613 58.976 2841.432
[3,] 707.091 147.083 589.471 224.143 2134.432 225.542 3.380 412.968
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.447 4.287 8.204 7.03 3.358 1.337 3.56 2.663
[2,] 1601.270 3978.215 1830.492 2064.04 4199.111 113.512 4327.50 293.844
[3,] 721.363 507.068 2455.096 2451.61 3626.649 113.751 1886.20 389.811
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.023 2.424 2.45 1.265 2.862 2.586 7.068 6.347
[2,] 2382.553 456.998 850.67 6.244 1821.927 129.751 107.674 995.184
[3,] 3160.179 631.005 863.65 2.629 1285.344 149.003 453.923 935.193
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.122 1.293 2.185 2.116 3.003 1.646 0.7822 8.705
[2,] 1019.142 1670.960 338.103 514.256 410.499 116.774 234.3338 5788.674
[3,] 1096.864 180.744 404.465 538.398 955.529 38.876 181.7211 6188.790
[,97] [,98]
[1,] 14.48 5.855
[2,] 4687.50 1697.771
[3,] 2366.93 1173.518
[1] "--- VAR model 2017-10-01 19:31:00 completed"
[1] "Completed training sample: 2017-10-01 19:31:00 - 2017-10-02 03:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 20:01:00 - 2017-10-02 04:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.08919 0 -4.653 -6.548
0.05196 0 -5.959 -6.080
-0.08100 0 -5.096 -6.370
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.5420 0 0.4513 -2.7508
-5.2040 0 0.3265 -0.4550
-0.4227 0 0.2123 -0.4217
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.8047 -0.5841 -0.27222 -1.679
-1.1754 -3.3039 0.49097 -2.777
-0.7708 1.1742 0.09203 -1.966
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.13425 8.361 -2.2021 10.186
-0.03576 9.071 -0.7779 5.583
-0.01804 7.446 -2.2997 6.955
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.525 1.9587 3.7760 4.660
-1.274 0.4537 2.6342 3.358
-1.718 -1.0373 -0.1607 2.301
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.288 0.4132 -12.33 -7.487
-6.794 0.2664 -12.26 -7.646
-6.812 0.1757 -12.65 -8.133
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1183 -5.229 -6.799 -0.3504
-0.1386 -5.143 -6.317 -0.3624
-0.1057 -4.828 -6.444 -0.3847
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.674 -0.3868 -6.239 -1.289
-5.570 -0.3291 -6.754 -1.491
-5.390 -0.3388 -6.158 -1.306
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9884 -6.440 -4.716 -6.239
-1.0515 -5.990 -5.673 -5.668
-1.0476 -5.528 -5.218 -5.957
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.04856 -1.4869 0 0
-0.17504 -0.8498 0 0
-0.02323 0.8326 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.233 -3.224
0 0 -3.126 -3.521
0 0 -2.944 -3.469
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.03115 -0.024523 -1.866 0.38327
1.76960 -0.450477 -2.423 -0.10829
1.08905 0.007933 -1.843 -0.09685
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0 0.03846 -1.3465 0.5720
0 -0.13847 -0.4683 0.6421
0 -0.19458 -1.6829 0.4702
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.12471 -0.5616 -1.1383 -2.1423
-0.12714 -0.9037 -0.8042 0.3491
-0.09885 -0.9079 -0.5565 -0.9864
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.62206 0.0068797 0 -0.7903
-1.13590 0.0002342 0 -1.5328
-0.04021 0.0008048 0 0.3869
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.07089 -0.2850 0 -0.7227
0.06327 -0.5655 0 -0.3721
0.11836 -0.4966 0 -0.2729
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.5401 -0.08416 -0.8305 0
0.1312 0.13200 -0.6973 0
-0.4602 -0.02252 -0.5653 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.35285 -0.19468 0.026529 -0.884584
-0.31152 -0.18496 -0.003386 0.146294
-0.01819 -0.03874 -0.057928 0.003884
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4080 -0.99432 3.649 0.8536
0.5522 -0.10088 3.155 0.6053
0.1964 -0.01414 3.501 0.6088
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.0037 0 1.762 0
0.6745 0 1.258 0
1.6549 0 0.591 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.3348 -0.03344 -0.6017 0
2.9540 0.51672 -0.6208 0
0.4115 0.17280 0.0801 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.2025 0 0.20346 -0.6996038
-1.1744 0 -0.14074 0.0004052
-0.2980 0 -0.07377 -0.5606140
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.35938 0 -0.5598 101.3
-0.79080 0 -0.4400 100.7
-0.07485 0 -0.5127 99.9
rnd_95776.volume rnd_95787.volume
-2.799 -4.506
-3.381 -4.845
-3.402 -5.170
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.009 1.653 7.637 2.937 3.319 0.9456 1.393 3.031 3.699 2.883 2.870
[2,] 3.009 1.655 7.837 3.343 3.547 0.9456 1.394 3.055 3.713 3.518 2.918
[3,] 3.009 1.666 7.892 3.610 3.675 0.9653 1.422 3.062 3.801 3.605 3.046
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.259 2.308 3.291 2.526 3.432 4.031 3.241 4.189 4.727 7.319 2.807
[2,] 2.904 2.308 3.639 2.892 3.475 4.381 4.024 5.385 5.231 7.570 2.870
[3,] 2.948 2.328 3.879 3.164 3.501 4.663 4.262 5.563 5.472 7.654 2.940
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.069 4.181 0.4185 3.741 3.894 0.8631 3.051 0.4588 3.013 1.170 0.6390
[2,] 7.862 4.443 0.4579 3.949 4.476 0.9024 3.497 0.4758 3.421 1.239 0.6682
[3,] 8.248 4.846 0.4865 4.170 4.583 0.9458 3.778 0.4923 3.909 1.316 0.6949
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.210 2.992 2.886 2.923 2.406 1.898 0.9704 2.039 0.8707 1.563 1.653
[2,] 3.494 3.172 3.037 2.948 2.687 1.917 0.9716 2.040 0.8712 1.655 1.833
[3,] 3.887 3.287 3.206 2.949 2.714 1.917 0.9730 2.041 0.8715 1.748 1.920
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.387 1.042 2.501 3.971 3.952 2.424 3.813 3.238 1.427 2.932 2.592
[2,] 2.608 1.068 2.728 3.998 3.959 2.465 4.246 3.293 1.465 3.871 2.869
[3,] 2.836 1.080 2.930 4.300 3.999 2.489 4.356 3.400 1.471 4.017 3.148
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.535 1.824 2.411 0.7154 2.467 1.027 2.098 1.901 2.171 2.488 1.004
[2,] 2.895 2.701 2.413 0.7155 2.663 1.040 2.120 1.903 2.605 3.226 1.004
[3,] 3.450 2.935 2.429 0.7166 3.278 1.044 2.327 1.903 2.623 3.245 1.011
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.894 1.828 2.304 1.185 2.906 2.092 3.226 3.393 6.232 5.264 2.381
[2,] 3.110 1.862 2.787 1.210 2.907 3.192 3.451 4.597 6.391 5.490 4.433
[3,] 3.127 1.871 3.265 1.221 2.907 3.220 3.511 4.624 6.808 5.784 5.133
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9087 2.616 1.840 3.781 1.723 1.775 0.8769 2.019 1.902 4.958 4.393
[2,] 0.9143 4.449 1.844 4.199 1.762 1.919 0.8780 2.485 1.907 4.973 4.412
[3,] 0.9159 4.756 1.876 5.042 1.843 2.031 0.8781 2.726 1.918 4.973 4.433
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7684 0.8896 1.493 1.467 2.051 1.118 0.5812 7.172 10.50 4.059
[2,] 1.0907 1.5613 1.517 1.496 2.083 1.122 0.6162 8.819 11.21 4.295
[3,] 1.3811 1.5653 1.529 1.521 2.329 1.122 0.6382 10.437 11.39 4.491
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.821 2.099 9.697 3.73 4.215 1.201 1.769 3.849
[2,] 6.430 94.296 2094.473 1900.96 1488.711 11.381 33.054 453.613
[3,] 39.731 222.024 1105.363 1621.45 1144.134 230.789 338.558 246.577
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.697 3.66 3.645 2.868 2.930 4.179 3.208 4.358
[2,] 381.322 2400.57 626.565 2173.070 2.711 1849.718 1676.209 645.300
[3,] 967.092 935.21 1039.154 600.787 368.764 1599.271 1527.308 504.749
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.118 4.115 5.319 6.002 9.294 3.564 8.977
[2,] 2044.417 2838.740 4028.693 2668.776 2298.842 712.354 4096.178
[3,] 1899.191 1673.688 1660.966 1908.809 1347.932 760.619 2966.924
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 5.309 0.5314 4.75 4.945 1.096 3.875 0.5826 3.826
[2,] 1789.609 221.2037 1507.62 2625.804 313.525 2032.606 150.1451 1927.809
[3,] 2303.016 195.5437 1592.27 1170.281 337.041 1703.694 150.5924 2252.829
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.486 0.8114 4.076 3.799 3.665 3.711 3.055 2.411
[2,] 484.009 232.4773 1644.077 1254.088 1124.696 459.239 1424.159 319.924
[3,] 529.960 227.2767 2026.758 1028.095 1221.474 69.552 454.929 2.048
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.232 2.589 1.106 1.985 2.099 3.031 1.323 3.176
[2,] 56.479 84.669 34.106 644.977 942.698 1249.410 278.183 1295.837
[3,] 63.719 83.714 25.820 672.734 680.279 1327.392 188.203 1273.110
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.042 5.019 3.078 4.842 4.111 1.811 3.724 3.292
[2,] 556.046 273.366 529.495 2223.931 713.180 396.527 3008.085 1462.342
[3,] 1885.324 669.315 410.312 1155.270 1007.913 158.477 1279.310 1541.756
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.22 2.317 3.062 0.9085 3.133 1.304 2.664 2.413
[2,] 1662.07 2370.783 97.740 14.3058 1193.243 192.082 363.929 118.435
[3,] 2233.84 1367.225 335.759 46.4771 2274.529 114.784 1142.223 10.664
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.756 3.159 1.275 3.674 2.322 2.925 1.504 3.691
[2,] 1715.359 2444.410 40.177 1355.905 420.065 1867.458 295.784 91.816
[3,] 365.721 415.058 142.065 387.187 221.722 2023.284 191.388 12.070
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.656 4.096 4.308 7.914 6.685 3.024 1.154
[2,] 2869.702 1459.329 3691.682 1688.431 1854.605 4451.108 120.468
[3,] 505.056 768.438 591.989 2792.312 2164.967 3079.098 65.141
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 3.322 2.337 4.802 2.188 2.254 1.113 2.564 2.416
[2,] 4283.608 143.857 2173.224 436.550 869.029 53.775 1724.162 148.086
[3,] 2001.179 407.725 3322.108 645.588 789.295 17.481 1334.613 251.473
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 6.296 5.579 0.9758 1.13 1.896 1.863 2.604 1.42
[2,] 465.412 476.844 921.4175 1527.29 320.470 352.063 438.403 113.27
[3,] 24.498 514.163 1008.4374 132.64 226.520 326.892 1239.033 19.35
[,95] [,96] [,97] [,98]
[1,] 0.738 9.108 13.33 5.154
[2,] 243.784 6107.668 4688.30 1672.180
[3,] 197.800 6643.763 2349.16 1562.798
[1] "--- VAR model 2017-10-01 20:01:00 completed"
[1] "Completed training sample: 2017-10-01 20:01:00 - 2017-10-02 04:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 20:31:00 - 2017-10-02 04:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2098 0.1155 -10.158 -10.94
-0.1236 -0.2968 -11.388 -11.58
-0.1237 -0.1654 -9.827 -11.17
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.01 0 -0.1119 -0.8988
-10.61 0 0.1852 -0.5964
-11.01 0 0.1132 -0.4230
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.5955 0.5632 0.72013 -1.290
-1.3743 -1.6082 -0.05585 -3.491
-0.9025 -1.0360 -0.01550 -3.599
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.26028 21.84 -1.1656 5.881
-0.06798 19.01 -0.7693 5.024
-0.03399 18.86 -2.5782 6.631
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.8436 -4.9782 -2.2115 6.387
-0.9693 -0.2389 -3.8803 1.120
-2.3671 -1.7038 -0.3792 3.785
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.33 -0.2430 -23.83 -11.99
-11.05 0.6202 -22.15 -11.99
-11.35 0.2837 -23.07 -11.71
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.02896 -12.70 -13.14 -0.3730
0.01284 -11.71 -12.18 -0.4302
-0.06956 -10.50 -12.01 -0.4723
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.22 -0.3067 -10.71 -3.098
-12.50 -0.3231 -11.62 -2.766
-11.78 -0.4615 -11.12 -2.754
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.098 -11.62 -10.785 -11.300
-1.859 -9.88 -9.564 -9.612
-1.895 -10.42 -10.671 -10.793
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.03811 0.9544 0 0
-0.16346 -0.3661 0 0
-0.02596 -0.1972 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -4.989 -5.843
0 0 -4.776 -6.206
0 0 -4.859 -6.107
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.4262 0.27945 -3.034 2.140
1.6641 0.30622 -3.723 1.556
0.3334 -0.04282 -3.301 1.636
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.11004 -0.1625 -1.9755 0.3429
0.53324 -0.1058 -0.6734 1.0426
0.03723 -0.2462 -1.6597 0.4279
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.19805 -2.553 -0.6616 0.9239
-0.09594 -1.428 -1.7238 -1.7411
-0.17855 -1.210 -0.4429 -0.9643
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.3293 0 0.19030 -1.27182
-0.8205 0 0.09553 0.01995
-1.3133 0 0.02739 -1.02879
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2064 -0.8503 -0.02915 -0.1929
0.2266 -0.4153 -0.09832 -1.0657
0.1569 -0.2275 -0.04998 -0.7030
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.1157 -0.021233 -0.9530 0
-0.3228 -0.002165 -0.4298 0
-0.6747 -0.002814 -0.5800 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.02293 0.007933 -0.2015 -0.54065
-0.05691 0.201468 0.1553 -0.07119
-0.63154 0.020026 -0.1356 0.15298
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1938 -1.4258 1.585 -0.9539
0.3684 -0.4575 3.352 -1.5800
-0.1713 -0.2612 3.719 -0.2438
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.347 0 1.3750 0
-0.698 0 -0.3404 0
1.339 0 -0.7375 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.8245 -0.4253 0.3024 0
1.8614 0.2529 -0.7191 0
-0.9606 -0.1235 -0.1214 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.5071 0.5880 -0.125603 0.3753
0.2947 0.1856 -0.074557 -0.6584
-0.4607 0.1027 -0.002826 -0.6516
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4436 -0.09673 -0.8706 92.20
-0.1390 0.05255 -1.1304 92.20
-0.1407 0.04894 -1.1277 92.15
rnd_95776.volume rnd_95787.volume
-3.299 -11.75
-6.548 -12.25
-5.537 -10.08
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.758 1.503 7.470 2.540 2.900 0.8772 1.314 2.686 3.365 2.578 2.705
[2,] 2.763 1.503 7.674 2.949 3.094 0.8773 1.315 2.688 3.390 3.297 2.729
[3,] 2.763 1.512 7.794 3.169 3.272 0.8963 1.338 2.697 3.409 3.316 2.775
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.154 2.085 3.197 2.433 3.236 3.621 2.962 3.768 4.601 6.910 2.727
[2,] 2.704 2.085 3.572 2.780 3.276 3.915 3.741 4.837 4.930 6.949 2.798
[3,] 2.750 2.103 3.849 3.056 3.312 4.154 3.970 5.199 5.178 7.107 2.855
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.422 3.550 0.4000 3.378 3.246 0.8241 2.675 0.4305 2.594 1.152 0.5731
[2,] 7.082 3.816 0.4385 3.624 3.868 0.8656 3.112 0.4494 2.884 1.218 0.5980
[3,] 7.423 4.128 0.4705 3.952 4.011 0.9020 3.456 0.4724 3.314 1.331 0.6199
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.861 2.594 2.430 2.829 2.227 1.694 0.8566 1.808 0.7915 1.303 1.580
[2,] 3.172 2.807 2.560 2.865 2.522 1.709 0.8567 1.810 0.7954 1.419 1.689
[3,] 3.393 2.885 2.721 2.867 2.537 1.709 0.8567 1.811 0.7955 1.482 1.828
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.356 0.9664 2.221 3.764 3.720 2.273 3.650 2.815 1.344 2.764 2.297
[2,] 2.588 0.9829 2.340 3.803 3.724 2.336 4.057 2.829 1.387 3.537 2.533
[3,] 2.638 0.9902 2.524 4.038 3.752 2.360 4.163 2.954 1.391 3.643 2.853
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.370 1.732 2.136 0.7211 2.345 1.033 1.976 1.821 1.861 2.313 0.9178
[2,] 2.654 2.459 2.150 0.7216 2.543 1.048 1.998 1.821 2.548 3.062 0.9226
[3,] 3.136 2.677 2.155 0.7232 3.003 1.050 2.159 1.823 2.572 3.086 0.9306
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.649 1.691 2.187 1.135 2.646 1.992 3.073 3.108 5.875 4.653 2.429
[2,] 2.871 1.717 2.628 1.166 2.652 2.979 3.278 4.117 5.985 4.986 4.164
[3,] 2.892 1.728 3.097 1.180 2.653 3.019 3.330 4.140 6.386 5.205 4.764
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8401 2.633 1.625 3.536 1.507 1.672 0.8039 1.861 1.750 4.582 4.178
[2,] 0.8443 4.319 1.625 4.094 1.533 1.794 0.8043 2.325 1.753 4.589 4.240
[3,] 0.8466 4.605 1.632 4.777 1.616 1.896 0.8051 2.570 1.775 4.590 4.259
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6628 0.8394 1.304 1.305 1.978 0.9826 0.5856 7.923 9.956 3.719
[2,] 0.9639 1.4039 1.317 1.315 2.001 0.9872 0.6208 9.653 10.450 4.065
[3,] 1.2114 1.4135 1.326 1.342 2.160 0.9885 0.6412 11.421 10.586 4.285
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.503 1.909 9.486 3.226 3.683 1.114 1.669 3.41
[2,] 185.754 38.486 2171.586 1849.318 1331.868 8.719 30.535 144.47
[3,] 30.265 195.727 1677.647 1433.545 1315.622 227.227 304.856 267.82
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.273 3.274 3.435 2.735 2.648 4.06 3.089 4.11
[2,] 506.094 2538.797 449.843 2020.078 4.799 1966.92 1662.834 628.15
[3,] 438.477 444.767 621.435 617.441 335.290 1772.94 1568.817 597.61
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.598 3.761 4.785 5.843 8.775 3.463 8.155
[2,] 1836.743 2822.613 3745.880 2186.467 909.025 768.858 3689.053
[3,] 1718.821 1644.972 2358.361 1959.602 1841.200 702.018 2745.984
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 4.507 0.508 4.289 4.122 1.046 3.396 0.5466 3.293
[2,] 1730.684 221.899 1622.902 2599.354 327.201 1965.358 159.3234 1559.951
[3,] 1945.559 210.597 1947.058 1313.137 313.394 1857.923 179.9911 2015.567
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.463 0.7277 3.633 3.294 3.086 3.592 2.828 2.151
[2,] 486.508 210.8519 1691.208 1324.216 994.720 562.948 1463.264 280.641
[3,] 663.358 202.0013 1489.546 825.356 1138.551 123.995 330.838 4.892
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.088 2.297 1.005 1.654 2.006 2.992 1.227 2.82 4.78
[2,] 15.672 79.036 96.891 696.139 736.737 1324.421 222.193 910.70 670.34
[3,] 11.681 75.612 15.704 528.033 865.376 630.405 147.712 1168.33 1678.00
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.724 2.887 4.635 3.574 1.707 3.51 2.917 3.009
[2,] 206.170 663.215 2186.955 350.946 422.020 2727.50 1319.916 1476.360
[3,] 565.746 417.085 1156.418 1049.802 141.328 1073.65 1622.619 2064.980
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.199 2.713 0.9157 2.977 1.312 2.51 2.312 2.363
[2,] 2156.944 305.524 31.8545 1217.097 212.315 365.32 43.035 2151.568
[3,] 1307.763 165.474 59.7997 1973.032 84.977 1009.17 107.774 432.844
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.937 1.166 3.364 2.147 2.777 1.441 3.36 2.53
[2,] 2480.536 115.645 1365.899 373.998 1801.244 329.943 222.11 2736.87
[3,] 467.437 150.300 437.408 232.635 2023.046 229.036 30.11 602.26
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.902 3.946 7.46 5.908 3.085 1.067 3.344 2.063
[2,] 1411.876 3336.402 1414.81 2216.357 4178.846 104.585 4230.092 43.822
[3,] 720.514 542.198 2751.09 1843.619 2858.958 77.005 1974.857 185.874
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.491 1.914 2.123 1.021 2.363 2.222 5.818 5.306
[2,] 2547.908 344.323 805.838 30.041 1723.195 124.064 333.107 886.529
[3,] 3041.179 630.794 757.183 46.257 1350.562 345.545 50.959 500.001
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.8416 1.066 1.655 1.657 2.512 1.248 0.7436 10.06
[2,] 864.8557 1390.510 229.838 200.144 376.094 117.438 254.8356 6813.66
[3,] 906.4885 202.730 191.918 332.745 1004.828 63.811 198.2665 7543.63
[,97] [,98]
[1,] 12.64 4.723
[2,] 3925.94 2026.473
[3,] 2085.65 1674.304
[1] "--- VAR model 2017-10-01 20:31:00 completed"
[1] "Completed training sample: 2017-10-01 20:31:00 - 2017-10-02 04:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 21:01:00 - 2017-10-02 05:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7317 -0.20198 -15.91 -16.90
-0.3153 -0.25909 -14.06 -16.27
-0.1850 -0.06649 -14.58 -15.98
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.97 0 0.6434 -1.8514
-16.06 0 0.4831 -0.8163
-15.77 0 0.2359 -1.2044
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.895 -0.5032 0.01507 -4.349
-1.362 -3.1080 0.39645 -5.501
-1.990 -1.4003 0.17215 -5.010
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.244872 21.41 -2.738 9.655
0.180594 18.41 -1.400 9.075
0.006634 17.52 -3.289 8.978
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.326 -4.7416 0.2949 5.644
-1.777 -2.0267 -2.5998 7.223
-2.535 -0.7368 -0.8328 2.774
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-17.93 0.4851 -34.98 -17.72
-17.38 -0.2572 -34.81 -16.68
-17.24 -0.7713 -34.98 -16.56
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.06380 -16.82 -18.33 -1.891
-0.07413 -16.13 -17.91 -1.797
-0.07894 -15.84 -16.64 -1.764
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.96 -0.8348 -18.07 -4.221
-17.24 -1.0632 -17.14 -4.035
-16.39 -0.9028 -16.73 -3.889
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.415 -17.73 -16.60 -14.61
-2.720 -15.90 -15.96 -16.73
-2.518 -15.45 -15.62 -15.40
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.66356 -0.2561 -0.18949 0.043715
0.17932 2.9235 -0.05797 0.109040
0.09722 1.0156 -0.05932 0.007023
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -8.655 -8.710
0 0 -8.162 -8.605
0 0 -8.126 -8.689
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.210 0.4240 -4.772 1.4942
1.339 0.3543 -5.450 0.6033
1.537 0.1168 -4.577 0.2504
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.9513 0.5160 -0.6639 1.020
0.7947 0.1429 -1.0644 1.885
0.3615 -0.1332 -3.3324 1.445
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.05921 -3.279 -3.9801 -2.937
-0.14210 -0.767 -0.8977 -1.818
-0.24801 -1.923 -0.6522 -1.070
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.8476 0.036432 0.160373 3.119
-3.1485 0.006557 -0.003879 -2.092
-0.8636 0.005090 -0.034125 -2.913
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1251 1.208 -0.012799 -0.8984
-0.1044 -1.222 -0.035870 0.6645
-0.2236 -1.123 0.001504 -1.2867
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.6314 0.01047 -0.6193 0.4607
1.2086 0.35714 1.0465 0.2492
-1.0320 0.02098 -0.4480 0.1405
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.61509 -0.25451 -0.615412 0.15874
-0.05991 -0.02776 -0.130207 -0.46013
0.82609 -0.06790 -0.007406 -0.04147
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.009384 -1.034 8.867 4.772
-0.618039 -1.174 8.512 3.218
-0.021490 -1.019 8.684 2.510
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.651 0 4.827 0
3.214 0 3.183 0
2.877 0 2.603 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.189 -0.41364 -1.5623 -0.054790
4.990 0.41829 0.2801 0.096270
2.279 -0.07956 0.2250 0.003429
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.1320 -0.19035 0.4804 1.1993
0.3843 -0.03862 0.2273 -0.2314
1.6860 -0.15821 0.1071 0.3188
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.09673 0 0 0
0.12883 0 0 0
0.12287 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.2452 0.49115 -1.382 98.52
-0.4077 0.11036 -1.370 97.21
-1.1568 -0.07292 -1.325 98.43
rnd_95776.volume rnd_95787.volume
-2.187 -16.89
-8.009 -16.20
-3.265 -16.46
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.566 1.372 7.124 2.280 2.560 0.7750 1.304 2.611 3.257 2.376 2.489
[2,] 2.573 1.387 7.187 2.618 2.694 0.7761 1.306 2.618 3.274 3.054 2.510
[3,] 2.588 1.392 7.323 2.820 2.827 0.7809 1.332 2.642 3.321 3.075 2.556
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.141 1.952 3.329 2.204 2.934 3.235 2.652 3.458 4.481 6.620 2.742
[2,] 2.667 1.952 3.663 2.572 2.980 3.506 3.235 4.457 4.615 6.708 2.817
[3,] 2.693 1.955 3.967 2.889 3.074 3.826 3.566 4.795 4.848 6.814 2.875
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.470 3.171 0.3754 2.855 2.945 0.7548 2.414 0.4141 2.216 1.089 0.5697
[2,] 5.908 3.383 0.4132 3.115 3.468 0.7967 2.693 0.4285 2.512 1.136 0.6001
[3,] 6.219 3.647 0.4403 3.384 3.633 0.8336 3.066 0.4537 3.021 1.226 0.6239
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.572 2.300 2.184 2.816 2.135 1.557 0.7938 1.670 0.7304 1.210 1.438
[2,] 2.789 2.475 2.326 2.859 2.364 1.565 0.7946 1.682 0.7314 1.302 1.516
[3,] 2.973 2.516 2.475 2.862 2.408 1.566 0.7955 1.682 0.7315 1.379 1.684
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.233 0.9207 1.972 3.518 3.471 2.106 3.405 2.527 1.250 2.457 2.155
[2,] 2.394 0.9325 2.052 3.558 3.474 2.193 3.770 2.543 1.294 3.258 2.366
[3,] 2.426 0.9468 2.224 3.785 3.524 2.219 3.870 2.645 1.299 3.404 2.677
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.250 1.665 1.957 0.6996 2.206 1.026 1.936 1.714 1.822 2.143 0.9071
[2,] 2.490 2.295 1.988 0.6996 2.404 1.041 1.949 1.715 2.460 2.869 0.9110
[3,] 2.992 2.498 2.007 0.7035 2.812 1.045 2.068 1.715 2.477 2.891 0.9261
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.496 1.583 2.089 1.094 2.565 1.884 2.757 2.789 5.110 4.118 2.399
[2,] 2.740 1.614 2.472 1.116 2.566 2.832 2.865 3.631 5.178 4.373 3.625
[3,] 2.761 1.622 2.896 1.127 2.567 2.859 2.895 3.663 5.526 4.535 4.181
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7383 2.455 1.517 3.428 1.471 1.499 0.7533 1.844 1.558 4.375 3.971
[2,] 0.7460 3.710 1.518 3.943 1.471 1.617 0.7547 2.333 1.578 4.381 4.062
[3,] 0.7545 3.989 1.523 4.317 1.510 1.706 0.7556 2.490 1.590 4.382 4.068
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6011 0.7782 1.164 1.152 1.759 0.9057 0.5474 8.425 9.154 3.119
[2,] 0.9040 1.3155 1.188 1.169 1.876 0.9067 0.5810 10.259 9.495 3.395
[3,] 1.1159 1.3200 1.200 1.205 1.995 0.9117 0.5948 12.076 9.632 3.532
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.259 1.742 9.047 2.895 3.251 0.9842 1.656 3.315
[2,] 208.864 219.836 1044.070 1418.808 925.086 44.0043 72.984 206.105
[3,] 303.810 131.377 1545.156 1155.005 943.438 95.5378 287.592 395.321
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.135 3.018 3.161 2.718 2.478 4.228 2.798 3.725
[2,] 374.348 2113.681 354.740 1753.706 54.427 1681.952 1462.236 577.280
[3,] 614.904 395.666 534.105 407.175 104.401 1678.476 1450.166 829.732
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.108 3.368 4.391 5.69 8.406 3.482 6.947 4.027
[2,] 1491.435 2040.842 3098.303 1218.34 1194.845 711.643 2458.163 1298.201
[3,] 1687.669 1653.264 1947.195 1637.61 1319.300 633.336 2141.559 1501.199
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4767 3.625 3.74 0.9585 3.066 0.5258 2.814 1.383
[2,] 190.1349 1373.299 2017.65 280.8302 1315.221 121.4598 1303.019 353.683
[3,] 167.5824 1457.702 1191.38 270.3044 1614.686 164.3996 1848.959 507.628
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.7235 3.266 2.921 2.773 3.576 2.711 1.977 1.008
[2,] 207.6283 1188.310 1007.864 881.688 545.333 1118.931 169.205 41.007
[3,] 187.9383 1135.224 493.744 932.935 118.811 503.340 70.830 40.164
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.121 0.9275 1.537 1.826 2.836 1.169 2.505 4.467
[2,] 217.672 42.6563 530.882 529.505 948.961 163.009 623.059 587.461
[3,] 28.078 11.1087 500.341 808.530 438.252 180.656 946.981 1422.086
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.408 2.674 4.323 3.208 1.588 3.12 2.737 2.857
[2,] 144.733 675.789 1784.006 320.530 368.857 2356.84 1075.830 1174.799
[3,] 655.086 372.615 964.264 798.778 124.421 1087.62 1379.804 1829.223
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.114 2.485 0.8883 2.802 1.303 2.459 2.177 2.313
[2,] 1741.463 388.012 1.3275 1053.166 194.245 248.398 68.789 1821.777
[3,] 1086.540 301.216 82.1147 1606.979 95.880 760.357 26.795 316.147
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.721 1.152 3.17 2.01 2.652 1.389 3.257 2.393
[2,] 2102.423 92.503 1243.90 344.83 1456.855 245.878 87.323 2329.396
[3,] 388.207 183.097 380.07 183.65 1661.621 173.406 55.235 436.162
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.501 3.542 6.489 5.229 3.046 0.9375 3.118 1.927
[2,] 859.009 2562.380 923.429 1621.861 2994.476 117.8583 3065.370 62.754
[3,] 458.071 531.463 2126.519 1323.221 2295.453 124.1121 1613.001 129.833
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.352 1.867 1.903 0.9566 2.341 1.979 5.556 5.043
[2,] 2147.140 5.717 669.715 50.7522 1574.383 274.774 249.067 938.163
[3,] 1936.216 377.988 598.304 40.3212 959.201 217.605 114.477 257.650
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.7633 0.9882 1.478 1.462 2.233 1.15 0.6952 10.7
[2,] 743.9681 1168.6760 260.793 218.836 719.588 47.18 214.6032 6448.7
[3,] 720.9676 119.5992 184.055 324.159 746.172 105.46 139.9156 7020.4
[,97] [,98]
[1,] 11.62 3.961
[2,] 2780.59 1476.233
[3,] 1778.71 1074.485
[1] "--- VAR model 2017-10-01 21:01:00 completed"
[1] "Completed training sample: 2017-10-01 21:01:00 - 2017-10-02 05:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 21:31:00 - 2017-10-02 05:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.5600 0.22801 -6.796 -10.983
1.4426 0.17290 -5.903 -9.313
0.5624 -0.07985 -4.235 -5.196
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.2759 0 0.2795 -2.4677
-8.2329 0 0.3028 -0.5615
-8.4539 0 0.1597 -0.2033
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.4249 7.0571 0.76564 -1.261
0.5788 -4.3168 0.01199 -9.675
-0.4187 0.2667 0.43684 -4.174
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.06705 37.01 -3.819 11.26
0.03333 28.42 3.097 10.87
0.15742 29.11 -1.703 10.58
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.2781 -4.4656 4.423 2.884
6.1217 0.2189 -3.971 2.007
0.6492 2.3348 5.509 2.868
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.206 -1.5936 -7.522 -7.885
-5.669 -0.8061 -16.396 -8.123
-12.447 -0.6090 -13.398 -10.849
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.19153 -7.377 -14.197 -1.3591
-0.01234 -3.613 -8.182 -0.1738
-0.03397 -7.321 -9.927 -0.2682
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.908 -0.4683 -5.128 -0.3119
-9.939 -0.2214 -9.497 1.8345
-4.144 0.2423 -6.753 0.4448
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.0008682 -1.927 -2.615 -4.536
-0.8652262 -7.776 -7.075 -5.458
-0.6538121 -7.440 -7.614 -7.972
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.13168 1.4941 0.29176 0.12471
-0.05374 0.9003 0.08163 0.07828
-0.02369 0.5802 0.11991 0.10850
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.18685 -0.04421 -0.3445 -0.4042
-0.04462 -0.10441 -0.3857 0.6783
0.09256 0.11600 -0.6042 1.1674
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.5629 0.7712 -1.19876 4.093
0.8764 0.3943 -1.52213 2.662
0.5719 0.8528 0.03089 2.638
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.3970 1.4911 2.7871 -0.20522
0.8858 -0.1541 -2.8741 -0.07956
0.9888 -0.5253 0.4448 -0.04101
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2818 0.7351 2.84701 3.8953
0.2651 2.6780 0.22132 0.0359
-0.1771 -0.2287 0.04702 0.8922
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.5040 0.29085 0.00423 3.01129
1.9739 0.18560 -0.07474 3.06641
-0.5449 0.03683 -0.02906 0.07822
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4399 -1.5114 -0.023987 2.355
-0.1087 0.8597 -0.076890 -1.229
-0.1781 2.5852 0.002735 1.005
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.7677 0.2488 3.2847 0.6251
-1.3868 0.4028 1.3630 0.2718
0.9813 0.1317 0.5026 0.3168
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.0292 0.20440 0.2044 3.63358
0.8347 -0.19079 0.4866 -0.34020
0.1676 0.08438 0.4803 -0.05493
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.1094 8.254 8.850 14.211
-0.1344 0.629 6.517 7.320
-0.3709 1.322 3.393 5.191
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.897 0 6.433 -0.14302
9.404 0 10.848 -0.12320
2.486 0 4.962 -0.06795
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.818 0.7749 1.6292 -0.1359
8.381 1.3659 0.4021 -0.1057
5.796 1.8149 0.4430 -0.1006
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.4106 0.16877 0.41501 2.4840
0.3591 0.29267 0.68344 0.4821
1.7151 0.05138 0.07494 2.4514
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8856 -0.92942 -0.3285 -0.19716
-0.4779 -0.08575 -0.1837 -0.15567
-0.1212 -0.20866 -0.1563 -0.05762
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.9651 -0.029069 -0.6667 114.0
1.8517 -0.018034 -0.5923 109.0
0.6675 -0.001151 -0.4564 106.6
rnd_95776.volume rnd_95787.volume
8.2021 -9.435
-4.6181 -10.009
0.6821 -12.361
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.370 1.305 6.989 2.230 2.386 0.6628 1.293 2.681 3.187 2.440 2.368
[2,] 2.371 1.305 7.097 2.609 2.492 0.6658 1.297 2.697 3.228 3.158 2.392
[3,] 2.390 1.311 7.222 2.713 2.694 0.6680 1.324 2.700 3.250 3.205 2.408
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.421 1.888 3.701 2.901 3.126 3.088 2.660 3.107 4.896 6.327 2.871
[2,] 2.895 1.889 3.959 3.143 3.232 3.290 3.184 4.218 5.024 6.525 2.940
[3,] 3.001 1.889 4.263 3.401 3.352 3.567 3.489 4.386 5.368 6.609 2.990
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.210 2.900 0.4299 2.695 2.395 1.067 2.158 0.3942 1.883 1.272 0.598
[2,] 5.672 3.027 0.4590 2.951 2.933 1.114 2.504 0.4107 2.243 1.310 0.629
[3,] 5.932 3.309 0.4968 3.211 3.083 1.170 2.870 0.4352 2.692 1.430 0.673
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.528 2.175 1.962 2.790 2.144 1.636 0.7159 1.655 0.6929 1.294 1.221
[2,] 2.797 2.399 2.248 2.844 2.391 1.644 0.7260 1.668 0.6934 1.370 1.352
[3,] 2.903 2.588 2.406 2.853 2.403 1.647 0.7260 1.668 0.6934 1.476 1.450
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.054 0.9068 2.001 3.330 3.194 1.924 3.557 2.518 1.212 2.336 2.113
[2,] 2.205 0.9126 2.033 3.348 3.215 2.012 3.611 2.571 1.254 3.145 2.392
[3,] 2.238 0.9241 2.177 3.607 3.230 2.045 3.649 2.579 1.259 3.260 2.526
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.194 1.638 1.889 0.7375 2.082 1.027 1.797 1.674 1.692 1.977 0.9252
[2,] 2.383 2.276 1.917 0.7382 2.297 1.039 1.825 1.675 2.252 2.687 0.9312
[3,] 2.840 2.549 1.925 0.7397 2.652 1.041 1.947 1.676 2.270 2.716 0.9495
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.223 1.484 1.907 1.042 2.483 1.926 2.847 2.821 4.667 3.933 2.385
[2,] 2.448 1.507 2.294 1.059 2.483 2.780 2.864 3.582 4.702 4.343 3.390
[3,] 2.480 1.508 2.706 1.068 2.484 2.803 2.873 3.584 5.042 4.479 3.814
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6262 2.558 1.509 3.427 1.354 1.448 0.7156 1.790 1.485 4.260 3.291
[2,] 0.6273 3.467 1.514 3.870 1.387 1.548 0.7222 2.276 1.485 4.271 3.350
[3,] 0.6314 3.751 1.518 4.148 1.455 1.583 0.7262 2.416 1.492 4.281 3.361
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5585 0.6355 0.9577 0.9214 1.698 0.8400 0.5522 8.789 8.976 2.829
[2,] 0.6774 0.9611 0.9671 0.9226 1.728 0.8404 0.5853 10.559 9.465 3.051
[3,] 0.7881 0.9683 0.9688 0.9295 1.846 0.8418 0.5978 12.278 9.516 3.348
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.01 1.657 8.875 2.832 3.03 0.8417 1.642 3.405
[2,] 62.78 19.256 1172.122 1288.038 681.08 59.6833 96.330 278.797
[3,] 285.38 113.807 1269.270 706.762 973.10 51.8384 254.692 115.549
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.047 3.098 3.007 3.074 2.398 4.7 3.684 3.97
[2,] 489.053 1905.312 319.504 1509.041 23.639 1336.4 1150.442 778.44
[3,] 352.954 522.692 265.069 753.127 5.395 1503.4 1233.977 844.06
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.922 3.378 3.945 6.217 8.035 3.645 6.616
[2,] 1077.618 1662.241 2711.170 1071.755 1513.111 605.369 2131.154
[3,] 1309.679 1356.421 1142.472 1796.009 1001.202 517.138 1652.770
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 3.682 0.5459 3.422 3.041 1.355 2.74 0.5006 2.391
[2,] 826.683 152.9595 1143.519 1609.658 305.310 1207.00 109.5785 1158.320
[3,] 1269.098 180.5262 1202.618 901.500 339.909 1332.78 136.8701 1414.860
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.616 0.7593 3.211 2.762 2.492 3.543 2.722 2.078
[2,] 294.372 185.5241 1136.859 961.878 1041.521 526.478 1006.238 153.804
[3,] 546.639 227.4199 738.961 923.480 814.929 208.888 227.348 97.303
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.9091 2.102 0.8798 1.643 1.551 2.609 1.151 2.54
[2,] 114.4282 194.452 25.0310 429.713 551.745 762.692 97.784 345.73
[3,] 10.3523 21.842 5.0939 521.825 497.617 359.165 137.992 739.13
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.229 4.056 2.443 4.517 3.198 1.54 2.966 2.683
[2,] 327.900 347.774 559.419 589.191 491.259 304.15 2001.410 1065.457
[3,] 1276.686 299.235 348.264 502.121 190.458 104.41 815.855 772.757
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 2.786 2.08 2.399 0.9365 2.644 1.304 2.281 2.126
[2,] 883.686 1501.88 312.223 30.2394 921.476 149.649 305.085 64.876
[3,] 1468.447 1092.20 169.198 44.6834 1260.400 63.289 644.936 29.179
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.148 2.511 1.175 2.823 1.885 2.422 1.323 3.152
[2,] 1413.232 1729.719 100.838 973.974 246.640 1211.574 180.099 59.943
[3,] 269.724 376.510 176.109 380.110 66.463 1364.415 131.754 57.513
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 2.446 3.615 3.582 5.926 4.994 3.029 0.7952 3.248
[2,] 1904.783 298.067 2098.445 546.737 1751.310 2289.073 34.8829 2224.990
[3,] 344.235 211.568 121.168 1729.771 1040.176 1662.800 67.9362 1359.879
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.917 4.351 1.719 1.838 0.9088 2.273 1.885 5.41
[2,] 115.356 1709.888 284.472 520.947 92.4511 1335.289 38.628 293.73
[3,] 99.121 1418.143 416.949 312.636 71.9299 771.856 138.761 268.91
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 4.179 0.7092 0.807 1.216 1.17 2.156 1.067 0.7012
[2,] 590.934 364.4591 685.327 127.866 45.26 306.639 23.866 184.5704
[3,] 267.196 382.8261 111.525 53.887 106.97 616.291 47.139 115.6937
[,96] [,97] [,98]
[1,] 11.16 11.4 3.593
[2,] 5561.87 2853.7 1086.035
[3,] 5956.60 934.8 1309.414
[1] "--- VAR model 2017-10-01 21:31:00 completed"
[1] "Completed training sample: 2017-10-01 21:31:00 - 2017-10-02 05:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 22:01:00 - 2017-10-02 06:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.100 -0.3356 -3.870 0.5752
3.336 0.2922 7.141 -3.3955
2.775 -0.1125 4.128 -1.7523
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
5.502 0.064598 0.3495 2.260
2.247 0.009861 0.2499 4.117
-3.046 0.004814 0.2217 3.485
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.635 8.719 2.1205 -3.301
1.058 -2.119 -0.7446 -8.048
3.260 4.816 0.3518 -1.060
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3483 40.96 14.188 22.26
-0.1233 33.88 11.115 22.78
-0.2126 38.26 2.657 22.29
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
15.2139 7.274 3.152 5.044
5.3296 14.604 13.617 10.964
0.9285 5.697 6.813 11.919
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.8500 -1.8672 -5.078 1.902
-0.7866 -1.3628 -12.114 2.475
5.1482 -0.9018 -6.627 -1.317
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.14230 -6.747 2.206 1.660
0.01659 -2.801 -4.756 1.565
0.07915 -5.243 -2.121 3.226
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.489 0.49091 1.814 -0.4402
-4.820 0.08936 -1.592 3.7732
-1.792 0.02110 -3.565 -0.8791
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.684 9.275 3.751 7.124
1.890 1.648 2.261 2.369
1.111 -2.906 -2.550 1.520
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.389 1.441 -0.1618 -0.1188
4.269 2.922 -0.2133 -0.1366
3.946 3.459 -0.2710 -0.1188
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.0817 0.08825 0.9840 -6.403
0.1938 0.12751 0.2679 1.064
-0.1828 0.12535 1.1491 -2.197
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.0060 1.5254 -3.4295 1.9987
1.7876 -0.3701 -1.9902 -0.2233
0.4726 0.3489 0.2824 0.2711
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.4146 -0.2658 1.6465 0.6731
0.8684 -0.8658 0.4471 0.2487
0.7634 -0.3304 -0.7221 0.2170
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.83568 7.337 4.2458 1.7141
-0.09260 1.261 2.1540 4.9285
-0.05844 3.953 0.9077 0.3232
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.603 0.58566 0.27871 -0.7964
3.584 0.11732 0.08389 0.1356
2.636 0.02927 0.49739 3.6599
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4489 2.243 0.33493 -2.526
-0.5528 2.582 0.22138 1.971
-0.2812 1.916 0.03446 2.222
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.716 0.13236 -5.031 -0.44667
3.002 0.39606 4.837 -0.09643
3.474 0.03731 3.598 -0.15982
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.2230 0.3670 2.510 3.615
0.5136 -0.1494 3.071 3.091
2.7236 0.3580 2.835 2.812
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.33975 5.898 0.08146 12.623
0.17908 4.447 -0.77899 9.065
0.07212 5.506 -2.60310 7.714
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.309 0 3.230 0.5607
3.759 0 6.538 0.3355
2.170 0 5.151 0.2572
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.573 -0.8620 0.7943 1.1607
6.908 1.7798 0.6849 0.7761
5.990 0.7361 0.7226 0.5931
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.544 -0.3608 2.799 -0.2321
1.413 -0.8986 3.480 -0.3555
3.087 0.2279 3.354 -2.0378
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.338 -2.627 -2.238 -2.270
-2.042 -1.937 -1.857 -1.708
-1.679 -1.639 -1.546 -1.511
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2048 -0.059275 -1.965 108.4
1.8299 0.005158 -1.701 105.1
1.0867 0.015372 -1.385 111.2
rnd_95776.volume rnd_95787.volume
1.349 -4.409
-1.510 -3.645
5.354 -4.931
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.637 1.275 7.265 1.996 2.528 0.6079 1.323 2.996 3.614 2.667 2.275
[2,] 2.664 1.276 7.326 2.969 2.792 0.6149 1.330 3.012 3.758 3.537 2.340
[3,] 2.673 1.283 7.437 3.507 3.209 0.6166 1.363 3.057 3.799 3.621 2.374
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.878 1.830 4.341 4.433 3.328 3.109 2.695 2.925 4.499 6.683 2.875
[2,] 3.434 1.832 4.705 4.603 3.523 3.351 3.177 4.022 4.674 6.927 2.990
[3,] 3.672 1.832 5.080 5.208 3.743 3.874 3.626 4.182 4.886 7.039 3.082
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.843 3.714 0.4541 3.497 2.824 1.280 2.363 0.4911 1.970 1.451 0.7928
[2,] 6.589 3.954 0.4849 4.065 4.057 1.367 3.274 0.5166 2.696 1.489 0.8143
[3,] 6.934 4.123 0.5153 4.311 4.525 1.415 3.780 0.5452 3.717 1.542 0.9055
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.484 2.126 2.063 3.056 2.215 1.681 0.6672 1.579 0.5930 1.380 1.488
[2,] 2.710 2.351 2.441 3.077 2.399 1.694 0.6786 1.604 0.5950 1.466 1.711
[3,] 3.443 2.825 2.808 3.100 2.439 1.696 0.6797 1.606 0.5951 1.645 1.777
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.188 0.9074 2.073 3.138 2.906 1.868 3.381 2.311 1.337 2.201 2.115
[2,] 2.198 0.9183 2.189 3.161 2.921 1.953 3.503 2.337 1.384 3.005 2.357
[3,] 2.247 0.9303 2.310 3.325 2.925 1.979 3.559 2.342 1.390 3.156 2.568
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.079 1.692 1.966 0.8917 1.902 1.045 1.881 1.593 1.727 1.988 0.9709
[2,] 2.277 2.345 1.987 0.8938 2.235 1.057 1.909 1.596 2.248 2.798 0.9809
[3,] 2.751 2.604 1.997 0.8938 2.558 1.060 2.065 1.600 2.265 2.826 0.9997
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.262 1.486 1.941 1.082 2.718 2.162 3.064 3.370 4.486 3.949 2.670
[2,] 2.660 1.509 2.295 1.108 2.759 2.728 3.085 4.084 4.532 4.451 3.509
[3,] 2.674 1.511 2.703 1.118 2.762 2.758 3.115 4.127 4.781 4.593 3.833
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6161 2.767 1.460 3.653 1.412 1.384 0.7335 1.706 1.287 4.726 3.145
[2,] 0.6186 3.426 1.493 4.144 1.413 1.478 0.7501 2.183 1.299 4.760 3.165
[3,] 0.6209 3.702 1.497 4.347 1.470 1.516 0.7586 2.289 1.311 4.797 3.185
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5280 0.5874 0.8516 0.8200 1.667 0.8558 0.5669 9.104 8.566 3.316
[2,] 0.6206 0.8569 0.8821 0.8743 1.731 0.8560 0.6076 10.901 9.036 3.937
[3,] 0.7487 0.8655 0.9254 0.8918 1.801 0.8562 0.6338 12.708 9.238 4.105
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.348 1.619 9.226 2.535 3.21 0.7719 1.68 3.804
[2,] 291.586 25.335 716.257 1669.195 900.14 70.5028 109.05 241.175
[3,] 161.273 104.554 972.609 1418.938 1202.35 34.4233 224.81 395.948
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.589 3.387 2.889 3.655 2.324 5.512 5.629 4.226
[2,] 782.532 1765.329 416.458 1422.955 61.208 1379.930 942.736 878.057
[3,] 425.919 586.745 305.850 987.512 6.312 1454.518 1850.150 961.598
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.949 3.423 3.714 5.713 8.486 3.65 7.419 4.716
[2,] 949.646 1277.503 2097.053 961.034 1386.534 623.84 2313.786 1030.889
[3,] 1477.140 1328.235 871.151 1081.043 946.968 567.86 1640.819 887.945
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5766 4.44 3.586 1.625 3.001 0.6237 2.502 1.843
[2,] 129.2680 1575.09 2212.902 365.573 1721.457 121.6101 1398.530 254.049
[3,] 132.4916 1089.61 1522.089 277.687 1434.901 132.4025 1943.343 302.699
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.007 3.154 2.7 2.62 3.881 2.813 2.135 0.8473
[2,] 140.971 823.588 762.0 991.56 270.683 699.313 156.014 94.0026
[3,] 300.968 1612.976 1189.7 1054.39 287.590 336.863 66.390 29.5949
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.005 0.753 1.752 1.89 2.779 1.152 2.633 3.984 3.69
[2,] 217.445 37.099 375.188 642.14 158.413 107.131 534.769 294.202 226.25
[3,] 44.817 5.749 567.995 361.95 353.639 113.474 558.948 783.240 116.45
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.372 4.294 2.935 1.698 2.795 2.686 2.64 2.149
[2,] 433.417 696.333 263.260 271.180 1554.040 790.558 705.51 1233.857
[3,] 243.454 478.552 111.132 97.378 733.529 774.629 1172.57 859.444
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.496 1.132 2.415 1.327 2.389 2.023 2.193 2.524
[2,] 221.173 47.145 892.355 122.866 245.114 66.582 1093.062 1495.825
[3,] 150.167 3.905 944.377 57.144 599.446 84.228 210.622 304.910
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.233 2.873 1.887 2.465 1.374 3.451 2.746 3.89
[2,] 106.354 1063.157 199.518 929.892 182.396 359.082 1263.261 273.25
[3,] 146.383 210.676 55.020 1084.947 114.037 106.017 308.674 328.98
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.28 5.696 5.014 3.391 0.7824 3.514 1.853 4.639
[2,] 1751.86 492.884 1559.731 1728.846 42.4226 1534.901 240.207 1486.215
[3,] 455.88 1156.344 861.083 1172.174 39.9385 1065.646 74.751 998.225
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.793 1.758 0.9314 2.166 1.635 6.002 3.994 0.6705
[2,] 33.589 394.318 119.2783 1034.442 130.831 430.163 263.318 247.7857
[3,] 307.006 254.529 86.3741 524.251 134.483 450.155 275.491 318.2116
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.7459 1.081 1.041 2.116 1.087 0.7199 11.56 10.88
[2,] 473.9680 174.484 230.556 355.876 14.339 165.9822 4554.71 2185.45
[3,] 92.7365 212.568 133.371 376.682 13.707 137.2154 4962.30 1460.45
[,98]
[1,] 4.211
[2,] 1613.006
[3,] 881.770
[1] "--- VAR model 2017-10-01 22:01:00 completed"
[1] "Completed training sample: 2017-10-01 22:01:00 - 2017-10-02 06:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 22:31:00 - 2017-10-02 06:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.1901 0.6179 1.4774 -12.7458
-2.5511 1.0588 -0.1249 -14.3700
-0.2006 0.4089 -2.3772 0.8579
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.512 0.6909 1.320 12.768
-11.298 0.5846 3.406 13.742
-10.719 0.3866 2.535 8.263
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
8.951 16.94 9.312 -8.852
14.412 12.36 5.819 -9.436
8.503 10.64 5.679 -4.534
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.07679 54.59 22.265 34.32
0.44908 49.41 9.557 24.10
0.23543 47.85 5.260 27.26
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
20.706 12.027 26.99 28.77
5.482 21.892 24.50 21.41
-2.345 -0.193 10.81 21.71
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.4276 -2.5038 -2.882 -6.7604
-0.1711 -2.2814 -9.398 -0.9436
-3.8826 -0.9634 -5.471 -2.5811
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.51510 -13.189 -18.793 5.659
-0.58264 -1.087 3.054 6.185
0.09211 -6.327 -3.968 3.360
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.394 0.2080 -7.649 -1.772
-8.421 0.7010 -13.994 -3.835
1.467 0.6182 1.523 -3.637
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.7702 -3.537 -7.871 -11.052
-2.7405 -14.793 -7.710 -6.139
-0.6347 -6.541 -9.713 -15.450
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.111 -2.383 -0.07169 -0.13599
1.235 4.675 -0.24287 0.08265
1.935 5.286 -0.14623 -0.13451
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.123216 -0.48706 -5.7999 7.260
-0.001271 0.48810 0.5993 -7.782
0.746487 -0.04524 -3.4512 -2.336
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6236 1.3060 1.015 -0.4163
1.1364 1.1746 6.523 1.1607
1.4326 0.6621 -3.481 1.0010
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.07882 -0.6745 -8.536 1.789
0.61427 -0.9827 -4.587 1.264
0.77909 1.6272 11.120 1.250
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6602 0.2015 -3.081 -6.842
-0.8800 -3.0544 -3.856 -2.463
0.3046 5.4116 1.056 -2.405
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.947 2.076 -0.1512 10.0638
-2.283 1.831 0.5406 -1.5151
-1.706 3.231 -0.5198 -0.3535
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0782 1.3970 0.2498 2.1599
-0.6707 0.6292 0.1773 1.3796
-1.1562 -3.7344 1.0285 0.1645
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.739 0.9717 -0.4307 0.5966
2.960 1.2728 1.7569 0.1281
2.374 0.5801 2.4636 0.2492
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.0158 -0.531929 7.274 1.905
2.8676 0.007282 3.618 3.873
3.1025 0.284689 3.370 3.174
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.31941 7.961 2.736 6.279
0.03231 13.162 5.502 10.562
0.01312 8.167 7.384 12.044
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.807 -0.01285 50.61 8.953
3.845 0.08745 50.89 8.325
6.515 0.08939 49.55 7.119
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
34.66 1.0514 -1.6882 0.20243
29.44 -0.8108 -1.6408 0.37125
24.35 1.2405 -0.4778 0.08688
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.732 1.367 0.6835 0.4445
-1.248 1.280 -0.6162 -0.4542
3.137 1.630 1.7206 -0.0190
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.474 2.9444 1.984097 1.9288
1.684 0.4809 -0.005883 0.1848
1.972 1.6951 1.125576 1.0767
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.2565 0.09988 -2.879 92.09
1.9522 0.53079 -2.899 96.94
-0.4147 0.01515 -2.846 97.48
rnd_95776.volume rnd_95787.volume
-14.235 -5.498
12.062 -3.365
8.274 -3.880
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.980 1.283 6.467 2.219 2.694 0.5965 1.368 3.451 4.026 2.907 2.170
[2,] 3.105 1.292 6.484 3.229 3.115 0.6097 1.386 3.737 4.314 4.120 2.245
[3,] 3.235 1.307 6.624 4.083 3.544 0.6189 1.405 3.927 4.531 4.434 2.257
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.033 1.861 4.898 5.189 3.382 3.660 2.963 3.049 4.350 6.047 2.740
[2,] 4.070 1.865 5.390 5.357 3.659 3.811 3.635 4.338 4.948 6.364 2.888
[3,] 4.251 1.865 5.769 5.612 4.020 4.432 4.022 4.508 5.203 6.492 2.957
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.682 3.518 0.5707 3.805 3.269 1.574 2.367 0.5623 2.255 1.967 1.044
[2,] 8.100 4.515 0.6124 4.530 4.749 1.617 3.433 0.5894 3.189 2.041 1.084
[3,] 8.376 4.803 0.6403 4.984 5.543 1.695 4.147 0.6211 4.405 2.120 1.189
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.856 2.261 2.188 3.552 2.294 1.659 0.6928 1.839 0.6235 2.141 1.807
[2,] 3.037 2.614 2.770 3.658 2.557 1.678 0.7031 1.862 0.6348 2.400 2.482
[3,] 4.010 3.090 3.097 3.687 2.585 1.679 0.7047 1.865 0.6404 2.525 2.807
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.277 1.161 2.288 3.110 2.874 1.916 3.210 2.122 1.330 2.363 2.239
[2,] 2.290 1.185 2.536 3.122 2.888 1.972 3.475 2.180 1.385 2.953 2.532
[3,] 2.330 1.191 2.871 3.265 2.896 1.999 3.656 2.183 1.425 3.247 2.750
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.083 1.718 2.065 0.9443 1.876 1.083 1.985 1.699 1.961 2.106 1.055
[2,] 2.356 2.416 2.080 0.9470 2.328 1.096 2.052 1.704 2.451 3.037 1.081
[3,] 2.690 2.622 2.105 0.9483 2.711 1.098 2.190 1.705 2.524 3.067 1.107
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.376 1.499 1.971 1.103 3.068 2.884 3.354 3.479 4.522 3.793 5.386
[2,] 2.852 1.524 2.400 1.126 3.128 3.367 3.377 4.440 4.566 4.595 6.065
[3,] 2.871 1.525 2.782 1.135 3.196 3.389 3.393 4.532 4.768 4.817 6.697
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5971 4.886 1.624 4.689 1.430 1.501 0.7707 1.718 1.324 5.057 3.235
[2,] 0.6002 5.880 1.784 5.237 1.431 1.597 0.7856 2.372 1.335 5.141 3.236
[3,] 0.6002 6.412 1.877 5.352 1.490 1.669 0.7899 2.465 1.369 5.160 3.310
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8564 0.8688 0.9015 0.8069 1.770 0.9196 0.5510 9.665 7.341 4.299
[2,] 0.8690 0.8955 0.9291 0.8469 1.800 0.9199 0.5993 11.414 9.742 5.012
[3,] 0.9517 0.9076 0.9438 0.8572 1.905 0.9206 0.6344 13.308 10.180 5.176
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.784 1.629 8.212 2.817 3.42 0.7575 1.737 4.382
[2,] 564.529 98.239 304.519 1519.996 1014.06 81.6869 142.011 929.593
[3,] 589.450 127.261 879.254 1618.891 1095.35 69.0872 151.600 781.835
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.113 3.692 2.755 5.121 2.364 6.22 6.59 4.295
[2,] 1004.424 1891.443 373.652 358.036 77.267 1457.81 861.17 904.657
[3,] 897.024 1061.204 147.763 793.391 8.999 1332.62 1083.93 1078.679
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.647 3.763 3.872 5.524 7.678 3.479 8.485
[2,] 689.358 1363.774 1999.712 1528.701 1286.399 592.128 2966.779
[3,] 1465.512 1115.466 793.082 1042.117 829.577 409.732 1382.099
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 4.468 0.7247 4.832 4.151 1.999 3.006 0.714 2.863
[2,] 1833.732 143.9943 1592.596 2231.538 239.891 1610.764 114.595 1460.819
[3,] 1061.200 121.0818 1346.710 1852.003 329.920 1507.825 126.798 1969.440
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.498 1.326 3.626 2.872 2.778 4.511 2.913 2.107
[2,] 352.763 188.482 669.879 850.025 1100.691 565.795 732.225 161.813
[3,] 373.103 317.135 1696.255 1067.712 897.859 298.161 244.373 40.385
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.8797 2.335 0.7918 2.719 2.294 2.892 1.474 2.905
[2,] 77.8793 190.931 77.2325 702.112 1102.178 153.363 155.243 709.404
[3,] 30.3542 64.054 54.4946 508.109 849.960 279.485 75.475 872.048
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.95 3.649 2.434 4.076 2.695 1.689 3.0 2.843 2.646
[2,] 177.07 185.925 300.764 863.016 322.982 249.756 1148.0 766.308 712.133
[3,] 618.75 134.963 212.583 735.502 67.994 217.985 874.6 694.372 841.056
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.181 2.623 1.199 2.383 1.376 2.521 2.158 2.491
[2,] 1100.335 158.915 46.080 893.150 107.005 335.509 84.646 952.585
[3,] 659.980 208.352 31.730 899.204 39.317 496.532 31.412 389.616
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.674 1.34 3.018 1.904 2.503 1.401 3.896 3.662
[2,] 1418.344 153.56 1022.016 179.179 887.699 146.465 394.881 1126.150
[3,] 276.448 153.45 213.670 13.003 911.619 93.837 426.275 247.603
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.26 4.418 5.743 4.816 6.839 0.7583 6.205 2.062
[2,] 249.85 1786.785 409.619 1680.495 1806.725 39.3172 2118.547 477.971
[3,] 216.06 588.967 888.269 936.652 1839.786 0.9670 1657.273 378.592
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.955 1.816 1.906 0.9787 2.181 1.681 6.421 4.108
[2,] 1510.111 32.458 352.047 98.4897 1059.668 111.836 601.789 39.554
[3,] 717.110 267.615 314.335 53.1253 434.183 197.859 282.603 451.614
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.087 1.103 1.145 1.025 2.247 1.168 0.6997 12.27
[2,] 95.369 140.502 145.691 166.521 214.018 12.707 152.7861 3934.20
[3,] 251.505 95.896 107.429 85.762 403.938 23.332 134.8575 4433.60
[,97] [,98]
[1,] 9.322 5.458
[2,] 4149.470 1669.487
[3,] 1914.188 839.488
[1] "--- VAR model 2017-10-01 22:31:00 completed"
[1] "Completed training sample: 2017-10-01 22:31:00 - 2017-10-02 06:30:00"
[1] "SpVAR; CCF training sample: 2017-10-01 23:01:00 - 2017-10-02 07:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.485 0.36093 -15.42 -0.8986
7.449 0.05198 -18.59 -13.5421
6.859 -0.04464 -20.99 -14.1879
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.071 1.1817 1.684 15.59
-3.807 0.9234 1.775 17.39
-9.044 1.5131 2.541 15.91
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
10.85 27.79 9.928 -15.472
20.36 11.58 6.733 -12.300
17.46 17.00 6.794 -7.642
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.035 61.94 14.441 27.62
3.345 53.50 21.850 26.92
3.443 53.63 1.677 28.53
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
15.615 13.90 21.44 24.63
16.252 16.71 23.50 18.84
6.094 14.84 22.84 17.61
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.87 -5.835 -33.51 -21.409
-13.96 -4.547 -31.02 -9.968
-20.50 -3.937 -35.43 -16.184
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6967 -16.63 -3.748 1.069
-0.9718 -14.73 -22.401 1.777
-0.3131 -13.69 -13.191 1.904
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.8687 0.1090 -10.342 -29.94
-15.5021 -1.1948 -8.435 -32.76
-14.0129 0.2934 -21.781 -29.81
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.6634 -13.1999 -7.236 -5.995
-0.6638 0.3605 -4.832 -11.725
-2.8955 -14.4028 -9.214 -7.342
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.294 3.253 -0.34472 -0.2473
4.688 3.719 -0.24321 0.3007
3.122 1.224 -0.05578 0.2618
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.8074 -0.33722 -2.330 -5.923
-0.3261 -0.06593 -6.423 -8.283
-0.8884 0.01920 -3.123 -9.187
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.762 6.860 -2.492 4.525
5.956 2.090 -4.844 4.791
4.713 3.429 -2.645 2.438
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.6989 -1.47506 -3.995 5.012
0.9619 -0.03079 4.332 2.490
1.7971 -0.70590 1.909 3.755
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.1254 11.085 1.6944 -9.789
-0.3201 -3.917 0.1377 6.841
0.9890 3.741 0.8455 -3.508
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.0498 0.4030 -0.3267 10.790
1.8570 1.8090 -0.1758 -7.319
0.3875 -0.5522 0.1070 6.422
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.998 4.152 1.673 1.731
-1.945 3.919 1.843 7.381
-1.849 -2.380 2.342 1.917
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.709 1.553 2.685 0.8574
9.731 -1.145 4.955 -0.1966
5.532 2.331 7.394 0.4194
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2972 0.3537 7.570 5.123
4.2318 0.4054 8.117 7.796
8.7166 0.7619 8.491 6.880
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2253 6.226 -5.853 8.894
0.4039 8.312 -1.232 5.829
-0.1828 7.310 -1.858 9.487
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
55.90 -0.26282 57.50 6.701
58.35 0.06269 60.05 8.750
48.34 0.11540 59.35 9.077
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
66.42 0.0766 1.6742 0.2368
61.23 1.9530 -0.4554 -0.1974
60.24 0.5307 0.9673 -0.2056
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.135 0.09773 7.200 -3.656
3.537 0.13017 4.623 -7.175
4.482 -0.18429 6.026 -4.548
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.446 3.589 2.505 5.265
7.926 3.079 3.594 8.371
8.141 3.155 5.828 6.909
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.128 0.8450 -5.252 21.05
1.962 0.8883 -4.920 23.36
-1.089 1.0051 -4.700 17.38
rnd_95776.volume rnd_95787.volume
-10.1696 -20.03
8.5510 -15.09
-0.3375 -16.92
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.251 1.488 4.968 2.862 2.703 0.5555 1.567 4.445 5.952 3.407 2.461
[2,] 3.334 1.488 5.341 3.807 3.823 0.5574 1.588 4.915 6.106 5.125 2.598
[3,] 3.374 1.505 5.635 4.403 4.194 0.5635 1.668 5.021 6.212 5.451 2.612
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.949 2.120 5.791 5.311 3.811 4.127 3.164 3.751 4.663 8.982 2.672
[2,] 5.042 2.132 6.518 5.441 3.983 4.174 4.114 5.103 5.198 9.189 3.033
[3,] 5.316 2.138 6.800 5.769 4.354 4.787 4.344 5.205 5.476 9.314 3.155
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.387 4.163 0.7594 4.282 3.670 2.297 2.701 0.7376 2.845 2.972 1.458
[2,] 10.417 4.893 0.8114 5.080 4.620 2.306 4.006 0.7548 3.902 3.069 1.477
[3,] 10.921 6.428 0.8269 6.386 5.819 2.415 4.704 0.7837 4.583 3.482 1.562
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.296 2.335 2.741 3.671 2.593 1.858 0.7712 2.189 0.8153 2.625 2.312
[2,] 3.616 3.361 3.599 3.693 2.931 1.864 0.7814 2.235 0.8155 2.851 2.859
[3,] 4.457 3.824 4.028 3.694 2.944 1.875 0.7818 2.236 0.8206 3.224 3.187
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.336 1.397 2.690 3.231 2.887 1.853 3.464 1.990 1.467 2.391 2.340
[2,] 2.413 1.503 3.159 3.232 2.918 1.879 3.809 2.035 1.534 2.899 2.720
[3,] 2.425 1.534 3.391 3.415 2.925 1.900 4.061 2.038 1.693 3.627 2.922
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.173 1.765 2.172 1.071 2.128 1.155 2.162 1.630 2.226 2.437 1.262
[2,] 2.480 2.471 2.177 1.071 2.477 1.178 2.208 1.633 2.609 3.279 1.279
[3,] 2.813 2.740 2.177 1.071 2.915 1.182 2.307 1.669 2.680 3.298 1.324
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.827 1.621 2.203 1.146 3.519 3.176 3.569 4.057 4.806 3.649 6.694
[2,] 3.148 1.653 2.749 1.196 3.634 3.564 3.581 4.950 4.824 5.035 7.709
[3,] 3.181 1.653 3.075 1.209 3.662 3.606 3.586 5.102 5.044 5.108 8.275
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6188 5.116 1.721 5.603 1.660 1.576 0.8203 1.823 1.507 5.378 4.123
[2,] 0.6258 5.503 1.916 6.172 1.669 1.673 0.8284 2.631 1.514 5.423 4.139
[3,] 0.6260 6.058 2.058 6.529 1.726 1.715 0.8316 2.660 1.533 5.477 4.221
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.350 1.123 1.023 1.040 2.015 1.071 0.5412 10.36 7.84 3.882
[2,] 1.423 1.261 1.084 1.119 2.055 1.089 0.5984 12.50 10.75 5.199
[3,] 1.495 1.326 1.112 1.291 2.123 1.099 0.6330 14.65 11.33 6.277
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.128 1.889 6.308 3.634 3.432 0.7054 1.99 5.645
[2,] 571.300 32.998 1518.591 1944.494 2093.687 35.8073 198.56 1624.198
[3,] 401.755 175.305 1393.433 1713.936 1336.546 63.9510 394.35 793.688
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.558 4.326 3.125 6.284 2.692 7.353 6.745 4.839
[2,] 1056.028 2965.994 644.704 748.359 174.866 2317.720 912.848 896.966
[3,] 887.743 1436.215 212.030 1304.901 123.525 1501.048 1484.742 1363.164
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.24 4.018 4.763 5.921 11.41 3.393 8.11 5.287
[2,] 486.28 2036.244 2679.679 1779.052 1503.18 1112.656 6374.34 1990.665
[3,] 1815.71 1081.471 794.920 1333.949 1178.34 672.888 2538.05 3229.000
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9643 5.438 4.661 2.917 3.43 0.9366 3.612 3.774
[2,] 221.3450 2116.224 2173.397 155.439 2290.83 124.3832 2068.267 591.271
[3,] 123.5156 2998.130 2740.151 554.774 1910.55 163.2762 1861.579 1274.760
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.851 4.185 2.965 3.481 4.661 3.293 2.359 0.9793
[2,] 183.053 1152.936 1872.890 1806.098 311.920 1057.919 118.883 97.6146
[3,] 393.908 2018.409 1411.672 1401.060 69.329 219.705 158.801 17.7106
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.779 1.035 3.333 2.936 2.966 1.774 3.416 4.102
[2,] 349.142 10.672 861.155 1301.994 466.807 428.168 1282.668 76.768
[3,] 63.245 71.275 1165.736 1090.868 190.161 240.778 955.727 853.762
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.666 2.353 4.399 2.527 1.863 3.036 2.971 2.76
[2,] 329.648 244.105 1226.100 330.022 348.474 1270.302 1074.553 926.27
[3,] 162.953 216.620 1091.034 82.532 554.983 1687.767 825.538 1028.35
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.241 2.758 1.36 2.702 1.467 2.745 2.07 2.827
[2,] 1340.015 116.685 27.66 982.865 176.318 349.946 72.39 1053.936
[3,] 917.205 2.541 8.18 1190.493 80.681 517.036 265.86 472.426
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.095 1.603 3.59 2.059 2.797 1.456 4.469 4.034
[2,] 1699.109 160.449 1072.41 250.226 1274.090 264.498 703.291 1251.664
[3,] 273.232 265.673 353.12 7.193 1067.596 134.561 347.750 427.472
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.532 5.152 6.102 4.633 8.501 0.7858 6.497 2.185
[2,] 226.447 2196.731 322.623 2687.048 2960.581 72.1138 1568.288 653.364
[3,] 150.182 958.056 1141.562 669.334 2329.923 13.2903 1961.791 580.628
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.115 2.107 2.001 1.042 2.316 1.914 6.829 5.236
[2,] 2005.144 137.509 435.390 89.858 1468.898 110.103 542.886 281.057
[3,] 1648.956 339.608 291.568 55.792 304.823 186.464 593.528 640.308
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.714 1.426 1.299 1.32 2.559 1.36 0.6872 13.16
[2,] 349.600 443.452 278.447 319.15 310.920 153.86 197.7587 5410.67
[3,] 354.298 317.337 191.968 499.53 413.735 115.40 159.7725 5919.81
[,97] [,98]
[1,] 9.955 4.929
[2,] 5696.579 2678.633
[3,] 2773.903 2725.251
[1] "--- VAR model 2017-10-01 23:01:00 completed"
[1] "Completed training sample: 2017-10-01 23:01:00 - 2017-10-02 07:00:00"
[1] "SpVAR; CCF training sample: 2017-10-01 23:31:00 - 2017-10-02 07:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.519 0.1037 -10.19 -0.6636
5.884 -0.8345 -14.17 -14.8796
7.146 -0.3181 -10.42 -13.5476
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-22.03 1.3160 1.778 21.52
-10.72 0.4114 4.127 29.55
-16.60 0.6982 2.796 17.39
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.768 12.17 4.760 -9.769
25.050 18.81 9.306 -8.200
19.288 27.10 6.731 -7.753
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.549 65.49 6.311 36.57
-3.215 58.59 7.368 38.79
-2.824 66.99 9.762 40.20
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.813 1.245 13.47 21.72
4.868 12.207 14.47 14.99
8.057 8.429 13.30 24.00
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.750 -4.762 -30.04 -12.483
-6.187 -5.057 -17.68 -14.770
-7.088 -4.369 -28.70 -8.828
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.2040 -15.197 -16.26 -4.151
0.7970 -12.695 -14.90 -2.494
0.8102 -7.063 -11.26 -2.221
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.96 -0.19814 4.147 -26.71
-17.37 0.82165 -17.952 -25.02
-13.61 -0.03708 -13.728 -26.64
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1775 -2.284 -18.775 -24.416
-1.2747 -8.769 -5.757 -6.702
-2.4943 -14.775 -15.970 -12.381
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.957 10.814 0.1558 0.2031
-2.484 4.536 0.8265 -0.2195
-2.219 2.885 0.2479 0.1070
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.24749 -0.3940 -7.964 -13.03
-0.02024 1.8021 -8.550 -17.46
-0.07873 0.9054 -2.628 -11.31
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.991 1.286 -5.755 -1.538
6.805 2.899 -4.351 -1.590
5.960 2.581 -7.902 -1.208
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.041 0.1192 -4.223 8.733
1.964 0.8490 -3.293 4.747
1.211 0.2899 4.281 8.222
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6467 -2.070 2.619 2.8744
-1.1271 -7.301 -4.218 -0.9873
-0.1436 -1.610 -3.135 -4.2840
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.6789 1.414 0.008759 5.5294
2.4691 1.819 0.216385 0.9311
-3.6839 1.431 0.107536 0.4771
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.374 0.6902 2.611 7.493
-1.572 1.5747 4.656 5.687
-1.854 2.6234 2.802 3.312
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.185 0.4797 12.692 -0.19763
2.543 1.3447 3.563 0.04516
6.390 0.3510 7.628 -0.16543
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.049 -0.8721 7.877 11.001
6.972 1.1795 10.008 8.104
6.285 0.6755 7.915 7.427
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.93663 10.581 -1.866 18.39
0.03852 6.492 -1.427 11.51
-0.18119 8.428 -1.226 11.06
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
69.44 -0.50828 66.53 4.912
52.58 -0.05494 72.81 5.767
54.96 0.23308 63.15 7.768
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
74.52 3.053 1.9814 -0.3667
70.04 4.720 -0.2953 -0.4063
66.86 1.816 -0.2125 -0.2405
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
9.534 0.01696 4.561 -2.788
3.807 -1.30121 6.381 -6.300
2.785 -0.55639 5.085 -5.872
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.677 5.208 31.37 41.82
4.564 6.091 29.21 37.92
5.213 5.102 26.80 30.26
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.021 1.8945 -5.375 9.058
1.461 0.9378 -4.867 1.920
3.295 -0.1937 -4.780 4.281
rnd_95776.volume rnd_95787.volume
-21.064 -15.187
-2.565 -13.429
-4.271 -9.002
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.559 1.639 7.028 3.231 4.113 0.6347 1.752 5.239 6.223 3.742 2.580
[2,] 3.675 1.639 7.268 4.109 5.173 0.6458 1.793 5.679 6.571 5.875 2.791
[3,] 3.685 1.658 7.633 5.060 5.460 0.6572 1.847 5.802 6.684 6.184 2.852
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.193 2.838 7.053 6.097 4.170 4.576 3.749 4.348 4.737 12.95 2.401
[2,] 5.311 2.901 7.807 6.259 4.316 4.633 4.817 5.493 5.324 13.52 2.690
[3,] 5.529 2.942 8.222 6.577 4.730 5.184 4.983 5.662 5.672 13.85 2.777
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.696 4.672 0.908 4.465 3.980 3.235 3.112 0.8663 3.407 3.426 1.619
[2,] 12.852 5.963 0.951 5.960 5.636 3.252 4.376 0.8687 4.429 3.533 1.641
[3,] 13.253 7.435 0.954 7.428 6.678 3.346 5.458 0.9021 5.543 3.935 1.744
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.008 3.317 3.516 4.234 2.879 2.002 0.8441 2.443 0.9110 2.946 2.426
[2,] 4.462 4.444 4.369 4.337 3.257 2.010 0.8486 2.453 0.9361 3.165 3.241
[3,] 5.450 4.761 4.842 4.386 3.342 2.034 0.8488 2.459 0.9745 3.485 3.515
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.508 1.603 2.652 3.768 3.126 2.073 3.711 1.929 1.643 2.961 2.558
[2,] 2.572 1.677 3.486 3.774 3.178 2.073 4.012 1.990 1.726 3.332 2.916
[3,] 2.580 1.707 3.748 4.059 3.203 2.110 4.450 2.013 1.861 4.361 3.107
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.439 1.807 2.676 1.145 2.448 1.218 2.375 1.832 2.376 2.886 1.455
[2,] 2.904 2.913 2.692 1.145 3.027 1.263 2.462 1.853 2.947 4.037 1.495
[3,] 3.266 3.157 2.711 1.145 3.635 1.280 2.643 1.890 3.086 4.083 1.536
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.825 1.911 2.331 1.232 3.891 4.056 3.802 4.646 5.114 4.349 6.891
[2,] 3.379 1.931 3.084 1.262 3.973 4.355 3.838 5.368 5.151 5.258 7.874
[3,] 3.433 1.931 3.534 1.279 4.010 4.388 3.843 5.454 5.469 5.377 8.595
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6319 5.913 1.852 5.867 1.892 1.700 0.9346 2.115 1.827 5.887 4.823
[2,] 0.6439 6.135 2.105 6.438 1.899 1.828 0.9369 3.099 1.828 5.907 4.929
[3,] 0.6440 6.667 2.247 6.918 1.921 1.862 0.9416 3.161 1.860 6.036 5.009
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.967 1.393 2.42 3.183 2.275 1.132 0.5497 10.47 8.301 4.968
[2,] 1.992 1.579 2.67 3.746 2.299 1.137 0.6019 12.45 12.186 6.205
[3,] 2.103 1.623 2.92 4.190 2.391 1.185 0.6454 14.50 12.917 7.598
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.52 2.081 8.925 4.103 5.222 0.8059 2.225 6.652
[2,] 671.41 15.951 1362.421 1868.004 2309.077 87.6849 282.013 1612.389
[3,] 203.84 183.476 1715.769 2171.974 1283.526 89.7824 324.039 876.184
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.902 4.752 3.276 6.594 3.604 8.957 7.743 5.295
[2,] 1553.143 3332.261 784.528 819.098 441.870 2462.591 1039.916 819.915
[3,] 898.590 1420.320 430.692 1130.188 359.990 1897.418 1485.289 1422.864
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.81 4.761 5.522 6.015 16.44 3.048 11.04 5.932
[2,] 535.48 2224.722 2468.924 1787.242 2850.19 892.236 6961.68 2726.340
[3,] 1710.78 940.247 1011.372 1439.155 2232.34 508.662 2382.94 3267.492
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.153 5.67 5.054 4.108 3.952 1.10 4.326 4.351
[2,] 208.019 2904.00 2935.013 248.121 2263.607 46.96 2082.413 634.994
[3,] 55.097 3261.65 2635.517 579.635 2399.987 178.97 2452.348 1274.234
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.056 5.09 4.212 4.465 5.377 3.656 2.542 1.072
[2,] 194.569 1443.29 2176.361 1907.302 691.159 1120.096 137.491 63.944
[3,] 435.209 2302.35 1255.460 1536.211 478.289 549.790 227.132 14.895
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.102 1.157 3.741 3.081 3.185 2.036 3.368 4.785
[2,] 162.211 158.602 850.344 1580.613 417.877 360.554 1664.837 149.857
[3,] 122.435 199.097 1073.788 1001.545 150.505 236.849 1011.861 1100.121
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.969 2.632 4.712 2.45 2.086 3.761 3.248 3.098
[2,] 421.498 11.066 1122.095 359.10 389.138 1123.162 1030.038 1158.916
[3,] 292.163 287.515 1416.204 222.53 513.015 2069.832 788.329 1098.973
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.294 3.398 1.454 3.109 1.546 3.016 2.326 3.017
[2,] 1680.960 220.280 2.980 1309.758 247.105 476.541 204.992 1283.391
[3,] 895.329 231.632 2.589 1480.320 150.941 708.567 273.229 672.995
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.665 1.848 3.587 2.426 2.961 1.564 4.941 5.151
[2,] 2076.834 249.910 1364.086 203.056 1485.435 201.483 589.155 1167.340
[3,] 449.631 262.082 448.479 37.596 1269.884 155.678 404.211 392.274
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.828 5.899 6.495 5.522 8.75 0.8024 7.509 2.352
[2,] 387.708 1978.075 447.616 2173.925 2802.51 91.1256 1203.310 735.036
[3,] 147.534 711.744 1352.340 829.182 2535.11 7.5021 1919.650 578.146
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.45 2.403 2.159 1.187 2.686 2.32 7.476 6.125
[2,] 1950.97 117.750 492.721 48.276 1666.444 52.59 360.523 748.346
[3,] 1862.50 213.981 260.968 69.132 457.019 252.03 912.730 656.133
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.498 1.769 3.073 4.042 2.889 1.437 0.698 13.29
[2,] 231.830 547.109 830.246 1452.401 241.419 78.620 180.396 4962.57
[3,] 496.628 275.663 868.881 1382.149 484.307 246.209 171.446 5472.15
[,97] [,98]
[1,] 10.54 6.309
[2,] 6563.18 2734.913
[3,] 3151.34 3225.468
[1] "--- VAR model 2017-10-01 23:31:00 completed"
[1] "Completed training sample: 2017-10-01 23:31:00 - 2017-10-02 07:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 00:01:00 - 2017-10-02 08:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
12.805 0.4321 -5.411 -25.60
8.777 0.6195 -6.637 -15.05
8.351 0.1313 -6.343 -14.62
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-36.52 1.4481 8.067 23.45
-32.21 0.5532 7.436 22.84
-23.74 1.6200 6.567 17.36
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
23.34 8.839 3.514 -9.985
23.92 24.768 6.992 -4.155
20.30 18.509 7.312 -7.237
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.05360 42.76 7.099 34.11
-0.02624 49.18 2.980 37.31
0.06902 51.72 12.581 38.08
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
9.875 6.349 25.13 17.09
6.353 9.379 21.57 21.82
7.282 6.309 22.42 17.99
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.865 -1.2960 -19.60 -2.723
-4.274 -0.7074 -12.70 -11.679
-3.159 -1.1805 -12.38 -6.841
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.076 -1.293 -13.775 -5.330
1.830 -7.938 -8.901 -4.716
1.816 -6.519 -10.966 -5.037
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-25.12 -1.3129 -25.32 -28.11
-11.82 -0.9608 -16.19 -23.12
-14.39 -0.6532 -13.86 -23.44
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.474 -21.68 -23.14 -26.20
-3.622 -19.32 -23.99 -28.06
-1.905 -10.91 -14.27 -23.64
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.398 2.948 0.0995 0.4335
-3.201 2.288 0.1077 0.0340
-1.422 6.970 0.1770 0.1602
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.156 3.620 -1.661 -4.308
-1.385 2.593 -8.132 -8.107
-3.846 1.825 -8.509 -12.667
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.112 0.4979 -3.716 2.1163
6.022 1.5674 -2.073 -0.9684
5.811 1.4184 -6.116 -0.6568
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.780 0.90088 -0.3056 3.008
1.763 -0.03933 -1.4097 3.347
3.584 0.05562 2.7751 4.363
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2744 -2.555 -0.5512 8.990
-0.7993 -4.361 -1.3611 -1.491
0.5883 1.478 -0.6825 -2.380
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.710 2.322 -0.1099 10.679
-0.174 1.619 0.3013 5.718
-1.150 1.080 0.2398 -2.022
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.664 -2.630 3.188 2.569
-1.025 3.832 1.375 1.325
-1.283 1.392 3.283 5.110
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.5763 0.5984 10.659 0.86770
0.1009 -1.0962 -5.263 -0.15387
5.2542 -0.6737 3.214 0.07057
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
11.062 0.15144 17.23 4.520
-3.210 -0.09695 18.62 5.456
2.411 0.01673 17.67 4.014
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.54678 18.529 29.31 19.926
0.06607 8.868 13.11 9.024
0.01768 11.843 14.95 9.298
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
66.92 0.027694 59.97 -0.4524
61.95 0.051300 60.79 0.8163
59.55 0.008264 53.40 0.1720
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
60.75 3.271 -0.20112 1.16930
60.44 3.323 -0.04566 0.47148
51.36 2.986 -0.26547 0.07454
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
9.9975 2.457 -15.448 -10.738
-0.8413 3.837 -8.531 -6.818
4.9024 3.700 -7.128 -5.183
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.1860 24.65 40.85 44.96
0.8423 24.26 33.01 40.61
1.5475 17.99 30.73 33.28
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.128 1.466 -6.555 -0.9168
5.246 2.046 -6.685 -0.3771
3.191 1.962 -6.477 -2.0960
rnd_95776.volume rnd_95787.volume
-12.1485 -2.815
9.1556 -11.210
0.8601 -7.123
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.512 1.939 8.204 5.456 5.180 0.7192 2.123 5.795 6.676 4.620 2.809
[2,] 3.789 1.948 8.452 5.914 6.162 0.7585 2.184 6.113 6.877 6.137 3.102
[3,] 3.813 1.966 9.069 6.493 6.672 0.8071 2.245 6.235 7.035 6.505 3.146
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.330 3.109 8.999 7.195 4.523 6.348 4.884 6.081 5.199 14.87 2.538
[2,] 5.440 3.160 10.067 7.281 4.777 6.421 5.370 6.980 5.838 15.74 2.760
[3,] 5.701 3.200 10.805 7.522 5.105 6.625 5.444 7.176 6.092 15.90 2.899
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.52 5.980 1.168 5.591 5.911 3.845 5.304 1.175 5.384 3.673 1.832
[2,] 14.26 7.137 1.204 6.904 7.171 3.985 6.003 1.183 6.160 3.780 1.864
[3,] 14.79 8.277 1.215 8.262 8.020 4.038 6.859 1.203 6.855 4.250 1.985
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.989 4.398 4.496 4.625 3.091 2.186 0.9974 2.796 1.139 3.315 2.911
[2,] 5.413 5.127 5.297 4.765 3.551 2.196 0.9980 2.812 1.185 3.656 3.618
[3,] 6.265 5.580 5.909 4.812 3.640 2.209 1.0059 2.820 1.245 3.861 3.784
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.684 1.714 3.545 4.128 3.176 2.298 3.937 2.295 1.798 3.331 2.906
[2,] 2.743 1.783 3.950 4.162 3.315 2.300 4.829 2.322 1.890 3.739 3.497
[3,] 2.765 1.794 4.061 4.494 3.430 2.322 5.077 2.372 1.986 5.109 4.028
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.676 1.930 3.193 1.284 2.673 1.345 2.719 2.363 2.845 3.500 1.511
[2,] 3.312 3.188 3.216 1.287 3.294 1.361 2.791 2.425 3.450 4.822 1.630
[3,] 3.770 3.539 3.243 1.288 3.976 1.376 2.942 2.436 3.620 4.869 1.657
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.001 2.186 2.740 1.461 4.950 5.077 4.204 5.723 5.974 5.708 8.798
[2,] 3.891 2.187 3.613 1.462 5.201 5.399 4.304 6.142 6.039 6.585 10.233
[3,] 3.962 2.196 4.151 1.464 5.302 5.517 4.330 6.251 6.350 6.676 10.812
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6575 7.585 2.242 7.949 2.088 1.797 1.084 2.360 2.268 6.812 5.465
[2,] 0.6706 8.376 2.615 9.002 2.139 1.920 1.085 3.496 2.310 6.886 5.465
[3,] 0.6709 9.037 2.746 9.731 2.152 1.986 1.131 3.621 2.335 7.289 5.701
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.220 2.826 4.057 4.516 2.599 1.248 0.5590 10.54 9.052 5.972
[2,] 2.274 3.374 4.746 5.512 2.644 1.271 0.5992 12.56 13.348 7.149
[3,] 2.387 3.581 5.011 6.236 2.724 1.292 0.6371 14.68 14.091 8.308
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.459 2.462 10.42 6.928 6.578 0.9133 2.696 7.359
[2,] 1029.310 132.343 1469.34 1651.459 2415.006 174.1931 371.018 1407.369
[3,] 312.236 192.946 2380.01 1939.745 1851.057 199.6605 378.192 890.640
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.478 5.867 3.567 6.768 3.948 11.43 9.137 5.744
[2,] 1194.452 2922.516 952.982 786.253 411.025 3265.77 806.053 1110.802
[3,] 1073.485 1560.753 378.194 1235.565 364.197 2839.52 1366.875 1303.998
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.061 6.202 7.721 6.601 18.88 3.223 12.09 7.594
[2,] 699.835 1616.083 2480.328 1922.605 3730.43 783.822 7683.59 2818.721
[3,] 1179.873 646.640 1205.534 1259.792 1657.99 642.322 2836.65 3033.143
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.484 7.1 7.506 4.883 6.736 1.492 6.836 4.664
[2,] 208.988 2930.6 2937.647 755.927 2033.984 100.767 2165.886 647.500
[3,] 120.056 3283.9 2598.772 472.619 2401.560 157.237 2176.199 1405.498
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.327 6.336 5.584 5.709 5.873 3.925 2.775 1.267
[2,] 248.740 1519.058 1906.647 2027.079 827.609 1265.685 157.381 23.837
[3,] 493.128 2282.398 1594.633 1894.184 486.912 579.905 170.305 90.831
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.551 1.446 4.209 3.696 3.409 2.177 4.501 5.242
[2,] 218.162 236.692 1115.489 1554.834 408.901 355.603 1262.000 380.938
[3,] 151.702 275.880 899.854 802.594 249.966 139.034 682.542 1227.222
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.032 2.918 5 2.914 2.284 4.23 3.69 3.398
[2,] 688.331 62.407 2023 254.119 420.629 1227.95 1407.14 1411.613
[3,] 636.743 234.704 1133 352.496 441.667 2519.58 1446.39 1303.622
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.451 4.055 1.631 3.394 1.708 3.452 3.001 3.613
[2,] 1835.962 275.190 58.622 1393.108 148.822 457.635 395.098 1411.640
[3,] 1111.885 303.152 40.568 1611.132 150.169 672.820 165.886 792.411
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.444 1.919 3.811 2.776 3.48 1.856 6.286 6.447
[2,] 2400.587 442.096 1791.727 49.757 1704.13 13.939 1154.206 1329.939
[3,] 486.578 213.717 541.747 139.059 1479.07 55.799 747.339 822.584
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.338 7.267 7.586 7.248 11.17 0.8349 9.632 2.847
[2,] 668.202 1614.039 639.258 2376.084 3780.69 95.5063 2572.325 973.458
[3,] 343.196 840.045 1422.146 797.531 2525.98 15.7823 2454.695 606.381
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 10.09 2.651 2.282 1.377 2.997 2.88 8.65 6.94
[2,] 3056.56 338.446 489.139 36.751 1866.524 319.60 728.11 10.53
[3,] 2674.12 166.319 368.539 229.946 681.813 244.83 1728.76 1174.28
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.819 3.589 5.152 5.735 3.3 1.585 0.7098 13.38
[2,] 358.847 1333.257 1781.338 2286.792 352.3 174.425 156.1250 4948.20
[3,] 525.343 869.040 1163.884 2110.045 473.8 165.865 156.6373 5500.37
[,97] [,98]
[1,] 11.49 7.583
[2,] 7099.16 2843.489
[3,] 3266.69 3063.238
[1] "--- VAR model 2017-10-02 00:01:00 completed"
[1] "Completed training sample: 2017-10-02 00:01:00 - 2017-10-02 08:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 00:31:00 - 2017-10-02 08:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.149 -0.3191 -7.496 -14.87
1.802 -0.3051 -6.807 -12.82
3.922 -0.1179 -5.797 -16.29
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.70 0.7276 2.406 8.672
-16.41 0.5456 3.731 9.355
-16.94 0.7991 2.376 6.503
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.912 1.056 -0.2032 -18.32
7.368 10.383 0.5172 -15.92
2.512 6.685 1.6387 -18.12
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.8336 -7.794 1.6200 42.93
-0.7157 -7.548 0.5155 42.43
-1.1114 -1.118 2.5875 40.62
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.7447 -1.392 0.9187 -2.501
-3.3547 -2.586 5.0275 2.376
-2.2164 -1.763 5.9350 1.016
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.358 2.957 -22.73 -12.748
-6.027 2.625 -18.49 -10.401
-5.169 2.826 -17.32 -9.435
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.3400 -11.341 -11.64 -3.638
0.9329 -10.793 -15.17 -4.760
0.7014 -8.713 -12.37 -4.592
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.23 0.5453 -7.793 -23.14
-12.73 0.6221 -10.975 -18.47
-12.71 0.5928 -12.869 -19.21
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.252 -15.11 -20.14 -22.30
-1.800 -12.62 -10.63 -13.40
-2.837 -15.31 -11.78 -14.12
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.108 9.7197 -0.1246 0.5265
2.148 0.4995 0.2426 0.6697
1.329 3.1344 0.4055 0.4362
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.3848 2.3242 -4.111 -6.949
-1.9831 2.6897 -5.557 -14.549
-0.8702 0.7205 -2.810 -10.250
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.819 0.6695 2.706 5.653
1.128 0.3371 -5.052 4.697
1.483 -0.7688 -7.533 5.058
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.728 -0.8661 -11.785 5.686
1.921 -0.7004 3.890 4.696
1.408 -0.3970 3.187 3.635
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3171 2.709 8.510 -1.6390
-1.4278 -9.790 -7.590 -0.2611
1.2658 6.614 2.474 -4.3749
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.265 1.07318 0.5578 -4.962
5.372 2.00453 -0.1753 2.766
-6.590 -0.05987 -0.1627 4.275
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.239 -6.7837 2.4831 3.600
-1.011 1.8598 0.9441 -3.743
-1.552 0.6189 2.3075 2.915
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.963 -0.1617 4.1295 1.406
-4.329 -0.9978 -1.5144 1.114
2.811 -1.6310 0.3516 0.250
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.582 0.69961 6.68 2.0122
1.450 0.55851 12.60 0.6551
-3.707 0.09379 11.57 -0.0069
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.0198 7.644 7.921 11.772
-1.0668 3.146 4.390 4.946
-0.4793 6.793 6.353 4.187
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.556 -0.6203 13.635 -2.942
4.979 0.1076 1.439 -2.007
3.306 0.1167 -5.694 -2.218
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.423 1.8727 2.126 0.6272
6.342 0.4757 -1.947 0.8378
1.139 1.3395 0.877 -0.2307
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
13.3272 -0.8241 -12.312 -13.411
3.3192 -0.5381 -10.152 -7.235
-0.3341 -0.2187 -9.494 -10.395
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.607 6.609 13.145 11.281
1.276 7.848 8.360 5.919
1.398 4.442 8.374 11.576
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.7896 0.2354 -6.601 -1.520
0.8701 1.2204 -6.738 -1.134
2.3314 0.8374 -6.574 -3.205
rnd_95776.volume rnd_95787.volume
-20.052 -13.70
16.651 -11.35
1.039 -9.47
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.710 2.124 9.672 6.533 5.911 0.7903 2.506 6.240 7.399 4.925 3.018
[2,] 4.062 2.135 9.836 7.012 6.769 0.8358 2.574 6.415 7.596 6.650 3.410
[3,] 4.109 2.145 10.532 7.490 7.217 0.8703 2.689 6.585 7.692 6.867 3.444
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.483 3.214 10.06 7.549 4.910 7.211 5.719 6.462 5.724 15.15 2.741
[2,] 5.529 3.257 11.63 7.677 5.153 7.353 6.204 7.217 6.243 15.88 2.981
[3,] 5.733 3.295 12.60 7.887 5.676 7.472 6.352 7.501 6.457 16.02 3.172
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.98 6.487 1.477 6.588 6.932 4.075 6.302 1.333 6.309 3.961 1.940
[2,] 15.70 7.579 1.494 8.112 8.190 4.304 6.985 1.334 7.002 4.097 2.002
[3,] 16.25 8.736 1.523 9.384 8.851 4.395 7.713 1.340 7.667 4.622 2.141
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.160 5.223 5.342 4.921 3.712 2.445 1.092 2.897 1.300 3.592 2.989
[2,] 6.578 5.768 6.411 5.145 4.287 2.450 1.092 2.900 1.352 3.986 4.027
[3,] 7.272 6.107 7.014 5.183 4.407 2.472 1.106 2.961 1.462 4.131 4.253
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.893 1.864 3.732 4.122 3.389 2.443 4.149 2.607 1.983 3.660 3.203
[2,] 2.942 1.915 4.175 4.274 3.528 2.443 5.125 2.635 2.080 4.109 3.748
[3,] 2.975 1.922 4.322 4.348 3.550 2.458 5.289 2.677 2.213 5.239 4.266
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.945 2.014 3.279 1.383 2.875 1.519 2.895 2.575 3.221 4.884 1.607
[2,] 3.622 3.463 3.280 1.384 3.458 1.533 2.973 2.618 3.912 5.866 1.770
[3,] 4.179 3.805 3.302 1.388 4.251 1.562 3.198 2.619 4.057 5.894 1.793
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.723 2.345 2.931 1.459 5.266 5.291 4.279 6.192 5.836 5.963 9.273
[2,] 4.251 2.348 3.929 1.492 5.483 5.519 4.407 6.492 5.866 6.793 10.958
[3,] 4.392 2.356 4.527 1.516 5.713 5.606 4.454 6.578 6.225 6.868 11.600
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7306 8.222 2.848 8.346 2.280 1.920 1.190 2.613 2.585 7.228 5.670
[2,] 0.7514 9.325 3.353 9.523 2.341 2.059 1.190 4.122 2.618 7.371 5.715
[3,] 0.7533 9.989 3.526 10.183 2.361 2.135 1.251 4.278 2.634 7.914 5.837
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.575 3.298 4.477 5.045 2.878 1.581 0.5663 10.57 10.15 6.479
[2,] 2.699 3.856 5.183 5.819 2.898 1.595 0.6055 12.59 14.47 7.730
[3,] 2.809 3.990 5.506 6.769 3.008 1.629 0.6427 14.71 15.39 8.893
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.711 2.697 12.28 8.296 7.506 1.004 3.183 7.923
[2,] 1105.443 148.625 1196.86 1704.370 2206.314 181.915 390.754 995.315
[3,] 415.215 134.868 2517.77 1760.237 1673.608 162.255 521.353 995.068
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.396 6.254 3.833 6.963 4.081 12.78 9.586 6.236
[2,] 1146.536 2988.039 1061.025 473.204 355.397 3895.97 931.670 1045.488
[3,] 812.336 1145.798 325.455 1015.005 331.454 3255.53 1209.516 1591.626
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.157 7.262 8.206 7.269 19.24 3.48 13.94 8.238
[2,] 961.365 1607.395 2147.909 1666.522 3170.79 784.29 7504.66 2620.146
[3,] 889.400 912.597 1368.010 1101.937 1447.46 723.68 2811.91 2906.109
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.875 8.366 8.802 5.175 8.003 1.693 8.012 5.03
[2,] 152.482 3165.004 2917.356 925.659 2013.346 38.660 2030.127 701.26
[3,] 198.489 3155.274 2244.447 596.023 2187.819 82.871 2089.424 1431.09
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.463 7.822 6.633 6.783 6.249 4.714 3.104 1.387
[2,] 331.926 1542.718 1637.218 2370.729 1003.674 1434.780 112.561 13.265
[3,] 507.571 2074.344 1340.930 1902.924 418.962 680.697 218.198 117.268
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.678 1.651 4.561 3.795 3.674 2.367 4.74 5.235
[2,] 95.522 247.458 1155.480 1804.714 358.619 293.877 1250.27 753.608
[3,] 401.078 372.433 726.107 914.708 295.434 112.751 749.83 536.210
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.304 3.103 5.269 3.31 2.519 4.648 4.067 3.74
[2,] 654.608 18.400 2011.701 256.95 418.625 1248.759 1302.471 1409.67
[3,] 265.058 176.715 874.209 317.62 506.253 2173.316 1361.403 1394.44
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.557 4.164 1.757 3.651 1.928 3.676 3.27 4.09
[2,] 1884.193 52.207 18.673 1284.889 138.987 452.134 316.20 1485.27
[3,] 1054.108 251.393 72.531 1653.557 200.163 788.335 51.80 718.33
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.202 2.04 4.728 2.978 3.721 1.853 6.687 6.719
[2,] 2173.255 496.11 1371.295 71.636 1749.831 206.812 1020.640 1050.282
[3,] 380.256 194.95 740.112 131.470 1503.428 180.888 1074.561 657.134
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.433 7.863 7.411 7.572 11.78 0.9278 10.44 3.617
[2,] 707.271 1303.648 393.103 2175.876 3904.09 117.2306 2941.04 1182.901
[3,] 427.817 712.340 1392.376 680.713 2545.75 35.7278 2394.82 730.459
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.6 2.896 2.438 1.511 3.319 3.282 9.178 7.2 3.27
[2,] 3067.8 352.368 496.977 21.364 2131.240 278.992 967.127 476.9 540.05
[3,] 2411.0 208.403 378.471 256.436 767.175 189.923 1925.947 796.3 520.56
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.188 5.685 6.406 3.655 2.008 0.7191 13.42 12.88
[2,] 1336.792 1746.309 1938.831 227.105 138.407 143.4486 4579.48 6896.67
[3,] 685.210 1243.196 2313.186 537.813 222.001 144.0634 5088.93 3519.02
[,98]
[1,] 8.227
[2,] 2819.008
[3,] 2940.705
[1] "--- VAR model 2017-10-02 00:31:00 completed"
[1] "Completed training sample: 2017-10-02 00:31:00 - 2017-10-02 08:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 01:01:00 - 2017-10-02 09:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.194 -0.5586 -5.322 -16.40
5.858 -0.3111 -3.074 -16.00
5.123 -0.1460 -1.876 -11.74
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.94 2.1627 6.722 15.858
-17.33 0.9124 5.023 9.859
-17.49 1.0763 4.236 8.475
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.163 -5.519 -0.2534 -10.747
6.809 12.875 2.0998 -7.781
5.712 6.920 2.2494 -8.958
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.647 6.665 4.6434 31.10
-3.350 7.729 -0.7987 29.50
-3.064 11.899 4.4871 31.04
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.0235 0.7945 4.049 11.71
0.7977 2.6947 13.982 17.65
1.2740 0.8036 9.512 11.48
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.9373 -3.286 -5.668 -7.995
-2.7167 -3.302 -13.115 -2.189
-0.4468 -3.089 -8.172 -5.754
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.316 -9.987 -11.534 -5.335
1.981 -3.317 -11.164 -5.718
1.743 -5.984 -8.499 -3.850
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.195 0.9350 -15.57 -30.76
-12.836 0.8816 -12.28 -28.37
-8.503 0.9560 -10.06 -26.37
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.549 -7.32 -3.877 -2.647
-1.810 -9.31 -9.932 -8.295
-2.042 -9.34 -10.248 -10.474
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.395 -1.5345 -0.4450 -0.24275
3.667 0.4647 -0.0561 0.13570
4.200 4.9943 -0.2473 -0.04124
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.8699 -0.2313 0.8524 -8.165
-1.7780 0.6808 0.3220 -6.039
-0.2001 -0.4840 -2.2240 -6.879
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.367 1.6769 -4.407 1.724
3.732 0.8421 -1.008 4.910
2.924 1.3752 -1.980 3.662
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.749 0.8922 6.0903 8.327
1.910 0.8014 0.4622 4.268
4.777 -0.2504 0.3173 5.223
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.380 5.161 6.8239 10.492
1.869 5.536 4.1756 3.465
-0.144 -1.543 -0.4184 3.056
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.784 1.910 0.175871 9.906
5.923 3.098 0.324485 10.936
4.358 1.660 0.006828 3.973
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0943 -5.617 -0.8047 -1.144
-0.7043 5.319 1.8311 -2.048
-1.3535 5.063 1.0673 8.288
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.352 2.2652 8.525 0.1566
-5.777 -0.2831 -5.456 -0.2703
6.677 -0.5954 2.344 -0.1094
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.782 -0.3894 13.634 3.821
-2.678 0.7781 9.944 2.289
-2.560 -0.6145 11.268 2.103
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.8203 2.824 7.458 10.369
-1.6821 6.672 1.226 5.196
-0.9443 4.293 3.825 5.617
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.572 0.02255850 7.251 3.126
13.116 0.01476084 20.759 2.923
17.341 -0.00009265 16.906 3.157
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.812 1.926 2.4855 -0.018274
11.931 1.634 1.6816 -0.002104
13.118 2.559 0.2819 0.020485
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.281 -0.8349 0.8862 -13.31
-2.920 -0.4769 0.3266 -11.10
5.002 -0.2303 2.3665 -7.31
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.910 8.857 12.98 13.67
4.693 9.436 15.60 13.61
2.744 8.359 14.72 15.57
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.832 0.8780 -7.057 -1.4550
2.989 0.9048 -6.809 0.1116
3.497 0.8886 -6.777 -0.9185
rnd_95776.volume rnd_95787.volume
23.666 -10.190
-3.243 -3.848
11.416 -6.832
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.849 2.271 10.09 7.240 6.500 0.9332 2.580 6.381 7.746 5.506 3.130
[2,] 4.236 2.297 10.25 7.682 7.325 0.9743 2.599 6.550 7.927 7.442 3.565
[3,] 4.291 2.309 10.91 8.112 7.714 1.0209 2.661 6.834 7.999 7.644 3.597
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.699 4.719 10.24 7.931 5.160 7.455 6.025 10.53 6.101 15.72 3.135
[2,] 5.766 5.311 11.54 8.043 5.426 7.580 6.563 11.08 6.570 16.36 3.321
[3,] 6.096 6.009 12.44 8.243 5.931 7.691 6.646 11.87 6.810 16.48 3.586
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.60 7.106 1.609 6.914 7.419 4.400 6.816 1.534 6.749 4.434 2.073
[2,] 16.82 8.032 1.626 8.675 8.634 4.593 7.451 1.536 7.518 4.648 2.129
[3,] 17.42 9.155 1.666 10.045 9.211 4.755 8.106 1.551 8.145 5.111 2.232
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.590 5.755 5.925 5.210 3.953 2.670 1.176 3.055 1.384 3.906 3.107
[2,] 7.031 6.363 6.913 5.436 4.512 2.677 1.177 3.062 1.431 4.324 4.250
[3,] 7.713 6.662 7.424 5.475 4.628 2.683 1.198 3.095 1.582 4.455 4.511
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.976 2.043 4.044 4.347 3.726 2.638 4.466 2.747 2.103 4.127 3.392
[2,] 3.053 2.134 4.433 4.532 3.881 2.639 5.587 2.848 2.221 4.819 4.048
[3,] 3.081 2.151 4.590 4.580 3.972 2.658 5.759 2.919 2.369 5.730 4.615
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.235 2.065 3.932 1.492 2.989 1.680 3.071 3.003 3.439 5.016 1.720
[2,] 3.890 3.602 3.948 1.492 3.703 1.727 3.174 3.085 4.367 6.181 1.883
[3,] 4.318 4.032 4.005 1.494 4.508 1.795 3.384 3.090 4.532 6.230 1.915
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.962 2.456 3.217 1.544 5.588 5.523 4.399 6.409 5.933 6.558 9.939
[2,] 4.436 2.457 4.246 1.598 5.749 5.832 4.550 6.762 5.968 7.190 11.686
[3,] 4.629 2.472 5.062 1.612 6.030 5.943 4.606 6.857 6.367 7.286 12.422
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8354 8.483 3.119 8.629 2.504 2.067 1.408 2.713 2.695 7.589 6.216
[2,] 0.8559 9.474 3.667 9.829 2.573 2.231 1.414 4.270 2.737 7.721 6.264
[3,] 0.8600 10.176 3.882 10.558 2.578 2.318 1.415 4.440 2.753 8.295 6.365
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.117 3.672 4.874 5.410 3.037 1.790 0.5909 10.61 11.15 7.081
[2,] 3.211 4.422 5.485 6.174 3.063 1.802 0.6299 12.64 15.28 8.190
[3,] 3.303 4.749 5.902 7.037 3.198 1.806 0.6732 14.75 16.40 9.398
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.887 2.883 12.82 9.194 8.254 1.185 3.277 8.102
[2,] 1032.997 203.892 1050.82 1500.456 1971.856 163.418 181.067 863.855
[3,] 400.017 135.895 2174.92 1520.729 1413.650 178.266 333.302 1138.831
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.836 6.991 3.974 7.237 5.993 13.01 10.07 6.552
[2,] 984.893 2924.926 997.460 510.457 1422.944 3111.76 781.93 980.872
[3,] 623.081 1019.194 279.110 1155.387 1641.343 2712.64 1054.08 1397.817
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.467 7.651 13.37 7.748 19.97 3.981 14.73 9.023
[2,] 801.125 1518.664 2016.40 1423.626 2643.57 639.611 7117.17 2187.383
[3,] 760.233 612.317 2474.97 1046.546 1152.34 790.520 2634.64 2566.097
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.043 8.78 9.421 5.588 8.656 1.948 8.57 5.63
[2,] 138.100 3060.29 2579.337 768.536 1758.261 50.570 1934.48 813.69
[3,] 212.269 2957.30 1874.046 719.857 1863.624 122.673 1830.54 1241.43
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.633 8.369 7.308 7.523 6.615 5.019 3.391 1.494
[2,] 283.050 1430.539 1585.355 2080.457 906.566 1270.622 106.810 22.592
[3,] 391.355 1851.988 1153.259 1581.150 382.027 601.622 110.760 130.097
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.879 1.758 4.96 3.945 3.779 2.594 5.135 5.52
[2,] 121.832 212.600 1082.90 1693.972 396.737 360.111 1061.226 748.42
[3,] 263.462 393.371 628.25 882.664 244.194 157.851 694.816 386.35
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.732 3.35 5.671 3.489 2.67 5.24 4.307 4.108
[2,] 632.839 13.26 1961.286 438.938 416.79 1453.67 1290.321 1261.450
[3,] 493.873 188.03 815.481 373.760 481.16 1810.24 1294.696 1095.470
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.623 4.993 1.895 3.796 2.133 3.9 3.813 4.367
[2,] 1723.332 205.187 4.670 1275.976 234.531 468.4 413.716 1572.192
[3,] 1059.114 394.429 42.049 1501.586 284.988 685.3 104.822 708.558
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.369 2.184 5.031 3.118 4.085 1.961 7.096 7.013
[2,] 2110.139 448.133 1165.923 42.985 1618.846 239.291 787.146 1095.151
[3,] 454.180 201.748 772.387 161.140 1609.470 124.553 1063.936 665.512
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.586 8.139 7.534 8.328 12.62 1.061 10.77 3.961
[2,] 678.572 1259.772 375.858 1720.687 3589.35 108.582 2464.49 1126.359
[3,] 419.261 664.036 1295.632 688.866 2461.14 48.898 2169.15 742.885
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 10.96 3.18 2.625 1.788 3.445 3.422 9.637 7.894
[2,] 2748.91 345.86 490.466 72.358 1926.190 280.300 830.284 449.025
[3,] 2252.35 95.15 365.573 41.256 709.255 173.154 1770.601 660.449
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.958 4.663 6.189 6.869 3.856 2.272 0.7504 13.47
[2,] 451.086 1439.407 1469.029 1738.459 233.850 120.998 127.4692 4011.24
[3,] 450.866 1010.501 1272.718 1972.092 537.542 72.485 138.6298 4447.45
[,97] [,98]
[1,] 14.16 8.992
[2,] 6098.85 2403.468
[3,] 3485.88 2691.622
[1] "--- VAR model 2017-10-02 01:01:00 completed"
[1] "Completed training sample: 2017-10-02 01:01:00 - 2017-10-02 09:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 01:31:00 - 2017-10-02 09:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.910 0.7470 -1.7208 -0.3865
3.974 0.3975 0.2276 -3.4630
5.220 0.1513 0.7448 -0.3201
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.01899 0.7508 3.867 12.581
0.13337 0.8513 4.527 5.608
-3.59534 1.1083 3.244 11.517
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.483 14.523 2.966 -7.528
6.619 8.718 3.613 -9.173
7.821 3.654 1.743 -9.547
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.492 4.886 0.1112 33.77
-5.240 7.511 5.2034 33.34
-4.506 6.766 5.5952 32.02
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.574 2.398 11.768 10.74
1.126 3.145 4.204 11.14
4.691 2.726 7.257 11.66
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.07413 -1.947 1.227 -7.440
-1.49419 -1.620 -5.748 -1.534
-0.49779 -1.362 -2.384 -3.817
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.866311 -8.0546 -9.714 4.7771
0.009944 -0.6496 -4.391 0.6113
1.148827 -2.4880 -1.513 0.6471
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.450 0.2981 1.459 -5.554
-5.397 0.5670 -5.336 -4.378
-2.075 0.5394 -2.221 -4.067
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.04403 -3.889 -2.516 -6.959
-0.17081 -7.484 -2.334 -3.165
-0.18579 -6.541 -4.599 -5.426
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.5928 -3.4346 -0.7029 -0.6538
0.3621 2.1415 -0.6592 -0.3874
-0.2571 0.4186 -0.7885 -0.2191
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.0116 0.6930 -1.378 -14.586
0.7503 -1.3362 -3.336 -6.198
-1.6904 -0.2146 -2.737 -8.686
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.113 2.965 -8.585 3.021
3.266 1.480 -5.000 5.163
3.733 1.114 -2.943 2.884
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.5491 -0.9839 5.101 5.566
1.7296 0.4365 -7.290 5.681
1.0034 0.3532 -1.187 4.897
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.033 3.192 -2.021 -2.104
-1.553 -1.728 2.477 3.561
-0.518 -4.063 -3.888 -2.944
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.051 0.7097 0.30691 4.146
-1.511 0.8466 -0.01113 1.109
2.252 0.5707 -0.13445 1.223
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6553 -0.5772 2.1494 -4.1224
-0.5587 0.3449 1.4987 2.8505
-0.6532 -0.8828 0.4614 0.7308
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.5397 -1.6570 -1.832 0.5251
0.3689 0.5266 -1.710 0.2636
1.2514 -0.5547 1.564 0.1341
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.8764 -0.1606 5.587 4.819
-2.8270 0.1575 9.759 3.683
1.4989 -0.2636 7.793 3.298
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.8382 11.950 2.608 9.498
0.2033 2.050 2.625 6.738
0.1282 5.587 3.458 5.953
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
18.69 -0.12445 7.913 3.582
13.72 0.05949 14.155 3.472
16.12 0.04737 13.990 3.994
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.16 1.4419 -0.7989 0.26006
17.10 0.7340 0.5746 0.23548
17.27 0.4434 -1.1828 0.07485
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.1234 0.4273 2.779 -0.8211
-0.9038 0.1401 -5.959 -0.2130
2.3483 0.2508 -3.259 0.2141
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.805 2.209 2.578 4.582
1.533 4.303 2.606 2.804
1.607 3.304 4.604 6.238
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.003735 0.57251 -5.644 -3.362
1.091393 -0.01139 -5.290 -4.064
-1.079982 0.76450 -5.149 -3.906
rnd_95776.volume rnd_95787.volume
-14.475 -6.20053
-9.695 -0.08422
5.240 -3.74754
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.453 2.386 11.04 7.442 6.715 1.014 2.644 6.735 8.090 5.827 3.293
[2,] 4.687 2.413 11.17 7.904 7.600 1.048 2.654 6.948 8.345 7.857 3.822
[3,] 4.729 2.420 11.83 8.396 8.036 1.066 2.718 7.138 8.405 8.077 3.868
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.960 4.793 10.62 8.047 5.454 7.703 6.328 11.33 6.830 15.98 3.236
[2,] 6.017 5.365 12.02 8.157 5.791 7.815 6.827 12.01 7.438 16.58 3.413
[3,] 6.238 6.062 12.86 8.412 6.279 7.934 6.923 12.53 7.762 16.68 3.676
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.35 7.440 1.709 7.172 7.644 5.025 7.008 1.612 6.973 4.913 2.287
[2,] 17.95 8.436 1.729 9.035 8.916 5.174 7.697 1.613 7.754 5.216 2.317
[3,] 18.56 9.566 1.774 10.439 9.574 5.354 8.419 1.621 8.490 5.750 2.418
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.883 6.021 6.201 5.421 4.153 2.866 1.276 3.252 1.431 4.206 3.431
[2,] 7.304 6.677 7.201 5.651 4.708 2.875 1.278 3.254 1.477 4.565 4.663
[3,] 7.984 6.987 7.723 5.688 4.846 2.892 1.291 3.293 1.631 4.694 4.893
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.255 2.296 4.302 4.568 4.220 2.891 4.815 3.059 2.236 4.354 3.538
[2,] 3.354 2.433 4.768 4.792 4.292 2.892 6.254 3.093 2.384 5.041 4.294
[3,] 3.426 2.446 4.963 4.850 4.385 2.917 6.367 3.189 2.512 5.948 4.969
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.455 2.184 4.124 1.591 3.101 1.789 3.211 3.371 3.576 5.196 2.004
[2,] 4.229 3.778 4.154 1.591 3.842 1.863 3.304 3.382 4.527 6.385 2.118
[3,] 4.692 4.262 4.181 1.595 4.740 1.954 3.528 3.427 4.634 6.414 2.119
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.189 2.674 3.369 1.602 6.052 6.008 4.673 6.697 6.546 6.852 10.29
[2,] 4.695 2.676 4.450 1.670 6.245 6.270 4.804 7.112 6.656 7.564 12.12
[3,] 4.889 2.687 5.260 1.688 6.488 6.382 4.891 7.202 7.094 7.662 13.07
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9386 9.059 3.472 9.135 2.729 2.185 1.546 2.915 3.134 8.189 6.583
[2,] 0.9454 10.328 3.984 10.431 2.834 2.349 1.552 4.469 3.155 8.300 6.631
[3,] 0.9463 11.275 4.220 11.207 2.860 2.450 1.553 4.632 3.159 8.762 6.736
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.347 4.031 5.216 5.625 3.230 1.937 0.6219 10.65 11.84 7.403
[2,] 3.412 4.691 5.812 6.386 3.261 1.945 0.6633 12.69 16.13 8.624
[3,] 3.473 4.893 6.284 7.271 3.431 1.948 0.7127 14.83 17.31 9.834
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.654 3.03 14.02 9.45 8.527 1.288 3.357 8.553
[2,] 736.703 180.40 839.29 1338.83 1789.708 132.075 117.145 857.608
[3,] 314.212 95.57 1957.83 1424.05 1313.062 99.178 295.429 823.079
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.27 7.399 4.182 7.568 6.087 13.49 10.22 6.926
[2,] 1030.04 2650.044 975.091 418.206 1211.912 2824.34 671.46 978.131
[3,] 502.00 942.811 299.586 827.160 1418.429 2294.00 1032.41 1220.220
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.781 8.036 14.39 8.673 20.29 4.11 15.69 9.448
[2,] 664.866 1287.396 1993.29 1480.958 2218.22 544.72 6548.71 1998.801
[3,] 688.186 579.963 1796.70 1115.765 911.12 686.62 2362.06 2268.183
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.17 9.107 9.707 6.381 8.9 2.047 8.854 6.238
[2,] 132.10 2762.502 2307.164 619.190 1600.1 26.839 1704.863 881.606
[3,] 200.99 2629.682 1754.164 693.022 1714.9 80.365 1738.400 1216.442
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.905 8.74 7.645 7.874 6.884 5.273 3.639 1.62
[2,] 185.174 1228.70 1451.036 1841.116 802.370 1115.714 115.601 35.31
[3,] 346.988 1621.33 1034.955 1403.596 323.105 576.826 154.073 93.73
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.129 1.818 5.341 4.357 4.133 2.915 5.463 5.8
[2,] 66.842 183.580 892.281 1587.961 406.573 405.006 1034.193 728.5
[3,] 251.836 348.163 548.266 745.383 352.512 129.563 691.957 374.3
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.359 3.671 6.115 3.885 2.839 5.529 4.493 4.387
[2,] 392.975 36.951 2006.429 230.120 416.059 1276.717 1223.276 1226.237
[3,] 450.748 190.145 599.263 390.454 398.269 1587.394 1257.549 1021.557
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.773 5.237 2.020 3.937 2.272 4.078 4.28 4.541
[2,] 1550.155 247.569 4.367 1140.810 260.985 390.462 139.64 1395.788
[3,] 991.463 240.234 58.362 1395.822 296.796 622.469 278.02 498.147
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.598 2.545 5.319 3.395 4.277 2.035 7.685 7.629
[2,] 1865.289 344.142 1066.095 57.307 1461.859 235.959 774.403 901.962
[3,] 307.456 34.667 685.388 124.468 1410.387 125.108 883.903 597.344
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.935 8.504 8.312 8.7 13.07 1.192 11.5 4.409 11.6
[2,] 558.178 1204.675 605.813 1611.7 3212.80 56.854 2493.9 982.275 2531.5
[3,] 462.826 567.944 1234.550 614.4 2465.96 20.542 2273.7 699.565 2061.0
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.465 2.775 1.963 3.701 3.98 10.4 8.359 4.25 5.119
[2,] 383.784 433.720 71.465 1703.155 182.69 680.0 402.061 333.40 1206.313
[3,] 194.757 349.002 30.488 612.549 78.50 1411.1 593.826 323.89 699.440
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.623 7.143 4.102 2.46 0.7897 13.52 15.03 9.401
[2,] 1289.438 1520.404 225.759 84.68 116.0042 3471.35 5510.19 2224.462
[3,] 1200.560 1747.804 535.170 62.29 131.0517 3857.91 3151.94 2375.502
[1] "--- VAR model 2017-10-02 01:31:00 completed"
[1] "Completed training sample: 2017-10-02 01:31:00 - 2017-10-02 09:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 02:01:00 - 2017-10-02 10:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3109 -0.067273 -7.732 -3.467
0.3927 0.044475 -9.731 -7.864
1.0593 0.005844 -7.844 -11.713
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.240 0.4687 2.747 3.8516
-1.465 0.9257 2.302 2.9047
-6.131 0.3689 2.770 0.4163
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.329 -4.130 1.1051 -12.76
2.998 2.870 1.1246 -12.59
3.542 2.587 0.5589 -13.11
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.394 -4.3244 2.850 26.06
-5.251 -0.3726 -1.499 25.85
-4.756 -1.2157 0.625 23.78
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.2468 -4.4988 6.583 6.913
0.7179 1.7203 4.096 3.655
-0.7255 -0.7569 3.435 5.109
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.330 -0.1296 -31.43 -7.264
-4.989 0.5320 -19.88 -13.013
-5.501 0.2967 -21.00 -8.208
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.46310 -10.165 -9.241 1.2817
-0.24240 -13.511 -10.191 1.0117
-0.04561 -9.454 -11.525 -0.2465
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.044 0.2433 -7.292 -5.502
-8.252 -0.6248 -5.921 -6.036
-10.939 -0.3504 -11.050 -6.493
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.1697 0.9116 9.502 5.104
-1.1371 -5.7638 -3.803 -1.951
-1.3643 -5.9096 -6.470 -5.689
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.044 -1.4107 1.0470 -0.3151
-1.679 0.6201 1.4123 0.1027
-1.301 0.6041 0.8857 0.2609
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.7280 -1.7828 -3.895 -8.975
-0.3204 -1.3019 3.051 -9.015
0.8237 -0.1563 -1.907 -3.121
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.619 0.1643 0.3537 -0.695
1.381 0.7568 -5.2824 6.041
1.769 0.3955 -2.6398 3.044
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.554321 -0.3564 -1.065 2.249
0.008074 0.6263 3.112 4.083
0.129251 0.1878 -1.229 3.200
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.2427 -4.0374 -3.2325 -6.912
1.5386 3.8008 -0.8223 -3.086
-0.4885 -0.6686 1.6945 3.265
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.6780 0.4452 0.17933 8.998
-3.6466 0.1095 0.19671 -4.037
0.1202 0.2799 0.08453 -3.204
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.629 1.303 -0.30002 -1.8387
-3.136 3.533 -0.04323 3.3216
-3.014 -3.747 0.55972 -0.8834
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.1753 0.3527 0.8925 -0.2041
0.9414 0.7999 -1.2026 -0.6261
3.3866 0.5588 2.7628 -0.3878
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.770 -0.3147 0.4921 1.4618
-2.922 -0.1093 1.4691 0.9595
2.642 -0.1350 -0.7608 0.6023
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.6969 -2.4067 5.574 5.965
0.9593 1.6595 2.895 2.049
0.5616 0.1609 1.929 1.490
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.5621 0.241263 9.120 -1.049
0.5652 -0.012423 8.308 -1.406
-1.5481 -0.002403 6.711 -1.104
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.530 1.4348 -1.2424 -0.17063
4.834 0.9625 -0.4331 -0.04847
1.532 1.2630 0.4295 -0.03920
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.2092 0.19216 0.9190 2.1719
0.2589 0.07072 1.9153 3.7687
2.1776 0.07841 0.2988 0.6887
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7807 0.6736 -2.6944 -3.6611
-0.3373 -0.7481 -0.7142 -0.8356
0.7662 0.3604 0.6484 -1.8526
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3618 -0.02922 -6.775 -1.1161
2.0271 0.03059 -6.658 -0.8052
-1.7076 0.35384 -6.626 -2.3046
rnd_95776.volume rnd_95787.volume
17.446 -7.132
-3.435 -12.921
5.211 -8.475
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.675 2.546 11.46 7.673 6.987 1.093 2.773 7.373 8.480 6.053 3.376
[2,] 5.165 2.569 11.60 8.205 7.916 1.130 2.777 7.561 8.751 8.475 3.968
[3,] 5.201 2.578 12.28 8.861 8.470 1.152 2.829 7.731 8.819 8.641 4.017
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.427 4.887 10.89 8.136 5.669 8.119 6.570 13.41 7.348 16.34 3.707
[2,] 6.512 5.437 12.34 8.278 6.048 8.207 7.269 14.00 7.945 16.92 3.816
[3,] 6.771 6.114 13.15 8.564 6.507 8.356 7.359 14.32 8.319 17.02 4.165
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.02 8.015 1.797 7.475 8.085 5.246 7.279 1.769 7.215 5.124 2.450
[2,] 19.56 9.138 1.818 9.621 9.601 5.386 8.123 1.773 8.088 5.465 2.485
[3,] 20.17 10.559 1.867 11.373 10.410 5.614 8.999 1.795 9.040 6.030 2.589
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.401 6.363 6.446 5.746 4.502 3.011 1.373 3.485 1.511 4.434 3.738
[2,] 7.789 7.097 7.640 5.944 5.092 3.018 1.374 3.496 1.557 4.800 5.023
[3,] 8.725 7.504 8.153 5.994 5.179 3.037 1.381 3.498 1.713 4.966 5.229
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.489 2.424 4.502 5.343 4.679 3.036 5.085 3.160 2.341 4.672 3.736
[2,] 3.611 2.572 5.011 5.372 4.700 3.039 6.738 3.199 2.487 5.349 4.651
[3,] 3.691 2.589 5.192 5.776 4.861 3.071 6.946 3.294 2.639 6.457 5.258
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.691 2.368 4.431 1.637 3.290 1.859 3.306 3.554 3.792 5.353 2.159
[2,] 4.336 4.014 4.468 1.637 4.186 1.932 3.403 3.565 4.794 6.636 2.276
[3,] 4.794 4.619 4.493 1.639 5.088 2.028 3.690 3.587 4.976 6.675 2.277
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.503 2.778 3.482 1.664 6.844 6.452 4.972 6.938 6.713 7.133 10.71
[2,] 5.021 2.782 4.725 1.752 6.880 6.810 5.082 7.526 6.820 8.159 12.45
[3,] 5.207 2.794 5.580 1.773 7.179 6.972 5.168 7.607 7.256 8.383 13.34
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9938 9.514 3.759 9.556 2.981 2.329 1.658 3.083 3.238 8.876 6.915
[2,] 1.0000 10.644 4.258 10.933 3.074 2.506 1.661 4.748 3.265 8.974 6.921
[3,] 1.0001 11.584 4.556 11.799 3.110 2.631 1.661 4.921 3.268 9.455 7.021
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.451 4.125 5.295 5.669 3.422 2.051 0.6492 9.57 12.26 8.053
[2,] 3.549 4.795 5.883 6.435 3.472 2.062 0.6935 10.81 17.49 9.299
[3,] 3.585 5.006 6.359 7.334 3.660 2.063 0.7465 12.34 18.29 10.747
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.937 3.233 14.55 9.744 8.872 1.389 3.521 9.362
[2,] 897.878 140.156 744.72 1189.108 1522.780 116.362 58.848 685.009
[3,] 250.150 88.206 1647.01 1369.409 1233.198 91.925 221.234 661.734
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.77 7.686 4.287 8.161 6.205 13.83 10.33 7.198
[2,] 884.57 2427.874 853.208 429.515 975.596 2377.63 624.63 862.430
[3,] 450.18 689.079 256.108 759.380 1144.309 1860.06 899.43 982.732
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 10.31 8.343 17.03 9.331 20.75 4.707 16.53 10.18
[2,] 490.11 1272.455 1653.90 1236.477 1803.96 370.449 5974.67 1796.45
[3,] 643.98 469.699 1227.70 1008.929 758.85 682.864 2011.35 2164.49
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.282 9.492 10.27 6.661 9.244 2.246 9.162 6.507
[2,] 111.590 2478.638 2118.54 499.301 1475.341 51.426 1495.966 777.242
[3,] 174.629 2481.929 1647.40 648.211 1585.043 112.124 1652.145 1043.005
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.111 9.398 8.079 8.185 7.296 5.717 3.824 1.744
[2,] 169.953 993.375 1286.326 1678.533 622.404 973.574 81.467 15.290
[3,] 297.576 1609.084 997.893 1164.526 316.243 388.196 140.544 57.484
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.425 1.918 5.63 4.747 4.431 3.078 5.717 6.785
[2,] 117.025 154.573 752.09 1373.084 380.430 351.482 900.339 229.187
[3,] 42.379 292.250 522.01 594.583 312.210 120.961 556.273 868.153
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.941 3.855 6.457 4.013 2.973 5.932 4.745 4.687
[2,] 181.492 50.951 1809.164 202.198 343.169 1066.445 1133.373 931.115
[3,] 507.827 181.829 690.664 321.277 360.689 1479.871 1003.460 837.023
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.007 5.626 2.079 4.178 2.36 4.198 4.513 4.815
[2,] 1326.639 235.650 7.921 1059.469 215.19 329.317 115.605 1200.645
[3,] 934.765 194.577 31.599 1183.325 252.92 583.998 164.463 546.112
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.798 2.742 5.718 3.527 4.422 2.113 8.691 8.193
[2,] 1605.247 294.856 908.664 63.578 1306.826 223.857 286.125 891.192
[3,] 294.363 28.154 565.882 107.049 1215.014 113.559 839.171 612.056
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.314 8.81 8.525 9.058 13.61 1.262 12.08 4.773
[2,] 429.137 1193.48 491.119 1621.357 2593.34 45.599 1953.05 819.229
[3,] 385.641 455.46 1014.104 786.623 1961.27 2.745 1870.81 663.365
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 12.13 3.785 2.958 2.105 3.914 4.112 11.27 8.78
[2,] 2174.01 307.492 378.518 41.283 1478.096 169.803 543.41 122.26
[3,] 1815.91 193.358 327.119 4.345 528.342 62.563 1218.02 484.16
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.383 5.238 6.724 7.198 4.346 2.605 0.8244 12.15
[2,] 338.262 1000.838 1049.589 1246.171 239.156 85.771 99.7298 2054.37
[3,] 206.306 588.428 987.620 1440.356 473.757 22.483 113.0899 2436.58
[,97] [,98]
[1,] 15.57 10.23
[2,] 5102.47 1903.05
[3,] 2189.21 2204.86
[1] "--- VAR model 2017-10-02 02:01:00 completed"
[1] "Completed training sample: 2017-10-02 02:01:00 - 2017-10-02 10:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 02:31:00 - 2017-10-02 10:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.907 0.9190 -1.0837 -4.060
3.051 0.4654 -0.2222 -4.483
3.697 0.1868 -1.0692 -2.890
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.672 -0.45999 -1.0199 5.118
-6.444 0.13891 1.2597 3.268
-5.900 0.05823 0.1696 1.653
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.847 -6.3866 -0.6332 -12.10
4.313 4.5753 1.8696 -11.63
5.151 0.8688 1.2381 -12.79
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.066 -2.483 -0.8973 29.72
-5.104 1.320 0.1381 29.44
-4.575 1.470 2.3742 30.63
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.8614 2.2380 4.782 9.581
0.6995 1.7215 9.072 9.857
1.7461 0.6256 1.733 5.700
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.7774 -0.04839 -8.301 -4.614
-0.9885 -0.69575 -5.334 -3.876
-1.4458 -0.51618 -3.537 -3.025
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1449 -6.448 -8.956 2.637
0.6721 -4.496 -5.074 3.544
0.3975 -2.860 -4.083 1.699
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.707 -0.4918 -6.364 -6.354
-6.269 -0.4816 -7.355 -6.631
-4.236 -0.2570 -4.393 -6.095
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1875 0.9024 -3.692 -10.279
-1.7335 -9.4910 -5.141 -2.436
-0.9911 -5.8518 -5.539 -7.715
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.0178 3.231 2.049 0.3117
-0.7040 -2.568 1.273 0.2161
-0.1709 -4.752 0.572 -0.1070
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.6548 -1.8657 -3.655 5.1500
1.9837 0.7363 -1.390 -3.6149
0.2248 -0.1062 -1.191 0.2141
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.167 1.3746 3.70779 -1.032
2.108 0.4049 0.01725 3.674
2.290 0.6057 -2.59995 2.292
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.8583 -0.58868 -2.159 2.288
2.2484 0.18860 3.831 3.528
1.4226 0.06678 2.221 2.532
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.3722 -7.655 -2.7217 -2.683
1.4168 2.050 -0.7242 -5.628
-0.1218 1.597 2.6386 3.450
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.837 -0.541729 -0.06977 -6.025
-2.295 -0.190017 -0.10769 -4.854
-1.303 0.003473 0.06915 -3.161
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.3854 -0.4423 0.9585 4.039
-0.8392 -6.4408 1.7087 -2.330
-1.3563 -1.2487 1.6762 -3.650
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.2062 1.2346 1.974 0.5012
0.6405 1.0474 3.631 -0.3422
-4.1714 0.4232 -4.076 -0.4198
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.8063 0.9660 2.643 3.140
6.5740 0.3887 6.023 2.668
-0.4431 0.4775 1.876 1.928
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.8429 6.205 7.654 8.771
1.5159 2.759 6.385 6.278
0.8235 3.520 6.814 5.120
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.937 0 10.645 4.130
6.430 0 9.893 3.297
9.237 0 12.213 4.004
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.505 -0.8666 -1.7375 -0.08327
9.909 -0.5411 -0.8497 0.08852
7.234 -0.9309 0.5202 -0.06147
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.6959 0.7635 10.114 -0.88633
0.1311 0.3973 5.746 0.08493
-3.7434 0.1776 5.753 -0.72571
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7513 0.3317 -1.5790 -1.5994
1.4767 0.3532 -0.1481 -0.5363
1.0814 0.7828 -0.4413 0.1189
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.04732 0.1984 -7.283 -1.0072
-4.51564 0.2523 -6.862 0.1178
-0.73635 0.4039 -7.193 -0.9270
rnd_95776.volume rnd_95787.volume
12.5051 -4.540
0.4665 -4.444
7.4626 -3.684
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.767 2.669 11.93 8.029 7.157 1.175 2.980 7.814 8.670 6.234 3.531
[2,] 5.103 2.687 12.05 8.665 8.153 1.226 3.014 7.845 8.953 8.755 4.155
[3,] 5.114 2.698 12.67 9.550 8.720 1.268 3.132 8.019 9.027 8.791 4.194
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.620 4.955 10.98 8.247 5.876 8.225 6.740 13.63 7.513 16.70 3.954
[2,] 6.719 5.496 12.33 8.418 6.229 8.369 7.489 14.24 8.183 17.22 4.059
[3,] 7.047 6.183 13.13 8.746 6.723 8.546 7.608 14.57 8.655 17.31 4.369
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.35 8.303 1.863 7.681 8.356 5.565 7.505 1.857 7.346 5.346 2.638
[2,] 20.55 9.388 1.880 9.889 9.885 5.721 8.369 1.862 8.269 5.732 2.665
[3,] 21.08 10.950 1.935 11.876 10.740 5.977 9.312 1.879 9.279 6.336 2.791
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.670 6.568 6.618 5.875 4.650 3.285 1.439 3.613 1.594 4.686 4.409
[2,] 8.098 7.370 7.946 6.043 5.307 3.300 1.439 3.622 1.636 5.067 5.533
[3,] 9.024 7.812 8.466 6.087 5.385 3.324 1.446 3.624 1.787 5.276 5.709
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.678 2.502 4.756 5.502 5.006 3.165 5.236 3.381 2.425 4.933 3.860
[2,] 3.786 2.649 5.385 5.534 5.015 3.167 6.983 3.421 2.536 5.682 4.789
[3,] 3.896 2.663 5.570 5.937 5.156 3.195 7.238 3.526 2.740 6.852 5.446
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.700 2.438 4.615 1.683 3.453 1.917 3.371 3.783 3.928 5.518 2.311
[2,] 4.520 4.161 4.654 1.683 4.402 1.989 3.462 3.794 4.977 6.802 2.422
[3,] 5.061 4.827 4.677 1.685 5.314 2.080 3.750 3.814 5.162 6.838 2.424
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.662 3.001 3.598 1.771 7.102 6.852 5.148 7.167 7.027 7.642 10.94
[2,] 5.194 3.005 4.850 1.862 7.137 7.189 5.244 7.823 7.134 8.592 12.65
[3,] 5.393 3.022 5.806 1.884 7.419 7.426 5.321 7.905 7.548 8.796 13.50
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.044 9.812 4.043 9.563 3.072 2.449 1.800 3.226 3.352 9.212 7.212
[2,] 1.049 10.987 4.530 10.992 3.165 2.640 1.809 4.904 3.372 9.301 7.215
[3,] 1.049 12.021 4.838 11.812 3.201 2.772 1.809 5.074 3.377 9.819 7.301
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.501 4.166 5.343 5.703 3.559 2.200 0.6807 9.07 13.26 8.450
[2,] 3.598 4.867 5.924 6.459 3.592 2.206 0.7205 10.28 18.60 9.623
[3,] 3.634 5.090 6.413 7.375 3.740 2.206 0.7740 11.80 19.17 11.226
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.053 3.389 15.15 10.2 9.089 1.492 3.784 9.923
[2,] 683.884 117.584 643.14 1222.6 1465.005 131.597 169.735 261.099
[3,] 123.628 91.060 1465.80 1507.2 1161.154 121.880 319.199 623.206
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.01 7.916 4.484 8.406 6.292 13.94 10.47 7.462
[2,] 838.72 2307.379 821.776 431.316 892.214 2107.39 634.43 776.247
[3,] 433.06 295.919 213.945 797.234 1063.322 1693.14 889.95 949.363
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 10.44 8.559 17.31 9.54 21.21 5.021 16.95 10.54
[2,] 580.65 1225.588 1541.54 1217.32 1564.67 344.667 5862.09 1644.84
[3,] 649.22 502.921 1152.49 1057.74 675.65 606.585 1766.53 2115.30
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.366 9.753 10.61 7.067 9.53 2.358 9.328 6.789
[2,] 93.172 2337.962 1981.76 497.993 1389.92 51.216 1424.949 775.749
[3,] 172.161 2468.322 1576.22 649.603 1532.98 94.684 1580.132 1013.680
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.35 9.739 8.341 8.403 7.46 5.905 4.171 1.827
[2,] 142.02 975.318 1254.275 1650.867 531.61 959.809 118.242 2.036
[3,] 311.86 1494.875 972.245 1096.881 275.44 343.756 149.914 53.959
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.587 2.024 5.951 5.599 4.671 3.177 6.04 6.987
[2,] 99.319 137.872 722.717 1254.859 336.345 326.151 947.53 220.974
[3,] 46.293 270.502 552.905 527.897 345.128 104.235 535.34 807.707
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.356 4.02 6.649 4.293 3.079 6.264 4.901 4.698
[2,] 112.487 38.10 1733.970 194.989 278.795 1058.629 1064.086 974.306
[3,] 450.792 157.82 714.803 320.911 389.784 1436.879 973.660 854.506
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.096 5.861 2.138 4.385 2.434 4.28 4.804 4.988
[2,] 1265.682 225.378 3.113 1024.818 199.818 295.37 111.023 1147.388
[3,] 918.462 174.292 23.421 1116.875 227.740 541.56 144.809 513.220
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.007 2.934 5.919 3.811 4.569 2.249 9.019 8.702
[2,] 1492.650 272.830 860.004 52.743 1220.475 214.879 264.252 815.961
[3,] 264.562 30.594 544.717 119.390 1198.266 107.924 761.064 698.306
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.537 9.101 8.923 9.704 13.89 1.325 12.46 5.134
[2,] 374.815 1176.923 462.945 1474.245 2386.45 38.509 1855.79 766.754
[3,] 337.921 426.386 925.374 706.424 1762.12 2.532 1830.29 638.220
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 12.14 3.901 3.109 2.286 4.097 4.257 11.7 9.158
[2,] 2033.99 285.527 370.535 67.806 1386.258 136.034 481.7 74.226
[3,] 1623.67 178.293 316.767 2.556 488.609 67.051 1180.6 420.868
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.445 5.29 6.785 7.242 4.519 2.793 0.8643 11.52
[2,] 311.920 944.51 960.479 1138.089 184.520 61.327 88.6816 1812.85
[3,] 192.366 559.91 921.792 1336.079 391.051 13.052 106.1167 2176.98
[,97] [,98]
[1,] 16.83 10.73
[2,] 4896.31 1728.07
[3,] 1738.02 2169.97
[1] "--- VAR model 2017-10-02 02:31:00 completed"
[1] "Completed training sample: 2017-10-02 02:31:00 - 2017-10-02 10:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 03:01:00 - 2017-10-02 11:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.754 0.1703 -6.085 3.222
3.799 0.1816 -8.079 -13.904
4.245 0.0786 -4.717 -7.979
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.737 -0.4879 1.079 2.013
1.330 0.4073 2.078 2.397
-7.720 0.1298 1.875 3.346
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.281 -0.8523 0.9009 -12.11
5.658 1.7643 0.8623 -12.03
5.213 2.0378 1.0179 -9.68
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.842 5.913 4.1271 31.57
-3.189 4.708 -0.2792 31.80
-2.843 6.041 1.0683 32.53
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.396 6.6026 17.29 9.025
1.703 3.1187 18.15 10.919
2.151 0.6992 11.99 8.408
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.8327 1.351 -14.49 -16.067
-3.1382 1.269 -13.01 -5.673
-1.9070 1.036 -17.90 -6.512
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.0503 -18.263 -11.41 1.87
0.8659 -6.070 -10.60 3.94
0.3639 -6.057 -5.90 2.50
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.780 -0.5278 2.273 -0.3523
-13.854 -0.3574 -11.227 -1.8137
-7.236 -0.3150 -9.519 -0.6326
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.8120 -3.505 -2.379 0.9547
-0.6144 -1.746 0.437 -0.6846
-2.0938 -10.001 -9.928 -2.8837
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4883 -0.12276 0.06931 0.3355
0.8787 0.03881 -0.30244 0.3541
-0.1186 1.65863 -0.07047 0.2427
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3488 0.8893 3.5479 -3.321
0.3603 -0.3077 -0.6114 -1.252
-0.5549 0.1276 -0.1638 -2.278
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.375 2.221 1.2122 -2.669
5.517 2.810 -1.1332 1.968
4.725 1.978 -0.9402 1.276
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.01701 -0.32182 1.9827 3.360
2.39369 0.01095 -0.6967 2.910
1.41396 -0.02549 -0.7022 3.888
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.01973 -2.2724 -6.7762 -6.3714
0.10449 0.1174 0.8683 -0.1627
-0.24981 -0.7750 -0.1328 -0.2536
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.0966 -1.4136 -0.004618 1.006
-6.2626 -0.9087 0.180470 -2.531
0.8222 -0.5480 0.097198 -3.115
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.578 0.2635 0.32878 0.4012
-1.962 3.2692 -0.09628 0.1794
-1.322 -4.0402 0.11406 0.6767
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.272 1.2159 2.8075 -0.54400
1.533 1.0032 0.4334 0.37395
3.451 -0.3319 2.9258 -0.08828
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.1848 0.8416 5.720 6.470
-0.3912 0.4390 4.975 4.866
1.5786 0.0611 6.549 4.275
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.8511 5.279 9.778 15.223
1.5256 3.925 6.279 10.164
0.8476 2.859 5.767 6.857
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.00 0.09263 17.14 1.3975
13.82 -0.06256 20.23 0.4636
8.85 -0.09819 17.73 1.0397
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
17.40 0.08992 -1.7864 -0.436206
14.83 0.69377 0.4718 0.159172
14.46 0.83486 -0.2634 0.006699
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.8899 0.3243 -0.3678 0.1918
0.5236 0.2308 2.5796 0.9507
0.8963 0.2113 3.4898 0.6457
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3618 1.3949 -1.6913 -1.0837
0.5042 1.4920 -0.1049 -0.9089
0.9430 0.8829 1.1515 0.3679
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.4099 -0.45961 -6.046 -1.235
2.4865 -0.01699 -6.064 -1.833
-2.3387 0.41133 -6.112 -1.992
rnd_95776.volume rnd_95787.volume
1.241 -15.299
-3.956 -5.337
5.736 -6.647
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.968 2.859 12.29 8.303 7.388 1.325 3.083 8.058 9.134 6.478 3.627
[2,] 5.286 2.868 12.41 8.974 8.607 1.326 3.129 8.096 9.354 9.095 4.340
[3,] 5.305 2.875 13.01 9.913 9.209 1.409 3.239 8.271 9.459 9.116 4.371
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.867 5.058 10.86 8.407 6.008 8.480 6.908 14.76 7.912 16.89 4.050
[2,] 6.992 5.577 12.04 8.641 6.323 8.557 7.732 15.33 8.546 17.38 4.162
[3,] 7.317 6.244 12.74 8.994 6.836 8.774 7.873 15.77 8.902 17.47 4.446
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.80 8.801 1.996 7.978 8.372 5.806 7.783 1.968 7.74 5.659 2.828
[2,] 21.44 9.790 2.018 10.163 9.895 5.984 8.719 1.974 8.65 6.097 2.867
[3,] 21.93 11.427 2.072 12.237 10.720 6.236 9.693 1.987 9.76 6.778 3.018
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.951 6.771 6.887 6.205 4.817 3.561 1.522 3.840 1.684 4.913 4.682
[2,] 8.402 7.743 8.477 6.329 5.510 3.572 1.522 3.866 1.719 5.312 5.838
[3,] 9.421 8.209 9.045 6.368 5.649 3.585 1.529 3.879 1.854 5.571 6.025
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.896 2.659 5.020 5.687 5.338 3.347 5.534 3.664 2.517 5.073 4.048
[2,] 4.069 2.822 5.715 5.722 5.339 3.349 7.414 3.714 2.656 5.830 5.100
[3,] 4.207 2.850 5.915 6.120 5.552 3.377 7.687 3.753 2.786 7.024 5.889
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.900 2.609 4.791 1.756 3.559 1.949 3.504 3.913 4.074 5.706 2.422
[2,] 4.755 4.395 4.828 1.756 4.533 2.018 3.610 3.926 5.126 6.933 2.526
[3,] 5.332 5.101 4.847 1.757 5.462 2.115 3.913 3.939 5.346 6.995 2.529
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.880 3.186 3.808 1.811 6.824 7.064 5.509 7.405 7.317 7.868 11.33
[2,] 5.399 3.187 5.061 1.911 6.969 7.407 5.570 8.026 7.427 8.902 13.08
[3,] 5.572 3.197 5.888 1.933 7.170 7.636 5.639 8.114 7.814 9.098 13.95
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.136 10.01 4.243 9.746 3.187 2.552 1.928 3.332 3.487 9.623 7.625
[2,] 1.138 11.15 4.692 11.315 3.282 2.752 1.936 5.073 3.502 9.704 7.626
[3,] 1.138 12.15 4.983 12.196 3.314 2.895 1.937 5.232 3.507 10.211 7.707
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.581 4.223 5.404 5.725 3.686 2.306 0.6978 8.707 13.70 8.966
[2,] 3.694 4.932 5.975 6.482 3.719 2.312 0.7317 9.815 19.01 10.005
[3,] 3.746 5.167 6.473 7.406 3.888 2.312 0.7859 11.236 19.94 11.683
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.308 3.63 15.61 10.54 9.382 1.683 3.914 10.23 11.6
[2,] 573.145 75.54 537.56 1081.03 1400.949 17.568 170.741 248.29 640.8
[3,] 142.653 62.32 1246.77 1336.61 1040.001 151.035 265.521 537.27 446.1
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.226 4.606 8.721 6.422 13.79 10.68 7.629 10.77
[2,] 2026.145 756.339 417.743 745.634 1650.87 634.54 625.132 364.66
[3,] 196.303 164.740 684.024 891.801 1318.57 791.57 825.051 614.91
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.772 18.74 10.05 21.45 5.143 17.53 11.18 2.535
[2,] 1102.590 1314.85 1025.53 1303.90 304.537 5208.12 1360.82 95.199
[3,] 470.626 1179.79 790.95 572.72 495.798 1452.27 1870.30 148.090
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.13 10.63 7.373 9.884 2.50 9.829 7.186 3.591
[2,] 1998.27 1674.01 459.077 1247.445 46.00 1225.424 720.359 149.833
[3,] 2163.44 1308.50 557.528 1343.583 72.03 1434.775 939.735 298.651
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 10.1 8.598 8.746 7.879 6.117 4.522 1.932 4.876
[2,] 861.5 1192.058 1568.466 395.462 848.966 87.833 6.764 141.518
[3,] 1352.6 865.603 1001.251 224.964 395.636 97.389 47.922 102.943
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.139 6.239 5.946 4.947 3.377 6.374 7.222 6.778
[2,] 108.732 640.659 1106.333 372.208 299.503 866.792 201.485 25.641
[3,] 220.497 532.995 473.551 339.416 126.105 485.062 689.077 484.125
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.25 7.028 4.652 3.196 6.442 5.14 4.952 3.313
[2,] 37.40 1565.624 192.902 268.700 911.478 984.84 863.356 1122.414
[3,] 137.31 644.406 172.932 267.785 1243.328 934.12 765.591 822.100
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.084 2.229 4.519 2.475 4.45 4.969 5.173 7.246
[2,] 188.935 8.064 890.989 165.814 275.39 102.136 987.367 1250.025
[3,] 138.147 24.048 967.289 201.273 479.44 98.853 482.118 294.346
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.076 6.197 4.046 4.836 2.299 8.666 8.971 6.996
[2,] 227.417 733.281 21.520 1057.805 193.688 448.809 706.515 260.485
[3,] 38.705 436.813 80.504 955.027 92.829 534.431 588.758 279.247
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.403 9.291 9.991 14.38 1.442 12.71 5.388 12.38
[2,] 982.807 404.886 1321.914 2073.17 23.826 1559.53 635.707 1824.73
[3,] 377.823 770.803 595.756 1544.47 3.170 1535.55 533.132 1444.82
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 4.047 3.24 2.449 4.232 4.428 12.22 9.682 4.547
[2,] 248.300 327.14 53.073 1213.927 104.912 397.90 53.749 287.349
[3,] 146.608 284.96 23.849 406.932 57.450 1008.34 352.852 198.231
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 5.362 6.862 7.269 4.681 2.929 0.8861 11.06 17.4
[2,] 809.003 809.014 964.792 156.342 49.439 69.8468 1437.70 4181.8
[3,] 488.409 790.094 1136.882 360.142 16.485 91.0612 1736.17 1906.5
[,98]
[1,] 11.39
[2,] 1408.95
[3,] 1914.45
[1] "--- VAR model 2017-10-02 03:01:00 completed"
[1] "Completed training sample: 2017-10-02 03:01:00 - 2017-10-02 11:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 03:31:00 - 2017-10-02 11:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.313 -0.4277 2.811 3.214
3.546 -0.2717 -6.766 -4.248
1.900 -0.1131 -3.551 -9.002
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.5642 0.67873 1.915 9.939
0.2614 0.03316 2.418 6.333
-1.7964 0.23079 2.481 5.733
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
8.137 6.822 4.309 -6.2646
4.111 8.817 3.162 0.1885
5.184 5.332 1.931 -5.5556
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.1688 12.32 6.741 24.86
0.4728 11.59 3.089 23.75
0.1149 11.70 3.887 25.36
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.085 7.291 13.47 6.930
4.100 4.439 11.08 7.075
4.824 3.638 11.33 8.004
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.925 -1.3893 -25.351 -7.8913
-2.591 -0.3909 -3.944 -7.7870
-2.128 -0.5384 -13.685 -0.4422
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4293 -6.886 0.4099 2.393
-0.3270 -10.071 -9.6315 2.950
-0.1169 -2.509 -5.0845 2.268
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.4912 -0.3000 0.6863 -3.480
-5.2459 -0.2136 0.2897 -3.369
-8.8882 -0.3353 -8.0662 -2.656
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.0641 -1.9585 0.06801 -1.8799
0.1733 0.9348 -0.47266 -0.6834
-1.3643 -5.9861 -2.15144 -0.7749
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.3892 -1.151 0.21198 -0.3652
0.8204 -4.987 0.72327 0.1146
0.8352 3.663 0.07876 0.1312
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.3503 0.5457 -2.2223 -13.276
-0.6578 1.0406 -0.3746 -6.249
-0.4573 -0.8948 -1.1876 -5.976
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.2172 0.38760 -12.448 0.05583
0.3279 0.05662 -5.551 -0.21885
0.9179 0.11341 -2.416 0.17631
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.747 0.05386 -0.4251 4.625
1.060 0.94585 -3.3483 4.117
0.575 0.21316 -8.1033 3.574
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.6664 -10.370 -10.0582 -6.444
0.6823 3.936 0.5227 -5.773
-1.6400 -7.349 -1.9976 2.430
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
6.752 -0.4750 0.03385 -2.0399
-9.671 -0.2587 0.01159 -0.9356
1.004 -0.1336 -0.04923 -7.4654
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.037 -6.813 0.8250 -5.216
-1.058 5.130 0.3058 -2.553
-1.383 -5.224 -0.2287 2.782
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.062 0.6007 3.647 0.2949
-4.611 0.2747 -5.476 0.4188
6.023 1.2552 3.648 -0.2066
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.772 1.5138 4.624 3.385
-3.164 0.3758 4.465 2.946
1.084 -0.6386 4.982 1.289
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.486 3.898 -6.096 -0.03598
-2.440 1.721 -6.465 2.60500
-1.303 2.446 -5.179 1.79493
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.1594 0.1128 6.320 2.723
5.0254 -0.2713 7.668 2.952
9.2744 0.1058 11.087 4.021
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.423 -0.333792 -3.6671 -0.07093
8.652 0.003697 -0.4763 -0.04297
11.811 0.163371 -0.9900 0.02103
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.23241 -0.4353 7.287 -1.13138
-4.06115 -0.2484 8.160 -0.06928
-0.09018 -0.1825 6.505 -1.76374
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.142 0.23328 -0.4302 1.162
1.079 0.02795 1.0556 1.998
1.224 0.98791 2.0438 2.603
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.373 -0.29518 -7.803 0.3682
4.146 -0.05493 -8.012 0.7967
-2.391 -0.34837 -7.798 0.3664
rnd_95776.volume rnd_95787.volume
9.171 -8.9810
-23.812 -7.6860
-5.491 -0.4789
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.215 3.007 12.92 8.405 7.548 1.388 3.218 8.405 9.443 6.693 3.791
[2,] 5.751 3.013 13.05 9.132 8.800 1.389 3.275 8.437 9.689 9.191 4.543
[3,] 5.779 3.017 13.62 10.208 9.413 1.467 3.389 8.636 9.803 9.205 4.579
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.778 5.134 10.84 8.478 6.149 8.531 7.069 16.17 8.390 17.19 4.141
[2,] 7.115 5.630 12.15 8.713 6.478 8.721 7.932 17.01 8.862 17.65 4.245
[3,] 7.531 6.316 12.88 9.082 6.997 9.098 8.076 17.77 9.287 17.76 4.520
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.66 8.978 2.086 8.144 8.522 6.082 7.914 2.042 7.842 5.905 2.929
[2,] 22.62 9.977 2.119 10.475 10.153 6.329 8.929 2.049 8.783 6.361 2.975
[3,] 23.11 11.746 2.203 12.713 11.049 6.632 9.992 2.059 9.960 7.047 3.123
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.171 6.978 7.115 6.372 4.922 3.682 1.604 3.945 1.749 5.069 4.956
[2,] 8.601 7.983 8.782 6.485 5.593 3.686 1.604 3.966 1.783 5.476 6.168
[3,] 9.651 8.467 9.370 6.521 5.748 3.704 1.612 3.989 1.919 5.730 6.350
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.121 2.728 4.852 5.871 5.604 3.439 5.709 3.954 2.595 5.265 4.255
[2,] 4.242 2.895 6.081 5.908 5.606 3.441 7.573 4.017 2.743 5.997 5.322
[3,] 4.414 2.923 6.391 6.306 5.802 3.466 7.963 4.060 2.875 7.215 6.062
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.143 2.705 4.966 1.785 3.765 2.067 3.693 4.041 4.304 5.781 2.526
[2,] 5.069 4.620 4.998 1.785 4.751 2.147 3.806 4.047 5.372 7.159 2.632
[3,] 5.598 5.367 5.015 1.786 5.747 2.248 4.181 4.064 5.619 7.233 2.638
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.994 3.472 3.963 1.873 7.097 7.247 5.731 7.641 7.525 8.045 11.58
[2,] 5.566 3.475 5.343 1.970 7.232 7.604 5.785 8.314 7.643 9.114 13.20
[3,] 5.741 3.483 6.269 1.993 7.421 7.828 5.871 8.388 8.025 9.340 14.03
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.212 10.24 4.285 9.623 3.272 2.690 2.033 3.463 3.603 9.939 7.989
[2,] 1.212 11.27 4.679 11.267 3.363 2.901 2.037 5.169 3.614 10.023 8.086
[3,] 1.213 12.11 4.928 12.134 3.393 3.048 2.037 5.342 3.618 10.485 8.231
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.643 4.275 5.483 5.756 3.822 2.567 0.7279 8.268 14.18 9.228
[2,] 3.762 4.993 6.054 6.518 3.865 2.585 0.7653 9.377 19.51 10.317
[3,] 3.815 5.237 6.552 7.459 4.105 2.597 0.8128 10.709 20.62 12.197
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.622 3.818 16.41 10.67 9.584 1.762 4.086 10.67 11.99
[2,] 692.485 56.894 517.50 1019.42 1291.457 19.404 174.626 212.18 619.77
[3,] 162.945 45.027 1114.07 1302.21 954.119 134.707 248.822 526.27 425.60
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.499 4.814 8.607 6.519 13.77 10.77 7.808 10.83
[2,] 1798.324 714.562 617.852 659.639 1562.77 573.23 581.517 517.46
[3,] 144.385 163.477 704.926 817.259 1226.62 731.62 755.393 740.16
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.976 20.54 10.65 21.82 5.258 18.62 11.4 2.648
[2,] 1027.397 1503.29 814.92 1150.10 267.320 4916.21 1242.0 106.377
[3,] 432.589 1467.09 792.50 557.39 443.374 1355.19 1770.0 172.899
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.34 10.82 7.723 10.05 2.594 9.958 7.498 3.719
[2,] 1880.67 1575.27 500.236 1180.80 45.208 1129.138 675.357 148.424
[3,] 2056.32 1244.59 565.582 1280.26 59.021 1341.049 866.154 271.952
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 10.38 8.861 9.035 8.092 6.25 4.676 2.037 5.01
[2,] 766.23 1106.970 1469.547 343.688 758.69 46.552 3.937 114.97
[3,] 1249.80 805.393 933.123 196.207 377.52 102.922 44.831 122.86
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.221 6.436 6.293 5.234 3.465 6.161 7.455 7.117
[2,] 98.824 591.912 1048.397 287.265 276.262 1046.260 189.178 36.069
[3,] 202.371 481.523 430.522 347.578 114.640 561.935 629.731 427.228
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.367 7.249 5.021 3.295 6.685 5.403 5.261 3.435
[2,] 31.619 1420.471 201.234 253.909 819.761 912.492 833.563 1069.229
[3,] 119.713 703.242 169.113 245.979 1145.308 828.741 678.595 779.871
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.306 2.267 4.781 2.625 4.69 5.131 5.465 7.341
[2,] 162.422 3.266 827.381 165.668 262.77 62.197 917.677 1205.646
[3,] 115.232 20.078 923.049 190.012 493.53 107.951 470.520 293.172
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.207 6.341 4.409 5.032 2.378 9.012 9.202 7.278
[2,] 211.940 702.094 36.431 1023.066 174.505 397.455 657.322 223.955
[3,] 48.141 401.464 69.166 936.367 86.880 474.451 531.739 286.927
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.703 9.555 10.22 14.7 1.539 13 5.442 12.22 4.156
[2,] 935.328 382.896 1222.35 1808.2 10.940 1349 536.414 1673.00 220.896
[3,] 317.434 697.793 583.90 1356.1 7.479 1263 441.006 1286.11 129.443
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.416 2.582 4.397 4.575 12.62 10.14 4.626 5.429 6.963
[2,] 310.071 33.086 1095.623 80.884 368.74 356.85 268.347 736.447 732.419
[3,] 266.805 2.996 384.671 46.550 878.43 438.83 179.498 451.482 715.574
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.309 4.853 3.26 0.9243 10.5 18 11.72
[2,] 873.028 164.778 86.39 67.4731 1263.0 3827 1317.23
[3,] 1035.601 394.199 71.89 78.1575 1476.4 1907 1857.24
[1] "--- VAR model 2017-10-02 03:31:00 completed"
[1] "Completed training sample: 2017-10-02 03:31:00 - 2017-10-02 11:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 04:01:00 - 2017-10-02 12:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.5573 0.09974 -4.5771 -11.5743
0.5926 -0.05143 -0.9173 -12.9450
0.3772 -0.33257 0.4013 -0.5205
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.1797 0.8749 3.058 7.661
-10.2063 0.2034 2.203 2.775
-10.8441 0.1307 2.421 4.638
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6982 7.224 1.458 -8.165
3.0066 5.887 1.471 -5.653
1.6103 1.623 1.437 -7.218
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.726 2.944 -1.509 30.46
-6.691 2.403 1.268 27.63
-6.092 2.979 2.305 29.02
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.06246 5.2090 7.399 8.390
1.13892 -0.5870 5.255 2.931
1.31800 0.7196 5.125 2.189
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3818 -0.8817 6.897 -11.429
-0.8432 -0.5181 -12.684 2.567
1.0416 -0.2278 -5.238 -6.911
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5568 -14.837 -10.850 2.712
0.6003 1.924 -4.531 1.492
0.4597 -6.249 -3.565 1.091
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.8414 0.5505 -13.426 -0.9099
-12.0509 0.2121 -10.859 -4.6421
-0.8361 0.3212 -5.139 -4.8928
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8454 -7.857 0.3897 -2.687
-1.8289 -10.974 -9.0043 -7.989
-1.7740 -9.474 -10.4293 -10.046
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.067 -0.8862 0.38477 0.49506
2.108 -0.7638 0.29069 0.13088
1.800 -3.4835 0.07836 0.03307
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.13481 -0.08853 -4.5418 -4.149
-0.12516 0.34852 -0.7203 -7.187
-0.09407 -0.14651 -3.5119 -5.615
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.191 1.3160 -7.522 -1.643
2.672 0.3737 -1.238 6.470
2.476 0.8052 -3.512 3.448
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.98669 0.63760 3.5024 3.874
-0.01369 0.01186 -0.1445 4.181
-0.14040 0.04841 -0.6152 4.199
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.680 -6.041 -1.57352 -0.6396
1.887 8.382 1.86982 -4.7436
-1.126 -5.440 -0.07612 7.3491
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.352 -0.1933198 0.25259 -2.026
-1.560 -0.1218397 0.23603 -1.576
1.361 0.0009171 0.03867 -3.058
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.677 1.7143 -0.7074 -0.9855
-2.095 -3.3012 -0.7199 -0.3121
-1.024 -0.4049 -0.3610 -3.4666
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.9970 2.0963 -3.2124 -0.2672
0.4776 0.8694 0.3861 -0.2614
-3.4704 0.1333 -2.3625 -0.2629
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.1455 0.2464 3.568 -2.847
-3.1960 -0.4630 4.166 -2.048
0.3933 0.1006 4.524 -1.715
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.9032 0.4059 -1.448 -5.750
-2.1843 -0.7444 1.458 -2.910
-1.6950 1.6153 1.955 -1.805
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.186 0.05034 5.099 1.3032
3.203 0.14828 2.782 0.4552
2.823 0.05618 2.342 0.7367
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.0560 -0.6069 -0.03925 -0.21105
-0.4463 -0.4490 1.41725 -0.01828
2.2877 -0.4155 -0.12481 -0.04604
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.5487 0.1448 4.324 -3.0892
-0.3529 0.1583 4.722 -0.8167
-1.0321 -0.4468 6.467 -2.2237
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6515 -0.03504 1.647257 -0.5175
0.2693 -0.24817 -0.001073 -1.2814
0.2279 1.26533 1.400800 -0.2517
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2482 -0.74814 -8.632 1.0292
-4.2397 -0.14056 -7.915 0.3442
-0.5420 0.09456 -8.452 0.6395
rnd_95776.volume rnd_95787.volume
35.16 -13.2158
-17.48 0.9104
13.92 -7.5445
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.355 3.217 13.17 8.549 7.467 1.494 3.358 8.222 9.633 6.879 3.885
[2,] 5.952 3.227 13.28 9.315 8.779 1.498 3.437 8.282 9.919 9.207 4.631
[3,] 5.981 3.235 13.78 10.437 9.501 1.564 3.582 8.387 10.049 9.267 4.676
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.255 5.256 10.89 8.392 6.327 8.709 7.167 16.54 8.631 17.35 4.287
[2,] 7.609 5.743 12.19 8.728 6.675 8.911 8.050 17.74 9.110 17.79 4.385
[3,] 8.310 6.393 12.90 9.177 7.210 9.282 8.259 18.80 9.584 17.88 4.649
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.89 9.223 2.233 8.331 8.696 6.189 8.046 2.160 8.034 6.054
[2,] 23.26 10.205 2.283 10.653 10.379 6.402 9.134 2.168 9.087 6.486
[3,] 23.72 12.072 2.328 12.980 11.326 6.722 10.191 2.176 10.381 7.161
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 2.996 8.376 7.172 7.221 6.663 5.138 3.950 1.670 4.145 1.837 5.304
[2,] 3.031 8.833 8.206 8.923 6.754 5.866 3.954 1.670 4.160 1.864 5.704
[3,] 3.183 9.942 8.711 9.584 6.791 5.941 3.974 1.674 4.190 1.993 5.970
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.176 4.342 2.847 5.005 6.091 5.897 3.655 5.911 4.218 2.703 5.446
[2,] 6.452 4.447 3.029 6.309 6.137 5.898 3.656 7.870 4.281 2.855 6.222
[3,] 6.646 4.646 3.060 6.642 6.556 6.126 3.667 8.247 4.336 2.977 7.477
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.466 4.413 2.834 5.281 1.829 4.036 2.149 3.813 4.231 4.495 5.932
[2,] 5.518 5.149 4.941 5.319 1.829 5.053 2.236 3.937 4.241 5.568 7.352
[3,] 6.263 5.688 5.585 5.326 1.830 6.060 2.348 4.345 4.255 5.821 7.453
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.611 5.202 3.766 4.082 1.938 7.374 7.528 6.094 7.999 8.070 8.231
[2,] 2.741 5.877 3.774 5.612 2.039 7.486 7.870 6.133 8.724 8.196 9.297
[3,] 2.743 6.065 3.779 6.532 2.066 7.679 8.124 6.210 8.801 8.514 9.529
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 11.81 1.321 10.61 4.371 9.80 3.365 2.805 2.238 3.614 3.816 10.40
[2,] 13.43 1.322 11.71 4.770 11.53 3.451 3.039 2.241 5.247 3.831 10.47
[3,] 14.25 1.323 12.69 4.979 12.36 3.486 3.196 2.241 5.437 3.835 10.93
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 8.352 3.714 4.305 5.520 5.794 3.985 2.983 0.7691 7.845 15.28 9.502
[2,] 8.476 3.833 5.052 6.092 6.547 4.037 2.987 0.8056 8.968 20.51 10.562
[3,] 8.543 3.887 5.301 6.608 7.504 4.344 3.053 0.8540 10.324 21.31 12.517
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.8 4.086 16.73 10.86 9.482 1.897 4.265 10.44 12.23
[2,] 663.4 63.328 439.19 943.64 1178.165 30.190 186.285 255.33 602.92
[3,] 148.5 58.921 935.15 1201.77 927.131 114.540 257.457 337.92 411.27
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.735 4.933 9.213 6.674 13.83 10.66 8.035 11.06
[2,] 1561.980 643.392 585.692 590.856 1397.12 612.41 542.602 481.39
[3,] 267.472 165.685 852.613 716.667 1076.63 723.63 695.369 663.46
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.101 21 10.96 22.03 5.444 18.91 11.71 2.835 10.58
[2,] 935.352 1641 743.83 1005.75 235.241 4561.83 1115.31 121.074 1694.61
[3,] 471.724 1585 759.74 448.49 394.505 1177.36 1646.04 116.235 1892.75
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 11.04 7.859 10.22 2.743 10.2 7.687 3.804 10.64
[2,] 1446.45 418.204 1103.62 45.184 1083.9 594.202 116.960 715.76
[3,] 1156.93 522.924 1153.36 49.797 1280.8 774.451 248.248 1164.55
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 9.107 9.17 8.461 6.525 5.016 2.121 5.264 2.333
[2,] 1017.895 1337.83 281.761 722.297 45.013 1.747 88.348 80.407
[3,] 746.127 892.68 180.660 240.230 101.276 28.660 127.580 180.238
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.736 6.573 5.513 3.615 6.355 7.735 7.488 4.641
[2,] 535.721 983.069 245.844 264.362 980.447 191.941 32.024 22.073
[3,] 449.578 407.040 343.654 109.292 529.735 588.201 422.973 71.828
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 7.506 5.356 3.433 6.916 5.671 5.604 3.598 6.706
[2,] 1326.287 188.165 234.687 768.098 827.283 677.087 1033.025 161.090
[3,] 629.286 174.285 215.290 1058.017 756.051 616.499 664.660 69.362
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.323 5.125 2.729 4.842 5.373 5.708 7.533 3.315
[2,] 6.183 776.034 157.504 250.086 71.814 838.749 1108.268 212.830
[3,] 16.341 853.780 183.208 468.994 90.598 433.138 312.548 28.499
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 6.605 4.782 5.184 2.461 9.364 9.559 7.738 10.16 10.25
[2,] 697.979 65.472 982.979 161.339 330.233 586.518 175.788 889.05 365.39
[3,] 382.952 45.072 852.756 85.938 435.762 514.105 249.456 295.85 588.45
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 10.45 15 1.678 13.47 5.551 12.44 4.272 3.562 2.841
[2,] 1103.12 1634 9.194 1263.77 487.202 1548.51 196.451 298.512 32.884
[3,] 534.28 1215 12.859 1249.75 364.614 1142.28 124.719 252.858 3.814
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.589 4.846 13.2 10.61 4.716 5.467 7.01 7.358 5.06
[2,] 971.123 87.384 319.3 369.75 242.773 674.742 657.34 777.716 166.03
[3,] 363.145 43.254 800.7 271.61 163.688 409.307 653.46 936.033 409.51
[,94] [,95] [,96] [,97] [,98]
[1,] 3.787 0.9766 9.962 19.4 12.07
[2,] 42.256 61.2519 1108.766 3492.3 1177.18
[3,] 160.653 72.2787 1305.750 1473.6 1714.68
[1] "--- VAR model 2017-10-02 04:01:00 completed"
[1] "Completed training sample: 2017-10-02 04:01:00 - 2017-10-02 12:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 04:31:00 - 2017-10-02 12:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.4792 0.4896 -2.656 -2.385
2.2594 0.4316 -5.999 -5.355
2.4796 0.1868 -3.995 -8.047
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.760 0.6274 0.46488 5.556
-3.641 0.9390 -0.08019 1.666
-6.132 0.6254 0.21953 1.889
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.094 1.7322 -0.8664 -13.29
2.546 5.2249 1.8064 -11.23
1.185 0.9614 0.4174 -12.17
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.703 -0.05798 -3.029 33.27
-3.813 0.41386 -1.404 31.17
-3.436 1.80258 1.038 29.56
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.5484 2.6122 -0.8873 5.87033
-2.1983 -2.1833 -1.9372 0.26162
-0.7016 -0.8755 -2.2601 0.07833
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.514 3.287 -23.481 -5.155
-2.955 6.999 -5.971 -8.012
-3.266 5.532 -12.533 -3.608
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.7542 -5.862 -9.444 5.512
0.3780 -10.134 -8.663 3.873
0.4928 -2.798 -7.144 2.754
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.105 0.37053 -0.2676 -5.743
-5.925 -0.04075 -8.8817 -5.879
-8.574 -0.12417 -8.3095 -5.627
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7013 -2.442 -7.6386 -10.781
-1.2225 -8.559 -0.7392 -2.954
-0.9552 -7.004 -6.3702 -8.067
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1109 1.286 0.1995 -0.2558
-0.2740 3.753 0.5783 0.3690
-0.4100 2.037 0.2221 0.2428
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.2961 1.0845 -4.959 -22.20
-0.7585 0.4480 -4.267 -12.69
-1.4149 0.6116 -1.173 -10.82
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.514 0.2747 -11.552 0.7079
1.091 0.4517 -12.098 -2.5247
0.734 0.3071 -7.669 -0.3531
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.244 -0.20571 -16.386 1.796
6.263 -0.42955 -5.892 1.297
3.518 0.01444 -8.352 1.375
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.8275 -3.666 2.659 -0.5013
-0.9098 -9.890 -9.371 -5.6753
-0.7871 -3.540 -3.113 -6.2751
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.207 0.7382 -0.1064 5.7028
1.398 0.3392 0.1348 -0.9511
-8.792 0.1849 0.1066 -2.0020
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.6199 4.0661 0.5878 3.1871
-0.7845 1.1744 1.3008 4.1430
-1.7180 0.1437 0.4847 0.1777
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.090 0.4383 -2.033 -0.04062
4.323 0.4985 4.093 -0.44580
2.395 0.4586 2.858 -0.31914
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.326 1.5282 5.741 0.9371
3.417 -0.2920 5.402 0.8415
4.395 0.5507 5.679 0.7718
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.3142 -0.7242 1.421 5.297
1.2394 2.9347 1.954 1.924
0.3214 2.3970 2.807 3.113
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.913 -0.13267 7.831 -0.2746
6.003 0.05627 7.698 -0.1433
4.380 0.09836 7.326 0.3153
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.337 -0.4941 0.662 0.40695
4.240 -0.6405 -3.370 0.12681
5.099 -0.3367 -1.260 -0.05147
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.405 0.9201 6.727 0.6479
1.927 0.2541 6.360 -0.7375
2.805 0.2037 4.229 0.9276
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2742 1.9104 1.526 1.878
0.8880 0.7455 2.114 2.194
1.0627 1.8216 1.345 1.745
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.8924 -0.3710 -9.011 -1.2628
2.5618 -0.7039 -8.792 -0.9289
0.2898 -0.3473 -9.146 -1.3333
rnd_95776.volume rnd_95787.volume
-21.49 -6.451
-11.24 -9.470
-19.66 -3.719
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.528 3.456 13.49 8.612 7.582 1.562 3.405 8.720 9.771 6.976 4.031
[2,] 6.151 3.457 13.59 9.434 8.955 1.566 3.478 8.871 10.055 9.508 4.808
[3,] 6.186 3.472 14.01 10.633 9.714 1.637 3.630 9.005 10.192 9.624 4.864
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.382 5.315 10.89 8.497 6.459 8.945 7.331 17.10 8.811 17.57 4.449
[2,] 7.776 5.791 12.22 8.852 6.811 9.089 8.261 18.24 9.326 17.97 4.551
[3,] 8.542 6.469 12.99 9.344 7.335 9.483 8.463 19.21 9.832 18.04 4.834
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.20 9.5 2.357 8.543 8.847 6.469 8.138 2.281 8.113 6.262 3.104
[2,] 23.89 10.5 2.399 10.872 10.588 6.708 9.260 2.286 9.194 6.719 3.145
[3,] 24.29 12.3 2.441 13.243 11.565 7.050 10.380 2.292 10.585 7.414 3.322
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.584 7.287 7.438 6.789 5.326 4.323 1.789 4.313 1.919 5.514 5.350
[2,] 9.033 8.376 9.213 6.872 6.108 4.324 1.790 4.321 1.948 5.944 6.766
[3,] 10.194 8.890 9.878 6.905 6.284 4.348 1.794 4.361 2.075 6.233 7.005
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.612 2.921 5.208 6.206 6.227 3.705 6.121 4.683 2.800 5.625 4.628
[2,] 4.725 3.111 6.566 6.256 6.231 3.706 8.177 4.804 2.957 6.459 5.739
[3,] 4.884 3.137 6.924 6.667 6.474 3.716 8.571 5.103 3.081 7.770 6.543
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.446 2.903 5.500 1.858 4.140 2.218 4.049 4.409 4.692 6.177 2.734
[2,] 5.370 5.050 5.545 1.858 5.238 2.294 4.136 4.419 5.837 7.755 2.872
[3,] 5.985 5.782 5.553 1.859 6.318 2.411 4.546 4.428 6.077 7.834 2.877
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.481 4.019 4.309 2.049 7.682 7.688 6.374 8.232 8.191 8.468 12.18
[2,] 6.191 4.027 5.872 2.158 7.821 8.046 6.418 9.011 8.325 9.580 13.70
[3,] 6.364 4.032 6.851 2.187 7.915 8.283 6.487 9.077 8.638 9.816 14.57
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.385 11.00 4.572 9.997 3.478 2.925 2.432 3.893 4.020 10.65 9.080
[2,] 1.385 12.09 4.971 11.797 3.568 3.172 2.433 5.467 4.027 10.72 9.137
[3,] 1.386 13.16 5.191 12.638 3.602 3.343 2.434 5.661 4.032 11.18 9.392
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.747 4.330 5.549 5.818 4.117 3.121 0.7812 7.190 15.98 9.771
[2,] 3.876 5.070 6.117 6.566 4.174 3.123 0.8121 8.174 21.21 10.828
[3,] 3.928 5.385 6.639 7.522 4.464 3.180 0.8736 9.349 22.02 12.751
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.02 4.389 17.13 10.94 9.629 1.984 4.324 11.07 12.41
[2,] 611.63 17.233 380.07 873.01 1080.498 25.709 161.552 368.96 538.45
[3,] 149.49 73.232 775.09 1112.80 853.763 107.504 235.125 351.24 377.48
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.859 5.119 9.374 6.749 13.83 10.79 8.202 11.36 9.31
[2,] 1464.968 594.300 553.978 521.582 1257.71 562.80 489.897 365.63 863.48
[3,] 338.067 165.925 801.895 653.754 998.57 678.45 617.660 613.64 416.67
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 21.72 11.19 22.31 5.649 19.3 12.06 2.993 10.85 11.23
[2,] 1440.97 692.67 861.74 217.636 4180.7 1013.59 100.570 1525.23 1319.00
[3,] 1363.64 706.70 340.87 369.527 989.9 1454.78 102.367 1714.74 1055.29
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.214 10.33 2.897 10.3 7.952 3.942 10.9 9.253 9.445
[2,] 402.592 1001.96 34.511 980.7 552.313 114.608 637.8 936.736 1232.913
[3,] 492.470 1063.70 36.203 1189.6 710.573 242.656 1071.3 675.697 807.929
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.621 6.764 5.49 2.272 5.477 2.436 7.002 6.793 5.857
[2,] 240.961 678.019 23.41 7.895 60.101 76.262 502.998 939.585 233.008
[3,] 152.928 334.564 102.88 29.754 133.723 161.922 425.896 411.133 279.717
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.709 6.614 7.88 7.908 4.705 7.773 5.947 3.555
[2,] 243.217 906.694 180.42 49.481 15.048 1229.458 242.158 216.020
[3,] 90.542 498.666 522.24 398.211 63.105 583.169 390.573 195.991
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 7.142 5.876 5.645 3.687 6.984 2.359 5.257 2.817
[2,] 720.122 769.909 683.036 937.023 160.166 3.771 727.852 132.657
[3,] 979.551 712.614 599.529 638.825 66.805 11.613 800.973 168.402
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 5.141 5.599 5.959 7.844 3.472 6.959 5.104 5.472
[2,] 191.568 67.465 787.326 1063.161 199.286 652.958 56.893 904.621
[3,] 428.097 61.041 383.140 251.691 38.778 334.446 43.740 800.187
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.602 9.755 9.763 8.094 10.45 10.4 10.75 15.46 1.759
[2,] 153.117 332.526 537.716 168.811 830.70 337.2 1016.22 1424.27 1.500
[3,] 81.167 277.017 446.110 214.267 248.22 522.4 485.17 1125.62 12.536
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 13.97 5.806 12.69 4.417 3.714 3.088 4.943 5.105 13.52
[2,] 1135.32 442.818 1420.19 180.633 278.467 21.383 870.507 52.553 289.74
[3,] 1183.35 339.045 1028.18 111.128 239.644 11.778 333.069 44.509 720.42
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 11.53 4.759 5.499 7.047 7.388 5.228 3.963 0.9919
[2,] 232.15 224.560 598.090 583.643 690.207 156.360 29.668 50.3397
[3,] 493.13 144.883 411.746 585.284 832.543 358.717 135.279 73.0448
[,96] [,97] [,98]
[1,] 9.13 20.3 12.41
[2,] 881.76 3163.6 1058.60
[3,] 1029.32 1342.0 1527.09
[1] "--- VAR model 2017-10-02 04:31:00 completed"
[1] "Completed training sample: 2017-10-02 04:31:00 - 2017-10-02 12:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 05:01:00 - 2017-10-02 13:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-5.332 0.2428 -0.5391 -0.8436
2.290 0.4779 -2.5150 1.9687
1.036 0.1587 -2.3279 -5.8761
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.798 0.7209 0.3537 0.1547
-2.076 0.6118 1.2032 -0.4591
1.212 0.3898 0.3127 -0.5004
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.2446 2.9796 0.1739 -16.76
-0.6779 -0.8275 0.6024 -17.33
-1.1877 -0.4331 0.1770 -16.60
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.940 -7.579 -0.3673 25.48
-5.503 -8.077 -3.4693 23.77
-5.015 -9.941 -1.9840 23.60
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.128 0.5905 7.924 13.968
-3.630 -2.6003 6.077 6.633
-4.696 -2.9099 6.447 6.290
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.1153 0.3435 -16.617 0.723
0.1837 -1.0241 -0.742 -4.803
-1.1838 -0.4146 -3.736 1.403
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.8662 3.66250 3.206 3.0049
0.5355 -6.77450 -3.854 0.7445
0.4490 -0.02094 -1.665 1.3491
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.401 0.204677 -1.221 -0.7695
1.593 -0.004888 2.555 0.6463
-5.148 0.289260 -3.776 1.3498
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8973 -4.4108 -7.9451 -7.3246
-0.0598 0.3904 -0.6511 -4.0038
-0.3081 -0.9376 2.2000 -0.5037
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3581 -1.4853 -0.6439 0.19244
0.2542 -0.2152 -0.4694 -0.17728
0.4791 1.0920 -0.1129 -0.02092
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3043 -0.02466 -4.122 -17.803
0.5578 -0.13234 -2.813 -7.652
0.1664 0.08995 -1.214 -7.052
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.589 0.9181 -3.110 2.3695
2.293 1.0170 -10.396 -0.5326
2.573 0.6834 -3.208 0.9050
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.07739 -0.29977 -9.162 8.484
-0.06693 0.12562 1.974 6.529
0.48648 -0.01735 -6.488 4.993
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.95365 -11.578 -4.305 4.7218
-0.31678 -2.822 -4.983 -9.3245
-0.06604 1.230 1.232 -0.4121
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.462 0.018360 0.06047 -3.369
-3.350 0.062615 0.08040 6.091
-5.082 0.008675 -0.03214 -7.745
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2849 -0.1920 0.7434 -3.047
-1.1701 0.3451 0.5458 -1.138
-0.9509 1.0448 0.1890 3.044
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.45037 0.734006 -6.9246 0.1012
0.09006 0.413248 -0.7591 -0.7043
0.47118 -0.005598 -0.8154 -0.4640
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.532 -1.0851 3.800 1.131
-2.912 -0.8084 2.033 1.217
-1.164 -0.2199 1.840 1.149
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1117 -7.3118 1.147 4.464
0.1085 2.9439 2.379 -1.786
-0.2034 0.5835 1.832 2.499
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.984 0.03507 -4.093 -3.453
-7.433 -0.17275 -3.403 -2.692
-8.177 0.08020 -5.443 -2.726
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.568 -0.08100 -1.4729 0.21956
-2.869 -0.15778 -1.8675 0.06342
-10.152 -0.04213 0.1102 -0.03940
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.6603 0.7637 0.1154 3.914
0.9315 0.2305 -2.3482 1.693
-0.7127 0.4055 1.0462 -1.139
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.1195 0.094750 -2.228 -2.388
0.3155 -1.875593 -1.593 -2.474
-0.2689 0.009393 -2.168 -2.382
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.66458 0.02211 -9.446 0.8048
0.03457 0.19601 -9.193 0.5350
0.82656 0.16715 -8.816 0.4856
rnd_95776.volume rnd_95787.volume
-4.842 0.6205
1.037 -5.4528
-15.651 1.1787
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.669 3.537 13.70 8.736 7.736 1.605 3.467 8.822 10.02 7.140 4.096
[2,] 6.297 3.538 13.77 9.590 9.159 1.611 3.538 8.978 10.29 9.677 4.936
[3,] 6.321 3.553 14.08 10.826 9.940 1.678 3.689 9.121 10.44 9.794 4.992
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.522 5.387 11.00 8.803 6.647 9.108 7.412 17.76 9.185 17.68 4.979
[2,] 7.959 5.853 12.31 9.160 7.061 9.254 8.427 18.61 9.698 17.98 5.099
[3,] 8.728 6.528 13.07 9.629 7.638 9.647 8.636 19.66 10.245 18.01 5.366
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.43 9.863 2.455 8.75 9.131 6.608 8.277 2.319 8.253 6.454 3.186
[2,] 24.49 10.822 2.498 11.09 10.843 6.808 9.481 2.323 9.444 6.888 3.231
[3,] 24.79 12.691 2.540 13.56 11.874 7.150 10.643 2.328 10.801 7.611 3.431
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.771 7.420 7.58 6.978 5.562 4.719 1.862 4.474 2.074 5.702 5.495
[2,] 9.159 8.550 9.41 7.044 6.435 4.722 1.862 4.484 2.082 6.165 7.012
[3,] 10.366 9.076 10.06 7.080 6.572 4.766 1.865 4.512 2.198 6.454 7.298
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.752 2.998 5.328 6.386 6.462 3.853 6.215 4.993 2.891 5.754 4.790
[2,] 4.866 3.209 6.830 6.432 6.465 3.853 8.256 5.099 3.057 6.571 5.889
[3,] 5.021 3.233 7.207 6.851 6.712 3.862 8.690 5.447 3.184 7.908 6.676
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.650 2.987 5.683 1.919 4.296 2.274 4.195 4.485 4.843 6.347 2.870
[2,] 5.554 5.244 5.732 1.919 5.486 2.350 4.299 4.494 5.981 7.949 3.014
[3,] 6.196 5.967 5.737 1.920 6.595 2.488 4.761 4.503 6.246 8.020 3.017
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.656 4.243 4.460 2.211 7.924 7.805 6.719 8.451 8.474 8.573 12.34
[2,] 6.420 4.250 6.087 2.314 7.974 8.138 6.764 9.263 8.630 9.745 13.87
[3,] 6.592 4.253 7.021 2.343 8.132 8.356 6.804 9.299 8.869 9.967 14.74
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.465 11.17 4.693 10.08 3.562 3.092 2.524 4.160 4.088 11.08 9.324
[2,] 1.465 12.24 5.098 11.98 3.652 3.319 2.526 5.795 4.094 11.17 9.385
[3,] 1.466 13.32 5.303 12.82 3.682 3.470 2.526 5.993 4.100 11.57 9.644
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.777 4.364 5.587 5.843 4.309 3.255 0.8071 6.683 16.56 10.13
[2,] 3.883 5.115 6.153 6.579 4.348 3.255 0.8381 7.574 21.91 11.13
[3,] 3.930 5.428 6.682 7.555 4.645 3.321 0.9004 8.624 22.83 13.10
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.199 4.491 17.4 11.09 9.824 2.038 4.402 11.2 12.72
[2,] 579.657 19.379 288.9 837.11 1037.309 28.039 149.433 353.1 495.05
[3,] 117.876 67.838 623.3 1062.66 817.126 99.418 221.497 340.4 373.19
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.066 5.201 9.552 6.84 13.97 11.18 8.441 11.57 9.412
[2,] 1382.022 582.802 550.183 484.35 1170.54 535.89 504.104 346.69 848.373
[3,] 319.454 158.203 757.939 611.44 929.13 628.53 616.081 576.92 399.493
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 22.55 11.66 22.45 6.323 19.6 12.52 3.118 11.11 11.59
[2,] 1178.29 658.57 693.73 232.520 4024.0 942.31 97.045 1440.98 1237.37
[3,] 1338.21 698.89 227.73 353.527 811.1 1402.73 97.562 1653.06 1023.75
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.391 10.51 2.944 10.48 8.195 4.045 11.14 9.423
[2,] 346.860 978.48 31.103 971.01 509.563 114.398 557.82 898.534
[3,] 462.189 1023.05 31.669 1109.01 684.793 243.766 1027.04 644.426
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 9.625 8.86 7.062 5.993 2.364 5.681 2.634 7.241
[2,] 1179.855 203.48 684.928 32.437 10.520 62.418 37.282 496.051
[3,] 752.260 152.43 282.483 137.606 22.030 106.946 149.442 404.046
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 6.978 6.034 3.807 6.766 8.109 8.205 4.893 7.892
[2,] 921.685 221.233 242.336 904.140 162.593 41.396 4.109 1149.783
[3,] 427.787 262.709 81.866 486.473 499.092 381.649 53.372 573.959
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 6.34 3.672 7.307 6.082 5.905 3.793 7.217 2.437 5.456
[2,] 218.67 210.323 671.389 724.737 642.617 911.776 157.094 7.207 721.834
[3,] 405.25 188.021 930.865 665.547 581.048 602.506 53.541 10.789 774.240
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.887 5.327 5.695 6.15 8.06 3.645 7.182 5.388 5.664
[2,] 125.274 199.568 60.030 742.41 1012.46 195.041 642.623 52.578 876.277
[3,] 172.767 432.636 61.286 381.06 224.44 28.407 316.851 31.429 740.194
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.807 10.06 9.911 8.533 10.73 10.76 10.89 15.68 1.861
[2,] 144.990 188.20 487.626 164.878 802.45 345.32 980.26 1336.87 5.082
[3,] 77.698 337.33 401.147 156.168 172.41 432.50 442.45 1056.62 7.378
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 14.18 5.96 12.8 4.523 3.926 3.206 5.283 5.191 14.07
[2,] 1056.49 421.32 1370.7 169.913 255.654 17.686 853.613 46.642 292.47
[3,] 1114.37 308.43 962.3 99.401 213.940 9.686 322.984 47.620 637.45
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 11.84 4.796 5.542 7.095 7.419 5.472 4.133 1.025 8.487
[2,] 226.89 191.402 564.480 545.208 639.589 123.250 5.317 47.819 754.112
[3,] 469.49 127.418 384.439 551.194 785.831 345.400 139.411 69.626 872.572
[,97] [,98]
[1,] 21.02 12.87
[2,] 3034.80 971.27
[3,] 1359.42 1462.25
[1] "--- VAR model 2017-10-02 05:01:00 completed"
[1] "Completed training sample: 2017-10-02 05:01:00 - 2017-10-02 13:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 05:31:00 - 2017-10-02 13:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2087 -0.3906 3.06739 12.517
0.9447 0.4916 0.36957 -1.334
0.4420 -0.1027 -0.06278 -2.945
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.37545 0.62146 0.8843 6.437
7.57472 0.19810 0.2020 3.626
-0.06515 0.04739 0.3784 6.475
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.7977 -1.200 0.116630 -13.15
-0.3442 5.696 1.671977 -14.98
2.7498 2.741 0.001972 -19.95
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.3766 -4.2660 -4.75877 28.00
-0.4932 2.0910 -1.80402 28.83
-0.6143 -0.1246 0.01395 28.27
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.3463 2.18338 9.81 10.848
-1.8185 -3.89049 10.12 8.586
-0.4439 -0.07475 7.32 8.177
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.175 -0.3841 -9.6535 -3.998
0.291 -0.3257 8.2175 -2.132
-1.122 -0.1363 -0.7216 3.251
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.42734 -3.374 0.5591 0.9097
-0.15936 -3.681 -4.3799 -1.0352
0.01842 3.627 -0.4241 -0.1185
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
10.703 -0.7241 10.328 -5.406
-2.220 -0.6596 1.499 -4.138
-2.886 -0.6447 -3.317 -3.070
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2766 1.485 -5.8492 -4.324
1.1031 4.753 9.5871 3.446
-0.5632 -3.390 0.9702 1.204
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.3475 -2.9484 0.1945 -0.1842
-0.7689 -0.3028 -1.4980 -0.4663
-0.3958 -8.1837 -0.2803 -0.2465
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.091 -0.21542 -8.132 6.3231
-1.180 0.02606 -1.831 -8.3178
-1.143 -0.17346 3.572 0.8691
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.987 0.8760 4.691 2.683
2.157 0.6355 1.796 2.571
2.097 0.6113 -2.799 0.828
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.9345 0.4270 4.095 7.708
1.2617 0.5012 5.001 8.991
0.2614 0.2458 3.399 9.310
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5902 4.590 3.933 -5.592
0.8205 4.251 2.627 3.850
0.5687 2.778 2.875 3.500
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-18.061 -1.4178 0.19347 -2.404
3.887 -0.4001 0.22207 -12.847
2.748 -0.3289 0.06512 6.020
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.967 0.6265 1.2005 -3.792
-4.316 -8.3114 0.8026 1.298
-4.135 -0.7453 0.7567 -8.001
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.926 2.0917 -6.3926 0.2921
1.499 0.3369 -0.9376 -0.4871
-8.019 0.1852 -4.1995 -0.5172
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.892 -0.74598 2.952 -0.3726
-2.246 -0.77880 2.504 -0.2411
1.370 -0.09204 3.770 -0.2773
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6728 1.7230 2.267 -0.3487
-0.8458 0.6885 3.109 0.3483
-1.1937 0.8795 3.260 0.3117
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.076 -0.123959 7.239 0.6139
3.837 0.065884 11.224 0.6696
5.822 0.007059 15.230 1.0867
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.801 0.3376 1.3344 -0.24970
6.616 0.1117 0.4323 0.01607
6.035 0.3203 1.0965 0.03757
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.655 0.03131 2.717 2.349
-3.955 0.25708 4.382 -1.054
-2.793 0.08613 5.323 -1.386
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.29269 -1.5838 -0.8944 -1.368
0.02461 -1.3979 -1.0671 -1.575
0.52775 -0.3627 -0.8802 -1.481
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.7875 -1.2356 -9.188 4.533
-6.3091 -0.0219 -9.056 5.154
-1.6692 -0.0742 -9.080 4.935
rnd_95776.volume rnd_95787.volume
13.387 -4.794
9.557 -2.313
6.692 3.733
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.849 3.675 13.85 8.894 7.860 1.701 3.482 8.653 10.23 7.190 4.100
[2,] 6.497 3.675 13.90 9.743 9.318 1.706 3.556 8.800 10.51 9.565 4.973
[3,] 6.523 3.698 14.13 11.059 10.085 1.775 3.706 8.871 10.63 9.685 5.028
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.714 5.426 10.92 8.448 6.669 9.162 7.511 17.87 9.374 18.00 5.171
[2,] 8.200 5.893 12.26 8.833 7.082 9.307 8.524 18.72 9.847 18.24 5.297
[3,] 8.954 6.580 12.98 9.295 7.637 9.677 8.716 19.77 10.376 18.25 5.584
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.71 10.02 2.532 8.84 8.963 6.654 8.422 2.467 8.309 6.657 3.283
[2,] 25.21 10.99 2.578 11.21 11.052 6.856 9.604 2.477 9.438 7.092 3.353
[3,] 25.44 12.87 2.618 13.72 12.113 7.217 10.831 2.482 10.872 7.856 3.516
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.808 7.522 7.630 7.235 5.688 4.845 1.907 4.582 2.111 5.842 5.681
[2,] 9.154 8.689 9.442 7.295 6.600 4.850 1.909 4.596 2.119 6.310 7.180
[3,] 10.359 9.179 10.045 7.308 6.657 4.901 1.914 4.617 2.232 6.607 7.488
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.962 3.057 5.573 6.451 6.764 3.885 6.495 5.227 2.992 5.931 4.972
[2,] 5.046 3.279 7.173 6.502 6.764 3.919 8.634 5.341 3.152 6.754 6.146
[3,] 5.259 3.299 7.530 6.889 7.013 3.954 9.081 5.711 3.265 8.092 6.985
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.809 3.117 5.838 1.954 4.492 2.360 4.337 4.648 4.964 6.874 2.945
[2,] 5.749 5.469 5.890 1.954 5.663 2.444 4.444 4.656 6.165 8.648 3.097
[3,] 6.433 6.215 5.894 1.956 6.859 2.587 4.922 4.663 6.449 8.718 3.101
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.868 4.369 4.694 2.303 8.025 7.966 6.925 8.536 8.657 8.519 12.33
[2,] 6.653 4.378 6.275 2.399 8.070 8.285 6.960 9.368 8.791 9.694 13.77
[3,] 6.855 4.379 7.211 2.426 8.236 8.500 6.992 9.399 9.063 9.867 14.69
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.560 11.36 4.740 10.09 3.632 3.181 2.619 4.303 4.241 11.26 9.564
[2,] 1.560 12.28 5.108 11.95 3.713 3.397 2.619 5.907 4.242 11.36 9.631
[3,] 1.563 13.30 5.278 12.73 3.744 3.543 2.620 6.085 4.256 11.75 9.865
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.797 4.373 5.602 5.854 4.394 3.419 0.8523 6.100 17.33 10.28
[2,] 3.904 5.130 6.160 6.581 4.428 3.419 0.8880 6.970 22.57 11.27
[3,] 3.952 5.443 6.703 7.571 4.741 3.495 0.9573 8.098 23.55 13.24
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.427 4.667 17.59 11.29 9.981 2.16 4.422 10.99 12.99
[2,] 543.712 3.739 215.71 764.51 961.680 26.12 139.069 307.25 460.30
[3,] 111.416 79.084 491.93 1005.43 741.387 94.12 200.282 216.39 311.78
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.13 5.207 9.795 6.891 13.87 10.73 8.469 11.63 9.538
[2,] 1212.57 540.865 534.596 441.683 1071.03 496.03 457.945 314.68 774.693
[3,] 291.66 143.014 691.052 562.417 816.94 556.52 549.206 509.46 349.251
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 22.69 11.9 22.86 6.567 19.94 12.72 3.215 11.23 11.38
[2,] 1071.96 579.4 564.37 220.206 3789.39 869.97 93.575 1325.49 1242.69
[3,] 1220.86 628.4 83.28 340.113 661.46 1284.95 88.053 1521.26 952.67
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.449 10.7 3.132 10.55 8.453 4.169 11.18 9.552 9.688
[2,] 317.688 886.8 43.238 860.09 470.200 131.060 479.19 836.025 1069.107
[3,] 433.287 962.6 29.255 1037.02 649.573 202.841 932.29 568.457 658.468
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.188 7.223 6.152 2.422 5.819 2.681 7.418 7.214 6.301
[2,] 178.721 643.502 42.978 14.349 69.661 36.319 458.288 843.905 176.799
[3,] 84.648 165.989 135.674 26.727 83.608 134.649 376.467 408.375 284.266
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.882 7.077 8.192 8.589 4.934 8.247 6.638 3.8 7.531
[2,] 227.735 867.886 155.379 8.830 99.041 1093.390 210.823 190.4 621.146
[3,] 70.197 440.330 437.766 356.038 99.919 540.630 388.482 163.3 856.424
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 6.313 6.107 3.958 7.414 2.481 5.704 2.997 5.507 5.903
[2,] 694.451 605.490 863.644 150.085 5.870 662.860 122.469 186.243 52.501
[3,] 638.038 554.546 567.179 41.263 17.029 743.839 162.681 406.550 47.813
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.304 8.729 3.739 7.451 5.548 5.96 2.924 10.19 10.12
[2,] 702.716 1008.291 184.201 602.767 55.407 800.54 129.170 164.94 437.86
[3,] 363.313 212.594 30.800 317.291 13.847 682.78 68.803 315.89 364.72
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.794 10.84 10.99 10.82 15.65 1.980 14.43 6.019 12.81
[2,] 132.817 741.51 293.34 888.82 1179.59 5.772 894.02 366.166 1233.01
[3,] 128.913 147.62 424.14 354.38 985.81 19.979 980.50 254.778 843.28
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.613 4.039 3.326 5.464 5.385 14.3 12.14 4.822 5.554
[2,] 148.172 229.222 3.570 777.667 18.572 289.6 219.50 174.549 515.403
[3,] 92.123 193.088 7.917 280.874 68.001 573.2 410.38 118.051 349.528
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.114 7.434 5.58 4.341 1.082 7.746 22.01 13.05
[2,] 492.198 577.877 104.22 12.336 47.949 648.244 2777.53 887.07
[3,] 508.119 719.151 325.56 139.426 68.706 792.061 1293.91 1336.99
[1] "--- VAR model 2017-10-02 05:31:00 completed"
[1] "Completed training sample: 2017-10-02 05:31:00 - 2017-10-02 13:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 06:01:00 - 2017-10-02 14:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.7433 -0.123482 -5.334 -18.968
-0.9199 -0.105198 -1.287 -2.902
-0.4936 0.008559 -1.159 -4.352
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.097 1.0645 -0.2402 2.698
-13.595 1.0519 -0.8680 2.865
-5.635 0.7279 -0.9469 4.357
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1529 0.5232 1.6113 -10.57
-1.1649 1.6984 -0.3307 -10.29
-0.1993 2.1529 0.1824 -11.35
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.160273 3.8145 1.696 22.21
0.023332 3.0449 -1.060 22.40
-0.002192 0.9173 -1.124 21.83
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.4353 3.4127 1.6302 -3.839
0.4550 0.4788 -0.2989 2.359
0.0149 0.1707 0.5015 -1.712
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.2873 -0.5042 -11.326 -2.009
-0.8590 -0.4420 -16.927 -7.779
-0.2778 -0.4466 -4.083 -6.242
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.02324 -0.5503 -5.640 3.376
-0.03188 -6.3932 -3.136 3.806
-0.37896 -7.6727 -6.384 2.626
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.453 -0.5818 -18.819 1.4702
-3.061 -0.5525 -6.592 0.6608
-6.076 -0.3517 -4.478 1.1508
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.0059 -15.091 -6.333 -3.679
-2.7515 -13.437 -16.218 -13.013
-0.8669 -4.473 -5.273 -10.202
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.31035 -11.2503 0.8920 0.33190
-0.07782 -1.4154 0.1111 0.35939
-0.02067 0.3992 0.1005 -0.05702
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6704 0.6220 0.4821 -8.722
0.5545 -1.2621 -3.6966 -7.288
2.8085 -0.4905 -7.4335 -10.082
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.6875 -0.6395 -9.330 -0.8278
-1.6502 -0.4336 -6.165 0.4060
-1.0774 -0.2541 -7.971 1.0929
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.141 -1.5657 -11.793 3.957
5.910 -0.6469 -7.096 6.549
3.582 -0.5875 -2.871 6.934
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5829 1.351 8.693 6.078
-0.9519 -9.058 -7.738 -2.197
-0.6510 -3.776 -3.863 -5.955
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.216 -0.22957 -0.019665 3.019
7.163 -0.10234 0.039599 3.513
-7.572 -0.02085 0.001608 3.691
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.151 -5.0188 -0.5563 -6.057
-1.316 0.1015 -0.4607 -2.749
-1.590 3.7951 0.1935 1.213
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.752 0.3549 0.629 -0.7659
-6.274 -1.1086 -5.251 -0.3872
-1.435 -0.7896 -1.483 -0.3363
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.505 -1.3929 1.198 -2.899
-5.431 0.1477 1.253 -2.930
-3.400 -0.6731 2.272 -2.630
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7742 3.24820 8.488 -10.1306
-0.4668 -0.01478 6.815 -0.7379
-0.1052 0.44368 4.554 -2.3431
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.927 0.03147 -7.644 3.245
-4.893 -0.09491 -5.104 2.142
0.576 0.05804 -1.145 1.838
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.947 -0.7355 3.279 0.2477
-8.020 -0.8187 -1.462 0.2670
-2.723 -0.4947 -1.326 0.2190
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.515 0.00114 -2.2790 -0.5657
-9.012 0.15346 -3.2678 -1.9310
1.586 0.05451 -0.4764 -2.4471
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.194 -4.770 -4.321 -5.458
-1.506 -2.299 -5.380 -6.066
-1.094 -3.018 -3.812 -4.571
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.74429 1.8037 -10.11 -2.057
-0.05191 0.1993 -10.54 -1.985
1.36446 0.2655 -10.58 -1.946
rnd_95776.volume rnd_95787.volume
-14.72 -2.591
-12.29 -8.948
-6.43 -6.771
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.804 3.777 14.21 8.832 7.913 1.760 3.483 8.745 10.19 7.202 4.181
[2,] 6.470 3.778 14.25 9.459 9.265 1.769 3.570 8.817 10.45 9.548 4.986
[3,] 6.488 3.798 14.45 10.499 9.963 1.837 3.711 8.933 10.60 9.630 5.036
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.700 5.531 10.66 7.883 6.349 9.078 7.509 17.93 9.431 18.19 5.283
[2,] 8.143 5.980 12.06 8.258 6.828 9.210 8.535 18.76 9.958 18.42 5.393
[3,] 8.985 6.671 12.79 8.761 7.339 9.568 8.639 19.84 10.499 18.43 5.651
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.70 10.09 2.611 8.652 9.106 6.741 8.443 2.546 8.269 6.727 3.392
[2,] 25.60 10.96 2.649 10.899 10.762 6.988 9.396 2.556 9.343 7.147 3.462
[3,] 25.84 12.86 2.685 13.585 11.770 7.276 10.501 2.559 10.611 7.868 3.603
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.856 7.636 7.676 7.246 5.732 4.951 2.005 4.755 2.150 5.864 5.818
[2,] 9.196 8.792 9.455 7.290 6.652 4.956 2.006 4.768 2.155 6.356 7.310
[3,] 10.371 9.223 9.935 7.293 6.762 5.005 2.010 4.779 2.265 6.629 7.746
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.048 3.349 5.838 6.661 7.032 3.948 6.649 5.474 2.989 6.002 5.127
[2,] 5.145 3.379 7.279 6.724 7.033 3.982 8.861 5.617 3.137 6.870 6.306
[3,] 5.347 3.430 7.753 7.128 7.290 4.011 9.310 5.960 3.240 8.192 7.163
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.978 3.180 5.938 1.954 4.610 2.418 4.419 4.844 5.186 7.059 2.824
[2,] 5.869 5.633 5.997 1.954 5.805 2.498 4.547 4.854 6.438 8.871 3.062
[3,] 6.578 6.368 6.003 1.956 7.035 2.656 5.033 4.855 6.728 8.953 3.112
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.057 4.584 4.811 2.331 8.003 7.968 6.950 8.458 8.894 8.524 12.16
[2,] 6.865 4.593 6.573 2.436 8.009 8.223 6.976 9.307 9.037 9.620 13.56
[3,] 7.087 4.594 7.521 2.466 8.182 8.422 7.005 9.317 9.301 9.767 14.61
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.606 11.52 4.742 10.05 3.639 3.298 2.681 4.454 4.360 11.55 9.748
[2,] 1.607 12.36 5.064 11.87 3.734 3.525 2.681 6.052 4.361 11.65 9.861
[3,] 1.609 13.30 5.170 12.58 3.760 3.671 2.682 6.249 4.374 11.92 9.988
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.797 4.379 5.606 5.859 4.472 3.565 0.9011 5.513 17.85 10.29
[2,] 3.913 5.133 6.164 6.586 4.506 3.566 0.9448 6.312 23.01 11.16
[3,] 3.964 5.456 6.701 7.563 4.838 3.625 1.0154 7.341 23.91 13.15
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.37 4.797 18.04 11.22 10.05 2.235 4.422 11.1 12.93
[2,] 492.32 8.007 190.30 582.95 829.76 31.315 135.571 194.4 400.56
[3,] 84.49 67.737 413.99 784.74 631.01 85.351 174.159 247.1 309.50
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.146 5.309 9.778 7.024 13.54 10.01 8.062 11.53 9.535
[2,] 1079.424 467.762 455.970 391.426 968.82 423.74 432.911 267.88 698.739
[3,] 215.292 121.665 653.876 509.212 733.73 503.90 463.348 446.43 230.498
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 22.76 11.98 23.09 6.709 19.94 12.81 3.316 10.99 11.56
[2,] 954.11 550.76 507.13 186.862 3480.40 737.03 77.205 1141.48 987.90
[3,] 1108.81 572.78 51.59 290.654 605.49 1156.96 75.117 1396.35 820.48
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.56 10.72 3.232 10.5 8.542 4.307 11.25 9.697 9.747
[2,] 317.37 710.17 39.254 749.1 416.000 119.314 426.62 750.524 950.566
[3,] 349.15 807.36 22.850 866.0 566.308 171.895 825.55 479.591 525.713
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.201 7.279 6.287 2.546 6.037 2.73 7.446 7.388 6.41
[2,] 138.047 580.972 38.544 13.770 62.205 27.27 422.374 762.073 171.54
[3,] 34.629 209.844 120.153 19.580 54.732 120.03 324.226 441.516 250.76
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 4.252 7.413 8.458 8.929 5.013 8.444 6.951 3.795
[2,] 78.157 748.691 157.982 26.544 89.369 1008.389 216.841 164.099
[3,] 101.215 459.901 407.344 330.110 83.817 492.130 343.398 139.356
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 7.621 6.511 6.321 4.038 7.54 2.481 5.854 3.071 5.612
[2,] 575.802 632.249 535.418 800.692 144.76 8.553 607.430 108.144 184.388
[3,] 768.203 584.886 511.631 511.307 49.20 14.310 684.441 155.064 371.584
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.151 6.585 8.964 3.585 7.691 5.821 6.109 2.96 10.16
[2,] 53.559 656.812 925.158 204.205 556.400 51.517 771.324 121.96 53.85
[3,] 23.531 336.723 208.236 95.612 303.379 10.009 629.346 66.18 288.02
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.12 8.826 10.74 11.29 10.82 15.44 2.040 14.62 6.021
[2,] 349.61 104.533 668.61 275.68 767.81 1034.89 4.197 774.38 305.987
[3,] 313.73 108.996 73.96 378.55 290.42 936.67 14.238 842.58 179.577
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 12.76 4.621 4.187 3.405 5.655 5.536 14.67 12.38 4.821
[2,] 1086.97 144.004 214.278 3.481 705.581 16.914 257.38 256.10 163.108
[3,] 720.57 76.410 176.540 4.986 267.912 58.861 438.07 273.23 109.459
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.561 7.119 7.44 5.679 4.527 1.144 7.001 22.66 13.06
[2,] 461.117 441.373 517.93 94.174 17.212 48.926 529.195 2500.62 745.55
[3,] 318.436 452.589 640.45 303.676 112.014 64.064 645.317 1120.97 1198.22
[1] "--- VAR model 2017-10-02 06:01:00 completed"
[1] "Completed training sample: 2017-10-02 06:01:00 - 2017-10-02 14:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 06:31:00 - 2017-10-02 14:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.7118 -0.19635 -2.603 -4.874
1.8742 0.07101 -3.193 -2.484
2.5779 -0.04691 -2.173 -5.028
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
8.679 1.6820 4.208 2.976
-2.163 1.2572 3.490 4.459
-3.683 0.9587 4.596 4.000
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.081 8.374 -0.18867 -15.38
1.377 1.802 -0.06155 -13.55
1.843 3.869 0.36145 -13.67
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.823 -2.170 -1.9656 21.72
-1.349 -1.942 1.2201 21.66
-1.355 -2.861 -0.3646 25.31
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.467 -2.110 8.451 5.804
-1.866 -1.925 5.088 2.648
-2.124 -0.904 4.703 2.795
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.9286 0.6229 -15.018 -0.8686
-1.2975 1.0794 -6.774 -4.3900
-0.8668 0.7579 -6.766 -1.0012
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.39283 -0.848 -5.547 1.5745
0.47672 -5.837 -3.965 0.2818
0.03367 -3.165 -3.309 0.1784
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.881 0.21018 -3.114 -9.609
-1.700 0.07835 -2.689 -6.253
-5.000 0.18090 -4.296 -5.872
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.4552 3.7584 10.516 5.8835
-0.5165 -2.4748 -2.483 0.4391
-0.1080 -0.6167 -2.307 -2.9316
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.1265 2.184 1.9749 0.124314
-0.2499 -3.040 0.5208 -0.081937
-0.3454 3.204 0.6149 -0.008852
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.542 0.6574 -0.3579 -12.229
4.055 -0.2078 3.6385 -7.864
2.778 0.1093 -0.9138 -7.107
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.8796 0.5257 -13.716 -1.069
0.5475 0.6793 -5.542 4.723
1.9264 0.2234 -5.247 1.535
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.441 -0.5200 2.090 10.93
5.099 -1.3415 -5.789 13.44
3.904 -0.4462 -3.544 11.81
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3341 -3.202 0.8124 7.331
1.0860 4.154 1.0637 -2.109
-1.0623 -7.439 -3.6083 2.401
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
12.6067 1.1370 0.05560 -3.966
0.3858 0.6544 0.02273 13.396
0.4674 0.3435 -0.01384 -2.867
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.297 -1.907 -1.115 7.659
-3.915 1.486 -1.035 -5.744
-4.186 2.798 -1.078 5.679
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.774 0.02342 -1.753 -0.25375
-3.422 1.02134 3.269 -0.08142
1.464 0.33042 -3.197 -0.09492
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.353 0.2711 3.954 0.7761
8.461 -0.3562 6.243 1.4180
-3.928 0.4352 5.682 0.7161
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.317 1.761 5.266 3.854
5.941 1.810 3.958 1.693
3.760 2.839 3.611 1.730
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.876 0.032851 15.529 -4.1295
10.597 -0.056994 14.666 -0.8312
4.724 0.001476 9.093 -2.2648
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.465 0.9217 0.3164 -0.03092
6.651 0.5241 0.6051 -0.08049
7.294 1.1507 -0.9537 -0.01503
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.337 0.09283 8.120 3.328
1.385 0.16997 7.675 4.072
-1.449 0.02877 2.172 1.379
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4930 3.689 4.666 3.823
0.6520 2.507 5.013 5.690
0.9914 2.102 4.637 4.236
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.236 0.09598 -9.988 -0.5573
0.710 0.65047 -9.978 -0.5533
2.474 0.35080 -10.159 -0.4969
rnd_95776.volume rnd_95787.volume
17.741 0.8692
-20.340 -4.6769
4.474 -1.2665
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.548 3.913 14.20 8.922 7.995 2.003 3.308 8.783 9.871 7.036 4.111
[2,] 6.388 3.914 14.25 9.587 9.356 2.007 3.332 8.881 10.066 9.456 4.915
[3,] 6.391 3.923 14.44 10.751 10.013 2.109 3.361 9.021 10.206 9.511 4.966
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.518 5.634 10.38 7.414 6.112 8.951 7.362 17.55 9.275 17.87 5.214
[2,] 8.009 6.060 11.58 7.785 6.555 9.086 8.431 18.13 9.750 18.14 5.305
[3,] 8.857 6.739 12.41 8.343 6.918 9.427 8.554 18.95 10.268 18.14 5.548
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.66 9.95 2.657 8.589 8.652 6.921 8.465 2.568 8.268 7.063 3.415
[2,] 25.49 10.89 2.702 10.908 10.740 7.191 9.377 2.582 9.180 7.556 3.483
[3,] 25.77 12.71 2.740 13.532 11.831 7.510 10.606 2.584 10.555 8.344 3.610
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.838 7.666 7.617 7.264 5.690 5.534 2.052 4.932 2.141 5.758 5.760
[2,] 9.157 8.792 9.440 7.300 6.639 5.563 2.053 4.949 2.172 6.231 7.204
[3,] 10.284 9.225 9.953 7.300 6.739 5.798 2.055 4.973 2.286 6.503 7.717
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.065 3.322 5.909 6.883 7.294 3.955 6.761 5.898 3.040 6.089 5.189
[2,] 5.170 3.354 7.336 6.956 7.296 3.985 8.766 6.090 3.187 7.065 6.454
[3,] 5.362 3.398 7.798 7.438 7.620 4.006 9.462 6.457 3.282 8.346 7.243
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.190 3.246 6.058 1.950 4.676 2.462 4.530 5.009 5.307 7.303 3.047
[2,] 6.106 5.852 6.135 1.952 5.870 2.539 4.649 5.018 6.592 9.094 3.222
[3,] 6.875 6.659 6.157 1.953 7.197 2.709 5.199 5.019 6.891 9.177 3.224
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.200 4.735 4.959 2.368 8.173 8.034 7.254 8.425 8.764 8.637 11.22
[2,] 7.080 4.740 6.856 2.470 8.226 8.226 7.368 9.189 8.983 9.514 12.50
[3,] 7.326 4.740 7.775 2.501 8.463 8.347 7.463 9.192 9.295 9.665 13.32
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.689 10.71 4.863 8.936 3.670 3.372 2.750 4.552 4.647 11.78 9.874
[2,] 1.690 11.35 5.131 11.319 3.740 3.585 2.750 6.101 4.647 11.87 9.993
[3,] 1.690 12.20 5.243 12.021 3.772 3.704 2.751 6.322 4.657 12.08 10.129
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.659 4.471 5.598 5.881 4.510 3.574 0.9271 4.435 18.20 10.14
[2,] 3.889 5.113 6.168 6.610 4.554 3.575 0.9725 5.129 23.01 11.07
[3,] 3.930 5.439 6.657 7.536 4.929 3.632 1.0517 5.713 23.81 13.01
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.045 4.969 18.04 11.33 10.15 2.543 4.20 11.15 12.53
[2,] 445.388 10.823 162.14 493.54 683.48 19.272 57.12 185.00 277.99
[3,] 27.252 37.498 326.53 684.52 501.98 91.224 61.72 223.41 236.83
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.934 5.221 9.547 7.154 13.18 9.414 7.761 11.37 9.349
[2,] 888.662 378.769 388.178 314.170 722.19 334.187 333.273 219.61 577.915
[3,] 144.292 100.464 532.129 414.712 629.00 422.002 311.071 353.67 203.507
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 22.29 11.78 22.69 6.621 19.88 12.64 3.374 10.91 10.99
[2,] 636.92 422.85 441.63 137.672 2828.80 621.72 69.077 945.78 895.06
[3,] 777.24 452.72 35.28 228.682 535.64 923.49 64.063 1126.38 697.93
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.788 10.75 3.261 10.5 8.969 4.336 11.22 9.734 9.673
[2,] 275.051 567.63 38.047 561.2 377.468 96.497 336.93 605.674 784.280
[3,] 304.274 697.13 14.384 732.7 497.844 133.852 658.36 393.100 443.644
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.224 7.225 7.027 2.606 6.263 2.719 7.311 7.314 6.431
[2,] 101.444 481.097 80.812 8.378 57.755 51.652 335.046 608.725 146.449
[3,] 16.279 163.093 229.505 10.929 69.835 100.092 261.910 389.244 199.854
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.219 7.503 8.74 9.263 5.023 8.586 7.49 3.86 7.732
[2,] 64.686 611.479 142.30 21.267 68.566 784.809 213.08 134.71 503.878
[3,] 76.645 372.260 370.52 309.348 58.038 500.911 302.09 109.86 625.065
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 6.589 6.59 4.122 7.693 2.477 5.938 3.126 5.752 6.36
[2,] 539.822 452.67 684.816 136.324 9.744 499.186 87.311 147.242 42.90
[3,] 462.628 444.26 447.010 73.873 10.801 585.739 132.825 327.411 19.08
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.739 9.274 3.87 7.873 6.013 6.297 3.007 10.38 10.2
[2,] 549.965 762.169 147.18 480.816 30.526 665.975 98.641 131.57 248.7
[3,] 282.549 173.521 18.25 265.122 7.586 515.873 55.277 280.27 198.8
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.212 10.70 11.13 10.97 14.25 2.145 13.59 6.176 11.35
[2,] 181.334 516.03 277.85 561.22 774.93 5.758 530.47 229.941 977.42
[3,] 166.880 36.29 336.10 239.61 647.24 2.103 630.38 152.247 569.38
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.66 4.282 3.492 5.781 5.901 14.96 12.54 4.646 5.678
[2,] 101.12 171.279 3.188 571.447 9.446 211.89 216.83 185.474 348.871
[3,] 69.93 130.820 12.194 232.799 42.493 315.30 232.34 79.794 261.052
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.108 7.467 5.727 4.538 1.177 5.632 23.11 12.87
[2,] 364.473 424.558 89.070 14.305 41.290 362.517 1981.05 626.01
[3,] 352.239 509.209 265.214 90.253 56.319 353.790 862.26 960.12
[1] "--- VAR model 2017-10-02 06:31:00 completed"
[1] "Completed training sample: 2017-10-02 06:31:00 - 2017-10-02 14:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 07:01:00 - 2017-10-02 15:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8553 0.77475 -2.28012 7.178
0.7595 0.31880 -1.70857 -5.875
-0.4147 -0.02943 0.02172 6.138
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
17.843 1.7182 0.2287 0.3111
10.061 0.6984 1.1665 1.5198
2.331 0.5788 1.4578 1.7442
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.5974 -1.8994 1.49918 -14.88
-0.3127 -0.3534 -1.18785 -17.08
0.1041 1.1515 0.07841 -17.07
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.283 -0.0934 -0.4121 25.28
-3.547 -2.8285 -2.2704 23.73
-3.307 -2.8904 -1.4349 25.46
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.399 -7.3093 2.597 2.1435
-2.504 -0.3484 5.061 -2.1921
-2.903 -1.8542 4.004 0.1752
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.2509 5.859 7.999 -7.843
-1.2499 3.507 -5.213 5.216
-0.3009 2.128 -6.355 -2.011
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.15162 -12.627 -3.969 0.7402
0.14788 4.382 1.505 1.1406
-0.04255 -2.346 2.989 0.8569
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.420 0.04376 5.1649 20.62
-5.294 -0.05646 -3.0157 18.42
5.978 0.25119 0.8887 16.61
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.0496 10.853 13.467 9.062
0.8720 3.960 6.539 11.072
-0.6459 -2.087 -2.971 5.472
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0547 6.951 12.873 0.06244
0.4354 1.777 10.823 0.03541
0.1719 -1.880 8.308 -0.01158
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.3736 0.4521 5.710 -12.546
0.1458 0.8731 4.708 -1.327
-0.1886 0.7077 2.585 -1.358
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.2559 0.02905 -8.405 -0.6971
-0.4250 0.17168 -8.873 3.8753
-0.8656 0.13707 -1.678 1.9570
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.1394 -1.1752 1.6922 16.31
0.8197 -0.9947 -0.7723 17.24
0.4591 -0.8653 -5.7668 17.00
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.3147 -11.025 -9.1709 3.128
0.9847 4.157 1.2469 -6.223
-0.8582 -4.500 -0.7837 3.538
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.409 -0.5422 -0.17281 -6.652
-7.423 -0.3628 -0.01742 3.677
1.003 -0.0874 0.04326 -9.078
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.670 6.0199 -0.009434 5.588
-4.684 -4.0958 -0.071279 1.372
-4.441 -0.3234 -0.005772 -1.532
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.08185 0.31786 -2.088 -0.5923
3.91018 -0.07826 6.566 -0.3142
-4.43004 -0.19845 -3.583 -0.1806
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.452 -1.2697 1.6680 0.54952
5.663 -0.3644 -0.8635 0.42321
1.103 0.6889 -0.1945 0.09414
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.1554 -1.67790 2.097 0.5260
0.7686 1.10005 3.627 0.5732
1.0204 0.03884 3.707 1.3932
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.3072 -0.02343 -2.578 -2.391
-0.3816 0.02964 -5.187 -2.037
0.3985 0.02556 -5.842 -1.599
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.785 -0.7235 -2.82280 -0.29079
1.674 -0.1683 0.12120 -0.05216
-2.887 -0.3632 -0.06989 0.02643
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.5014 0.5439 0.2034 6.787
6.2684 0.5357 1.4596 7.401
-1.2753 0.1641 0.7347 4.983
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.34460 0.93655 -0.2445 -0.1660
0.18405 0.06592 0.4554 0.8513
-0.06798 0.22394 -0.5114 0.2132
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.4092 0.5735 -11.17 -0.6864
-2.9157 -0.5437 -11.23 -0.9664
0.7522 -0.3591 -11.13 -0.6365
rnd_95776.volume rnd_95787.volume
14.980 -7.562
-14.540 4.550
-2.413 -2.921
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.545 3.997 14.09 8.937 7.995 2.121 3.108 8.168 9.595 6.917 3.975
[2,] 6.264 3.997 14.10 9.643 9.291 2.124 3.119 8.226 9.724 9.034 4.705
[3,] 6.284 4.009 14.20 10.736 9.998 2.229 3.170 8.337 9.958 9.118 4.743
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.135 5.531 9.776 7.373 6.138 9.129 7.386 17.89 9.354 16.10 5.484
[2,] 7.640 5.967 10.892 7.734 6.585 9.277 8.438 18.64 9.865 16.53 5.561
[3,] 8.496 6.646 11.614 8.217 6.978 9.527 8.541 19.60 10.421 16.54 5.702
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.27 10.00 2.712 8.564 8.586 6.883 8.496 2.660 8.376 7.052 3.438
[2,] 25.06 10.73 2.771 10.599 10.656 7.180 9.466 2.673 9.159 7.610 3.509
[3,] 25.29 12.52 2.801 13.251 11.670 7.512 10.561 2.674 10.477 8.305 3.639
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.806 7.754 7.660 7.527 5.814 5.744 2.080 5.301 2.199 5.691 5.736
[2,] 9.092 8.817 9.518 7.627 6.744 5.809 2.080 5.399 2.203 6.213 7.213
[3,] 10.195 9.275 10.007 7.649 6.832 6.125 2.082 5.466 2.304 6.490 7.742
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.987 3.169 6.003 6.970 7.404 4.028 7.027 6.120 2.994 6.152 5.304
[2,] 5.074 3.192 7.324 7.036 7.405 4.062 9.409 6.393 3.136 7.146 6.693
[3,] 5.273 3.217 7.784 7.515 7.753 4.083 9.832 6.802 3.232 8.523 7.655
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.374 3.306 6.187 1.930 4.705 2.533 4.759 5.194 5.484 7.393 3.037
[2,] 6.256 5.967 6.263 1.933 5.985 2.620 4.844 5.210 6.950 9.447 3.196
[3,] 7.056 6.922 6.290 1.933 7.289 2.779 5.398 5.211 7.228 9.515 3.199
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.197 4.929 5.098 2.415 7.668 7.395 7.268 8.466 8.632 8.673 10.29
[2,] 7.082 4.943 6.982 2.496 7.727 7.651 7.389 9.136 8.937 9.484 12.14
[3,] 7.341 4.947 8.089 2.522 7.822 7.736 7.507 9.147 9.252 9.610 12.98
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.755 10.30 4.873 8.545 3.463 3.377 2.847 4.711 4.652 11.76 9.531
[2,] 1.756 11.03 5.134 10.686 3.525 3.611 2.847 6.284 4.652 11.85 9.566
[3,] 1.756 11.91 5.224 11.804 3.550 3.762 2.847 6.503 4.659 12.00 9.624
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.660 4.447 5.571 5.854 4.589 3.632 0.9394 3.047 18.26 10.11
[2,] 3.775 5.105 6.132 6.572 4.630 3.636 0.9861 3.144 23.40 10.88
[3,] 3.820 5.373 6.631 7.496 4.967 3.676 1.0668 3.294 24.23 12.73
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.041 5.075 17.89 11.35 10.15 2.693 3.947 10.37 12.18
[2,] 361.970 5.883 83.99 449.96 588.05 13.513 32.585 120.91 195.79
[3,] 62.699 38.001 210.09 586.12 458.61 84.005 70.023 168.80 266.85
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.783 5.047 9.06 7.024 12.41 9.362 7.795 11.59 9.379
[2,] 721.826 312.695 339.38 278.007 596.55 290.204 296.040 204.89 506.817
[3,] 153.320 74.551 461.56 363.391 500.60 344.756 286.851 269.24 164.638
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 22.72 11.88 20.44 6.964 19.39 12.7 3.444 10.87 10.9 8.74
[2,] 648.96 389.16 468.97 114.044 2467.64 483.0 70.247 775.71 783.7 253.98
[3,] 754.47 417.14 50.67 156.618 427.93 801.9 51.116 987.65 590.9 274.31
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 10.79 3.378 10.64 8.955 4.366 11.18 9.846 9.727 9.558
[2,] 518.26 32.933 460.02 355.354 87.098 280.70 521.376 701.640 153.037
[3,] 581.71 9.211 631.89 413.210 119.841 573.05 357.312 383.754 72.292
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 7.382 7.294 2.641 6.732 2.792 7.226 7.284 6.333 4.024
[2,] 424.678 107.865 3.225 127.513 18.288 309.605 543.153 116.378 47.332
[3,] 135.882 241.091 13.204 106.018 83.788 233.266 349.558 178.091 49.897
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 7.623 8.851 9.402 5.115 8.923 7.771 3.802 7.812
[2,] 521.153 119.788 11.179 65.761 777.193 229.731 115.847 451.484
[3,] 327.442 327.965 285.426 50.736 354.107 288.606 96.868 577.030
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 6.735 6.824 4.198 7.857 2.451 5.975 3.216 6.043 6.595
[2,] 506.981 397.764 616.917 121.113 13.189 459.480 83.136 112.621 51.693
[3,] 461.408 405.416 435.888 72.270 5.466 516.644 115.020 295.733 11.441
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.964 9.388 3.856 7.869 6.259 6.474 3.066 9.737 9.39
[2,] 530.358 730.392 123.812 425.688 47.865 592.407 78.673 118.634 244.04
[3,] 246.571 141.226 18.072 240.112 22.865 507.462 44.363 150.644 142.14
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.229 10.75 10.96 11.01 13.06 2.229 13.08 6.188 10.85
[2,] 165.624 426.57 287.35 476.38 800.87 6.013 490.86 200.694 796.80
[3,] 164.724 55.92 297.42 193.11 569.24 1.812 559.73 120.009 622.99
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.398 4.288 3.615 5.982 5.907 14.94 12.1 4.648 5.647
[2,] 81.359 158.780 3.427 516.479 7.284 174.96 102.6 114.794 311.476
[3,] 52.857 131.305 2.991 207.919 32.934 240.87 131.4 72.912 207.900
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.075 7.434 5.827 4.612 1.193 3.869 23.18 12.84
[2,] 318.292 370.813 76.114 22.280 37.235 96.329 1818.54 497.82
[3,] 313.331 447.812 223.411 67.623 50.567 122.218 777.86 822.20
[1] "--- VAR model 2017-10-02 07:01:00 completed"
[1] "Completed training sample: 2017-10-02 07:01:00 - 2017-10-02 15:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 07:31:00 - 2017-10-02 15:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.893 0.577311 -3.464 13.347
-0.199 0.006712 -5.272 -14.235
-1.206 0.068924 -1.849 -1.054
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.220 1.7870 2.039 -1.411
11.361 0.2677 1.875 -2.908
-6.452 0.2443 2.226 -1.909
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6304 -2.9810 -1.2915 -22.30
-4.1943 -0.8466 -0.9604 -20.60
-2.0939 -2.2287 -1.5035 -24.11
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.507 -3.340 -3.677 22.02
-6.728 -1.727 -3.859 21.01
-5.894 -1.949 -2.702 21.43
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.485 -2.138 3.077 -0.7071
-4.070 -3.169 1.535 0.7823
-3.377 -2.958 1.270 -1.1520
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.138 2.2865 -12.800 -18.800
-4.559 4.2953 -8.899 -2.737
-2.544 0.0561 -16.228 -4.540
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.07103 -21.2174 -10.0985 4.735
0.16045 -0.7685 -7.3069 4.107
0.23779 -1.2179 0.5669 2.720
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
11.0224 -0.51739 10.126 22.59
-14.6163 -0.04854 -11.697 20.74
-0.1732 -0.12958 -7.938 18.80
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.3632 4.71468 1.542 -2.121
0.4286 0.00552 9.385 6.951
-2.1498 -11.54802 -10.533 -1.193
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.60214 2.636 -4.435 -0.07101
-0.25485 8.070 -4.045 0.12856
-0.07947 1.395 -2.871 0.02437
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.1918 0.15297 1.6521 -14.923
0.2808 -0.05129 0.2045 -7.554
0.2856 -0.05193 3.2104 -8.412
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.66634 0.7715 -11.301 4.315
0.38624 0.6152 -10.895 2.124
-0.04084 0.1039 -6.213 1.573
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.955 -0.7384 -3.235 13.008
2.372 -0.7620 -5.640 7.851
2.151 -0.8670 -3.745 6.809
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.9713 -3.041 -2.693 6.928
-0.8815 -4.808 -1.706 -1.411
-0.2378 -2.247 -3.429 -4.131
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1623 0.4452 0.03693532 14.440
-1.5732 0.2318 -0.01909031 3.966
-1.3801 0.0686 0.00004745 -2.760
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.950 10.335 0.7517 6.9270
-4.842 2.776 -0.2608 9.5289
-3.753 1.525 0.5225 0.8605
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.7542 0.9224 -2.764 0.8104
9.2218 0.2318 8.419 0.5389
0.6158 0.5628 4.098 0.4467
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.349 -2.8234 0.1315 -1.4569
7.738 -0.2880 -3.0341 -0.9239
7.473 0.8045 -0.5937 -0.5447
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.704 1.5520 4.568 -0.9575
2.914 -0.1345 3.303 -1.0266
2.069 -1.5443 3.021 -1.0887
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.151 0.08967 -2.005 0.8336
1.079 -0.01813 -2.702 0.7101
1.114 0.02513 -1.329 0.1501
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.1501 -0.006189 -0.4605 -0.1006949
-3.1043 0.392676 -0.6692 -0.0004698
1.3828 0.196808 -0.5090 -0.0659138
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.212 0.63915 3.291 1.0887
4.289 0.24047 2.936 0.6983
5.633 0.08628 5.698 -0.6816
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.3086 3.056 1.713 2.902
1.2518 2.316 2.429 2.696
0.8404 1.703 1.976 3.810
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
8.0100 0.59090 -12.51 7.540
2.4513 0.51410 -12.49 6.084
0.9836 0.05371 -12.68 4.574
rnd_95776.volume rnd_95787.volume
-17.049 -18.229
-4.371 -2.181
-10.533 -4.981
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.585 4.097 13.48 8.731 8.130 2.367 3.214 8.377 9.576 6.852 4.168
[2,] 6.329 4.101 13.51 9.491 9.442 2.371 3.267 8.462 9.597 9.067 4.959
[3,] 6.334 4.131 13.60 10.577 10.109 2.478 3.333 8.666 9.745 9.079 4.987
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.702 5.384 8.792 7.096 6.133 9.626 7.656 18.03 9.761 14.03 5.557
[2,] 7.673 5.785 9.665 7.351 6.549 9.755 9.006 18.80 10.442 14.40 5.581
[3,] 8.537 6.466 9.881 8.022 6.931 9.821 9.046 19.60 11.157 14.42 5.633
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.52 9.917 2.799 8.479 8.614 6.715 8.233 2.715 8.179 7.165
[2,] 24.77 10.476 2.854 10.164 10.545 7.045 9.297 2.729 8.973 7.696
[3,] 24.99 12.216 2.882 12.664 11.629 7.418 10.329 2.729 10.257 8.361
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.495 8.724 7.353 7.582 7.462 5.834 5.984 2.094 5.573 2.217 5.804
[2,] 3.547 9.029 8.482 9.617 7.565 6.727 6.094 2.095 5.729 2.217 6.333
[3,] 3.674 10.214 9.029 10.119 7.587 6.815 6.409 2.096 5.820 2.225 6.573
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.859 4.958 3.153 6.108 6.909 7.427 4.025 7.013 6.740 2.959 6.351
[2,] 7.383 5.013 3.175 7.446 6.954 7.427 4.054 9.499 6.984 3.096 7.350
[3,] 7.914 5.217 3.193 7.938 7.379 7.831 4.067 9.978 7.589 3.175 8.526
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.563 5.404 3.584 6.281 1.908 4.757 2.670 4.738 5.229 5.624 7.435
[2,] 6.890 6.411 6.256 6.350 1.912 6.052 2.770 4.828 5.246 7.082 9.452
[3,] 7.839 7.228 7.191 6.369 1.914 7.471 2.938 5.390 5.247 7.381 9.522
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.108 6.384 4.948 5.496 2.411 7.773 7.627 7.380 8.434 8.528 8.561
[2,] 3.241 7.293 4.963 7.270 2.499 7.780 7.812 7.532 9.103 8.812 9.346
[3,] 3.245 7.577 4.966 8.268 2.527 7.896 7.896 7.706 9.104 9.086 9.442
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 9.485 1.799 9.467 4.803 8.376 3.46 3.509 2.89 4.843 4.736 11.38
[2,] 11.062 1.800 10.184 4.907 10.414 3.50 3.710 2.89 6.153 4.743 11.44
[3,] 11.954 1.800 11.228 4.923 11.386 3.53 3.856 2.89 6.330 4.775 11.56
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.855 3.541 4.339 5.275 4.596 4.660 3.648 0.9659 3.146 18.43 10.08
[2,] 10.099 3.667 5.126 5.708 5.174 4.704 3.652 1.0184 3.257 23.01 10.66
[3,] 10.359 3.694 5.438 6.146 6.028 5.087 3.684 1.0991 3.373 23.84 12.50
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.092 5.202 17.11 11.09 10.32 3.006 4.081 10.64 12.16
[2,] 292.054 19.743 97.33 365.07 470.86 12.860 57.505 117.38 62.78
[3,] 26.282 48.839 153.93 457.86 354.25 70.794 64.690 183.89 165.99
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.701 5.293 8.511 6.836 11.16 9.011 7.788 12.22 9.722
[2,] 582.456 263.541 366.481 207.780 393.81 188.429 225.237 155.08 465.153
[3,] 46.406 51.991 366.987 283.186 201.91 314.926 222.574 112.13 83.547
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 22.9 12.39 17.82 7.056 18.44 12.59 3.555 10.77 10.94
[2,] 519.7 363.88 315.76 51.397 1967.34 331.43 54.575 549.84 596.57
[3,] 544.9 385.65 80.24 75.099 328.25 616.15 39.457 740.81 480.90
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.527 10.45 3.448 10.39 9.098 4.438 11.08 9.337 9.628
[2,] 209.190 423.65 27.184 361.85 275.528 59.563 228.61 414.603 580.268
[3,] 227.837 441.40 3.513 487.48 320.611 93.992 468.31 303.848 308.714
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.476 7.408 7.599 2.659 7.076 2.815 7.37 7.44 6.296
[2,] 122.167 328.578 113.084 5.116 130.305 4.586 248.59 440.58 72.850
[3,] 57.386 107.394 194.566 7.840 100.792 18.943 172.58 279.61 141.749
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.004 7.756 8.773 9.431 5.111 8.905 8.558 3.757 8.065
[2,] 36.074 417.580 78.142 7.483 47.424 628.426 179.541 89.616 362.888
[3,] 33.741 270.005 242.234 243.566 31.861 299.633 291.436 69.106 423.689
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.064 6.863 4.551 7.975 2.423 6.041 3.391 6.017 6.64
[2,] 398.703 338.324 502.886 92.276 13.046 366.983 72.100 91.016 42.08
[3,] 366.733 327.257 347.718 48.412 8.032 429.562 96.242 235.035 10.26
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.141 9.441 3.947 8.107 6.283 6.98 3.061 9.871 9.685
[2,] 422.123 572.398 90.259 345.720 38.043 466.67 64.716 32.027 165.837
[3,] 204.173 113.300 15.077 201.765 18.520 386.17 36.861 132.594 112.724
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.372 10.71 10.83 10.87 12.04 2.284 12.02 6.099 10.64 4.394
[2,] 147.567 336.06 218.11 367.88 558.30 7.296 368.20 98.515 606.94 51.514
[3,] 159.849 13.77 217.04 131.68 444.57 1.937 463.67 39.272 451.34 44.933
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.456 3.670 6.15 6.014 14.45 12.51 4.497 5.509 6.699
[2,] 118.065 3.755 372.21 24.986 121.81 216.76 93.507 267.813 213.837
[3,] 103.411 2.899 145.96 54.967 163.46 226.39 43.906 178.120 223.615
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.837 5.917 4.633 1.227 3.995 23.4 12.81
[2,] 232.945 63.365 17.018 31.657 82.590 1351.3 340.03
[3,] 303.375 189.867 47.891 40.558 85.978 612.6 640.42
[1] "--- VAR model 2017-10-02 07:31:00 completed"
[1] "Completed training sample: 2017-10-02 07:31:00 - 2017-10-02 15:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 08:01:00 - 2017-10-02 16:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.171 -1.16500 -1.74616 -6.099
1.613 0.07822 -0.97763 -8.885
0.260 -0.13294 0.06564 2.593
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.984 2.033 0.9882 1.5733
-2.030 2.178 0.8510 1.9771
-11.220 1.325 1.5751 0.9364
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.196 0.7466 2.813 -17.78
3.108 1.2522 0.107 -19.48
1.377 1.5813 1.339 -16.96
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.872 3.7933 2.542 21.80
-5.215 -0.5050 -2.373 21.08
-4.819 0.1081 -1.862 22.44
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.601 -7.331 -10.194 -13.96
-3.460 -3.612 -9.540 -13.32
-4.166 -2.308 -7.148 -11.99
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.0632 -0.74866 7.933 -2.445
-1.1379 -0.35688 -6.251 5.179
0.5881 -0.09919 -3.956 -6.015
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.16340 -7.791 -12.2446 0.21951
-0.07809 4.030 0.2623 -0.15769
-0.05159 -3.270 1.6848 -0.02901
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.994 0.3328 7.3859 19.28
-7.665 0.3301 -10.7481 18.51
3.192 0.1455 -0.8423 18.65
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.08018 7.949 5.9256 2.311
-1.81672 -11.613 0.3072 3.369
-1.33276 -2.325 -10.6118 -10.451
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.5821 -4.5603 -1.4115 -0.017204
-0.3112 -0.7039 -0.4221 -0.070661
-0.1533 -2.0533 -0.4406 0.001086
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4548 0.05435 -4.4431 -9.846
-0.1684 -0.15918 2.7459 -13.858
-0.1045 -0.02223 0.3847 -7.884
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.6492 0.06912 -15.390 0.9994
0.2259 -0.31841 -4.166 3.8513
-0.3053 -0.19610 -11.032 1.7354
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.395 0.16033 4.313 10.787
1.346 0.04440 -7.956 9.968
1.989 -0.08415 -2.731 7.317
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.7942 3.981 -0.1838 -4.983
-0.1107 -0.575 2.1610 4.230
-0.7979 -7.387 -4.9961 -1.124
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.6197 -1.4292 0.27212 -8.133
-0.2019 -0.4949 0.05250 -2.921
2.3967 -0.2306 0.03766 1.872
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.955 0.8635 -0.28334 -8.347
-2.960 -2.4933 0.08705 3.088
-1.743 -1.6810 -0.56592 -1.709
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.4120 1.3965 -4.6915 -0.2192
0.9184 0.7747 -3.0963 0.1725
-3.2420 0.6919 -0.9519 -0.1819
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.626 0.22807 1.1880 8.254
-6.508 -0.14434 -1.1797 5.276
1.230 0.06099 -0.3318 5.077
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.293 -1.0271 6.359 5.513
1.696 1.3038 5.757 3.013
1.973 -0.3613 5.200 1.972
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.456 -0.3019 4.635 -0.3698
2.885 -0.2642 3.536 -0.4449
2.430 -0.0948 2.151 -0.1705
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.968 -0.37951 0.00594 0.03322
3.808 -0.09777 0.26123 0.19099
2.867 -0.05773 -1.10516 0.29318
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.488 -0.3234 -0.5602 -8.895
-2.188 3.0501 0.0368 -9.410
-2.185 1.5969 -0.2865 -9.017
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.792 5.231 9.251 10.664
3.938 2.890 4.292 4.329
1.924 3.297 3.320 3.306
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2384 0.9434 -11.59 0.5733
-1.1533 -1.0119 -11.53 0.5540
-1.8284 -0.9586 -11.40 0.2523
rnd_95776.volume rnd_95787.volume
0.9547 -2.697
-16.8471 5.120
3.2675 -5.372
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.645 4.255 13.25 8.005 8.140 2.514 2.974 8.128 9.378 6.575 4.121
[2,] 6.754 4.260 13.27 9.097 9.216 2.518 2.982 8.165 9.383 8.989 4.971
[3,] 6.801 4.297 13.35 10.207 9.692 2.679 3.004 8.253 9.443 8.991 4.999
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.384 5.415 6.247 6.104 5.977 8.241 6.843 17.00 9.735 13.95 5.551
[2,] 7.770 5.814 6.835 6.555 6.359 8.794 8.547 18.11 10.466 14.04 5.569
[3,] 8.577 6.519 6.922 7.252 6.812 9.002 8.744 18.85 11.133 14.09 5.602
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.02 9.324 2.699 8.031 8.230 6.535 7.489 2.741 8.054 7.220
[2,] 25.01 9.913 2.729 9.963 9.934 6.735 9.036 2.755 8.941 7.742
[3,] 25.14 12.174 2.735 12.937 11.213 7.054 10.140 2.756 10.152 8.433
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.482 8.641 7.245 7.428 7.557 6.250 6.020 2.053 5.612 2.097 5.714
[2,] 3.586 9.108 8.330 9.254 7.725 6.929 6.158 2.053 5.789 2.097 6.285
[3,] 3.649 10.191 8.824 9.722 7.805 6.995 6.517 2.054 5.897 2.105 6.585
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.818 5.017 3.124 6.031 6.778 7.367 4.038 6.783 6.931 2.922 6.479
[2,] 7.422 5.073 3.140 7.486 6.809 7.367 4.039 9.401 7.176 3.076 7.454
[3,] 7.936 5.277 3.159 8.025 7.202 7.813 4.039 9.900 7.773 3.151 8.600
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.716 5.433 3.629 6.277 1.909 4.723 2.713 4.858 5.099 5.646 7.099
[2,] 6.812 6.478 6.365 6.346 1.918 6.069 2.809 4.961 5.114 7.117 8.988
[3,] 7.813 7.307 7.272 6.355 1.918 7.573 2.969 5.477 5.114 7.478 9.041
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.414 6.860 4.874 6.245 2.581 8.097 7.830 7.486 8.056 7.964 7.654
[2,] 3.441 7.613 4.906 7.436 2.581 8.319 7.965 7.684 8.776 8.234 8.487
[3,] 3.477 7.904 4.909 8.333 2.583 8.643 8.011 7.827 8.816 8.514 8.583
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.214 1.876 6.752 4.759 7.086 3.522 3.574 2.963 4.943 5.110 11.34
[2,] 8.523 1.876 7.824 4.871 8.362 3.557 3.769 2.964 6.216 5.111 11.42
[3,] 9.132 1.879 8.352 4.899 9.247 3.589 3.937 2.964 6.383 5.156 11.52
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.04 3.672 3.381 4.014 3.035 4.805 3.791 1.045 3.491 18.58 9.682
[2,] 10.21 3.690 4.167 4.051 3.357 4.857 3.792 1.089 3.656 22.81 10.236
[3,] 10.46 3.724 4.172 4.480 4.319 5.252 3.828 1.201 3.824 23.64 12.517
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.438 5.403 16.83 10.16 10.34 3.192 3.777 10.32 11.91
[2,] 103.150 18.377 56.03 367.22 367.19 12.615 18.924 66.63 27.52
[3,] 67.765 47.666 128.04 393.35 254.99 77.750 31.144 102.44 90.66
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.349 5.233 8.107 6.876 7.933 7.751 7.59 10.46 8.689
[2,] 520.720 236.226 376.302 179.847 235.560 203.178 184.45 261.00 435.104
[3,] 18.093 45.088 308.644 250.563 93.276 263.480 207.57 163.51 157.199
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 21.59 12.36 17.71 7.049 17.8 11.84 3.427 10.2 10.45 8.299
[2,] 531.46 326.45 137.09 38.774 1759.5 286.17 34.184 500.9 472.69 138.412
[3,] 444.94 322.72 105.20 51.607 217.4 600.39 16.093 701.2 441.98 178.311
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 9.51 3.480 10.23 9.168 4.422 10.97 9.2 9.432 9.596
[2,] 429.56 24.148 329.99 237.650 72.924 244.73 349.3 468.952 136.167
[3,] 390.92 6.505 408.61 284.013 57.239 388.58 247.4 253.295 95.416
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 7.937 7.644 2.607 7.126 2.663 7.256 7.388 6.371 3.967
[2,] 254.034 110.223 2.297 120.953 3.522 222.321 391.492 64.030 27.667
[3,] 82.078 181.433 4.631 95.582 15.527 167.285 238.884 123.338 29.301
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.659 8.607 9.355 5.127 8.614 8.801 3.711 8.227 7.258
[2,] 376.775 55.386 8.549 9.795 552.949 158.104 81.554 313.182 314.938
[3,] 245.786 199.497 221.072 4.408 263.786 253.949 58.361 364.499 324.978
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 6.899 4.609 7.97 2.424 5.998 3.445 6.169 6.476 7.169
[2,] 299.695 444.170 79.71 15.909 323.757 61.665 85.484 32.590 368.143
[3,] 287.254 298.937 28.95 3.513 384.798 81.917 197.329 6.088 195.179
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 9.015 4.335 8.712 6.189 7.931 3.278 10.28 9.943 9.506
[2,] 468.319 36.599 280.455 47.853 342.828 3.336 162.47 124.189 147.374
[3,] 83.202 42.766 180.591 16.152 319.587 7.485 199.12 73.374 126.511
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.23 10.11 9.719 9.16 2.382 8.574 6.043 8.998 4.472
[2,] 295.81 177.83 311.697 385.64 3.439 335.858 88.308 377.240 42.548
[3,] 71.65 184.29 108.886 278.65 9.307 248.281 44.942 335.506 40.753
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.538 3.762 6.277 6.489 14.39 12.75 4.663 4.293 5.097
[2,] 101.912 6.676 320.141 8.595 116.34 155.75 31.425 207.012 46.431
[3,] 96.641 4.813 123.569 57.989 129.70 192.97 42.829 17.567 162.603
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.854 6.102 4.814 1.326 4.433 23.59 12.29
[2,] 121.920 60.097 7.331 26.315 92.494 1123.90 282.27
[3,] 230.792 169.928 44.649 42.865 95.238 529.85 612.14
[1] "--- VAR model 2017-10-02 08:01:00 completed"
[1] "Completed training sample: 2017-10-02 08:01:00 - 2017-10-02 16:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 08:31:00 - 2017-10-02 16:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5632 -0.4572 0.4675 -12.28
-1.0585 0.4854 1.2358 -11.26
-0.2729 -0.1084 3.4983 15.32
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.86 -0.6192 0.6409 -0.7481
-26.18 2.0558 0.2860 2.6935
-20.23 1.0389 0.3829 0.5783
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.807 1.2791 -1.758 -19.15
1.664 -0.6513 0.879 -20.47
-0.501 2.1240 0.388 -19.19
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
15.545 -0.8759 -0.1826 25.51
9.231 -0.6797 -2.8532 26.00
9.131 -0.5632 -3.7906 26.20
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.726 -10.630 4.6532 -1.940
-5.569 -3.237 -0.1510 -5.468
-5.198 -4.427 0.8432 -4.445
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.5528 -0.3895 55.4882 -4.337
-0.4555 -0.8336 0.8404 19.155
2.9929 0.2105 2.9780 -3.793
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1241 -7.764 -5.379 0.9152
-0.0601 23.123 12.084 0.6469
0.1703 -2.253 8.140 0.4235
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.939 0.05865 -15.615 -2.863
-9.171 0.07528 -5.207 -3.609
18.031 0.10199 7.312 -4.359
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.033 -16.415 -15.222 -12.786
-1.407 -8.365 -14.007 -13.248
-1.599 -5.760 -8.818 -7.144
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9993 -6.6908 -1.013 0.019605
0.5975 -2.1407 -1.802 0.034982
0.3543 0.3666 -1.125 -0.000712
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4157 -0.25716 -6.030 -11.89
0.1800 0.17075 -6.629 -16.07
0.1040 0.01197 -5.413 -16.59
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4982 1.4206 -10.51 6.385
-0.1238 1.4263 -12.48 5.899
1.1012 0.8985 -13.55 3.954
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.116 -0.05728 0.6136 6.296
3.762 -0.16501 -5.0216 4.762
2.473 -0.21967 -2.0397 4.975
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.85432 0.001047 -4.1356 -11.880
-0.54491 -4.454476 0.5995 1.222
0.01516 -3.448205 -3.4307 -2.591
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.052 0.152241 0.34933 5.3682
-5.343 -0.007939 0.05820 -10.3544
1.153 0.098705 0.07628 -0.8728
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.436 0.001892 -1.2452 -9.431
-4.275 1.975790 -0.0574 2.486
-4.558 -5.864881 -0.6891 -1.577
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-13.3968 3.104 -11.122 -0.7674
-2.0322 2.901 -9.067 -0.4855
-0.3036 2.206 -1.306 -0.2721
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.339 1.3571 -1.956 -0.5532
-15.105 0.3843 -2.423 -0.9600
-5.561 0.1508 -1.661 -0.2996
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.162 -2.430 -1.4591 -2.053
4.778 -1.142 -0.9910 -1.118
3.272 -1.795 -0.5623 -1.017
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.224 -0.32546 -5.727 -2.008
-3.403 -0.19306 -2.561 -1.690
-1.830 -0.03221 -2.694 -1.708
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.258 -1.0171 -0.94356 -0.175198
-2.052 -0.7247 -0.01635 0.004319
-2.978 -0.4073 -1.09862 0.015767
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.736 -1.0656 -0.2187 -8.149
-1.513 -0.1630 -0.5877 -7.613
1.235 -0.1104 -0.9477 -6.098
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.4093 5.089 2.3385 4.647
1.2377 1.620 1.5786 4.307
0.2652 1.343 0.7203 1.124
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.561 0.1370 -9.903 2.729
3.649 0.8558 -9.026 2.317
-4.760 0.1985 -8.801 1.826
rnd_95776.volume rnd_95787.volume
-10.4673 -4.055
-0.2553 19.188
-6.4352 -4.341
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.737 4.315 12.54 7.237 8.703 2.882 2.980 8.258 9.382 6.539 4.177
[2,] 6.876 4.324 12.56 8.351 10.094 2.884 3.035 8.270 9.390 9.067 4.956
[3,] 6.942 4.362 12.59 9.773 10.667 3.089 3.093 8.394 9.448 9.075 4.989
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.524 5.909 6.131 5.992 5.784 7.186 6.362 16.79 9.748 14.67 5.982
[2,] 7.833 6.244 6.623 6.435 6.105 7.929 8.157 17.75 10.440 14.74 6.010
[3,] 8.604 6.975 6.755 7.122 6.541 8.615 8.451 18.47 11.085 14.74 6.041
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.01 9.248 2.613 7.354 7.455 6.308 6.914 2.761 7.965 7.208 3.478
[2,] 24.38 9.812 2.614 9.336 9.341 6.445 8.470 2.780 9.066 7.688 3.567
[3,] 24.46 11.983 2.614 12.278 10.622 6.714 9.801 2.781 10.226 8.360 3.621
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.177 7.311 7.565 7.537 6.374 6.169 2.026 5.569 1.978 5.681 5.462
[2,] 8.876 8.790 9.170 7.726 6.968 6.342 2.026 5.751 1.979 6.185 7.234
[3,] 9.864 9.386 9.556 7.863 7.046 6.673 2.026 5.863 1.990 6.577 7.715
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.036 3.107 5.911 6.741 7.366 3.998 7.801 7.072 2.879 6.573 5.770
[2,] 5.104 3.121 7.194 6.760 7.369 3.999 9.201 7.317 3.005 7.873 7.228
[3,] 5.278 3.145 7.855 7.216 7.867 3.999 9.768 7.902 3.065 8.561 7.825
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.536 3.813 6.287 1.949 4.812 2.696 4.949 5.119 5.717 7.133 3.628
[2,] 6.475 6.526 6.394 1.960 6.315 2.803 5.065 5.145 7.271 9.069 3.715
[3,] 7.362 7.576 6.405 1.961 7.759 2.963 5.645 5.148 7.573 9.148 3.812
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.432 4.842 7.150 2.715 8.049 7.925 7.743 8.226 8.004 7.594 6.704
[2,] 8.173 4.874 8.344 2.720 8.297 8.104 8.031 9.002 8.312 8.417 8.244
[3,] 8.580 4.878 9.162 2.730 8.631 8.159 8.205 9.065 8.596 8.522 8.798
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.912 6.277 4.615 6.672 3.472 3.724 3.023 5.223 5.153 10.8 9.85
[2,] 1.912 7.158 4.745 7.761 3.501 3.943 3.027 6.152 5.155 10.8 10.03
[3,] 1.919 7.975 4.841 8.788 3.519 4.019 3.028 6.302 5.204 10.8 10.26
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.287 3.705 4.190 3.247 4.854 3.792 1.097 3.535 18.41 9.512
[2,] 3.693 4.130 4.212 3.636 4.915 3.793 1.137 3.703 22.23 10.086
[3,] 3.709 4.233 4.264 4.228 5.331 3.829 1.267 3.890 22.89 12.287
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 8.554 5.48 15.93 9.19 11.05 3.659 3.784 10.49 11.91 8.304
[2,] 127.476 26.27 59.84 384.51 471.81 11.545 53.276 43.31 35.24 579.569
[3,] 88.320 52.75 79.39 468.56 318.65 102.181 54.928 132.72 97.62 36.926
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.304 8.284 7.504 7.785 7.609 7.344 9.124 8.078
[2,] 246.228 400.174 186.176 231.310 216.522 180.570 309.332 471.204
[3,] 53.078 328.521 286.977 122.620 281.678 216.536 311.017 204.112
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 21.32 12.38 18.63 7.597 17.79 11.74 3.318 9.338 9.466
[2,] 532.15 345.17 130.53 53.230 1841.58 302.72 7.319 530.741 519.414
[3,] 469.63 343.78 16.58 57.136 178.70 634.92 4.837 735.949 466.759
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.01 8.78 3.506 10.11 9.152 4.417 10.38 9.283 9.607
[2,] 122.30 451.49 30.375 399.66 246.916 73.137 318.58 450.466 478.289
[3,] 173.84 455.18 5.449 436.58 303.158 57.334 397.13 303.907 248.255
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.571 8.094 7.833 2.572 7.072 2.512 7.214 6.936 6.395
[2,] 156.663 259.900 136.169 3.168 132.522 4.970 225.574 437.680 76.894
[3,] 135.265 96.193 191.484 3.150 105.475 19.129 206.502 247.621 124.271
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.945 7.506 8.56 9.354 5.077 9.906 8.981 3.656 8.347
[2,] 27.847 378.390 47.05 20.018 9.939 450.277 173.307 79.391 399.930
[3,] 35.881 291.157 233.12 254.349 5.212 302.816 275.431 55.648 310.341
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.326 7.03 4.842 7.984 2.475 6.11 3.423 6.284 6.501
[2,] 401.870 309.96 488.693 107.741 19.564 377.45 70.813 99.681 47.969
[3,] 276.573 323.32 355.127 34.540 4.401 416.01 88.719 230.018 17.239
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.26 9.058 4.607 9.437 6.149 9.079 3.448 10.22 10.06
[2,] 414.54 516.865 74.023 313.916 51.664 397.082 14.456 186.26 156.48
[3,] 195.61 111.147 78.714 241.290 19.315 349.178 21.556 219.50 87.76
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.833 10.45 10.16 9.643 8.514 2.427 7.971 5.861 8.473
[2,] 196.580 337.63 207.00 335.176 442.779 5.574 317.603 101.692 365.920
[3,] 155.535 98.36 202.23 123.284 283.525 14.633 324.367 88.582 380.428
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.409 4.729 3.839 6.633 6.543 13.71 12.51 4.174 4.704
[2,] 41.323 119.518 15.224 299.994 15.883 22.60 175.24 155.426 168.524
[3,] 33.402 71.643 4.810 126.396 65.937 22.85 197.55 31.361 85.569
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.32 4.123 6.163 4.816 1.393 4.488 23.37 12.08
[2,] 40.23 150.931 71.484 7.550 27.640 102.007 1149.79 309.65
[3,] 61.44 199.182 190.721 48.344 51.576 109.866 506.51 647.68
[1] "--- VAR model 2017-10-02 08:31:00 completed"
[1] "Completed training sample: 2017-10-02 08:31:00 - 2017-10-02 16:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 09:01:00 - 2017-10-02 17:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.0891 0.332172 -1.7379 -11.283
-1.3986 0.277296 -0.3791 1.059
-0.5198 -0.005705 -2.7735 -16.438
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-30.50 3.120 0.7806 -2.546
-20.99 3.865 0.3015 -3.612
-11.42 2.653 0.1627 -2.492
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.101 -7.275 -5.065 -29.10
-2.633 -1.301 -2.571 -26.14
-1.432 -2.655 -2.212 -27.55
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-8.128 -5.985 -8.569 25.91
-6.210 -2.376 -9.189 25.12
-5.759 -1.937 -6.500 25.13
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.754 -3.145 0.6534 5.136
-11.519 -10.013 -3.4345 6.653
-7.447 -8.034 -5.3430 2.524
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.6076 -0.26973 -42.7720 0.07187
0.8014 -0.12141 -8.0099 -17.24029
-3.3197 0.07408 -0.5548 1.50111
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.173383 4.7351 4.156 0.6273
0.050243 -18.3721 -10.028 0.3876
-0.004933 -0.9739 -9.234 0.2397
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.160 0.170581 -12.638 5.473
3.412 0.158071 1.326 5.572
-15.594 -0.005021 -8.855 4.919
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.7202 -11.900 -18.4434 -17.539
-0.9010 -4.703 -10.5928 -13.125
0.2074 -3.789 -0.2784 -3.055
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.014 -1.9231 0.4302 -0.01106
-3.567 -2.5399 0.2140 -0.05556
-2.551 0.3384 0.2161 0.01938
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.0132 0.177496 -6.274 -12.83
-1.4541 -0.045195 -7.212 -18.83
-0.8228 -0.006144 -4.769 -17.14
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.517 -0.3092 -8.006 0.5885
3.430 -0.2760 -9.844 1.8520
2.692 -0.2220 -12.701 0.9441
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.434 0.3611 -3.500 14.19
6.714 0.1990 -2.805 13.10
4.166 0.1093 -2.251 12.67
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.44797 3.948 5.676 0.8630
0.07627 -3.104 -1.870 0.6638
-0.32452 -2.488 -1.571 -1.3776
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.134 -0.30281 0.131743 7.095
4.574 -0.02336 -0.008838 4.214
-1.879 -0.07235 0.037741 3.366
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.250 -2.311 -1.6928 -9.905
-3.543 5.017 -0.8083 -1.099
-3.705 1.297 -0.7263 3.127
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-12.666 2.819 -16.573 0.4678
-4.995 2.033 -13.086 0.1847
2.364 1.914 -4.046 -0.1247
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.823 0.21884 -3.954 -2.2015
-15.534 0.14995 -3.095 -1.5831
-8.818 -0.01764 -2.394 -0.9361
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.333 -3.682 0.3156 -2.995
2.438 -1.892 1.3171 -2.658
1.643 -2.543 1.3412 -1.921
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.040 0.32387 -3.469 0.7089
-4.061 0.06401 -4.572 -0.4226
-2.675 0.02873 -3.080 -0.2430
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.899 0.43399 1.4782 -0.26475
-3.295 0.03483 -0.8495 -0.13678
-3.213 -0.11388 -0.2184 -0.05141
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.3939 -0.225112 -2.5190 -7.212
-4.7057 0.116027 -0.9443 -5.720
-0.1497 -0.009819 -0.7831 -4.767
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.31018 3.3563 -0.9163 -0.5459
-0.52327 -0.0549 -0.6812 0.6464
-0.01398 -0.5327 -0.2635 0.1191
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.6572 0.8747 -9.150 -0.13846
3.1670 1.7496 -9.813 -0.04401
0.9526 1.0723 -9.854 -0.04662
rnd_95776.volume rnd_95787.volume
-2.140 -0.2296
-8.436 -17.2517
-8.209 1.2792
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.711 4.392 12.66 7.520 8.276 3.144 2.851 8.174 9.326 6.304 4.267
[2,] 6.861 4.403 12.68 8.672 9.598 3.145 2.897 8.180 9.351 8.759 5.027
[3,] 6.936 4.437 12.70 10.050 10.249 3.421 2.938 8.284 9.445 8.765 5.071
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.478 4.970 5.965 5.753 5.840 7.038 6.259 13.79 9.704 15.05 5.850
[2,] 7.728 5.048 6.673 6.240 6.192 7.794 8.110 14.51 10.408 15.22 5.880
[3,] 8.471 5.304 6.763 6.992 6.652 8.465 8.386 15.15 10.987 15.22 5.899
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.17 9.218 2.715 7.279 7.661 6.043 7.102 2.795 8.162 6.922 3.596
[2,] 24.42 9.857 2.716 9.079 9.449 6.160 8.693 2.807 9.155 7.415 3.682
[3,] 24.55 12.133 2.718 11.920 10.707 6.355 9.986 2.809 10.285 7.968 3.735
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.165 7.301 7.456 7.298 6.588 6.145 2.032 5.652 1.944 5.659 5.504
[2,] 8.989 8.763 9.023 7.674 7.137 6.327 2.033 5.874 1.945 6.129 7.204
[3,] 9.984 9.358 9.412 7.812 7.220 6.688 2.034 5.997 1.952 6.547 7.645
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.037 3.006 5.823 6.795 7.312 3.978 7.524 7.305 2.905 6.696 6.007
[2,] 5.098 3.014 7.258 6.813 7.314 3.981 8.890 7.533 3.010 7.901 7.281
[3,] 5.278 3.040 7.764 7.215 7.814 3.982 9.734 8.213 3.058 8.528 7.846
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.831 3.858 6.166 1.975 5.122 2.733 5.085 5.091 5.862 7.210 3.778
[2,] 6.922 6.636 6.269 1.981 6.662 2.829 5.222 5.125 7.540 9.223 3.914
[3,] 7.677 7.705 6.285 1.981 8.057 2.992 5.969 5.144 7.834 9.362 4.047
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.547 4.758 7.539 2.834 7.937 8.067 7.913 8.196 8.074 7.413 5.732
[2,] 8.436 4.793 8.564 2.843 8.168 8.195 8.251 9.010 8.482 8.286 7.472
[3,] 8.855 4.795 9.316 2.854 8.442 8.261 8.452 9.082 8.782 8.407 8.303
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.940 6.211 4.637 6.745 3.379 3.805 3.037 5.463 5.233 10.80 9.819
[2,] 1.940 6.997 4.795 7.794 3.388 3.981 3.046 6.265 5.240 10.82 10.084
[3,] 1.947 7.897 4.930 8.638 3.388 4.060 3.049 6.419 5.297 10.82 10.429
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.942 3.356 4.110 4.009 4.976 3.832 1.170 3.532 18.26 9.397
[2,] 3.659 4.320 4.119 4.028 5.047 3.832 1.198 3.706 22.04 10.033
[3,] 3.670 4.345 4.193 4.131 5.385 3.880 1.361 3.892 22.75 12.326
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.522 5.577 16.07 9.549 10.51 3.993 3.62 10.38 11.84
[2,] 179.564 40.722 107.65 543.994 612.11 10.264 64.88 41.16 86.20
[3,] 128.429 68.538 82.57 639.636 452.53 169.413 61.55 164.78 167.48
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.006 5.418 8.226 6.311 7.575 7.305 7.415 8.937
[2,] 765.760 334.785 530.641 111.474 376.752 304.502 259.210 421.793
[3,] 38.951 83.747 437.013 205.133 138.027 397.071 306.273 415.842
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.948 17.51 12.32 19.12 7.428 17.99 11.7 3.448 9.243
[2,] 649.380 569.00 473.72 278.57 74.967 2503.96 439.7 9.027 683.400
[3,] 269.133 549.11 443.48 60.51 60.483 323.85 891.0 12.309 972.619
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.729 7.674 9.018 3.549 10.36 8.789 4.567 10.37 9.271
[2,] 696.358 150.697 631.348 32.369 522.04 335.009 99.805 473.37 610.354
[3,] 634.066 196.447 618.839 13.940 590.46 367.244 78.486 547.35 413.288
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.467 9.267 8.365 7.803 2.580 7.177 2.469 7.186 6.989
[2,] 639.944 298.842 345.746 189.876 6.777 201.700 7.584 296.590 585.412
[3,] 337.473 184.383 137.490 272.945 7.657 152.227 21.135 289.893 322.117
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.397 3.817 7.395 8.628 9.285 5.051 9.555 9.276 3.689
[2,] 98.809 27.906 545.550 63.808 22.913 19.731 596.186 231.838 99.612
[3,] 172.136 50.066 347.087 299.073 346.447 12.438 499.390 412.118 67.887
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.503 7.628 7.404 4.899 7.83 2.508 6.505 3.47 6.458
[2,] 528.170 518.026 469.757 679.771 142.09 19.166 536.418 92.27 149.510
[3,] 404.034 368.232 418.216 493.107 57.84 6.075 570.488 122.56 364.036
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.464 7.443 9.156 4.798 9.583 6.042 9.573 3.598 10.08
[2,] 74.943 597.138 724.221 128.544 474.736 72.403 511.722 28.828 242.94
[3,] 56.150 267.840 202.853 129.795 339.177 20.126 461.667 31.837 268.64
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.24 10.05 10.41 10.25 9.413 7.278 2.463 7.887 5.888
[2,] 181.70 294.61 471.21 327.32 466.311 603.512 3.551 405.694 153.868
[3,] 132.06 230.50 144.26 286.72 179.270 456.188 21.205 461.255 144.178
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 8.565 4.290 4.832 3.856 6.937 6.645 13.72 12.47 3.736
[2,] 491.696 31.740 147.296 30.703 386.161 34.861 74.27 289.01 273.936
[3,] 469.221 5.969 100.673 17.603 176.162 97.112 46.95 335.30 36.417
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.261 5.219 5.091 6.318 4.866 1.486 4.485 23.18 11.93
[2,] 342.565 33.844 49.963 106.637 3.890 32.109 141.409 1555.34 442.73
[3,] 59.097 98.990 115.404 236.543 76.720 81.400 149.780 708.26 901.74
[1] "--- VAR model 2017-10-02 09:01:00 completed"
[1] "Completed training sample: 2017-10-02 09:01:00 - 2017-10-02 17:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 09:31:00 - 2017-10-02 17:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.1362 0.44674 -9.592 -24.30
0.2549 0.44912 -5.889 -13.26
0.4985 -0.05654 -6.750 -23.64
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.18 5.553 0.18474 3.742
-25.39 3.822 0.02127 1.830
-22.70 2.950 0.31879 2.583
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.357 10.954 6.7704 -11.95
1.064 1.549 -0.7029 -21.86
1.871 1.207 1.2578 -17.52
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.632 4.4538 -0.9196 21.56
2.781 2.1104 2.4840 22.32
4.098 0.9072 -2.2166 23.26
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.584 -1.057 8.692 9.097
2.850 -3.558 4.525 4.879
-4.106 2.370 5.825 3.881
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.055 -0.4808 -57.04 -5.187
-3.431 -0.4377 -24.92 -24.896
-5.969 -0.1531 -14.48 -7.153
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.3849 -6.755 -15.30 -0.8130
-0.2472 -22.663 -15.49 -0.6109
-0.3723 -7.560 -17.50 -0.3984
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.15 -0.39912 -19.64 -7.218
-10.52 -0.33962 -17.14 -7.860
-21.36 -0.04858 -16.30 -6.329
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.581 -22.38 -17.47 -16.94
-3.788 -18.13 -20.82 -20.84
-2.228 -11.84 -13.58 -16.85
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.734 -9.308 -2.158 -0.02574
-5.581 -5.462 -2.638 -0.03022
-4.606 -3.246 -1.782 -0.04919
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.3553 -0.05009 -6.806 -15.99
0.8234 -0.09062 -8.096 -19.40
0.4740 -0.01918 -9.601 -19.67
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.088 0.8443 -11.859 2.612
2.606 0.6510 -9.192 4.867
2.001 0.3085 -14.260 2.597
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.169 -0.10914 2.025 14.30
3.908 -0.05133 -2.540 17.86
3.545 0.01134 -3.758 16.12
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.80936 1.0847 -5.1174 -5.5052
0.67284 -0.7187 0.2795 2.1081
0.08365 -4.3827 -2.6068 -0.1806
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.1875 -0.8111 0.29325 6.144
-6.8034 -0.1657 0.26831 -1.184
0.8975 -0.1677 0.03834 -3.069
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.855 -2.623 -1.0951 -7.456
-3.349 4.192 -0.7110 -1.579
-3.619 -2.915 -0.8271 1.826
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.819 1.875 -7.000 0.02402
-6.485 1.193 -10.886 0.09716
2.770 1.182 -4.054 0.01202
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.363 2.3533 -1.1668 -1.5087
-12.570 1.6230 -0.9607 -0.6748
-6.846 0.9454 -1.9033 -0.3800
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
11.056 1.3962 4.245 -0.6247
9.577 -0.5888 3.360 -0.2237
7.819 -1.5665 3.439 -0.3869
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.2465 -0.5892 -0.44961 6.840
0.1152 -0.3875 -3.17312 4.464
-0.5314 -0.1405 -0.07326 3.700
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.1476 0.228695 -1.453328 -0.01035
-2.0119 0.063736 -0.001398 0.02907
0.3128 -0.003887 -0.537413 0.01273
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.302 -0.33256 -0.6045 -7.768
-7.583 0.19476 -0.1794 -9.525
-3.028 -0.06455 -0.6027 -8.183
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3036 -2.73798 -0.62691 -0.7239
0.1906 -1.00968 -0.01931 -0.6902
-0.1651 -0.09381 0.16629 -0.2781
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.7894 -0.7319 -9.391 0.3598
2.5322 -0.3656 -9.088 0.7122
-1.7691 -0.3716 -9.110 0.6441
rnd_95776.volume rnd_95787.volume
-0.3802 -6.797
-8.8580 -25.267
-2.1372 -7.091
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.475 4.419 12.51 8.068 8.595 3.348 2.837 8.338 9.323 6.460 4.381
[2,] 6.685 4.431 12.63 9.122 9.910 3.348 2.873 8.340 9.357 8.714 5.166
[3,] 6.746 4.472 12.70 10.333 10.441 3.662 2.912 8.449 9.423 8.721 5.212
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.441 5.085 5.906 5.782 5.785 7.243 6.497 13.84 9.507 15.51 6.204
[2,] 7.705 5.171 6.573 6.270 6.129 8.041 8.197 14.53 10.072 15.76 6.238
[3,] 8.414 5.410 6.682 6.879 6.629 8.389 8.554 15.17 10.651 15.76 6.267
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.87 9.288 2.863 7.259 7.836 5.795 7.467 2.904 8.421 6.945 3.564
[2,] 24.92 9.897 2.867 8.892 9.408 5.966 8.825 2.917 9.324 7.457 3.665
[3,] 25.19 12.474 2.867 12.166 10.872 6.145 9.945 2.921 10.172 7.960 3.721
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.336 7.540 7.493 7.254 6.583 6.166 2.021 5.790 1.909 5.572 5.298
[2,] 9.074 8.939 8.909 7.626 7.063 6.369 2.023 6.042 1.910 6.072 7.026
[3,] 10.048 9.432 9.338 7.781 7.224 6.744 2.023 6.174 1.916 6.531 7.439
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.011 2.900 5.821 6.860 7.381 3.980 7.802 7.529 3.088 6.809 6.300
[2,] 5.070 2.912 7.199 6.865 7.381 3.998 9.359 7.777 3.207 8.137 7.490
[3,] 5.243 2.956 7.703 7.238 7.920 4.002 9.823 8.519 3.266 8.838 8.061
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.844 4.041 6.213 2.071 5.272 2.797 5.214 5.126 5.935 7.416 3.79
[2,] 6.942 6.969 6.296 2.083 6.814 2.881 5.410 5.169 7.765 9.551 3.95
[3,] 7.727 7.947 6.315 2.087 8.332 3.033 6.190 5.201 8.092 9.742 4.11
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.843 4.695 7.852 2.950 7.534 8.463 7.886 8.099 8.124 7.115 5.771
[2,] 8.461 4.728 8.831 2.988 7.858 8.554 8.289 8.834 8.638 7.913 7.346
[3,] 8.981 4.731 9.539 3.028 8.065 8.683 8.495 8.917 9.006 8.067 8.023
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.994 6.404 4.696 6.838 3.358 3.819 3.049 5.785 5.566 10.58 9.513
[2,] 1.998 7.092 4.930 7.948 3.366 4.006 3.061 6.293 5.570 10.61 9.774
[3,] 2.009 7.814 5.128 8.569 3.367 4.100 3.065 6.520 5.671 10.63 10.059
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.969 3.049 4.195 4.238 5.008 3.846 1.223 3.547 18.47 9.397
[2,] 3.912 4.410 4.213 4.263 5.082 3.847 1.235 3.728 22.26 10.008
[3,] 3.931 4.420 4.275 4.351 5.408 3.912 1.444 3.899 22.86 12.653
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.222 5.612 15.88 10.24 10.91 4.251 3.603 10.59 11.84
[2,] 232.806 44.794 240.28 595.39 690.14 4.561 63.773 30.49 112.34
[3,] 126.359 84.418 191.58 679.09 459.95 207.603 66.055 189.13 156.11
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.203 5.563 8.18 6.457 7.499 7.342 7.346 9.197 8.25
[2,] 818.208 383.031 591.44 131.518 403.674 339.345 283.185 488.558 699.18
[3,] 49.542 96.575 472.87 222.852 168.078 395.851 353.657 334.950 342.14
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 17.57 12.07 19.70 7.878 17.61 11.79 3.635 9.218 9.95
[2,] 619.53 465.69 387.98 91.533 2896.35 478.13 22.668 718.335 728.40
[3,] 608.44 484.34 44.73 84.500 515.72 1062.18 6.247 1161.690 762.32
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.359 9.482 3.688 10.69 8.819 4.525 10.59 9.574 9.514
[2,] 198.126 658.024 38.475 560.05 379.800 119.684 501.28 671.723 674.222
[3,] 206.379 641.367 20.633 569.00 389.738 90.070 604.03 421.006 391.689
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.212 8.359 7.83 2.567 7.353 2.425 7.076 6.727 6.363
[2,] 329.217 357.935 223.28 10.366 241.203 9.006 337.420 645.655 108.256
[3,] 216.206 212.700 309.99 7.647 178.209 20.094 336.567 341.814 186.873
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.682 7.391 8.711 9.372 5.054 9.908 9.561 3.921 8.646
[2,] 37.742 592.575 36.099 14.899 53.187 723.181 272.468 121.196 623.166
[3,] 71.332 383.401 320.947 401.836 22.733 417.412 486.587 86.306 482.610
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.0 7.421 5.132 7.889 2.63 6.694 3.551 6.621 6.51
[2,] 566.7 524.200 794.330 142.958 30.68 604.108 96.516 201.662 93.32
[3,] 417.1 474.551 534.167 69.660 20.27 670.643 132.672 420.909 80.25
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.537 9.417 4.813 9.959 5.962 9.971 3.746 9.567 10.75
[2,] 700.444 842.018 155.491 444.245 77.474 565.150 65.970 312.334 174.40
[3,] 318.542 268.722 159.318 421.471 25.326 504.557 69.236 254.376 208.97
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.01 10.28 10.32 9.035 7.328 2.533 8.132 5.963 8.683
[2,] 357.37 493.57 410.56 484.586 635.991 17.806 426.168 210.342 566.850
[3,] 259.79 169.91 356.54 219.264 451.386 28.297 458.981 197.360 448.022
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.264 4.849 3.871 7.346 7.069 13.44 12.08 3.77 3.872
[2,] 32.113 169.260 38.586 346.601 28.034 111.25 313.89 356.25 445.660
[3,] 15.094 122.391 23.235 238.397 149.087 81.84 332.99 54.86 41.782
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.327 5.381 6.359 4.884 1.553 4.504 23.45 11.93
[2,] 54.910 65.432 121.554 9.766 24.296 160.692 1736.91 481.45
[3,] 101.042 121.750 258.450 99.432 104.744 159.827 732.66 1083.15
[1] "--- VAR model 2017-10-02 09:31:00 completed"
[1] "Completed training sample: 2017-10-02 09:31:00 - 2017-10-02 17:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 10:01:00 - 2017-10-02 18:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.202 -0.308054 -8.677 -23.32
3.324 0.001865 -8.580 -20.12
2.940 -0.025537 -8.840 -11.74
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-19.66 3.263 1.578 1.2029
-22.61 3.603 1.066 1.3068
-23.57 2.395 1.206 0.5563
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.08665 2.0175 3.2709 -15.72
-0.42852 0.7348 0.9478 -15.46
0.79234 0.8749 0.5006 -17.92
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.79756 -3.265 -2.205 24.80
0.08934 -2.478 -2.301 25.59
0.77171 -1.686 -3.126 25.70
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.432 -0.1708 2.889 8.219
-7.922 -7.8288 -1.497 5.114
-8.720 -5.4443 -1.497 3.102
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.125 0.3810 -16.98 -12.994
-1.781 0.1545 -19.05 -8.402
-2.204 0.1040 -14.85 -10.739
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.1954 -9.229 -21.099 -1.1292
-0.8771 -5.965 -9.736 -0.9478
-0.3644 -6.687 -8.143 -0.5758
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.109 0.1163 -9.633 -0.9877
-13.159 0.1402 -18.412 -0.9256
-6.267 -0.1578 -10.025 -1.8134
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.199 -13.93 -19.51 -18.81
-2.657 -18.12 -14.88 -14.05
-3.086 -11.86 -14.68 -18.82
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.256 -0.1056 0.2788 0.10776
-5.353 -0.9894 -0.7168 0.09229
-5.188 -0.3019 -0.2829 0.04696
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.2510 -0.06394 -2.955 -21.91
1.0703 -0.26046 -8.854 -18.02
0.4246 -0.00639 -7.151 -20.80
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.732 0.25925 -12.83 0.1771
3.599 -0.05261 -11.34 5.0847
1.932 -0.02788 -12.93 2.6476
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.3685 0.07471 6.692 4.941
0.2520 0.04521 -1.025 5.641
-0.5303 0.01997 -5.998 5.353
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3633 -4.556 -7.124 -0.9524
0.4887 6.136 2.873 -1.1045
0.1341 -5.372 -2.067 4.9178
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.284 0.6258 0.48089 0.7460
-5.593 0.5578 0.26638 0.9017
2.101 0.2364 0.04054 -4.4246
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.458 0.2423 -0.1438 -1.167
-3.767 0.3374 -1.2575 -4.501
-3.592 -1.0469 -1.6200 -2.769
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.490 2.026 2.2789 -0.5588
-2.177 1.470 -0.4983 -0.1897
-1.743 0.987 -2.6536 -0.4630
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.7225 0.003197 0.35661 2.699
-0.9598 0.530620 -0.14274 1.846
-2.0869 -0.050681 -0.03688 1.089
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.2098 -1.76464 15.13 5.702
-1.4507 1.31145 12.50 2.813
-0.7737 -0.01562 10.39 2.504
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.417 -0.2203 3.211 2.426
3.202 -0.1992 5.261 3.225
1.902 -0.1159 2.854 2.506
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.650 -0.04011 -1.469 -0.10873
2.486 -0.05531 1.311 -0.09747
2.291 -0.11341 -0.162 -0.03043
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.587 -0.6486 -2.5237 -11.750
-5.171 0.3756 -1.5606 -9.379
-3.816 -0.1188 -0.6661 -7.975
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
10.444 9.577 4.552 6.151
3.902 3.679 4.375 3.894
3.229 3.475 2.551 1.897
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.3696 1.3625 -10.78 -0.7986
1.4411 0.5327 -10.74 -1.6673
-0.4385 0.6962 -10.63 -0.9056
rnd_95776.volume rnd_95787.volume
18.849 -12.106
-16.075 -8.715
-3.218 -10.309
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.391 4.468 13.30 8.241 9.412 3.530 2.876 8.346 9.464 6.453 4.568
[2,] 6.595 4.487 13.77 9.128 10.688 3.531 2.903 8.362 9.501 8.706 5.398
[3,] 6.666 4.533 14.04 10.580 11.108 3.861 2.930 8.490 9.599 8.707 5.456
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.522 5.244 6.018 5.909 5.770 7.083 7.005 12.97 9.56 16.78 6.156
[2,] 7.604 5.319 6.637 6.380 6.208 7.874 8.264 13.77 10.30 17.08 6.215
[3,] 8.258 5.602 6.795 6.929 6.735 8.118 8.658 14.38 10.87 17.10 6.223
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 16.13 9.220 2.836 7.346 7.791 5.677 7.607 2.910 8.443 7.033
[2,] 23.47 9.837 2.885 9.598 9.851 5.845 8.754 2.926 9.259 7.498
[3,] 24.03 11.984 2.935 11.325 10.680 6.024 10.061 2.929 10.221 8.048
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.531 8.417 7.929 8.058 7.051 6.569 6.327 2.017 6.017 1.918 5.665
[2,] 3.614 9.109 9.038 9.186 7.366 7.349 6.607 2.018 6.334 1.919 6.122
[3,] 3.694 9.945 9.540 9.562 7.496 7.486 7.001 2.018 6.500 1.926 6.434
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.207 4.875 2.870 5.870 6.886 7.393 4.055 7.774 7.695 3.280 6.863
[2,] 6.986 4.947 2.889 7.116 6.889 7.394 4.102 8.982 7.935 3.302 8.192
[3,] 7.423 5.101 2.922 7.619 7.277 7.999 4.106 9.981 8.666 3.319 8.796
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.442 5.910 4.190 6.212 2.099 5.397 2.795 5.153 5.046 5.771 7.655
[2,] 7.585 7.094 7.065 6.307 2.108 6.923 2.893 5.353 5.106 7.540 9.551
[3,] 8.033 7.858 7.988 6.341 2.112 8.373 3.042 6.072 5.143 7.844 9.748
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.835 7.703 4.679 7.902 3.020 7.599 9.017 7.939 8.008 8.228 7.020
[2,] 3.993 8.342 4.709 8.778 3.076 7.950 9.157 8.407 8.621 8.905 7.797
[3,] 4.162 8.929 4.713 9.313 3.136 8.207 9.250 8.612 8.704 9.390 7.945
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.767 2.095 6.381 4.726 6.949 3.389 3.831 3.057 6.333 5.971 10.38
[2,] 7.313 2.103 7.068 4.960 8.014 3.392 3.988 3.076 6.924 5.980 10.47
[3,] 7.890 2.118 7.699 5.158 8.560 3.396 4.061 3.082 7.126 6.064 10.48
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.663 3.138 3.088 4.603 4.584 5.084 3.888 1.388 4.363 19.15 9.274
[2,] 9.856 4.281 4.802 4.646 4.647 5.176 3.889 1.402 4.845 23.08 10.077
[3,] 10.162 4.329 4.817 4.753 4.790 5.490 3.968 1.618 5.299 23.65 12.022
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.115 5.674 16.89 10.46 11.95 4.483 3.652 10.60 12.02
[2,] 278.296 69.761 611.65 670.41 865.12 9.390 67.315 88.38 143.72
[3,] 165.682 110.717 470.38 914.02 517.08 267.161 68.917 250.81 232.99
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.195 5.801 8.282 6.66 7.643 7.503 7.327 8.995
[2,] 998.387 491.228 667.716 151.97 477.798 411.010 391.423 587.528
[3,] 12.971 136.020 550.241 300.26 249.419 462.093 446.039 337.568
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.895 16.47 12.14 21.31 7.817 20.48 11.71 3.601 9.329
[2,] 748.941 792.42 655.37 548.59 146.214 2913.89 585.82 90.656 1055.291
[3,] 441.458 710.01 592.43 129.41 55.693 877.95 1169.36 92.017 1026.881
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.894 7.208 9.66 3.696 10.72 8.931 4.484 10.69 10.07
[2,] 1029.817 237.942 740.00 51.721 649.28 443.764 131.820 595.01 741.33
[3,] 704.616 249.104 847.01 23.175 739.56 499.777 130.259 681.80 521.72
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.23 8.953 8.342 8.034 2.562 7.64 2.436 7.193 6.612
[2,] 753.54 364.015 562.917 324.815 7.128 338.25 7.875 396.480 795.635
[3,] 453.71 238.291 243.558 395.811 6.550 249.63 28.476 338.033 428.710
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.191 3.644 7.454 8.744 9.388 5.15 9.872 9.771 4.164
[2,] 143.785 56.259 687.348 32.876 21.204 105.18 768.510 331.499 66.144
[3,] 212.704 75.437 465.099 400.419 521.365 31.33 743.589 595.146 56.902
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 8.715 8.181 7.505 5.321 7.889 2.665 6.853 3.549
[2,] 763.922 683.882 670.099 971.663 186.063 33.226 740.721 127.303
[3,] 547.394 451.874 577.652 636.814 111.581 23.565 804.466 161.110
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 6.544 6.408 7.328 9.72 4.87 9.782 5.941 10.03 3.835
[2,] 247.962 133.541 829.018 975.71 189.84 546.726 90.962 652.96 100.135
[3,] 489.622 104.470 369.045 333.61 200.76 544.249 33.075 531.64 103.926
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.65 11.45 10.08 10.17 10.45 8.914 7.324 2.66 8.103
[2,] 398.89 271.74 472.50 545.26 582.07 579.578 768.023 32.32 519.143
[3,] 348.56 224.09 318.92 206.07 508.89 261.141 506.305 41.69 521.789
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.001 8.824 4.304 4.865 3.882 8.042 7.582 13.18 12.27
[2,] 257.138 682.170 23.309 189.311 58.969 478.294 57.110 228.14 331.91
[3,] 242.320 514.034 27.858 131.202 32.702 287.875 171.624 92.15 422.84
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.985 3.921 5.845 5.821 6.456 4.937 1.762 5.54
[2,] 497.551 628.231 108.151 129.507 166.323 13.858 34.196 360.07
[3,] 109.271 65.124 170.846 198.960 312.364 134.586 138.000 366.65
[,97] [,98]
[1,] 24.32 11.78
[2,] 2199.67 673.73
[3,] 880.86 1120.01
[1] "--- VAR model 2017-10-02 10:01:00 completed"
[1] "Completed training sample: 2017-10-02 10:01:00 - 2017-10-02 18:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 10:31:00 - 2017-10-02 18:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.5503 0.007861 -9.026 -19.767
1.2480 -0.612795 -7.184 -22.936
-0.3101 0.135522 -2.900 -5.999
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-22.24 1.5755 0.21838 -0.05279
-23.65 0.9377 0.02907 0.45359
-24.50 0.6920 -0.08577 0.59002
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.59212 5.8255 3.52933 -5.759
0.09699 -0.7324 -0.07762 -9.381
1.05671 0.4817 0.66135 -8.990
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.4471 4.620 -3.015 23.33
2.2177 3.660 1.539 22.94
0.6906 2.511 -2.792 22.88
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.0683 0.7651 0.736 2.371
0.9523 2.1000 4.266 2.781
0.9245 1.1944 4.328 4.886
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.8188 0.13699 1.932 -15.5576
-4.6909 0.02450 -19.225 -0.9179
0.6204 0.03566 -15.590 -14.2857
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.5557 -16.049 -29.955 -3.875
-0.1263 1.714 -6.836 -3.271
-0.4094 -7.999 -4.679 -1.978
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.863 0.02663 -10.11 -7.319
-18.731 0.21199 -23.71 -6.716
-1.998 0.15808 -10.22 -7.165
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.641 -15.78 -17.23 -19.69
-4.061 -23.55 -16.20 -16.98
-4.309 -15.15 -20.53 -22.23
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0874 -3.279 7.311 -0.03066
0.4106 -2.407 6.952 0.05576
1.0130 -1.107 4.954 0.01224
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
8.710 -0.19485 -12.216 -17.20
5.185 -0.26377 -7.837 -19.21
3.137 -0.09426 -7.990 -18.09
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.604 0.5953 -9.002 1.8426
1.849 0.3981 -11.098 0.4588
1.739 0.1844 -13.157 -0.8070
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.247 -0.23998 3.832 6.238
6.206 -0.08850 -7.569 4.411
2.963 -0.02295 -1.937 4.685
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.6730 14.771 6.909 -13.045
0.6837 -4.664 1.696 10.300
0.2869 -5.512 -5.741 -3.743
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.797 0.17882 0.22707 6.712
1.655 -0.05743 0.11945 -10.012
3.942 0.03621 0.02431 6.630
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.032 -1.464 -0.6762 0.6406
-4.883 1.774 -0.6816 1.1011
-3.993 -6.757 -0.7804 -1.6640
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.265 1.1940 8.4066 -0.2292
-2.787 1.4426 -2.3570 -0.4457
-1.043 0.9157 -0.1596 -0.2143
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
11.067 0.86615 -1.1301 1.22790
1.062 0.65930 -1.1329 0.36791
1.160 0.03688 -0.3246 0.03642
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.520 1.77551 0.02529 0.006402
3.084 0.71210 -0.43409 1.265954
1.302 -0.08495 -1.72254 0.722831
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.0255 0.2726 9.1871 1.5502
1.5270 0.3863 0.5932 0.4891
0.8706 0.2231 1.9067 0.6726
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.788 0.41225 1.8659 0.3209
1.528 0.15791 1.3618 0.1435
1.326 -0.02017 -0.5773 0.0383
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.975 0.7451 1.5754 -6.895
1.892 -0.3007 -0.7390 -2.913
3.045 0.1421 0.4809 -4.140
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.331 -1.482 5.694 4.350
5.527 4.437 2.744 1.728
2.542 2.064 1.869 1.585
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.04742 -0.51544 -11.16 111.2
2.80475 -0.07659 -11.02 106.9
-5.00050 -0.02469 -11.07 104.5
rnd_95776.volume rnd_95787.volume
-22.636 -12.8893
-4.498 -0.9985
-14.629 -13.4757
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.458 4.498 14.03 8.280 9.558 3.667 2.836 8.302 9.650 6.285 4.569
[2,] 6.659 4.526 14.79 9.118 10.734 3.668 2.856 8.318 9.698 8.786 5.420
[3,] 6.747 4.587 15.35 10.625 11.158 4.031 2.877 8.398 9.830 8.811 5.492
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.508 5.346 6.026 5.916 5.695 7.022 7.012 13.04 9.898 16.78 6.284
[2,] 7.620 5.421 6.615 6.221 6.096 7.860 8.294 13.91 10.690 17.20 6.367
[3,] 8.271 5.700 6.816 6.955 6.468 8.165 8.651 14.53 11.333 17.24 6.377
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 16.49 9.267 2.925 7.441 7.725 5.524 7.531 2.983 8.565 6.990
[2,] 23.87 9.943 2.972 9.668 10.064 5.656 8.758 2.994 9.385 7.463
[3,] 24.72 12.215 3.022 11.395 10.909 5.844 10.094 3.006 10.509 8.040
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.467 8.409 8.004 8.188 7.164 6.450 6.388 2.069 6.346 1.920 5.624
[2,] 3.534 9.092 8.988 9.207 7.591 6.958 6.678 2.069 6.837 1.920 6.112
[3,] 3.606 10.115 9.487 9.530 7.779 7.078 7.073 2.069 7.109 1.929 6.300
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.377 4.877 2.910 5.883 7.027 7.438 4.206 7.827 7.765 3.287 6.953
[2,] 7.024 4.963 2.928 7.099 7.031 7.438 4.241 9.102 7.991 3.317 8.243
[3,] 7.480 5.121 2.950 7.661 7.432 8.067 4.250 10.049 8.791 3.331 8.844
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.593 5.978 4.296 6.280 2.116 5.545 2.841 5.279 5.211 6.055 7.795
[2,] 7.712 7.195 7.176 6.366 2.124 7.054 2.952 5.519 5.276 7.978 9.835
[3,] 8.145 7.907 8.106 6.401 2.127 8.560 3.114 6.248 5.327 8.285 10.072
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.832 7.961 4.652 7.935 3.074 7.579 8.992 8.003 7.917 8.262 6.707
[2,] 4.002 8.655 4.687 8.821 3.123 7.941 9.142 8.522 8.529 9.109 7.570
[3,] 4.179 9.385 4.688 9.428 3.183 8.200 9.239 8.762 8.628 9.754 7.723
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.804 2.116 6.504 4.619 7.101 3.475 3.839 3.074 6.649 6.007 10.28
[2,] 7.380 2.125 7.327 4.868 8.132 3.477 3.990 3.091 7.181 6.020 10.36
[3,] 7.940 2.138 7.784 5.062 8.630 3.483 4.062 3.096 7.437 6.109 10.37
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.06 3.233 3.118 4.907 4.865 5.110 3.886 1.421 6.923 19.03 9.246
[2,] 10.37 4.682 5.135 4.991 5.004 5.215 3.887 1.439 8.946 22.87 10.120
[3,] 10.84 4.784 5.184 5.230 5.261 5.532 3.966 1.669 11.040 23.44 12.192
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.201 5.711 17.82 10.51 12.14 4.656 3.602 10.54 12.25
[2,] 286.437 89.282 824.75 674.03 862.52 17.634 59.057 90.78 170.50
[3,] 191.856 131.914 724.18 963.05 538.14 295.075 62.011 203.56 283.71
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.981 5.802 8.264 6.788 7.652 7.513 7.232 8.916
[2,] 1083.923 514.984 699.608 158.665 481.914 339.804 383.882 623.423
[3,] 115.971 155.823 568.036 311.067 289.993 549.021 381.437 390.595
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.905 16.56 12.57 21.31 7.98 20.94 11.77 3.714 9.448
[2,] 782.088 856.88 713.04 665.78 180.51 3047.79 636.64 92.812 1089.973
[3,] 434.405 738.05 663.95 215.79 64.97 1132.05 1252.70 96.838 1064.847
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.809 7.014 9.564 3.787 10.88 8.876 4.402 10.68 10.16
[2,] 1138.999 214.504 789.159 46.118 677.24 461.510 121.568 610.69 721.90
[3,] 743.286 259.648 886.004 47.540 835.10 528.139 126.050 782.59 536.24
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.4 9.097 8.191 8.111 2.627 8.058 2.439 7.142 6.828
[2,] 743.4 443.242 460.713 343.911 5.721 449.457 2.239 422.681 797.819
[3,] 434.3 299.998 229.270 411.685 6.569 343.688 31.943 269.823 454.324
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.194 3.695 7.47 8.924 9.445 5.341 9.94 9.86 4.174
[2,] 162.040 57.051 701.63 38.393 8.183 95.872 820.07 333.73 78.537
[3,] 222.624 64.292 508.55 425.160 551.301 48.229 751.91 647.01 54.133
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 8.83 8.371 7.591 5.455 7.974 2.687 7.042 3.608
[2,] 781.53 706.423 706.773 1014.871 184.802 32.807 769.872 141.671
[3,] 565.97 462.743 579.194 665.435 118.418 21.319 855.951 175.042
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 6.704 6.617 7.689 9.898 4.867 10.11 5.907 10.08
[2,] 283.668 146.384 917.314 1058.724 203.646 599.96 100.493 680.27
[3,] 517.193 128.994 394.089 384.002 212.381 640.66 23.133 587.63
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 3.903 9.624 11.42 10.16 10.05 10.49 8.517 7.37 2.688
[2,] 97.608 418.776 291.08 517.31 560.23 677.29 619.771 805.00 34.470
[3,] 108.131 360.569 236.69 359.28 230.79 616.06 269.970 517.14 41.584
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 8.258 5.865 9.017 4.413 4.875 3.903 8.443 7.629 13.05
[2,] 595.889 271.582 700.005 21.807 191.805 56.803 479.246 69.118 233.92
[3,] 463.863 244.787 509.949 37.666 134.126 33.559 341.345 183.236 80.61
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 12.78 4.105 3.959 6.231 6.178 6.489 4.934 1.805
[2,] 440.86 597.872 720.326 160.892 206.737 183.793 19.417 39.407
[3,] 561.22 173.499 126.364 275.943 287.129 325.886 139.398 149.357
[,96] [,97] [,98]
[1,] 8.791 24.17 11.74
[2,] 1000.436 2238.92 726.43
[3,] 1142.154 906.53 1200.41
[1] "--- VAR model 2017-10-02 10:31:00 completed"
[1] "Completed training sample: 2017-10-02 10:31:00 - 2017-10-02 18:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 11:01:00 - 2017-10-02 19:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.051 1.1139 -10.542 -6.934
1.748 -1.1189 -11.236 -15.519
1.104 0.3485 -8.925 -12.463
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.941 1.381 0.3162 -0.2002
-9.148 1.555 -0.1791 -0.2284
-14.223 1.336 0.0148 -0.1190
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.7914 -0.3824 -1.6745 -14.35
-1.3905 -0.1489 -0.2605 -12.87
-0.2609 -0.2969 -0.7423 -15.58
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.13444 -4.2641 -5.236 19.23
0.06699 -0.8244 -2.633 18.40
-0.41187 -2.5124 -2.674 18.30
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.000 -0.3736 1.632 8.485
-3.704 -6.6392 -1.273 6.586
-3.172 -3.1710 -1.800 3.521
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.656 0.16367 -23.89 -20.203
-6.642 0.01650 -19.25 -9.815
-4.144 0.06456 -20.82 -9.993
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.4893 -17.660 -16.504 2.154
-0.7625 -7.784 -16.349 2.836
-0.5076 -7.060 -7.514 1.454
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.591 -0.7031 -2.925 1.798
-18.250 -0.5641 -13.511 2.143
-11.641 -0.2447 -15.881 2.035
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.877 -10.360 -13.783 -17.167
-1.129 -8.209 -5.633 -8.158
-3.353 -16.798 -11.516 -12.384
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.07621 -0.5294 0.3470 0.07286
0.33738 -1.9761 0.7112 0.04995
-0.27090 -2.4146 0.4701 0.01275
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2667 0.08893 -3.064 -8.266
0.1725 0.03502 -5.768 -11.191
0.1032 0.07338 -3.240 -11.805
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.507 -0.4176 -16.126 1.118
-1.937 -0.3209 -8.999 0.344
-2.325 -0.1341 -10.810 1.029
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.2584 -0.7441 2.2571 0.4160
0.3658 -0.4041 -0.2433 0.3080
0.1073 -0.3172 -5.1025 0.2472
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.363996 -4.038 -3.9213 -5.942
-0.159571 1.844 1.7174 -2.548
0.007091 -5.433 0.1609 1.575
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.149 1.0573 0.08218 4.838
-5.681 0.4536 0.05125 1.254
1.011 0.2957 0.01531 -4.322
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.936 2.094 -1.537 2.915
-2.488 3.205 -1.547 1.550
-2.726 -2.327 -1.141 1.077
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.7374 0.6886 3.509 -0.20458
0.6372 0.2463 1.018 0.28512
0.5416 1.0937 1.733 -0.03975
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.534 -0.9130 0.905446 2.623
1.318 -0.8186 0.795624 2.759
-0.144 -0.8949 -0.008439 1.491
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.758 -0.3860 -2.766 7.8088
1.476 -0.2095 -1.857 -0.8546
1.172 1.8301 -1.839 1.3512
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.5965 0.28520 -7.4715 0.8422
3.8990 0.22810 1.7150 0.8855
-0.4978 0.07388 0.9887 0.9151
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.258 0.17603 -1.2026 -0.14759
-1.626 0.04541 -0.1222 -0.03939
2.903 -0.00298 -0.1821 -0.01491
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5270 0.9732 -0.7168 1.9279
2.1301 -0.6060 -2.4389 0.2321
0.4302 0.2048 -1.5202 -1.1335
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8234 -0.6877 0.9300 0.9408
0.9094 0.6410 0.5097 0.2546
0.3912 0.3988 0.1678 0.2640
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.399 -1.8821 -10.438 72.25
2.245 -1.7586 -9.876 69.19
-1.382 -0.7188 -10.063 68.50
rnd_95776.volume rnd_95787.volume
0.7099 -20.263
-19.2735 -8.214
-10.1041 -9.254
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.047 4.545 14.39 8.150 9.878 3.735 2.819 8.185 9.617 6.138 4.608
[2,] 6.696 4.562 15.41 8.993 11.024 3.736 2.837 8.201 9.667 8.704 5.403
[3,] 6.805 4.640 16.06 10.488 11.490 4.092 2.857 8.283 9.808 8.726 5.478
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.454 5.382 6.027 6.063 5.891 6.930 7.057 12.08 9.901 17.23 6.363
[2,] 7.572 5.453 6.587 6.403 6.415 7.879 8.334 12.88 10.700 17.72 6.441
[3,] 8.213 5.726 6.822 7.125 6.931 8.175 8.744 13.47 11.396 17.76 6.453
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 16.86 9.089 2.969 7.348 7.732 5.539 7.661 3.007 8.049 6.920
[2,] 24.09 9.862 3.013 9.707 9.957 5.617 8.773 3.020 9.389 7.340
[3,] 25.13 12.242 3.060 11.501 10.861 5.781 10.180 3.035 10.428 7.894
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.477 8.338 8.013 8.021 7.050 6.787 6.369 2.081 6.423 1.906 5.560
[2,] 3.540 9.017 8.866 8.954 7.493 7.324 6.641 2.081 6.909 1.906 6.101
[3,] 3.611 10.067 9.343 9.295 7.669 7.461 7.004 2.081 7.163 1.916 6.308
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.297 4.856 2.781 5.795 6.983 7.393 4.205 8.231 7.803 3.340 6.962
[2,] 6.856 4.941 2.784 7.273 6.984 7.394 4.257 9.682 8.026 3.365 8.411
[3,] 7.346 5.099 2.790 7.662 7.375 7.968 4.263 10.292 8.837 3.377 9.011
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.726 5.925 4.300 6.342 2.080 5.573 2.874 5.315 5.256 6.067 7.928
[2,] 7.939 7.190 7.211 6.430 2.088 6.992 2.991 5.532 5.321 8.046 10.071
[3,] 8.459 7.916 8.249 6.465 2.091 8.601 3.159 6.267 5.374 8.310 10.280
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.801 7.969 4.665 8.052 3.137 7.642 9.137 7.942 7.875 8.385 6.771
[2,] 3.989 8.757 4.708 8.974 3.183 7.976 9.254 8.527 8.478 9.283 7.552
[3,] 4.149 9.561 4.710 9.592 3.241 8.213 9.369 8.782 8.574 9.956 7.806
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.827 2.141 6.514 4.518 7.239 3.513 4.003 3.035 6.603 6.045 10.29
[2,] 7.523 2.149 7.360 4.753 8.272 3.518 4.166 3.056 7.176 6.053 10.40
[3,] 8.027 2.161 7.854 4.936 8.795 3.520 4.236 3.067 7.391 6.147 10.41
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.944 3.197 3.157 4.944 4.917 5.007 3.971 1.430 7.628 18.74 8.99
[2,] 10.250 4.736 5.261 5.027 5.048 5.081 3.974 1.447 9.693 22.80 10.04
[3,] 10.755 4.834 5.317 5.270 5.317 5.543 4.048 1.682 11.668 23.50 12.19
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.679 5.771 18.27 10.35 12.54 4.743 3.58 10.39 12.21
[2,] 559.631 77.149 1074.41 740.13 952.47 20.127 60.92 97.99 190.65
[3,] 235.901 164.959 877.49 1050.45 630.96 324.874 66.95 227.47 322.31
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.795 5.851 8.196 6.834 7.653 7.699 7.48 8.801
[2,] 1201.313 549.303 770.760 171.388 517.637 400.821 494.52 729.669
[3,] 119.670 176.094 619.472 340.203 345.690 608.294 510.77 424.301
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.961 15.33 12.57 21.88 8.08 21.42 11.54 3.77 9.331
[2,] 863.111 870.78 789.32 809.86 194.64 3347.64 744.76 100.10 1234.635
[3,] 514.893 770.74 763.70 221.01 77.00 1394.56 1411.85 103.96 1200.888
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.818 7.034 9.728 3.818 10.22 8.788 4.415 10.59 10.17
[2,] 1221.169 181.331 832.393 53.523 940.98 476.216 129.768 668.14 738.95
[3,] 844.811 266.223 1005.015 60.518 883.18 565.748 138.114 871.61 573.84
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.18 8.952 8.618 8.087 2.642 8.157 2.421 7.06 6.726
[2,] 775.00 494.654 535.939 366.628 10.375 495.224 2.638 489.23 847.341
[3,] 485.64 317.754 277.192 433.373 4.995 367.936 37.207 311.96 513.405
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.166 3.532 7.358 8.867 9.388 5.34 10.45 9.909 4.241
[2,] 178.086 23.446 855.542 23.361 15.596 129.14 992.24 365.656 79.001
[3,] 244.830 36.132 469.145 461.593 578.266 43.55 679.96 719.951 56.950
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.841 8.541 7.524 5.46 8.054 2.641 7.077 3.65 6.75
[2,] 918.506 820.938 792.902 1126.84 206.211 36.220 821.988 160.87 298.20
[3,] 629.479 568.429 644.721 779.67 130.604 21.113 975.068 198.16 573.21
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 6.674 7.705 10.07 4.826 10.12 5.924 10.23 3.983
[2,] 161.614 1028.529 1208.88 235.804 706.59 123.254 771.04 104.884
[3,] 146.373 404.634 402.03 222.285 746.80 29.536 659.35 119.078
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.704 11.6 10.08 10.0 10.65 8.599 7.399 2.718 8.272
[2,] 444.866 285.7 604.53 611.6 775.54 650.995 926.393 37.566 667.035
[3,] 381.278 284.2 408.45 248.6 700.53 384.046 544.730 43.910 533.279
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.737 9.192 4.461 5.084 3.855 8.385 7.676 13.06 12.63
[2,] 287.527 779.277 38.751 224.396 68.928 546.892 64.045 300.40 483.74
[3,] 259.673 581.718 20.875 149.689 49.445 344.533 208.445 77.67 633.82
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.059 4.009 6.278 6.243 6.358 5.042 1.815 9.687
[2,] 680.336 819.154 176.838 222.459 167.550 29.739 43.327 1164.150
[3,] 188.189 149.972 308.019 325.602 431.627 150.051 166.860 1264.279
[,97] [,98]
[1,] 23.8 11.42
[2,] 2528.1 868.71
[3,] 1112.4 1346.79
[1] "--- VAR model 2017-10-02 11:01:00 completed"
[1] "Completed training sample: 2017-10-02 11:01:00 - 2017-10-02 19:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 11:31:00 - 2017-10-02 19:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.700 -0.7879 -49.57 -35.44
1.267 -1.1975 -43.74 -23.23
1.242 -0.2330 -42.74 -37.62
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-54.58 0.9315 0.4377 -3.970
-46.82 1.3052 0.5068 -3.063
-40.70 1.1347 0.2150 -1.926
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.6874 -9.203 -3.427 -28.14
-0.9757 -1.974 -2.610 -28.52
-0.9451 -2.346 -1.144 -28.88
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.931 -9.156 -10.478 27.20
1.089 -10.650 -12.030 28.97
1.372 -7.989 -8.473 28.38
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.62 -20.82 -33.23 -36.29
-16.67 -20.23 -31.60 -27.81
-16.25 -17.39 -27.04 -23.85
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.043 -0.2367 -80.73 -26.24
-10.414 -0.1730 -63.11 -40.99
-9.344 -0.0363 -52.63 -29.81
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.04912 -4.968 -16.85 0.01573
-2.80407 -27.177 -29.74 -0.91511
-1.84295 -19.370 -33.77 -0.31166
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-29.18 -0.17664 -26.90 -4.449
-16.44 -0.03356 -22.67 -3.781
-32.31 -0.02184 -25.67 -3.284
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.070 -24.56 -29.88 -42.65
-5.523 -27.37 -26.15 -33.50
-3.576 -19.98 -21.50 -30.56
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1917 -12.57 5.886 0.06361
-0.1319 -15.97 5.389 -0.02456
0.6178 -15.25 4.056 0.02640
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.6746 0.1101 -25.36 -50.05
-1.1552 0.2362 -19.52 -44.45
-0.6656 0.1987 -16.61 -43.38
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.02257 -0.40138 -25.28 2.394
-1.06599 -0.20972 -36.76 0.864
-0.98072 -0.08898 -32.30 1.028
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.287 -8.085 -23.677 2.023
-3.832 -5.094 -9.693 3.220
-2.946 -4.597 -11.611 3.033
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.023654 -14.12 -4.393 -7.917
0.007863 -18.53 -16.413 -16.070
0.175489 -10.89 -7.793 -13.391
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.327 -0.12111 -0.14791 -16.916
-4.194 -0.15270 -0.06333 -7.527
-15.734 -0.03496 -0.02120 -6.867
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7934 -17.997 -1.1311 -11.339
-0.4292 -8.663 -1.0265 -17.301
-0.1780 -6.145 -0.4097 -7.783
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-14.29 0.3211 -13.09 0.86945
-22.89 -0.1049 -21.57 0.21557
-17.12 -0.1799 -20.53 0.08084
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.13 0.5460 1.218 1.1565
-15.55 0.2872 1.609 1.5087
-17.12 0.4358 1.345 0.7806
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.173 1.2481 -2.791 2.2667
-3.532 -0.6014 -2.477 0.1903
-2.376 0.8771 -2.119 0.5217
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.43649 0.6902 -8.5826 -1.4748
2.11108 0.5752 -1.8717 -0.4408
0.05334 0.1701 0.3818 -1.4878
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-10.5247 -0.20449 -1.642 -0.5543
-7.2924 0.13909 -4.175 -0.3381
-0.4039 0.06116 -2.071 -0.2160
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.435 -0.30861 -0.4440 0.2439
-7.725 -0.52438 1.3938 0.1336
-8.816 -0.01879 -0.4794 -0.8736
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.69794 -3.99856 0.3354 -0.9373
-0.07925 0.08676 -0.8368 -1.5078
-0.93122 -1.55376 -0.5825 -0.9422
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.774 -1.55574 -8.800 198.3
-4.555 0.01564 -9.245 193.1
-2.280 0.20724 -9.144 191.1
rnd_95776.volume rnd_95787.volume
-34.02 -17.72
-40.59 -33.45
-52.30 -23.14
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.050 4.610 14.40 8.391 10.07 3.754 2.794 8.041 9.583 6.188 4.612
[2,] 6.741 4.653 15.56 9.183 11.17 3.755 2.807 8.070 9.623 8.770 5.418
[3,] 6.871 4.783 16.37 10.695 11.57 4.108 2.828 8.142 9.766 8.785 5.488
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.286 5.359 5.717 6.091 6.061 7.115 7.332 11.20 9.615 17.28 6.374
[2,] 7.424 5.428 6.292 6.399 6.584 8.003 8.600 11.82 10.569 17.85 6.459
[3,] 8.002 5.690 6.523 7.038 7.128 8.314 9.078 12.25 11.336 17.92 6.470
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.78 9.339 3.042 7.390 7.71 5.541 7.644 3.024 8.554 6.893 3.512
[2,] 23.51 10.052 3.085 9.703 10.06 5.630 8.779 3.036 9.474 7.281 3.583
[3,] 24.64 12.339 3.127 11.259 10.84 5.789 10.239 3.056 10.434 7.848 3.646
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.321 7.954 8.033 7.049 6.916 6.433 2.080 6.441 1.880 5.659 5.425
[2,] 9.002 8.881 8.999 7.483 7.502 6.727 2.081 6.944 1.880 6.249 6.770
[3,] 10.129 9.320 9.286 7.661 7.636 7.076 2.081 7.178 1.888 6.450 7.333
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.882 2.832 5.788 6.932 7.466 4.208 7.801 7.789 3.330 7.029 6.777
[2,] 4.971 2.840 7.324 6.933 7.467 4.378 9.006 8.027 3.356 8.428 7.873
[3,] 5.123 2.844 7.630 7.327 8.059 4.455 10.068 8.850 3.376 9.034 8.341
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.882 4.385 6.428 2.084 5.485 2.837 5.271 5.247 5.903 7.978 3.787
[2,] 7.129 7.323 6.515 2.092 6.953 2.957 5.481 5.323 7.871 9.998 3.974
[3,] 7.885 8.246 6.552 2.095 8.626 3.130 6.217 5.365 8.135 10.196 4.141
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.136 4.720 7.993 3.138 7.733 9.151 8.005 7.965 8.414 6.855 5.930
[2,] 8.890 4.746 8.867 3.186 8.149 9.247 8.619 8.590 9.270 7.742 7.661
[3,] 9.636 4.758 9.467 3.247 8.452 9.348 8.859 8.713 10.019 8.039 8.238
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.156 6.455 4.534 7.341 3.541 4.023 3.018 6.664 6.019 10.20 9.774
[2,] 2.165 7.151 4.773 8.360 3.545 4.182 3.041 7.247 6.031 10.33 10.078
[3,] 2.175 7.772 4.994 8.909 3.546 4.245 3.049 7.460 6.123 10.34 10.615
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.154 3.055 4.929 4.928 4.996 3.996 1.428 10.80 18.79 9.068
[2,] 4.734 5.248 5.006 5.054 5.100 4.000 1.446 14.63 23.43 10.063
[3,] 4.825 5.298 5.252 5.311 5.607 4.079 1.682 18.53 24.34 12.034
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.683 5.854 18.28 10.66 12.78 4.767 3.548 10.21 12.17
[2,] 611.628 129.345 1215.28 767.31 995.90 19.615 54.432 140.65 179.48
[3,] 273.248 228.412 1047.11 1128.07 621.24 342.443 70.938 222.55 342.60
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.858 5.857 7.983 6.805 7.26 7.735 7.696 9.035
[2,] 1278.484 584.622 812.474 178.181 540.85 403.293 529.197 753.449
[3,] 104.200 180.469 613.945 351.131 353.38 602.951 561.752 464.103
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.311 14.22 12.21 21.94 8.094 21.31 11.86 3.863 9.384
[2,] 924.513 777.57 902.78 920.07 214.554 3387.36 764.87 104.705 1293.571
[3,] 598.251 658.61 843.29 339.52 79.673 1515.52 1471.98 106.135 1174.959
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.79 7.036 9.707 3.84 10.86 8.753 4.459 10.57 10.1
[2,] 1328.82 205.669 888.009 56.47 838.06 482.591 146.285 706.30 812.9
[3,] 833.25 277.156 1083.878 71.38 899.13 602.306 139.299 955.42 581.6
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.2 8.951 8.782 8.168 2.642 8.179 2.387 7.186 6.889
[2,] 834.1 516.566 597.983 404.871 5.423 533.908 3.670 545.364 833.078
[3,] 471.7 337.712 293.154 451.775 2.169 374.376 36.563 328.131 579.550
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.199 3.596 7.35 8.803 9.481 5.344 9.905 9.89 4.229
[2,] 193.103 44.906 923.11 20.543 26.216 248.031 925.808 399.68 86.467
[3,] 255.294 31.271 440.03 487.632 623.841 169.984 925.912 766.54 75.215
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 8.926 8.606 7.47 5.568 8.162 2.647 6.965 3.602
[2,] 956.444 824.516 828.36 1206.512 218.603 37.790 879.138 171.909
[3,] 669.372 566.544 693.28 779.748 142.422 20.882 1050.017 211.041
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 6.694 6.662 7.496 10.13 4.809 10.33 5.994 10.15
[2,] 308.538 184.638 1070.908 1239.36 247.721 737.02 101.765 789.83
[3,] 603.721 138.327 422.607 412.38 240.080 764.79 70.461 682.09
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 3.985 9.82 11.62 10.17 10.11 10.68 8.705 7.53 2.738
[2,] 112.623 528.30 274.15 657.02 661.59 800.41 740.044 997.70 41.265
[3,] 128.987 461.56 282.24 421.99 300.91 781.89 445.271 622.98 42.543
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 8.197 5.758 9.322 4.497 5.109 3.832 8.462 7.643 12.95
[2,] 633.022 306.337 822.813 32.833 234.657 77.011 586.128 78.198 340.54
[3,] 626.183 302.578 633.382 20.446 149.932 45.947 363.779 218.012 94.28
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 12.41 4.005 3.88 6.259 6.258 6.344 5.075 1.814 13.71
[2,] 505.31 726.213 877.64 180.163 230.456 211.159 36.735 46.019 2032.37
[3,] 686.05 191.779 150.34 326.570 335.640 479.065 164.570 177.001 2339.36
[,97] [,98]
[1,] 23.86 11.52
[2,] 2880.10 897.61
[3,] 1352.72 1357.64
[1] "--- VAR model 2017-10-02 11:31:00 completed"
[1] "Completed training sample: 2017-10-02 11:31:00 - 2017-10-02 19:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 12:01:00 - 2017-10-02 20:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.50871 1.1522 -7.235 -1.279
0.09781 0.1688 -6.555 -11.939
-0.23746 0.2919 -5.911 -7.963
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.691 1.973 -0.03599 -1.9527
-8.939 1.676 -0.19435 -1.2431
-13.046 1.095 -0.23666 -0.7949
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.319 -5.719 -2.702 -16.48
-3.669 -2.362 -1.382 -16.29
-2.283 -2.012 -1.559 -16.89
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1974 -7.051 -6.634 20.79
1.2612 -5.473 -5.914 18.64
1.2675 -3.878 -4.798 18.72
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.951 -11.92 -17.79 -10.47
-10.942 -10.34 -17.83 -12.37
-8.391 -10.52 -13.22 -11.10
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.138 -0.8818 -13.76 -6.867
-3.076 -0.3015 -13.23 -5.135
-3.119 -0.2007 -10.13 -8.222
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6037 -5.545 -13.374 3.108
-0.6073 -4.885 -5.888 2.682
-0.2642 -4.515 -3.973 1.558
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.266 0.05221 -0.8776 -9.153
-11.009 -0.05200 -10.9433 -9.429
-6.232 -0.02486 -6.5293 -10.633
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.3404 -9.543 -13.419 -14.83
-0.3111 -7.235 -4.293 -10.38
-2.4118 -10.188 -9.304 -10.79
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.5199 -5.173 -3.776 -0.0891377
0.6744 -4.093 -3.283 0.0332631
0.5969 -4.361 -2.556 -0.0008633
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.279995 -0.07299 -7.905 -12.58
-0.005869 -0.19764 -8.335 -14.79
0.020790 -0.01082 -5.593 -15.62
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1635 0.2999 -15.602 3.524
-0.9784 0.2876 -9.322 3.535
-0.9345 0.1564 -12.746 2.272
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.486 1.61200 0.1078 2.956
4.629 -0.03351 -8.9524 2.090
2.603 -0.03459 -4.4460 1.758
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.16810 5.761 3.479 -4.487
0.01767 -4.766 -1.225 4.132
-0.02669 -8.116 -6.159 -4.629
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.5208 1.5611 0.0079398 -4.073
0.8977 1.0258 0.0006117 -3.159
0.5563 0.5969 0.0004292 1.992
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.323 -4.236 -0.14170 0.3212
-2.215 -6.217 -0.03712 -4.7484
-2.042 -1.899 0.77498 -4.1725
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.205 -0.76718 -2.520 -0.5123
-8.569 0.66408 -5.137 -0.3067
-7.215 0.01443 -6.511 -0.1136
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.8063 0.5944 0.1823 0.55213
-3.7488 0.1270 0.2126 0.13175
-6.1056 0.3488 -0.1676 -0.08982
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.0319 -2.7039 3.261 -1.4675
-0.4932 0.3206 2.816 0.7690
-0.6226 0.3750 2.176 0.6414
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.4713 -0.33457 1.3658 -0.6164
-1.8950 -0.11687 4.4538 -0.2472
0.8479 -0.05056 -0.6026 -0.2930
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.311 -0.079539 0.5913 -0.5233
5.840 0.010969 -0.9278 -0.3082
-1.131 0.004034 -1.3336 -0.1373
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.581 1.0230 1.2711 -7.828
-2.306 -0.1559 0.9867 -6.819
-1.595 0.1797 0.8504 -6.160
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5084 -0.1190 -1.1384 -0.8892
-1.0037 -0.8947 -0.8873 -0.5415
-0.7831 -0.7064 -0.5611 -0.4118
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9245 0.1510 -7.294 92.70
-1.9147 0.8855 -6.845 90.23
-1.5867 0.2215 -6.712 88.41
rnd_95776.volume rnd_95787.volume
-13.85 -5.444
-17.92 -4.591
-14.39 -7.042
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.098 4.652 15.11 8.255 10.11 3.723 2.685 8.012 9.689 6.319 4.769
[2,] 6.792 4.716 16.19 9.092 11.26 3.725 2.692 8.044 9.709 8.867 5.509
[3,] 6.939 4.883 16.91 10.739 11.70 4.091 2.706 8.116 9.907 8.879 5.564
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 8.043 5.319 5.644 6.254 6.019 7.155 7.290 10.99 9.81 17.44 6.425
[2,] 9.454 5.380 6.170 6.575 6.562 7.925 8.554 11.79 10.85 18.08 6.504
[3,] 10.136 5.646 6.409 7.176 7.096 8.338 8.941 12.20 11.63 18.21 6.517
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.32 9.384 3.037 7.406 7.727 5.436 7.576 3.030 8.496 6.828
[2,] 23.69 10.208 3.082 9.906 10.283 5.515 8.770 3.042 9.380 7.221
[3,] 24.68 12.452 3.124 11.308 10.957 5.657 10.453 3.062 10.424 7.782
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.499 8.219 7.950 8.144 6.841 6.848 6.314 2.072 6.417 1.838 5.634
[2,] 3.572 8.898 8.866 9.054 7.313 7.494 6.621 2.072 6.952 1.839 6.341
[3,] 3.616 10.036 9.306 9.293 7.485 7.630 6.966 2.073 7.179 1.850 6.534
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.571 4.727 2.724 6.017 6.842 7.283 4.077 7.517 7.822 3.262 6.972
[2,] 6.562 4.836 2.738 7.393 6.842 7.284 4.255 8.839 8.052 3.289 8.179
[3,] 7.118 4.981 2.742 7.607 7.227 7.873 4.340 9.748 8.890 3.311 8.777
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.762 5.946 4.555 6.238 2.078 5.598 2.790 5.239 5.159 5.862 7.900
[2,] 7.658 7.220 7.193 6.322 2.084 7.055 2.910 5.464 5.236 7.844 9.762
[3,] 8.107 7.784 8.055 6.376 2.087 8.698 3.068 6.159 5.287 8.063 9.987
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.562 8.000 4.601 8.125 3.142 7.702 9.078 7.953 7.795 8.083 6.602
[2,] 3.712 8.708 4.618 8.953 3.184 8.170 9.178 8.610 8.452 8.894 7.772
[3,] 3.811 9.432 4.629 9.574 3.244 8.510 9.273 8.875 8.609 9.666 8.110
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.929 2.117 6.451 4.451 7.334 3.548 4.051 2.946 6.662 5.996 9.838
[2,] 7.535 2.129 7.164 4.694 8.262 3.549 4.181 2.981 7.250 6.006 10.043
[3,] 8.255 2.145 7.720 4.909 8.750 3.553 4.260 2.999 7.475 6.111 10.047
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.684 3.024 2.942 4.903 4.897 4.996 3.797 3.184 12.43 18.40 8.946
[2,] 9.965 4.700 5.228 4.979 5.026 5.105 3.807 3.864 16.63 22.33 10.064
[3,] 10.586 4.791 5.278 5.231 5.282 5.542 3.845 4.607 20.52 23.49 12.073
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.743 5.908 19.18 10.48 12.84 4.728 3.41 10.17 12.3
[2,] 660.014 170.182 1281.61 840.61 1095.65 27.968 43.19 158.18 135.9
[3,] 313.737 279.459 1081.65 1261.23 696.04 373.068 59.99 237.50 435.0
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.024 6.056 10.21 6.754 7.167 7.942 7.644 9.086
[2,] 1372.336 608.344 1096.08 178.840 550.325 447.703 576.555 751.658
[3,] 102.807 172.387 806.31 377.762 382.537 634.016 595.784 572.165
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.257 13.96 12.46 22.14 8.159 21.99 11.92 3.857
[2,] 987.207 937.79 1024.78 1054.34 223.071 3566.07 886.88 115.188
[3,] 574.333 696.26 924.00 482.00 90.746 1524.74 1573.07 112.635
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.404 9.812 6.902 9.621 3.848 10.79 8.67 4.443
[2,] 1451.331 1496.965 205.295 974.724 58.156 877.40 518.68 158.518
[3,] 1203.313 835.018 278.549 1254.795 77.686 1002.91 640.08 124.246
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.44 10.1 10.34 8.687 8.696 8.018 2.632 8.149 2.335
[2,] 752.16 866.0 872.76 570.244 671.787 439.235 4.663 589.906 5.989
[3,] 1024.13 623.4 462.26 352.414 315.669 478.119 6.372 395.164 44.825
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 7.155 7.075 6.003 3.459 7.641 8.689 9.248 5.178
[2,] 641.616 764.891 224.636 60.331 947.721 8.761 36.004 268.350
[3,] 348.062 608.306 263.299 31.805 395.113 513.323 658.824 189.003
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 9.545 9.933 4.142 8.853 8.586 7.551 5.784 7.922
[2,] 1026.164 420.939 93.583 943.520 793.078 903.296 1228.020 225.917
[3,] 906.896 831.513 84.117 702.421 587.490 641.970 800.204 183.224
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.638 7.108 3.543 6.653 6.551 7.443 10.03 4.523
[2,] 35.376 947.328 182.211 341.786 197.228 1149.937 1265.34 230.362
[3,] 24.864 1122.301 214.497 627.059 161.835 412.265 464.92 191.063
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 10.16 5.842 10.32 3.989 9.78 11.53 10.1 9.898 10.26
[2,] 758.67 88.374 829.64 113.838 601.46 298.22 728.0 721.026 818.89
[3,] 799.58 70.920 748.85 136.992 525.54 292.13 474.3 360.506 834.69
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 8.384 7.529 2.689 8.191 5.652 9.313 4.505 5.144
[2,] 904.819 1025.872 49.314 687.408 328.890 839.358 24.305 228.894
[3,] 511.271 743.976 58.611 634.736 317.175 635.792 35.813 179.723
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.741 8.46 7.614 12.49 12.3 3.84 3.735 6.226 6.218
[2,] 100.560 630.84 78.197 445.94 518.9 793.80 953.409 191.112 250.219
[3,] 71.238 401.95 248.892 60.13 787.6 204.65 159.821 354.122 358.183
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.344 4.821 4.044 15.79 23.37 11.36
[2,] 231.784 63.287 482.890 2437.72 2788.80 1017.10
[3,] 476.083 118.554 553.523 2649.77 1609.04 1471.62
[1] "--- VAR model 2017-10-02 12:01:00 completed"
[1] "Completed training sample: 2017-10-02 12:01:00 - 2017-10-02 20:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 12:31:00 - 2017-10-02 20:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5586 -0.02823 -5.364 -6.808
-1.0355 -0.38631 -6.937 -11.464
-0.6563 -0.03890 -7.046 -5.855
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.93 0.004049 0.38120 0.3718
-12.66 0.638823 0.12929 2.0797
-10.81 0.497631 0.04024 1.5000
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.1469 8.458 0.72878 -10.98
-0.2134 -1.859 -1.25776 -14.55
-0.1274 2.202 -0.08106 -12.52
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1352 -2.489 -3.0769 26.40
-0.1942 -2.207 0.5531 24.67
0.8155 -3.242 -3.6557 25.13
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.843 -14.644 -8.217 -0.8689
-5.546 -7.971 -6.645 -6.6044
-5.917 -5.056 -2.909 -4.3712
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.402 -1.2509 -16.72 -10.518
-3.690 -0.5982 -12.39 -8.262
-3.430 -0.2768 -12.19 -6.446
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9310 -10.230 -9.225 1.596
-0.5174 -5.017 -8.973 1.776
-0.3319 -4.480 -6.191 1.227
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.293 0.44584 -9.915 -1.9218
-10.657 0.19091 -6.569 -0.3246
-8.099 0.07892 -9.634 -0.3256
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.7263 -15.004 -14.549 -14.261
-0.9925 -4.436 -7.762 -13.588
-1.4631 -10.634 -7.474 -9.491
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.42109 -2.9188 -0.1366 -0.08059
0.04595 0.1047 -0.3481 -0.03963
0.28654 -2.5053 -0.3291 -0.05789
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4356 -0.227359 -3.549 -10.55
-0.3013 -0.004265 -7.351 -10.21
-0.1674 0.081189 -5.311 -13.27
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7307 0.0331 -10.385 1.3277
0.6379 0.1181 -7.954 -0.2900
0.4725 0.1351 -9.252 0.1204
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.083 -0.8925 2.067 5.786
4.256 -1.7471 -7.501 5.326
2.702 -1.0900 -2.574 5.098
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9405 -5.885 -4.8054 0.3924
-1.4969 -2.610 -0.5667 -2.6552
-0.9751 -6.019 -5.0398 -3.7113
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.200 -0.8617 -0.027724 2.441
-2.057 -0.5866 -0.046771 -4.872
-1.597 -0.3860 -0.009921 -2.181
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.563 0.8928 1.3916 -2.493
-2.026 -1.8183 1.1034 3.229
-2.330 -1.3125 0.3721 -1.217
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.956 0.6679 1.3247 -0.11036
2.463 -0.1121 1.7244 0.37971
1.671 0.7763 -0.2259 0.08902
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.0962 0.31849 -1.4250 -1.1211
-0.2004 0.20611 -1.1011 -0.8753
2.3563 0.09063 -0.6648 -0.5250
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.67458 -1.300 -6.614 -5.709
0.07252 -2.034 -6.662 -2.472
-0.27333 -1.638 -5.964 -2.682
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.593 -0.007674 -8.157 -1.968
-4.688 0.058075 -5.151 -1.762
-2.898 0.005934 -3.609 -1.236
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.521 0.01853 -0.7348 0.3840
-4.256 0.06944 0.1798 0.2322
-2.905 -0.05137 -1.0503 0.1738
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.3876 -0.40086 -0.8184 3.444
0.3872 0.05524 -0.1990 1.831
1.0684 -0.07233 -0.4710 1.323
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4008 -0.64921 0.6468 0.06579
0.6546 -0.09454 0.2616 -0.22831
0.2401 -0.04833 0.3055 -0.11153
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.2544 -0.8917 -7.396 102.48
-1.5585 -0.8851 -7.695 100.63
-0.9729 -0.6416 -7.248 99.01
rnd_95776.volume rnd_95787.volume
-24.04 -9.802
-10.90 -6.834
-15.80 -5.525
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.977 4.537 15.01 8.243 10.27 3.726 2.646 7.938 9.703 6.353 4.656
[2,] 6.695 4.622 16.07 9.075 11.51 3.728 2.654 7.971 9.711 8.928 5.413
[3,] 6.843 4.784 16.86 10.679 12.01 4.086 2.664 8.050 9.903 8.946 5.471
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 8.007 5.324 5.549 6.056 6.074 7.178 7.254 10.54 9.879 17.39 6.434
[2,] 9.412 5.383 6.107 6.335 6.663 8.041 8.528 11.20 10.949 18.02 6.513
[3,] 10.081 5.631 6.355 6.884 7.165 8.500 9.050 11.76 11.725 18.19 6.531
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.37 9.251 3.009 7.311 7.706 5.363 7.557 3.011 8.478 6.705
[2,] 23.70 10.050 3.052 9.890 10.246 5.451 8.737 3.022 9.391 7.091
[3,] 24.70 12.356 3.093 11.329 10.920 5.553 10.418 3.040 10.506 7.649
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.459 8.152 7.974 7.959 6.818 6.714 6.181 1.995 6.360 1.795 5.556
[2,] 3.541 8.843 8.898 8.823 7.294 7.328 6.567 1.995 6.923 1.797 6.239
[3,] 3.625 9.972 9.359 9.113 7.454 7.481 6.907 1.995 7.136 1.809 6.411
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.548 4.566 2.679 5.945 6.773 7.284 4.122 7.511 7.778 3.117 6.923
[2,] 6.495 4.669 2.690 7.361 6.773 7.285 4.287 8.722 8.029 3.192 8.128
[3,] 7.044 4.842 2.696 7.547 7.150 7.843 4.379 9.605 8.842 3.235 8.683
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.256 5.929 4.621 6.160 2.050 5.632 2.783 5.145 5.131 5.756 7.835
[2,] 7.573 7.236 7.093 6.227 2.057 6.980 2.905 5.371 5.204 7.773 9.662
[3,] 7.934 7.778 8.467 6.284 2.060 8.516 3.062 6.124 5.270 7.994 9.898
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.460 7.960 4.456 8.100 3.088 7.614 8.987 7.875 7.702 8.189 6.508
[2,] 3.639 8.665 4.463 8.889 3.137 8.085 9.084 8.521 8.364 9.017 7.690
[3,] 3.725 9.430 4.477 9.479 3.198 8.440 9.181 8.804 8.553 9.785 8.036
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.845 2.096 6.321 4.446 7.264 3.512 4.092 2.807 6.490 5.923 10.01
[2,] 7.369 2.110 7.020 4.680 8.164 3.513 4.223 2.849 7.100 5.938 10.17
[3,] 8.171 2.126 7.567 4.921 8.620 3.516 4.293 2.863 7.339 6.049 10.19
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.613 2.949 2.824 4.882 4.876 4.927 3.771 3.194 12.82 18.04 8.896
[2,] 9.901 4.688 5.191 4.959 5.004 5.029 3.788 3.874 16.94 22.05 10.000
[3,] 10.570 4.778 5.237 5.206 5.264 5.439 3.834 4.611 20.80 23.24 12.011
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.59 5.761 19.06 10.47 13.04 4.731 3.36 10.08 12.32
[2,] 677.83 198.239 1285.52 852.84 1170.08 26.866 45.08 162.78 89.38
[3,] 318.20 277.963 1150.22 1264.72 766.38 376.336 50.98 252.64 435.73
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.067 5.913 10.17 6.761 7.047 7.69 7.713 9.114
[2,] 1409.677 620.419 1111.79 178.840 573.132 417.89 615.823 814.642
[3,] 126.042 178.215 811.32 371.048 394.783 605.34 592.030 619.013
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.212 13.39 12.55 22.08 8.171 22.06 11.75 3.821
[2,] 1007.302 847.91 1060.57 1063.94 226.353 3620.76 882.17 115.648
[3,] 680.711 806.29 942.93 548.35 108.451 1567.71 1615.23 111.783
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.284 9.786 6.811 9.596 3.823 10.77 8.514 4.393
[2,] 1496.711 1517.303 218.606 985.024 57.552 907.79 518.743 169.827
[3,] 1241.555 848.923 238.704 1275.354 75.250 1058.48 644.588 174.329
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.35 10.13 10.11 8.658 8.526 7.849 2.533 8.076 2.279
[2,] 770.00 886.91 855.70 582.147 659.625 498.510 8.882 614.625 19.129
[3,] 1035.53 652.17 512.87 345.884 338.393 480.793 5.022 388.328 46.794
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 7.055 7.045 5.798 3.402 7.549 8.601 9.249 5.235
[2,] 637.938 759.072 219.699 56.025 975.684 7.196 32.493 264.178
[3,] 331.256 612.534 287.992 39.901 374.282 514.755 652.808 201.300
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 9.538 9.877 3.958 8.791 7.945 7.529 5.868 7.822
[2,] 996.039 447.204 154.968 956.846 958.723 932.202 1209.270 204.965
[3,] 903.994 832.388 117.509 686.456 531.973 641.078 1039.057 189.338
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.603 7.152 3.534 6.533 6.516 7.309 9.949 4.394
[2,] 37.686 926.420 186.869 346.480 195.071 1173.918 1270.498 253.610
[3,] 25.836 1096.148 217.741 661.380 186.699 419.118 482.649 178.830
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 10.11 5.659 10.29 3.921 9.669 11.41 10.0 9.78 10.4
[2,] 769.46 56.867 822.28 123.758 611.139 298.07 731.1 733.02 847.9
[3,] 836.25 78.290 740.34 139.479 544.374 299.29 497.5 401.51 854.3
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 8.264 7.422 2.662 8.027 5.645 9.224 4.46 5.197 3.564
[2,] 920.777 1008.501 55.023 686.120 328.666 837.216 18.20 234.600 110.198
[3,] 524.100 793.325 58.389 635.013 341.657 622.299 31.68 173.129 62.955
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 8.242 7.522 12.72 12.21 3.744 3.587 6.2 6.192 6.257
[2,] 646.952 92.887 397.11 532.59 819.054 978.753 195.8 252.444 226.397
[3,] 417.480 259.460 157.90 831.24 206.832 154.921 355.7 367.414 465.763
[,94] [,95] [,96] [,97] [,98]
[1,] 4.788 4.056 16.28 22.9 11.3
[2,] 81.813 492.477 2487.80 2851.8 1026.3
[3,] 132.137 561.927 2713.24 1645.9 1495.1
[1] "--- VAR model 2017-10-02 12:31:00 completed"
[1] "Completed training sample: 2017-10-02 12:31:00 - 2017-10-02 20:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 13:01:00 - 2017-10-02 21:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.864 0.07712 -12.439 -13.99
-1.684 -0.44383 -10.982 -17.51
-1.345 -0.05099 -9.293 -14.36
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.12 1.2501 -0.11481 -0.93889
-15.03 -0.2226 -0.01236 -0.18420
-17.42 0.3024 -0.07822 0.03529
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.616 0.2027 -0.7638 -11.73
-1.796 -2.1122 -1.3722 -14.16
-0.661 -0.3756 -0.7314 -13.15
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.358 -4.287 -2.408 19.47
-1.400 -4.813 -3.920 18.31
-1.012 -4.062 -3.600 18.90
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.153 -13.870 -7.878 2.5350
-7.344 -7.790 -5.953 -1.5481
-8.071 -7.867 -4.191 -0.8418
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.350 0.2871 -26.72 -20.17
-8.577 0.1670 -23.76 -12.77
-7.194 0.1353 -22.71 -12.16
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.8259 -18.303 -15.60 -1.1819
-0.5976 -8.950 -16.43 -0.8872
-0.7902 -8.545 -11.26 -0.4713
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.37 -0.3616 -14.42 -4.237
-17.67 -0.2758 -14.34 -3.463
-13.42 -0.1027 -16.04 -4.323
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.772 -11.37 -8.556 -10.87
-3.394 -12.62 -12.363 -12.48
-2.959 -15.30 -13.484 -14.78
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.5841 1.963 -2.255 -0.10884
-1.6618 -4.342 -1.771 -0.05030
-0.7952 -2.232 -1.547 -0.02315
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.0168 0.15488 -7.943 -12.73
1.3710 -0.12250 -6.184 -13.14
0.8432 -0.08999 -6.829 -12.35
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.391 -0.09748 -2.716 -0.2599
2.406 -0.21597 -7.845 0.6634
1.980 -0.15525 -7.447 0.3891
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.993 1.65671 10.37697 6.926
8.536 -0.59713 -2.77458 4.801
5.516 -0.09115 0.02056 4.232
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4916 0.3913 -0.1786 3.2596
-0.2664 3.6559 3.8979 1.5452
-0.4688 -2.4354 -1.3129 0.6394
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.881 -0.5191 0.037855 -1.16394
1.669 -0.5222 0.009549 -0.08838
2.571 -0.2653 0.002639 1.35753
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.495 0.001279 0.2718 2.1441
-1.430 -0.403611 -0.1358 0.7573
-1.618 0.515035 -0.2084 -0.8378
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.6959 -0.4118 5.9292 -0.84879
1.7121 -0.6732 0.5265 -0.64765
-0.7387 -0.8980 -0.6433 -0.07924
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.9988 -0.0450 -2.272 -1.2117
1.8263 0.2934 -2.069 -0.8781
-0.4112 -0.1327 -1.522 -0.4629
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.515 -5.150 -2.231 -7.374
-1.479 -4.232 -1.801 -3.317
-1.403 -3.631 -1.601 -2.918
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.493 0 -5.752 -0.6510
-6.480 0 -4.760 -0.1474
-3.307 0 -4.229 -0.1860
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.571 -0.14627 -1.1177 0.1906
-3.682 0.15363 1.1522 0.1325
-4.778 -0.05561 -0.5843 0.1873
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.8021 0.2640 -2.721 -4.364
-2.1252 -0.6927 -2.215 -5.299
-1.4531 0.1161 -2.141 -4.509
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.6152 3.8713 0.5064 1.393
0.6808 0.7299 1.4998 1.733
1.4720 1.8685 1.0470 1.142
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9641 0.51103 -2.572 100.74
-0.1210 0.27315 -2.123 99.19
0.8129 0.09616 -3.482 97.75
rnd_95776.volume rnd_95787.volume
-11.535 -19.02
1.226 -11.48
-14.321 -11.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.928 4.528 15.66 8.246 10.25 3.753 2.582 7.872 9.639 6.276 4.617
[2,] 6.667 4.608 16.94 8.999 11.42 3.754 2.585 7.910 9.643 8.848 5.347
[3,] 6.834 4.753 18.11 10.563 11.95 4.108 2.593 7.974 9.819 8.865 5.405
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.924 5.285 5.666 5.584 5.975 7.169 7.283 10.47 9.658 17.22 6.182
[2,] 9.318 5.340 6.263 5.956 6.477 7.989 8.529 11.21 10.770 17.92 6.251
[3,] 9.975 5.581 6.595 6.474 6.954 8.479 9.030 11.77 11.546 18.09 6.262
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.46 9.155 2.990 7.254 7.295 5.247 7.592 3.053 7.889 6.684
[2,] 23.75 10.016 3.032 9.854 9.899 5.323 8.668 3.063 9.118 7.083
[3,] 25.04 12.263 3.069 11.252 10.809 5.422 10.305 3.081 10.404 7.601
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.394 8.108 7.883 7.905 6.725 6.072 5.958 1.957 6.327 1.685 5.582
[2,] 3.470 8.862 8.771 8.750 7.169 6.514 6.398 1.958 6.896 1.687 6.219
[3,] 3.514 9.900 9.261 9.135 7.365 6.601 6.711 1.958 7.134 1.702 6.384
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.484 4.473 2.598 5.915 6.663 7.214 4.096 7.666 7.784 3.150 6.681
[2,] 6.414 4.577 2.613 7.243 6.663 7.216 4.255 8.906 8.035 3.182 8.093
[3,] 6.956 4.754 2.616 7.448 7.018 7.801 4.358 9.692 8.829 3.199 8.680
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.219 5.846 4.610 6.052 1.984 5.726 2.765 5.152 5.130 5.766 7.737
[2,] 7.520 7.132 7.042 6.118 1.991 6.933 2.886 5.360 5.198 7.821 9.571
[3,] 7.902 7.703 8.377 6.190 1.994 8.377 3.039 6.098 5.273 8.026 9.811
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.336 7.845 4.364 8.015 3.005 7.533 8.962 7.688 7.659 7.991 6.460
[2,] 3.495 8.498 4.372 8.813 3.038 8.030 9.068 8.265 8.317 8.723 7.616
[3,] 3.588 9.268 4.394 9.480 3.112 8.386 9.185 8.630 8.533 9.543 7.965
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.709 2.063 6.384 4.327 7.174 3.526 4.063 2.727 6.744 5.901 9.849
[2,] 7.259 2.079 7.037 4.554 7.982 3.526 4.176 2.768 7.265 5.914 9.992
[3,] 8.049 2.093 7.581 4.756 8.395 3.528 4.284 2.787 7.504 6.018 10.030
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.636 2.864 2.712 4.865 4.856 4.829 3.675 3.067 13.10 17.91 8.735
[2,] 9.886 4.669 5.160 4.938 4.990 4.926 3.709 3.752 17.17 21.69 9.933
[3,] 10.578 4.754 5.211 5.190 5.247 5.400 3.742 4.391 21.04 22.87 11.900
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.528 5.75 19.88 10.47 13.01 4.765 3.278 9.996 12.24
[2,] 703.224 196.96 1491.18 830.49 1159.59 26.449 31.189 178.029 60.49
[3,] 346.363 268.21 1477.45 1274.98 816.00 384.420 46.498 233.164 427.76
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.969 5.863 10.06 6.711 7.195 7.091 7.588 9.104
[2,] 1437.380 621.817 1129.92 175.567 615.190 477.236 576.317 812.731
[3,] 128.714 182.153 820.82 374.244 476.162 584.977 583.487 654.252
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.248 13.3 12.26 21.87 7.851 22.18 11.62 3.797
[2,] 1023.171 922.9 1098.61 1144.98 213.748 3710.48 936.74 116.156
[3,] 683.216 826.3 959.05 573.86 85.065 1829.87 1630.51 109.851
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.211 9.263 6.663 9.641 3.877 10.02 8.488 4.31
[2,] 1537.368 1542.352 205.587 964.083 55.892 1053.52 540.158 166.25
[3,] 1252.086 1000.455 237.588 1284.230 75.903 1154.88 635.837 127.43
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.3 10.01 10.04 8.54 7.71 7.566 2.485 8.034 2.14
[2,] 824.7 886.51 864.64 572.63 543.54 537.700 13.306 632.110 20.53
[3,] 1016.9 685.31 604.50 389.04 246.92 466.399 6.677 421.551 51.85
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 7.089 6.964 5.68 3.299 7.511 8.461 9.16 5.201 9.735
[2,] 631.913 766.686 223.50 63.863 963.377 16.159 36.81 265.733 1044.691
[3,] 332.282 620.730 296.95 29.998 400.369 507.645 683.46 217.862 881.383
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 9.885 4.00 8.483 7.897 7.423 5.854 7.685 2.52
[2,] 459.400 103.74 1053.050 974.713 941.639 1227.113 206.472 36.53
[3,] 843.223 76.94 723.104 559.063 670.767 1045.588 217.117 25.67
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 7.272 3.511 6.542 6.514 7.322 9.825 4.236 9.962
[2,] 900.923 190.966 341.333 193.277 1217.954 1298.804 240.462 753.117
[3,] 1083.679 219.063 670.056 204.976 414.833 497.052 186.409 852.262
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 5.541 10.18 3.816 9.565 11.38 9.763 9.726 10.15 8.204
[2,] 62.583 844.23 103.588 641.307 319.10 699.278 746.849 805.77 929.590
[3,] 100.584 805.38 155.616 557.455 336.66 572.393 440.623 892.36 537.683
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 7.249 2.619 8.107 5.495 9.11 4.477 5.159 3.462 8.564
[2,] 1033.239 59.965 682.434 326.688 806.46 16.528 222.371 110.264 622.679
[3,] 801.993 55.783 650.079 316.294 600.05 26.083 220.935 73.717 433.094
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 7.493 12.51 12.24 3.637 3.444 6.178 6.166 6.132
[2,] 91.506 388.03 508.59 849.932 1011.872 194.715 265.257 224.832
[3,] 256.939 202.18 867.76 205.703 166.863 368.058 373.894 509.768
[,94] [,95] [,96] [,97] [,98]
[1,] 4.667 3.894 16.63 22.74 11.09
[2,] 116.087 498.211 2560.14 2819.94 1089.83
[3,] 113.328 525.811 2802.76 1674.83 1510.38
[1] "--- VAR model 2017-10-02 13:01:00 completed"
[1] "Completed training sample: 2017-10-02 13:01:00 - 2017-10-02 21:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 13:31:00 - 2017-10-02 21:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.334 -2.152 -14.66 -17.048
-2.513 -1.771 -13.42 -11.635
-1.955 -0.926 -12.29 -8.078
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.172 0.43965 0.11023 -0.3751
-9.470 -0.06683 0.14439 -0.7201
-13.601 -0.06421 0.07979 -0.3600
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7312 -5.6297 -3.5088 -17.32
-3.9297 -0.9437 -0.7819 -14.49
-2.9011 -2.0485 -1.6780 -14.46
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.904 -6.024 -5.200 26.24
2.283 -3.451 -4.821 24.91
1.580 -2.370 -2.890 25.98
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.785 -9.646 -10.642 -1.912
-9.078 -9.421 -4.881 -1.540
-6.268 -8.803 -9.752 -4.033
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.91 -0.41705 -29.58 -9.571
-10.10 -0.04394 -25.70 -16.166
-11.03 -0.15887 -21.07 -13.272
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6134 -5.202 -17.721 0.59528
-1.0497 -11.446 -8.273 -0.04154
-0.5817 -8.829 -14.967 -0.11243
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-21.340 -0.11717 -7.126 -3.813
-9.949 0.17049 -18.058 -2.969
-10.838 0.08643 -7.697 -2.251
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.8174 0.3133 1.832 -8.505
-2.8548 -18.7635 -10.582 -6.566
-2.0880 -7.1422 -12.515 -16.050
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.915 1.1681 1.277 -0.054044
4.372 -2.1084 1.157 0.078689
3.396 0.1167 1.028 0.002698
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.9632 0.02584 -8.683 -9.844
-0.7355 0.20362 -1.865 -13.734
-0.4633 0.07387 -4.928 -7.777
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.06041 0.163376 -7.274 0.1279
-0.49047 0.004081 -9.115 -0.4499
-0.08431 0.156435 -9.887 -0.4196
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.6220 -3.899 -6.369 2.389
-1.2480 -3.260 -4.304 2.819
-0.9734 -1.775 -3.158 2.772
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6108 -9.447 -9.761 -7.793
-0.4540 -5.636 -5.249 -6.228
-0.4748 -3.378 -4.107 -4.331
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.675 0.2170 0.06672 3.637
-8.703 0.6208 0.04207 -8.346
-5.109 0.3756 0.01318 -7.495
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.090 -2.977 1.4271 -7.8341
-2.075 -1.971 0.8743 -0.1751
-2.123 -6.123 0.2162 -2.9941
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.363 0.07455 -6.342 -0.4229
-3.076 1.12242 -7.323 -0.6949
-1.777 0.09687 -3.043 -0.1328
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.6231 -0.03935 -3.969 -3.226
-5.0832 -0.76680 -3.205 -1.719
-2.3616 -0.46265 -2.958 -1.332
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.608 -6.928 0.9245 -3.628
-3.756 -5.803 0.7599 -4.202
-2.927 -4.204 -0.2238 -3.020
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.728 0.4106 -6.983 -0.09254
-3.994 0.3859 -2.139 0.71826
-4.156 0.3231 -3.053 0.65708
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.478 0.01705 -2.311 0.7356
-3.573 -0.09593 -2.100 0.4415
-2.525 0.03194 -1.527 0.4360
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.723 -1.1417 3.862 8.467
3.256 -0.9271 3.807 7.244
2.829 -0.2186 3.273 6.164
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.880 -3.685 -1.464 -1.463
-1.493 -1.217 -1.547 -1.491
-1.534 -1.494 -1.119 -1.061
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.8943 -0.8566 17.70 92.05
0.2368 -0.7241 18.18 90.55
-3.2171 -0.2738 17.27 89.39
rnd_95776.volume rnd_95787.volume
-23.413 -7.401
-9.319 -15.469
-21.106 -11.819
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.757 4.494 15.45 8.119 10.12 3.722 2.545 7.770 9.426 6.186 4.597
[2,] 6.503 4.588 16.72 8.895 11.28 3.724 2.547 7.809 9.428 8.811 5.291
[3,] 6.665 4.725 17.95 10.338 11.82 4.078 2.554 7.874 9.666 8.830 5.348
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.793 5.229 5.556 5.609 6.020 7.134 7.295 10.75 9.918 16.82 6.027
[2,] 9.167 5.282 6.090 5.990 6.513 8.001 8.496 11.61 11.036 17.50 6.081
[3,] 9.829 5.512 6.442 6.537 7.003 8.527 9.013 11.98 11.767 17.74 6.083
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.14 8.994 2.990 7.255 7.201 5.221 7.551 2.987 7.734 6.622
[2,] 23.11 9.857 3.027 9.796 9.743 5.293 8.579 2.993 8.987 7.035
[3,] 24.39 12.030 3.058 11.137 10.627 5.376 10.114 3.012 10.115 7.543
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.346 8.213 7.759 7.897 6.368 6.003 5.876 1.926 6.350 1.666 5.438
[2,] 3.412 9.099 8.612 8.774 6.810 6.465 6.359 1.927 6.886 1.666 6.060
[3,] 3.453 9.970 9.146 9.238 7.071 6.539 6.663 1.927 7.122 1.684 6.211
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.469 4.325 2.557 5.709 6.577 6.955 4.048 7.441 7.769 3.075 6.838
[2,] 6.337 4.514 2.566 6.968 6.577 6.963 4.213 8.583 8.014 3.108 8.147
[3,] 6.891 4.625 2.570 7.301 6.950 7.560 4.308 9.387 8.796 3.132 8.686
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.648 5.694 4.523 5.972 1.932 5.696 2.736 5.089 5.090 5.712 7.231
[2,] 7.398 7.092 7.007 6.031 1.936 6.870 2.849 5.311 5.162 7.636 9.050
[3,] 7.830 7.623 7.790 6.105 1.939 8.268 3.000 6.019 5.231 7.822 9.300
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.298 7.752 4.320 8.115 2.982 7.485 8.582 7.528 7.664 7.646 6.427
[2,] 3.458 8.395 4.329 8.868 3.015 7.970 8.851 8.154 8.305 8.356 7.521
[3,] 3.555 9.072 4.358 9.439 3.094 8.341 8.966 8.576 8.532 9.055 7.879
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.595 2.014 6.163 4.260 7.169 3.516 4.044 2.645 6.688 5.879 9.713
[2,] 7.214 2.032 6.858 4.480 7.937 3.519 4.148 2.708 7.199 5.898 9.852
[3,] 7.973 2.055 7.429 4.692 8.381 3.520 4.249 2.726 7.435 5.996 9.898
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.517 2.825 2.693 4.874 4.867 4.845 3.571 3.386 13.31 17.22 8.649
[2,] 9.718 4.684 5.176 4.949 5.006 4.946 3.620 4.046 17.38 20.76 9.861
[3,] 10.414 4.774 5.225 5.188 5.247 5.379 3.644 4.856 21.20 22.41 11.736
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.31 5.707 19.61 10.31 12.85 4.726 3.232 9.866 11.97
[2,] 729.55 222.344 1541.66 875.62 1199.24 30.539 22.383 188.387 49.56
[3,] 351.35 272.050 1579.45 1270.22 858.93 400.759 46.281 243.034 513.44
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.855 5.837 9.896 6.64 7.055 7.123 7.645 9.059
[2,] 1512.889 631.665 1164.065 179.68 601.491 506.471 599.419 873.692
[3,] 139.163 188.613 855.019 380.08 506.752 631.621 620.127 710.799
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.264 13.65 12.59 21.36 7.653 21.76 11.42 3.797
[2,] 1049.919 1059.78 1166.85 1168.63 194.604 3737.12 972.17 113.213
[3,] 725.135 708.04 984.77 697.09 39.289 1884.66 1662.74 104.815
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.213 9.144 6.63 9.588 3.793 9.822 8.409 4.248
[2,] 1586.991 1582.414 209.68 982.033 45.791 1103.471 572.966 161.998
[3,] 1277.438 1023.027 226.67 1291.435 82.972 1119.081 656.089 128.093
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.43 9.853 10.03 8.086 7.623 7.461 2.446 8.063 2.115
[2,] 944.18 900.829 922.32 582.377 578.597 586.064 13.841 641.994 9.623
[3,] 982.68 742.596 696.68 458.702 237.031 479.767 3.419 438.489 58.365
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.905 6.945 5.492 3.247 7.249 8.351 8.832 5.14
[2,] 645.001 771.672 311.878 51.094 963.216 17.608 79.327 281.76
[3,] 328.111 652.648 243.045 35.581 525.997 541.353 710.107 217.61
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 9.449 9.866 3.905 8.683 8.441 7.23 5.744 7.584
[2,] 1031.529 473.987 108.571 1067.974 782.918 1019.31 1290.174 202.044
[3,] 916.439 874.223 93.158 726.160 618.169 674.29 820.958 228.206
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.453 7.233 3.474 6.462 6.463 7.253 9.182 4.188
[2,] 32.540 925.999 191.791 366.699 207.868 1222.038 1312.096 250.810
[3,] 23.851 1109.184 226.839 682.844 204.218 408.430 516.962 199.207
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 9.844 5.486 10.31 3.786 9.504 10.9 9.56 9.732 9.709
[2,] 776.865 68.292 861.87 107.287 660.455 521.5 755.50 771.456 812.942
[3,] 828.701 120.363 779.55 167.338 593.078 346.3 640.51 471.427 841.308
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 8.161 7.104 2.557 7.826 5.409 9.104 4.465 5.135
[2,] 941.863 1098.100 64.890 725.244 334.282 821.088 35.767 222.580
[3,] 566.377 818.639 73.942 688.624 336.027 649.259 19.095 221.912
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.359 8.493 7.465 12.33 12.09 3.587 3.42 6.189 6.18
[2,] 140.231 641.772 113.782 396.87 474.13 900.758 1065.69 207.528 282.33
[3,] 75.476 448.589 260.987 230.35 902.63 223.050 172.87 374.906 379.05
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.153 4.534 4.3 16.9 21.87 10.98
[2,] 238.838 143.205 533.9 2695.8 2795.00 1142.01
[3,] 509.722 100.919 647.5 2927.0 2033.94 1534.33
[1] "--- VAR model 2017-10-02 13:31:00 completed"
[1] "Completed training sample: 2017-10-02 13:31:00 - 2017-10-02 21:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 14:01:00 - 2017-10-02 22:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5732 1.5389 -12.297 -16.47
-0.9710 1.0655 -10.786 -12.96
-0.8046 0.6185 -9.987 -11.64
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.73 1.9238 0.02634 -1.3363
-13.96 0.2779 -0.21369 -1.1407
-15.10 0.5832 -0.06948 -0.6463
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.549 -6.246 -3.668 -15.24
-5.300 -2.910 -1.879 -14.14
-3.249 -2.786 -2.149 -14.79
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.1714 -9.045 -7.718 26.56
-0.6305 -6.867 -6.734 26.83
-0.3284 -6.448 -4.354 27.69
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.94 -10.52 -13.10 -6.603
-11.83 -12.30 -13.76 -6.436
-10.29 -11.02 -13.01 -7.545
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.304 -0.18080 -23.49 -12.90
-6.708 -0.07087 -22.00 -12.52
-6.484 -0.04917 -18.43 -11.06
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8915 -9.670 -11.99 1.7818
-0.5054 -8.494 -11.16 1.2536
-0.6012 -7.944 -11.23 0.6983
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.20 0.3381 -11.64 -3.432
-10.91 0.4862 -12.96 -3.404
-10.53 0.2331 -10.61 -4.401
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.125 -7.185 -7.542 -9.992
-3.125 -13.193 -11.314 -11.400
-2.354 -10.061 -10.872 -12.596
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.558 -4.313 0.3117 0.1445022
2.637 -5.746 0.2142 0.0009867
2.590 -4.747 0.2253 0.0019881
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.29783 0 -5.822 -11.60
-0.05127 0 -4.883 -10.95
-0.06138 0 -5.846 -10.32
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.368 -0.2897 -10.594 0.02562
-2.092 -0.1061 -9.198 0.44994
-1.716 -0.1626 -9.721 0.45125
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.2788 -0.7619 -3.454 1.690
0.7139 -1.0396 -4.053 1.680
0.6461 -1.6989 -6.743 1.694
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.282 -4.501 -4.897 -3.828
-1.378 -3.524 -2.494 -3.619
-1.261 -5.943 -3.394 -2.754
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.111 -0.2454 -0.08948 -4.295
-4.128 0.1596 -0.08517 -7.735
-3.009 0.1932 -0.03277 -3.347
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.605 -4.937 0.3798 -1.252
-1.801 -3.217 0.8876 -4.364
-1.776 -3.603 0.8598 -3.194
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.910 0.2550 -8.658 -0.02492
-6.869 0.5267 -5.404 -0.06431
-5.288 -0.0552 -5.984 -0.01280
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.032 -0.3703 -1.1560 -0.8656
-5.516 -0.6573 -1.0269 -0.8566
-6.510 -0.1876 -0.6165 -0.5155
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.535 -1.765 -2.079 -4.791
1.416 -1.647 -2.369 -2.101
1.254 -1.690 -1.010 -2.023
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.380 -0.3467 -2.816 -0.3832
-4.061 -0.2637 -5.429 -0.6091
-2.152 -0.1581 -2.686 -0.8575
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.175 -0.1876670 -1.092 -0.11242
-5.539 -0.0574919 -1.183 0.07801
-4.085 0.0003329 -1.001 -0.14454
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5148 0.8927 -3.084 0.120161
-0.9970 0.6113 -2.234 0.001203
-0.5950 0.1904 -1.450 -0.804288
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.5403 -2.7376 -0.7935 -0.8141
-0.7237 -0.5979 -0.7406 -0.9852
-0.7270 -0.9398 -0.5388 -0.6387
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.624 -0.25854 12.01 103.5
-1.254 -0.03381 10.63 103.1
-2.203 -0.27947 10.39 101.8
rnd_95776.volume rnd_95787.volume
-12.90 -11.86
-21.17 -11.33
-18.52 -10.06
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.649 4.444 15.10 8.270 10.07 3.705 2.510 7.578 9.462 6.053 4.538
[2,] 6.350 4.535 16.40 9.063 11.29 3.708 2.510 7.638 9.462 8.752 5.232
[3,] 6.532 4.690 17.69 10.559 11.85 4.066 2.518 7.696 9.704 8.783 5.291
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.645 5.120 5.483 5.309 6.120 7.179 7.199 10.53 9.879 16.59 6.012
[2,] 9.074 5.178 6.035 5.700 6.659 8.069 8.392 11.35 10.986 17.31 6.066
[3,] 9.694 5.411 6.442 6.345 7.148 8.705 8.908 11.60 11.676 17.59 6.068
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 16.99 8.711 2.972 7.168 7.190 5.093 7.437 2.958 7.739 6.522
[2,] 22.66 9.613 3.003 9.689 9.806 5.149 8.563 2.964 8.987 6.985
[3,] 23.97 11.773 3.028 10.949 10.583 5.222 10.130 2.986 10.046 7.510
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.322 8.101 7.668 7.722 6.039 5.896 5.735 1.844 6.214 1.603 5.376
[2,] 3.394 8.938 8.493 8.542 6.479 6.374 6.248 1.844 6.755 1.604 6.014
[3,] 3.450 9.833 8.998 8.984 6.753 6.439 6.560 1.845 7.023 1.625 6.123
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.401 4.273 2.508 5.659 6.348 6.837 4.029 7.271 7.606 2.965 6.438
[2,] 6.256 4.449 2.523 6.881 6.349 6.848 4.210 8.401 7.837 3.030 7.883
[3,] 6.796 4.552 2.526 7.218 6.693 7.426 4.319 9.193 8.651 3.066 8.425
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.528 5.480 4.401 5.872 1.886 5.594 2.667 4.970 4.945 5.484 7.243
[2,] 7.247 6.739 6.857 5.921 1.889 6.686 2.783 5.178 5.006 7.363 8.936
[3,] 7.676 7.320 7.555 5.986 1.893 8.083 2.923 5.842 5.102 7.538 9.155
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.224 7.548 4.099 7.950 2.836 7.308 8.762 7.449 7.436 7.385 6.217
[2,] 3.398 8.172 4.109 8.582 2.857 7.832 8.877 8.072 8.040 8.128 7.386
[3,] 3.492 8.812 4.143 9.206 2.883 8.215 9.008 8.516 8.313 8.847 7.721
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.078 1.971 5.911 4.174 7.132 3.508 3.995 2.580 6.544 5.843 9.212
[2,] 6.890 1.987 6.593 4.380 7.778 3.510 4.100 2.647 6.999 5.861 9.354
[3,] 7.751 2.012 7.253 4.668 8.249 3.510 4.199 2.665 7.234 5.974 9.488
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.288 2.830 2.719 4.886 4.874 4.786 3.439 3.441 13.63 16.88 8.307
[2,] 9.457 4.698 5.174 4.955 5.000 4.881 3.496 4.050 17.68 20.40 9.572
[3,] 10.172 4.782 5.215 5.169 5.219 5.278 3.533 4.806 21.36 21.94 11.430
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.174 5.644 19.18 10.5 12.78 4.704 3.187 9.623 12.02
[2,] 748.821 232.232 1652.31 957.5 1321.26 39.391 12.260 245.430 21.94
[3,] 395.302 309.407 1706.63 1398.4 925.18 430.646 51.442 244.807 556.01
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.687 5.763 9.707 6.502 6.963 6.742 7.772 9.117
[2,] 1631.495 671.831 1262.010 200.192 650.416 535.697 676.992 950.774
[3,] 192.970 203.724 880.392 405.035 581.956 719.202 671.154 843.278
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.142 13.38 12.54 21.07 7.634 21.58 11.06 3.774
[2,] 1112.929 1091.08 1240.62 1272.35 208.345 3870.18 1049.36 110.660
[3,] 771.504 615.44 1020.66 800.17 41.537 2014.78 1754.67 100.395
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.103 9.13 6.467 9.444 3.756 9.827 8.282 4.218
[2,] 1682.551 1721.11 195.606 1095.450 46.402 1179.425 645.947 179.555
[3,] 1316.582 1027.65 223.933 1397.435 93.670 1158.951 711.972 159.690
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.29 9.737 9.805 7.669 7.487 7.282 2.342 7.891 2.036
[2,] 974.79 942.436 942.668 605.374 624.676 639.965 3.738 683.822 11.337
[3,] 1058.02 767.808 718.844 491.898 235.703 516.027 6.805 496.455 67.469
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.826 6.858 5.426 3.185 7.186 8.061 8.682 5.116
[2,] 695.978 815.036 320.026 71.121 1010.596 27.536 102.486 315.239
[3,] 297.194 685.399 249.090 31.941 562.703 547.084 741.227 249.094
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 9.234 9.659 3.765 8.175 8.29 6.959 5.588 7.456
[2,] 1085.903 487.470 161.916 1174.424 812.48 1012.415 1357.285 197.191
[3,] 963.821 945.969 121.275 766.903 653.33 738.087 818.844 226.021
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.395 7.103 3.387 6.311 6.279 6.964 9.198 4.094
[2,] 26.920 945.421 204.864 374.966 201.340 1268.359 1350.775 277.232
[3,] 29.434 1172.572 231.502 698.137 254.218 417.207 514.364 207.582
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 9.585 5.205 10.1 3.601 9.28 11.13 9.46 9.443 9.378
[2,] 808.426 74.654 834.3 88.822 727.03 369.12 802.50 788.680 876.534
[3,] 851.097 137.670 860.0 101.309 640.45 395.09 700.52 545.662 901.705
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 7.895 6.448 2.503 7.506 5.3 9.056 4.454 5.074 3.276
[2,] 1029.457 1202.083 64.650 753.803 342.7 801.678 34.891 237.520 153.571
[3,] 580.280 916.722 82.240 780.676 416.7 708.646 11.461 234.041 78.398
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 8.31 7.419 11.7 11.79 3.593 3.453 6.204 6.189 6.078
[2,] 640.14 119.258 420.3 460.00 967.981 1136.230 212.119 287.993 246.288
[3,] 472.80 298.232 409.7 967.29 231.210 168.068 380.105 386.582 518.900
[,94] [,95] [,96] [,97] [,98]
[1,] 4.367 4.37 17.31 21.43 10.55
[2,] 162.803 551.47 2908.88 2958.28 1227.68
[3,] 131.956 667.67 3093.33 2083.33 1612.41
[1] "--- VAR model 2017-10-02 14:01:00 completed"
[1] "Completed training sample: 2017-10-02 14:01:00 - 2017-10-02 22:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 14:31:00 - 2017-10-02 22:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5786 -1.1850 -1.6509 -8.353
-0.7389 -0.5407 -0.7797 -2.847
-0.3783 -0.4146 -0.5525 -4.082
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.999 0.57004 0.33681 0.2106
-9.694 -0.46761 0.08118 0.4498
-6.997 0.00686 0.02952 0.2665
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.7062 -0.6052 -0.8356 -7.078
-1.5863 0.0234 -1.1658 -6.856
-0.4629 -0.3000 -0.6041 -6.876
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.4803 -3.337 -2.990 21.83
-1.3147 -4.202 -3.357 21.20
-0.7942 -3.767 -3.005 21.67
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.736 -7.213 -3.953 -0.8133
-4.967 -6.033 -6.285 -3.6387
-5.535 -5.400 -3.881 -2.4191
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.01858 -0.18606 -3.728 -3.7945
-1.22001 -0.02716 -4.997 0.5604
-0.08266 -0.07632 -2.499 -1.6396
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.06792 -1.179 -1.205 0.1732
-0.16750 -2.020 -2.931 0.5067
-0.02049 -1.785 -1.581 0.2412
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.186 -0.335073 -7.493 -3.954
-1.915 -0.051931 -4.519 -3.568
-3.367 0.009981 -3.244 -3.746
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.3153 -8.422 -6.986 -9.650
-1.6421 -6.023 -7.996 -9.133
-0.7251 -3.684 -3.437 -5.853
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6763 -1.591 -0.6588 -0.023409
0.2694 -1.593 -0.5307 -0.106770
-0.1818 -2.005 -0.4106 -0.002018
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4113 0.12494 -6.244 -10.646
0.1577 0.13754 -4.916 -9.465
0.1111 0.02594 -4.930 -8.960
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.386 -0.29260 -5.955 1.0953
-1.039 -0.14747 -9.609 0.8879
-1.029 -0.09348 -8.410 0.8359
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.9704 -2.230 -4.718 3.686
-0.1841 -2.510 -4.592 3.158
-0.3325 -1.971 -3.058 2.701
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.0904 -0.2883 0.6053 -0.6576
-0.5052 -5.9767 -2.3449 -1.1200
-0.5376 -3.6594 -4.0771 -3.9060
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.2852 0.1823 0.06980 0.3806
-0.1445 0.3710 0.04733 1.7559
-1.9643 0.1829 0.01346 -0.3188
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9524 -0.2579 0.39951 0.06033
-0.7952 2.1650 0.06212 -1.10685
-1.1260 -0.3399 0.08825 0.91937
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.3642 -0.1443 -4.728 0.5981
-1.9374 0.2971 -3.219 0.7455
0.4224 -0.2255 -1.896 0.1781
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.277 0.1485 -0.5950 -1.3606
-2.415 0.1006 -0.2368 -0.7274
-2.346 -0.1078 -0.1650 -0.4148
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.080 -3.610 -3.467 -4.993
-3.418 -4.089 -4.479 -2.930
-2.425 -2.537 -3.806 -3.283
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-8.616 -0.051544 -6.475 -0.01002
-3.768 0.006681 -5.962 -0.13295
-2.845 0.088687 -2.957 -0.57286
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.813 -0.1402 -0.2371 -0.063671
-5.819 0.1452 -0.4580 -0.014084
-3.864 -0.1612 -0.6108 -0.009554
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.2057 -0.8843 0.00824 -3.629
-0.6149 -0.2399 1.09321 -4.556
-0.8129 -0.1880 0.52547 -3.796
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2369 -0.08169 -0.6944 -0.3585
-0.6502 -0.44227 -0.3724 -0.1456
-0.3454 -0.17796 -0.2567 -0.1269
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.19909 -0.2481 13.48 102.4
1.21847 -0.2780 13.84 101.4
0.08065 -0.1958 12.98 100.2
rnd_95776.volume rnd_95787.volume
-17.97 -3.505
-12.33 -1.565
-15.98 -2.281
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.466 4.292 15.05 8.177 9.848 3.596 2.406 7.272 9.251 5.928 4.552
[2,] 6.142 4.397 16.32 8.928 11.033 3.599 2.406 7.329 9.252 8.428 5.198
[3,] 6.353 4.570 17.60 10.296 11.635 3.941 2.415 7.394 9.507 8.473 5.255
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.504 5.043 5.400 5.798 6.164 7.201 7.312 10.27 9.638 16.93 6.019
[2,] 8.880 5.103 5.964 6.213 6.722 8.184 8.604 11.11 10.816 17.62 6.062
[3,] 9.480 5.322 6.343 6.687 7.183 8.863 9.169 11.39 11.534 17.92 6.066
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.79 8.680 2.933 7.119 7.066 4.905 7.402 2.979 7.680 6.197 3.257
[2,] 22.31 9.498 2.963 9.581 9.549 4.935 8.472 2.981 8.871 6.624 3.362
[3,] 23.56 11.638 2.987 10.784 10.413 4.992 9.902 3.006 10.012 7.186 3.439
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.897 7.522 7.681 5.751 5.802 5.386 1.776 5.978 1.522 5.284 5.310
[2,] 8.792 8.325 8.457 6.104 6.202 5.811 1.776 6.542 1.526 5.884 6.100
[3,] 9.679 8.878 8.929 6.367 6.254 6.018 1.777 6.779 1.539 6.025 6.578
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.183 2.467 5.548 6.020 6.635 4.004 7.118 7.346 2.962 6.612 5.959
[2,] 4.341 2.484 6.767 6.028 6.646 4.190 8.138 7.542 3.020 7.851 6.969
[3,] 4.454 2.490 7.095 6.298 7.163 4.311 8.805 8.336 3.052 8.349 7.279
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.395 4.305 5.729 1.845 5.492 2.617 4.792 4.695 5.284 6.835 3.061
[2,] 6.707 6.560 5.764 1.846 6.577 2.736 5.002 4.752 7.113 8.507 3.208
[3,] 7.175 7.681 5.815 1.849 7.875 2.864 5.661 4.864 7.282 8.766 3.331
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.271 3.897 7.815 2.788 7.110 8.500 7.079 7.012 7.255 5.775 4.440
[2,] 7.851 3.913 8.377 2.809 7.671 8.638 7.597 7.584 7.906 7.159 6.374
[3,] 8.455 3.954 8.929 2.830 8.083 8.800 7.937 7.905 8.567 7.486 7.465
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.921 5.812 4.056 7.163 3.404 3.83 2.482 6.380 5.599 8.688 9.203
[2,] 1.942 6.224 4.288 7.651 3.409 3.94 2.542 6.840 5.627 8.824 9.383
[3,] 1.958 6.954 4.575 8.081 3.410 4.10 2.569 7.057 5.748 9.047 10.141
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.823 2.700 4.837 4.827 4.686 3.421 3.541 13.96 16.71 8.252
[2,] 4.651 5.122 4.900 4.950 4.767 3.481 4.155 18.01 20.49 9.430
[3,] 4.733 5.162 5.123 5.176 5.149 3.520 4.893 21.71 21.74 11.228
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.941 5.45 19.11 10.38 12.5 4.566 3.055 9.234 11.75
[2,] 748.493 255.92 1687.87 958.52 1330.0 38.049 5.063 243.274 35.73
[3,] 434.894 333.03 1757.50 1370.79 987.5 429.442 55.389 262.085 584.58
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.528 5.78 9.529 6.404 6.857 7.363 7.828 9.145
[2,] 1601.554 671.36 1269.480 208.151 676.851 596.905 716.836 1039.700
[3,] 234.113 205.34 887.290 404.383 577.430 661.124 676.881 909.092
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.285 13.04 12.24 21.5 7.643 21.32 11.02 3.724
[2,] 1212.527 1129.60 1311.86 1303.5 193.571 3928.07 1030.55 112.476
[3,] 846.534 678.02 1071.01 873.9 55.357 2019.82 1797.95 100.853
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.04 8.972 6.229 9.4 3.782 9.752 7.869 4.136
[2,] 1714.08 1717.282 143.437 1101.7 34.731 1187.171 625.934 222.100
[3,] 1323.57 1110.177 202.072 1370.6 102.021 1240.692 744.590 194.478
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.03 9.551 9.754 7.303 7.368 6.839 2.255 7.592 1.932
[2,] 1033.17 953.626 945.726 547.077 585.860 583.704 6.774 710.389 30.601
[3,] 1082.00 824.710 766.058 483.763 214.692 417.722 11.345 475.105 53.138
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.71 6.742 5.311 3.132 7.045 7.644 8.426 5.084
[2,] 692.14 803.084 311.016 78.734 1035.912 83.464 101.188 330.644
[3,] 346.18 658.107 266.332 43.652 570.024 487.759 714.526 271.012
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 9.039 9.329 3.761 8.396 7.567 6.851 5.466 7.276
[2,] 1054.534 455.756 158.356 1131.864 966.088 1065.211 1323.400 169.601
[3,] 899.056 949.469 117.578 759.357 561.586 681.771 1068.345 204.413
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.342 6.974 3.324 6.085 5.962 6.71 8.68 3.888
[2,] 18.096 967.472 212.738 383.583 195.233 1272.92 1353.75 255.889
[3,] 29.880 1157.655 226.700 708.442 277.329 416.86 565.91 239.853
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 9.233 4.948 9.924 3.54 9.029 10.79 8.989 8.904 9.213
[2,] 791.555 97.287 806.545 92.43 769.948 410.74 737.082 772.609 839.307
[3,] 839.004 151.689 826.320 91.57 680.690 450.10 614.549 596.357 882.188
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 7.333 5.638 2.439 7.381 5.151 9.095 4.323 4.864
[2,] 1130.885 1222.757 76.700 595.492 371.539 719.301 44.753 247.360
[3,] 585.663 1038.468 66.742 828.781 426.925 695.538 31.108 302.491
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.152 8.102 7.109 11.03 11.69 3.585 3.428 6.142
[2,] 146.786 658.966 151.138 412.44 488.42 988.049 1163.507 210.638
[3,] 99.594 463.985 312.953 533.91 1028.78 235.092 172.846 399.433
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.13 5.951 4.344 4.497 17.73 21.22 10.48
[2,] 292.38 233.850 172.444 580.790 3041.03 3168.97 1220.08
[3,] 404.24 520.312 139.350 690.790 3242.42 1946.90 1629.53
[1] "--- VAR model 2017-10-02 14:31:00 completed"
[1] "Completed training sample: 2017-10-02 14:31:00 - 2017-10-02 22:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 15:01:00 - 2017-10-02 23:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.4259 0.21215 -5.930 -8.614
0.3811 0.06377 -5.174 -6.484
0.2240 0.06252 -4.635 -6.948
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.732 0.45971 -0.072003 0.2713
-9.472 -0.02654 0.067467 0.1530
-8.818 0.76549 -0.008365 0.1192
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5138 1.1921 0.03437 -4.899
0.3854 -0.8414 0.19364 -3.997
-0.1144 0.4586 0.10312 -3.316
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6137 -2.7982 -2.3065 16.73
-0.8709 -0.9326 -0.3746 15.71
-0.5745 -1.5459 -0.7959 16.73
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.572 -0.8632 -3.751 -4.778
-2.163 -3.6611 -3.088 -3.433
-1.682 -1.5832 -3.116 -3.759
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.702 1.0605 -11.672 -6.498
-4.166 0.3711 -10.603 -5.467
-3.498 0.5516 -8.693 -5.229
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.16385 -3.719 -4.814 -0.1813
0.12019 -4.730 -5.676 -0.4076
-0.02913 -3.729 -5.079 -0.2627
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.678 -0.20963 -7.573 -1.937
-5.319 -0.07910 -6.604 -1.152
-5.911 -0.03244 -5.858 -1.420
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.432 -9.297 -9.462 -9.065
-1.348 -7.178 -8.249 -8.724
-1.152 -6.255 -6.465 -7.655
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2089 -3.307 0.08427 0.36388
0.8428 -2.093 0.08901 -0.13417
0.7502 -2.840 0.04119 0.01024
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6792 0.1924 -4.175 -4.150
1.0467 0.2696 -4.042 -5.904
-0.2931 0.2597 -3.764 -6.384
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.04297 0.5487 -3.174 -0.1045
-0.06520 0.3723 -4.238 0.6658
-0.16422 0.2958 -4.603 0.4544
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.64516 -0.6846 -2.291 -0.4897
-0.08157 -0.5355 -1.299 0.7207
0.11305 -0.4702 -1.994 0.5375
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05811 -3.481 -2.446 -2.336
-0.27189 -1.751 -1.825 -2.894
-0.21792 -1.544 -1.486 -1.211
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.142 -0.01695 -0.032597 -2.346
-2.007 0.14097 -0.001119 -3.983
-2.295 0.01406 -0.002424 -1.806
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9489 -2.869 -0.7545 -0.8129
-1.0783 -1.131 -0.7456 -2.4660
-1.0469 -2.284 -0.4035 -2.6903
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.851 0.7094 -5.003 -0.27780
-4.014 0.3909 -3.553 -0.13377
-3.359 0.5747 -3.601 -0.04031
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.358 0.1459 0.3261 0.11780
-3.339 0.1669 0.2331 0.13785
-3.685 0.5674 0.2458 0.06039
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.0061 -2.628 -2.357 -2.230
-0.3674 -1.898 -3.552 -1.614
-0.1127 -1.141 -2.279 -1.377
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.4161 -0.2075 -1.492 0.5719
-2.1310 -0.2218 -1.315 0.7459
-1.4535 -0.1319 -1.438 0.7499
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.6344 0.070296 -1.5481 0.2911
-0.5544 -0.038291 -1.0814 -0.3092
-2.0196 -0.003953 -0.7039 -0.1002
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.7897 0.11391 3.144 -3.3373
-0.8035 -0.18876 3.370 -0.8322
-0.7155 0.01431 1.757 -0.6822
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7339 0.1514 -0.7072 -0.5908
-0.6904 -0.6384 -0.5284 -0.2636
-0.4871 -0.3527 -0.4163 -0.2158
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.5296 -0.1760 -2.720 107.8
-0.7524 -0.2823 -2.442 107.6
-1.3247 -0.1747 -1.732 106.5
rnd_95776.volume rnd_95787.volume
-5.415 -5.827
-6.449 -5.320
-7.610 -4.622
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.392 4.176 14.77 8.101 9.864 3.281 2.344 7.161 9.058 5.811 4.483
[2,] 6.053 4.269 16.04 8.735 10.989 3.313 2.345 7.228 9.060 8.171 5.088
[3,] 6.266 4.422 17.38 10.038 11.516 3.441 2.349 7.292 9.314 8.231 5.147
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.397 4.958 5.227 5.590 6.133 6.978 7.242 10.10 9.53 16.79 5.808
[2,] 8.779 5.018 5.769 5.979 6.705 7.884 8.495 10.94 10.69 17.49 5.838
[3,] 9.368 5.238 6.162 6.430 7.161 8.511 9.004 11.26 11.32 17.80 5.841
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.56 8.441 2.928 6.857 6.951 4.711 7.261 2.894 7.961 5.928 3.088
[2,] 21.86 9.302 2.929 9.370 9.438 4.730 8.155 2.897 8.800 6.329 3.230
[3,] 23.10 11.304 2.941 10.482 10.296 4.790 9.643 2.925 9.876 6.857 3.294
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.648 7.246 7.388 5.438 5.705 5.149 1.72 5.429 1.456 5.206 5.156
[2,] 8.643 8.014 8.157 5.760 6.056 5.514 1.72 5.734 1.459 5.735 5.925
[3,] 9.468 8.473 8.598 5.982 6.142 5.641 1.72 5.832 1.472 5.862 6.434
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.039 2.454 5.330 5.774 6.482 3.897 6.767 7.123 2.913 6.422 5.822
[2,] 4.183 2.473 6.467 5.781 6.496 4.071 7.745 7.272 2.971 7.696 6.744
[3,] 4.255 2.478 6.772 6.004 6.977 4.180 8.215 8.048 2.993 8.138 7.056
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.184 4.230 5.513 1.813 5.254 2.486 4.592 4.478 5.033 6.597 2.982
[2,] 6.431 6.414 5.548 1.814 6.335 2.618 4.812 4.521 6.758 8.067 3.098
[3,] 6.905 7.414 5.594 1.819 7.730 2.735 5.457 4.631 6.948 8.378 3.214
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.068 3.626 7.587 2.703 7.008 8.453 6.931 6.855 7.037 5.570 4.403
[2,] 7.617 3.629 8.094 2.719 7.605 8.578 7.460 7.425 7.679 7.034 6.203
[3,] 8.166 3.655 8.612 2.742 8.015 8.738 7.811 7.756 8.332 7.371 7.347
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.850 5.687 3.957 7.078 3.359 3.744 2.181 6.235 5.517 8.480 8.490
[2,] 1.874 6.090 4.215 7.581 3.364 3.828 2.292 6.647 5.536 8.619 8.741
[3,] 1.892 6.811 4.506 7.955 3.365 3.992 2.308 6.859 5.642 8.835 9.229
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.797 2.671 4.799 4.799 4.595 3.259 3.606 14.17 16.14 8.051
[2,] 4.613 5.083 4.868 4.923 4.673 3.324 4.255 18.27 19.14 9.287
[3,] 4.699 5.125 5.087 5.150 5.040 3.385 5.040 22.02 20.71 11.021
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.847 5.303 18.75 10.29 12.53 4.167 2.977 9.093 11.50
[2,] 818.769 263.723 1862.57 972.33 1441.25 136.563 8.283 294.093 57.35
[3,] 482.254 342.968 1993.17 1471.97 1024.89 276.621 44.551 286.886 643.66
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.379 5.692 9.393 6.296 6.637 7.099 7.787 8.861
[2,] 1709.670 716.322 1407.320 230.143 726.781 631.007 806.866 1092.301
[3,] 294.515 231.547 972.836 447.652 644.242 704.242 748.125 953.808
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.196 12.82 12.1 21.31 7.375 21.03 10.72 3.718
[2,] 1321.586 1251.75 1439.5 1458.61 174.929 4246.99 1163.43 20.810
[3,] 888.390 795.08 1115.1 997.59 62.453 2227.09 1911.33 78.458
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.708 8.826 5.983 9.221 3.675 10.11 7.528 3.921
[2,] 1900.385 1900.026 125.164 1104.886 35.649 1115.76 659.964 282.244
[3,] 1398.191 1224.492 225.100 1531.774 121.391 1333.98 785.278 191.884
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 9.712 9.202 9.381 6.906 7.244 6.539 2.184 6.894
[2,] 1197.884 1018.493 1029.116 564.663 604.578 586.938 7.612 548.696
[3,] 1150.432 819.032 809.035 480.545 306.391 353.960 11.902 317.522
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.848 6.61 6.547 5.129 3.117 6.768 7.332 8.231 4.949
[2,] 29.991 716.05 869.019 323.340 90.163 1090.315 81.811 127.146 349.706
[3,] 57.595 361.92 746.176 231.735 49.468 597.575 483.177 757.897 282.615
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 8.593 9.046 3.699 8.155 7.393 6.583 5.371 7.0
[2,] 1120.952 434.993 173.463 1262.556 1013.004 1132.364 1434.919 186.7
[3,] 815.258 1026.470 109.235 787.403 617.899 748.079 1106.867 212.5
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.302 6.671 3.156 5.831 5.686 6.391 8.378 3.787
[2,] 18.607 1053.452 244.840 428.696 184.912 1342.165 1381.761 249.315
[3,] 40.162 1318.282 235.300 765.746 299.226 480.061 673.346 255.317
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 8.975 4.605 9.634 3.432 8.899 10.73 8.801 8.705
[2,] 845.170 41.371 839.344 87.947 879.478 433.14 821.332 848.705
[3,] 875.753 129.721 875.089 106.000 753.198 495.62 689.262 667.355
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 8.935 7.073 5.591 2.349 7.222 5.025 8.987 4.266
[2,] 915.356 1278.421 1300.336 89.612 648.308 431.913 808.190 51.161
[3,] 962.050 655.448 1171.584 78.666 908.049 474.111 717.880 26.020
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.755 2.77 7.917 7.005 10.77 10.78 3.552 3.391
[2,] 237.065 209.66 685.915 138.788 459.80 618.54 1091.712 1287.051
[3,] 336.891 81.43 503.267 323.267 577.51 882.18 266.114 194.876
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.094 6.094 5.835 4.138 4.579 18 20.49 10.22
[2,] 242.109 326.638 253.030 194.626 672.350 3431 3061.76 1377.83
[3,] 440.026 450.710 561.461 190.802 803.767 3658 2355.91 1766.01
[1] "--- VAR model 2017-10-02 15:01:00 completed"
[1] "Completed training sample: 2017-10-02 15:01:00 - 2017-10-02 23:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 15:31:00 - 2017-10-02 23:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.439 -0.22757 -10.099 -11.84
-1.241 -0.06829 -9.194 -10.76
-1.021 -0.06794 -8.307 -10.10
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.883 0.9740 -0.063995 -0.40191
-7.737 0.2285 -0.003024 -0.10184
-8.287 0.3746 -0.004297 0.01728
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.8787 0.5017 -0.2493 -3.611
-0.9671 -1.2436 -0.6995 -3.459
-0.4245 -0.1504 -0.3946 -3.240
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2038 -1.2020 -1.6905 12.15
0.1187 -0.3016 -0.7015 11.15
-0.1045 -0.9211 -1.1351 11.70
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.0809 -0.00148 -3.085 -1.1398
-1.5865 -2.10637 -2.953 -0.9217
-0.8482 -1.11558 -2.367 -1.1680
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.425 0.05260 -18.66 -11.567
-5.922 0.06044 -18.89 -10.367
-4.216 0.05306 -16.60 -9.829
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.08482 -9.499 -10.419 0.2637
-0.10891 -6.789 -9.451 0.3072
0.01339 -7.106 -9.159 0.2280
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.873 0.39142 -10.030 -2.680
-10.078 0.09047 -8.745 -2.822
-9.294 0.06316 -8.700 -2.763
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.723 -10.850 -4.582 -5.292
-1.936 -9.865 -9.265 -11.030
-1.593 -9.696 -8.398 -8.988
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0732 -1.04931 0.8823 0.03182
0.7331 -0.04399 0.3978 0.13940
0.7739 1.61175 0.4234 0.10958
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.8891 0.05708 -2.554 -6.405
0.8430 0.28353 -3.043 -7.073
-0.1164 0.22523 -4.687 -7.700
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.3830 -0.001843 -9.300 0.2025
-0.7023 -0.112259 -4.739 -0.2620
-0.9046 0.073423 -6.253 -0.2079
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.09634 -0.8665 -0.7347 0.8682
0.78078 -1.5464 -5.4707 0.4272
0.31891 -1.2404 -3.7927 0.4495
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2668 1.084 -0.4249 -1.4048
-0.1798 -3.572 -0.4450 0.3512
-0.7977 -5.159 -3.5393 -2.8543
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.6240 0.6429 -0.09234 -2.456
-1.4919 0.4254 -0.08177 4.128
0.1704 0.1571 -0.03004 -1.110
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5978 -0.2906 -0.4652 -4.8495
-0.6102 0.2878 -0.2609 -0.7373
-0.8437 0.6220 -0.2918 0.1590
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.319 -0.0117 -2.710 0.19900
-1.662 -0.0988 -3.258 -0.30742
-1.339 -0.1747 -2.084 0.06385
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.416 -0.5312 -2.236 -0.9805
-3.066 -0.5170 -1.862 -0.6602
-2.157 -0.4685 -1.418 -0.3754
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.256 -2.688 0.296 -2.997
-2.013 -3.016 -1.471 -1.598
-1.588 -2.324 -1.091 -2.376
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.348 0.08127 -2.852 -1.524
-2.813 0.07547 -3.209 -1.430
-1.698 0.05947 -1.733 -1.263
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.763 -0.14786 0.2911 -0.08742
-2.980 0.07124 0.2303 -0.09565
-2.695 -0.01003 -0.9038 -0.07362
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.519 -0.22177 -0.7783 0.9401
1.594 0.02081 -1.1737 0.8669
1.770 -0.03720 -0.3057 0.7347
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.01986 -0.61727 0.1603 -0.1785
0.19239 0.06826 0.3656 -0.1753
0.21379 -0.05870 -0.3738 -0.1193
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5892 -0.10586 -2.325 106.2
0.2183 -0.01929 -2.068 105.6
0.5580 -0.02076 -1.443 105.0
rnd_95776.volume rnd_95787.volume
-17.485 -9.165
-14.335 -8.826
-9.535 -8.633
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.190 4.041 14.66 7.876 9.071 3.021 2.296 6.863 8.720 5.573 4.231
[2,] 5.766 4.120 15.93 8.450 10.145 3.055 2.296 6.939 8.724 7.899 4.800
[3,] 5.990 4.271 17.30 9.676 10.584 3.148 2.302 7.004 9.005 7.968 4.858
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.283 4.865 5.121 5.082 6.033 6.964 6.885 9.82 9.227 16.78 5.698
[2,] 8.634 4.925 5.656 5.473 6.583 7.803 7.932 10.55 10.265 17.47 5.751
[3,] 9.186 5.129 6.035 5.896 7.045 8.312 8.342 10.84 10.786 17.80 5.766
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.10 8.182 2.851 6.665 6.719 4.534 7.041 2.812 7.537 5.597 3.004
[2,] 21.11 9.109 2.852 9.119 9.094 4.545 7.888 2.813 8.325 5.952 3.097
[3,] 22.34 11.048 2.868 10.122 9.974 4.595 9.297 2.847 9.380 6.408 3.174
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.411 7.011 7.055 5.210 5.547 4.934 1.670 5.134 1.398 5.088 4.805
[2,] 8.243 7.783 7.797 5.534 5.847 5.212 1.670 5.428 1.402 5.553 5.553
[3,] 9.061 8.155 8.216 5.729 5.927 5.322 1.671 5.490 1.416 5.678 6.083
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.904 2.352 5.105 5.521 6.184 3.800 6.455 6.369 2.731 6.129 5.631
[2,] 4.056 2.370 6.091 5.527 6.189 3.967 7.232 6.501 2.761 7.337 6.406
[3,] 4.114 2.378 6.379 5.730 6.546 4.078 7.726 7.150 2.775 7.704 6.620
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.026 4.028 5.233 1.789 4.996 2.246 4.440 4.301 4.766 6.420 2.816
[2,] 6.143 6.200 5.269 1.790 6.017 2.335 4.670 4.341 6.401 7.798 2.956
[3,] 6.555 7.055 5.308 1.794 7.473 2.412 5.339 4.439 6.582 8.131 3.080
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.858 3.467 7.303 2.655 6.671 8.012 6.761 6.748 6.944 5.492 4.343
[2,] 7.345 3.468 7.805 2.675 7.273 8.128 7.149 7.288 7.560 6.925 6.135
[3,] 7.816 3.489 8.239 2.692 7.697 8.309 7.381 7.622 8.224 7.231 7.243
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.816 5.646 3.854 6.996 3.242 3.556 2.084 6.074 5.345 8.117 8.285
[2,] 1.840 6.028 4.102 7.443 3.243 3.674 2.206 6.495 5.353 8.257 8.446
[3,] 1.860 6.739 4.398 7.815 3.246 3.824 2.223 6.696 5.434 8.421 8.954
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.701 2.524 4.472 4.650 4.267 3.140 3.601 14.40 15.34 7.735
[2,] 4.426 4.898 4.500 4.776 4.357 3.192 4.250 18.44 18.22 9.029
[3,] 4.475 4.938 4.614 5.005 4.707 3.251 5.037 22.01 19.92 10.682
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.59 5.132 18.62 10.0 11.52 3.837 2.916 8.715 11.07
[2,] 764.13 243.196 1896.59 931.1 1381.42 137.410 5.644 310.892 79.79
[3,] 493.56 342.148 2047.35 1433.7 918.14 231.617 47.231 289.976 678.86
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.076 5.372 9.249 6.178 6.502 6.453 7.662 8.843
[2,] 1702.802 689.837 1410.284 232.748 730.428 618.303 801.027 1070.509
[3,] 316.526 228.026 954.341 435.575 640.495 667.074 762.924 871.734
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.743 12.47 11.72 21.31 7.236 20.44 10.39 3.621
[2,] 1198.072 1170.33 1368.42 1478.09 236.817 4154.72 1217.54 23.003
[3,] 784.894 756.59 1006.49 1032.25 124.763 2224.32 1901.57 90.557
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.463 8.533 5.758 8.941 3.571 9.571 7.107 3.814
[2,] 1893.011 1863.969 94.623 1081.797 25.329 1075.442 615.534 228.979
[3,] 1336.287 1245.325 205.866 1496.710 132.956 1314.215 722.672 212.041
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 9.411 8.902 8.959 6.616 7.044 6.266 2.121 6.52
[2,] 1097.180 1028.367 1009.627 566.933 561.931 510.190 1.734 535.39
[3,] 1144.499 740.105 787.210 450.758 295.340 327.182 15.791 251.08
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.775 6.461 6.102 4.957 2.987 6.482 7.01 7.852 4.825
[2,] 32.919 676.143 846.543 335.195 88.665 1010.662 80.60 77.769 346.234
[3,] 61.884 360.481 755.415 208.754 56.006 576.582 460.08 648.567 287.215
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 8.196 8.088 3.467 7.783 7.15 6.383 5.115 6.645
[2,] 991.938 395.252 124.998 1226.481 929.03 1074.255 1433.765 187.235
[3,] 827.313 905.758 82.821 714.800 507.80 695.482 1023.672 195.776
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.271 6.344 2.852 5.638 5.462 6.052 8.153 3.576
[2,] 20.578 1019.770 195.032 440.293 178.432 1299.535 1346.030 273.304
[3,] 37.777 1348.055 183.089 786.857 282.639 466.712 700.912 262.651
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 8.708 4.402 9.274 3.372 8.472 10.17 8.585 8.569 8.818
[2,] 800.720 30.830 837.112 98.118 880.771 415.77 706.575 837.844 908.993
[3,] 812.212 115.085 802.716 92.485 766.826 525.29 558.609 677.925 985.244
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 6.974 5.515 2.306 7.169 4.894 8.884 4.117 4.515
[2,] 1283.315 1318.152 89.780 642.472 427.340 772.048 25.708 281.686
[3,] 632.890 1170.900 83.376 916.367 482.458 724.714 40.700 322.619
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.646 7.714 6.787 10.31 10.52 3.43 3.205 5.678
[2,] 220.670 699.608 87.184 460.83 499.11 1066.42 1276.648 153.171
[3,] 82.088 494.897 285.556 503.07 904.88 200.81 191.162 310.394
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.904 5.418 3.988 4.573 18.28 19.48 9.822
[2,] 332.316 267.640 174.100 686.405 3504.86 2993.63 1416.600
[3,] 455.316 542.246 187.372 822.128 3654.84 2447.52 1736.184
[1] "--- VAR model 2017-10-02 15:31:00 completed"
[1] "Completed training sample: 2017-10-02 15:31:00 - 2017-10-02 23:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 16:01:00 - 2017-10-03 00:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.675 -0.5238 -4.763 -2.069
-1.432 -0.5812 -4.848 -2.428
-1.319 -0.3580 -4.665 -3.976
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.587 0.1979 0.17603 -0.4967
-4.666 0.7124 0.14772 -0.5994
-4.077 0.1145 0.04364 -0.5676
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6955 -4.4040 -1.5410 -1.774
-1.5378 -0.1569 -0.3223 -2.616
-1.1179 -1.6794 -0.6944 -1.960
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.4475 -1.091 -0.2223 11.33
-0.2553 -1.340 -1.8698 11.51
-0.1535 -0.760 -0.9226 10.80
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.3223 -1.5951 -2.3566 1.5678
-0.6650 0.3778 -0.5977 0.3197
-1.6253 -1.3266 -2.6589 0.5514
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.809 0.02079705 -12.131 -2.704
-2.234 -0.00005488 -5.596 -5.545
-3.515 0.11597801 -6.297 -2.914
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -1.539 -1.743 -0.1777
0 -3.645 -3.722 -0.3050
0 -1.848 -4.203 -0.2248
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.581 0.22232 -3.703 -2.881
-2.055 0.18386 -2.679 -3.086
-3.793 0.03806 -3.378 -2.586
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8633 -3.986 -6.349 -8.999
-0.2261 -3.366 -3.047 -5.982
-0.5113 -3.231 -3.017 -4.962
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.10053 -2.358 1.1830 0.006882
0.40674 -1.501 0.7853 0.124274
0.03654 -1.212 0.5881 0.097583
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.6143 0 -3.447 -6.277
0.6636 0 -3.591 -5.528
0.1990 0 -2.827 -4.704
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.56273 -0.07219 -2.194 1.0762
0.08784 0.01670 -4.082 1.2935
0.65759 0.03459 -3.959 0.3333
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.5925 -0.5889 -1.7629 1.903
1.5241 -0.4312 -1.0928 1.479
0.5572 -0.2391 -0.3088 1.249
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2629 0.1315 0.6110 -0.9419
-0.1538 -1.6242 -1.4740 -0.3077
0.4951 -0.8067 -0.8095 -1.2589
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.09425 -0.43503 0.16387 -0.17161
0.09283 -0.22393 0.08178 -0.03604
-1.05556 -0.08307 0.01801 -0.15268
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6306 -1.2407 -0.37205 3.093466
-0.7343 0.4471 -0.21804 -1.550410
-0.8122 -0.5692 0.06472 0.007272
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.5632 0.3070 -2.6371 0.3014
-1.8043 -0.1377 -0.5653 0.1571
-0.4519 0.2558 -1.7419 -0.2240
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.54359 0.26089 -2.674 -0.09562
0.01651 -0.09473 -2.262 0.13633
-1.52493 0.26262 -1.884 -0.01917
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8955 -2.734 -0.8515 -3.331
-1.2328 -3.053 -0.5835 -1.530
-0.3993 -2.792 -0.9232 -1.939
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.712 0.12549 0.541 0.10776
-2.997 0.11118 -1.684 -0.02509
-1.516 0.06559 -1.996 -0.01228
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.272 0.12004 0.05009 0.1434
-0.591 0.02424 -0.66650 -0.1809
-1.602 -0.06245 -0.40592 -0.1593
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.608 0.20514 -0.49783 -2.3209
-1.231 -0.20028 0.05192 -1.0285
-1.106 0.05282 -0.07998 -0.7657
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.00000 0.04752 0.74331 -0.03391
0.49567 0.01578 0.04686 -0.14442
0.03211 -0.16439 0.03906 -0.14209
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.69839 0.1724 -1.8703 114.9
-0.04947 0.1679 -1.3237 113.6
-0.34539 0.1504 -0.8366 111.6
rnd_95776.volume rnd_95787.volume
-4.016 -2.250
-1.205 -5.176
-4.581 -2.184
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.853 3.758 14.42 7.666 8.616 2.940 2.170 6.578 8.145 5.237 4.111
[2,] 5.331 3.836 15.82 8.198 9.714 2.977 2.171 6.627 8.156 7.350 4.669
[3,] 5.530 3.977 17.16 9.366 10.234 3.057 2.180 6.706 8.445 7.422 4.730
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.151 4.653 5.025 5.074 5.960 6.626 6.705 9.489 8.947 15.82 5.453
[2,] 7.880 4.704 5.569 5.455 6.517 7.403 7.716 10.230 9.912 16.57 5.494
[3,] 8.214 4.881 5.941 5.738 6.985 7.834 8.138 10.514 10.417 16.91 5.508
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.87 8.008 2.790 6.443 6.557 4.343 6.642 2.723 7.094 5.422 2.905
[2,] 20.53 8.886 2.791 8.828 8.847 4.360 7.476 2.723 7.968 5.749 3.024
[3,] 21.79 10.708 2.807 9.781 9.760 4.410 8.847 2.756 9.112 6.096 3.102
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.238 6.662 6.756 5.000 5.341 4.803 1.645 4.870 1.368 5.054 4.473
[2,] 7.942 7.564 7.532 5.261 5.654 5.029 1.646 5.158 1.370 5.519 5.232
[3,] 8.849 7.942 7.981 5.396 5.714 5.104 1.646 5.210 1.386 5.638 5.694
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.765 2.269 4.908 5.323 6.057 3.716 6.300 6.080 2.647 5.931 5.634
[2,] 3.930 2.293 5.782 5.327 6.067 3.862 7.039 6.195 2.675 7.017 6.193
[3,] 3.976 2.299 6.049 5.513 6.365 3.977 7.516 6.726 2.688 7.344 6.363
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.412 3.789 4.930 1.689 4.867 2.091 4.110 4.161 4.504 6.056 2.635
[2,] 5.989 5.926 4.963 1.689 5.852 2.188 4.321 4.219 6.160 7.483 2.742
[3,] 6.413 6.478 5.014 1.693 7.128 2.238 4.942 4.312 6.308 7.730 2.856
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.457 3.397 6.887 2.500 5.947 7.263 6.380 6.328 6.894 5.221 4.301
[2,] 6.951 3.397 7.362 2.534 6.403 7.455 6.664 7.001 7.517 6.638 5.957
[3,] 7.436 3.410 7.831 2.546 6.685 7.616 6.910 7.331 8.134 6.970 7.059
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.756 5.460 3.681 6.654 3.080 3.430 1.913 5.914 4.843 8.102 7.926
[2,] 1.770 5.793 3.925 7.036 3.082 3.535 2.005 6.318 4.857 8.221 8.128
[3,] 1.781 6.529 4.164 7.442 3.090 3.660 2.020 6.503 4.927 8.362 8.581
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.626 2.436 4.254 4.240 4.058 2.921 3.575 14.48 14.76 7.555
[2,] 4.238 4.543 4.290 4.318 4.131 2.964 4.232 18.36 17.70 8.823
[3,] 4.282 4.559 4.391 4.535 4.400 3.004 5.013 21.81 19.35 10.406
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.163 4.773 18.31 9.735 10.94 3.733 2.756 8.353
[2,] 751.146 261.548 2212.44 989.224 1528.11 159.113 23.584 273.542
[3,] 500.282 356.900 2262.38 1542.559 1096.33 236.400 65.390 350.781
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.34 6.65 5.221 9.081 5.909 6.381 6.444 7.569
[2,] 143.66 1755.97 753.720 1127.114 234.780 817.580 681.646 897.586
[3,] 745.82 352.20 256.990 788.633 444.390 704.203 606.565 855.971
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.414 8.514 12.05 11.36 20.09 6.924 20.16 10.17
[2,] 1124.378 1300.227 1301.76 1452.59 1676.25 230.103 4430.87 1311.11
[3,] 871.885 881.104 826.57 1091.77 1144.22 132.760 2491.60 2034.74
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.543 8.182 8.326 5.515 8.435 3.457 9.009 6.886
[2,] 24.248 2054.829 2022.479 131.473 1168.210 17.129 1234.799 650.011
[3,] 101.923 1434.110 1403.549 225.577 1610.585 145.055 1505.201 690.544
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.688 9.191 8.46 8.579 6.349 6.782 6.099 2.089
[2,] 286.561 1113.456 1219.67 1134.172 557.670 631.537 507.779 10.152
[3,] 235.365 1328.921 824.33 899.007 407.676 281.891 297.078 14.148
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 6.184 1.737 6.418 5.68 4.781 2.882 6.232 6.76 7.691
[2,] 578.174 29.644 755.159 924.34 384.226 111.578 1041.062 67.06 120.638
[3,] 250.521 70.730 392.113 765.04 204.703 58.060 604.395 483.55 655.345
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.719 8.0 7.721 3.362 7.532 7.155 5.603 4.811
[2,] 357.707 1069.2 404.677 130.980 1276.429 874.990 1378.958 1551.530
[3,] 323.251 897.5 891.409 87.921 737.924 498.767 781.005 891.296
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.26 2.144 6.18 2.655 5.219 5.284 5.719 7.69
[2,] 195.84 13.190 1106.81 220.027 454.461 238.377 1430.989 1496.34
[3,] 242.65 39.463 1385.41 160.140 816.482 302.261 461.560 660.30
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.346 8.199 4.314 8.745 3.174 7.552 9.223 8.101
[2,] 258.004 876.564 5.454 886.037 142.343 808.319 571.761 655.440
[3,] 271.626 899.541 99.469 909.050 82.768 654.222 530.266 622.109
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.035 8.754 6.63 5.461 2.23 6.933 4.674 8.449
[2,] 1020.228 1020.598 1395.67 1403.431 75.06 659.204 463.384 778.582
[3,] 740.971 1057.841 724.07 1289.430 66.51 1025.768 473.983 825.908
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.911 4.355 2.429 7.51 6.15 10.29 10.06 3.334 3.093
[2,] 37.748 291.010 204.094 757.39 125.06 474.58 613.16 1132.575 1305.990
[3,] 76.649 323.313 84.748 523.52 280.69 520.85 936.88 208.499 128.659
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.402 5.384 5.153 3.709 4.54 18.39 18.75 9.594
[2,] 187.109 279.380 263.613 171.491 771.01 3844.29 3325.13 1551.762
[3,] 319.191 471.727 515.962 166.973 914.66 4009.78 2665.39 1878.658
[1] "--- VAR model 2017-10-02 16:01:00 completed"
[1] "Completed training sample: 2017-10-02 16:01:00 - 2017-10-03 00:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 16:31:00 - 2017-10-03 00:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7569 0.07994 -2.553 0.003189
-0.8094 0.01379 -1.089 -2.041922
-0.8573 0.02381 -1.684 -2.063407
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.1862 -0.2841 -0.0236532 -0.3505
1.0091 -0.3386 0.0005974 -0.3224
-1.1073 0.4814 -0.0021715 -0.3394
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.07101 -2.3153 -0.23369 -2.158
-0.29012 -0.7890 0.04026 -1.636
-0.20684 -0.8588 -0.11413 -1.766
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3493 -1.749 -1.1970 9.908
-0.8200 -1.792 -1.4499 10.376
-0.5745 -1.114 -0.7967 9.741
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.333 -0.8166 0.4592 -1.2392
-1.467 -2.0124 -1.6683 -0.7755
-1.475 -1.8272 -1.9470 -1.1272
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.7401 0.42319 -4.658 -2.620
-1.1762 0.17941 -3.258 -2.045
-0.6104 0.03792 -2.804 -1.936
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.036720 -1.678 -2.894 0.46187
-0.123379 -1.717 -2.106 0.06626
0.005407 -1.139 -1.661 -0.06411
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.3316 -0.2386 1.533 -1.587
-2.1311 -0.2378 -1.959 -1.265
-1.7755 -0.1176 -1.464 -0.966
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2622 1.182 -0.9216 -2.3799
-0.1332 -1.470 0.4862 2.0142
-0.4188 -1.864 -1.5966 -0.5681
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4532 0.8510 0.2821 0
0.9114 0.2014 0.2713 0
0.7956 0.6374 0.1875 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.0000 0 0.06617 1.5803
-0.3189 0 0.30215 -1.5856
0.3712 0 0.91119 0.6288
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.1359 -0.07172 -0.4438 0.05124
-0.3816 -0.09682 0.2569 1.23266
-0.1846 -0.06552 -1.0620 0.78364
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.43331 -1.6063 -4.2727 0.8599
-0.29207 -1.2338 -0.6613 2.3679
0.07622 -0.7409 0.3450 1.8878
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.80354 -3.00818 -1.668 -2.699
-0.46999 -2.76761 -2.833 -2.258
-0.09038 -0.06802 -0.929 -1.672
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.239 0.33604 0 -0.357
-2.064 0.04284 0 -2.065
-2.608 -0.06855 0 -1.924
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.004577 0.2593 -0.04305 -1.06248
0.072325 -1.1462 0.12265 0.08829
0.381150 -1.2871 -0.24805 -1.13094
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.89951 -0.2690 -1.16405 0.64796
0.05983 -0.1896 -0.01038 -0.35467
-1.01203 -0.2289 0.03127 -0.07375
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.4643708 0.06145 -1.163 -0.04289
-0.3021058 0.01462 -1.293 -0.41929
-0.0004162 -0.04835 -1.033 0.09041
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.11 -1.1469 0.9891 0.18359
1.58 -0.6400 2.0432 -0.28992
1.08 -0.9316 1.5957 -0.03003
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.5911 0.24203 -0.22550 0.5657
-0.1561 0.14951 0.16312 0.3431
-0.2261 0.06705 -0.03335 0.1679
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.05910 0.07950 -0.409 0.07907
-0.56180 -0.04241 -1.042 0.08066
0.02082 -0.00672 -0.739 0.03185
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.2974 0.161954 0.22094 -2.167
0.6767 -0.009358 0.51815 -2.009
1.0336 0.028704 -0.01523 -1.675
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.09705 -0.07427 0.3116 -0.2145
0.22311 -0.07053 -0.1254 0.3575
0.08593 0.37375 0.4333 0.1584
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3054 0 -1.670 92.17
-0.3934 0 -1.662 92.84
-0.8772 0 -1.513 91.64
rnd_95776.volume rnd_95787.volume
-3.1728 -2.252
0.4419 -1.822
1.8191 -1.680
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.406 3.553 13.41 7.134 8.037 2.544 2.111 6.090 7.779 5.425 3.963
[2,] 5.006 3.606 14.51 7.600 9.204 2.670 2.112 6.181 7.798 6.951 4.530
[3,] 5.170 3.758 15.32 8.940 9.598 2.714 2.121 6.222 8.118 7.175 4.590
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.478 3.860 4.602 4.928 5.798 6.131 6.125 9.208 8.708 14.48 5.079
[2,] 7.480 3.887 5.184 5.345 6.396 6.668 7.084 9.940 9.680 15.16 5.116
[3,] 7.806 4.068 5.461 5.686 6.819 7.126 7.375 10.155 10.165 15.63 5.123
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.21 7.677 2.652 6.249 6.101 4.299 5.982 2.612 6.408 5.149 2.797
[2,] 19.62 8.620 2.655 8.593 8.405 4.311 6.912 2.612 7.229 5.437 2.872
[3,] 20.70 10.251 2.676 9.454 9.308 4.349 8.350 2.644 8.480 5.799 2.984
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.727 6.137 6.315 4.720 5.107 4.532 1.594 4.761 1.326 4.838 4.363
[2,] 7.223 6.984 7.107 4.875 5.458 4.715 1.594 5.022 1.328 5.334 5.069
[3,] 8.376 7.394 7.558 4.983 5.511 4.796 1.595 5.061 1.343 5.468 5.469
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.632 2.139 4.997 4.991 5.898 3.654 5.939 5.353 2.532 5.610 5.457
[2,] 3.782 2.218 5.450 4.992 5.913 3.794 6.709 5.415 2.560 6.478 5.948
[3,] 3.839 2.228 5.670 5.140 6.137 3.923 7.222 5.719 2.572 6.806 6.156
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.700 3.664 4.718 1.594 4.701 1.967 3.997 4.015 4.330 5.765 2.584
[2,] 5.661 5.726 4.730 1.594 5.562 2.019 4.212 4.070 5.934 7.285 2.707
[3,] 5.974 6.219 4.752 1.595 6.861 2.058 4.928 4.129 6.096 7.536 2.822
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.897 3.40 6.152 2.350 5.497 7.000 6.140 5.857 6.739 4.999 4.112
[2,] 6.592 3.40 6.802 2.437 5.887 7.210 6.426 6.615 7.286 6.443 5.698
[3,] 7.113 3.41 7.296 2.462 6.126 7.296 6.690 6.910 7.862 6.768 6.821
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.695 5.213 3.480 6.362 2.954 3.370 1.824 5.703 4.657 7.813 7.971
[2,] 1.707 5.488 3.729 6.734 2.954 3.483 1.898 6.150 4.665 7.885 8.104
[3,] 1.717 6.303 3.924 7.212 2.964 3.546 1.912 6.320 4.742 7.994 8.710
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.491 2.343 3.934 3.961 3.880 2.796 3.591 14.68 14.31 7.154
[2,] 3.933 4.259 3.969 4.033 3.959 2.836 4.269 18.64 17.64 8.480
[3,] 3.976 4.277 4.082 4.254 4.070 2.877 5.089 22.16 18.92 9.913
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.595 4.512 17.03 9.059 10.21 3.23 2.681 7.734
[2,] 821.606 211.932 1910.30 905.767 1550.26 279.96 18.547 364.294
[3,] 446.355 365.890 1704.29 1627.476 941.41 167.78 67.015 246.788
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.878 6.889 5.033 8.226 4.901 5.844 6.258 7.362
[2,] 191.053 1502.088 758.008 1292.576 160.043 824.953 714.697 933.380
[3,] 780.024 614.427 256.227 771.554 413.859 593.595 670.581 817.216
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.785 7.778 11.69 11.06 18.39 6.45 19.31 9.749
[2,] 906.170 1230.255 1293.93 1460.81 1545.26 212.18 4285.29 1354.589
[3,] 869.353 707.937 719.32 1073.14 1314.78 93.14 2276.52 1917.504
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.367 7.935 7.747 5.459 7.596 3.316 8.137 6.538
[2,] 48.776 2038.504 1998.091 111.295 1197.189 2.797 1156.937 603.735
[3,] 113.905 1362.687 1382.653 199.688 1619.282 142.464 1531.811 696.960
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.552 8.542 7.793 8.019 5.993 6.485 5.755 2.024
[2,] 226.164 909.331 1152.009 1127.020 422.569 665.843 448.891 6.943
[3,] 279.479 1466.093 838.841 888.481 356.809 264.167 304.927 20.173
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 6.045 1.684 6.143 5.54 4.612 2.716 6.346 6.338 7.49
[2,] 552.688 27.913 776.422 892.05 364.868 203.569 751.964 34.677 144.64
[3,] 218.229 67.045 416.484 709.14 227.209 70.974 540.263 422.731 568.47
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.64 7.542 6.797 3.215 7.124 6.929 5.968 4.653
[2,] 353.27 1078.434 282.554 131.013 1119.474 818.091 1090.847 1520.891
[3,] 344.50 924.007 635.735 84.608 721.439 548.749 659.476 839.088
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.992 2.024 5.97 2.498 5.076 5.099 5.499 7.32
[2,] 113.261 2.156 1027.34 158.021 459.219 229.978 1402.155 1539.21
[3,] 159.610 21.100 1388.34 136.369 884.323 241.334 482.876 667.31
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.281 7.488 4.318 7.812 2.984 6.98 8.888 7.797
[2,] 278.873 1018.298 9.326 1003.170 223.758 728.74 597.831 654.870
[3,] 275.801 923.789 88.306 912.376 119.483 585.62 385.321 643.026
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 7.437 8.557 6.347 5.222 2.152 6.62 4.419 8.078
[2,] 1063.213 957.214 1404.890 1363.359 71.523 592.37 463.393 762.823
[3,] 689.645 1020.819 716.724 1295.699 63.757 1071.17 422.108 892.220
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 3.751 4.28 2.316 7.242 5.914 9.921 10.12 3.163
[2,] 10.087 304.17 182.421 795.610 91.687 369.170 506.47 1052.054
[3,] 81.133 228.32 77.804 501.954 295.817 454.006 1102.96 200.833
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.975 4.996 5.03 4.927 3.551 4.56 18.64 18.17
[2,] 1229.398 181.172 262.01 271.465 164.211 797.81 3971.24 3563.47
[3,] 135.889 330.417 468.38 326.688 166.178 957.30 4140.45 2367.07
[,98]
[1,] 9.084
[2,] 1573.824
[3,] 1774.588
[1] "--- VAR model 2017-10-02 16:31:00 completed"
[1] "Completed training sample: 2017-10-02 16:31:00 - 2017-10-03 00:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 17:01:00 - 2017-10-03 01:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.25103 -0.2885 -4.148 -0.4797
-0.16777 -0.1262 -4.662 0.9794
-0.02471 -0.1049 -3.189 -2.5011
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.46782 0.1621 0.27708 -0.2776
-1.56618 0.1352 0.22040 -0.2068
0.06881 -0.1534 0.06426 -0.1249
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.8588 -0.6659 -0.4216 -2.559
-1.1187 -0.3900 -0.4700 -1.708
-0.6629 -0.3233 -0.3595 -2.364
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.556573 -1.683 -1.3916 9.252
0.062581 -1.531 -1.1930 8.544
0.002333 -1.177 -0.8415 9.189
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.442 -3.409 -0.9286 0.4920
-1.899 -2.685 -1.8151 -0.7037
-2.657 -2.283 -1.6826 -1.1023
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.032 0.03114 -10.154 -1.064
-3.219 0.27305 -5.577 -2.357
-3.796 0.03992 -6.009 -1.863
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.11136 -0.6648 3.398 0.1249
-0.07788 -3.3741 -3.207 0.1895
-0.01463 -1.7746 -2.840 0.1368
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.4322 -0.09927 -0.3159 0.05412
0.5711 -0.16167 2.3069 0.01517
-3.1671 -0.06860 -2.4931 -0.28938
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.42329 -1.9632 -1.2100 -1.663
0.24965 2.7598 -0.5206 -1.851
0.07901 -0.5214 1.6541 1.258
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1402 -0.4679 0.16804 0
-0.5323 -0.1823 0.04677 0
-0.2538 -0.6128 0.02977 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.03440 0 -0.7464 -3.110
0.51869 0 -0.8925 -1.097
0.03697 0 -0.8975 -1.754
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.49041 -0.1520 -1.8195 -0.2580
0.09133 0.1368 -1.7763 0.2764
-0.18799 0.0267 -0.8759 0.1916
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.71793 -0.4258 -0.1456 2.065
-0.07192 -0.3444 -0.3487 1.006
-0.08649 -0.4800 -1.2924 1.672
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2624 0.1580 0.1326 -1.7082
0.1856 -0.3366 -0.1040 0.1977
-0.2315 -0.7453 -0.2723 -0.1356
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.3590 -0.02659 0 -0.9271
-0.8008 -0.09691 0 0.9464
0.1575 -0.05844 0 -1.2394
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2136 0.1325 -0.2709 -3.27047
-0.1943 0.4884 -0.4164 0.09667
-0.1310 -0.9758 -0.3895 -0.26192
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.6624 0.5402 -1.1697 -0.007849
-0.5228 0.5248 -2.7878 0.077211
-1.2801 0.3259 -0.5545 -0.058018
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.3986 0.08638 0.1011 0.4496
-2.6211 0.10912 -0.1544 0.5888
-0.4055 0.08393 0.1241 0.1116
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.5697 -0.4504 -0.6794 -2.00149
-0.6368 -1.2409 -0.7489 -0.09496
-0.4045 -0.8003 -1.0116 -1.03641
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.05993295 -0.06514 -0.4510 0.2614
-1.24413651 -0.05582 -2.7263 0.2095
-0.00003493 -0.05445 -0.4042 0.2502
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.3179 -0.081318 -0.27712 -0.15693
-3.0203 0.007714 0.05693 -0.04601
-1.2824 0.071241 -0.05863 -0.16659
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3188 -0.0926275 -0.38467 0.53427
-0.2889 -0.0008153 -0.39825 0.05525
-0.6351 -0.0172004 0.06036 -0.02820
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.84903 1.768273 0.62884 0.8764
0.63118 0.471745 0.02496 0.1180
0.01961 0.001082 0.12833 0.1026
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.49715 0 -0.9495 90.56
-0.03497 0 -0.9164 89.05
-0.34351 0 -0.8776 88.62
rnd_95776.volume rnd_95787.volume
-0.09284 -1.860
-4.03455 -3.162
-2.10054 -1.844
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.201 3.361 13.07 6.359 7.571 2.326 2.002 5.795 7.487 5.029 3.767
[2,] 4.802 3.410 14.14 6.888 8.714 2.358 2.003 5.890 7.518 6.571 4.277
[3,] 4.944 3.574 15.03 8.392 9.046 2.413 2.016 5.937 7.820 6.768 4.323
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.224 3.628 4.403 4.667 5.613 5.944 5.875 8.739 8.419 13.34 4.850
[2,] 7.277 3.634 5.008 5.081 6.176 6.413 6.837 9.539 9.383 13.82 4.901
[3,] 7.636 3.740 5.320 5.505 6.556 6.837 7.128 9.731 9.900 14.43 4.904
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.24 7.468 2.478 5.981 5.350 4.226 5.374 2.480 5.672 5.009 2.648
[2,] 18.73 8.319 2.483 8.252 8.077 4.235 6.342 2.480 6.614 5.280 2.726
[3,] 19.60 9.875 2.515 9.176 8.887 4.266 7.799 2.493 8.074 5.626 2.811
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.283 5.752 6.075 4.573 4.827 4.434 1.518 4.482 1.304 4.580 4.191
[2,] 6.815 6.500 6.915 4.702 5.189 4.603 1.518 4.684 1.306 5.084 4.889
[3,] 8.086 6.945 7.403 4.771 5.231 4.669 1.520 4.777 1.321 5.215 5.246
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.501 2.092 4.792 4.684 5.665 3.386 5.555 5.039 2.442 5.269 5.019
[2,] 3.656 2.171 5.208 4.684 5.690 3.471 6.478 5.105 2.472 6.110 5.418
[3,] 3.692 2.181 5.431 4.861 5.870 3.549 7.010 5.396 2.483 6.469 5.688
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.900 3.505 4.546 1.440 4.308 1.869 3.938 3.877 4.121 5.472 2.166
[2,] 5.153 5.285 4.559 1.440 5.073 1.907 3.965 3.921 5.663 7.053 2.220
[3,] 5.519 5.670 4.582 1.442 6.167 1.956 4.367 3.957 5.768 7.169 2.265
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.035 3.388 5.394 2.188 5.193 6.434 5.979 5.621 6.681 4.905 3.889
[2,] 5.775 3.388 6.258 2.273 5.579 6.684 6.178 6.387 7.156 6.337 5.541
[3,] 6.415 3.399 6.830 2.299 5.793 6.735 6.453 6.686 7.667 6.651 6.639
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.576 4.737 3.321 5.614 2.786 3.174 1.705 5.422 4.300 7.543 7.624
[2,] 1.590 5.033 3.501 6.070 2.786 3.326 1.744 5.885 4.306 7.581 7.683
[3,] 1.599 5.980 3.654 6.707 2.787 3.385 1.749 6.085 4.381 7.661 8.154
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.291 2.091 3.503 3.567 3.567 2.642 3.554 14.99 13.63 6.850
[2,] 3.545 3.684 3.536 3.641 3.601 2.667 4.251 18.86 16.85 7.999
[3,] 3.590 3.720 3.770 3.880 3.852 2.697 5.052 22.31 18.00 9.193
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.334 4.268 16.6 8.075 9.614 2.954 2.543 7.358
[2,] 862.452 214.038 1999.2 980.879 1598.473 143.445 16.814 390.889
[3,] 435.354 396.154 1885.8 1776.474 899.986 189.704 83.911 276.442
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.507 6.387 4.784 7.904 4.607 5.591 5.927 7.127
[2,] 252.334 1567.251 750.576 1397.358 79.111 884.764 744.292 955.054
[3,] 797.728 600.078 232.933 856.887 327.558 665.567 785.413 815.478
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.548 7.46 11.1 10.69 16.94 6.159 18.08 9.483
[2,] 892.706 1296.16 1417.1 1535.48 1332.43 259.674 4509.11 1358.666
[3,] 878.496 746.64 712.5 1170.16 1544.05 65.667 2135.30 1971.669
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.147 7.595 6.794 5.366 6.825 3.149 7.203 6.361
[2,] 60.325 2107.192 2242.356 104.494 1247.792 4.278 1260.850 618.547
[3,] 148.228 1487.029 1373.737 191.688 1681.931 94.750 1715.868 720.230
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.362 7.978 7.304 7.714 5.807 6.129 5.631 1.928
[2,] 240.464 978.892 1121.774 1224.292 405.307 706.089 457.400 7.006
[3,] 254.892 1612.608 906.911 979.267 300.337 244.120 291.185 26.078
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.692 1.656 5.816 5.322 4.446 2.656 6.085 5.948
[2,] 503.672 29.653 817.570 932.819 389.863 214.924 755.706 8.444
[3,] 347.993 72.789 430.150 705.195 191.169 77.313 570.506 481.654
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.193 4.3 7.054 6.399 3.101 6.691 6.373 4.952
[2,] 198.363 282.9 1235.149 302.259 141.138 1146.354 756.453 1248.052
[3,] 534.003 273.4 992.431 647.840 87.456 786.853 642.108 732.534
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.45 5.773 1.829 5.47 2.373 5.001 4.923 5.233
[2,] 1466.25 126.806 14.137 992.54 141.798 169.523 219.000 1439.186
[3,] 760.42 169.504 25.845 1299.62 160.799 678.166 196.786 406.733
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.948 2.75 6.394 4.303 6.85 2.778 6.594 8.171
[2,] 1649.040 180.13 1047.878 10.422 1175.93 228.068 756.438 671.391
[3,] 476.923 167.17 1034.978 97.014 1014.37 127.388 578.268 305.300
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.593 7.137 8.483 6.229 4.939 2.002 6.015 4.217
[2,] 575.897 1124.547 949.905 1487.236 1462.701 76.121 630.401 411.481
[3,] 691.138 732.910 1020.620 747.388 1355.386 65.234 1197.131 387.897
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.129 3.538 4.03 2.166 6.884 5.461 9.579 9.682
[2,] 855.762 3.010 368.85 134.366 848.833 79.686 278.361 351.771
[3,] 1056.989 27.732 233.74 51.163 573.210 299.245 410.623 1012.251
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.91 2.656 4.448 4.53 4.53 3.355 4.513 19.03
[2,] 1002.55 1123.781 179.773 270.23 182.87 133.050 864.282 4241.30
[3,] 208.76 192.523 484.460 497.38 507.07 148.782 1011.701 4416.60
[,97] [,98]
[1,] 17.3 8.698
[2,] 3673.1 1530.845
[3,] 2351.3 1678.841
[1] "--- VAR model 2017-10-02 17:01:00 completed"
[1] "Completed training sample: 2017-10-02 17:01:00 - 2017-10-03 01:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 17:31:00 - 2017-10-03 01:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9391 -0.39525 -1.2899 5.1208
-0.4197 -0.01733 -0.8496 -0.5495
0.1834 -0.15690 -1.2860 0.5107
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.2694 0.31965 0.15740 -0.17576
2.4732 -0.06887 0.03588 -0.30893
0.1255 -0.16302 0.01884 -0.08417
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.9971 0.3778 0.10897 -1.2540
-0.1160 -0.5051 -0.19779 0.3269
-0.1584 -0.1925 -0.03879 -0.8209
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0 -0.5792 -0.84358 7.198
0 -0.3262 0.02146 8.335
0 -0.3465 -0.25681 7.518
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.0129 -0.1811 2.1914 2.6249
-1.4991 -2.3359 -1.1330 1.8944
-0.1826 -0.5463 -0.7806 0.1442
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.5859 0 2.3668 -1.245
-1.5424 0 0.2507 1.473
-0.1087 0 -1.3844 -0.308
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -1.80696 0.7015 0.5393
0 1.70830 -1.4454 0.7750
0 -0.08989 1.1391 0.3682
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.4643 0.43451 6.2252 -0.7395
-1.1904 -0.01307 0.8197 -0.7212
0.5567 -0.07845 -0.7518 -0.5229
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5610 -1.803 -3.902 -3.8274
1.1581 3.421 3.229 0.2858
-0.2285 -1.649 0.148 1.0532
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.60135 -1.5971 0.19259 0
-0.03366 -0.2083 0.04722 0
-0.37678 -0.7488 0.02990 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.17827 0 -0.2542 -1.924
0.34551 0 -1.9881 -1.477
0.07145 0 0.6141 -1.534
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5030 0.29706 -0.6336 -0.1255
0.5687 -0.05941 -0.3000 0.5314
0.2237 0.31031 -0.4747 0.4696
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1326 -0.23461 -0.4254 0.7915
0.0151 -0.01015 1.3460 1.1076
0.1744 -0.05073 -0.1085 1.1884
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1564 -1.1242 -1.3837 -1.6302
0.6943 0.4256 -0.4031 -0.7233
0.1238 0.9269 0.9226 0.5010
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.90312 -0.08247 0 0.2388
-1.59110 -0.13102 0 -0.9520
-0.03354 -0.02255 0 -1.3534
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1045 -0.4628 0.19628 -0.16186
0.1827 -0.4420 0.14456 0.04483
0.2095 -0.5043 0.03262 -0.16121
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.58010 0.5027 2.1918 0.19170
-0.07761 0.7206 -0.1148 0.03931
0.53303 0.1632 0.6964 -0.09474
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.1173 0.6942 -0.23548 0.5574
1.0857 0.1737 -0.27743 0.2676
0.2250 0.1867 0.02325 0.1183
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.03165 -0.2795 0.08188 -1.6154
0.40260 -0.4623 0.88732 0.2266
0.20740 -0.2793 1.71204 -0.1272
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.04071 0 -0.7870 0.6602
-1.30727 0 -0.4785 0.4346
0.30910 0 -0.3661 0.3713
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.0258 -0.05188 -0.3820 -0.001135
0.1703 0.04755 -0.2660 -0.155796
-0.9280 -0.04105 0.1771 0.007837
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.2234 -0.1122 0.23835 0.6848
-0.7783 -0.1302 0.34409 0.1115
-0.5269 -0.0514 -0.07799 0.1507
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9485 1.6859 0.2142 0.5860
0.3272 0.3577 0.1506 0.3518
0.1836 0.3155 0.1848 0.3306
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5192 0 0.7383 97.84
-0.8117 0 0.9975 96.94
-0.5415 0 0.8461 96.61
rnd_95776.volume rnd_95787.volume
2.95028 -2.1636
0.01052 1.4778
1.24192 -0.8098
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.803 3.148 12.75 5.277 6.977 1.961 1.903 5.080 7.034 4.328 3.389
[2,] 4.632 3.166 13.83 5.867 8.021 1.989 1.903 5.249 7.071 6.339 3.801
[3,] 4.753 3.359 14.74 7.771 8.300 2.062 1.917 5.269 7.418 6.451 3.843
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.887 3.235 4.159 4.502 5.525 5.543 5.432 7.960 7.906 11.48 4.514
[2,] 6.856 3.236 4.803 4.882 6.093 5.950 6.487 8.906 8.892 11.75 4.550
[3,] 7.211 3.299 5.240 5.506 6.457 6.333 6.696 9.121 9.333 11.86 4.553
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.48 7.065 2.25 5.595 4.728 4.138 4.560 2.208 4.916 4.378 2.532
[2,] 17.16 7.821 2.25 7.899 7.675 4.145 5.753 2.226 5.838 4.499 2.598
[3,] 17.86 9.240 2.28 8.721 8.312 4.164 7.491 2.247 7.770 4.675 2.697
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.574 5.024 5.727 4.402 4.697 4.249 1.469 4.137 1.257 4.257 3.965
[2,] 6.216 5.864 6.537 4.473 5.183 4.375 1.469 4.345 1.259 4.823 4.738
[3,] 7.641 6.412 6.937 4.506 5.224 4.424 1.472 4.425 1.277 4.982 5.147
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.443 2.024 4.534 4.279 5.421 3.236 5.387 4.518 2.153 4.918 4.525
[2,] 3.563 2.041 4.964 4.287 5.453 3.338 6.238 4.624 2.173 5.809 4.986
[3,] 3.583 2.041 5.225 4.436 5.586 3.402 6.787 4.761 2.183 6.191 5.374
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.679 3.247 4.239 1.177 4.426 1.684 3.512 3.677 3.913 4.990 1.818
[2,] 4.762 4.789 4.253 1.183 4.658 1.737 3.553 3.704 5.208 6.306 1.883
[3,] 5.165 5.208 4.289 1.183 5.641 1.775 3.920 3.719 5.312 6.514 1.934
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.824 3.386 4.476 2.049 5.115 5.463 5.753 5.430 6.070 4.569 3.677
[2,] 5.584 3.386 5.589 2.113 5.491 5.792 5.907 6.210 6.393 6.190 5.274
[3,] 6.190 3.395 6.254 2.126 5.700 5.870 6.162 6.503 6.793 6.524 6.453
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.467 4.219 2.930 5.224 2.683 3.109 1.593 4.624 3.779 7.326 7.148
[2,] 1.479 4.538 2.991 5.663 2.683 3.267 1.629 5.290 3.793 7.347 7.205
[3,] 1.484 5.738 3.025 6.381 2.683 3.322 1.637 5.444 3.823 7.404 7.621
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.939 1.906 3.126 2.881 3.371 2.521 3.510 15.19 13.07 6.485
[2,] 3.001 3.189 3.160 2.993 3.373 2.539 4.233 18.95 16.28 7.506
[3,] 3.049 3.230 3.377 3.178 3.635 2.553 5.010 22.44 17.41 8.648
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.829 3.997 16.19 6.701 8.859 2.49 2.417 6.451
[2,] 989.204 125.803 2006.41 959.232 1480.724 124.92 3.858 493.951
[3,] 399.100 420.716 1906.34 1906.654 797.863 204.09 86.031 170.384
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.932 5.496 4.304 7.475 4.108 5.281 5.717 7.015
[2,] 270.233 1732.710 643.576 1314.668 31.051 898.815 706.216 961.563
[3,] 839.205 446.358 212.619 835.917 238.404 783.413 952.292 799.024
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.038 6.898 10.11 10.04 14.58 5.732 17.12 8.971
[2,] 809.339 1326.525 1494.35 1522.58 929.25 214.040 3973.40 1254.823
[3,] 811.847 621.306 735.99 1060.25 609.91 68.764 1851.09 1840.560
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.857 7.105 6.004 5.255 5.79 2.804 6.242 5.559
[2,] 6.739 2085.772 2261.485 91.268 1312.51 104.847 1177.966 387.329
[3,] 137.367 1382.843 1193.925 149.249 1794.80 113.337 1918.075 475.947
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.215 7.078 6.38 7.272 5.59 5.964 5.396 1.865
[2,] 217.793 1029.141 1131.52 1179.467 296.99 820.210 389.751 2.808
[3,] 270.948 1662.834 969.74 868.727 202.93 242.580 246.862 34.186
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.254 1.596 5.406 5.035 4.372 2.570 5.757 5.434
[2,] 496.584 23.643 847.810 970.098 343.025 100.231 755.618 100.508
[3,] 313.719 80.816 467.131 752.152 143.750 2.802 610.377 425.352
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.884 4.109 6.841 5.737 2.734 6.245 5.746 4.671
[2,] 218.674 306.885 1176.737 367.746 107.728 1156.210 783.357 1130.990
[3,] 453.224 243.989 1000.359 424.807 81.503 801.335 750.449 748.578
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.124 5.383 1.495 5.621 2.138 4.46 4.669 4.968
[2,] 1316.604 128.121 41.930 543.200 159.421 200.39 168.863 1285.962
[3,] 765.603 207.589 7.604 1189.757 136.171 619.48 125.056 391.528
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.336 2.309 6.125 4.299 5.684 2.602 6.495 6.937
[2,] 1442.488 182.967 1052.290 8.310 1252.191 193.095 747.132 720.435
[3,] 611.052 165.161 999.290 94.643 1049.992 89.466 572.678 355.228
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.305 6.895 7.708 5.802 4.669 1.863 5.357 3.72
[2,] 501.259 1127.634 751.085 1562.373 1414.602 68.348 625.543 225.14
[3,] 656.043 721.866 859.476 770.314 1390.942 47.239 1313.479 170.08
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.634 3.407 3.949 2.023 5.871 4.799 9.302 9.077
[2,] 817.626 8.302 375.015 127.515 961.797 120.826 210.433 337.749
[3,] 1099.960 12.135 225.712 58.195 481.213 180.856 344.212 928.895
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.462 2.42 3.969 3.659 4.281 3.202 4.458 19.29
[2,] 856.870 956.41 175.221 302.813 38.936 109.908 885.186 4238.40
[3,] 201.464 192.34 444.676 399.735 506.837 101.663 1002.513 4495.56
[,97] [,98]
[1,] 16.6 8.234
[2,] 3630.2 1414.291
[3,] 2308.6 1607.113
[1] "--- VAR model 2017-10-02 17:31:00 completed"
[1] "Completed training sample: 2017-10-02 17:31:00 - 2017-10-03 01:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 18:01:00 - 2017-10-03 02:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.31318 0.075779 0.1266 0.20570
-0.01441 0.007371 -1.4727 2.20602
-0.10697 0.020636 -0.4906 0.01277
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.9661 0.00000 0.1183 -0.5825
-2.5112 0.00000 0.0398 -0.3633
1.6086 -0.02252 0.0149 -0.1989
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.3487 -1.7804 -0.5964 -1.2705
-1.1006 -0.8776 -0.3886 -0.8866
-0.8721 -0.7169 -0.2829 -0.6484
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.090984 -1.312 -0.04825 6.628
-0.048372 -1.630 -1.50839 6.588
-0.008086 -1.007 -0.87470 6.433
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.318 -3.321 -3.581 -2.012
-1.760 -1.328 -2.920 -1.883
-1.394 -2.536 -1.628 -1.062
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.1832 0 -0.5538 0.62646
-1.4913 0 -0.6010 0.43969
-0.7957 0 -1.5587 0.05101
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04007 1.88598 3.62152 0.1779
0.08184 0.19833 0.43280 0.2958
-0.04334 -0.06505 -0.05152 0.1433
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.0970 -0.137319 -2.3064 0.28324
2.0197 0.182582 3.7287 0.03156
0.4745 0.004047 0.2891 -0.39426
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2918 -2.1466 -0.3918 -0.5571
0.2957 2.1783 -0.9179 -3.2104
0.4132 0.5413 2.5617 0.7456
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.39563 -0.017364 0 0.00000
-0.06406 -0.904562 0 -0.00125
0.20512 -0.009169 0 -0.06503
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.1115 0 -2.2095 -3.017
-0.1990 0 -0.8156 -1.518
0.1450 0 -1.6271 -1.782
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.2274 -0.08255 -0.7461 -0.3798
-0.3224 0.04607 -1.9816 0.4752
-0.3069 -0.05757 -1.1098 0.3743
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.58121 -0.6415 -2.7611 0.8985
-0.06059 -0.2288 0.5478 0.8879
-0.20203 -0.5045 -1.8197 0.9704
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.282527 -3.33493 -1.80641 1.3425
0.004564 -1.13378 -1.44162 -2.6981
-0.098180 -0.08757 0.04861 -0.3412
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.759 0 -0.055397 -3.508
-1.341 0 0.002007 3.004
-2.046 0 0.001667 -0.541
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.09669 -1.8939 -0.03954 -0.1024
0.02484 0.4535 0.04678 -1.9653
-0.03560 0.9398 -0.07199 1.3472
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.1498 0.093735 1.428 0.003604
-1.3987 -0.001593 -1.004 -0.033720
-0.3491 -0.219680 -1.810 0.032177
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2541 -0.26775 0.00266 0.09923
0.2272 0.13439 0.15946 0.02643
-2.1568 -0.09637 0.05841 0.08500
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.5948 -0.14875 0.9055 0.653170
0.4938 -0.40361 0.4750 -0.001721
0.3386 -0.05467 0.5696 -0.037543
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.3032 0 -1.41140 -0.14929
1.1922 0 0.04649 -0.05188
-0.2095 0 0.55747 0.02643
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.6598 0.02361 -0.4882 0.00000
-0.6129 0.05188 -0.8143 0.05418
0.6518 0.07135 -0.0161 -0.07623
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.2072 -0.081925 0.050773 0
-0.3524 -0.001334 0.033821 0
-0.7398 -0.015917 -0.006438 0
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.0000 0.0000 -0.10851 -0.13006
-0.1060 -0.1139 0.16367 0.14707
0.1265 0.1371 0.06688 0.08417
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.6398 0 -0.9918 97.74
-0.3925 0 -0.9394 96.89
1.0164 0 -0.9006 96.37
rnd_95776.volume rnd_95787.volume
-1.649 1.1648
-3.192 0.2034
-3.701 0.3674
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.595 2.998 11.65 4.401 5.659 1.772 1.662 4.517 6.274 4.185 3.020
[2,] 4.507 3.012 12.35 5.260 6.635 1.780 1.663 4.620 6.332 5.744 3.318
[3,] 4.602 3.202 12.92 6.859 6.940 1.880 1.674 4.630 6.638 5.952 3.337
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.731 2.901 3.845 4.401 5.373 5.084 4.675 7.701 7.237 9.588 4.249
[2,] 6.690 2.901 4.496 4.714 5.913 5.456 6.025 8.404 8.118 9.755 4.275
[3,] 6.912 2.913 4.849 5.250 6.306 5.891 6.261 8.624 8.498 9.848 4.287
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.46 6.615 2.071 5.193 4.458 4.084 4.036 2.119 4.279 4.143 2.416
[2,] 16.55 7.196 2.073 6.909 7.245 4.091 5.424 2.137 5.281 4.252 2.473
[3,] 16.97 8.710 2.080 8.223 7.931 4.111 6.965 2.158 7.195 4.461 2.610
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.016 3.991 4.542 4.195 4.217 3.871 1.329 3.724 1.172 3.880 3.673
[2,] 5.710 5.278 5.626 4.215 4.812 3.916 1.364 3.879 1.172 4.522 4.325
[3,] 7.066 5.700 6.061 4.217 4.845 3.936 1.375 3.913 1.187 4.748 4.863
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.157 1.895 3.916 3.919 5.182 3.023 4.868 4.109 1.941 4.571 4.159
[2,] 3.252 1.901 4.790 3.928 5.202 3.112 5.805 4.205 1.992 5.456 4.596
[3,] 3.264 1.903 5.013 4.029 5.332 3.169 6.015 4.305 2.000 5.728 5.035
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.423 3.023 4.003 1.055 4.176 1.670 3.361 3.459 3.725 4.616 1.583
[2,] 4.378 4.521 4.008 1.056 4.417 1.715 3.385 3.466 4.921 6.050 1.653
[3,] 4.872 4.951 4.018 1.056 5.292 1.740 3.732 3.467 5.049 6.119 1.711
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.056 3.334 3.932 1.789 4.865 3.845 5.262 5.079 5.757 4.453 3.537
[2,] 5.257 3.335 5.255 1.826 5.176 4.526 5.350 5.991 5.925 5.865 5.121
[3,] 5.709 3.342 6.088 1.850 5.370 4.587 5.580 6.278 6.205 6.341 6.246
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.288 4.043 2.680 4.860 2.477 2.949 1.456 3.760 2.973 6.998 6.802
[2,] 1.288 4.295 2.777 5.295 2.478 3.112 1.508 4.482 2.973 7.000 6.830
[3,] 1.289 5.476 2.806 6.142 2.481 3.190 1.523 4.599 3.029 7.049 7.142
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.429 1.572 2.206 2.223 3.222 2.328 3.429 15.18 13.69 6.359
[2,] 2.242 2.478 2.219 2.268 3.223 2.340 4.173 18.96 14.39 7.062
[3,] 2.254 2.516 2.344 2.387 3.348 2.345 4.955 22.32 16.45 8.531
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.566 3.807 14.8 5.589 7.186 2.25 2.111 5.736
[2,] 965.959 103.669 1451.5 1023.597 1231.106 58.06 13.609 345.359
[3,] 329.967 385.824 1347.1 1564.482 723.431 215.39 70.182 107.643
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.968 5.314 3.834 7.277 3.684 4.883 5.589 6.823
[2,] 303.106 1398.299 488.755 1226.320 5.010 827.788 600.276 877.222
[3,] 707.896 553.883 126.780 617.960 93.853 645.394 821.072 778.995
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 6.456 5.937 9.78 9.19 12.18 5.395 14.55 8.4 2.63
[2,] 703.579 1350.426 1195.74 1306.96 638.02 168.382 4244.77 1006.4 29.57
[3,] 789.223 605.018 686.88 893.74 480.79 115.571 1331.74 1743.6 60.28
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.595 5.661 5.186 5.125 2.69 5.433 5.261 3.068
[2,] 1619.221 2029.316 86.144 1287.564 98.66 1100.108 339.951 187.897
[3,] 1584.709 1146.749 143.179 1552.796 107.94 1736.336 480.125 295.865
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.37 5.067 5.767 5.327 5.355 4.916 1.688 4.728
[2,] 969.61 1227.470 1179.721 145.962 823.594 208.482 109.281 386.736
[3,] 1478.57 764.814 800.960 46.709 201.707 144.129 60.111 181.792
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.488 4.927 4.664 4.009 2.406 4.973 4.976 6.581 3.839
[2,] 8.581 825.421 811.670 277.796 55.611 980.027 93.415 163.159 262.283
[3,] 67.708 514.234 789.627 100.192 31.078 525.165 319.434 415.171 213.242
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 6.182 5.218 2.465 5.804 5.281 4.347 3.839 5.083
[2,] 1123.443 317.013 158.439 1058.960 694.792 969.886 1194.340 71.332
[3,] 560.224 328.357 64.542 619.649 730.770 759.815 717.645 101.764
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.34 5.303 2.121 4.268 4.392 4.73 5.862 2.011
[2,] 13.62 510.527 137.529 143.640 79.029 1142.87 1389.308 169.013
[3,] 11.33 1035.731 106.228 557.733 35.597 401.95 326.213 156.584
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.151 4.234 4.993 2.271 6.178 4.882 6.682 6.45
[2,] 1188.337 9.169 1239.053 130.607 628.590 848.594 342.107 1128.60
[3,] 790.592 79.979 1092.519 105.884 507.173 264.226 563.703 667.87
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 7.311 5.655 4.491 1.635 5.134 3.404 6.171 3.145
[2,] 497.823 1356.233 1316.059 11.524 515.559 258.018 747.277 20.927
[3,] 654.976 856.172 1270.726 11.540 1207.172 142.586 1106.015 45.732
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.745 1.849 4.774 3.775 8.886 8.637 1.815 1.996
[2,] 352.320 139.297 867.301 17.463 60.618 218.137 613.950 680.857
[3,] 249.673 76.699 365.179 205.274 295.512 742.382 82.202 154.751
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.802 2.823 4.091 2.957 4.354 19.28 17.39 8.075
[2,] 85.226 160.041 27.799 81.853 845.068 4036.71 1567.45 1091.156
[3,] 268.158 263.932 322.332 57.496 949.418 4184.19 2833.34 1700.643
[1] "--- VAR model 2017-10-02 18:01:00 completed"
[1] "Completed training sample: 2017-10-02 18:01:00 - 2017-10-03 02:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 18:31:00 - 2017-10-03 02:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.11641 -0.11681 -2.478 -2.649
0.07294 0.45261 -1.850 -3.640
0.24467 -0.01135 -2.493 -1.376
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.138 0 0 -0.6110
-2.499 0 0 -0.3512
-2.965 0 0 -0.3078
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.346 -1.1510 -0.6410 -2.548
-1.222 -0.6841 -0.1580 -2.830
-1.063 -0.5697 -0.1809 -1.304
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.02212 -2.178 -1.1946 7.532
-0.08618 -1.935 -0.5203 8.297
-0.04255 -1.386 -0.4862 7.556
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.976 0.9324 -2.4847 -0.7848
-3.816 -3.0530 -0.3401 2.3411
-1.303 -2.8072 -3.5460 -1.2439
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.084 0.2994 -3.731 -3.253
-1.883 0.5158 -6.132 -1.779
-2.946 0.6517 -4.234 -2.779
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -2.857 -3.849 0.2985
0 -1.674 -1.492 0.1723
0 -2.487 -2.411 0.1073
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.124 0 -3.117 -1.4174
-3.226 0 -3.473 -0.9306
-1.375 0 -1.610 -0.8924
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1570 -1.365 -2.904 -4.280
-0.6709 -3.711 -2.587 -2.410
-0.4744 -2.688 -3.031 -2.751
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.03356 -1.0663 0 0
-0.08347 -0.3407 0 0
0.33289 0.9140 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -2.156 -2.402
0 0 -1.323 -2.712
0 0 -0.958 -2.395
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.27122 -0.074822 -2.368 -0.04974
-0.22928 0.038537 -2.178 0.16122
-0.03684 0.006932 -1.416 0.21726
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.4516 -0.6063 -1.488 1.003
-0.1917 -0.6317 -1.674 1.179
-0.5245 -0.4431 -1.341 1.414
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.03362 0.5118 -0.1132 -1.829958
-0.18910 -2.2394 -1.1099 -0.009754
-0.14665 -1.3447 -1.1625 -1.345976
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.1029 -0.0294389 0.0022004 1.018
-1.2166 0.0215316 -0.0190064 2.383
-0.6334 -0.0008165 0.0007214 -1.635
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2659 -0.01595 0.1380 -0.6007
-0.3234 1.92665 0.2463 0.5999
-0.1921 -0.72072 0.1410 1.3722
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.7558 -0.04463 -0.5770 0
-0.2894 -0.05850 -1.0347 0
0.7981 0.04544 0.6537 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.03935 -0.02273 0.1266 0.07577
-0.89904 -0.04725 0.3913 0.21137
0.06682 -0.08459 0.5528 0.26311
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1341 0.7473 -0.22340 3.62802
0.2781 0.2976 -0.07890 -0.61919
0.2128 0.5977 0.06416 0.09146
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.1044 0 -1.708 0
3.5534 0 1.482 0
-0.9006 0 1.215 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.7997 -0.5069 0.09994 -0.23385
-0.7498 -0.2683 -0.41406 -0.17952
2.5446 0.3241 -0.39483 -0.08222
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3019 -0.1201 -0.17079 -0.55620
-0.7445 0.3014 -0.16518 -0.03822
0.4770 0.2100 0.01435 -0.10876
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.3921 0 -0.6949 96.70
1.1831 0 -0.7775 96.22
-0.1552 0 -0.6957 95.73
rnd_95776.volume rnd_95787.volume
-4.846 -1.998
-4.933 -2.251
-3.714 -2.609
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.332 2.662 10.66 4.129 5.246 1.507 1.593 4.046 5.590 3.732 2.794
[2,] 4.178 2.663 11.21 4.978 6.290 1.510 1.594 4.102 5.712 4.860 2.988
[3,] 4.235 2.793 11.84 6.335 6.587 1.529 1.605 4.122 5.964 4.927 2.996
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.141 2.634 3.471 4.237 5.185 4.661 4.432 7.161 6.492 8.968 3.854
[2,] 5.987 2.636 4.092 4.470 5.690 5.057 5.475 7.818 7.259 9.255 3.859
[3,] 6.332 2.638 4.344 4.979 6.046 5.527 5.810 8.000 7.577 9.612 3.873
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.74 5.787 1.887 4.811 4.207 3.825 3.853 2.073 3.963 3.863 2.265
[2,] 15.19 7.137 1.888 6.549 6.349 3.837 5.020 2.074 4.916 3.935 2.312
[3,] 15.69 8.116 1.894 7.655 7.687 3.850 6.503 2.077 6.479 4.059 2.426
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.521 3.541 4.010 3.847 3.535 3.448 1.223 3.080 1.063 3.703 3.194
[2,] 5.069 4.921 4.997 3.847 4.278 3.457 1.227 3.089 1.064 4.213 3.929
[3,] 6.093 5.302 5.455 3.847 4.283 3.463 1.228 3.089 1.080 4.481 4.403
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.923 1.739 3.640 3.377 4.818 2.748 4.546 3.928 1.838 4.195 3.744
[2,] 2.987 1.754 4.316 3.381 4.843 2.831 5.438 3.990 1.884 5.024 4.168
[3,] 2.999 1.754 4.551 3.424 4.928 2.864 5.708 4.017 1.892 5.310 4.647
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.188 2.804 3.646 0.9763 3.739 1.519 2.995 3.095 3.299 4.169 1.436
[2,] 3.943 4.075 3.650 0.9770 3.923 1.531 3.012 3.098 4.278 5.322 1.474
[3,] 4.472 4.408 3.656 0.9770 4.701 1.548 3.359 3.104 4.406 5.409 1.496
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.714 3.181 3.562 1.641 4.482 3.641 5.022 4.922 5.196 3.907 3.217
[2,] 4.770 3.181 4.985 1.669 4.759 4.225 5.085 5.828 5.204 5.718 4.663
[3,] 5.043 3.193 5.720 1.687 4.946 4.270 5.270 6.089 5.217 6.205 6.086
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.221 3.811 2.482 4.422 2.121 2.851 1.277 3.032 2.710 6.742 6.152
[2,] 1.222 4.112 2.503 4.795 2.142 2.979 1.312 3.920 2.710 6.748 6.154
[3,] 1.222 5.322 2.528 5.674 2.169 3.069 1.332 4.046 2.753 6.793 6.269
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.150 1.280 1.755 1.851 3.028 2.183 3.407 14.68 12.80 5.388
[2,] 1.734 1.978 1.757 1.851 3.031 2.196 4.149 17.69 13.69 6.597
[3,] 1.737 1.985 1.762 1.864 3.139 2.203 4.923 20.68 15.28 7.487
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.231 3.38 13.54 5.243 6.661 1.914 2.023 5.138
[2,] 949.937 28.85 1296.58 1047.686 1307.454 36.092 19.387 253.854
[3,] 261.541 316.80 1443.15 1476.312 737.238 89.503 71.070 154.577
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.098 4.739 3.547 6.528 3.345 4.407 5.381 6.584
[2,] 442.550 1172.951 399.358 1156.461 37.321 816.696 537.000 883.405
[3,] 646.515 304.426 81.079 776.402 39.901 549.038 825.724 769.971
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.919 5.628 9.093 8.244 11.39 4.894 13.64 7.349
[2,] 738.614 1211.050 1181.390 1222.985 861.20 72.560 4050.46 1573.665
[3,] 840.214 732.144 639.827 819.307 977.71 124.877 1473.38 1455.761
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.396 6.109 5.342 4.857 4.893 2.632 5.032 4.905
[2,] 24.240 1674.384 1791.569 115.109 1212.341 29.925 1095.681 283.470
[3,] 55.427 1492.772 1632.462 122.127 1557.465 37.797 1590.106 374.889
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.876 5.741 4.497 5.092 4.885 4.489 4.378 1.554
[2,] 173.910 863.613 1287.593 1123.273 12.377 907.811 95.103 37.334
[3,] 277.132 1273.735 743.375 824.495 15.318 75.707 77.725 9.500
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.911 1.35 4.702 4.055 3.712 2.209 4.622 4.288 6.118
[2,] 85.721 10.91 757.334 862.038 231.059 83.915 873.587 63.373 187.105
[3,] 21.134 71.25 574.977 748.588 100.063 6.985 543.987 205.125 343.526
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.489 5.772 4.988 2.333 5.327 4.754 4.049 3.56
[2,] 257.091 1124.225 263.865 156.761 1041.797 689.613 874.252 1114.00
[3,] 163.604 653.677 174.180 66.166 647.362 774.271 794.650 633.19
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.63 1.240 4.748 1.929 3.803 3.93 4.19 5.294 1.823
[2,] 58.61 13.901 446.865 73.289 120.963 58.62 1026.01 1246.512 126.530
[3,] 83.46 1.652 975.760 84.359 559.826 71.21 397.76 364.049 96.113
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.716 4.039 4.523 2.083 5.692 4.624 6.377 6.25
[2,] 1127.796 10.899 1313.809 114.917 602.524 807.523 300.013 1175.92
[3,] 616.245 105.424 1057.010 92.918 507.264 233.131 522.290 663.70
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.598 4.961 4.086 1.55 4.84 3.152 5.615 2.694
[2,] 110.834 1573.066 1271.380 19.10 581.50 121.660 698.324 111.733
[3,] 136.083 907.721 1473.386 16.24 1272.61 134.797 1142.999 129.555
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.621 1.621 3.85 3.441 8.562 7.812 1.461 1.626 2.229
[2,] 324.958 114.600 936.13 15.799 101.021 52.110 488.983 568.176 26.007
[3,] 278.188 84.989 377.86 183.297 295.174 450.867 35.609 59.701 50.849
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.350 3.845 2.772 4.326 18.64 16.26 6.842
[2,] 9.435 51.067 90.678 892.020 3717.48 1823.18 1434.139
[3,] 83.060 307.445 64.487 998.070 4036.13 2558.56 1333.337
[1] "--- VAR model 2017-10-02 18:31:00 completed"
[1] "Completed training sample: 2017-10-02 18:31:00 - 2017-10-03 02:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 19:01:00 - 2017-10-03 03:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.86103 0.23922 -0.004523 0.05412
0.26848 0.01311 0.903178 -0.11996
0.01048 -0.07602 0.208094 -0.26187
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.7665 0 0.4132 -0.3622
0.5522 0 0.4563 -0.3627
-0.9737 0 0.1775 -0.3346
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.04125 -0.9339 -0.9186 -1.5503
0.97422 -0.8243 -0.2198 0.7675
-0.60198 0.7353 0.2861 0.6434
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.04166 -1.9493 -1.0172 7.550
-0.03830 -0.2814 -1.1854 8.471
0.02911 -0.3325 0.0303 8.592
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.2903 -0.276290 -0.6979 0.2874
-0.1404 -1.109525 -1.5106 -0.3287
0.5507 -0.009016 0.3977 -0.2923
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3379 0.1746 -1.3801 -0.67302
-0.5590 0.2090 -0.1782 -1.10565
-0.2204 0.0280 0.1476 0.05695
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 0.09486 -2.2393 0.10183
0 -0.13822 0.3563 0.16279
0 -0.28409 -0.9776 0.02569
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.07239 -0.08002 1.5492 0.1710
-0.25716 0.03194 -2.1390 -0.5786
0.13993 0.09491 0.2181 -0.3619
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.41184 0.5068 -2.9494 -1.0429
-0.03734 -1.1012 0.9909 0.3866
-0.03771 -0.4236 -0.9300 -1.4389
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.01442 0.03268 0.1948 0
-0.05747 0.56381 0.1531 0
0.05766 -0.70678 0.1100 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -0.32919 -0.4970
0 0 -0.68317 -0.6403
0 0 0.04301 -0.6468
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.36163 0.061596 2.75107 -0.1210
-0.03157 -0.017718 -0.04044 0.2881
-0.13323 0.008666 -0.35030 0.1062
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.2836 0.3774 -0.09264 1.377
-0.1775 0.5792 1.97529 1.192
-0.2505 0.1259 0.44854 1.195
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2445 -1.1178 -0.9998 -1.3553
0.2277 0.5408 -0.0158 -0.3079
0.1208 1.5939 0.7929 0.4640
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.0245 0 0.027760 0.6996
-0.9932 0 -0.018639 -1.9144
-0.2129 0 0.005134 -1.2152
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.01598 0.5719 -0.08464 4.0214
-0.23179 -0.7137 -0.14849 -0.6911
-0.19500 -0.6496 -0.14745 -0.8350
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.2356 -0.19020 0.6659 0.04885
1.1482 0.30053 2.9215 -0.09921
-0.9025 0.01086 -0.4412 -0.01319
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.04436 0.03549 0.26662 0.30788
3.79088 0.10022 0.08568 0.11627
0.03841 0.21852 -0.09484 0.03394
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.9828 0.4981 0.052518 -0.06071
0.5347 -0.1518 -0.047476 0.60962
0.3477 0.6657 0.002369 0.12271
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.6502 0 1.9912 0
0.4288 0 0.2576 0
0.1952 0 0.6053 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.06696 0.35974 -0.4860 -0.068680
0.62917 0.24312 -0.1600 -0.001963
0.07869 0.01365 0.3786 0.039457
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.28077 0.32720 0.009770 -0.4490
0.65724 0.12514 0.425785 -0.2253
-0.09161 0.07279 0.008868 -0.1017
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.0214 0 -0.02436 98.29
-0.5741 0 -0.01693 99.00
-0.6186 0 -0.01880 98.25
rnd_95776.volume rnd_95787.volume
5.0508 0.5876
4.0769 -0.6941
0.8394 0.2590
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.538 2.488 9.545 3.861 4.414 1.272 1.500 3.844 4.737 3.498 2.602
[2,] 3.730 2.513 9.846 4.534 5.258 1.273 1.501 3.916 4.738 4.450 2.763
[3,] 3.825 2.596 10.272 5.879 5.464 1.289 1.510 3.946 4.785 4.510 2.763
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.910 2.398 3.158 4.110 4.950 4.316 4.245 6.239 6.025 7.773 3.650
[2,] 5.710 2.400 3.710 4.329 5.414 4.646 5.061 7.180 6.845 8.057 3.656
[3,] 5.912 2.402 3.877 4.645 5.786 5.081 5.450 7.317 7.084 8.375 3.671
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.889 5.834 1.709 4.406 3.913 3.509 3.616 1.939 3.588 3.545 2.105
[2,] 13.239 6.686 1.710 5.662 6.003 3.537 4.655 1.940 4.480 3.609 2.143
[3,] 13.717 6.972 1.710 6.824 6.917 3.545 5.758 1.940 5.869 3.753 2.225
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.254 3.093 3.725 3.588 3.137 3.253 1.115 2.838 0.9859 3.494 2.869
[2,] 4.685 4.263 4.638 3.588 3.816 3.276 1.119 2.850 0.9860 3.875 3.678
[3,] 5.811 4.666 5.116 3.588 3.838 3.286 1.119 2.850 0.9997 4.067 4.105
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.702 1.645 3.391 3.030 4.510 2.610 4.238 3.694 1.691 3.933 3.429
[2,] 2.743 1.653 3.940 3.045 4.570 2.654 5.037 3.748 1.722 4.686 3.929
[3,] 2.760 1.653 4.138 3.073 4.638 2.715 5.180 3.770 1.728 5.044 4.398
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.023 2.603 3.284 0.9375 3.421 1.403 2.789 2.897 3.011 3.806 1.286
[2,] 3.778 3.849 3.288 0.9381 3.573 1.408 2.813 2.900 3.933 4.907 1.334
[3,] 4.238 4.204 3.299 0.9383 4.328 1.414 3.116 2.909 4.088 4.947 1.356
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.501 2.841 3.159 1.509 3.717 3.219 4.682 4.531 4.603 3.392 2.808
[2,] 4.359 2.844 4.449 1.532 3.881 3.600 4.722 5.039 4.604 5.078 4.048
[3,] 4.568 2.858 5.171 1.544 4.039 3.618 4.926 5.148 4.612 5.234 5.151
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.082 3.520 2.308 4.072 1.888 2.598 1.192 2.746 2.468 6.117 5.821
[2,] 1.084 3.703 2.324 4.295 1.917 2.727 1.222 3.422 2.469 6.117 5.822
[3,] 1.089 4.986 2.357 4.924 1.937 2.819 1.237 3.513 2.524 6.178 5.955
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.060 1.011 1.518 1.586 2.825 1.928 3.403 14.44 11.75 5.471
[2,] 1.489 1.577 1.519 1.586 2.829 1.934 4.144 17.40 12.40 5.982
[3,] 1.491 1.587 1.519 1.586 2.925 1.945 4.906 20.46 13.58 6.689
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.492 3.159 12.12 4.903 5.605 1.615 1.905 4.881
[2,] 478.106 144.724 977.52 961.784 1156.486 22.217 17.954 303.470
[3,] 344.029 262.438 1185.07 1514.369 602.059 83.021 66.289 196.141
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.015 4.442 3.304 6.235 3.045 4.01 5.219 6.285
[2,] 47.307 1113.007 375.767 1179.324 40.502 788.44 550.177 888.183
[3,] 270.551 297.342 20.135 620.606 37.248 454.52 681.381 825.403
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.48 5.391 7.922 7.651 9.871 4.634 11.29 7.408
[2,] 696.65 1114.629 1438.425 1314.142 857.202 90.201 3970.28 1321.538
[3,] 832.61 819.053 569.962 739.231 924.699 134.485 1452.65 800.583
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.171 5.594 4.969 4.456 4.592 2.462 4.557 4.502
[2,] 14.285 1439.135 1842.131 178.953 1186.340 31.447 1085.424 274.122
[3,] 6.726 1541.638 1390.621 94.916 1371.143 12.679 1534.377 416.100
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.673 5.402 3.927 4.73 4.556 3.983 4.131 1.416
[2,] 162.627 794.039 1187.134 1117.83 22.429 879.154 154.377 37.624
[3,] 242.179 1391.391 767.637 873.91 3.905 165.662 103.876 3.385
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.604 1.252 4.437 3.643 3.431 2.089 4.306 3.848 5.728
[2,] 106.020 4.661 677.657 931.711 191.956 65.251 811.744 120.080 297.136
[3,] 13.383 66.888 499.444 737.700 124.472 17.913 511.961 167.007 320.557
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.314 5.381 4.691 2.147 4.994 4.355 3.839 3.305
[2,] 195.651 1101.919 256.772 131.216 1030.980 775.694 917.036 1147.576
[3,] 231.374 489.230 163.537 57.013 755.235 799.731 776.622 684.440
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.17 1.190 4.344 1.781 3.542 3.679 3.824 4.832 1.633
[2,] 69.83 14.269 417.377 50.723 148.068 53.833 1023.568 1253.374 142.441
[3,] 107.36 8.004 988.288 50.676 542.295 93.442 451.849 254.590 99.075
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.445 3.607 4.011 1.917 4.72 4.087 5.946 5.753
[2,] 1050.885 56.223 1267.666 105.312 451.64 652.604 248.243 892.266
[3,] 552.767 114.077 1067.106 78.001 451.82 146.197 567.823 427.499
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.845 4.308 3.566 1.374 4.469 2.931 5.17 2.398
[2,] 32.037 1529.224 1180.192 27.183 465.862 111.032 553.69 133.993
[3,] 113.339 512.785 1288.596 39.949 1351.326 159.662 973.76 112.390
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.299 1.514 3.487 3.134 7.767 7.392 1.346 1.284
[2,] 334.833 109.492 826.309 28.831 6.501 48.574 422.915 489.645
[3,] 290.051 77.508 321.575 212.071 351.369 505.787 37.096 72.119
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.928 2.014 3.587 2.449 4.321 18.34 14.93 6.948
[2,] 24.299 2.131 63.022 58.030 957.097 3924.97 1601.26 978.818
[3,] 1.831 2.846 300.617 85.605 1062.799 4357.93 2236.73 1211.184
[1] "--- VAR model 2017-10-02 19:01:00 completed"
[1] "Completed training sample: 2017-10-02 19:01:00 - 2017-10-03 03:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 19:31:00 - 2017-10-03 03:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2002 0.1747 -0.93686 0.46419
0.1385 -0.2500 -0.06373 -0.00993
-0.1246 -0.3148 -0.37848 1.20697
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.7284 0 -0.132198 -0.0946
-0.2222 0 -0.006955 -0.2103
1.1005 0 -0.008935 -0.3791
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.3112 -3.1228 -0.30631 -3.7158
-0.9231 -0.2672 0.03391 -0.2744
-0.2093 -0.5488 -0.13890 -0.1274
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.045420 -0.4545 0.36367 9.057
0.021676 -1.4352 -2.15881 8.189
-0.001242 -0.4899 0.03752 8.799
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.4110 0.02111 3.686 3.7180
-1.0786 -0.01910 -1.220 0.4186
-0.7573 -1.16689 -1.248 0.6585
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.09544 0.4702 4.5545 1.1792
-0.44256 0.2155 1.3092 -0.1516
-0.65470 0.1486 -0.8783 -0.1146
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -0.80507 1.1519 0.41912
0 2.06222 0.5190 0.14991
0 0.09217 -0.8176 0.03801
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.5304 -0.004541 -1.3651 -0.6483
0.7085 0.047109 1.0067 1.1156
0.9362 -0.003326 0.4122 -0.4442
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.04151 -1.6439 -0.9528 -0.8081
-0.08324 0.4171 -0.6232 -0.8470
0.12385 0.7956 1.1623 0.4125
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.05750 1.8902 0.9164 0
-0.00209 -0.1518 0.9054 0
0.03561 -0.3861 0.6017 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 0.93585 0.5236
0 0 0.00508 -0.5498
0 0 -0.28239 -0.5619
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.22361 0 0.2644 0.44819
0.36212 0 0.8546 0.07847
-0.09227 0 0.3366 0.20771
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.2975 -0.54239 -2.0659 1.272
0.5421 -0.08253 0.3702 1.144
0.2922 0.03226 0.3734 1.080
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.44739 -3.4864 -1.33229 2.4660
-0.02949 -1.0345 -1.28825 -2.4967
0.05681 0.3103 0.04988 -0.6623
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.050201 0.021717 -0.08427 -0.9063
0.003551 0.001147 0.07941 -1.0201
-1.850737 0.002184 -0.04762 0.9948
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.36522 0.05848 0.1571 -0.14479
-0.02936 -0.94079 0.1043 -0.27101
-0.15545 0.88454 0.1262 0.08471
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.684950 0.11163 0.5578 0.06562
-0.001742 -0.04266 0.1560 0.10164
0.041849 -0.02631 -0.4233 0.10748
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.4008 -0.002932 0.1651 -0.5722
-0.4186 0.043659 0.2135 0.1060
-0.2827 0.012472 0.2777 0.2544
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.26885 2.13569 0.07310 4.07845
-0.15249 0.05497 0.08952 -1.34531
-0.09537 0.02806 -0.08410 -0.09445
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.451 0 -0.6463 0
3.369 0 3.1682 0
-1.689 0 0.5885 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.9331 0.1750 -0.9512 0.07618
1.1394 0.1330 -0.2258 0.15191
2.5009 0.5786 -0.0197 0.01073
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.8097 0 -0.48975 0.011336
0.6676 0 0.10447 -0.205077
-0.5429 0 -0.06049 0.008074
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.06131 0 0.2890 92.98
-1.04198 0 0.1469 92.18
0.88306 0 0.1856 92.55
rnd_95776.volume rnd_95787.volume
-3.7519 0.09142
0.3545 -0.83357
0.7357 -0.06174
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.966 2.292 7.557 3.280 3.351 1.172 1.368 3.496 4.43 3.178 2.255
[2,] 2.982 2.297 7.663 4.115 4.310 1.173 1.370 3.519 4.43 4.197 2.367
[3,] 2.996 2.366 7.781 4.916 4.633 1.189 1.373 3.538 4.46 4.240 2.369
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.738 2.249 3.033 3.926 4.598 3.552 3.380 5.393 5.027 7.135 3.480
[2,] 5.567 2.250 3.572 4.195 5.051 4.038 4.168 6.239 5.855 7.227 3.485
[3,] 5.744 2.250 3.745 4.539 5.366 4.483 4.671 6.408 5.957 7.327 3.504
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.666 5.289 1.488 4.082 3.665 3.223 3.187 1.830 3.180 3.222 1.947
[2,] 11.817 6.016 1.488 5.116 5.505 3.232 4.238 1.835 3.995 3.281 1.975
[3,] 11.970 6.256 1.489 6.204 6.589 3.239 5.063 1.835 5.211 3.461 2.047
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.687 2.957 3.511 3.325 2.943 3.023 1.02 2.661 0.8928 3.258 2.729
[2,] 4.181 4.021 4.219 3.325 3.542 3.039 1.02 2.668 0.8935 3.497 3.484
[3,] 5.140 4.420 4.593 3.326 3.567 3.058 1.02 2.668 0.9061 3.773 3.731
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.529 1.464 3.157 2.837 4.145 2.417 4.002 3.346 1.557 3.628 3.174
[2,] 2.576 1.464 3.719 2.854 4.185 2.454 4.730 3.397 1.601 4.248 3.635
[3,] 2.595 1.464 3.916 2.881 4.253 2.498 4.841 3.410 1.612 4.546 4.000
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.764 2.412 2.906 0.8972 3.000 1.330 2.680 2.706 2.888 3.662 1.172
[2,] 3.500 3.402 2.910 0.8975 3.201 1.332 2.703 2.709 3.753 4.697 1.219
[3,] 3.850 3.693 2.924 0.8979 3.856 1.334 2.944 2.722 3.902 4.760 1.246
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.195 2.507 2.964 1.406 3.040 2.650 4.296 3.929 4.198 3.018 2.508
[2,] 4.107 2.508 4.246 1.428 3.075 3.037 4.328 4.449 4.198 4.420 3.436
[3,] 4.302 2.512 4.894 1.442 3.124 3.052 4.516 4.493 4.199 4.508 4.529
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9656 3.049 2.068 3.312 1.733 2.399 1.083 2.591 2.372 5.805 5.442
[2,] 0.9687 3.226 2.084 3.534 1.744 2.569 1.115 3.248 2.372 5.805 5.442
[3,] 0.9734 4.066 2.096 4.100 1.782 2.649 1.130 3.345 2.434 5.886 5.556
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7849 0.9295 1.321 1.377 2.609 1.666 3.389 10.72 10.96 5.161
[2,] 1.2905 1.3603 1.325 1.378 2.611 1.675 4.126 11.72 11.56 5.852
[3,] 1.2958 1.3636 1.326 1.378 2.713 1.686 4.884 13.19 12.46 5.989
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.766 2.91 9.596 4.164 4.255 1.489 1.737 4.44 5.625
[2,] 114.844 58.95 473.249 924.837 1008.910 10.613 26.814 147.79 28.109
[3,] 109.248 210.52 502.300 1001.244 631.995 73.186 34.429 138.09 191.765
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.035 2.863 6.017 2.856 3.851 4.985 5.839 4.511
[2,] 1020.226 268.233 1087.256 29.553 702.139 550.490 777.439 714.933
[3,] 225.923 32.475 527.877 10.107 419.690 644.693 674.796 724.481
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.292 6.849 6.383 9.061 4.419 9.734 6.716 1.890
[2,] 907.929 1167.347 1117.699 425.658 73.754 3346.953 1067.075 3.614
[3,] 785.071 543.419 407.219 450.228 132.379 711.527 638.967 7.657
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.183 4.654 4.092 4.047 2.324 4.038 4.092 2.472
[2,] 1147.866 1528.811 90.134 1039.627 48.433 899.902 229.722 123.986
[3,] 1306.485 1347.895 83.381 1031.001 1.867 1245.332 410.791 199.991
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 4.682 3.755 4.458 4.222 3.737 3.839 1.295 3.379 1.134
[2,] 733.474 1014.237 870.870 16.235 733.745 115.356 13.457 73.212 12.662
[3,] 1112.778 682.846 675.703 26.310 156.601 124.957 8.224 13.923 56.025
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.137 3.466 3.212 1.859 4.009 3.603 5.264 3.07 5.082
[2,] 473.009 806.110 181.347 1.480 731.769 115.148 213.413 157.89 938.362
[3,] 526.975 495.968 116.955 13.323 456.067 147.023 282.365 172.27 383.402
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.249 1.978 4.607 4.03 3.51 3.063 3.69 1.139 3.81
[2,] 217.634 139.060 822.374 659.49 799.09 892.783 57.20 9.477 415.23
[3,] 108.886 68.625 603.112 621.69 597.13 535.016 108.82 9.577 799.90
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.689 3.403 3.436 3.667 4.65 1.489 4.057 3.184 3.764
[2,] 29.529 130.587 51.789 891.965 1094.53 125.030 960.285 30.717 1131.558
[3,] 28.196 434.693 99.547 398.368 287.26 95.698 476.500 47.483 905.970
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.785 3.86 3.366 5.455 4.99 5.33 3.833 3.185 1.226
[2,] 93.027 172.19 552.044 194.629 776.67 16.41 1201.902 873.995 29.107
[3,] 74.916 205.67 111.045 480.463 233.72 35.09 329.358 1098.164 35.339
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.872 2.626 4.206 2.201 3.046 1.375 3.29 3.011 7.371
[2,] 392.427 94.199 457.809 72.072 342.148 99.142 729.02 7.056 21.246
[3,] 921.105 83.407 773.956 135.696 240.953 68.079 297.66 204.524 362.397
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 6.91 0.9967 1.18 1.677 1.748 3.313 2.115 4.303 13.61
[2,] 33.25 381.2121 369.64 38.198 22.786 34.593 64.715 875.854 1764.85
[3,] 415.53 43.7730 35.57 18.287 14.825 274.139 71.279 972.706 2251.33
[,97] [,98]
[1,] 13.92 6.554
[2,] 1365.89 1026.068
[3,] 1729.60 475.209
[1] "--- VAR model 2017-10-02 19:31:00 completed"
[1] "Completed training sample: 2017-10-02 19:31:00 - 2017-10-03 03:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 20:01:00 - 2017-10-03 04:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.37184 0.3229 -2.3161 0.04702
-0.34222 0.3757 -2.0318 -1.90433
0.01685 0.0594 -0.1083 -0.76314
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.4305 0 0 -0.3885
-0.4188 0 0 -0.1177
-1.8584 0 0 -0.2810
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7130 -2.4896 0.04304 -2.0198
-0.1531 -0.3070 -0.12629 -0.8369
-0.7585 -0.9937 -0.07890 -0.7963
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.0149178 0.3019 -0.1167 6.944
0.0009381 -2.0151 -2.0987 7.475
-0.0683430 -0.2206 -0.3916 8.006
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.1795 -2.7928 -4.6956 -1.9769
-0.7123 0.7256 0.3402 -1.0717
-0.5424 -1.6135 0.1990 0.1637
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.7740 0 -1.727 0.607
0.2516 0 -4.461 -2.305
-1.2728 0 -1.871 -1.423
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -3.2343 1.2314 0
0 -0.6526 -0.1969 0
0 -1.6419 -2.2871 0
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.1143 0.0296553 -1.2601 -1.1583
-2.0754 -0.0023609 -0.2916 0.4114
-0.1257 -0.0001487 -0.3435 -0.9854
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.6270 -2.4147 -1.7527 -0.5513
0.1382 0.3289 -0.7655 -2.0986
-0.2624 -0.4203 -1.1903 0.5803
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.386209 0.6585 0.10317 -0.03886
0.010328 -0.4667 0.10747 0.05113
0.002292 -0.3351 0.05106 0.05168
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -0.5713 -2.5382
0 0 -0.3096 -1.0067
0 0 -0.7199 -0.6199
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.46744 -0.07119 -0.1139 0.2443
-0.65100 -0.13947 -2.1137 -0.2857
-0.01617 -0.07158 -1.2698 -0.2273
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.3729 -0.3884 0.02312 1.1768
0.2786 -0.0202 -1.20836 1.1917
0.2773 -0.4540 -0.03680 0.9306
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.14583 -0.0734 -0.6562 -0.4599
-0.13959 -0.4380 0.3713 0.2982
0.03904 -0.4710 -1.3198 -0.3761
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.8087 0.04819 -0.020852 -1.5609
-0.3476 0.02605 0.020009 -1.0205
0.2611 -0.01912 0.000398 -0.4112
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.31333 -0.2045 0.089495 2.7229
0.04327 -0.6180 0.000345 -1.5958
0.14114 -0.2310 0.007984 -0.2004
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.944 -0.1008 1.5208 0.24730
-0.396 0.2287 0.8852 0.10808
-0.465 -0.1083 -1.3735 0.02108
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.625 -0.21010 -0.16699 -0.1868
3.191 0.15639 0.04197 -0.3621
-1.127 0.08658 -0.17956 0.1690
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3480 -1.4002 0.6344 0.5210
0.1002 -0.4290 -0.1301 -0.5126
-0.2314 -0.1168 -0.3683 -0.1725
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.4975 0 1.7352 -0.0688
-0.3061 0 -0.4284 -0.2519
-0.3665 0 -0.3716 0.2631
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.5079 0.43411 -0.34933 0
-1.4760 -0.13885 0.08866 0
0.1192 -0.02513 -0.29340 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.02995 0.39900 0.03301 -0.34829
0.38337 0.41086 -0.17653 -0.06165
-0.48219 0.07354 0.01562 -0.06549
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.3454 0.19253 0.9618 81.99
-0.2861 0.16634 0.5346 73.31
-0.1990 0.06919 0.6993 66.32
rnd_95776.volume rnd_95787.volume
-3.050 0.0279
1.025 -1.6645
-4.503 -1.2586
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.769 2.014 6.664 2.990 3.171 1.088 1.327 3.231 4.053 2.836 1.899
[2,] 2.774 2.015 6.734 3.752 3.886 1.089 1.329 3.254 4.064 3.779 2.075
[3,] 2.780 2.041 6.916 4.383 4.179 1.094 1.334 3.261 4.114 3.832 2.078
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.525 2.126 2.807 3.742 4.473 3.217 2.927 4.713 4.600 7.076 3.256
[2,] 3.433 2.127 3.323 4.055 4.904 3.652 3.825 5.876 5.434 7.298 3.267
[3,] 3.530 2.127 3.490 4.381 5.246 4.110 4.224 6.005 5.522 7.517 3.281
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.927 4.649 1.354 3.629 3.269 3.068 2.910 1.693 2.921 3.081 1.870
[2,] 10.847 5.247 1.354 4.511 4.625 3.078 3.918 1.698 3.561 3.159 1.882
[3,] 11.084 5.404 1.356 5.677 5.842 3.095 4.571 1.698 4.576 3.295 1.967
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.517 2.758 2.846 3.144 2.688 2.795 0.9245 2.341 0.8286 2.801 2.415
[2,] 3.926 3.582 3.680 3.145 3.144 2.802 0.9252 2.345 0.8297 3.010 3.006
[3,] 4.724 3.904 3.979 3.145 3.175 2.817 0.9264 2.345 0.8392 3.226 3.298
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.393 1.319 2.599 2.622 3.905 2.261 3.750 3.100 1.510 3.387 2.658
[2,] 2.447 1.359 3.199 2.641 3.928 2.306 4.341 3.148 1.565 3.943 3.217
[3,] 2.483 1.375 3.452 2.668 3.973 2.347 4.476 3.158 1.582 4.142 3.508
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.501 2.000 2.694 0.8625 2.694 1.353 2.412 2.468 2.695 3.316 1.126
[2,] 2.987 3.127 2.694 0.8632 2.875 1.366 2.419 2.468 3.349 4.159 1.168
[3,] 3.439 3.417 2.697 0.8634 3.534 1.371 2.721 2.478 3.513 4.165 1.184
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.716 2.319 2.698 1.308 2.751 2.389 3.428 3.408 3.838 2.914 2.280
[2,] 3.624 2.320 3.828 1.339 2.759 2.819 3.440 4.079 3.851 4.109 3.158
[3,] 3.742 2.326 4.328 1.363 2.770 2.844 3.486 4.126 3.856 4.129 4.115
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8808 2.587 1.836 2.858 1.637 2.209 0.9621 2.373 2.006 5.582 5.156
[2,] 0.8808 2.770 1.845 3.084 1.643 2.370 0.9629 3.001 2.006 5.585 5.156
[3,] 0.8832 3.679 1.852 3.784 1.688 2.428 0.9637 3.064 2.046 5.671 5.250
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7313 0.8667 1.192 1.241 2.360 1.479 1.985 10.42 9.553 4.585
[2,] 1.1690 1.2279 1.195 1.242 2.363 1.483 2.171 10.99 10.316 5.153
[3,] 1.1736 1.2331 1.196 1.245 2.475 1.494 2.553 12.01 11.095 5.270
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.516 2.558 8.462 3.797 4.027 1.381 1.685 4.103 5.147
[2,] 54.547 12.828 314.198 735.415 728.474 15.660 27.151 124.928 98.218
[3,] 58.351 105.763 511.994 734.838 498.835 35.876 37.935 68.693 206.190
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.601 2.412 3.206 2.700 3.564 4.752 5.679 4.085
[2,] 810.333 271.073 754.447 14.250 577.249 506.845 652.791 561.113
[3,] 206.040 34.028 267.109 2.294 345.809 537.819 604.314 611.353
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.717 5.985 5.842 8.986 4.135 8.796 5.904 1.719
[2,] 798.907 1138.570 938.075 579.782 86.228 2708.027 789.162 7.910
[3,] 581.226 401.942 319.658 583.517 96.788 740.165 419.581 23.891
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.608 4.151 3.896 3.695 2.149 3.709 3.912 2.375
[2,] 869.609 1061.266 80.286 850.958 43.748 661.049 226.766 68.846
[3,] 1118.334 1158.247 105.468 764.141 3.234 932.438 303.119 185.645
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 4.467 3.502 3.614 3.992 3.413 3.55 1.174 2.973 1.052
[2,] 565.575 741.595 756.583 27.459 529.002 63.52 11.691 41.517 14.015
[3,] 852.464 503.902 491.267 6.823 144.534 95.40 15.364 9.715 40.951
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.557 3.067 3.038 1.674 3.3 3.329 4.959 2.871 4.762
[2,] 357.218 580.589 166.261 106.661 605.4 103.931 136.376 147.797 709.445
[3,] 377.013 440.015 137.097 68.609 420.5 121.546 193.450 140.230 353.412
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.936 1.917 4.301 3.375 3.176 2.539 3.421 1.095 3.421
[2,] 177.177 134.232 655.348 588.095 529.862 779.781 2.771 11.679 326.104
[3,] 84.302 74.949 410.878 453.955 552.997 447.112 41.563 6.378 666.762
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.718 3.063 3.134 3.422 4.211 1.429 3.449 2.945 3.426
[2,] 60.801 61.261 3.952 645.117 814.437 101.412 778.442 21.114 881.076
[3,] 38.736 404.073 71.473 344.447 74.672 62.555 301.827 55.604 655.002
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.661 3.494 3.034 4.353 4.328 4.874 3.701 2.896 1.118
[2,] 92.827 65.187 485.195 92.439 727.148 102.932 939.940 708.763 3.331
[3,] 82.355 82.486 123.485 184.036 201.898 60.823 129.355 855.793 20.918
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.285 2.331 3.629 2.079 2.805 1.222 3.013 2.547 7.089
[2,] 321.279 61.414 376.178 45.433 278.528 12.685 595.923 9.808 51.298
[3,] 785.722 50.461 711.323 124.733 171.076 13.096 200.417 129.991 319.512
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 6.547 0.9287 1.101 1.514 1.576 2.997 1.878 2.521 13.23
[2,] 28.907 295.8743 282.169 29.362 13.870 39.242 35.845 285.163 1132.16
[3,] 320.073 33.8352 36.967 13.658 27.182 237.944 59.249 435.977 1572.69
[,97] [,98]
[1,] 12.13 5.822
[2,] 1263.02 763.126
[3,] 1325.42 358.311
[1] "--- VAR model 2017-10-02 20:01:00 completed"
[1] "Completed training sample: 2017-10-02 20:01:00 - 2017-10-03 04:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 20:31:00 - 2017-10-03 04:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.08365 0.59671 1.3808 -2.651
-0.63003 0.19734 -1.1803 3.690
-0.05786 0.09789 0.4303 3.202
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.7469 0 0.177916 0.30997
-2.0366 0 -0.132544 0.08444
2.1031 0 0.006332 0.03759
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.632761 -0.6846 -0.48218 -1.012
0.449558 0.4568 0.17398 -1.263
-0.004304 0.2339 0.05624 -0.407
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.13071 0.06198 0.2236 8.223
-0.07435 -0.21225 -0.6904 7.721
0.02065 -0.12274 0.6001 8.051
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.6093 -1.675 -1.6183 1.1628
1.5908 1.109 -0.8023 -0.7828
-0.9952 1.351 0.5937 0.0575
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.6222 0.9546 9.6538 3.5681
-1.5289 0.4585 0.1735 0.6379
-0.1821 0.3568 -1.8516 -0.3057
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 3.5919 0.8332 0.7496
0 3.7892 4.6179 0.4021
0 -0.8246 -0.4906 0.2438
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.462 -0.1389 -1.036 0.00398
2.957 0.1488 1.664 0.94375
2.989 0.1677 4.229 -0.04561
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2214 0.8344 -0.3562 0.53381
-0.3844 -1.2018 -0.9019 -0.03929
0.6325 3.3246 2.6057 0.04762
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.0317765 0.47195 0.30245 0
0.0696745 0.30219 0.13805 0
-0.0006575 -0.06711 0.04897 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 0.2759 -0.7333
0 0 0.2852 0.1421
0 0 -0.8763 0.1604
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6531 0.50599 0.1279 0.29234
-0.1169 0.05958 0.1289 -0.15448
-0.0685 -0.10373 -0.3914 -0.09381
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.5075 0.08089 0.6182 0
0.6341 0.23728 0.2170 0
0.2500 0.07857 0.9325 0
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.29239 0.74398 0.7206 0.64688
-0.07709 0.06557 0.7128 1.06057
0.14988 0.91713 0.1480 -0.02753
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.2800 -0.02341353 -0.03181 0.8713
0.5561 0.00928579 0.06287 -0.2431
0.7497 -0.00007332 -0.02285 0.5616
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.03365 0.4514 -0.04723 -0.93542
-0.15989 -0.1172 -0.09453 0.57824
-0.10553 0.3777 -0.07051 -0.09447
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2799 0.07910 1.4192 0
0.4180 -0.06697 -0.2972 0
0.2538 -0.03187 0.4348 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.3161 0.53517 0.5977 0.210095
-0.9104 0.20543 -0.1949 -0.742965
0.8552 -0.01657 0.2388 -0.005795
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.30911 0.3600 0.37590 -0.9694
-0.11933 0.7106 0.04682 1.3257
-0.01012 -0.5614 -0.04836 -0.6064
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.7079 0 1.473 0.15006
-0.5256 0 -1.540 -0.02725
1.0802 0 1.315 0.10342
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.5507 0.7453 0.17779 0
-1.1284 -0.1134 0.10668 0
0.2042 -0.1015 0.05527 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.57880 0.6110 0.173271 -0.4840
0.17309 0.1956 0.123923 -0.3084
-0.09789 0.1190 -0.001321 -0.1296
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.00000 -0.04587 -0.049008 0.051889
-0.02353 0.03378 0.064752 0.045479
0.04810 0.04010 0.007399 0.004284
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3321 0.081261 0.8842 102.00
-0.3894 0.004731 0.9244 99.59
0.2512 0.009682 0.8870 99.40
rnd_95776.volume rnd_95787.volume
0.04515 3.5013
4.16301 0.4968
-0.14514 -0.3661
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.494 1.875 6.235 2.885 2.965 1.007 1.275 2.997 3.704 2.511 1.850
[2,] 2.494 1.876 6.314 3.587 3.640 1.007 1.279 3.027 3.713 3.423 2.005
[3,] 2.504 1.898 6.485 4.205 3.937 1.014 1.285 3.043 3.801 3.478 2.007
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.336 1.971 2.598 3.666 4.111 2.914 2.711 4.297 4.074 6.308 3.005
[2,] 3.117 1.972 3.062 3.934 4.510 3.308 3.442 5.442 4.865 6.348 3.019
[3,] 3.207 1.974 3.214 4.220 4.870 3.706 3.797 5.591 4.955 6.457 3.025
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.435 4.341 1.247 3.328 3.025 2.886 2.778 1.548 2.741 3.102 1.781
[2,] 9.855 4.921 1.250 4.146 4.292 2.891 3.691 1.559 3.284 3.203 1.786
[3,] 9.968 5.035 1.252 5.107 5.478 2.910 4.321 1.564 4.266 3.351 1.867
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.246 2.560 2.677 2.857 2.553 2.453 0.8677 2.114 0.7005 2.628 2.258
[2,] 3.755 3.382 3.493 2.859 2.918 2.453 0.8685 2.115 0.7023 2.809 2.762
[3,] 4.386 3.741 3.804 2.866 2.938 2.481 0.8685 2.119 0.7024 3.043 2.996
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.255 1.256 2.378 2.438 3.566 1.975 3.460 2.974 1.421 3.180 2.417
[2,] 2.302 1.290 2.880 2.463 3.585 2.017 4.031 3.068 1.478 3.738 3.043
[3,] 2.334 1.306 3.091 2.485 3.633 2.105 4.154 3.120 1.494 3.948 3.293
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.264 1.672 2.474 0.8568 2.494 1.275 2.125 2.224 2.500 3.101 1.071
[2,] 2.674 2.694 2.475 0.8572 2.685 1.285 2.128 2.225 3.140 3.874 1.104
[3,] 3.151 3.076 2.475 0.8579 3.218 1.300 2.419 2.225 3.274 3.881 1.118
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.422 2.092 2.476 1.213 2.543 2.579 3.165 3.074 3.418 2.615 2.156
[2,] 3.207 2.113 3.505 1.249 2.547 2.579 3.169 3.694 3.426 3.723 2.905
[3,] 3.322 2.113 4.033 1.276 2.552 2.595 3.229 3.713 3.451 3.745 3.743
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8225 2.328 1.710 2.534 1.457 1.991 0.8845 2.157 1.881 5.022 4.893
[2,] 0.8227 2.491 1.728 2.683 1.463 2.104 0.8854 2.784 1.882 5.024 4.893
[3,] 0.8275 3.472 1.739 3.481 1.499 2.163 0.8872 2.812 1.919 5.046 4.985
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6594 0.7601 1.070 1.146 2.263 1.225 1.972 10.61 8.881 4.257
[2,] 1.0439 1.0857 1.074 1.147 2.269 1.227 2.164 11.17 9.653 4.801
[3,] 1.0460 1.0894 1.075 1.148 2.358 1.235 2.549 12.09 10.349 4.890
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.166 2.381 7.918 3.664 3.765 1.279 1.62 3.806 4.704
[2,] 22.286 21.241 336.492 722.152 715.445 7.438 32.61 144.398 87.258
[3,] 76.010 97.967 501.604 743.637 508.689 41.228 42.13 104.408 276.025
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 3.189 2.349 2.967 2.503 3.299 4.655 5.22 3.7 3.443
[2,] 788.480 261.618 698.995 16.387 548.868 483.671 628.93 530.5 718.605
[3,] 208.983 33.078 256.474 32.202 332.060 517.492 623.09 566.6 543.782
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.456 5.174 8.01 3.816 8.172 5.512 1.583 4.226
[2,] 1131.986 900.774 242.61 98.618 2529.565 785.712 28.086 837.809
[3,] 434.423 319.737 400.08 62.015 507.698 360.425 28.431 1011.046
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 3.841 3.665 3.527 1.966 3.481 3.939 2.262 4.122
[2,] 1031.778 56.378 823.670 61.605 612.983 270.527 44.724 639.884
[3,] 1153.861 111.493 761.437 41.956 922.590 333.642 184.023 768.068
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.251 3.399 3.628 3.242 3.115 1.102 2.685 0.8895 3.338
[2,] 748.975 760.718 36.139 478.782 19.652 12.326 22.716 17.1683 336.196
[3,] 541.542 510.146 67.726 115.537 126.188 1.131 45.312 3.2263 396.602
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 2.867 2.863 1.595 3.02 3.096 4.529 2.509 4.394 3.777
[2,] 539.402 156.850 99.453 550.73 118.587 123.028 138.639 700.996 255.327
[3,] 392.979 131.291 69.588 380.24 110.045 199.763 204.248 339.722 192.316
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.805 4.038 3.069 2.875 2.124 3.142 1.088 3.168 1.619
[2,] 136.776 665.718 626.796 482.187 715.900 22.094 9.355 336.319 52.355
[3,] 75.385 430.951 426.263 564.741 503.247 12.163 12.034 601.372 66.605
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 2.698 2.824 3.174 3.938 1.36 3.075 2.656 3.145 1.54
[2,] 39.257 15.963 643.903 786.722 90.58 712.740 100.736 840.672 100.87
[3,] 389.666 20.245 315.184 80.118 60.35 292.790 19.185 676.003 87.76
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 3.23 3.274 4.019 3.904 4.34 3.32 2.737 1.044 2.956
[2,] 44.00 21.024 53.570 694.127 81.78 898.01 659.875 5.374 299.885
[3,] 58.11 96.529 210.098 125.221 139.40 138.45 800.261 30.188 819.865
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.172 3.218 1.85 2.528 1.123 2.739 2.389 6.377 6.213
[2,] 83.095 298.633 45.77 230.540 13.407 596.385 10.473 45.778 28.082
[3,] 66.062 751.607 109.70 170.807 19.306 135.902 127.704 160.275 322.314
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.8373 0.9652 1.359 1.455 2.874 1.555 2.505 13.48
[2,] 274.2785 262.7392 28.021 13.641 56.128 24.195 301.656 1184.22
[3,] 22.5018 30.6115 15.655 20.661 217.616 49.470 456.437 1561.10
[,97] [,98]
[1,] 11.28 5.406
[2,] 1281.94 752.264
[3,] 1264.53 314.866
[1] "--- VAR model 2017-10-02 20:31:00 completed"
[1] "Completed training sample: 2017-10-02 20:31:00 - 2017-10-03 04:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 21:01:00 - 2017-10-03 05:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8959 0.1622 -2.690 -0.5107
-0.4088 -0.1806 -3.748 -5.2102
-0.6222 -0.1106 -1.207 -4.0440
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.311 0 0.130132 0.03995
-1.425 0 -0.078864 0.05368
-4.143 0 -0.002579 0.04042
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.3368 1.6155 -0.3723 -4.177
-0.6838 -0.4124 -0.0360 -1.876
0.2801 -0.3742 -0.1305 -3.247
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0 -1.9248 -2.90698 9.376
0 0.2364 0.03692 9.348
0 -0.5365 0.28357 9.319
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.5019 0.1062 2.058 -0.4618
-1.3989 -1.4823 -2.111 0.7545
-0.6658 0.3738 -2.178 0.2854
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.646 0.14904 -10.540 -4.732
-3.114 0.25680 -4.203 -3.990
-1.479 0.04233 -5.608 -3.287
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.07425 -4.639 -5.275 0.1865
-0.04610 -3.866 -3.257 0.2075
-0.01225 -2.141 -2.072 0.1373
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.6514 0 -0.1658 -1.1632
-4.8040 0 -6.1612 -0.5521
-3.2447 0 -3.2183 -0.7502
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.47411 -0.8003 -2.9442 -1.7047
0.09456 -3.4421 -0.2844 -0.1749
-0.49066 -4.4661 -4.0268 -4.0312
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5417 -0.8775 0.3070 0.0458385
0.2001 1.4350 -0.1080 0.0446772
-0.2202 0.3658 0.2114 0.0002726
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.28917 -0.0208614 4.216 5.3812
0.27385 0.0011405 -1.820 -0.8193
0.03328 0.0007755 -1.499 -1.2577
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7730 -0.26836 -1.323 -0.4275
0.5031 -0.16108 4.891 0.4430
-0.1299 0.05048 -2.048 0.2176
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.06912 0.4596 -2.1448 0.6165
-0.12130 -0.7105 0.1021 0.6350
-0.06815 1.0910 2.5206 0.2281
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.11976 1.9677 2.9769 -0.370
0.06155 -1.8850 -1.2678 1.257
0.01032 0.6475 0.4781 -1.412
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.1713 0.051175 -0.048947 2.2892
2.1039 0.030884 0.031555 -0.0902
-0.5848 0.002491 -0.003809 0.9074
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9017 1.4817 -0.15213 1.13965
-0.4784 0.9341 -0.05755 1.33279
-0.8433 0.2196 -0.12229 0.07477
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.4259 0.22013 3.407 -0.28469
1.5511 0.07901 1.106 0.06893
0.7046 0.13672 1.243 -0.18786
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.294 -0.07225 0.9367 -0.8111
1.103 0.35845 0.1267 0.2335
1.340 0.16701 0.5102 -0.4569
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.3399 -2.1031 -1.3254 -1.6276
-0.3064 0.3054 -0.1358 -1.3354
-0.5199 -1.1559 -0.1483 -0.5465
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.0275 0.02445 0.3287 0.1275
-1.9898 0.11258 -0.6528 0.1415
0.2783 -0.01196 -0.7640 -0.1967
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.3819 0.1146368 1.11684 0.3700
-1.5834 0.0004361 -0.49277 0.3495
-2.2123 0.0669055 0.01046 0.1285
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.7317 0.4986 0.98034 0.1448
0.4937 -0.1388 -0.15369 0.3657
1.3512 -0.2659 0.04782 0.1243
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.03038 0.031932 0.02386 -0.1513
0.17957 -0.002084 0.19167 0.4080
0.32682 0.168079 0.10535 0.1559
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.01611 -0.009360 -0.6403 95.53
0.82026 -0.046668 -0.7963 93.42
-0.08316 -0.001854 -0.7114 92.08
rnd_95776.volume rnd_95787.volume
-2.404 -3.512
1.599 -2.456
8.045 -3.241
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.361 1.732 5.164 2.760 2.836 0.8467 1.230 2.936 3.493 2.396 1.738
[2,] 2.370 1.739 5.291 3.500 3.587 0.8468 1.242 2.948 3.499 3.328 1.874
[3,] 2.380 1.774 5.569 3.967 3.884 0.8605 1.246 2.960 3.560 3.365 1.877
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.480 1.942 2.424 3.651 3.975 2.728 2.585 4.058 3.771 5.911 2.777
[2,] 3.219 1.943 2.954 3.865 4.387 3.145 3.341 4.995 4.522 6.066 2.797
[3,] 3.309 1.945 3.061 4.116 4.695 3.562 3.696 5.182 4.611 6.198 2.808
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.725 4.125 1.140 3.208 2.923 2.663 2.658 1.456 2.616 2.841 1.728
[2,] 9.040 4.759 1.144 3.895 4.032 2.671 3.593 1.457 3.082 2.925 1.731
[3,] 9.310 4.915 1.145 4.717 5.126 2.685 4.086 1.460 3.929 3.031 1.833
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.220 2.492 2.532 2.765 2.410 2.236 0.7887 1.889 0.6316 2.349 2.134
[2,] 3.506 3.364 3.354 2.771 2.740 2.256 0.7894 1.890 0.6326 2.547 2.577
[3,] 4.056 3.712 3.552 2.773 2.769 2.258 0.7903 1.909 0.6330 2.732 2.863
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.058 1.197 2.248 2.259 3.160 1.802 2.868 2.539 1.357 2.841 2.270
[2,] 2.123 1.226 2.672 2.268 3.177 1.829 3.393 2.576 1.412 3.205 2.694
[3,] 2.162 1.238 2.879 2.281 3.190 1.882 3.554 2.583 1.422 3.378 2.879
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.064 1.540 2.298 0.8668 2.260 1.204 2.003 2.029 2.243 3.103 1.026
[2,] 2.344 2.480 2.300 0.8669 2.430 1.210 2.010 2.035 2.819 3.823 1.052
[3,] 2.711 2.708 2.301 0.8684 2.761 1.212 2.253 2.035 2.916 3.831 1.065
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.195 1.901 2.330 1.132 2.454 2.093 2.896 2.674 3.307 2.697 2.102
[2,] 2.870 1.923 3.267 1.156 2.460 2.463 2.914 3.330 3.325 3.546 2.847
[3,] 3.002 1.924 3.725 1.173 2.480 2.481 2.940 3.367 3.345 3.574 3.474
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7677 2.258 1.549 2.352 1.290 1.827 0.8273 1.976 1.711 4.663 4.327
[2,] 0.7679 2.610 1.568 2.515 1.301 1.907 0.8295 2.550 1.711 4.666 4.333
[3,] 0.7728 3.201 1.591 3.231 1.325 1.955 0.8384 2.588 1.749 4.692 4.403
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5932 0.6292 0.8731 0.9325 2.067 1.008 1.941 10.83 8.263 4.031
[2,] 0.8184 0.8939 0.8754 0.9367 2.076 1.008 2.121 11.36 8.820 4.506
[3,] 0.8192 0.8973 0.8829 0.9392 2.121 1.013 2.504 12.36 9.421 4.606
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 2.998 2.199 6.558 3.504 3.601 1.075 1.561 3.729 4.436
[2,] 67.758 52.834 390.626 730.224 745.193 4.341 58.449 89.752 69.041
[3,] 75.076 119.469 590.294 634.012 505.507 51.893 35.353 90.200 222.396
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.042 2.207 3.149 2.465 3.078 4.636 5.048 3.464
[2,] 783.906 237.623 696.547 22.884 573.056 430.319 629.398 531.207
[3,] 168.009 35.549 259.947 28.729 272.721 479.898 567.966 567.822
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.283 5.152 4.788 7.506 3.526 7.27 5.239 1.448
[2,] 718.201 988.334 847.230 462.839 114.570 2374.05 804.851 28.757
[3,] 536.274 468.958 305.406 430.869 84.183 755.38 416.808 17.875
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.073 3.712 3.381 3.375 1.848 3.322 3.607 2.194
[2,] 749.801 942.170 72.704 820.299 21.992 553.200 236.534 37.049
[3,] 902.613 1074.374 92.831 660.128 30.590 826.536 270.194 204.129
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 4.088 3.165 3.215 3.511 3.06 2.839 1.002 2.399 0.8021
[2,] 471.082 766.659 746.271 61.938 442.04 100.899 10.982 20.044 11.7347
[3,] 692.255 532.167 397.291 40.224 137.60 38.787 12.741 92.076 7.9932
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 2.983 2.71 2.613 1.52 2.855 2.869 4.012 2.288 3.642
[2,] 334.366 489.88 177.206 89.21 489.855 67.611 111.627 106.017 614.935
[3,] 335.537 423.29 138.409 59.20 363.758 83.679 99.558 150.140 359.128
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.224 1.723 3.608 2.883 2.621 1.955 2.918 1.101 2.869
[2,] 147.657 132.049 502.794 492.189 376.826 659.920 39.032 5.878 302.957
[3,] 65.120 57.111 363.057 344.806 462.647 368.736 16.536 17.439 444.972
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.528 2.543 2.576 2.849 3.94 1.303 2.787 2.414 2.959
[2,] 43.330 59.243 54.798 579.390 757.64 78.748 627.418 99.419 776.841
[3,] 23.324 345.345 2.082 253.510 85.28 56.361 298.609 22.852 607.201
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.437 3.116 2.658 3.677 3.396 4.2 3.425 2.669 0.9748
[2,] 80.151 56.545 440.491 111.947 673.428 115.1 781.492 651.728 6.4152
[3,] 67.177 108.193 102.835 132.879 167.481 125.7 150.966 675.454 29.3373
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.868 1.967 2.987 1.638 2.32 1.051 2.509 2.173 5.922
[2,] 444.251 83.173 301.673 55.923 184.84 20.187 546.791 11.436 57.471
[3,] 628.840 91.087 688.608 85.853 146.31 41.444 151.609 122.752 167.276
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 5.494 0.7533 0.799 1.109 1.184 2.625 1.280 2.465 13.75
[2,] 77.390 191.3343 215.444 21.397 29.825 64.477 6.608 290.215 1163.43
[3,] 266.954 12.1890 26.684 39.083 23.328 146.888 31.943 451.427 1653.13
[,97] [,98]
[1,] 10.49 5.119
[2,] 1046.33 683.316
[3,] 1123.94 323.975
[1] "--- VAR model 2017-10-02 21:01:00 completed"
[1] "Completed training sample: 2017-10-02 21:01:00 - 2017-10-03 05:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 21:31:00 - 2017-10-03 05:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.4383 -0.1208 -0.193 -2.988
1.1133 0.2283 4.451 6.044
0.7729 0.2200 1.193 5.064
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.0496 0.184582 -0.093728 1.3754
-0.6079 0.001701 -0.001161 0.9696
6.3471 0.036090 -0.008989 0.9382
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.03127 8.3457 3.6098 3.005
-0.03441 2.7782 0.8655 -3.224
0.77032 0.8323 0.5193 -1.464
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.4394 11.372 9.597 20.04
-0.3640 3.103 5.384 19.38
0.7217 2.585 2.388 18.96
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.567 0.05224 -1.920 1.835
8.161 9.47582 4.833 4.875
6.672 5.53145 9.866 8.703
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.248 0 15.438 7.048
1.414 0 2.809 4.390
2.204 0 9.135 4.242
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04657 6.233 8.576 0.1337
0.01184 5.901 4.788 0.6631
0.03725 1.439 2.075 0.4933
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.447 -0.27117 -5.636 1.0609
5.355 0.25094 8.790 2.4522
4.980 -0.06006 4.886 0.7504
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.6760 -5.280 -2.9095 -0.3565
0.9290 3.713 -0.6101 -4.0349
0.4711 2.918 7.1979 8.0418
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.1565 -0.3329 0.19054 0.133657
0.8066 0.4414 0.21747 0.068477
0.3541 -0.4259 0.04565 0.002077
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.3695 0.0302552 3.1628 -1.479
0.8837 0.0169644 -1.2371 2.038
-0.3998 -0.0003789 0.7289 -2.129
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7747 0.12235 -1.953 0.09862
-0.2356 0.06750 2.946 0.30978
0.3978 -0.08315 1.089 0.08356
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.021720 0.75058 1.8268 0.17326
0.004692 0.07865 -0.6866 0.04447
-0.028518 1.31948 4.6145 0.02459
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.43208 1.4084 3.4504 1.9240
0.02469 0.3444 0.6131 0.9986
0.64929 1.6181 -0.8779 -0.1416
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.665 0.18320 0.3426 0.2335
3.205 0.20956 0.2018 0.8209
0.418 -0.05437 0.1198 1.9990
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.17446 1.6083 -0.20788 4.5706
-0.23630 0.4586 0.06809 -0.3967
-0.08071 1.4296 -0.12502 1.0088
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.7849 -0.0376 4.2821 0.16675
0.7935 -0.1404 3.0356 0.35188
0.6361 -0.1703 -0.0608 0.05465
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.474 0.1339 2.873 2.1843
4.815 0.3626 0.933 1.3804
0.225 0.2790 0.885 0.7955
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7207 3.348 0.80058 2.456
0.9618 3.914 0.48663 2.792
0.5825 3.459 -0.08521 2.439
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.6115 -0.098070 10.805 0.2984
0.4138 0.001536 2.197 -0.1355
2.4632 -0.007012 2.125 0.3279
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.462 -0.1107 0.8456 -0.05055
11.266 2.2870 0.8008 0.36318
1.804 0.2577 0.2016 0.04204
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.6122 -0.08853 -0.6494 0.21516
0.7912 0.15505 0.3641 -0.02447
0.4285 0.19419 -0.1334 0.04440
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.80520 -0.7260 0.2159 -0.68679
-0.02876 -0.1304 0.1393 -0.08687
-0.02716 0.0564 -0.1966 -0.24015
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.6182 0.0194262 2.500 101.2
-0.1278 -0.0158403 2.981 101.3
1.3852 -0.0002139 2.743 103.5
rnd_95776.volume rnd_95787.volume
2.006 3.331
13.257 2.953
9.446 1.877
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.535 1.581 5.037 2.531 2.775 0.7650 1.210 2.809 3.52 2.542 1.711
[2,] 2.550 1.582 5.097 3.175 3.519 0.7650 1.228 2.823 3.52 3.386 1.847
[3,] 2.624 1.606 5.286 3.739 3.805 0.7795 1.237 2.830 3.56 3.416 1.854
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.539 1.937 2.394 3.606 3.814 2.685 2.399 2.616 3.043 6.437 2.755
[2,] 3.162 1.939 3.057 3.910 4.194 3.105 3.105 3.612 3.489 6.523 2.781
[3,] 3.276 1.939 3.123 4.114 4.513 3.527 3.508 3.882 3.636 6.673 2.794
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.884 4.083 0.9395 3.033 2.861 2.568 2.507 1.359 2.502 2.755 1.618
[2,] 9.215 4.665 0.9395 3.750 3.931 2.571 3.403 1.362 2.850 2.813 1.634
[3,] 9.316 4.833 0.9396 4.671 4.993 2.587 3.907 1.365 3.811 2.872 1.736
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.006 2.439 2.474 2.836 2.262 2.025 0.6908 1.586 0.5937 2.340 1.992
[2,] 3.219 3.131 3.172 2.843 2.518 2.053 0.6909 1.588 0.5940 2.516 2.454
[3,] 3.851 3.459 3.321 2.849 2.585 2.059 0.6909 1.595 0.5943 2.700 2.726
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.000 1.188 2.072 2.035 2.944 1.647 2.790 2.265 1.294 2.565 2.112
[2,] 2.018 1.192 2.465 2.035 2.947 1.681 3.225 2.339 1.334 2.877 2.592
[3,] 2.034 1.192 2.636 2.040 2.949 1.726 3.411 2.361 1.344 3.009 2.720
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.002 1.416 2.134 0.8970 2.081 1.237 1.916 1.751 2.056 3.129 1.051
[2,] 2.221 2.321 2.139 0.9005 2.268 1.272 1.938 1.751 2.615 3.784 1.070
[3,] 2.537 2.607 2.143 0.9023 2.573 1.295 2.143 1.753 2.731 3.804 1.071
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.101 1.732 2.205 1.015 2.659 2.642 3.011 2.677 3.125 2.530 2.203
[2,] 2.740 1.746 2.985 1.036 2.668 2.644 3.063 3.393 3.145 3.684 2.990
[3,] 2.881 1.751 3.366 1.050 2.765 2.719 3.118 3.426 3.149 3.707 3.359
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6840 2.128 1.449 2.124 1.234 1.683 0.7400 1.754 1.608 4.544 3.665
[2,] 0.6841 2.542 1.466 2.337 1.245 1.776 0.7404 2.373 1.608 4.571 3.676
[3,] 0.6858 3.397 1.488 3.353 1.278 1.822 0.7463 2.425 1.639 4.632 3.765
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5438 0.5331 0.7517 0.7387 1.819 0.8760 1.677 10.94 7.643 4.013
[2,] 0.7372 0.7521 0.7544 0.7510 1.823 0.8775 1.831 11.47 8.097 4.431
[3,] 0.7386 0.7539 0.7562 0.7661 1.870 0.8782 2.116 12.51 8.604 4.537
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.22 2.008 6.396 3.214 3.524 0.9714 1.536 3.567 4.469
[2,] 90.07 14.090 258.065 632.564 713.628 2.4491 70.253 91.596 16.360
[3,] 204.38 91.411 461.518 651.655 477.571 49.3544 49.783 68.639 176.702
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 3.228 2.173 3.225 2.459 3.04 4.579 4.844 3.409 3.046
[2,] 738.002 228.865 621.761 31.427 627.28 498.794 574.899 514.766 650.460
[3,] 148.004 56.129 281.887 9.501 209.59 422.010 550.213 551.391 538.720
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 3.322 3.865 8.173 3.499 7.472 5.185 1.193 3.852
[2,] 821.529 562.839 348.612 125.732 2339.789 744.151 2.853 727.522
[3,] 469.212 337.304 464.882 86.178 450.928 416.988 3.689 918.875
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 3.633 3.261 3.184 1.726 3.177 3.498 2.055 3.817
[2,] 889.257 40.137 758.930 28.859 450.538 187.627 73.931 380.116
[3,] 1016.011 95.162 633.672 28.065 834.637 191.088 193.574 697.026
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.097 3.141 3.601 2.872 2.572 0.8772 2.014 0.7539 2.971
[2,] 647.563 654.953 66.950 365.213 111.662 4.8674 21.464 6.2230 305.704
[3,] 485.256 324.591 58.886 192.709 51.344 1.3633 49.338 5.7611 322.532
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 2.53 2.54 1.509 2.631 2.584 3.739 2.092 3.542 2.877
[2,] 472.93 88.26 29.714 440.310 9.412 46.253 109.855 534.065 191.839
[3,] 390.95 84.12 5.073 308.223 49.005 34.491 129.441 365.886 106.106
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.643 3.257 2.682 2.542 1.797 2.71 1.139 2.643 1.57
[2,] 107.284 430.072 495.418 317.235 606.736 45.92 26.170 297.752 98.45
[3,] 54.156 290.727 272.286 404.365 391.916 42.80 18.713 400.767 79.16
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 2.433 2.223 2.611 3.973 1.335 2.668 2.199 2.8 1.289
[2,] 94.863 9.625 532.741 702.428 66.539 580.301 71.874 664.0 67.962
[3,] 301.737 27.743 259.676 125.960 9.170 293.906 44.709 513.2 55.831
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 3.376 3.354 3.824 3.399 3.968 3.212 2.797 0.8686
[2,] 73.055 39.392 184.673 688.180 116.426 883.650 666.928 3.6000
[3,] 239.548 209.574 193.088 155.833 55.917 135.372 504.980 16.1507
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.702 1.84 2.697 1.567 2.137 0.9397 2.227 2.042 5.771
[2,] 458.871 73.48 321.779 55.457 186.815 7.1829 527.200 12.251 163.026
[3,] 743.446 83.12 793.370 94.914 135.171 30.9205 165.461 105.142 246.833
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.654 0.6905 0.6769 0.9545 0.938 2.31 1.112 2.129 13.9
[2,] 93.618 164.2465 175.0344 21.0975 44.685 40.73 16.826 243.040 1128.5
[3,] 267.449 14.7255 17.2283 17.3286 49.900 137.93 11.530 349.812 1648.4
[,97] [,98]
[1,] 9.705 5.096
[2,] 881.712 619.838
[3,] 960.489 322.543
[1] "--- VAR model 2017-10-02 21:31:00 completed"
[1] "Completed training sample: 2017-10-02 21:31:00 - 2017-10-03 05:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 22:01:00 - 2017-10-03 06:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.1761 0.09194 -0.1358 20.561
-0.5890 -0.07601 2.8013 12.615
-0.3182 -0.11878 0.8046 -2.864
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.257 0 -0.1318 -0.5701
13.718 0 1.2568 0.2991
9.594 0 0.3292 -0.6015
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.4993 -1.6217 0.59351 -7.287
0.2149 -0.5823 0.19925 -9.682
0.7909 0.1942 0.09706 -9.300
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.3462 2.503 0.7699 26.17
-0.2269 -1.017 -0.6809 26.42
0.2662 -0.570 -1.2811 26.91
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.962 1.37705 -5.08199 0.03763
-2.116 -0.05059 2.23149 4.94695
-4.129 -3.20529 0.06178 0.87158
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.6765 0.03157 -8.9540 -1.0103
1.0365 0.08276 0.2095 0.7103
-0.3242 0.01604 4.7237 1.3754
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.06871 12.3565 23.410 0.2976
0.06045 -3.9572 -6.679 -0.2338
0.05283 0.2719 -1.203 -0.1984
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
23.198 -0.15639 18.004 0.387474
11.724 -0.02332 18.654 -0.271741
-3.843 0.04105 -6.006 0.007923
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.148 7.690 2.396 2.005
4.333 20.848 16.545 11.892
1.808 1.065 9.668 17.213
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8134 -2.9542 -0.6815 0.008557
1.8246 0.2996 -0.3157 -0.217237
-0.1886 -1.0664 -0.2734 0.133609
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.4418 -0.07820 -2.970 2.490
0.7625 0.04257 1.663 0.807
1.5903 0.03554 8.205 5.948
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7815 0.055592 4.1233 -0.25587
-0.3130 -0.006658 -0.4242 -0.05042
0.2541 0.010991 0.1009 0.04870
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1914 -0.2432 0.8936 -0.43031
0.6531 1.5482 1.0220 0.05773
0.3677 0.7289 2.7906 -0.19504
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.800869 4.7401 1.7678 -6.0399
0.003557 -0.7998 0.2034 4.0489
0.563738 1.5914 0.8163 -0.3352
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.7685 0.121874 0.75488 -0.34455
0.6434 -0.006798 0.01703 -3.30331
0.8442 0.005689 0.20033 -0.03082
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.29322 -0.6192 0.25852 -0.4955
-0.15949 -0.1167 0.06364 -0.4276
-0.07821 -2.6729 0.08586 -1.2529
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.4101 -0.0348 -3.9141 0.1122
-2.1835 0.2761 -0.2815 0.2015
0.7803 0.2985 -0.3146 0.2831
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.06727 0.03187 -0.8716 -0.9396
-0.48263 -0.03581 -0.9369 -0.5877
0.01155 0.00339 -0.3162 -0.2693
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.15972 0.6405 -0.16587 2.5562
0.38663 -1.1659 0.12833 -1.3185
0.05159 -1.1844 0.07091 -0.3188
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.0553 -0.00437202 -5.170 -0.05729
0.1081 0.00004806 1.069 0.03546
-0.9609 -0.00026757 -1.096 0.07417
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.4788 0.80964 0.44698 0.4557
-1.2400 -0.06475 0.56679 0.2286
-0.7125 0.59460 -0.03634 0.2970
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.9771 0.2095 0.78142 0.974544
0.6454 -0.1387 2.89973 1.448752
0.2880 -0.1337 0.09332 -0.005308
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.3910 0.7289 0.22600 0.5363
0.1847 0.1907 0.44748 0.4467
0.3562 0.3124 0.09871 0.1577
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.07725 -0.007707 -1.752 91.48
-0.06381 -0.025143 -1.768 93.53
-1.90564 0.014936 -1.672 89.98
rnd_95776.volume rnd_95787.volume
-2.946 -0.8110
13.580 -1.0477
-6.898 0.2186
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.685 1.477 5.006 2.548 2.864 0.6982 1.417 3.113 3.914 2.859 1.725
[2,] 2.696 1.478 5.109 3.219 3.646 0.6984 1.419 3.209 3.920 3.909 1.937
[3,] 2.749 1.478 5.224 3.729 3.979 0.7098 1.455 3.246 3.960 3.996 1.940
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.973 1.962 2.621 3.818 3.719 3.027 2.742 3.146 3.187 7.061 2.657
[2,] 3.507 1.966 3.437 4.214 3.983 3.554 3.487 4.052 3.567 7.200 2.693
[3,] 3.703 1.967 3.565 4.458 4.293 4.048 3.880 4.419 3.661 7.340 2.706
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.114 4.227 0.9199 3.119 2.944 2.467 2.495 1.289 2.603 3.017 1.664
[2,] 9.697 4.870 0.9199 3.833 4.054 2.468 3.534 1.293 3.015 3.064 1.674
[3,] 9.869 4.961 0.9199 4.773 5.369 2.483 4.029 1.296 4.007 3.162 1.747
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.257 2.459 2.511 3.156 2.409 2.047 0.6369 1.659 0.6045 2.421 2.121
[2,] 3.468 3.271 3.399 3.176 2.625 2.075 0.6403 1.662 0.6052 2.599 2.620
[3,] 4.153 3.628 3.597 3.184 2.652 2.078 0.6411 1.662 0.6058 2.761 2.859
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.909 1.241 2.256 1.980 2.681 1.580 2.920 2.136 1.302 2.591 2.134
[2,] 1.931 1.243 2.619 1.980 2.681 1.636 3.390 2.207 1.351 2.972 2.546
[3,] 1.950 1.243 2.771 1.988 2.697 1.690 3.484 2.217 1.360 3.130 2.684
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.985 1.457 2.172 1.016 2.174 1.248 1.903 1.649 1.863 3.009 1.144
[2,] 2.236 2.318 2.186 1.022 2.374 1.289 1.922 1.653 2.378 3.538 1.151
[3,] 2.559 2.578 2.191 1.022 2.702 1.312 2.117 1.653 2.468 3.599 1.152
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.355 1.726 2.253 1.076 3.205 2.774 3.114 3.162 3.076 2.903 2.364
[2,] 2.702 1.734 2.834 1.077 3.265 2.787 3.137 3.731 3.077 4.021 3.415
[3,] 2.846 1.743 3.182 1.077 3.372 2.825 3.151 3.759 3.079 4.045 3.695
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6716 2.075 1.440 2.111 1.338 1.627 0.7343 1.662 1.443 4.706 3.552
[2,] 0.6716 2.699 1.442 2.367 1.342 1.724 0.7344 2.517 1.443 4.721 3.567
[3,] 0.6729 3.551 1.453 3.623 1.391 1.805 0.7367 2.540 1.444 4.789 3.614
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6127 0.7208 0.7377 0.7674 1.860 0.7772 1.593 11.15 7.787 4.120
[2,] 0.6722 0.8396 0.7478 0.7770 1.868 0.7772 1.784 11.69 8.355 4.665
[3,] 0.7180 0.8434 0.7544 0.7833 1.922 0.7773 2.084 12.72 8.953 4.766
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.41 1.876 6.357 3.235 3.637 0.8866 1.80 3.953 4.97
[2,] 72.37 16.105 302.814 584.829 670.439 4.2192 19.17 231.312 65.27
[3,] 158.96 5.379 323.937 559.432 473.663 37.6895 96.60 145.722 167.76
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 3.63 2.191 3.775 2.491 3.328 4.848 4.723 3.844 3.482
[2,] 792.41 261.515 552.912 38.338 661.092 530.113 423.818 553.644 640.183
[3,] 246.08 32.013 353.615 17.644 280.920 432.971 476.197 576.042 506.213
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 3.995 4.047 8.967 3.373 7.764 5.367 1.168 3.96
[2,] 759.154 476.559 418.822 131.856 2236.989 719.375 2.591 662.48
[3,] 523.705 245.254 423.481 77.574 546.192 281.120 2.421 845.14
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 3.738 3.132 3.168 1.636 3.305 3.831 2.114 4.135
[2,] 828.410 26.238 744.003 31.832 452.309 159.906 54.215 354.429
[3,] 1046.408 81.491 575.119 26.032 784.223 231.667 147.734 678.835
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.123 3.189 4.008 3.059 2.599 0.8088 2.107 0.7676 3.075
[2,] 640.834 680.750 105.030 309.892 101.635 19.6597 28.045 8.7062 280.373
[3,] 466.695 350.271 68.188 111.914 30.139 9.6127 2.168 7.9306 277.191
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 2.694 2.424 1.575 2.864 2.514 3.405 2.007 3.708 2.712
[2,] 456.980 86.807 24.959 395.725 8.581 5.031 126.128 511.667 165.380
[3,] 339.905 81.289 2.488 269.016 50.689 87.573 125.380 238.825 60.983
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.654 3.29 2.709 2.521 1.85 2.758 1.290 2.76 1.585
[2,] 106.884 433.04 413.036 305.754 535.77 72.989 31.733 283.76 96.015
[3,] 46.101 291.33 252.032 369.905 335.88 42.503 8.097 383.40 71.596
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 2.417 2.094 2.366 3.821 1.453 2.99 2.192 2.86 1.366
[2,] 78.679 33.835 439.112 552.944 37.692 393.52 49.351 511.31 12.031
[3,] 264.072 9.955 196.893 196.581 6.286 266.29 51.821 430.07 7.936
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.07 3.522 3.954 4.015 3.906 3.686 3.002 0.8528 2.635
[2,] 185.86 81.305 114.826 588.606 23.806 826.994 732.366 2.2948 512.870
[3,] 249.79 137.828 87.666 135.933 31.950 131.477 419.284 12.2350 686.060
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.828 2.681 1.699 2.066 0.9325 2.111 1.832 5.976 4.511
[2,] 25.887 317.796 31.083 169.582 3.3414 561.807 7.086 110.078 96.252
[3,] 51.947 815.406 108.715 158.719 17.2326 101.630 15.731 239.679 172.103
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.778 0.9153 0.9367 0.9744 2.362 0.987 2.023 14.15 9.888
[2,] 82.193 127.9836 36.4405 36.3459 51.063 1.094 238.585 1050.83 900.282
[3,] 74.991 23.5241 29.6859 29.4519 134.619 2.522 320.227 1489.17 956.232
[,98]
[1,] 5.231
[2,] 650.368
[3,] 291.007
[1] "--- VAR model 2017-10-02 22:01:00 completed"
[1] "Completed training sample: 2017-10-02 22:01:00 - 2017-10-03 06:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 22:31:00 - 2017-10-03 06:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.739 -0.30810 -7.296 -11.469
-2.265 -0.15516 -7.458 -2.473
-1.505 -0.08864 -8.975 -14.661
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-23.016 0.6420 0.5395 1.1630
-11.028 0.5673 -0.7629 -1.5967
-8.062 0.3287 -0.6140 -0.8712
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.511 -21.828 -5.6421 -16.92
-1.990 2.313 0.3342 -25.94
-3.335 -1.004 0.2459 -24.63
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.23350 -9.6511 -6.7443 23.46
-0.44983 -7.7414 -11.3137 22.84
0.06655 0.6143 -0.2122 22.94
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.133 -11.715 -17.20 -10.437
-16.519 -9.855 -11.43 -8.229
-4.558 -8.930 -18.95 -13.205
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.748 0.392502 -42.231 -0.748
-4.909 0.001693 -9.971 -14.511
-6.803 0.225823 -12.332 -6.147
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.17058 1.747 -4.259 1.31367
0.41242 -16.848 -10.244 -0.01426
0.08333 -3.259 -9.940 0.05968
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.0773 -0.14812 -9.575 -3.211
-0.6934 0.05904 -5.433 -2.675
-16.1333 0.07447 -9.304 -1.623
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.7597 -11.085 -20.355 -18.505
-1.6783 -9.504 -8.925 -11.135
0.2972 -3.507 -6.146 -7.108
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.6373 3.62930 0.15930 0.7691
-4.5140 -0.65504 0.03076 0.7389
-0.5807 -0.08109 0.05562 0.4244
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.0205 -0.10318 -11.312 -16.320
2.6141 0.01081 -7.764 -13.475
-1.9600 -0.11815 -5.585 -8.192
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7115 1.7710 2.057 -0.28804
-1.3723 -0.7575 -10.338 -0.09198
-1.2138 -0.3681 -10.823 1.01609
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.3153 -1.1006 -2.718 1.234
0.5091 -0.0476 1.536 1.838
0.4866 -3.2271 -6.521 1.518
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.57276 -5.1926 -1.262 2.413
-0.06931 -0.6879 -1.545 -4.833
-0.35869 -0.2959 1.168 1.526
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.2499 -0.16052 -0.16357 -4.029
-0.5767 0.20302 -0.02694 1.514
-1.9760 0.03138 -0.08077 -1.235
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7416 -3.3291 -0.2514 6.6193
-0.5494 -0.1247 -0.1892 -3.7648
-0.4171 0.5892 -0.1256 -0.3723
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.24024 0.05446 2.810 0.07357
-2.96371 0.10562 3.167 0.04026
0.02529 0.04809 -2.822 -0.64144
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.286 0.5060 -6.792 -0.1925
6.711 0.3082 -4.441 -1.0450
-3.138 0.2714 -2.910 -0.7399
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.9508 -3.494 -0.03935 -11.127
-0.2304 -1.081 0.22676 -1.461
0.2086 -2.437 -0.03722 -2.842
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-14.9997 0.03120 -5.394 -0.18820
-0.9458 -0.08023 -10.074 -0.25979
-2.0653 -0.06663 -1.856 -0.00723
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.693 -0.2652 0.4261 -0.20308
-20.026 -0.6785 -0.9602 -0.10694
-1.309 -1.8118 0.5500 -0.01924
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.733 -0.140041 0.05744 -0.8816
3.386 0.002171 0.93111 -0.3682
-2.292 -0.022364 0.07617 -0.1827
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.093968 -1.7602 -0.2379 0.8575
-0.059403 -0.2807 0.2103 -1.3771
0.007604 0.9880 -0.2538 -0.3568
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.12217 0.3433 0.9869 86.88
0.08124 -0.1774 1.2109 89.62
0.85586 -0.1003 1.0156 88.87
rnd_95776.volume rnd_95787.volume
-0.016 0.9164
-9.333 -16.4748
-20.428 -2.3868
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.492 1.442 6.185 3.197 3.123 0.6535 1.526 4.107 4.898 3.355 1.892
[2,] 3.529 1.451 6.215 3.719 4.338 0.6547 1.530 4.116 4.913 4.855 2.248
[3,] 3.559 1.452 6.445 4.248 4.633 0.6696 1.562 4.161 4.955 4.857 2.254
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.982 1.995 2.900 3.944 3.760 3.449 3.107 3.660 3.786 6.885 2.348
[2,] 4.111 1.996 3.692 4.339 4.036 3.816 3.942 4.356 3.971 6.944 2.407
[3,] 4.336 1.996 3.962 4.714 4.325 4.609 4.243 4.684 4.093 7.039 2.432
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.397 4.489 0.9330 3.457 3.403 2.500 2.918 1.234 3.143 3.189 1.856
[2,] 12.590 4.911 0.9338 4.307 4.434 2.503 3.972 1.234 3.746 3.223 1.880
[3,] 12.620 6.345 0.9358 6.286 5.399 2.530 4.522 1.235 4.604 3.282 1.932
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.655 2.705 2.647 3.256 2.638 1.982 0.6510 2.074 0.6191 2.634 2.351
[2,] 4.043 3.956 3.885 3.308 2.905 2.004 0.6593 2.081 0.6194 2.853 2.807
[3,] 4.734 4.234 4.251 3.449 2.919 2.007 0.6594 2.082 0.6196 3.026 3.142
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.920 1.281 2.446 2.100 2.676 1.636 3.066 2.028 1.304 2.602 2.202
[2,] 1.955 1.325 2.746 2.102 2.676 1.713 3.682 2.083 1.342 3.103 2.572
[3,] 1.971 1.330 2.883 2.112 2.687 1.741 3.792 2.087 1.349 3.364 2.752
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.922 1.540 2.090 1.052 2.584 1.309 1.919 1.719 2.004 3.263 1.150
[2,] 2.289 2.337 2.116 1.059 2.783 1.334 2.000 1.726 2.592 3.907 1.227
[3,] 2.723 2.564 2.117 1.060 3.056 1.358 2.160 1.727 2.669 3.940 1.229
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.471 1.832 2.318 1.039 4.247 3.330 3.321 3.717 3.176 3.153 2.469
[2,] 3.043 1.836 2.953 1.068 4.565 3.333 3.334 4.267 3.184 4.835 3.948
[3,] 3.200 1.849 3.430 1.083 4.766 3.336 3.334 4.295 3.192 4.846 4.220
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6211 2.098 1.563 2.357 1.355 1.589 0.7792 1.682 1.449 4.771 3.586
[2,] 0.6214 2.827 1.586 2.593 1.370 1.671 0.7792 2.688 1.452 4.778 3.610
[3,] 0.6234 4.268 1.601 3.852 1.423 1.785 0.7828 2.704 1.452 4.882 3.639
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.025 0.8914 0.8829 0.8221 2.001 0.8700 1.357 10.88 8.230 4.600
[2,] 1.026 1.0475 1.1451 0.9958 2.005 0.8712 1.490 11.35 8.954 4.934
[3,] 1.026 1.0502 1.1501 1.0423 2.036 0.8739 1.681 12.27 9.453 6.330
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.435 1.831 7.855 4.059 3.965 0.8298 1.938 5.215 6.22
[2,] 145.532 45.341 173.220 540.589 856.659 11.3600 30.025 80.529 109.02
[3,] 129.463 20.707 484.704 584.325 462.316 39.9699 89.785 172.491 183.46
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.26 2.403 5.056 2.533 3.683 5.008 4.775 4.38 3.946
[2,] 998.27 344.917 290.877 17.536 649.877 514.921 416.855 464.37 690.182
[3,] 41.01 49.565 392.192 15.394 408.985 524.034 442.774 735.53 446.432
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.648 4.807 8.742 2.982 8.124 5.7 1.185 4.39
[2,] 671.822 341.311 256.770 150.283 3084.640 566.4 10.603 730.59
[3,] 489.688 281.985 328.930 98.743 246.127 1142.9 17.353 1302.58
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.321 3.175 3.705 1.566 3.991 4.05 2.357 4.641 3.434
[2,] 808.723 35.519 766.515 6.638 579.883 132.17 84.849 491.312 821.140
[3,] 876.203 104.406 615.213 17.304 761.438 176.57 127.271 700.901 429.624
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.361 4.135 3.35 2.516 0.8267 2.633 0.7861 3.345 2.985
[2,] 808.783 166.603 346.21 85.193 29.6767 49.155 6.1454 311.649 436.629
[3,] 491.290 277.284 80.53 29.738 3.5658 21.112 4.4994 286.881 401.045
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 2.439 1.626 3.107 2.667 3.398 2.077 3.893 2.575 1.656
[2,] 103.919 97.084 354.542 25.390 4.653 144.972 580.312 135.529 90.310
[3,] 71.548 31.592 249.815 58.725 68.804 88.606 256.889 36.769 39.952
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.304 2.796 2.441 1.956 2.653 1.335 3.281 1.662 2.437
[2,] 481.113 378.248 353.517 500.042 94.460 34.336 293.805 73.187 160.630
[3,] 369.649 278.001 419.693 299.736 18.357 16.970 358.934 71.327 232.222
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.182 2.544 4.144 1.46 3.138 2.327 2.944 1.319 5.393
[2,] 45.298 467.779 611.025 121.96 505.315 34.828 520.333 70.553 476.396
[3,] 20.441 180.802 145.136 19.01 281.317 61.502 496.612 50.502 389.077
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.228 4.217 4.72 4.032 4.004 3.136 0.7887 2.664 1.984
[2,] 43.433 84.670 596.38 66.351 1042.474 876.125 5.5470 539.252 77.236
[3,] 39.125 7.705 137.66 64.974 95.654 424.387 14.1878 909.495 62.300
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.993 1.721 2.018 0.9895 2.136 1.840 6.059 4.553 1.301
[2,] 307.072 58.078 147.086 0.8888 596.584 25.361 70.993 117.569 15.932
[3,] 810.541 108.964 178.855 21.2380 82.500 1.829 284.720 132.498 8.577
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.132 1.121 1.044 2.541 1.105 1.723 13.81 10.45
[2,] 156.530 207.425 159.866 37.512 12.585 174.768 926.67 1003.44
[3,] 21.385 30.451 87.591 100.031 19.721 221.619 1320.55 862.32
[,98]
[1,] 5.841
[2,] 507.986
[3,] 1127.926
[1] "--- VAR model 2017-10-02 22:31:00 completed"
[1] "Completed training sample: 2017-10-02 22:31:00 - 2017-10-03 06:30:00"
[1] "SpVAR; CCF training sample: 2017-10-02 23:01:00 - 2017-10-03 07:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.68243 0.42752 -30.23 -34.98
-0.03642 0.07340 -19.06 -10.45
-0.30076 -0.05741 -18.16 -24.47
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.72 0.1312 2.283 11.27
-26.52 -0.2275 5.458 12.45
-14.94 -0.1152 3.697 12.63
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
11.19 17.190 4.366 -15.97
10.12 8.183 2.453 -14.22
10.09 8.351 2.691 -13.76
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.2112 -2.055 -0.3488 36.18
1.5488 5.834 5.6677 39.97
0.4591 2.794 4.1363 37.97
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.184 1.0826 20.359 14.011
2.135 -0.7094 6.729 5.257
3.871 6.1468 11.263 5.958
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-19.32 0.5043 -53.53 -9.265
-16.05 0.2994 -38.05 -28.824
-16.11 0.1335 -28.19 -15.420
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4204 -5.929 -11.83 3.850
-0.2868 -26.134 -18.25 6.212
-0.1405 -17.056 -23.49 5.329
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-37.140 0.0411 -34.96 0.9144
-7.716 0.0710 -16.01 0.1936
-25.897 0.1110 -16.41 0.1268
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.465 -25.69 -13.78 -15.63
-6.690 -22.58 -28.58 -24.38
-1.450 -11.16 -12.42 -19.18
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.68815 1.4241 0.7495 -0.04048
-0.06561 -0.5476 0.1950 0.72375
1.03398 3.7385 0.1728 -0.14309
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.7489 0.4098 -1.972 -1.082
-1.2080 -0.3511 -6.418 -10.277
-0.7892 -0.3798 -12.865 -12.145
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.761 2.854 -2.6444 -0.4042
3.906 1.780 0.4292 -0.5635
2.448 1.596 -6.7306 -0.2339
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.2281 -5.3959 -14.471 3.550
-0.2367 -0.8729 -5.127 1.470
0.3690 -0.3783 1.436 2.127
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.2490 -10.4628 -6.108 1.096
-1.7726 -11.2659 -10.428 -9.796
-0.2894 0.3825 -2.714 -6.253
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
12.464 -0.077856 0.03119 -2.351
-7.815 0.006659 0.03341 10.213
-8.930 -0.063980 -0.02666 -6.232
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.402 -0.6106 0.2849 -2.9951
-1.254 6.2926 -0.3731 0.2173
-1.291 -0.5303 -0.6481 5.3705
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.2266 -0.5298 -10.5947 1.352
-0.8112 -0.1322 0.2958 1.693
6.0875 -0.2289 1.0790 1.854
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.7442 1.4061 3.018 -0.6573
-4.2689 -1.0337 1.859 0.2420
-0.1453 0.2762 1.212 -0.3367
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7571 -4.618 8.564 -1.6743
-0.3016 -3.517 5.701 -0.3717
-0.2739 -3.025 7.065 0.3972
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.3224 0.23481 -1.5409 -0.5447
-2.2743 -0.23175 0.5936 -0.4741
-1.6364 -0.07154 -0.1723 -0.3252
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.7302 1.4222 -1.593 0.3320
-0.2701 0.9449 -3.316 0.4660
-2.8567 1.2194 -2.470 0.2491
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.6055 1.13313 1.23248 1.4825
0.8743 -0.35516 1.58677 -2.4795
0.9167 0.07753 0.02004 0.5477
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.851466 0.4423 9.355 9.8984
0.178560 -3.4697 -2.080 0.5761
-0.007024 4.1245 -2.162 -3.8631
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.02693 0.9980 -1.513 6.819
2.45529 0.9792 -1.557 6.843
0.40535 0.7792 -1.953 5.334
rnd_95776.volume rnd_95787.volume
-37.949 -9.794
-1.794 -28.171
-1.873 -13.254
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.626 1.608 7.407 3.543 3.823 0.6837 1.967 5.227 5.414 3.830 2.290
[2,] 3.674 1.627 7.782 4.088 4.798 0.6837 1.970 5.290 5.657 5.855 2.661
[3,] 3.703 1.628 8.149 4.975 5.033 0.7015 2.093 5.320 5.717 5.865 2.687
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.330 2.257 3.431 4.560 3.825 4.273 4.086 4.387 4.516 7.550 2.733
[2,] 4.591 2.260 3.916 4.836 4.158 4.574 4.921 5.683 5.054 7.660 2.776
[3,] 4.830 2.264 4.067 5.044 4.462 4.940 5.110 5.980 5.393 7.826 2.790
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.873 5.200 1.034 3.810 3.800 2.965 3.406 1.266 3.425 3.551 1.929
[2,] 13.270 5.683 1.039 5.034 5.397 2.966 4.437 1.266 4.043 3.594 1.957
[3,] 13.443 7.350 1.042 7.061 6.219 3.005 5.213 1.269 4.962 3.639 2.008
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.033 3.222 3.304 3.539 2.790 1.943 0.6922 2.504 0.8296 2.790 2.512
[2,] 4.532 4.331 4.427 3.633 3.097 1.970 0.7024 2.505 0.8347 3.069 3.249
[3,] 5.244 4.560 4.862 3.640 3.113 1.972 0.7027 2.507 0.8364 3.248 3.534
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.118 1.471 2.876 2.499 2.707 1.755 3.393 2.125 1.396 2.807 2.428
[2,] 2.174 1.555 3.080 2.499 2.708 1.861 4.051 2.170 1.444 3.237 2.881
[3,] 2.252 1.563 3.360 2.528 2.734 1.880 4.280 2.199 1.470 3.623 3.135
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.104 1.769 2.238 1.154 2.948 1.289 2.073 2.036 2.240 3.283 1.349
[2,] 2.582 2.799 2.261 1.169 3.054 1.296 2.094 2.036 2.966 4.021 1.368
[3,] 2.962 3.150 2.261 1.170 3.510 1.337 2.330 2.037 3.038 4.061 1.368
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.001 1.936 2.760 1.143 4.533 3.419 3.385 3.764 3.926 3.883 3.144
[2,] 3.309 1.943 3.236 1.184 4.939 3.432 3.408 4.332 4.164 5.090 4.147
[3,] 3.504 1.962 3.794 1.193 5.136 3.440 3.409 4.404 4.265 5.116 4.462
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6546 2.362 1.867 2.782 1.501 1.751 0.8813 1.832 1.614 4.854 4.318
[2,] 0.6558 3.513 1.952 3.154 1.583 1.821 0.8820 2.838 1.633 4.865 4.324
[3,] 0.6610 4.512 1.981 4.049 1.612 1.931 0.8863 2.850 1.636 4.930 4.583
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.402 1.347 1.292 1.150 2.137 1.031 1.262 11.21 8.164 4.974
[2,] 1.478 1.830 1.919 1.617 2.144 1.068 1.325 11.86 10.154 5.445
[3,] 1.492 1.967 2.076 1.978 2.199 1.077 1.400 12.88 10.530 7.101
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.605 2.042 9.406 4.499 4.854 0.8682 2.498 6.638
[2,] 185.963 79.440 756.998 646.495 918.917 2.5595 37.617 257.016
[3,] 148.821 6.513 766.506 898.291 482.415 49.6682 223.319 179.965
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.875 4.864 2.908 5.499 2.867 4.357 5.791 4.858
[2,] 519.758 1403.884 429.088 483.405 32.819 598.372 510.277 516.228
[3,] 262.634 106.758 118.409 475.369 45.017 348.076 454.827 513.280
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.426 5.188 5.57 5.735 9.587 3.471 9.997 6.603
[2,] 517.168 869.305 1145.07 718.868 409.755 153.795 3385.950 726.939
[3,] 590.981 437.297 589.95 596.421 508.335 89.582 681.656 1477.252
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.313 4.838 4.826 3.765 4.325 1.608 4.35 4.509
[2,] 32.254 1042.944 1214.918 31.314 901.359 9.995 681.02 176.069
[3,] 23.750 1569.566 979.079 153.018 867.163 25.027 911.58 181.942
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.449 5.121 4.091 4.195 4.494 3.542 2.467 0.879 3.18
[2,] 105.876 655.645 917.529 934.052 259.847 426.789 102.730 37.861 22.45
[3,] 141.441 835.985 451.707 636.968 74.017 97.703 30.365 5.638 28.57
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.053 3.543 3.19 2.689 1.868 3.652 3.173 3.437 2.228
[2,] 29.328 405.103 653.00 155.191 159.678 349.093 3.623 30.948 195.995
[3,] 16.590 337.615 440.71 186.717 52.244 426.257 120.047 119.166 85.779
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.309 2.699 1.773 3.564 3.084 2.672 2.246 2.841
[2,] 701.699 139.001 117.058 510.838 491.503 474.554 687.664 102.289
[3,] 437.595 111.557 87.358 515.892 391.552 460.233 457.763 3.059
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.465 3.743 1.637 2.633 2.585 2.844 4.169 1.713 3.811
[2,] 59.911 253.825 40.541 93.290 15.474 616.129 735.894 70.763 442.168
[3,] 11.684 548.270 104.136 323.854 16.166 208.265 180.543 10.987 365.355
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.459 3.505 1.451 5.756 4.341 4.298 4.779 4.985 4.931
[2,] 52.609 535.703 98.550 622.093 96.903 126.347 680.135 439.931 1043.190
[3,] 84.774 627.698 44.320 446.837 72.376 16.091 250.592 292.815 162.166
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 3.993 0.8313 2.999 2.37 3.533 1.906 2.224 1.119 2.326
[2,] 856.885 12.0724 824.399 181.27 470.988 159.004 158.325 11.051 687.008
[3,] 522.561 26.2936 897.261 106.93 804.453 97.427 203.850 27.545 84.331
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 2.049 6.164 5.484 1.78 1.71 1.641 1.46 2.714 1.309
[2,] 80.558 103.396 68.791 148.60 392.87 449.660 360.65 53.728 88.363
[3,] 29.326 253.693 481.279 63.10 228.75 251.178 361.11 155.094 45.284
[,95] [,96] [,97] [,98]
[1,] 1.603 14.24 10.37 6.316
[2,] 128.035 1227.26 1913.80 702.016
[3,] 143.184 1594.38 884.20 1444.772
[1] "--- VAR model 2017-10-02 23:01:00 completed"
[1] "Completed training sample: 2017-10-02 23:01:00 - 2017-10-03 07:00:00"
[1] "SpVAR; CCF training sample: 2017-10-02 23:31:00 - 2017-10-03 07:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.457 0.7442 -23.65 -30.61
-1.295 0.2691 -29.13 -22.86
-1.380 -0.2030 -26.97 -30.33
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-42.29 0.7211 4.657 11.323
-40.57 1.2583 5.334 9.944
-31.76 0.8090 3.937 15.332
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
11.358 16.861 2.935 -16.56
9.882 6.481 3.466 -16.60
8.253 6.596 2.711 -15.96
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.400 6.569 -2.8128 38.54
2.882 1.483 -0.9817 36.55
4.599 1.845 -0.9585 41.35
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.814 -6.95271 5.224 4.1960
-1.348 0.03738 7.592 -0.8743
-3.460 -2.09023 11.976 6.9504
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-23.69 -0.23959 -81.24 -11.65
-19.26 -0.08425 -36.33 -38.01
-23.81 -0.03626 -44.84 -13.88
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.13289 -16.35 -13.33 2.929
0.12391 -39.63 -29.33 3.683
0.03073 -15.31 -29.38 2.491
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-28.98 0.7697 -40.20 0.01622
-22.77 0.4105 -23.42 0.69556
-32.14 0.3445 -28.64 -0.04210
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.163 -33.19 -31.49 -40.49
-4.360 -26.42 -28.40 -31.60
-4.449 -24.21 -23.09 -27.90
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8872 5.672 -0.8263 1.1104
1.4756 -5.473 -0.4092 0.8660
0.6756 3.538 -0.1919 0.7824
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.25618 0.350072 -12.17 -19.17
-0.67397 -0.002671 -17.36 -21.22
-0.08385 -0.079600 -11.42 -21.48
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.558 0.5653 -9.642 -0.02639
4.064 0.9621 -12.249 5.28399
6.076 0.5685 -11.678 1.70814
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1199 -0.8089 -5.0484 4.551
-1.3376 -1.6930 0.2658 3.450
-0.3363 -2.1024 -10.1896 2.890
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.0277 -21.309 -15.0431 -1.185
0.8741 4.058 -3.0444 -13.946
-0.8923 -3.970 0.2946 5.207
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
13.023 -0.7078 -0.043872 -15.563
-15.203 -0.1722 0.057317 6.051
-3.474 -0.1889 0.004266 -11.528
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.103 -8.272 -0.1031 -3.265
-1.530 -2.436 0.3875 -7.059
-1.604 -1.130 -0.5192 1.363
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.548 -0.72787 -1.212 0.4288
-8.002 -0.07054 -5.344 0.9613
-1.119 -0.05893 -5.624 0.3163
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.472 -0.01089 0.39018 -2.638
-4.260 -0.14527 0.07514 3.239
-6.917 0.14895 -0.07570 2.969
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1611 6.653 6.281 -7.397
0.1191 -10.323 5.899 -1.077
0.1219 -8.052 7.437 -6.781
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-9.8296 0.09147 1.4612 -1.831
0.3293 0.30014 -9.5421 -1.344
-6.8078 0.13892 -0.4179 -1.079
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.3334 1.179 -4.3086 0.22944
-0.5414 1.414 -1.9927 0.06517
-4.6594 1.185 0.3307 -0.12689
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
9.0098 2.4826 3.118 -9.249
-0.3752 -2.5554 3.403 -8.566
-2.8428 0.2804 1.657 -6.875
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.7959 4.6979 0.1181 -2.673
0.5146 -2.0163 2.2474 4.256
-0.4150 0.7481 -1.3444 -1.433
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.7761 0.6862 -3.514 9.098
-0.8462 0.9871 -2.693 5.726
-0.4438 1.2494 -3.949 3.582
rnd_95776.volume rnd_95787.volume
16.110 -14.65
-21.414 -35.87
-8.876 -14.58
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.850 1.824 7.998 4.670 4.849 0.6805 2.078 5.801 6.018 5.083 2.794
[2,] 3.908 1.835 8.444 5.221 5.636 0.6808 2.082 5.896 6.394 6.376 3.232
[3,] 3.960 1.835 8.736 6.057 5.897 0.7020 2.219 5.943 6.520 6.393 3.272
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.423 2.466 4.026 5.205 4.002 4.307 4.521 7.753 4.749 8.962 3.028
[2,] 4.692 2.505 4.182 5.307 4.353 4.913 5.534 8.695 5.242 9.088 3.033
[3,] 4.942 2.560 4.281 5.315 4.641 5.061 5.709 9.044 5.637 9.300 3.052
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.649 5.563 1.099 4.069 4.357 3.245 4.684 1.285 4.691 3.810 1.940
[2,] 14.585 6.063 1.111 5.665 5.869 3.287 5.590 1.292 5.444 3.828 2.015
[3,] 14.853 7.912 1.118 7.746 6.602 3.390 6.370 1.307 6.261 3.848 2.060
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.542 4.101 3.848 3.745 3.078 1.991 0.7391 2.991 0.9527 2.945 2.543
[2,] 5.204 4.835 4.791 3.839 3.541 2.017 0.7513 2.993 0.9615 3.250 3.498
[3,] 5.874 5.080 5.174 3.852 3.563 2.026 0.7523 3.004 0.9621 3.420 3.695
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.220 1.635 3.191 3.016 2.949 1.976 3.632 2.316 1.560 2.993 2.596
[2,] 2.256 1.682 3.389 3.042 2.952 2.050 4.718 2.336 1.616 3.535 3.146
[3,] 2.315 1.684 3.587 3.221 2.993 2.059 5.004 2.384 1.662 4.197 3.674
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.392 2.037 2.576 1.260 3.336 1.367 2.288 2.188 2.672 3.525 1.470
[2,] 2.975 3.125 2.643 1.272 3.460 1.373 2.300 2.188 2.980 4.263 1.494
[3,] 3.381 3.442 2.643 1.274 4.013 1.414 2.513 2.188 3.008 4.272 1.494
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.282 2.014 2.734 1.287 5.135 4.542 3.353 3.740 3.830 4.187 3.166
[2,] 3.643 2.015 3.338 1.287 5.452 4.729 3.380 4.439 4.130 5.082 4.034
[3,] 3.751 2.065 3.703 1.287 5.646 4.765 3.380 4.606 4.247 5.102 4.342
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6563 2.573 2.054 3.114 1.814 1.856 0.9561 2.118 2.366 5.144 4.508
[2,] 0.6570 3.855 2.112 3.671 1.866 1.906 0.9561 3.311 2.375 5.164 4.527
[3,] 0.6616 4.517 2.154 4.326 1.894 2.027 0.9590 3.381 2.388 5.266 4.733
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.268 1.734 1.933 1.463 2.522 1.102 1.389 10.99 9.225 5.502
[2,] 2.564 2.332 2.624 2.041 2.523 1.132 1.456 11.60 12.619 6.003
[3,] 2.566 2.663 2.726 2.514 2.610 1.142 1.522 12.63 12.909 7.740
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.889 2.316 10.16 5.93 6.157 0.8641 2.639 7.367
[2,] 248.035 73.922 1001.97 863.30 1062.162 7.4402 46.000 388.406
[3,] 236.510 17.657 828.23 1136.01 642.127 63.3130 284.018 277.519
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.642 6.455 3.548 5.616 3.132 5.112 6.609 5.082
[2,] 798.781 1423.187 600.257 579.429 162.175 419.299 383.728 633.649
[3,] 471.545 172.690 190.302 574.025 194.384 337.313 105.632 595.520
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.469 5.741 9.844 6.03 11.38 3.845 12.25 7.064
[2,] 873.957 1180.181 1455.985 820.80 557.14 67.401 4044.72 891.365
[3,] 450.472 517.859 919.536 766.36 730.52 125.655 1038.73 1879.542
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.395 5.167 5.533 4.12 5.948 1.631 5.957 4.838
[2,] 60.461 1457.573 1454.160 194.87 1128.288 52.004 1021.316 136.723
[3,] 46.580 1953.627 1117.835 306.57 1129.567 71.762 1143.644 145.823
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.464 5.768 5.208 4.887 4.756 3.909 2.529 0.9385
[2,] 201.370 939.451 946.866 1055.210 311.584 646.852 117.888 49.8476
[3,] 158.678 1007.522 576.347 722.406 117.505 147.107 69.883 14.7600
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.799 1.21 3.74 3.229 2.819 2.076 4.052 3.83 3.745
[2,] 32.367 47.99 508.69 888.474 147.238 147.207 422.542 145.91 47.062
[3,] 95.784 12.74 393.59 440.104 192.895 24.514 434.577 391.59 182.469
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.509 4.612 2.941 1.981 3.801 3.297 3.037 2.587
[2,] 202.773 1113.849 112.302 155.091 695.601 657.248 654.238 876.066
[3,] 67.807 616.033 175.773 144.287 836.316 701.737 594.152 533.491
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.27 1.60 4.237 1.736 2.905 2.778 3.393 4.476 1.867
[2,] 219.40 66.34 339.361 45.896 87.178 7.399 487.954 886.654 97.956
[3,] 12.23 23.46 751.318 125.800 374.854 9.615 151.212 104.467 9.530
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.168 2.558 3.472 1.635 6.521 5.768 4.258 4.75 4.863
[2,] 584.469 8.912 708.453 4.247 677.318 486.454 157.085 884.04 572.244
[3,] 331.310 168.512 592.755 1.740 542.013 218.424 9.992 454.24 365.549
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.317 4.02 0.8333 3.267 2.608 3.954 2.303 2.357
[2,] 1065.332 924.72 11.7265 1061.478 182.183 718.701 161.730 160.785
[3,] 163.373 593.19 28.8666 870.539 156.853 846.692 119.906 254.739
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.214 2.69 3.004 6.533 5.724 2.88 2.201 2.455 1.858
[2,] 3.241 940.88 79.206 166.465 152.366 442.23 576.490 656.059 526.004
[3,] 27.180 252.59 89.429 381.096 511.648 31.86 475.685 273.256 542.800
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.203 1.399 1.764 13.95 11.71 6.987
[2,] 20.717 96.859 160.789 1374.59 3183.87 887.878
[3,] 246.666 54.040 164.043 1848.52 1007.30 1806.706
[1] "--- VAR model 2017-10-02 23:31:00 completed"
[1] "Completed training sample: 2017-10-02 23:31:00 - 2017-10-03 07:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 00:01:00 - 2017-10-03 08:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.16845 -0.02236 -17.92 -17.67
0.10821 -0.11401 -22.15 -28.75
0.04836 0.12743 -21.84 -20.37
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-32.79 0.9936 6.810 6.4913
-29.06 1.7875 6.136 -0.2407
-29.99 1.3865 5.825 6.0731
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
10.690 11.388 5.943 -15.19
7.071 6.558 3.137 -18.62
9.652 3.320 2.201 -17.77
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.75764 0.5391 -0.014341 39.38
-0.25491 0.4848 0.332681 42.51
-0.04241 0.7187 0.004845 41.09
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.9661 -0.9268 6.522 3.654
-3.1676 -4.0086 3.558 4.929
-3.2431 -4.1368 7.559 3.254
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-17.30 -1.9743 -33.97 -23.83
-18.64 -0.7589 -29.44 -19.55
-18.50 0.3038 -38.37 -17.15
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.720 -28.10 -26.08 -1.7050
5.297 -17.54 -25.05 -0.9831
3.202 -17.75 -22.70 -0.8101
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-17.56 -0.001702 -22.53 -0.831910
-25.50 -0.141373 -26.84 -0.631972
-21.17 -0.115751 -24.42 -0.003614
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.908 -24.97 -16.84 -12.45
-3.857 -18.00 -19.36 -20.75
-4.159 -16.89 -21.56 -22.62
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.2258 -5.7033 0.449343 -0.93200
-0.7859 -0.8716 -0.155489 -0.03051
-1.0136 -3.6277 -0.006583 -0.58262
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9995 0.01778 -6.300 -12.44
0.6818 -0.70565 -3.500 -11.05
-0.2637 -0.36020 -5.833 -10.92
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.06584 0.2685 -10.340 0.3754
-0.95619 0.2991 -7.209 3.4428
-0.51155 -0.1352 -7.952 0.9685
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.9885 -2.2884 -0.1459 4.771
1.7589 -1.4602 -6.5226 3.981
0.6208 -0.8575 -3.2278 5.269
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5347 -2.454 -6.5828 -11.7092
-0.3048 -2.784 -0.6791 0.6994
-0.2910 -5.590 -4.0360 -1.7984
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.1898 -1.5023 0.01839 5.500
-6.4339 -0.4360 0.22205 -8.576
-0.1371 -0.3522 -0.17251 -6.359
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.965 -1.183 1.4548 -2.893
-2.907 -1.632 0.4641 1.209
-1.932 -5.863 -0.2377 -2.818
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.6733 -0.48092 -5.3613 -0.40248
-0.7184 -0.07809 -2.6663 -0.17030
-1.1817 -0.02776 0.7366 -0.07931
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.38798 -0.24391 2.2253 -0.5967
-3.45222 -0.45375 1.5265 -0.4435
0.04914 -0.02554 0.9937 -0.2901
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.45950 -3.653 -1.607 -3.169
-0.39808 -6.624 -3.019 -3.136
-0.01424 -5.379 -1.856 -2.954
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.931 -0.1037 1.783 -3.4075
-2.150 -0.4293 -2.913 -1.6527
-6.503 -0.2416 -2.947 -0.5997
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.3399 0.4028 -2.110 0.02554
-2.6255 -0.2891 0.594 -0.01196
0.1892 0.3130 -1.351 -0.11492
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.5929 -0.26633 1.2176 -21.83
-3.2309 -0.02368 1.7163 -23.10
-0.4413 -0.02676 0.7462 -17.25
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.69918 5.5030 3.091 -0.3025
0.45765 -0.6700 3.589 5.1248
-0.05477 0.5109 -0.794 -0.2962
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.5714 1.018 -5.732 -4.767
-0.7665 1.070 -4.917 -7.206
-4.0761 0.915 -4.721 -7.088
rnd_95776.volume rnd_95787.volume
-12.062 -19.10
-12.706 -18.71
-3.861 -16.27
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.128 2.038 8.317 5.155 5.384 0.9217 2.192 6.140 6.340 5.292 3.325
[2,] 4.243 2.043 8.613 5.625 6.234 0.9498 2.192 6.231 6.592 6.983 3.705
[3,] 4.315 2.045 8.911 6.392 6.512 0.9635 2.278 6.353 6.768 6.995 3.752
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.447 3.832 4.698 5.249 4.376 4.887 4.850 8.769 5.019 9.141 3.360
[2,] 4.712 4.003 4.701 5.354 4.726 5.411 5.892 9.382 5.562 9.234 3.390
[3,] 4.956 4.158 4.708 5.359 5.069 5.444 5.989 9.432 5.907 9.590 3.414
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.36 6.400 1.331 5.233 5.107 3.660 5.178 1.328 5.155 3.965 2.003
[2,] 14.98 6.945 1.349 6.638 6.476 3.852 5.856 1.334 5.826 3.978 2.056
[3,] 15.13 8.135 1.411 8.029 7.127 4.078 6.511 1.350 6.521 3.991 2.131
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.771 4.502 4.139 4.119 3.253 2.304 0.8148 3.277 1.183 3.059 2.708
[2,] 5.499 5.263 5.074 4.216 3.814 2.319 0.8215 3.279 1.218 3.454 3.719
[3,] 5.905 5.462 5.497 4.240 3.839 2.321 0.8254 3.294 1.252 3.641 3.967
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.540 1.899 3.469 3.544 3.382 2.075 3.966 2.298 1.711 3.489 2.941
[2,] 2.631 1.927 3.699 3.578 3.401 2.127 5.029 2.316 1.756 4.112 3.570
[3,] 2.675 1.928 3.873 3.687 3.439 2.135 5.423 2.325 1.788 4.816 4.083
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.696 2.240 3.075 1.352 3.765 1.48 2.566 2.545 3.095 4.103 1.627
[2,] 3.449 3.571 3.104 1.366 3.899 1.48 2.574 2.550 3.324 4.543 1.657
[3,] 3.928 3.865 3.105 1.374 4.656 1.53 2.809 2.550 3.414 4.559 1.658
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.590 2.174 2.830 1.380 5.590 5.380 3.968 4.066 4.285 4.376 3.686
[2,] 3.988 2.175 3.658 1.381 6.023 5.412 4.096 4.752 4.739 5.190 4.351
[3,] 4.067 2.213 3.909 1.381 6.237 5.444 4.107 4.859 4.970 5.247 4.606
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6917 3.072 2.743 3.817 2.037 1.990 0.9968 2.407 2.618 5.474 4.997
[2,] 0.6928 4.248 2.981 4.252 2.044 2.031 0.9969 3.666 2.623 5.503 5.086
[3,] 0.7014 4.673 3.036 4.731 2.069 2.148 0.9994 3.746 2.623 5.595 5.379
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.498 2.305 2.156 1.681 2.695 1.382 1.436 10.81 9.744 6.238
[2,] 2.726 3.033 3.029 2.669 2.695 1.382 1.522 11.45 12.851 6.808
[3,] 2.732 3.186 3.171 3.246 2.805 1.399 1.578 12.49 13.102 8.007
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.242 2.588 10.56 6.546 6.836 1.17 2.783 7.796
[2,] 432.428 65.824 986.60 991.117 1385.305 101.12 14.447 469.084
[3,] 347.219 37.766 1006.35 1338.160 829.116 71.14 272.191 544.545
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.05 6.72 4.223 5.647 4.865 5.966 6.665 5.557
[2,] 796.51 2007.66 719.674 686.590 510.203 73.588 465.742 786.414
[3,] 675.37 177.13 262.123 677.237 495.533 113.795 107.319 807.087
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.205 6.159 11.13 6.374 11.61 4.267 13.16 8.127
[2,] 1024.065 1474.114 1469.98 1055.316 574.82 196.707 4769.14 1188.276
[3,] 265.024 473.605 426.13 876.708 1140.81 180.347 915.85 1866.689
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.691 6.645 6.485 4.647 6.576 1.686 6.546 5.035
[2,] 96.316 1799.461 1754.495 528.936 1204.711 60.084 1195.936 139.706
[3,] 182.405 1989.763 1310.737 590.000 1253.845 88.770 1291.102 145.292
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.544 6.058 5.717 5.256 5.231 4.131 2.926 1.035
[2,] 204.957 1204.840 1201.432 1293.350 396.451 877.311 115.270 46.332
[3,] 245.818 948.070 643.577 931.499 195.172 195.157 46.332 35.045
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.161 1.502 3.885 3.438 3.225 2.412 4.405 4.501
[2,] 56.216 126.999 706.513 1123.231 303.370 144.176 565.496 215.440
[3,] 138.332 127.958 508.187 609.118 211.437 15.145 506.360 393.147
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.294 2.636 5.037 2.918 2.172 4.431 3.735 3.423
[2,] 157.097 204.278 1362.575 126.380 174.321 958.534 891.243 948.411
[3,] 227.006 82.218 893.892 93.134 149.196 1104.342 873.308 827.511
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.844 3.905 1.716 4.781 1.879 3.258 3.231 3.931
[2,] 1225.674 185.813 87.423 445.949 11.859 87.904 69.930 534.104
[3,] 651.106 36.687 64.266 1121.182 170.828 495.952 18.517 343.300
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.21 2.066 4.558 2.761 3.594 1.752 7.099 6.832
[2,] 859.94 138.362 765.788 20.391 1021.350 23.812 987.396 258.809
[3,] 169.14 18.344 349.835 180.641 607.379 20.397 713.820 259.195
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.039 5.163 5.441 5.556 4.681 0.8784 3.901 3.483
[2,] 446.411 1083.979 892.260 1229.785 1017.961 17.3658 1292.660 514.235
[3,] 133.783 445.263 659.935 339.383 666.072 48.2629 857.572 253.255
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.846 2.586 2.527 1.266 3.056 3.325 6.951 6.346
[2,] 825.817 74.794 179.607 4.382 1218.730 69.654 247.846 416.341
[3,] 913.833 143.050 307.785 31.028 338.047 2.735 445.108 771.144
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.172 2.927 2.737 2.134 3.422 1.755 1.823 13.72
[2,] 480.863 868.429 937.632 913.585 16.625 3.261 222.396 1669.77
[3,] 84.220 431.031 413.974 814.237 342.810 95.762 184.533 2195.40
[,97] [,98]
[1,] 12.37 7.922
[2,] 3691.47 1201.673
[3,] 1126.25 1856.910
[1] "--- VAR model 2017-10-03 00:01:00 completed"
[1] "Completed training sample: 2017-10-03 00:01:00 - 2017-10-03 08:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 00:31:00 - 2017-10-03 08:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-8.687 0.3464 -18.82 -33.31
-6.503 0.1414 -17.49 -37.19
-4.461 -0.1580 -18.24 -34.31
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-29.26 1.7859 4.540 9.319
-33.50 0.6595 6.308 8.506
-36.85 1.3837 5.038 11.317
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.565 10.524 0.843 -17.73
8.463 4.635 1.443 -15.81
5.317 8.189 2.198 -16.59
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.849 -1.404 -3.598 40.45
-0.829 -1.680 -2.220 37.62
-1.030 -1.083 -2.472 38.04
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.972 -11.526 1.517 7.538
-5.393 -4.967 1.000 2.885
-7.607 -8.182 4.142 3.009
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-20.45 -0.9158 -28.65 -20.05
-20.05 -0.2276 -41.24 -15.25
-21.32 -0.1021 -38.42 -19.19
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.960 -31.63 -37.41 -10.463
1.091 -23.60 -30.65 -11.001
2.468 -23.72 -27.19 -9.699
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-31.03 0.7973 -32.13 0.2074
-35.46 1.0220 -35.14 -1.3065
-31.36 0.8401 -30.76 -0.1787
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.153 -18.60 -18.49 -12.04
-5.142 -28.23 -25.97 -17.23
-6.235 -27.87 -26.67 -25.64
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.8646 -1.118 0.312850 0.3567
0.9997 -3.520 -0.161201 0.4303
0.9323 3.040 0.007401 0.4693
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
7.000 0.48814 -2.978 -17.665
6.429 0.08453 -6.232 -7.809
3.924 -0.10001 -7.946 -14.386
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.225 -0.20365 -14.828 0.7690
3.419 -0.05922 -9.867 2.2071
2.986 0.06908 -6.908 0.7836
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.446 0.16698 -1.765 3.426
2.411 -0.06686 -5.212 5.579
4.539 0.01626 -5.686 2.198
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.02674 -0.2894 -0.8008 -2.8896
-0.22191 -2.8445 -1.7242 0.4268
-0.70291 -6.6317 -4.5728 -1.6424
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.132 -0.24835 0.09729 -6.4680
-2.271 -0.11599 0.22059 2.4654
-1.420 -0.01441 0.12725 -0.7119
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.321 -2.9540 -0.0489 -2.729
-1.726 2.1107 0.2830 -3.325
-2.872 -0.9073 0.4427 1.858
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.207 0.15544 -3.655 -0.29549
-3.249 0.06063 -1.355 0.24027
2.663 0.02151 -1.274 -0.02483
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.3703 -0.117672 -6.424 -5.271
-2.0387 -0.001920 -4.392 -3.871
-2.5693 -0.003329 -3.087 -2.583
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.3750 -13.75 -12.76 -15.35
-1.3432 -10.10 -12.73 -13.62
-0.4953 -10.02 -12.14 -11.11
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-13.688 0.0261 -10.53 -3.0623
-11.233 0.4227 -13.63 -1.9039
-9.172 0.3157 -11.22 -0.9334
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.767 -0.6656 -0.7612 0.04830
-10.633 -0.1969 -0.1913 0.02164
-9.313 0.3856 -0.9295 0.01135
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.8026 0.2508006 -0.6584 -23.13
-1.7240 0.0589611 -0.7806 -23.24
-0.2695 -0.0006552 -0.5819 -20.41
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.3919 3.8200 6.4224 5.8073
0.8802 0.2242 0.7502 3.2063
-0.2778 2.5383 1.1826 0.0517
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.623 0.4889 -6.106 -8.869
2.842 -0.1313 -6.201 -8.177
-1.549 1.1143 -5.729 -9.563
rnd_95776.volume rnd_95787.volume
-4.989 -24.09
-17.436 -18.95
-7.806 -22.55
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.478 2.211 8.715 5.649 5.823 0.9711 2.660 6.815 7.030 5.926 3.607
[2,] 4.679 2.214 9.083 6.182 6.799 1.0055 2.730 6.988 7.266 7.523 3.924
[3,] 4.773 2.215 9.391 6.745 7.024 1.0318 2.907 7.092 7.619 7.533 3.974
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.570 4.130 4.814 5.305 4.723 4.938 5.092 9.282 5.548 9.549 3.919
[2,] 4.878 4.372 4.825 5.424 5.179 5.412 5.964 9.741 6.112 9.646 3.935
[3,] 5.117 4.418 4.828 5.433 5.612 5.509 6.109 9.827 6.351 9.792 3.968
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.18 6.910 1.580 6.450 6.031 3.829 5.595 1.406 5.653 4.312 2.069
[2,] 16.16 7.321 1.633 7.430 7.143 4.101 6.344 1.414 6.241 4.336 2.101
[3,] 16.44 8.449 1.746 8.574 7.690 4.424 6.843 1.435 6.978 4.417 2.181
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.642 4.835 4.876 4.331 3.434 2.402 0.9551 3.993 1.277 3.219 2.805
[2,] 6.188 5.657 5.519 4.454 4.085 2.414 0.9579 4.041 1.309 3.688 3.747
[3,] 6.743 5.835 6.018 4.479 4.168 2.419 0.9634 4.100 1.342 3.890 4.054
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.620 2.089 3.649 4.204 3.549 2.295 4.618 2.557 1.834 3.618 3.068
[2,] 2.751 2.117 3.836 4.229 3.549 2.305 5.692 2.560 1.886 4.343 3.826
[3,] 2.836 2.117 4.023 4.322 3.559 2.305 6.085 2.682 1.922 5.097 4.399
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.962 2.223 3.426 1.446 3.967 1.592 2.809 2.757 2.977 3.840 1.749
[2,] 3.679 3.683 3.428 1.471 4.055 1.592 2.811 2.758 3.714 4.964 1.761
[3,] 4.182 4.027 3.431 1.473 4.879 1.644 3.042 2.758 3.762 4.970 1.763
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.906 2.344 2.859 1.521 5.984 5.615 4.382 4.734 4.521 4.688 4.083
[2,] 4.502 2.351 3.589 1.522 6.469 5.697 4.705 4.981 5.081 5.345 4.853
[3,] 4.673 2.379 4.327 1.522 6.681 5.749 4.782 5.090 5.343 5.456 4.975
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7599 3.708 3.149 3.921 2.346 2.179 1.181 2.585 2.763 5.822 5.243
[2,] 0.7616 4.661 3.566 4.381 2.347 2.267 1.181 3.894 2.767 5.858 5.364
[3,] 0.7697 5.034 3.694 4.921 2.366 2.392 1.181 3.996 2.767 5.959 5.703
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.702 2.574 2.364 2.065 3.018 1.530 1.553 10.59 10.42 6.736
[2,] 2.998 3.293 3.158 2.888 3.018 1.532 1.681 11.23 13.58 7.127
[3,] 3.023 3.601 3.299 3.397 3.171 1.539 1.771 12.26 13.75 8.249
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.686 2.808 11.07 7.173 7.394 1.233 3.378 8.654
[2,] 584.484 51.465 1101.95 1082.176 1512.285 112.210 265.527 665.290
[3,] 405.932 15.650 1028.72 1161.933 760.169 99.819 429.353 522.271
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.927 7.525 4.581 5.804 5.244 6.113 6.736 5.997
[2,] 792.075 1997.156 664.845 734.709 618.129 141.233 488.784 916.066
[3,] 987.659 164.213 271.845 665.846 275.177 80.032 130.159 931.135
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.27 6.466 11.79 7.046 12.13 4.977 14.2 8.775
[2,] 954.68 1337.869 1272.64 1105.005 588.72 150.503 5024.4 1042.293
[3,] 442.75 568.513 560.55 742.993 726.16 221.009 1293.4 1816.974
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.007 8.19 7.659 4.862 7.105 1.785 7.178 5.476
[2,] 177.881 1589.04 1649.059 632.317 1288.262 67.003 1139.805 194.020
[3,] 265.473 1844.04 1226.875 714.773 1104.823 104.250 1344.300 363.925
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.628 7.164 6.139 6.192 5.5 4.361 3.05 1.213
[2,] 156.973 1095.485 1265.622 1113.648 447.6 953.162 105.50 31.996
[3,] 252.436 1154.611 616.569 1033.362 201.7 356.544 66.82 44.195
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.071 1.621 4.087 3.562 3.327 2.653 4.634 5.338
[2,] 266.951 124.513 775.434 1070.190 361.758 147.712 509.335 199.213
[3,] 297.452 128.218 533.716 667.228 296.995 2.345 523.039 384.503
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.507 2.914 5.865 3.248 2.329 4.594 3.896 3.762
[2,] 12.865 91.923 1433.424 46.588 188.476 1035.046 984.971 940.210
[3,] 114.774 16.589 927.162 344.218 160.880 1149.762 935.305 856.820
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.823 4.351 1.836 5.038 2.021 3.567 3.501 3.78
[2,] 1264.778 47.225 117.641 361.158 20.382 48.681 26.895 956.81
[3,] 702.477 65.260 25.831 1168.835 175.384 499.988 7.034 258.11
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 4.876 2.221 4.96 2.976 3.63 1.932 7.599 7.13 5.565
[2,] 1355.523 88.716 964.53 80.778 934.89 10.804 1059.030 413.57 738.036
[3,] 104.276 35.438 539.31 156.983 1041.05 18.604 718.868 333.54 368.318
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 6.011 5.74 5.953 5.185 0.965 4.708 3.999 4.979
[2,] 667.852 998.90 1106.611 1129.837 21.919 1216.842 720.601 841.926
[3,] 450.762 712.88 471.511 471.902 47.796 819.538 416.463 965.979
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.979 2.767 1.500 3.283 3.509 7.393 6.658 3.431
[2,] 31.641 269.012 5.396 1254.671 61.206 276.996 488.948 559.754
[3,] 128.680 329.466 12.018 387.138 14.103 472.279 834.277 165.252
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.269 3.001 2.623 3.832 1.943 1.972 13.44 13.23
[2,] 884.504 902.642 869.923 3.123 26.180 277.298 1620.66 3753.78
[3,] 628.078 410.954 770.348 419.705 64.233 240.097 2117.52 928.76
[,98]
[1,] 8.554
[2,] 1002.930
[3,] 1789.516
[1] "--- VAR model 2017-10-03 00:31:00 completed"
[1] "Completed training sample: 2017-10-03 00:31:00 - 2017-10-03 08:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 01:01:00 - 2017-10-03 09:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.150 0.096392 -9.731 -8.605
3.324 -0.116085 -7.202 -15.736
2.141 0.008875 -7.298 -8.541
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.557 1.255 8.967 5.087
-13.496 1.110 6.031 6.920
-16.805 1.085 6.644 2.518
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
13.18 -3.001 1.170 -4.868
8.14 10.925 3.890 -8.189
7.64 7.188 2.412 -6.238
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.0534 0.6136 0.3332 35.13
1.2506 1.1669 -0.1745 34.22
-0.7126 1.0395 -0.6156 33.58
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.194 -0.9296 4.056 4.817
-2.579 2.7028 11.431 7.835
-2.002 -0.3534 3.008 9.748
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.138 -0.6390 -5.753 -13.346
-11.604 -0.4416 -12.073 -4.652
-8.562 -0.2081 -20.045 -8.473
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.496 -14.600 -20.17 -1.299
2.918 -5.258 -10.12 -2.211
2.436 -8.044 -12.13 -1.905
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.641 0.7797 -10.93 -1.3427
-16.032 1.1868 -15.16 -2.5563
-8.022 0.6763 -11.56 -0.3545
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.986 -13.701 0.2647 -1.376
-3.113 -14.629 -9.3092 -12.728
-3.015 -9.506 -11.4549 -14.462
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.139 -2.063 0.17815 0.4292
-1.022 2.739 -0.03159 0.5520
-1.037 -2.089 0.14947 0.4383
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.1724 0.03365 0.004565 -6.548
-1.2309 -0.77053 1.705634 -4.477
-1.6501 -0.05863 -4.539626 -4.964
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.390 0.7461 -1.922 -0.6125
3.254 0.5868 -4.949 0.9821
2.257 0.4519 -3.634 0.6090
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.498 -0.51231 -6.478 5.101
4.966 0.05253 3.200 5.037
3.993 0.10566 -3.174 4.637
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.0559 -11.7607 -8.996 -4.140
0.8349 0.3736 -4.875 -9.046
-0.2469 0.4570 2.311 1.596
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.418 0.03520 0.3304 5.037
-8.272 0.20203 -0.2704 -1.646
-5.137 0.05892 0.1243 -7.212
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.338 3.522 0.1506 -0.2841
-2.797 -0.254 0.8360 3.2025
-2.380 -2.915 0.7667 -1.0606
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.1852 0.04333 -2.9585 0.46556
2.4650 0.06093 0.9506 -0.18779
0.3298 0.01434 1.5088 0.06883
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.184 0.3955 6.746 1.7171
0.708 -0.2625 4.375 1.5271
2.616 -0.1301 3.628 0.7812
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.139 3.23967 -10.22 0.4195
2.290 0.44251 -12.05 -0.7443
0.470 -0.05608 -10.02 0.6567
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.7976 -0.08651 0.3564 -0.7121
1.2731 -0.26411 1.2741 -0.5925
0.2438 -0.10471 0.7019 -0.4693
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.664 0.1937 -2.1817 -0.36721
3.222 0.6923 -1.4594 0.28721
3.391 0.2849 0.6355 -0.06367
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.0239 -0.10569 2.5482 -7.094
0.3603 0.06804 0.9309 -8.596
0.7035 0.00619 0.1661 -10.226
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.3740 0.702 -2.206 -2.323
0.5496 5.313 3.956 1.016
1.9664 0.604 2.809 4.981
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.82995 0.4144 -4.644 -6.766
-0.03941 0.1655 -3.638 -7.278
-1.30021 0.2304 -2.990 -3.651
rnd_95776.volume rnd_95787.volume
7.863 -9.654
-5.279 -4.838
-3.582 -9.770
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.673 2.416 9.132 6.613 6.324 1.071 2.858 7.153 7.427 6.326 3.824
[2,] 4.887 2.430 9.459 7.040 7.205 1.112 2.886 7.428 7.610 7.973 4.163
[3,] 5.022 2.432 9.752 7.596 7.474 1.131 3.103 7.642 7.991 8.044 4.207
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.866 4.405 4.990 5.555 4.899 5.407 5.373 9.535 5.992 9.797 4.200
[2,] 5.289 4.645 5.005 5.705 5.388 5.811 6.350 10.033 6.651 9.875 4.224
[3,] 5.529 4.695 5.008 5.712 5.799 5.841 6.458 10.148 6.948 10.043 4.241
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.64 7.107 1.709 6.823 6.496 3.981 6.162 1.531 6.284 4.493 2.188
[2,] 16.89 7.609 1.783 7.596 7.256 4.347 6.795 1.542 6.814 4.508 2.219
[3,] 17.10 8.873 1.869 8.786 7.881 4.717 7.205 1.567 7.358 4.600 2.313
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.093 5.207 5.345 4.806 3.704 2.662 1.063 4.609 1.368 3.443 2.998
[2,] 6.760 6.012 5.900 4.972 4.395 2.664 1.064 4.659 1.401 4.002 3.959
[3,] 7.279 6.187 6.400 5.006 4.495 2.665 1.066 4.816 1.440 4.194 4.311
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.819 2.376 4.167 4.592 3.683 2.506 5.009 2.871 2.005 3.915 3.315
[2,] 2.962 2.414 4.301 4.633 3.684 2.531 6.066 2.896 2.071 4.700 4.175
[3,] 3.042 2.415 4.505 4.767 3.698 2.531 6.470 3.013 2.122 5.556 4.766
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.153 2.337 3.779 1.533 4.076 1.808 3.087 2.969 3.584 4.178 1.935
[2,] 3.867 3.926 3.784 1.549 4.199 1.820 3.096 2.969 3.949 5.222 1.938
[3,] 4.430 4.341 3.795 1.550 5.116 1.875 3.245 2.972 4.027 5.227 1.939
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.293 2.489 2.997 1.636 6.244 5.992 4.940 4.587 4.743 4.995 4.602
[2,] 4.788 2.491 3.920 1.637 6.791 6.080 5.482 5.128 5.438 5.591 5.165
[3,] 4.907 2.527 4.392 1.637 6.996 6.148 5.579 5.294 5.746 5.741 5.327
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8529 4.311 3.628 4.842 2.644 2.308 1.308 2.702 3.076 6.260 5.579
[2,] 0.8535 5.104 4.296 5.223 2.644 2.410 1.309 4.213 3.077 6.321 5.716
[3,] 0.8585 5.344 4.691 5.419 2.675 2.515 1.311 4.326 3.079 6.429 6.001
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.856 2.736 2.597 2.512 3.230 1.758 1.924 10.37 11.20 6.883
[2,] 3.151 3.499 3.293 3.231 3.231 1.768 2.215 11.13 14.92 7.320
[3,] 3.176 3.739 3.496 3.723 3.432 1.790 2.351 12.17 15.15 8.439
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.933 3.068 11.6 8.398 8.03 1.36 3.63 9.083
[2,] 623.374 114.461 1072.6 1050.636 1502.90 130.83 171.71 872.006
[3,] 503.210 45.982 1033.0 1241.112 863.65 88.24 496.11 781.524
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.432 8.033 4.856 6.179 5.594 6.336 7.053 6.221
[2,] 721.139 2112.098 715.723 901.690 640.855 166.393 566.051 975.486
[3,] 1060.514 464.014 263.331 702.341 296.580 75.536 126.475 932.787
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.866 6.823 12.11 7.608 12.44 5.334 14.78 9.024
[2,] 926.071 1473.088 1358.26 1256.675 537.69 194.004 5327.37 1182.707
[3,] 258.378 510.859 661.10 873.747 795.43 166.237 1170.81 1986.420
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.17 8.664 8.248 5.056 7.824 1.944 7.98 5.706
[2,] 221.39 1452.910 1407.611 759.637 1246.140 78.701 1146.18 160.173
[3,] 244.60 1921.586 1338.368 796.630 1043.275 122.949 1207.72 398.017
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.778 7.737 6.612 6.788 6.103 4.704 3.38 1.349
[2,] 162.844 1274.442 1307.882 1087.059 553.560 1028.928 51.73 25.847
[3,] 282.592 1174.556 637.055 1078.325 254.635 410.299 31.86 24.298
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.853 1.738 4.373 3.808 3.58 3.018 5.291 5.831
[2,] 296.311 130.718 887.278 1124.992 395.17 185.725 463.858 266.048
[3,] 530.623 144.537 545.367 742.611 301.38 19.329 583.098 489.664
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.677 3.182 6.36 3.645 2.546 4.971 4.21 4.004
[2,] 34.607 153.236 1488.96 165.218 224.952 1132.036 1104.41 974.373
[3,] 140.459 11.783 979.86 361.708 202.026 1289.444 999.77 940.586
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.968 4.799 1.947 5.176 2.295 3.921 3.77 4.551
[2,] 1372.498 84.350 96.797 438.268 91.934 98.896 27.61 721.697
[3,] 806.027 123.986 30.321 1272.200 196.971 423.459 51.69 342.799
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.305 2.458 5.452 3.16 3.805 2.078 7.928 7.609
[2,] 1363.737 42.305 921.813 52.40 1100.038 18.924 1162.475 448.550
[3,] 94.561 35.541 467.344 183.77 861.360 11.196 730.799 395.861
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.273 5.825 6.023 6.343 5.843 1.083 5.474 4.607
[2,] 1034.485 996.985 1157.739 1092.747 1021.075 13.650 1189.208 1001.324
[3,] 450.748 573.105 806.445 566.178 565.937 40.358 688.504 819.479
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.149 3.358 2.931 1.661 3.431 3.906 7.949 7.084
[2,] 851.693 5.171 302.137 27.292 1406.697 41.243 383.041 541.806
[3,] 628.917 176.211 311.891 30.609 427.318 50.732 510.309 795.888
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.627 3.474 3.298 3.19 4.101 2.232 2.443 13.17
[2,] 578.464 948.982 880.877 884.29 32.557 81.149 477.949 1756.81
[3,] 175.189 574.536 510.259 804.56 504.023 122.067 342.262 2135.49
[,97] [,98]
[1,] 14.22 8.741
[2,] 4288.18 1084.205
[3,] 1141.57 1827.016
[1] "--- VAR model 2017-10-03 01:01:00 completed"
[1] "Completed training sample: 2017-10-03 01:01:00 - 2017-10-03 09:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 01:31:00 - 2017-10-03 09:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.183 0.125891 -3.964 -25.522
6.348 -0.002897 -1.987 -5.819
4.853 -0.020252 -2.463 -7.604
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.14 0.08367 1.1975 9.727
-16.93 0.92357 0.8853 7.153
-15.59 0.66890 2.0603 8.663
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
8.089 12.750 4.251 -6.692
10.269 7.499 1.819 -8.675
8.478 5.506 2.782 -5.506
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.577 1.5435 -1.88172 39.84
-3.078 -0.3306 -0.03939 38.05
-2.164 -0.9305 -1.48740 38.12
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.370 -7.587 11.853 11.372
-2.431 -4.375 2.604 6.857
-2.641 -3.933 11.892 6.754
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.276 -0.5527 -9.118 5.370
-7.291 -0.3116 -10.924 -5.649
-8.772 -0.1301 7.464 -3.850
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5259 6.940 -0.6931 1.3147
1.6795 -6.284 -3.3530 1.1042
0.7897 -2.538 -3.9871 0.7329
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.624 3.414 -21.562 -3.981
-2.372 2.740 -11.048 -2.284
-6.162 1.746 -7.163 -1.127
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.0696 -15.496 -13.01 -5.873
-4.0429 -13.323 -12.65 -10.837
0.1613 -8.302 -8.73 -3.077
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.0657 -2.131 -1.7860 -0.2704
1.4717 3.622 0.2458 0.1662
0.6875 -0.511 0.9103 0.1843
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.201 -0.15120 3.425 -7.9516
1.118 -0.07769 -1.141 -0.7226
1.193 -0.04236 -1.427 -6.3957
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.056 1.5777 -6.249 -4.0519
2.915 0.1622 -4.184 2.5242
2.883 0.6101 -1.638 0.3028
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.7789 -0.63446 -3.334 0.8612
0.1511 0.08096 2.789 2.8115
0.1565 0.07615 -5.826 3.0960
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9744 -6.909 -9.962 -12.740
0.8159 2.161 -2.378 -4.541
-1.3707 -3.217 2.114 2.989
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.145 0.02293 -0.0951 6.173
-9.057 0.22681 0.1433 -9.163
-2.272 0.09583 -0.1413 -9.703
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.524 2.536 0.5146 -3.620
-1.403 1.616 0.2753 2.595
-2.361 -6.640 -0.2639 -1.974
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.270 0.07599 6.084 -0.2287
2.229 0.10692 -2.790 -0.4373
2.236 -0.14739 3.431 0.0597
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.957 -0.2879 13.910 1.771
-2.815 0.5631 10.029 2.737
2.161 0.1949 7.673 2.720
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.6609 7.069 0.970600 7.096
4.2019 4.376 0.007473 4.024
0.6314 3.148 0.538753 2.541
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.934 0.8271 -0.2806 3.689
6.682 0.4841 4.6396 2.768
4.725 0.2278 4.2578 2.454
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.837 1.6860 -3.1744 0.077210
2.770 0.5450 -0.6215 -0.066767
4.909 0.3009 0.6299 -0.003981
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.0338 -0.18973 3.738 7.392
0.3127 0.04890 1.662 9.634
2.7403 0.01176 1.683 13.864
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.090 3.186 1.819 2.167
2.748 3.508 4.365 3.089
3.032 2.439 2.099 3.195
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.8579 -0.9495 8.831 -2.603
0.5173 -0.7294 5.390 -4.066
-3.7098 -0.1690 3.119 -1.825
rnd_95776.volume rnd_95787.volume
14.973 4.401
-18.249 -4.273
1.707 -3.322
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.690 2.599 9.490 7.381 7.403 1.138 3.056 7.401 7.993 6.560 3.979
[2,] 5.015 2.609 9.793 7.828 8.028 1.179 3.188 7.608 8.251 8.301 4.382
[3,] 5.179 2.609 10.104 8.304 8.334 1.194 3.310 7.847 8.558 8.389 4.429
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.986 4.542 5.185 5.740 5.016 5.726 5.577 9.856 6.272 10.31 4.216
[2,] 5.433 4.790 5.192 5.872 5.475 6.116 6.545 10.366 6.927 10.57 4.241
[3,] 5.654 4.860 5.192 5.880 5.914 6.156 6.635 10.497 7.276 10.81 4.259
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.25 7.352 1.892 6.950 7.030 4.177 6.925 1.707 6.830 4.769 2.394
[2,] 17.88 7.857 1.967 7.866 7.802 4.529 7.592 1.748 7.437 4.807 2.434
[3,] 18.19 9.256 2.073 9.102 8.415 4.826 7.963 1.772 7.948 4.922 2.540
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.013 6.805 6.803 5.124 3.886 2.982 1.261 4.732 1.525 4.293 3.575
[2,] 7.871 7.238 7.374 5.259 4.598 2.982 1.274 4.792 1.536 4.813 4.925
[3,] 8.253 7.407 7.676 5.318 4.684 2.994 1.292 4.938 1.537 4.934 5.223
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.015 2.498 4.397 5.077 3.878 2.649 5.217 3.066 2.134 4.090 3.481
[2,] 3.188 2.534 4.580 5.119 3.878 2.670 6.393 3.129 2.200 4.947 4.322
[3,] 3.249 2.535 4.824 5.296 3.891 2.671 6.877 3.255 2.261 5.792 4.944
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.445 2.394 4.038 1.633 4.248 1.856 3.254 3.138 3.724 4.444 2.054
[2,] 4.062 4.090 4.041 1.647 4.373 1.877 3.262 3.142 4.108 5.566 2.056
[3,] 4.669 4.500 4.050 1.650 5.387 1.934 3.455 3.145 4.170 5.572 2.056
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.470 2.638 3.230 1.854 6.538 6.115 5.392 4.891 5.287 5.331 5.050
[2,] 4.967 2.640 4.295 1.858 7.186 6.198 5.834 5.476 5.985 5.962 5.571
[3,] 5.093 2.673 4.786 1.861 7.434 6.269 5.933 5.641 6.286 6.109 5.744
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.008 4.670 3.933 5.277 2.833 2.490 1.374 3.023 3.221 6.726 6.420
[2,] 1.013 5.479 4.560 5.583 2.837 2.598 1.378 4.628 3.222 6.786 6.569
[3,] 1.028 5.729 4.909 5.792 2.900 2.699 1.380 4.739 3.227 6.872 6.987
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.113 2.895 2.721 2.605 3.369 1.949 2.458 10.16 11.46 7.190
[2,] 3.464 3.843 3.425 3.456 3.375 1.951 2.791 10.82 15.86 7.708
[3,] 3.508 4.141 3.701 4.030 3.621 1.972 2.911 11.84 16.16 8.940
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.955 3.30 12.05 9.373 9.4 1.445 3.881 9.398 10.15
[2,] 703.456 90.23 956.98 1032.501 1230.4 121.733 359.003 697.194 811.18
[3,] 512.485 15.27 984.69 1096.955 886.3 76.353 353.035 761.887 899.38
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.33 5.052 6.331 5.767 6.584 7.289 6.369 7.272
[2,] 2014.28 727.330 854.107 603.125 105.779 490.361 869.355 850.531
[3,] 477.73 253.339 620.112 324.496 6.381 118.939 885.142 276.118
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.082 12.52 7.965 13.09 5.354 15.55 9.336 2.402
[2,] 1356.492 1272.22 1163.655 922.24 183.205 5155.90 1097.425 213.312
[3,] 431.118 653.86 882.052 890.87 154.573 1342.40 1937.191 259.722
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.825 8.927 5.304 8.794 2.167 8.673 6.056 3.04
[2,] 1458.833 1339.509 693.538 1232.056 150.172 1165.072 238.808 174.29
[3,] 1813.421 1248.604 660.486 951.489 114.412 1110.540 418.516 286.57
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 8.906 8.641 8.639 6.507 4.935 3.786 1.601 6.009
[2,] 1414.530 976.933 1126.581 467.990 972.685 3.044 71.480 299.651
[3,] 983.588 621.923 843.106 315.289 354.835 109.150 86.585 471.317
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.936 5.451 4.539 3.828 3.172 5.584 6.447 4.924
[2,] 72.435 861.334 1341.448 410.279 169.780 507.322 257.024 9.428
[3,] 27.592 431.058 687.915 248.495 12.629 599.132 538.827 123.454
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.364 6.624 3.894 2.71 5.194 4.42 4.375 3.04
[2,] 130.066 1463.017 246.871 211.59 1101.462 1014.12 851.914 1312.77
[3,] 30.623 1003.503 354.311 206.39 1192.961 950.60 911.639 743.58
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.127 2.074 5.395 2.357 4.132 3.985 4.729 5.643
[2,] 62.971 84.916 409.942 111.078 87.525 63.025 686.557 1327.137
[3,] 109.898 39.254 1246.136 184.380 451.057 52.026 284.564 104.673
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.609 5.676 3.35 4.102 2.355 8.303 7.765 6.847
[2,] 34.289 857.660 45.57 1120.789 44.629 1180.719 401.879 881.929
[3,] 6.064 447.183 164.06 836.109 45.171 754.441 373.137 427.602
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.211 6.713 6.77 6.413 1.28 5.931 4.995 6.7 3.598
[2,] 974.950 1111.218 1056.85 931.027 40.15 1134.482 913.303 722.2 55.127
[3,] 536.176 760.911 527.95 553.531 67.19 662.304 720.262 610.5 239.090
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.163 1.745 3.838 4.09 8.54 8.153 3.953 3.676 3.456
[2,] 292.826 38.193 1387.473 32.43 357.55 549.535 601.089 1000.571 823.203
[3,] 289.412 29.326 403.705 70.01 428.49 942.341 219.041 611.081 555.934
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.308 4.279 2.475 3.121 12.9 14.56 9.13
[2,] 899.379 73.923 35.030 523.939 1472.9 4340.12 1099.64
[3,] 820.667 520.186 112.124 326.763 1901.7 1227.74 1793.37
[1] "--- VAR model 2017-10-03 01:31:00 completed"
[1] "Completed training sample: 2017-10-03 01:31:00 - 2017-10-03 09:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 02:01:00 - 2017-10-03 10:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9783 0.03480 -11.79 -11.26
0.5455 0.03401 -13.70 -19.76
0.7026 -0.04223 -10.42 -14.27
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-15.02 0.7629 2.427 0.8038
-14.09 0.7422 2.808 -0.8088
-13.98 0.8283 2.402 2.5582
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.409 8.083 2.868 -11.28
4.879 2.278 1.512 -10.55
5.158 2.383 1.413 -9.82
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.538 0.7280 2.04036 31.94
-1.585 0.8735 -0.03842 30.81
-1.287 1.2785 0.46661 29.71
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.5505 5.7888 7.245 11.973
-1.3430 1.0694 2.846 8.245
-0.5752 -0.3499 7.829 7.198
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.86 -0.35244 -22.14 -14.730
-13.49 -0.17528 -15.77 -9.865
-10.11 -0.06979 -27.59 -9.074
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.346 -21.88 -17.00 1.2387
2.305 -11.10 -15.90 -0.2890
1.918 -10.70 -11.93 -0.1748
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.05 -0.05655 -9.221 0.3432
-18.62 -0.79927 -15.106 -2.5329
-13.33 -0.35009 -14.328 -0.7042
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.231 -18.33 -15.242 -10.24
-1.175 -13.99 -9.012 -10.14
-2.648 -12.93 -9.535 -13.63
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.8198 -3.872 -0.132633 0.0454
1.2271 -3.074 0.124728 -0.6509
0.9293 -1.539 -0.006822 -0.2910
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.4170 -0.036915 0.0846 -4.910
-0.5655 -0.003426 -3.5736 -8.008
-0.5204 -0.001010 -3.2404 -7.855
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.736 -0.4842 -2.803 0.3330
2.008 -0.2500 -3.510 0.7802
2.134 -0.1859 -4.677 0.5222
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.229 -0.1886 -7.9617 2.310
2.728 -0.9436 -0.1386 2.794
2.101 0.5686 -2.1469 2.735
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.21621 -0.9821 6.017 14.269
-0.45267 -5.6248 -5.231 -2.005
0.05806 0.2051 -0.598 -3.165
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.148 -0.3017 -0.096974 -4.9038
7.881 -0.3056 0.001742 -0.3441
-5.841 0.2516 -0.052488 9.2256
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.688 -2.334 -0.9570 -1.162
-1.972 -1.893 0.2439 -2.086
-2.225 6.814 -0.5855 -0.597
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.768 0.13076 0.1505 -0.27260
-2.615 0.01879 -2.1125 0.10433
-1.142 -0.27709 -1.5849 -0.03415
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.9373 0.45955 6.085 -0.8996
-2.3798 -0.21363 3.135 -1.2437
-2.2047 0.05747 3.129 -0.8263
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.0020 2.5647 1.4602 -3.932
1.1654 -1.3418 -0.2334 -2.842
0.1388 -0.3561 0.2001 -2.116
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.6169 -0.7755 1.565 -2.681
0.4842 -0.7870 -1.597 -2.035
-0.6592 -0.3861 -1.053 -1.737
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.887 2.012 3.1542 0.25848
3.276 2.524 -1.5766 0.02822
1.061 2.076 -0.0273 -0.03771
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.008 -0.2029 -1.8120 -0.3023
-2.493 0.3646 -1.2678 -3.2150
-1.794 -0.1602 -0.7863 -3.3029
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.517 0.8381 1.282 4.314
2.029 5.2467 3.288 1.273
1.873 2.4606 5.020 4.865
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.699 0.4360 -0.6868 -4.539
-2.027 -0.5158 -1.6421 -3.655
4.274 -0.0257 -2.0482 -2.340
rnd_95776.volume rnd_95787.volume
-5.514 -14.270
-2.525 -10.448
-3.401 -9.589
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.975 2.806 10.04 7.794 8.015 1.224 3.141 8.295 8.637 6.967 4.072
[2,] 5.279 2.806 10.35 8.236 8.496 1.263 3.267 8.523 8.930 8.875 4.549
[3,] 5.445 2.807 10.64 8.769 8.824 1.275 3.401 8.741 9.224 8.895 4.598
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.403 4.584 5.285 6.463 5.166 5.915 5.869 10.51 7.131 10.56 4.524
[2,] 5.788 4.827 5.292 6.562 5.672 6.319 6.988 11.01 7.763 10.82 4.544
[3,] 6.138 4.906 5.292 6.562 6.106 6.353 7.108 11.06 8.096 10.95 4.582
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.65 7.749 1.979 7.170 7.694 4.270 7.321 1.879 7.188 5.060 2.534
[2,] 18.62 8.165 2.054 8.240 8.606 4.567 8.027 1.927 7.757 5.128 2.567
[3,] 18.87 9.634 2.170 9.616 9.118 4.766 8.443 1.966 8.307 5.334 2.674
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.411 7.032 7.134 5.378 4.222 3.221 1.412 4.848 1.610 4.476 3.724
[2,] 8.235 7.409 7.578 5.507 4.987 3.221 1.416 4.904 1.617 4.880 5.077
[3,] 8.645 7.582 7.872 5.587 5.071 3.224 1.447 5.044 1.618 4.983 5.322
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.249 2.635 4.672 5.408 4.066 2.942 5.418 3.366 2.283 4.272 3.583
[2,] 3.448 2.678 4.860 5.460 4.080 2.949 6.677 3.408 2.345 5.041 4.479
[3,] 3.538 2.679 5.087 5.670 4.096 2.952 7.208 3.549 2.402 6.164 5.125
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.564 2.529 4.244 1.682 4.435 1.913 3.444 3.317 3.982 4.665 2.202
[2,] 4.241 4.285 4.244 1.692 4.588 1.925 3.453 3.321 4.327 5.739 2.206
[3,] 4.805 4.743 4.257 1.695 5.633 1.995 3.680 3.326 4.405 5.750 2.208
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.708 2.827 3.401 1.970 6.791 6.246 5.651 5.233 5.838 5.656 5.426
[2,] 5.264 2.827 4.616 1.976 7.372 6.334 6.007 5.816 6.650 6.195 5.886
[3,] 5.424 2.841 5.029 1.984 7.560 6.413 6.103 5.974 6.950 6.347 6.035
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.211 5.074 4.098 5.855 3.052 2.555 1.499 3.256 3.362 7.192 6.961
[2,] 1.230 5.801 4.755 6.182 3.173 2.674 1.503 4.877 3.362 7.254 7.155
[3,] 1.274 5.981 5.098 6.345 3.234 2.802 1.503 4.991 3.365 7.356 7.811
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.227 3.052 2.877 2.665 3.520 2.116 3.036 9.988 12.37 7.587
[2,] 3.588 3.935 3.688 3.597 3.522 2.118 3.443 10.573 17.20 8.022
[3,] 3.633 4.302 3.887 4.133 3.779 2.137 3.579 11.527 17.53 9.345
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.317 3.563 12.74 9.897 10.18 1.555 3.989 10.53 10.97
[2,] 589.153 14.012 838.73 886.619 939.57 103.962 298.879 651.53 755.43
[3,] 444.402 17.092 826.58 1003.466 794.00 57.741 315.492 647.16 769.95
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.847 5.17 6.861 5.821 6.711 8.207 6.561 7.511
[2,] 1831.725 676.21 691.363 503.749 91.672 377.156 780.193 740.396
[3,] 197.697 221.21 681.330 292.904 9.739 15.506 752.788 218.570
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.452 13.35 9.055 13.41 5.744 16.07 9.84 2.514
[2,] 1264.004 1088.77 1022.431 777.87 144.668 4553.48 856.63 183.090
[3,] 433.229 347.24 765.414 571.16 195.277 1017.44 1704.00 233.259
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.105 9.77 5.423 9.297 2.385 9.128 6.426 3.218
[2,] 1352.964 1284.87 539.275 1097.097 143.602 971.229 276.708 136.690
[3,] 1651.655 1003.32 454.090 871.928 129.523 990.266 489.814 249.597
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 9.411 8.929 9.06 6.829 5.361 4.090 1.793 6.156 2.045
[2,] 1196.463 777.623 851.17 395.220 884.704 3.923 38.604 247.304 49.815
[3,] 876.386 537.426 710.41 314.347 305.022 49.567 99.059 392.321 14.776
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 5.683 4.729 4.126 3.346 5.933 6.868 5.163 3.736
[2,] 648.278 1149.934 383.799 159.553 445.646 249.200 111.668 66.474
[3,] 335.001 531.544 264.495 20.579 500.972 510.078 120.226 42.531
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.88 4.274 2.9 5.425 4.55 4.526 3.211 5.389 2.136
[2,] 1300.04 178.638 177.3 891.694 895.49 765.696 1152.572 7.660 61.278
[3,] 905.14 328.967 174.5 1181.886 829.89 752.939 677.856 109.135 33.693
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 5.632 2.43 4.374 4.212 5.056 5.923 2.796 5.978 3.590
[2,] 391.326 70.42 80.428 58.798 564.283 1113.890 41.704 784.839 5.169
[3,] 1088.661 174.20 423.754 60.495 274.452 119.775 34.047 435.686 91.589
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.319 2.501 8.623 7.931 7.176 6.645 7.413 7.183
[2,] 1039.991 51.131 955.735 350.116 678.939 845.898 1061.156 841.703
[3,] 664.589 62.329 559.100 336.252 359.091 455.162 673.334 460.612
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 6.89 1.538 6.443 5.204 7.435 3.875 3.245 1.904
[2,] 760.39 70.002 936.685 803.450 660.627 289.979 262.305 35.639
[3,] 444.29 111.630 485.825 612.349 477.388 208.618 279.846 9.450
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 4.135 4.270 9.133 8.839 4.098 3.876 3.654 3.384
[2,] 1209.443 9.998 315.290 552.773 522.668 827.518 768.808 805.106
[3,] 354.306 43.150 406.930 1043.435 189.179 579.188 408.735 678.198
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.469 2.687 3.855 12.68 15.71 9.635
[2,] 38.617 25.311 541.012 1155.47 3984.31 867.762
[3,] 456.461 96.343 325.843 1529.97 1114.57 1597.013
[1] "--- VAR model 2017-10-03 02:01:00 completed"
[1] "Completed training sample: 2017-10-03 02:01:00 - 2017-10-03 10:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 02:31:00 - 2017-10-03 10:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.22064 0.10490 -5.239 -5.491
-0.02199 0.17573 -9.427 -10.323
0.13378 0.07503 -7.783 -6.833
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.510 0.8718 0.9100 2.633
-9.491 0.4974 1.1466 4.458
-11.156 0.5808 0.6521 3.510
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.634 5.560 1.7963 -9.315
3.582 2.090 0.9403 -9.851
3.607 3.366 0.9878 -8.992
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.568 0.2425 -1.316 26.65
-1.730 1.6751 -0.607 26.12
-1.870 -0.9259 -1.128 24.61
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.9327 4.234 2.8754 5.576
-1.3076 -3.106 1.9902 5.769
-0.1472 -1.034 0.0381 4.616
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.0922 0.058383 -5.91 -10.754
2.4948 -0.119789 -10.62 -2.410
0.5247 -0.007165 -19.47 -5.961
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1266 -12.733 -8.259 0.3792
-0.4003 -4.237 -10.685 2.1870
0.3493 -6.587 -3.882 1.1447
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.259 0.193451 -6.956 -1.771
-8.163 -0.085860 -11.398 -1.209
-7.935 0.005967 -7.818 -0.832
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7000 -9.974 -12.306 -13.982
-0.6504 -8.782 -7.226 -5.794
-0.6896 -8.916 -10.463 -11.587
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.25360 12.5087 0.18861 -0.7561
-0.03008 -1.8724 -0.34991 -0.2732
-0.05970 -0.4062 -0.06468 -0.1886
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.9373 -0.002718 -7.637 -8.029
-0.1563 -0.001092 -5.293 -11.173
-0.9642 -0.043586 -3.606 -8.350
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.249 -0.3620 -5.020 -0.3648
2.319 -0.2462 -4.327 -0.9440
3.326 -0.3053 -7.699 -0.1553
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.9317 -0.44718 -13.300 1.842
0.5537 -0.03739 -4.245 1.683
1.1792 0.03135 -1.087 1.364
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.4873 -4.6623 0.02699 1.928
-1.2146 -12.4549 -8.96052 -4.696
-0.2216 -0.9568 -3.27929 -8.071
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.8635 0.8131 -0.011205 -4.571
0.7207 1.1018 0.049604 -3.493
-9.0845 0.8388 0.005128 1.280
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.070 -0.8103 0.5753 4.153
-1.145 -3.2348 0.1252 -1.396
-1.208 0.8288 -0.3148 -2.239
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.5835 0.5917 -0.08359 0.3845
-1.0987 -0.1011 1.96512 -0.5560
-2.1539 -0.2107 -2.61784 0.1919
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.9843 -0.1872 1.3247 0.037802
1.8274 -0.1678 0.7466 -0.395211
-0.5005 -0.0457 0.8316 0.003027
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.3370 0.8707 0.1581 0.24599
2.0989 0.7358 3.1764 1.24590
0.5215 -3.0385 2.0283 -0.03588
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.0621 0.11315 10.8895 -0.01711
0.8761 0.02308 0.9776 0.36182
0.9449 0.02873 1.3877 0.04383
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.961 1.4626 0.2361 -0.058274
3.512 2.1210 -2.4962 0.005023
1.012 0.9986 -0.9694 0.155083
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.912 0.10303 -0.07686 -0.6332
3.485 0.01852 0.79904 0.4880
-2.100 0.18968 0.11384 0.7804
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.49221 -1.2626 -1.2149 -1.0478
-0.04510 0.5348 -1.1340 -0.9861
-0.01651 -0.2197 0.5861 0.6073
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.3669 0.5249 -2.096704 -0.9579
-0.9304 0.2898 -0.003453 -1.6718
1.1541 -0.1573 0.244293 -1.1244
rnd_95776.volume rnd_95787.volume
-28.953 -12.059
-4.611 -1.814
-8.235 -5.795
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.151 2.917 10.83 8.003 8.526 1.278 3.280 8.481 8.783 7.061 4.180
[2,] 5.466 2.917 11.07 8.501 8.964 1.322 3.384 8.698 9.080 9.042 4.661
[3,] 5.634 2.918 11.40 9.088 9.312 1.332 3.573 8.917 9.368 9.061 4.715
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.546 4.658 5.578 6.535 5.421 6.205 6.066 11.51 7.275 12.02 4.711
[2,] 5.940 4.909 5.583 6.604 5.977 6.665 7.295 12.29 8.041 12.28 4.727
[3,] 6.231 4.990 5.583 6.610 6.439 6.701 7.446 12.46 8.483 12.88 4.770
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.85 8.027 2.097 7.458 7.867 4.482 7.464 1.939 7.466 5.293 2.745
[2,] 20.02 8.511 2.141 8.657 9.009 4.816 8.289 1.995 8.060 5.364 2.774
[3,] 20.26 10.009 2.287 10.233 9.508 5.027 8.794 2.031 8.650 5.595 2.884
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.442 7.479 7.372 5.539 4.438 3.489 1.506 4.925 1.655 4.836 4.038
[2,] 8.263 7.888 7.863 5.669 5.267 3.492 1.511 4.985 1.662 5.231 5.393
[3,] 8.794 8.097 8.087 5.748 5.343 3.492 1.549 5.117 1.662 5.362 5.673
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.567 2.728 4.950 5.711 4.369 3.126 5.654 3.760 2.444 4.464 3.778
[2,] 3.782 2.763 5.134 5.756 4.370 3.127 6.997 3.893 2.522 5.262 4.699
[3,] 3.904 2.763 5.363 5.963 4.397 3.138 7.580 4.062 2.601 6.555 5.410
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.736 2.642 4.418 1.727 4.572 1.998 3.643 3.593 4.192 4.800 2.331
[2,] 4.422 4.425 4.419 1.734 4.717 2.007 3.650 3.594 4.503 5.837 2.337
[3,] 5.194 4.916 4.433 1.737 5.937 2.084 3.961 3.600 4.580 5.849 2.344
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.834 3.020 3.589 1.956 7.050 6.453 6.206 5.610 6.323 5.709 5.585
[2,] 5.471 3.021 4.906 2.023 7.573 6.531 6.474 6.138 7.008 6.461 6.144
[3,] 5.617 3.034 5.281 2.046 7.755 6.619 6.550 6.304 7.284 6.646 6.304
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.303 5.223 4.246 6.045 3.218 2.709 1.667 3.362 3.447 7.694 7.262
[2,] 1.330 6.020 4.905 6.389 3.334 2.844 1.668 5.020 3.447 7.737 7.492
[3,] 1.370 6.280 5.212 6.596 3.385 2.967 1.668 5.135 3.449 7.829 8.159
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.288 3.106 2.917 2.703 3.674 2.275 3.124 9.441 12.78 7.951
[2,] 3.675 3.986 3.725 3.649 3.675 2.276 3.456 10.121 18.31 8.423
[3,] 3.713 4.386 3.928 4.175 3.930 2.291 3.622 10.862 18.66 9.793
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.541 3.704 13.76 10.16 10.83 1.623 4.165 10.77 11.15
[2,] 518.636 3.200 649.95 812.14 784.08 95.818 235.409 546.66 652.73
[3,] 385.803 22.653 769.04 909.87 714.28 44.617 324.617 556.30 652.51
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.967 5.308 7.043 5.915 7.083 8.299 6.884 7.879
[2,] 1599.718 584.452 602.584 438.959 69.983 269.993 712.712 689.215
[3,] 165.520 201.068 533.123 252.592 11.146 76.151 678.302 197.402
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.702 14.61 9.237 15.27 5.983 17.58 10.19 2.663
[2,] 1147.965 1218.36 970.411 713.94 108.406 4095.65 800.89 121.579
[3,] 422.293 588.85 765.656 1093.48 181.705 878.50 1492.37 227.667
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.47 9.99 5.692 9.478 2.462 9.481 6.721 3.486
[2,] 1244.96 1243.09 499.159 1021.457 133.081 859.912 247.800 112.372
[3,] 1545.54 861.02 407.806 832.004 108.261 889.368 450.737 223.576
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 9.45 9.497 9.361 7.034 5.636 4.431 1.912 6.254 2.102
[2,] 1017.42 710.119 774.696 342.317 803.135 38.017 35.110 218.728 42.083
[3,] 851.88 517.898 535.333 268.763 254.244 3.526 96.611 326.664 4.488
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 6.14 5.128 4.529 3.464 6.285 7.251 5.548 3.97 7.18
[2,] 565.46 1012.617 356.772 123.269 386.250 205.654 28.010 21.86 1167.44
[3,] 332.83 498.590 274.206 17.579 439.069 440.963 137.815 73.47 825.91
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.775 3.103 5.669 4.797 4.744 3.355 5.611 2.194
[2,] 286.080 175.852 788.844 791.721 670.043 1005.247 19.219 43.782
[3,] 328.651 180.585 1107.187 759.450 771.740 607.064 100.851 26.389
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 5.805 2.537 4.626 4.563 5.323 6.096 2.96 6.138 3.835
[2,] 328.932 54.959 61.414 21.552 465.775 940.581 48.35 725.849 21.136
[3,] 1021.074 158.331 435.786 56.712 237.655 107.109 51.25 360.014 79.410
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.557 2.484 8.952 8.194 7.88 7.124 8.03 7.249 7.092
[2,] 947.318 146.543 783.163 284.216 522.08 705.343 855.50 857.135 724.859
[3,] 554.134 86.511 473.968 305.393 281.76 407.284 563.32 440.891 400.729
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.654 6.633 5.392 7.676 4.086 3.44 2.117 4.269 4.377
[2,] 75.284 847.886 695.412 585.914 247.674 245.47 15.348 1055.855 11.389
[3,] 93.698 506.428 499.146 464.154 164.273 239.00 1.668 306.951 30.624
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 9.771 9.221 4.175 3.944 3.704 3.432 4.666 2.889
[2,] 229.521 522.098 464.821 707.649 656.351 694.298 18.663 17.011
[3,] 338.918 915.006 150.247 518.443 352.543 574.867 394.668 75.054
[,95] [,96] [,97] [,98]
[1,] 3.966 11.99 16.23 10.1
[2,] 419.082 1033.41 3711.89 787.5
[3,] 306.414 1116.83 1020.38 1414.9
[1] "--- VAR model 2017-10-03 02:31:00 completed"
[1] "Completed training sample: 2017-10-03 02:31:00 - 2017-10-03 10:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 03:01:00 - 2017-10-03 11:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1042 -0.08142 -11.426 -8.248
-0.1099 -0.01020 -10.135 -12.715
0.3440 -0.01211 -9.778 -13.860
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.472 0.3869 0.6180 4.856
-6.922 0.8755 -0.3515 4.102
-12.054 0.4930 0.4289 5.088
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.026 3.919 1.038 -8.747
3.321 2.395 1.036 -7.457
1.619 2.020 1.101 -7.930
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.009 0.1997 2.3727 26.31
-1.758 -0.1925 0.9696 27.65
-1.096 0.2679 1.4493 27.78
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.3073 4.3722 1.4763 7.491
-0.4367 0.1611 1.0396 5.305
-0.6288 0.2044 0.5618 5.447
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.392 0.5691 -31.82 -15.519
-10.673 1.1903 -11.21 -9.991
-10.286 0.1713 -24.62 -6.804
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.01912 -18.037 -16.87 0.93018
1.79878 -13.788 -15.40 0.57125
0.68524 -6.799 -11.66 0.08955
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.309 0.2678 -8.325 -1.62440
-15.601 0.2381 -10.401 0.05664
-13.184 -0.1807 -15.164 0.07672
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4181 -6.067 -5.782 -3.289
-1.9165 -7.455 -7.794 -6.878
-1.9779 -11.360 -8.640 -9.045
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.4019 2.3143 -0.05248 -0.6390
1.7455 -0.1221 0.48401 -0.7820
0.7455 -0.4171 0.23201 -0.3723
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9797 0.3642 -2.779 -3.569
2.3346 0.2191 -1.877 -6.767
1.4310 0.2309 -2.603 -5.088
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.4474 -0.25302 -5.22038 3.0692
0.8345 0.09759 -0.07637 2.2002
2.5399 0.01739 -6.17168 0.9824
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.081 -0.1952 7.355 6.438
4.002 0.9168 -9.034 6.129
2.320 0.0830 2.162 6.727
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.0295 18.450 5.892 -1.910
-1.2559 -6.661 5.017 14.269
0.2566 -3.728 -6.492 -6.619
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.686 0.2919 0.18249 -2.412
5.492 0.9645 -0.04807 -3.498
5.972 0.5177 -0.02534 3.379
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.895 0.1310 0.4439 1.400
-2.188 -2.0166 0.0901 -1.206
-1.699 0.1782 -0.6681 -1.792
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.261 -0.1052 1.6577 -0.29581
-0.222 -0.2963 0.0524 -0.21356
-1.364 -0.2517 -1.2070 -0.04117
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.0273 0.44304 2.4285 -0.3674
0.4541 0.74606 0.3681 -0.8800
-0.6512 0.08177 1.2892 0.1111
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.1408 0.4840 6.538 -0.03605
-1.4535 -0.1877 4.811 -1.56535
-0.7031 -2.7002 6.611 -1.53758
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.9414 0.1279 -6.334 -0.21741
-0.2011 0.5421 -1.770 -0.06073
-1.0926 0.2988 -1.318 -0.15045
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.625 0.08753 1.700 -0.34613
-6.587 -0.60140 2.394 -0.02028
-1.889 -0.50889 -2.062 -0.15992
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.1292 -0.09736 -0.04608 -2.316
1.3750 0.30320 -0.15602 5.162
0.3669 -0.48665 -0.05956 -0.550
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.63032 -1.7276 -3.1025 -3.0221
-0.15567 0.5572 -0.6805 -1.2512
0.01092 -0.5538 0.7588 0.7613
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.3429 0.2312 -0.4288 -4.981
0.3056 0.4265 -1.6767 -5.104
-0.9923 0.3621 -2.3872 -5.505
rnd_95776.volume rnd_95787.volume
-25.257 -15.359
1.564 -10.877
6.217 -8.388
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.623 3.131 11.64 8.125 8.853 1.375 3.332 8.424 8.736 7.162 4.268
[2,] 5.779 3.131 11.88 8.668 9.409 1.412 3.429 8.527 8.925 9.141 4.759
[3,] 5.906 3.131 12.18 9.307 9.729 1.419 3.630 8.597 9.058 9.152 4.803
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.789 4.779 5.766 7.666 5.658 6.349 6.247 11.69 7.687 12.23 4.782
[2,] 6.239 5.024 5.769 7.931 6.209 6.821 7.459 12.44 8.309 12.47 4.796
[3,] 6.567 5.116 5.769 7.997 6.700 6.855 7.632 12.60 8.783 13.04 4.838
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.09 8.310 2.219 7.574 8.066 4.774 7.697 2.033 7.851 5.653 2.867
[2,] 20.33 8.776 2.263 8.805 9.301 5.174 8.608 2.088 8.453 5.734 2.898
[3,] 20.47 10.292 2.402 10.452 9.831 5.453 9.135 2.116 9.101 5.903 2.993
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.934 7.767 7.557 5.801 4.518 3.939 1.594 5.049 1.743 4.916 4.306
[2,] 8.728 8.244 8.136 5.901 5.383 3.943 1.600 5.111 1.749 5.340 5.620
[3,] 9.317 8.450 8.361 5.997 5.467 3.943 1.637 5.231 1.751 5.469 5.867
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.758 2.833 5.160 5.920 4.985 3.335 5.889 3.879 2.542 4.618 3.851
[2,] 3.961 2.872 5.357 5.955 5.011 3.335 7.275 4.028 2.618 5.451 4.844
[3,] 4.079 2.873 5.588 6.164 5.203 3.349 7.913 4.203 2.705 6.889 5.623
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.842 2.805 4.576 1.775 4.738 2.052 3.766 3.671 4.326 6.229 2.448
[2,] 4.547 4.527 4.577 1.779 4.898 2.060 3.771 3.672 4.672 6.615 2.455
[3,] 5.350 5.055 4.587 1.781 6.075 2.158 4.093 3.677 4.743 6.631 2.457
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.108 3.364 3.925 2.123 7.187 6.782 6.775 6.108 6.602 6.236 5.699
[2,] 5.795 3.366 5.396 2.129 7.712 6.856 6.931 6.642 7.245 6.985 6.421
[3,] 5.950 3.367 5.650 2.138 7.878 6.930 6.962 6.778 7.465 7.094 6.560
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.392 5.399 4.389 6.250 3.317 2.763 1.77 3.558 3.718 8.018 7.468
[2,] 1.411 6.463 5.002 6.622 3.445 2.904 1.78 5.193 3.718 8.054 7.671
[3,] 1.450 6.719 5.283 6.907 3.505 3.035 1.78 5.291 3.720 8.134 8.331
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.517 3.154 2.984 2.770 3.733 2.393 3.291 9.099 13.17 8.206
[2,] 3.769 4.119 3.875 3.744 3.733 2.395 3.672 9.741 19.23 8.657
[3,] 3.846 4.352 4.097 4.315 3.969 2.412 3.812 10.453 19.60 10.049
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.14 3.976 14.79 10.32 11.24 1.746 4.231 10.7 11.09
[2,] 353.65 12.329 618.17 798.89 842.50 85.445 214.512 349.9 483.97
[3,] 322.12 3.624 714.40 896.93 654.63 36.934 314.764 289.4 408.22
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.094 5.42 7.351 6.069 7.322 9.735 7.185 8.062
[2,] 1502.887 556.85 615.696 410.131 51.734 537.347 676.041 659.923
[3,] 120.249 171.03 542.060 254.738 8.639 271.463 666.518 181.158
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.933 14.85 9.762 15.54 6.072 17.9 10.55 2.817
[2,] 1078.320 1120.32 834.107 634.81 98.167 3875.6 746.61 118.176
[3,] 427.201 541.07 753.191 1011.58 168.873 644.1 1422.43 213.050
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.618 10.24 6.062 9.774 2.582 9.97 7.178 3.64
[2,] 1187.994 1225.34 527.638 1019.714 125.877 828.26 255.240 111.78
[3,] 1489.962 842.41 455.240 808.645 89.751 892.56 370.983 198.67
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.07 9.863 9.597 7.366 5.737 5.002 2.024 6.412 2.214
[2,] 962.38 731.572 797.027 286.041 774.536 44.994 36.880 210.165 36.374
[3,] 862.66 490.143 509.780 283.454 251.612 8.593 91.154 294.983 24.881
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.242 5.468 4.772 3.597 6.553 7.518 6.33 4.235
[2,] 551.726 955.407 331.515 126.025 380.500 168.850 136.37 5.509
[3,] 312.644 445.390 257.800 18.488 420.758 421.800 370.72 81.827
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 7.478 4.926 3.228 5.865 4.89 4.879 3.562 5.811
[2,] 1130.138 286.975 165.636 766.221 777.24 643.648 939.975 11.955
[3,] 823.343 317.852 180.601 1114.415 755.59 745.565 595.151 81.976
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 2.254 6.016 2.605 4.782 4.662 5.494 7.909 3.108 6.486
[2,] 32.612 329.279 49.929 53.211 22.815 466.341 589.412 50.286 723.788
[3,] 18.813 950.510 170.179 420.897 47.948 216.170 120.366 24.340 357.884
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.272 4.984 2.696 9.127 8.612 8.603 7.757 8.384 7.919
[2,] 25.906 979.827 42.230 739.910 265.379 386.406 689.836 789.273 832.362
[3,] 28.034 443.225 52.710 424.935 266.815 175.255 357.573 475.561 327.622
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 7.237 1.767 6.856 5.574 7.937 4.213 3.509 2.248
[2,] 782.311 60.822 939.694 634.653 578.921 245.770 236.160 48.966
[3,] 356.164 88.870 485.885 450.027 519.016 171.064 233.668 9.854
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.518 4.721 10.18 9.483 4.466 4.005 3.79 3.517 4.74
[2,] 1000.774 16.435 202.85 464.159 358.461 700.651 654.05 666.414 10.30
[3,] 268.184 27.003 300.20 859.513 202.312 372.031 351.55 567.489 357.17
[,94] [,95] [,96] [,97] [,98]
[1,] 3.038 4.179 11.55 16.73 10.42
[2,] 29.320 430.869 920.03 3707.52 729.48
[3,] 74.707 271.006 1003.13 996.46 1349.91
[1] "--- VAR model 2017-10-03 03:01:00 completed"
[1] "Completed training sample: 2017-10-03 03:01:00 - 2017-10-03 11:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 03:31:00 - 2017-10-03 11:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3271 -0.01480 -6.456 -12.067
0.2123 0.01249 -8.533 -2.418
-0.3737 -0.01348 -7.145 -7.514
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.839 1.1407 1.165 0.007983
-5.925 0.7284 2.423 3.239437
-5.934 0.8989 2.908 2.086884
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7135 6.955 1.3608 -10.89
1.5643 -1.420 -0.6900 -11.58
2.3826 3.150 0.5022 -10.09
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5276 1.038 3.078 31.60
0.5666 0.697 1.824 31.09
0.6398 2.375 1.519 30.59
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.7235 7.121 4.262 8.883
1.0160 6.644 3.269 9.913
0.1814 1.525 2.917 8.191
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.188 -0.32121 -23.34 0.6672
-2.786 -0.27034 -10.63 -12.2009
-3.774 -0.04851 -11.73 -6.2531
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.346 3.833 -7.748 0.4407
1.894 -10.509 -7.861 0.7960
1.675 -5.130 -8.246 -0.4293
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.811 -0.49062 -10.640 -1.735
-2.046 -0.01785 -8.610 -2.401
-8.888 -0.35127 -5.382 -1.620
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2641 0.4157 0.2498 -4.792
-1.5173 -10.0028 -6.4613 -5.110
-0.4610 -5.7562 -4.3775 -7.562
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.8348 -11.5013 -0.2519 -0.4579
2.5900 -1.3878 -0.4174 0.6106
0.6966 -0.5285 0.8949 0.1940
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.063 0.103251 -0.7317 0.00874
-2.419 -0.083683 -0.9436 -5.75157
-1.947 -0.003618 -1.5104 -2.96467
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.721 0.5342 -2.46883 2.7409
3.839 0.1401 0.09306 -0.7223
2.905 0.2296 -3.07399 0.5003
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.887 0.1816 -3.8144 8.446
2.434 0.7434 -2.0772 8.545
1.289 0.2948 0.8048 8.920
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1139 2.6342 6.669 6.0405
-0.3208 -3.6116 -2.083 0.8053
0.1756 0.2623 -1.812 -2.4380
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.598 0.7946 0.1886 5.496
7.239 0.8560 -0.1231 1.342
-2.365 -0.2186 0.0301 5.771
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.337 -0.1006 -0.2814 -5.278
-5.117 2.3173 -0.1273 2.834
-4.576 3.8290 0.1016 1.329
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.5667 -0.30251 -7.6944 -0.09929
0.1919 0.09813 -0.4763 0.05893
0.9605 0.06395 1.5888 0.16289
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.228 -0.112111 -0.80377 -0.03759
-2.787 -0.028591 -0.07918 0.92723
1.147 -0.006951 -0.44133 -0.78824
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.2222 -3.3771 -1.2811 -4.5520
-0.6983 0.1076 -1.2505 0.6010
-0.2470 -1.9051 -0.3371 -0.9678
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.8428 -0.7343 4.984 0.2942
-2.2997 -0.3703 -3.143 0.1414
0.3116 -0.1914 -0.510 0.2062
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.504 -0.3158 2.0016 0.5205
-2.107 -0.6433 -0.7598 -0.2583
-1.959 -0.9585 -0.3593 0.2834
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5727 0.08999 -0.4489 -6.088
-6.1775 0.20117 0.7301 -2.212
2.1964 -0.34942 0.3600 -2.154
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3492 0.25720 -1.393 -0.008887
-0.3085 0.77996 1.401 0.312833
-0.1828 0.09853 1.020 0.765777
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.9929 -0.1395 -2.05700 -3.297
0.9951 1.1221 -0.09223 -2.815
0.7313 0.9255 -0.89602 -2.636
rnd_95776.volume rnd_95787.volume
-6.177 -0.258
3.507 -12.396
-1.733 -4.889
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.790 3.286 12.08 8.308 9.001 1.421 3.434 8.834 9.167 7.324 4.385
[2,] 5.927 3.289 12.33 8.857 9.587 1.456 3.528 9.018 9.472 9.517 4.939
[3,] 6.049 3.289 12.70 9.645 9.924 1.462 3.715 9.253 9.772 9.533 4.999
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.116 4.878 6.071 7.776 5.857 6.650 6.374 11.99 7.977 12.94 4.887
[2,] 6.562 5.145 6.073 8.029 6.446 7.199 7.714 12.71 8.647 13.25 4.901
[3,] 7.001 5.240 6.074 8.099 7.037 7.232 7.922 12.88 9.106 13.99 4.944
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.83 8.757 2.346 7.949 8.192 4.919 7.848 2.122 8.034 5.902 3.098
[2,] 22.11 9.327 2.370 9.281 9.546 5.262 8.877 2.166 8.654 5.977 3.131
[3,] 22.31 10.960 2.398 11.144 10.219 5.528 9.534 2.189 9.408 6.122 3.209
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.879 8.011 7.791 6.159 4.816 4.128 1.735 5.171 1.803 5.103 4.518
[2,] 8.827 8.490 8.369 6.234 5.637 4.134 1.737 5.238 1.810 5.610 5.837
[3,] 9.572 8.709 8.597 6.325 5.734 4.135 1.775 5.349 1.811 5.745 6.062
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.917 2.868 5.320 6.100 5.178 3.479 6.127 4.105 2.616 4.816 4.035
[2,] 4.132 2.908 5.577 6.139 5.205 3.479 7.553 4.300 2.701 5.709 5.086
[3,] 4.269 2.909 5.801 6.351 5.400 3.490 8.191 4.490 2.795 7.204 5.857
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.991 2.958 4.821 1.810 5.025 2.271 3.925 3.821 4.518 6.350 2.523
[2,] 4.707 4.805 4.821 1.814 5.196 2.324 3.933 3.821 4.886 6.753 2.532
[3,] 5.544 5.396 4.830 1.816 6.327 2.541 4.218 3.823 4.979 6.769 2.532
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.275 3.558 4.292 2.211 7.314 7.031 7.048 6.483 6.999 6.469 5.937
[2,] 6.051 3.562 5.580 2.216 7.811 7.095 7.174 6.992 7.733 7.298 6.749
[3,] 6.197 3.566 5.850 2.224 7.976 7.153 7.209 7.141 7.950 7.399 6.865
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.460 5.539 4.465 6.298 3.399 2.912 1.905 3.732 3.960 8.325 7.738
[2,] 1.475 6.603 5.071 6.750 3.525 3.071 1.914 5.377 3.963 8.347 7.986
[3,] 1.506 6.881 5.343 7.064 3.579 3.193 1.915 5.469 3.964 8.433 8.681
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.559 3.179 3.028 2.810 3.804 2.652 3.461 8.873 13.63 8.611
[2,] 3.803 4.209 3.928 3.843 3.805 2.653 3.803 9.492 19.91 9.116
[3,] 3.878 4.408 4.166 4.475 4.060 2.665 3.935 10.168 20.32 10.591
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.352 4.173 15.34 10.55 11.43 1.804 4.361 11.22 11.64
[2,] 284.592 29.908 550.75 690.46 741.91 71.993 180.965 407.07 535.99
[3,] 271.715 7.643 688.74 858.11 576.84 28.299 261.891 466.16 540.08
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.301 5.568 7.766 6.195 7.709 9.875 7.437 8.444
[2,] 1365.788 510.795 534.693 367.385 31.930 448.956 605.022 619.977
[3,] 124.795 174.289 548.552 223.683 27.638 239.983 634.819 155.719
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.094 15.23 10.13 16.43 6.205 18.83 11.12 2.979 10.09
[2,] 976.662 943.70 750.27 641.99 83.871 3686.62 721.86 75.273 1076.74
[3,] 405.503 478.08 641.32 1004.75 146.916 672.13 1293.82 82.722 1386.47
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 10.4 6.246 9.966 2.695 10.2 7.494 3.934 10.01 10.17
[2,] 1101.6 420.039 932.300 97.402 723.5 212.323 102.517 894.36 632.24
[3,] 820.1 381.065 781.933 70.724 829.1 297.728 157.586 832.17 436.48
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.893 7.821 6.115 5.242 2.203 6.566 2.29 6.48 5.737
[2,] 687.380 217.374 658.496 52.878 22.101 187.698 34.53 523.66 830.909
[3,] 441.857 240.190 236.908 10.210 81.890 243.724 16.78 278.37 367.221
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 4.974 3.641 6.755 7.746 6.575 4.418 7.781 5.213
[2,] 295.911 108.729 375.934 154.657 119.974 3.570 992.648 287.385
[3,] 241.261 14.366 359.021 366.403 323.398 61.986 712.651 290.711
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.322 6.116 5.123 5.068 3.756 6.122 2.299 6.382 2.883
[2,] 150.727 689.010 695.919 560.777 851.077 11.538 25.070 296.618 110.800
[3,] 161.890 987.563 653.050 658.568 552.076 66.779 18.175 811.447 231.192
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.984 4.852 5.738 8.063 3.204 6.698 4.518 5.45 2.808
[2,] 54.817 11.365 418.092 516.709 46.672 666.679 39.152 801.36 33.881
[3,] 343.010 29.061 215.596 105.363 9.916 300.376 38.578 395.11 41.798
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.287 8.928 8.95 8.232 8.888 8.215 7.539 1.854 7.034
[2,] 616.378 214.294 300.91 588.905 739.132 759.370 721.535 48.286 807.781
[3,] 363.059 202.936 158.81 326.649 415.266 274.424 282.484 68.298 435.871
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.67 7.997 4.316 3.698 2.419 4.74 5.029 10.57 9.826
[2,] 540.23 546.029 210.197 219.104 41.157 870.09 34.784 135.38 443.521
[3,] 378.57 468.282 138.921 196.758 15.624 224.40 23.491 270.96 765.074
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.519 4.037 3.845 3.569 4.831 3.368 4.395 11.27 17.31
[2,] 301.470 619.918 562.577 589.210 14.873 15.206 354.291 758.03 3262.80
[3,] 170.493 294.556 311.885 515.396 318.328 57.529 227.567 819.65 916.61
[,98]
[1,] 10.93
[2,] 672.69
[3,] 1211.62
[1] "--- VAR model 2017-10-03 03:31:00 completed"
[1] "Completed training sample: 2017-10-03 03:31:00 - 2017-10-03 11:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 04:01:00 - 2017-10-03 12:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.4629 0.05959 -5.615 -4.056
0.4150 0.03030 -7.645 -9.778
0.2907 0.23078 -6.087 -7.302
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.085 1.4545 3.255 2.131
-3.836 0.6489 1.284 3.287
-6.496 0.3814 1.473 2.743
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.21052 2.686 0.4115 -11.36
0.37636 1.319 0.1859 -11.53
0.04822 1.577 0.3420 -10.18
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.815 -0.2230 -2.5887 24.06
-1.854 0.2623 -0.8192 22.44
-1.320 -0.3445 -1.4211 24.05
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.535 -3.7739 5.086 8.782
-1.292 -1.6090 2.716 7.643
-1.892 -0.9296 5.806 6.643
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.5897 -0.9181 -5.134 -6.927
-1.5484 -0.4004 -5.216 -4.525
0.3961 -0.1161 -12.977 -5.808
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.020 -10.137 -16.239 2.2371
1.232 -3.514 -5.980 0.6892
1.186 -4.101 -4.231 1.4333
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.699 -0.8768 2.738 -0.7653
-10.044 -0.6060 -8.728 -1.0294
-6.223 -0.1953 -7.403 -0.7550
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.3721 -4.595 -9.610 -5.936
1.1595 -9.207 -1.307 -1.113
-0.8908 -8.759 -6.126 -7.202
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.5417 1.8725 0.774608 -0.09809
-0.7624 -0.6751 -0.097205 0.34289
-0.2671 0.8261 0.006749 0.07372
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8425 0.1510 -0.5754 -1.590
-0.8192 0.5918 -1.8393 -6.201
-2.4238 0.1141 -0.6776 -5.686
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.252 1.3626 -7.946 -1.2703538
2.589 0.4014 -1.852 -0.2761198
2.933 0.6049 -3.908 0.0002731
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.986 -0.3711 -9.57625 3.497
3.296 -1.1193 -0.06465 2.760
1.520 -0.3612 -3.34934 1.837
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.8094 -11.594 -2.4703 5.6334
0.1527 -2.117 -6.7615 -9.0881
-0.7114 -2.719 -0.1005 -0.2589
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.108 0.3401 0.01581 -0.37794
-1.729 0.3634 0.02213 3.36041
-7.100 0.1069 -0.03046 -0.03852
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.063 -0.6392 -0.2541 2.4513
-1.266 2.0619 0.3495 -0.6679
-1.419 1.4765 1.4257 1.7473
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.502 0.37103 1.060 -0.39274
-1.099 0.09741 1.008 -0.24950
1.554 0.36106 0.157 -0.05024
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.9553 0.12960 0.79177 1.6540
2.8850 0.13879 0.61622 0.7979
-0.8122 0.03869 -0.09524 0.3460
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8293 0.1824 0.7745 -1.9632
-0.4353 -0.3655 -1.0141 -0.1131
-0.1764 -0.8700 0.4232 -0.1953
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.3114 -0.2984 2.0305 -0.9805
1.0478 -0.4665 -1.4331 -0.8133
0.5988 -0.3106 0.3669 -0.6214
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.550 0.3187 -0.7845 -0.6904
-1.105 -0.3596 -2.0365 0.2135
1.023 -0.3374 0.1837 -0.1434
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.7533 -0.3041 -0.6898 3.779
1.6086 -0.2638 0.6095 1.312
-0.4995 0.7075 0.3952 1.761
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.60752 0.62557 -1.4419 -1.7516
-0.13280 0.27216 0.8596 0.5314
0.01496 0.04008 0.5387 0.2393
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1367 -1.06667 2.1298 -2.647
0.2714 -0.02327 0.6285 -3.761
1.9368 0.76394 1.3950 -4.069
rnd_95776.volume rnd_95787.volume
1.813 -7.036
-13.699 -4.653
-2.084 -6.447
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.074 3.441 12.47 8.459 9.095 1.676 3.516 8.954 9.337 7.519 4.485
[2,] 6.204 3.443 12.64 9.169 9.702 1.694 3.603 9.132 9.623 9.704 5.041
[3,] 6.303 3.443 13.06 9.964 10.146 1.755 3.811 9.383 9.968 9.722 5.100
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.245 4.952 6.323 7.883 5.979 6.823 6.504 12.32 8.279 13.33 4.955
[2,] 6.668 5.226 6.323 8.132 6.530 7.373 7.923 13.08 9.028 13.59 4.967
[3,] 7.083 5.331 6.330 8.199 7.095 7.403 8.133 13.24 9.543 14.36 5.014
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.18 9.034 2.534 8.213 8.447 5.194 8.074 2.239 8.286 6.078 3.187
[2,] 22.87 9.557 2.598 9.572 9.932 5.604 9.203 2.287 8.934 6.166 3.222
[3,] 23.02 11.168 2.659 11.556 10.639 5.872 9.904 2.303 9.782 6.295 3.313
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.276 8.222 8.024 6.356 5.082 4.300 1.830 5.278 1.931 5.307 4.677
[2,] 9.129 8.758 8.685 6.445 5.842 4.303 1.833 5.345 1.935 5.847 6.093
[3,] 9.841 9.011 8.902 6.533 5.940 4.303 1.868 5.443 1.937 6.016 6.301
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.032 2.973 5.579 6.375 5.616 3.508 6.444 4.325 2.684 5.064 4.121
[2,] 4.268 3.007 5.900 6.408 5.641 3.550 7.918 4.483 2.774 5.965 5.294
[3,] 4.422 3.008 6.172 6.611 5.801 3.565 8.604 4.732 2.874 7.522 6.118
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.112 3.033 4.984 1.872 5.201 2.352 4.076 4.060 4.666 6.583 2.612
[2,] 4.828 4.914 4.984 1.872 5.392 2.410 4.081 4.060 5.042 7.031 2.621
[3,] 5.675 5.618 4.993 1.872 6.516 2.623 4.383 4.064 5.140 7.054 2.622
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.605 3.812 4.442 2.341 7.568 7.385 7.219 6.699 7.228 6.649 6.096
[2,] 6.365 3.813 5.933 2.342 8.041 7.442 7.352 7.259 7.816 7.524 6.969
[3,] 6.499 3.827 6.193 2.345 8.193 7.493 7.387 7.398 8.051 7.621 7.103
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.508 5.712 4.628 6.469 3.699 3.000 2.060 3.934 4.143 8.780 8.100
[2,] 1.519 6.790 5.192 6.970 3.724 3.189 2.070 5.571 4.145 8.784 8.385
[3,] 1.554 7.129 5.458 7.335 3.754 3.327 2.075 5.688 4.147 8.873 9.045
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.606 3.222 3.070 2.850 3.967 2.923 3.781 8.201 14.14 9.089
[2,] 3.862 4.258 3.992 3.893 3.967 2.926 4.149 8.865 20.65 9.548
[3,] 3.932 4.469 4.239 4.513 4.220 2.933 4.285 9.667 21.05 11.008
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.713 4.370 15.83 10.74 11.55 2.128 4.465 11.37 11.86
[2,] 249.365 19.466 413.14 697.27 665.60 48.176 155.046 353.85 458.47
[3,] 219.140 3.859 645.68 768.68 584.86 90.429 244.726 425.00 512.33
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.548 5.696 7.93 6.288 8.029 10.01 7.592 8.664 8.259
[2,] 1208.847 453.260 460.45 328.948 15.730 393.74 517.232 550.746 891.471
[3,] 116.529 153.226 470.82 207.791 61.209 206.78 546.725 131.415 362.244
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.64 10.51 16.93 6.292 19.28 11.47 3.218 10.43 10.73
[2,] 865.08 709.49 515.56 69.118 3369.26 614.51 112.953 968.94 1029.73
[3,] 408.37 609.85 916.25 134.334 519.95 1138.42 110.820 1275.75 751.15
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 6.596 10.25 2.843 10.52 7.718 4.047 10.51 10.44 10.19
[2,] 414.479 869.90 91.214 658.14 204.559 93.383 758.99 594.50 654.69
[3,] 345.644 721.17 54.144 785.07 250.241 152.059 724.14 417.68 384.96
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.071 6.453 5.460 2.324 6.703 2.452 6.739 5.939 5.12
[2,] 210.376 567.731 35.816 20.416 165.536 26.101 483.802 769.699 276.03
[3,] 209.954 211.485 6.163 70.609 203.083 15.559 279.209 316.109 227.34
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.775 7.085 8.095 7.131 4.455 8.183 5.492 3.408
[2,] 88.593 377.883 128.883 105.029 106.612 906.419 232.503 138.024
[3,] 15.168 357.372 320.540 266.622 65.071 663.272 298.478 148.507
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 6.431 5.233 5.221 3.851 6.329 2.378 6.604 2.987 5.175
[2,] 621.157 654.931 498.666 761.716 5.014 2.020 280.631 103.457 43.196
[3,] 902.991 604.059 587.840 536.575 59.306 3.257 720.796 203.894 315.134
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.155 5.925 8.36 3.317 7.118 4.841 5.641 2.973 9.611
[2,] 9.465 376.534 486.62 43.395 594.224 12.430 775.016 16.260 535.219
[3,] 35.444 196.874 112.73 5.591 258.836 66.557 350.148 24.211 309.409
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.378 9.167 8.507 9.178 8.443 7.741 1.915 7.253
[2,] 182.224 274.903 551.151 586.290 693.954 665.590 36.690 723.673
[3,] 171.635 141.675 280.815 380.215 238.748 269.954 64.767 428.079
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.877 8.215 4.697 3.81 2.615 4.996 5.261 11.15 10.29
[2,] 463.785 511.248 84.350 213.36 40.333 777.253 21.550 55.58 427.06
[3,] 331.562 450.081 93.725 186.73 28.846 225.891 25.128 247.55 668.37
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.579 4.092 3.899 3.619 5.038 3.712 4.801 10.41 17.95
[2,] 272.379 548.343 502.612 522.519 4.397 24.523 336.825 663.27 2965.22
[3,] 146.062 267.662 281.141 449.660 283.715 39.867 211.404 759.68 804.76
[,98]
[1,] 11.54
[2,] 575.90
[3,] 1079.56
[1] "--- VAR model 2017-10-03 04:01:00 completed"
[1] "Completed training sample: 2017-10-03 04:01:00 - 2017-10-03 12:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 04:31:00 - 2017-10-03 12:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.135 0.20792 -9.365 -3.710
2.371 0.08038 -9.614 -7.433
1.197 0.03155 -9.938 -9.700
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.8596 2.046 -0.2476 1.7336
-6.7606 1.494 0.9635 1.8679
-9.8992 1.107 0.7362 0.9891
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.576 0.3422 0.8222 -10.73
2.347 3.0937 1.2636 -10.65
1.741 1.6964 0.8397 -11.55
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.232 0.3843 1.5729 29.56
2.850 0.2439 1.1322 30.57
2.481 0.3584 0.6619 30.37
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.7926 1.62150 4.545 6.477
-0.3872 0.81981 4.670 7.395
-0.8361 0.05174 3.330 4.441
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.456 0.62511 -26.24 -9.222
-6.633 0.70022 -14.79 -10.830
-5.310 0.08543 -18.91 -6.882
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.1252 -12.430 -8.227 -1.051
-1.0303 -13.665 -11.428 -1.608
-0.6611 -8.975 -9.353 -1.482
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.811 0.56578 0.7471 -0.5022
-8.707 0.08224 -9.7362 -0.8798
-11.278 0.33984 -10.2447 -0.4718
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.4959 -0.8548 -2.220 -1.138
0.1934 -5.3000 -4.944 -4.481
-0.5273 -7.4707 -7.572 -5.866
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6978 -0.126 0.7150 0.1054
0.6297 2.095 -0.9182 0.4254
0.2896 -1.512 -1.2672 0.1058
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4997 -0.2191 -2.646 -19.10
3.0120 -0.1575 -4.687 -10.36
0.7951 -0.2021 -2.996 -11.43
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.866 -0.04845 -8.646 -0.269
4.179 -0.39150 -9.244 4.175
3.806 -0.27538 -5.464 1.692
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.926 -0.6353 -3.504 4.261
6.169 -1.0952 3.133 2.190
3.816 -1.0026 -7.226 2.806
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1896 0.2821 4.276 8.9838
0.9156 1.8170 -2.459 -0.8202
-0.7186 -2.7759 1.503 1.6557
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.5946 0.6204 0.003034 1.387
4.7728 1.1405 0.045203 -2.930
-2.6208 0.9420 -0.037578 5.454
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.686 5.114 -0.6684 2.175
-5.293 -2.430 0.1875 1.666
-4.913 4.574 0.1088 -1.214
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.341 0.2018 -6.895 0.32232
2.825 0.7193 4.372 0.05557
-1.765 -0.1203 -1.411 0.02719
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.301 -0.1393 2.583 1.4046
1.638 0.4274 2.350 2.3224
2.125 0.1803 1.476 0.7425
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7065 2.226226 -5.053 2.6568
0.2956 0.003495 -4.510 1.1702
0.1180 1.728967 -3.570 0.6537
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.1423 -0.7568 6.625 -1.3412
1.4218 -0.7133 2.806 -1.2067
0.6517 -0.4083 1.065 -0.9586
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.445 0.2969297 1.6608 -0.4477
3.907 -0.0005788 -0.7480 0.3957
2.438 0.4699245 0.8833 -0.2820
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.2496 0.576208 0.5507 -1.894
3.4875 0.283058 3.1724 -3.642
-0.8209 0.001276 1.4821 -2.354
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1088 1.1841 0.3357 -0.8991
0.9061 -0.5776 -0.4864 0.6811
0.7668 0.4805 -0.3031 -0.6378
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.911 -0.5484 5.423 -4.845
-1.921 0.4334 5.322 -5.333
3.098 0.4220 4.274 -5.586
rnd_95776.volume rnd_95787.volume
19.30 -9.920
-14.60 -11.463
-3.34 -6.743
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.243 3.655 12.61 8.602 9.014 1.745 3.622 9.099 9.564 7.754 4.524
[2,] 6.384 3.657 12.78 9.327 9.806 1.763 3.662 9.283 9.873 10.004 5.111
[3,] 6.477 3.659 13.17 10.116 10.304 1.839 3.915 9.540 10.206 10.041 5.175
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.441 5.041 6.435 8.991 6.333 7.072 6.645 12.36 8.513 12.94 4.970
[2,] 6.937 5.331 6.437 9.354 6.853 7.661 8.091 13.15 9.277 13.25 4.981
[3,] 7.421 5.430 6.442 9.397 7.463 7.695 8.311 13.39 9.817 13.65 5.029
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 15.54 9.638 2.591 8.342 8.634 5.306 8.192 2.305 8.452 6.287
[2,] 23.40 10.142 2.655 9.726 10.117 5.643 9.354 2.355 9.149 6.383
[3,] 23.62 11.922 2.713 11.757 10.803 5.861 10.077 2.374 10.017 6.491
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.290 8.741 8.438 8.211 6.598 5.273 4.645 1.964 5.496 2.000 5.494
[2,] 3.326 9.482 9.028 8.968 6.691 5.978 4.646 1.970 5.564 2.003 6.079
[3,] 3.403 10.293 9.296 9.208 6.761 6.090 4.646 2.017 5.652 2.008 6.202
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.222 4.239 3.080 5.766 6.654 5.905 3.575 6.572 4.605 2.774 5.297
[2,] 6.469 4.498 3.106 6.086 6.688 5.918 3.618 8.137 4.790 2.868 6.187
[3,] 6.793 4.648 3.107 6.311 6.915 6.110 3.633 8.846 5.052 2.976 7.789
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.316 4.434 3.130 5.148 1.907 5.362 2.457 4.198 4.224 4.885 6.160
[2,] 5.483 5.413 5.078 5.149 1.907 5.605 2.522 4.210 4.224 5.260 7.286
[3,] 6.305 6.140 5.821 5.159 1.908 6.828 2.733 4.568 4.227 5.361 7.305
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.733 5.719 3.999 4.416 2.431 7.792 7.520 7.558 7.000 7.543 6.646
[2,] 2.742 6.535 4.001 5.892 2.434 8.244 7.588 7.672 7.619 8.162 7.699
[3,] 2.742 6.672 4.017 6.334 2.440 8.389 7.634 7.700 7.761 8.380 7.794
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.209 1.573 5.863 4.725 6.614 3.661 3.174 2.191 4.155 4.326 9.073
[2,] 7.154 1.584 7.006 5.262 7.163 3.776 3.374 2.200 5.779 4.328 9.076
[3,] 7.304 1.617 7.443 5.531 7.551 3.818 3.525 2.205 5.905 4.328 9.164
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 8.324 3.651 3.259 3.099 2.868 4.119 3.055 4.026 7.635 14.58 9.181
[2,] 8.572 3.916 4.298 4.045 3.930 4.119 3.059 4.375 8.357 21.42 9.643
[3,] 9.269 3.985 4.510 4.293 4.556 4.416 3.064 4.530 9.185 21.81 11.115
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.928 4.641 16.01 10.92 11.45 2.216 4.60 11.55 12.14
[2,] 239.266 25.566 377.22 646.81 692.64 44.655 96.12 329.86 440.25
[3,] 196.068 17.430 570.62 702.58 567.53 93.860 248.48 394.79 463.69
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.846 5.745 8.18 6.401 8.171 11.42 8.042 8.981 8.438
[2,] 1133.842 426.362 461.87 311.505 27.364 462.43 469.788 528.330 828.306
[3,] 155.238 146.348 473.21 185.078 48.872 162.55 530.068 130.882 340.657
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.69 10.81 16.43 6.311 19.74 12.24 3.29 10.59 10.96
[2,] 806.39 661.34 513.20 59.315 3138.70 566.59 104.23 896.96 945.89
[3,] 453.01 576.13 589.52 124.739 571.26 1124.41 99.57 1185.01 679.88
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 6.738 10.4 2.928 10.73 7.984 4.177 11.1 10.71 10.43
[2,] 344.705 809.9 86.575 628.29 197.824 88.091 659.0 575.95 647.01
[3,] 284.107 672.5 53.273 731.70 212.065 129.257 718.4 397.46 374.83
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.379 6.696 5.899 2.493 6.979 2.539 6.976 6.631 5.383
[2,] 198.795 505.179 20.118 29.011 155.850 20.235 466.972 685.079 269.519
[3,] 173.941 208.614 7.515 77.931 178.226 25.674 220.545 371.974 210.321
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.912 7.322 8.45 7.499 4.54 8.345 5.848 3.523 6.726
[2,] 71.080 349.287 120.72 71.060 99.51 860.839 236.542 130.582 573.519
[3,] 15.188 299.653 315.46 272.382 58.29 622.583 288.297 142.507 849.080
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.481 5.63 3.975 6.537 2.422 6.809 3.12 5.33 5.363
[2,] 606.632 556.98 717.302 20.185 3.354 292.877 101.60 57.89 15.021
[3,] 558.540 520.08 510.733 55.530 4.890 699.655 189.20 318.13 28.954
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.203 7.823 3.470 7.262 5.078 5.608 3.087 9.894 9.549
[2,] 349.819 697.785 40.203 567.596 21.542 699.706 20.445 483.056 181.465
[3,] 185.996 95.410 9.403 241.001 64.905 416.916 31.635 278.754 150.199
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.597 8.889 9.579 8.439 7.884 1.997 7.445 6.0 8.399
[2,] 236.842 539.372 559.023 697.219 637.553 34.080 688.035 415.4 493.592
[3,] 117.558 265.502 341.371 218.307 264.556 58.380 450.592 305.6 428.268
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.649 4.031 2.782 5.277 5.493 11.52 10.57 4.636 4.138
[2,] 165.742 205.201 36.218 720.531 25.400 44.05 367.14 253.743 502.660
[3,] 101.180 183.407 24.666 217.398 10.686 226.69 632.91 133.302 245.242
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.935 3.642 5.230 3.879 5.112 9.695 18.52 11.66
[2,] 466.359 481.899 4.128 28.788 307.149 609.424 2813.76 529.26
[3,] 257.906 413.689 285.491 32.177 211.264 683.777 740.74 991.46
[1] "--- VAR model 2017-10-03 04:31:00 completed"
[1] "Completed training sample: 2017-10-03 04:31:00 - 2017-10-03 12:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 05:01:00 - 2017-10-03 13:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.1053 -0.06344 1.3004 -3.363
0.8943 -0.10134 -0.3611 3.726
1.1389 -0.11944 -0.3381 -1.342
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.7467 0.2895 1.6249 1.254
-7.1778 0.1855 1.0052 -1.428
-0.5386 0.1107 0.5886 -0.819
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.985 -1.2105 0.5192 -10.78
1.741 1.8862 0.5541 -11.05
1.459 -0.1146 0.4683 -10.49
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.136 0.5874 1.0341 14.52
1.421 0.2162 0.1376 19.25
2.511 0.3361 0.1790 19.41
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.3395 -3.3190 6.796 9.890
-0.9627 0.6035 7.619 8.501
-1.5701 -1.3751 4.691 7.547
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.12848 -0.19945 -0.07919 4.188
-0.09612 -0.00732 5.31743 0.929
-1.16754 -0.02631 2.00452 3.121
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.999 3.964 5.2476 2.716
2.715 -2.510 1.2697 1.278
2.714 0.387 0.5844 1.244
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.1838 1.4182 -6.074 1.788
3.9803 1.2773 1.162 2.567
-0.5588 0.6428 -2.495 2.190
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2186 -5.4799 -6.939 -1.1832
-0.1425 -0.8635 -5.145 -4.9337
0.1654 2.6568 1.604 -0.3853
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.02975 -2.8914 1.509 -0.7606
0.02884 0.7694 -0.867 -0.6106
-0.19386 0.4878 -0.398 -0.2822
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.769 0.46280 -1.378 -16.25
4.056 0.25805 -3.410 -8.91
2.804 0.03695 -2.104 -10.65
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.717 0.8478 -8.474 -0.5028
1.668 0.2722 -9.667 2.4871
2.829 0.6436 -6.968 0.9119
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.094 -1.4926 -12.36282 2.965
4.124 -0.8565 -0.03418 2.749
2.325 -1.0247 -5.84543 3.986
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.49756 -7.227 -2.4303 -0.7865
-0.01271 -4.544 -8.2658 -7.2388
-0.68180 -2.479 -0.2504 -2.0211
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.403 1.250 -0.044523 7.3920
-1.670 1.193 -0.012434 -0.4081
-8.403 0.408 -0.003067 -1.7268
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.389 -0.6765 -0.06495 -2.0865
-4.384 2.5047 0.75301 1.5943
-3.900 -0.7714 1.32440 0.3513
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.463 0.5568 4.407 0.099931
1.446 -0.2363 -1.487 0.002244
2.355 0.3544 2.533 0.004299
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.892 0.06449 1.1277 -0.6687
2.287 0.12861 1.1748 0.2644
1.430 0.02236 0.9143 0.9810
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.260382 -1.0199 4.242 6.5496
0.006421 -0.3165 3.130 -1.0989
0.007309 2.4184 4.008 0.6276
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.0469 0.2946 2.2447 5.408
-0.5526 0.3328 4.6759 4.227
0.9682 0.1907 -0.4099 3.620
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.6537 -1.0137 -0.5005 -0.05321
4.5419 -0.3454 -2.1754 0.29986
-0.1053 0.8871 0.1409 -0.08195
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3669 -0.3639 3.913 4.694
-1.9467 0.2507 3.718 3.650
2.3951 -0.3349 1.429 5.776
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7966 -2.2501 1.5766 2.3140
0.3061 0.9028 -0.8062 -2.0881
0.1015 0.2413 2.2417 0.6328
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5436 -0.6528 0.8800 -3.445
1.9925 -0.9503 -0.4262 -4.115
-0.4230 0.4433 -0.1338 -3.876
rnd_95776.volume rnd_95787.volume
-1.475 4.4520
-11.807 -0.1577
-8.116 4.2706
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.441 3.810 13.46 8.939 9.462 1.810 3.685 9.242 9.749 7.872 4.650
[2,] 6.538 3.811 13.84 9.707 10.151 1.829 3.725 9.416 10.025 10.142 5.277
[3,] 6.621 3.813 14.64 10.631 10.652 1.914 3.980 9.677 10.385 10.173 5.336
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.530 5.168 7.410 9.560 7.839 7.175 6.783 12.62 8.735 13.26 5.058
[2,] 6.988 5.431 7.420 9.881 8.986 7.835 7.995 13.38 9.518 13.57 5.068
[3,] 7.505 5.534 7.423 9.913 9.897 7.877 8.240 13.67 10.110 13.95 5.112
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 15.72 9.831 2.681 8.461 8.858 5.568 8.382 2.426 8.676 6.436
[2,] 24.33 10.360 2.759 9.881 10.554 5.928 9.584 2.473 9.434 6.536
[3,] 24.66 12.156 2.818 12.002 11.309 6.166 10.387 2.489 10.346 6.636
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.472 8.921 8.640 8.387 6.854 5.588 4.890 2.040 5.646 2.076 5.637
[2,] 3.517 9.642 9.254 9.180 6.940 6.278 4.890 2.045 5.711 2.079 6.236
[3,] 3.597 10.492 9.556 9.456 6.999 6.415 4.891 2.091 5.805 2.082 6.373
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.477 4.552 3.238 5.302 6.824 6.137 3.615 6.958 4.811 2.857 5.548
[2,] 6.706 4.677 3.262 6.467 6.868 6.154 3.648 8.279 4.994 2.961 6.431
[3,] 7.057 4.864 3.263 6.796 7.134 6.322 3.675 9.074 5.259 3.064 7.926
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.505 4.567 3.197 5.353 1.957 5.508 2.526 4.312 4.4 5.088 6.314
[2,] 5.828 5.621 5.210 5.354 1.957 5.742 2.592 4.330 4.4 5.492 7.501
[3,] 6.519 6.382 6.077 5.357 1.957 7.051 2.807 4.659 4.4 5.609 7.523
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.802 5.924 4.419 4.606 2.497 7.920 7.630 7.791 7.429 7.695 6.855
[2,] 2.810 6.765 4.420 6.188 2.499 8.351 7.685 7.885 8.072 8.246 8.042
[3,] 2.811 6.901 4.424 6.626 2.501 8.472 7.726 7.912 8.186 8.480 8.144
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.389 1.653 5.997 4.848 6.755 3.731 3.301 2.350 4.322 4.447 9.374
[2,] 7.449 1.664 7.282 5.390 7.346 3.846 3.537 2.353 6.013 4.449 9.379
[3,] 7.609 1.701 7.786 5.638 7.775 3.891 3.637 2.360 6.133 4.449 9.482
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 8.765 3.701 3.363 3.126 2.891 4.313 3.267 4.203 6.853 15.56 9.622
[2,] 9.007 3.965 4.475 4.124 4.003 4.313 3.275 4.517 7.705 21.83 10.081
[3,] 9.542 4.032 4.641 4.388 4.686 4.631 3.287 4.671 8.300 22.61 11.737
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.179 4.838 17.09 11.35 12.02 2.299 4.679 11.74 12.38
[2,] 185.012 15.757 531.26 623.52 605.69 43.268 89.768 296.97 385.15
[3,] 172.641 19.068 784.04 714.32 532.20 92.651 230.910 368.09 446.31
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.996 5.904 8.292 6.562 9.409 12.14 9.955 9.111
[2,] 1053.720 411.155 409.984 275.163 65.435 411.83 723.622 518.432
[3,] 129.964 131.036 451.299 175.384 37.081 130.08 683.760 134.626
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.613 16.02 11.09 16.84 6.423 19.97 12.48 3.405 10.74
[2,] 697.396 736.54 622.90 474.68 51.723 3058.73 538.74 107.377 840.81
[3,] 329.032 455.29 561.50 533.79 111.329 666.22 1047.61 94.020 1122.70
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 11.25 7.07 10.64 3.081 11.02 8.173 4.408 11.33 10.97
[2,] 945.50 335.21 765.87 79.259 610.29 187.730 93.281 602.80 546.30
[3,] 669.12 279.94 659.64 46.400 700.10 188.795 123.795 681.59 392.30
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.65 8.703 7.096 6.209 2.59 7.17 2.636 7.158 6.956
[2,] 615.15 179.795 471.312 10.472 24.99 141.65 18.162 439.689 637.511
[3,] 373.60 150.175 217.793 17.618 71.96 171.26 18.320 216.385 362.058
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.781 4.111 6.733 8.665 7.794 4.591 8.836 6.109 3.628
[2,] 176.910 65.550 609.901 127.576 73.665 80.072 739.230 220.972 128.372
[3,] 220.252 14.456 344.552 318.089 239.145 74.334 611.833 271.847 129.604
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 7.045 5.72 5.8 4.06 6.797 2.484 6.994 3.207 5.476
[2,] 535.695 609.34 539.8 677.66 16.069 5.678 267.214 96.373 65.795
[3,] 763.423 481.05 497.9 515.46 30.376 2.441 674.174 177.266 283.382
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.587 6.461 8.018 3.558 7.523 5.612 5.849 3.171 10.06
[2,] 8.970 340.906 667.100 34.206 538.175 9.934 680.918 15.442 436.14
[3,] 7.686 187.749 95.045 15.017 224.823 31.943 390.383 18.903 235.07
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.689 9.894 9.434 9.772 8.705 8.114 2.10 7.615 6.156
[2,] 151.737 200.203 519.984 488.105 692.749 631.006 30.69 680.586 388.168
[3,] 130.241 107.591 225.029 326.212 211.975 255.451 57.89 454.125 272.874
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 8.577 4.737 4.191 2.985 5.488 5.647 11.90 11.13 4.7
[2,] 475.778 154.438 209.608 18.604 688.770 19.678 54.27 341.98 234.4
[3,] 419.773 96.691 139.136 29.777 199.183 4.454 229.89 519.16 120.8
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.27 3.97 3.671 5.477 4.148 5.337 8.702 19.76 12.22
[2,] 486.52 443.10 456.073 10.091 38.640 272.609 580.419 2522.02 495.85
[3,] 202.79 246.90 401.406 277.843 45.883 196.045 508.570 972.92 990.21
[1] "--- VAR model 2017-10-03 05:01:00 completed"
[1] "Completed training sample: 2017-10-03 05:01:00 - 2017-10-03 13:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 05:31:00 - 2017-10-03 13:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.306 -0.094339 -1.517 -6.082
-1.241 -0.002346 -3.828 8.846
-1.631 0.088108 -4.883 -8.096
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.550 1.1654 1.1564 0.919
-7.142 0.8532 0.9043 3.430
-1.973 0.7368 1.1044 2.953
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1459 2.6373 0.6470 -19.68
0.8903 0.1749 0.4504 -19.25
0.6156 2.3230 0.6124 -18.61
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.119 4.27599 -1.3879 21.73
1.634 3.95429 -0.9605 21.84
1.625 -0.08359 -0.5598 21.43
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.3120 -0.4042 4.250 12.41
-0.7184 -3.7852 5.149 14.54
-0.8591 -1.6197 0.559 11.19
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.004 -0.50510 -39.745 7.956
-5.313 -0.12873 -1.386 -11.581
-7.889 -0.07952 -4.465 2.378
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.99664 15.504 13.289 -0.1563
-0.02564 -14.579 -5.334 1.0532
-0.10535 1.029 -4.918 -0.2398
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.503 0.6981 -11.341 -2.834
9.526 0.3501 8.229 -2.262
-9.624 0.2595 -4.189 -1.568
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8433 -12.513 -5.351 -2.480
-0.3859 0.446 -6.548 -10.073
0.9539 2.867 3.675 1.661
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.60188 -2.03856 -0.8194 -0.4199
-0.02286 3.80352 -1.0417 -0.2872
-0.05460 -0.09352 3.2908 -0.1338
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.488 0.002465 -3.227 -5.201
-1.803 -0.004039 -1.841 -4.526
-2.081 0.193839 -2.825 -5.882
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.877 0.3843 -1.2681 -1.27767
4.123 0.1602 -4.4245 0.00686
3.508 0.2810 -0.8044 -0.31980
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.190 -0.1903 -7.975 6.362
3.720 -0.2049 1.557 7.251
1.755 -0.4226 -2.426 6.331
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.74794 -8.8250 -3.0385 0.5170
-0.04237 -2.1942 -5.1039 -7.1696
-0.27579 0.2792 0.9935 -0.3115
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.310 -0.0146 -0.04734 4.275
-2.946 -0.5253 -0.01956 1.643
-5.245 0.3882 -0.04046 -2.253
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.034 4.292 0.37309 -1.9633
-4.061 -1.290 -0.33010 2.7085
-3.226 -0.264 0.06847 -0.1323
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.943 -0.2672 -3.6517 0.1424
3.040 -0.2337 -0.3234 -0.1093
-1.074 -0.2434 0.5218 -0.0114
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.995 0.08825 -0.7709 -0.03448
-1.575 -0.20600 -0.8002 -0.94023
2.014 -0.07617 -0.8233 -1.61509
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6780 -4.9189 6.943 -6.126
-0.3140 -2.7015 2.629 -2.675
-0.1271 0.2543 4.947 -1.618
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.227 -0.22993 -2.238 0.06074
-1.274 -0.18355 -4.589 -0.34751
-2.234 -0.09473 -1.772 0.06914
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.305 -1.887 -0.5535 0.17104
-4.057 -1.143 -1.4948 0.09725
-2.977 -1.195 0.3760 -0.43282
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.338 -0.3978 -2.061 5.605
2.291 0.1058 -2.421 3.368
1.372 0.2068 -1.013 1.446
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.4436 -0.1790 1.5976 0.8850
-0.2606 -0.1766 -0.7313 -0.1642
-0.2620 -0.1215 -0.1778 -0.0826
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.0333 -1.2664 -1.0471 -2.064
-0.4997 -0.6693 -0.6825 -1.740
-0.2108 0.7092 -0.6927 -1.999
rnd_95776.volume rnd_95787.volume
-2.006 6.380
-3.576 -10.897
-6.613 2.349
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.577 3.955 13.72 9.038 9.531 1.929 3.793 9.321 9.958 7.916 4.738
[2,] 6.658 3.956 14.05 9.892 10.292 1.951 3.849 9.487 10.198 10.223 5.382
[3,] 6.728 3.957 14.89 10.968 10.786 2.027 4.113 9.757 10.587 10.248 5.439
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.788 5.285 7.784 9.686 7.926 7.260 6.708 12.81 8.882 13.28 5.117
[2,] 7.241 5.538 7.810 9.987 9.081 7.918 8.167 13.61 9.682 13.57 5.126
[3,] 7.866 5.657 7.812 10.013 10.023 7.963 8.439 13.91 10.346 14.02 5.173
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.94 10.05 2.776 8.764 9.007 5.742 8.455 2.462 8.686 6.532 3.539
[2,] 25.10 10.53 2.848 10.212 10.881 6.101 9.786 2.513 9.432 6.615 3.586
[3,] 25.34 12.30 2.896 12.523 11.729 6.326 10.723 2.526 10.394 6.708 3.664
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.166 8.763 8.598 6.994 5.819 5.104 2.115 5.749 2.120 5.750 5.582
[2,] 9.848 9.408 9.443 7.067 6.570 5.104 2.120 5.809 2.122 6.422 6.824
[3,] 10.823 9.757 9.677 7.124 6.677 5.109 2.161 5.903 2.124 6.548 7.217
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.684 3.300 5.576 7.093 6.399 3.690 7.170 5.118 2.934 5.788 4.645
[2,] 4.807 3.326 6.672 7.164 6.412 3.727 8.452 5.333 3.034 6.752 6.045
[3,] 4.974 3.327 6.973 7.517 6.638 3.761 9.210 5.608 3.135 8.166 6.702
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.682 3.327 5.667 1.991 5.594 2.638 4.412 4.568 5.280 6.332 2.899
[2,] 5.774 5.354 5.669 1.991 5.865 2.705 4.436 4.568 5.696 7.623 2.913
[3,] 6.545 6.216 5.669 1.991 7.220 2.925 4.767 4.570 5.798 7.647 2.914
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.082 4.649 4.728 2.579 7.917 7.919 8.023 7.595 7.965 7.317 6.526
[2,] 6.975 4.655 6.445 2.580 8.376 7.961 8.104 8.240 8.573 8.540 7.714
[3,] 7.114 4.660 6.868 2.585 8.462 7.991 8.125 8.364 8.771 8.660 7.880
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.710 6.087 4.937 6.912 3.813 3.383 2.429 4.503 4.7 9.544 9.143
[2,] 1.718 7.354 5.483 7.539 3.924 3.641 2.430 6.316 4.7 9.548 9.361
[3,] 1.749 7.915 5.726 8.043 3.963 3.744 2.437 6.447 4.7 9.618 9.956
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.727 3.368 3.142 2.914 4.460 3.401 4.294 6.293 16.04 9.99
[2,] 3.990 4.500 4.158 4.030 4.461 3.416 4.596 7.155 22.39 10.42
[3,] 4.059 4.667 4.426 4.712 4.795 3.431 4.758 7.701 23.21 12.05
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 8.351 5.022 17.42 11.48 12.1 2.45 4.817 11.84 12.65 10.05
[2,] 156.981 17.518 459.17 608.83 588.3 43.54 99.191 267.26 333.03 979.61
[3,] 147.437 5.285 746.42 717.86 488.9 83.75 219.570 345.65 430.68 110.03
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19]
[1,] 6.017 8.619 6.711 9.884 12.3 10.06 9.219 8.518 16.26
[2,] 386.620 381.834 250.879 96.387 368.8 671.36 478.780 705.408 696.23
[3,] 119.401 465.516 174.318 30.561 108.5 642.51 128.014 322.185 437.78
[,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 11.28 16.87 6.497 20.24 12.76 3.526 11.13 11.44 7.291
[2,] 583.92 421.59 46.575 2937.09 480.54 96.293 793.93 924.74 312.278
[3,] 552.28 535.61 106.081 528.68 961.13 79.346 1097.88 663.07 253.604
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 10.74 3.126 11.03 8.295 4.495 11.64 11.13 10.92 8.881
[2,] 746.51 76.457 556.78 158.636 87.538 545.23 518.35 591.10 153.957
[3,] 663.70 39.580 661.40 168.703 113.877 679.92 392.14 321.13 136.596
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 7.389 6.481 2.686 7.301 2.692 7.302 7.089 5.948 4.19
[2,] 461.854 5.737 23.019 125.596 14.100 433.155 594.500 164.141 62.65
[3,] 181.025 33.782 62.781 159.283 15.161 193.970 355.903 193.348 12.65
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.08 9.007 8.125 4.686 9.105 6.499 3.725 7.35 5.899
[2,] 555.07 153.088 62.029 79.700 677.915 227.049 117.177 526.67 585.841
[3,] 306.58 344.578 260.381 76.296 554.005 262.679 119.594 695.41 438.199
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 5.945 4.225 7.197 2.528 7.103 3.349 5.603 5.801 6.705
[2,] 511.900 635.239 21.389 2.091 267.116 90.616 70.434 5.571 323.680
[3,] 466.565 478.175 8.516 2.450 637.567 168.522 264.158 19.084 163.395
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 8.04 3.681 7.723 5.904 6.003 3.275 10.05 10.06 10.19
[2,] 642.94 43.387 517.144 36.325 663.446 13.923 414.00 124.26 173.05
[3,] 92.27 13.989 211.979 32.004 359.280 22.976 182.84 104.29 87.96
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.644 10.11 9.292 8.287 2.171 7.729 6.269 8.777 4.842
[2,] 484.194 480.10 667.014 623.069 25.005 625.098 361.402 455.943 140.130
[3,] 217.019 280.58 217.244 243.722 49.500 443.246 249.750 424.653 83.847
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.296 3.085 5.719 5.969 12.12 11.61 4.733 4.277 3.989
[2,] 203.872 10.444 670.565 6.989 42.72 304.34 215.940 452.054 412.433
[3,] 132.151 27.434 196.610 6.078 176.24 513.35 112.968 186.967 229.976
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.701 5.664 4.318 5.452 7.991 20.37 12.69
[2,] 421.568 11.912 49.169 248.090 515.558 2365.32 450.79
[3,] 369.881 266.121 48.487 186.721 431.481 929.67 915.28
[1] "--- VAR model 2017-10-03 05:31:00 completed"
[1] "Completed training sample: 2017-10-03 05:31:00 - 2017-10-03 13:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 06:01:00 - 2017-10-03 14:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.7131 -0.002704 -5.613 -7.212
1.4254 0.046802 -3.694 -5.359
0.8866 -0.041913 -2.582 -2.400
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.4464 0.4769 0.8011 5.546
-5.0155 1.1860 2.0735 3.956
-2.7832 0.9797 2.0057 3.246
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.072 6.139 2.895 -11.68
3.884 3.500 1.443 -12.56
3.497 2.931 1.414 -11.92
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.171 1.2485 1.6377 23.55
1.562 0.2512 0.3562 24.53
1.453 0.3554 0.4692 23.69
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.4816 0.4733 8.869 8.230
-0.3174 0.5048 10.027 11.055
-1.1320 -0.9803 6.716 9.543
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.888 1.0763 -1.979 -7.319
-4.805 1.7285 -15.947 -2.668
-3.493 0.2896 -9.126 -6.606
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1972 -8.502 -8.280 4.240
0.3337 -2.542 -4.078 3.458
0.5602 -8.049 -5.716 1.941
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.112 1.4069 -5.190 -0.9038
-6.111 1.0471 -7.019 -0.4426
-2.082 0.9509 -5.194 -0.4257
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.0692 3.800 1.354 0.1489
-0.7159 -8.314 -4.331 -1.9936
-0.2432 -4.606 -3.198 -5.5277
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.1363 3.788 -0.01244 0.8101
0.6794 -1.167 0.12084 0.9464
0.3045 -1.786 0.92923 0.3442
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3420 0.10018 1.0857 -9.031
-0.8590 0.01620 -0.2035 -2.860
0.2977 0.04349 -1.2466 -4.679
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.714 0.6057 -8.857 4.1343
4.450 0.3923 -4.450 -0.8222
3.244 0.4409 0.535 0.7600
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.766 0.06187 2.4183 1.660
3.945 -0.85899 -3.7623 1.680
1.010 -0.39126 -0.5478 1.915
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1180 -0.3809 -4.353 -12.9066
-0.1697 1.1905 2.064 0.4732
-0.1979 -3.2633 -2.710 0.7162
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.559 0.04303 -0.01933231 -5.232
-5.430 0.28833 0.00582892 -8.078
2.081 -0.35485 -0.00003796 -6.500
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.259 -2.4691 1.1477 6.085
-5.656 -0.8027 0.5565 -3.390
-5.005 -6.5810 0.4048 -2.573
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.121 0.10797 2.058 -0.22406
-1.671 -0.01808 1.936 0.20151
-1.168 0.01851 -2.336 0.01035
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.632 -0.008541 2.369 1.2523
6.408 -0.459846 2.652 0.9828
-2.383 -0.131387 1.307 0.9070
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.5733 1.4427 1.71632 4.568
-0.8990 0.8047 -0.03509 1.775
-0.1234 0.9391 1.16505 1.547
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.6129 -0.1103 4.460 0.7589
1.0624 -0.3417 2.530 0.6940
0.6515 -0.1795 1.384 0.5797
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.70472 -0.9108 -1.6922 -0.086073
0.66371 -1.0374 0.4852 -0.074966
-0.08345 -0.8155 -0.7348 -0.004255
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.1714 0.230947 2.2077 5.389
1.0802 -0.007509 -1.1909 4.736
-0.8227 0.040604 -0.2222 5.362
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2504 6.580 6.026 5.155
1.9186 1.132 3.391 5.684
1.3088 2.908 2.033 1.454
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.355 1.01518 -0.9719 -1.584
-1.422 0.07433 -0.2452 -2.134
-4.027 -0.91150 -0.4410 -1.919
rnd_95776.volume rnd_95787.volume
-2.541 -6.938
-4.376 -3.882
-7.194 -6.742
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.642 4.108 13.91 9.036 9.86 2.024 3.789 9.270 9.934 7.843 4.737
[2,] 6.712 4.109 14.23 9.957 10.68 2.042 3.865 9.453 10.174 10.165 5.378
[3,] 6.804 4.109 15.10 11.084 11.23 2.117 4.111 9.740 10.603 10.189 5.436
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.817 5.330 8.280 9.633 7.882 7.229 6.747 12.66 9.068 14.08 5.238
[2,] 7.285 5.562 8.422 9.954 9.056 7.934 8.157 13.68 10.121 14.23 5.247
[3,] 7.938 5.678 8.426 9.983 10.035 8.015 8.460 14.10 10.729 15.11 5.286
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 16.03 9.971 2.856 8.777 9.245 5.871 8.429 2.530 8.947 6.555
[2,] 25.62 10.495 2.921 10.288 11.161 6.245 9.751 2.579 9.839 6.641
[3,] 25.90 12.461 2.972 12.782 12.086 6.502 10.714 2.596 10.901 6.739
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.557 9.229 8.988 8.576 6.994 5.960 5.245 2.172 5.945 2.202 5.867
[2,] 3.597 9.900 9.686 9.495 7.051 6.764 5.246 2.179 5.999 2.204 6.482
[3,] 3.688 10.885 10.108 9.778 7.111 6.858 5.248 2.218 6.064 2.205 6.620
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.645 4.721 3.365 5.625 7.235 6.736 3.750 7.028 5.391 2.982 6.030
[2,] 6.868 4.852 3.387 6.891 7.317 6.750 3.788 8.746 5.674 3.075 6.884
[3,] 7.317 5.024 3.389 7.174 7.702 7.005 3.824 9.394 5.945 3.165 8.479
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.917 4.738 3.429 5.727 2.034 5.647 2.690 4.544 4.741 5.492 6.253
[2,] 6.193 5.881 5.577 5.730 2.035 5.949 2.763 4.574 4.742 5.862 7.743
[3,] 6.991 6.717 6.340 5.730 2.035 7.374 2.987 4.939 4.743 5.978 7.769
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.967 6.172 4.821 4.728 2.640 7.850 7.955 8.111 7.578 8.043 7.220
[2,] 2.982 7.094 4.823 6.570 2.644 8.288 7.994 8.196 8.285 8.640 8.433
[3,] 2.983 7.218 4.828 7.071 2.652 8.372 8.031 8.221 8.421 8.825 8.563
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.094 1.762 6.874 5.017 7.662 3.930 3.444 2.500 4.617 4.807 9.808
[2,] 8.346 1.769 8.126 5.539 8.478 3.950 3.651 2.501 6.449 4.807 9.808
[3,] 8.542 1.795 8.667 5.784 9.004 3.974 3.819 2.507 6.543 4.808 9.865
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.368 3.762 3.446 3.208 2.993 4.536 3.489 4.460 5.298 16.61 9.966
[2,] 9.615 4.035 4.544 4.208 4.068 4.537 3.512 4.749 6.136 23.01 10.428
[3,] 10.216 4.104 4.711 4.471 4.741 4.838 3.527 4.890 6.760 23.98 12.274
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.434 5.217 17.66 11.47 12.52 2.571 4.812 11.77 12.61
[2,] 135.112 12.249 417.39 582.99 573.30 36.932 105.940 258.41 306.33
[3,] 156.212 4.593 707.40 679.14 482.03 77.937 195.342 327.15 416.63
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.959 6.016 8.657 6.769 10.51 12.23 10.01 9.18 8.568
[2,] 901.558 354.923 358.124 221.687 214.91 349.67 621.82 455.66 639.020
[3,] 99.041 110.286 439.745 158.907 38.92 106.17 602.73 159.00 313.115
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.08 11.51 17.88 6.651 20.36 12.66 3.627 11.15 11.74
[2,] 721.58 626.65 289.93 44.959 2785.01 456.56 85.113 748.31 871.86
[3,] 478.30 496.53 708.60 89.181 536.43 936.60 76.293 1057.46 646.35
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.455 10.7 3.213 11.36 8.323 4.517 11.72 11.41 10.89
[2,] 296.887 683.6 69.373 570.66 148.599 74.649 499.36 503.34 568.24
[3,] 252.530 618.7 41.172 654.33 159.785 113.565 631.13 403.06 325.59
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.881 7.568 6.661 2.758 7.55 2.797 7.45 7.168 5.995
[2,] 124.537 446.023 15.248 24.507 111.15 12.110 384.35 545.360 156.160
[3,] 129.116 157.368 18.000 57.738 124.44 8.322 187.61 351.996 181.852
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.273 7.143 9.187 8.554 4.762 8.925 6.845 3.787 7.657
[2,] 53.792 555.026 153.097 60.142 74.284 725.658 246.891 104.582 463.150
[3,] 16.271 278.013 335.206 261.638 72.959 478.301 247.482 104.607 690.043
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 6.244 6.017 4.354 7.272 2.583 7.171 3.416 5.77 6.021
[2,] 524.852 485.635 613.173 27.235 6.500 260.689 87.725 73.21 14.686
[3,] 452.386 452.571 420.576 8.732 2.347 607.427 158.376 259.67 11.867
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.974 7.94 3.768 7.838 6.122 6.004 3.352 9.968 10.1
[2,] 285.821 636.69 41.599 487.526 16.999 635.976 20.994 370.728 110.3
[3,] 163.712 89.08 11.342 185.840 31.748 364.576 28.975 165.446 107.7
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.30 9.623 10.21 9.168 9.009 2.238 8.729 6.371 9.73
[2,] 164.19 466.796 439.82 607.577 612.872 21.672 604.333 327.213 505.93
[3,] 90.12 210.394 251.18 207.229 253.608 42.710 419.939 232.368 422.99
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.99 4.373 3.175 5.862 6.104 12.45 11.9 4.777 4.376
[2,] 55.27 169.211 7.619 627.756 8.183 10.46 301.7 203.609 413.042
[3,] 61.02 155.963 23.778 154.282 13.914 148.65 481.5 104.565 173.323
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.074 3.801 5.76 4.43 5.664 6.727 21.09 12.65
[2,] 379.627 384.105 12.96 56.47 227.265 431.681 2219.02 428.01
[3,] 210.445 339.354 234.10 45.41 162.846 395.381 942.97 902.52
[1] "--- VAR model 2017-10-03 06:01:00 completed"
[1] "Completed training sample: 2017-10-03 06:01:00 - 2017-10-03 14:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 06:31:00 - 2017-10-03 14:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.6926 0.26935 -4.166 -1.576
1.4179 0.07981 -6.090 -4.472
1.5129 -0.04996 -5.277 -4.875
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.02505 1.5126 1.901 -1.4339
-0.67388 1.1354 1.824 0.5279
-4.97817 0.1335 1.514 0.9211
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.745 6.7515 2.3008 -14.51
0.856 -0.2723 0.8462 -15.21
2.250 0.3490 0.2192 -15.61
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6378 -0.6868 0.6644 -2.827
1.4603 0.5039 0.8482 -3.282
0.7737 -0.3071 0.3225 -3.322
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.672 -1.6622 14.988 20.90
-2.121 -1.7340 10.676 15.84
-2.020 -0.6297 8.624 15.90
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.610 -0.4673 -24.269 -1.015
-4.949 -0.3922 -8.133 -8.275
-4.563 -0.1043 -12.437 -3.358
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.48514 -2.830 -9.492 5.865
-0.06856 -8.840 -3.033 5.909
-0.81968 -4.284 -7.781 5.087
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.740 0.4538 1.182 -1.9788
-3.403 0.3807 -5.207 -0.5802
-4.490 0.2976 -3.769 -0.8509
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2441 0.2201 -0.2645 2.054
0.5626 -3.7264 -1.0783 -0.682
-0.4565 -1.6235 -3.0372 -4.632
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.9387 -7.538 3.756 0.09427
1.3226 -3.346 2.812 -0.20008
0.7046 3.765 1.195 -0.03454
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.70591 0.2086 -1.181 -12.230
0.01476 0.3817 -1.275 -8.103
0.12149 0.2240 -1.023 -8.322
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.936 -0.35331 -1.330 2.914
5.029 0.03552 -6.066 4.870
7.297 -0.04098 -3.335 1.908
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.6085 -0.9012 -4.378 17.60
1.6275 -0.1086 2.702 17.27
0.4594 -0.6255 -2.487 17.85
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.7663 3.1121 7.880 8.65675
0.4137 -0.6921 -3.516 -0.09947
0.1413 1.4844 1.679 -1.13135
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.215 -0.69520 -0.069549 -7.072
7.149 -0.05199 -0.001948 11.703
-3.477 -0.62746 0.001331 7.432
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.685 -6.749 -0.13245 -6.847
-5.656 8.691 -0.68077 -4.100
-5.298 5.585 -0.01122 6.439
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.147 1.8318 6.821 0.275657
-5.086 -0.9014 -7.082 0.003178
6.983 -0.2893 2.013 -0.021648
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.855 -0.46355 1.6564 0.7973
-5.057 -0.12366 1.3933 0.6472
-3.450 -0.03518 0.9324 1.4933
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.31932 1.4931 2.0910 6.6758
-0.07558 0.0223 -0.2162 0.7237
-0.03585 0.5083 0.7276 0.7902
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.0029 0.14717 -2.0265 -1.1677
0.8233 -0.01525 3.9651 -0.9864
0.4209 -0.10153 0.5966 -0.6575
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.800 0.8813 2.4361 0.04989
2.264 1.4480 -0.9499 -0.27379
2.309 0.3691 0.5478 0.17349
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.571 0.7260 0.89596 2.000
-4.154 0.3460 -0.31447 0.128
1.376 -0.1645 0.05669 2.580
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7995 1.0408 1.4634 0.7383
0.4955 0.8907 1.0074 0.8216
0.5159 0.5630 0.1094 0.7935
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.418 0.4799 1.0773 0.7627
6.030 -0.1499 0.3872 0.5062
3.073 0.6335 0.9014 0.7499
rnd_95776.volume rnd_95787.volume
9.7402 0.1179
2.6854 -11.0142
0.4216 -4.4444
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.428 4.213 14.02 9.005 9.828 2.186 3.771 9.049 9.652 7.613 4.604
[2,] 6.467 4.213 14.38 9.876 10.596 2.206 3.854 9.220 9.906 9.928 5.206
[3,] 6.570 4.214 15.25 11.036 11.193 2.275 4.089 9.473 10.277 9.962 5.268
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.650 5.396 8.291 9.561 7.956 7.011 6.323 12.69 9.112 13.93 5.331
[2,] 7.041 5.617 8.426 9.828 9.133 7.722 7.871 13.47 9.757 14.11 5.338
[3,] 7.689 5.728 8.433 9.851 10.141 7.800 8.141 13.78 10.438 14.99 5.371
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.37 10.09 2.913 8.692 9.323 6.037 8.409 2.559 8.899 6.623 3.492
[2,] 25.53 10.59 2.978 10.231 11.440 6.420 9.765 2.607 9.810 6.717 3.528
[3,] 25.86 12.36 3.017 12.478 12.328 6.688 10.781 2.620 10.958 6.827 3.594
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.186 8.949 8.580 7.025 6.092 5.465 2.226 6.138 2.261 5.941 5.729
[2,] 9.839 9.624 9.361 7.090 6.873 5.484 2.229 6.248 2.264 6.447 6.943
[3,] 10.817 10.093 9.646 7.171 6.977 5.486 2.256 6.352 2.266 6.606 7.381
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.810 3.349 5.740 7.372 6.926 3.834 7.416 5.677 3.018 6.225 5.024
[2,] 4.938 3.367 6.936 7.466 6.937 3.869 8.601 5.959 3.125 7.218 6.487
[3,] 5.113 3.368 7.232 7.897 7.198 3.898 9.372 6.316 3.228 8.703 7.152
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.931 3.539 6.050 2.043 5.772 2.721 4.763 4.904 5.686 6.477 2.898
[2,] 6.045 5.758 6.059 2.044 6.128 2.809 4.787 4.905 6.167 8.064 2.995
[3,] 6.915 6.671 6.059 2.045 7.580 3.042 5.150 4.905 6.261 8.091 3.011
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.308 4.971 5.026 2.644 7.486 7.891 8.076 7.441 8.054 7.346 7.094
[2,] 7.320 4.973 6.728 2.647 7.729 7.925 8.147 8.209 8.608 8.415 8.212
[3,] 7.475 4.976 7.303 2.657 7.772 7.976 8.189 8.310 8.801 8.526 8.396
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.865 6.980 5.086 7.505 3.967 3.462 2.548 4.875 4.9 10.00 9.419
[2,] 1.875 8.126 5.554 8.288 3.981 3.731 2.549 6.652 4.9 10.00 9.633
[3,] 1.890 8.600 5.821 8.758 4.004 3.826 2.553 6.746 4.9 10.05 10.205
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.759 3.577 3.277 3.112 4.650 3.634 4.542 4.347 16.92 10.08
[2,] 4.056 4.583 4.200 4.126 4.653 3.664 4.825 4.805 23.58 10.55
[3,] 4.122 4.743 4.444 4.757 5.009 3.677 4.954 5.105 24.52 12.25
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.162 5.349 17.8 11.43 12.48 2.776 4.788 11.49 12.26
[2,] 95.705 11.278 428.7 541.84 529.37 38.805 106.180 236.32 298.02
[3,] 154.987 7.372 678.3 658.12 481.71 74.412 182.761 290.46 365.54
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.667 5.847 8.445 6.852 10.53 12.14 10.1 8.903 8.029
[2,] 851.301 324.542 308.910 208.330 200.81 304.22 599.1 432.492 626.320
[3,] 110.846 107.739 412.692 150.238 43.80 90.13 588.8 147.117 277.676
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.11 11.57 17.69 6.769 20.79 12.81 3.699 11.04 11.84
[2,] 604.40 466.18 296.22 36.822 2617.80 432.57 82.782 720.99 885.78
[3,] 385.67 495.34 677.41 80.372 543.05 849.61 64.166 954.32 613.72
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 7.666 10.68 3.25 11.3 8.41 4.435 11.66 11.36 10.9 8.92
[2,] 291.722 663.39 66.20 551.5 150.08 66.971 471.01 473.16 500.1 128.33
[3,] 250.685 610.47 35.43 652.5 163.31 91.822 600.43 406.12 311.1 144.13
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 7.736 6.94 2.826 7.794 2.872 7.544 7.275 6.108 4.253
[2,] 425.118 61.11 16.917 156.592 14.684 334.615 523.913 149.655 46.152
[3,] 160.579 22.08 46.701 152.547 12.242 192.215 334.765 177.337 11.688
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.289 9.362 8.794 4.868 9.418 7.209 3.833 7.904 6.38
[2,] 520.152 157.796 52.777 69.817 581.941 242.094 108.514 488.219 548.24
[3,] 273.890 343.926 256.999 62.880 497.298 279.830 107.911 649.540 402.32
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 6.261 4.493 7.682 2.595 7.33 3.455 6.049 6.227 7.221
[2,] 467.138 606.909 43.777 9.429 275.17 93.406 63.469 13.019 318.792
[3,] 448.664 450.057 13.035 5.085 595.99 156.078 253.645 7.977 144.892
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 8.225 3.68 8.01 6.312 6.383 3.357 9.506 10.02 10.26
[2,] 641.689 101.32 496.17 19.268 597.491 16.981 257.031 98.22 142.90
[3,] 89.006 40.87 202.56 24.137 379.438 32.185 109.187 120.39 111.96
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.449 10.23 9.329 9.008 2.368 8.864 6.459 9.531 5.038
[2,] 463.161 406.02 548.318 552.539 25.816 555.765 298.161 469.679 44.828
[3,] 172.513 245.17 183.254 234.281 32.080 376.343 232.615 378.243 56.705
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.396 3.236 6.19 6.222 12.70 11.96 4.773 4.542 4.161
[2,] 185.662 5.765 604.63 8.980 19.08 269.69 203.614 382.730 350.978
[3,] 113.523 19.286 150.13 4.957 135.55 450.18 98.282 163.289 193.918
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.952 5.905 4.614 5.767 5.52 21.49 12.81
[2,] 361.904 21.456 62.902 217.652 273.63 2193.05 413.51
[3,] 316.234 247.593 41.134 150.389 230.54 899.96 832.92
[1] "--- VAR model 2017-10-03 06:31:00 completed"
[1] "Completed training sample: 2017-10-03 06:31:00 - 2017-10-03 14:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 07:01:00 - 2017-10-03 15:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.262 -0.2641 6.939 -2.666
3.440 0.1959 4.920 13.216
1.904 0.1001 3.302 4.355
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.4676 1.5285 1.890 2.790
4.5811 0.2066 1.268 1.718
12.1506 0.2017 1.103 -1.084
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.667143 -4.7271 0.4887 -16.54
0.020316 3.5423 1.6498 -15.86
-0.002086 0.6213 0.5702 -15.87
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3358 -0.393625 0.649425 3.937
1.3211 0.002008 0.002014 3.641
-0.5668 -0.101235 0.142693 3.508
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.759 2.422 8.066 4.340
-1.603 -1.868 12.830 15.077
-1.605 -1.667 9.320 8.911
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
6.489 1.048 7.028 14.409
8.617 1.107 15.875 4.756
4.836 0.328 17.082 8.293
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.8798 20.970 11.153 3.376
-1.6682 3.267 7.657 1.738
-0.2782 7.996 6.173 1.518
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.692 -1.3504 -2.351 0.8005
14.423 -0.1738 11.157 1.6351
4.891 -0.4124 6.736 1.1150
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5174 -3.401 -0.2272 1.7812
1.2050 1.032 1.3759 -0.7645
1.9357 9.825 9.8635 5.1410
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.357 6.3098 9.894 -0.21159
5.467 0.9142 8.780 0.16372
4.282 -0.2739 6.792 -0.02879
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.739 0.02638 3.2235 -6.326
7.587 -0.08476 0.1722 -10.283
4.779 -0.25034 0.6423 -9.038
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.708 0.002321 -13.719 -0.17083
2.499 -0.064817 -7.728 -0.04873
3.897 0.062384 -9.937 0.29205
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.435 -1.6452 -12.520 14.58
2.970 -1.4298 -5.005 12.95
2.599 -0.7192 -2.729 12.33
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.3361 -19.021 -8.017 5.017
-0.7217 -7.226 -8.905 -14.963
-0.8441 -5.299 -3.302 -3.947
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.492 0.006789 0.141572 5.6560
-6.304 0.361735 -0.053510 -0.4574
-10.639 0.275374 -0.004379 -3.7283
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.186 2.5652 0.8103 7.386
-4.070 2.4159 -0.5017 2.396
-3.797 0.4327 0.5849 0.507
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.17 -0.5739 -3.142 1.6709
3.52 -0.3845 7.541 1.3585
1.65 -0.2868 1.586 0.6907
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.876 -0.28490 1.3160 1.943
10.007 0.13485 2.2891 2.888
2.472 0.05758 0.9681 2.089
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.2456 4.871 3.5280 8.797
0.4384 3.957 -0.5126 3.576
0.1420 3.476 2.3080 4.165
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.481 -0.3054 13.987 -2.778
3.590 -0.1536 6.904 -2.602
2.937 -0.1103 2.944 -1.685
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.850 -0.06988 -2.8884 0.003191
5.497 0.51733 -2.3725 -0.056825
2.983 0.17010 -0.7896 0.072433
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.4497 -0.7653 3.0024 9.336
5.1754 0.2794 -1.7088 7.457
0.9758 0.4074 -0.3205 11.300
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.0256 -0.2101 -1.1537 -2.8607
0.2917 -0.2743 -0.6866 -0.3545
0.4087 -0.1728 -0.5854 -0.3574
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.6245 0.18034 4.463 -1.543
-0.4862 -0.81310 2.213 -1.275
0.7080 -0.04724 2.972 -1.121
rnd_95776.volume rnd_95787.volume
-17.147 13.529
-14.551 3.167
-7.908 8.193
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.594 4.411 12.62 9.017 9.642 2.412 3.661 8.458 9.251 7.427 4.539
[2,] 6.632 4.411 12.87 10.050 10.363 2.423 3.759 8.564 9.391 9.320 5.138
[3,] 6.720 4.411 13.08 11.040 10.977 2.506 3.956 8.771 9.704 9.364 5.188
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.852 5.482 8.352 9.617 7.961 6.997 6.254 13.11 8.901 14.65 5.690
[2,] 7.152 5.708 8.498 9.868 9.085 7.759 7.875 13.75 9.561 14.80 5.704
[3,] 7.820 5.801 8.501 9.895 10.046 7.819 8.206 14.03 10.238 15.49 5.763
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 15.80 9.948 2.973 8.808 9.357 5.812 8.528 2.655 8.945 6.594
[2,] 25.19 10.430 3.020 10.291 11.230 6.191 9.984 2.690 9.879 6.663
[3,] 25.46 11.989 3.059 12.474 12.185 6.414 10.883 2.698 10.920 6.784
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.510 9.117 8.953 8.492 7.486 6.289 5.788 2.273 6.210 2.245 6.032
[2,] 3.578 9.776 9.588 9.288 7.698 7.087 5.868 2.276 6.366 2.245 6.659
[3,] 3.670 10.869 10.075 9.598 7.995 7.192 5.911 2.311 6.489 2.247 6.782
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.890 4.769 3.289 5.870 7.517 7.217 3.889 7.291 5.856 3.040 6.453
[2,] 7.079 4.875 3.298 7.115 7.603 7.238 3.925 9.066 6.197 3.152 7.519
[3,] 7.599 5.047 3.298 7.426 8.037 7.479 3.943 9.749 6.541 3.256 9.248
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.329 5.153 3.481 6.243 2.035 5.764 2.780 5.034 5.122 5.955 6.642
[2,] 6.688 6.273 5.873 6.243 2.041 6.132 2.841 5.063 5.122 6.446 8.414
[3,] 7.545 7.316 6.664 6.244 2.043 7.719 3.111 5.426 5.122 6.534 8.444
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.019 6.656 5.323 5.344 2.665 7.542 8.045 8.243 8.310 8.078 7.427
[2,] 3.029 7.824 5.336 7.244 2.671 7.765 8.077 8.308 8.871 8.541 8.763
[3,] 3.030 7.979 5.410 7.760 2.681 7.798 8.118 8.340 8.994 8.654 8.859
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.244 1.901 7.016 5.127 7.698 4.014 3.542 2.616 5.027 5.068 10.48
[2,] 8.656 1.920 8.252 5.557 8.489 4.026 3.810 2.616 6.866 5.068 10.48
[3,] 8.815 1.936 8.912 5.810 9.076 4.053 3.955 2.620 6.989 5.068 10.61
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.275 3.719 3.443 3.275 3.092 4.874 3.703 4.718 3.051 17.50 10.02
[2,] 9.568 3.950 4.402 4.062 3.952 4.879 3.745 4.946 3.387 24.21 10.45
[3,] 10.038 4.017 4.521 4.292 4.555 5.274 3.758 5.083 3.671 25.13 12.04
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.373 5.601 16.03 11.45 12.24 3.062 4.649 10.74 11.75
[2,] 94.904 4.754 338.36 594.73 509.15 31.773 114.154 179.82 216.31
[3,] 145.749 11.043 309.54 612.75 485.28 85.384 165.407 254.00 328.08
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.431 5.764 8.701 6.961 10.61 12.21 10.11 8.885 7.942
[2,] 754.593 322.633 274.857 213.263 209.94 296.76 586.79 449.544 641.469
[3,] 121.923 96.859 423.940 139.137 34.32 97.32 574.65 129.801 309.300
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.65 11.3 18.6 7.226 20.06 12.63 3.775 11.19 11.88
[2,] 553.21 468.1 286.7 53.880 2629.23 420.07 70.952 713.21 832.36
[3,] 373.73 490.9 610.5 109.968 502.20 792.58 65.228 944.94 633.74
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.381 10.83 3.372 11.36 8.373 4.457 11.58 11.37 10.78
[2,] 285.800 695.92 57.443 561.79 128.872 92.707 473.18 459.90 504.35
[3,] 224.820 580.44 29.096 623.73 170.587 109.902 636.82 414.78 324.40
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.506 7.986 7.35 2.887 7.885 2.850 7.66 7.48 6.056
[2,] 240.673 437.922 128.92 15.298 187.800 5.876 378.02 526.29 135.573
[3,] 289.646 164.058 96.07 53.845 169.195 13.113 172.35 370.30 174.920
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.177 7.455 9.545 9.164 4.939 9.258 7.437 3.86 8.194
[2,] 31.624 538.854 152.656 75.233 70.408 722.233 271.610 111.75 517.243
[3,] 4.550 284.828 349.332 252.117 50.815 480.582 280.512 109.62 721.823
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 6.767 6.543 4.42 7.927 2.584 7.32 3.531 6.392 6.504
[2,] 541.488 479.653 633.96 12.650 22.151 280.55 78.450 72.437 5.610
[3,] 468.112 504.602 422.29 13.083 9.962 628.34 169.981 261.560 13.155
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.562 8.434 3.834 8.453 6.759 6.787 3.384 9.577 10.22
[2,] 330.583 692.405 32.577 551.208 51.476 655.510 24.719 247.418 96.33
[3,] 143.810 95.183 9.200 209.878 119.251 372.838 30.397 96.952 108.54
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.47 10.55 10.26 9.431 9.199 2.414 8.909 6.51 9.776
[2,] 139.43 416.14 371.88 623.421 634.909 35.881 582.310 287.41 479.655
[3,] 98.50 198.99 187.50 173.929 223.541 33.283 451.306 227.20 430.473
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.097 4.497 3.322 6.383 6.436 13.31 11.78 4.723 4.372
[2,] 42.318 188.206 2.845 626.831 5.119 20.79 314.80 178.259 367.583
[3,] 63.041 142.295 20.095 175.330 5.837 215.54 406.99 98.052 137.957
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.159 3.927 6.19 4.703 5.991 3.874 22.23 12.73
[2,] 322.047 329.817 29.90 75.222 198.825 197.197 2241.88 398.59
[3,] 185.928 303.598 268.26 41.685 157.420 189.621 904.49 801.17
[1] "--- VAR model 2017-10-03 07:01:00 completed"
[1] "Completed training sample: 2017-10-03 07:01:00 - 2017-10-03 15:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 07:31:00 - 2017-10-03 15:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.72715 0.02175 -2.0129 -15.88
0.52571 0.59791 0.4043 -11.16
0.04331 0.17089 0.1215 -8.87
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.789 2.4251 0.3421 2.002088
-14.916 0.9200 1.4033 0.431412
-8.254 0.5503 1.5190 -0.004742
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.4638 -0.6450 -0.1549 -12.54
0.6402 1.6890 0.6413 -13.26
0.2446 -0.1195 0.2772 -12.86
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6998 0.6204 -0.58368 -3.006
-1.0592 0.1329 0.05695 -2.775
-0.5515 0.1290 -0.23412 -3.188
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.1014 -3.6570 1.9754 3.647
-1.0981 -0.4488 6.2935 7.965
-1.4653 -1.3442 -0.1746 5.935
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.9266 -0.02367 4.5036 -5.256
3.3193 -0.10206 -3.9463 -5.537
2.0389 -0.02752 0.9781 -6.773
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.3289 -10.703 -10.889 0.9420
0.7246 -4.737 -6.567 -0.9688
1.1588 -6.161 -7.574 -0.2611
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.997 -0.8674 -16.035 15.764
-8.780 -0.6535 -9.642 14.147
-6.436 -0.1053 -6.381 9.898
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.562 -19.81 -11.509 1.699
-2.330 -11.07 -12.639 -14.155
-0.924 -5.90 -6.562 -7.400
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.218 7.143 4.024 0.7417
-3.346 -10.106 1.275 0.3545
-2.641 1.226 3.530 0.1346
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.7861 -0.069613 5.076 -4.735
-2.3817 0.112395 -3.096 -1.887
0.2034 -0.003461 -3.553 -7.668
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.340 0.080604 -1.62394 6.656
4.726 -0.085110 -0.08323 -3.520
3.919 -0.005292 -0.09673 1.383
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.066 -0.27299 -3.680 10.34
6.748 -0.11083 -4.010 11.46
6.066 -0.02726 3.507 11.34
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.4526 14.303 13.578 6.877
-1.1390 -12.266 -1.982 9.596
0.5684 3.327 -3.290 -9.392
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.1418 0.2467 -0.18567 -27.60691
12.8611 -0.0754 0.03791 0.04828
-0.8894 -0.3493 0.01029 13.94562
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.740 -13.453 1.5185 0.8863
-5.580 -2.268 1.1702 -15.4310
-5.204 6.668 0.7862 1.5168
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
14.1759 0.7270 -3.359 1.3620
-12.1017 0.4749 -5.255 1.0456
0.6952 0.3958 -10.397 0.8571
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.460 0.7737 -1.0255 2.0057
3.677 1.0334 1.3305 1.3600
-11.038 0.6246 -0.7874 0.1019
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.0361 0.8567 1.4786 1.583
-0.4358 3.4581 -2.5475 1.945
-0.1289 2.2535 -0.2279 2.038
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.6871 0.7175 10.934 -2.001
0.3341 0.6450 2.312 -1.594
0.7377 0.5347 1.859 -1.362
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.967 0.6207 4.3296 -0.05177
4.939 0.1608 -0.8291 0.11014
1.157 0.1844 -0.8153 -0.61640
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.039 -0.3948 0.7233 -14.48
-1.325 1.3643 1.7901 -18.11
-5.638 0.3126 0.5400 -18.93
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.349 -5.052 -1.833 1.193
-1.736 -2.573 -3.127 -3.935
-2.290 -1.364 -1.252 -2.170
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.980 -1.3131 1.1200 -2.838
-2.488 -0.1353 0.1487 -2.339
3.771 0.7197 0.2333 -1.973
rnd_95776.volume rnd_95787.volume
-32.812 -9.015
12.092 -6.854
-6.812 -8.330
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.687 4.497 12.86 8.738 9.662 2.681 3.617 8.077 9.143 7.034 4.425
[2,] 6.720 4.498 12.91 9.822 10.414 2.694 3.710 8.120 9.206 9.110 5.025
[3,] 6.778 4.498 13.38 10.861 11.191 2.789 3.880 8.224 9.427 9.136 5.075
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.443 4.846 8.391 9.643 7.792 7.124 6.204 10.56 9.007 13.46 5.509
[2,] 7.241 4.952 8.516 9.895 8.939 7.856 7.926 11.38 9.704 13.49 5.528
[3,] 7.955 5.017 8.519 9.922 9.857 7.896 8.250 11.95 10.404 14.28 5.569
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 15.29 9.861 3.056 8.863 9.226 6.032 8.126 2.746 8.463 6.850
[2,] 25.53 10.352 3.093 10.204 11.257 6.287 9.767 2.783 9.467 6.994
[3,] 25.64 11.872 3.128 12.509 12.130 6.460 10.702 2.784 10.586 7.252
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.520 9.045 8.922 8.480 7.454 6.382 5.818 2.289 6.221 2.250 6.057
[2,] 3.582 9.689 9.759 9.257 7.656 7.107 5.902 2.291 6.462 2.250 6.727
[3,] 3.681 10.919 10.316 9.571 7.964 7.216 5.951 2.322 6.558 2.252 6.881
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.046 4.926 3.280 5.963 7.553 7.354 3.914 7.565 6.202 3.029 6.648
[2,] 7.171 5.042 3.293 7.350 7.637 7.378 3.956 9.444 6.469 3.136 7.822
[3,] 7.734 5.230 3.295 7.646 8.094 7.616 3.981 10.147 6.895 3.232 9.470
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.441 5.244 3.588 6.293 2.021 5.901 2.896 5.100 5.370 6.093 6.658
[2,] 6.820 6.453 6.085 6.294 2.027 6.327 2.975 5.142 5.371 6.673 8.832
[3,] 7.723 7.613 7.015 6.298 2.030 7.822 3.287 5.554 5.376 6.787 8.915
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.168 6.900 5.426 6.120 2.747 7.292 7.479 8.548 8.373 8.199 7.425
[2,] 3.175 8.072 5.477 7.649 2.747 7.535 7.525 8.592 9.009 8.511 8.946
[3,] 3.178 8.242 5.609 8.372 2.768 7.550 7.562 8.631 9.146 8.587 9.083
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.982 1.972 7.029 5.140 7.484 3.971 3.604 2.693 5.236 4.965 10.52
[2,] 8.587 1.987 8.234 5.579 8.323 3.988 3.913 2.694 6.882 4.966 10.52
[3,] 8.885 2.010 9.006 5.830 9.002 4.012 4.078 2.705 6.985 4.967 10.63
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.665 3.505 3.506 3.175 3.270 5.005 3.750 5.068 2.970 18.19 9.929
[2,] 10.013 3.536 4.205 3.787 3.986 5.008 3.797 5.291 3.257 24.65 10.378
[3,] 10.551 3.655 4.238 3.964 4.347 5.342 3.804 5.451 3.481 25.52 11.921
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.492 5.711 16.34 11.1 12.27 3.404 4.594 10.26 11.61
[2,] 84.744 8.788 138.71 571.8 495.60 34.601 105.219 106.42 137.27
[3,] 112.916 11.393 447.18 591.1 522.38 91.904 144.842 166.43 258.78
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.932 5.62 8.181 6.153 10.65 12.25 9.894 9.046 7.878
[2,] 738.056 303.48 421.371 130.347 185.58 283.00 558.568 422.168 628.941
[3,] 88.308 90.59 420.051 102.496 31.72 92.54 529.642 102.067 292.091
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 13.42 11.44 17.09 6.995 19.41 12.52 3.88 11.26 11.72 7.66
[2,] 537.89 460.48 120.66 58.565 2605.94 401.69 61.51 644.65 822.31 225.87
[3,] 466.37 478.27 594.71 86.749 304.14 741.08 58.94 922.41 576.19 189.51
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 10.32 3.487 10.75 8.699 4.47 11.49 11.33 10.77 9.466
[2,] 690.75 57.613 541.00 180.148 84.52 442.90 504.05 473.19 222.626
[3,] 557.87 9.046 604.03 244.395 108.16 641.93 426.36 310.23 279.725
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 8.104 7.387 2.907 7.9 2.858 7.691 7.677 6.255 4.165
[2,] 398.809 127.235 13.430 222.8 2.593 373.278 491.512 137.133 37.347
[3,] 159.286 96.781 48.007 142.9 12.395 184.238 369.454 177.410 15.494
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.573 9.591 9.338 4.97 9.606 7.875 3.847 8.442 6.909
[2,] 547.691 144.454 77.632 73.54 720.672 234.710 103.447 525.467 524.360
[3,] 268.752 342.007 240.704 57.03 473.284 304.305 99.749 680.484 461.990
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 6.659 4.556 7.992 2.567 7.493 3.677 6.477 6.819 7.738
[2,] 479.382 626.545 11.435 19.522 291.035 87.195 83.732 16.211 346.747
[3,] 514.988 444.918 27.954 13.346 586.444 178.034 267.437 30.260 157.929
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 8.454 4.023 8.762 6.89 7.771 3.488 9.259 9.498 10.85
[2,] 739.908 28.134 534.130 95.62 585.021 6.885 242.467 105.077 111.29
[3,] 154.202 16.247 211.980 154.20 433.934 42.622 60.468 95.865 105.09
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.63 10.41 9.429 8.866 2.505 8.926 6.527 9.503 5.042
[2,] 423.79 291.00 636.265 637.265 30.812 546.742 276.736 464.369 47.351
[3,] 201.55 146.08 199.927 291.114 38.210 464.989 215.782 437.301 56.652
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.577 3.419 6.65 6.305 13.36 12.27 4.451 4.452 4.032
[2,] 194.138 9.510 569.19 14.901 25.83 333.91 59.185 295.895 263.124
[3,] 146.364 31.326 152.73 9.040 193.61 423.83 118.438 67.362 149.491
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.153 6.356 4.762 6.436 3.772 23.09 12.61
[2,] 290.534 22.478 76.492 193.806 170.370 2121.09 385.11
[3,] 221.113 236.952 28.319 167.023 156.421 843.20 747.84
[1] "--- VAR model 2017-10-03 07:31:00 completed"
[1] "Completed training sample: 2017-10-03 07:31:00 - 2017-10-03 15:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 08:01:00 - 2017-10-03 16:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.784 0.4626 -7.700 -10.177
2.490 0.2085 -3.711 -16.470
1.408 0.2957 -2.245 -8.991
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.611 0.6014 2.062 4.2429
-9.056 1.8468 2.182 0.7731
-15.220 1.0740 2.696 0.7772
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.2645 3.669 1.2477 -13.99
-0.6590 3.859 3.0419 -12.28
0.1629 -1.210 0.2565 -15.74
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.699 0.3546 -0.09042 -0.6022
4.387 0.2849 0.21941 0.4851
1.534 0.2729 0.19560 -1.0578
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.8997 1.09660 12.962 9.546
-0.5594 -0.07115 6.930 3.605
-0.6897 -0.65329 5.206 1.879
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.219 0.4047 -7.512 -9.897
-3.087 -0.5583 -22.524 -6.086
-2.856 -0.1609 -10.689 -9.948
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5633 -15.312 -20.169 -2.6454
0.4724 -5.025 -7.132 -0.2791
-0.1335 -10.743 -10.387 -3.3090
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.754 0.74825 -10.46 22.15
-16.121 -0.31146 -17.30 21.19
-7.057 0.09298 -10.12 22.01
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.5253 -6.271 -13.138 -10.243
-0.7346 -12.646 -7.526 -6.368
-1.7141 -11.776 -13.666 -10.672
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7497 2.895 3.95408 -0.12318
-0.4111 -4.415 1.21356 0.32598
-0.2734 2.131 0.09414 -0.02013
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6838 0.6389 -3.376 -3.240
1.2663 0.2167 -2.876 -9.360
-1.2428 -0.1884 -2.793 -5.808
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.13 0.8064 -2.020 -0.5156
2.98 0.4541 -2.594 1.7910
2.61 0.5753 -5.945 0.3966
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.188 -0.6215 -6.59083 7.183
5.284 -0.5816 -0.03472 6.821
4.487 -0.2746 -2.14918 7.062
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.29553 4.87853 7.401 -0.9083
-0.07233 -5.26732 -4.599 1.6287
-0.09982 -0.04015 -0.235 -3.4362
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.003 0.7176 -0.11888 -6.080
5.772 1.4523 0.15836 5.688
-4.269 0.4649 -0.00776 4.388
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.689 -4.935 1.00970 8.915
-2.431 4.687 0.25212 -3.725
-2.831 1.055 0.05292 3.950
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.498 -2.785 8.6031 -0.7717
-2.756 -1.851 3.9387 -0.4056
4.460 -0.824 0.4223 -0.3955
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.006 1.3130 2.746 2.212
8.844 0.6304 3.795 2.345
0.290 0.1898 1.428 1.327
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.0664 2.367 7.170 9.669
0.6996 4.151 4.915 3.082
0.2833 3.718 4.074 3.467
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.139 -0.6395 8.647 -5.706
4.606 -0.5167 8.538 -4.634
4.122 -0.3419 3.648 -4.325
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.429 1.3656 3.02121 0.2512
9.791 1.0454 -1.53617 0.5285
5.254 0.4196 0.06788 -0.7776
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.358 0.6038 -1.0167 -12.28
-3.715 0.2275 -0.8742 -15.01
-4.149 0.5299 -0.2832 -14.62
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.9269 3.181 4.2796 3.1424
0.3819 -0.267 1.5798 2.9237
0.4816 1.228 0.6787 0.4017
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.5967 0.35093 13.127 -1.101
2.6118 0.04743 9.627 -1.340
0.7645 0.16618 6.680 -1.910
rnd_95776.volume rnd_95787.volume
-5.3785 -9.111
-3.0108 -6.791
0.4469 -9.982
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.781 4.641 12.74 8.483 9.354 2.824 3.538 7.991 9.062 6.817 4.182
[2,] 6.796 4.644 12.77 9.856 9.986 2.833 3.630 8.039 9.079 8.957 4.823
[3,] 6.859 4.648 13.12 10.969 10.989 2.964 3.745 8.106 9.212 8.978 4.851
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.535 4.796 8.421 9.715 7.572 7.010 6.115 10.62 9.151 13.80 5.520
[2,] 7.525 4.832 8.517 9.925 8.678 7.750 7.937 11.50 9.824 13.81 5.525
[3,] 8.233 4.943 8.520 9.947 9.540 7.774 8.272 12.13 10.589 14.42 5.553
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.83 9.722 2.987 8.637 9.027 6.117 7.957 2.780 8.317 7.254
[2,] 25.48 10.188 3.012 9.929 11.180 6.292 9.887 2.819 9.370 7.490
[3,] 25.56 11.869 3.031 12.464 12.112 6.452 10.871 2.820 10.575 8.021
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.548 9.092 8.797 8.476 7.371 6.655 6.002 2.315 6.309 2.207 6.092
[2,] 3.600 9.759 9.553 9.471 7.568 7.341 6.135 2.317 6.566 2.207 6.782
[3,] 3.667 11.096 10.256 9.784 7.867 7.472 6.204 2.347 6.671 2.210 6.917
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.118 4.964 3.153 5.928 7.716 7.463 3.985 8.178 6.557 3.024 6.773
[2,] 7.180 5.070 3.167 7.401 7.801 7.483 4.030 9.364 6.901 3.144 8.284
[3,] 7.774 5.271 3.170 7.656 8.208 7.736 4.061 10.106 7.307 3.240 9.650
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.435 5.322 3.536 6.283 1.960 5.820 2.875 5.106 5.508 5.667 6.919
[2,] 7.064 6.397 6.024 6.285 1.968 6.238 2.964 5.162 5.513 6.854 8.684
[3,] 7.738 7.511 7.182 6.289 1.974 7.720 3.238 5.591 5.549 6.965 8.798
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.319 7.064 5.365 6.678 2.832 7.149 7.323 8.442 8.312 8.283 7.280
[2,] 3.354 8.097 5.415 7.879 2.835 7.330 7.345 8.476 9.040 8.620 8.953
[3,] 3.385 8.427 5.555 8.975 2.878 7.338 7.376 8.512 9.135 8.740 9.071
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.711 2.030 7.025 4.835 7.504 3.993 3.740 2.771 5.949 5.089 10.40
[2,] 8.548 2.047 8.186 5.155 8.376 4.025 4.127 2.771 7.319 5.091 10.40
[3,] 8.974 2.066 9.093 5.407 9.063 4.054 4.243 2.783 7.422 5.092 10.51
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.766 3.616 3.434 3.375 3.298 5.134 3.747 5.624 2.863 18.82 9.915
[2,] 10.013 3.627 4.043 3.916 3.773 5.138 3.795 6.012 3.053 25.09 10.388
[3,] 10.549 3.773 4.068 4.053 4.048 5.461 3.798 6.208 3.244 25.94 12.098
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 8.61 5.894 16.18 10.77 11.88 3.586 4.493 10.15 11.51 8.656
[2,] 47.05 15.437 83.37 511.89 356.63 22.930 82.637 89.43 56.24 592.606
[3,] 94.79 19.884 308.25 491.20 468.00 88.964 94.112 106.38 159.62 63.995
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19]
[1,] 5.31 8.298 6.091 10.69 12.34 9.615 8.901 7.765 13.48
[2,] 245.17 380.607 59.691 129.98 207.58 432.490 337.190 516.144 450.93
[3,] 52.95 340.773 106.526 24.25 68.14 404.236 63.672 237.748 394.51
[,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 11.62 17.52 7.009 18.84 12.35 3.793 10.97 11.46 7.768
[2,] 364.55 60.13 24.800 2112.47 310.87 39.123 499.63 672.78 150.263
[3,] 403.06 424.80 57.384 209.30 621.13 34.685 768.57 475.31 146.065
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 10.1 3.531 10.56 9.211 4.505 11.55 11.17 10.76 9.36
[2,] 598.6 47.236 440.12 190.612 62.682 361.71 380.01 430.96 175.26
[3,] 461.1 8.204 500.14 292.716 70.885 538.61 380.74 250.83 219.09
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 8.451 7.621 2.940 8.012 2.802 7.736 7.769 6.304 4.004
[2,] 316.038 129.793 9.408 185.456 2.337 304.020 383.265 105.513 30.629
[3,] 142.397 94.434 38.715 120.606 13.260 138.872 304.159 147.046 14.475
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.528 9.799 9.476 5.06 10.39 8.326 3.84 8.601 6.901
[2,] 451.833 117.269 57.427 61.45 465.22 219.472 87.94 486.480 460.212
[3,] 200.012 260.359 200.015 51.67 387.88 245.121 79.84 504.850 322.420
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 6.758 4.49 7.979 2.489 7.391 3.651 6.484 6.994 7.197
[2,] 362.174 497.48 13.969 18.242 229.164 73.446 77.450 23.738 393.260
[3,] 401.407 398.81 23.655 15.771 463.952 132.981 219.115 64.931 126.149
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 8.786 4.215 8.97 6.813 8.48 3.596 9.078 9.299 10.72
[2,] 535.201 49.146 403.76 74.864 426.57 12.715 165.148 57.797 78.14
[3,] 144.815 46.667 238.33 126.394 438.48 50.963 35.652 69.142 79.92
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.56 10.52 9.245 8.522 2.578 8.921 6.14 9.529 5.071
[2,] 362.64 243.46 531.589 540.026 26.664 428.518 182.48 379.606 51.553
[3,] 134.13 147.73 148.947 278.613 28.949 404.059 166.48 353.173 49.847
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.75 3.518 7.554 6.463 13.20 12.4 4.592 4.36 4.286
[2,] 177.95 3.008 434.848 13.622 24.19 225.7 28.582 217.78 202.452
[3,] 100.53 27.133 126.248 12.841 154.21 338.7 106.224 45.66 106.792
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.188 6.519 4.759 7.141 3.635 23.9 12.59
[2,] 186.974 22.235 60.975 216.797 108.187 1692.0 315.98
[3,] 149.668 188.633 17.724 157.964 112.013 672.3 632.52
[1] "--- VAR model 2017-10-03 08:01:00 completed"
[1] "Completed training sample: 2017-10-03 08:01:00 - 2017-10-03 16:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 08:31:00 - 2017-10-03 16:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2964 0.80022 -0.3559 26.975
1.0553 0.91696 -4.3632 -11.064
1.2688 0.01664 -2.0800 -3.199
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.851 1.315 2.759 -14.107
17.209 1.900 3.295 -11.470
-4.670 1.259 3.054 -8.708
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.7793 -17.8140 -3.3756 -22.78
0.6114 -0.9177 1.8502 -14.66
-0.9131 -4.5326 0.4509 -16.52
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.254 -0.5612 -1.1643 2.290
4.785 0.2813 -0.1298 2.341
4.497 -0.1050 -0.6250 2.196
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8806 4.080 18.596 16.14
-0.9997 -1.166 11.272 13.66
-0.3655 -0.598 7.327 10.36
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.996 0.11463 -21.3007 -11.42357
-3.228 1.01308 -0.8184 -0.02432
-1.193 0.06966 -12.3029 -0.89763
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.39668 -18.148 -6.656 -0.1897
-0.08825 -6.491 -7.982 -1.0465
-0.25927 1.782 1.452 -0.9421
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
26.749 0.2876 27.115 0.2839
-12.018 0.1085 -2.718 0.3712
-3.548 -0.2299 -6.359 0.4521
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2981 14.30 -3.035 -18.953
2.5680 14.33 18.340 8.256
-0.7704 -10.50 -4.121 1.149
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.135 -17.703 0.235 0.69943
-1.172 -12.071 -1.403 0.45737
-1.295 -7.068 1.553 0.07981
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.05900 -0.07557 -7.001 -14.29
-0.02045 0.25779 -4.518 -11.88
-0.24433 0.21926 3.413 -10.70
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.804 0.2707 -5.256 0.1105
4.165 -0.1681 -5.088 1.6506
4.209 0.2048 -4.556 -0.3484
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.5747 0.3606 8.635 4.823
-0.7868 -1.1355 -2.990 4.939
-3.2363 -0.3955 -1.017 4.141
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.9426 -1.381 -5.946 5.36777
0.3590 4.833 5.966 -0.06481
-0.2376 -3.543 -2.243 2.42981
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
10.192 0.9682 0.21521 -5.077
-4.587 0.6738 -0.13813 10.931
5.816 0.3672 0.04827 -2.802
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.954 -1.7936 0.7118 1.021228
-2.694 6.4354 0.9178 -0.006506
-2.610 0.6116 0.8922 8.355714
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.3060 1.2272 8.446 2.2321
-0.7193 0.9440 1.256 0.9991
6.7550 0.3225 2.974 1.0694
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
16.616 0.9099 -1.15492 -0.08911
9.142 0.7558 1.69314 -0.20453
5.422 0.4200 -0.08621 1.56004
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8340 -2.0670 8.027 6.3315
-0.5336 -0.7743 6.257 -0.5223
-0.1898 1.0092 3.866 0.8273
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.5591 0.06727 6.7863 -4.427
1.1366 0.08552 5.0305 -3.905
0.9721 0.02155 0.2073 -2.504
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.237 1.0136 -1.5530 0.70488
5.621 0.2407 1.6864 -0.27307
2.137 0.4506 -0.6141 0.09609
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-24.00 0.52034 0.57099 -11.09
-17.29 2.04136 -0.53193 -15.28
-12.27 0.01698 -0.02916 -14.94
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.25054 0.9168 -1.4783 -0.1397
0.05031 -1.1390 0.5959 0.9041
-0.04994 0.6171 1.0813 0.1939
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.7552 -0.50993 4.244 0.02631
3.4314 -0.37393 2.882 1.00630
0.1234 0.05019 2.452 0.42840
rnd_95776.volume rnd_95787.volume
3.373 -10.77994
-7.356 0.07766
-3.094 -1.43393
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.781 4.830 12.96 8.079 8.816 3.040 3.333 8.089 8.889 6.675 4.024
[2,] 6.789 4.835 12.98 9.438 9.705 3.041 3.400 8.188 8.889 8.836 4.864
[3,] 6.853 4.843 13.28 10.582 10.657 3.212 3.485 8.300 8.934 8.869 4.879
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.376 4.977 8.576 9.797 7.400 7.094 5.864 10.58 9.108 14.28 5.368
[2,] 7.548 5.010 8.644 9.971 8.435 7.850 7.816 11.54 9.838 14.29 5.373
[3,] 8.230 5.156 8.645 9.988 9.255 7.871 8.157 12.25 10.623 14.67 5.393
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.74 9.485 2.941 7.871 8.117 6.101 7.827 2.837 8.218 7.254
[2,] 25.82 10.032 2.946 9.382 10.758 6.209 9.640 2.876 9.281 7.541
[3,] 25.86 11.982 2.946 12.534 11.757 6.327 10.684 2.877 10.546 8.007
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.615 8.885 8.486 8.360 7.375 7.501 6.086 2.343 6.268 2.185 6.136
[2,] 3.721 9.709 9.444 9.445 7.580 8.229 6.238 2.348 6.577 2.185 6.790
[3,] 3.799 11.015 10.173 9.718 7.916 8.477 6.319 2.379 6.690 2.191 6.938
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.261 5.003 3.104 5.983 7.645 7.394 4.057 8.207 6.755 3.066 7.122
[2,] 7.312 5.113 3.119 7.593 7.763 7.404 4.106 9.384 7.062 3.183 8.724
[3,] 7.815 5.343 3.125 7.850 8.197 7.670 4.142 10.108 7.541 3.275 9.953
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.658 5.491 3.683 6.241 1.996 5.971 2.904 5.554 5.624 5.789 7.080
[2,] 7.338 6.785 6.285 6.254 2.007 6.465 2.994 5.606 5.630 7.213 8.943
[3,] 7.996 7.906 7.543 6.256 2.012 7.937 3.285 6.083 5.668 7.346 9.063
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.410 7.018 5.353 6.914 2.894 6.997 7.396 8.414 7.996 8.371 7.151
[2,] 3.447 8.198 5.412 8.193 2.897 7.123 7.403 8.434 9.054 8.695 8.881
[3,] 3.496 8.695 5.582 9.458 2.946 7.128 7.429 8.452 9.107 8.800 8.989
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.828 2.066 6.976 4.671 7.548 3.993 3.822 2.854 6.680 5.287 10.27
[2,] 8.388 2.086 8.115 4.932 8.442 4.028 4.191 2.854 7.955 5.289 10.27
[3,] 8.960 2.113 9.101 5.180 9.077 4.053 4.303 2.883 8.203 5.292 10.39
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.97 3.257 3.441 4.106 4.020 5.211 3.778 6.132 3.131 18.96 9.78
[2,] 10.13 3.578 4.104 4.133 4.037 5.213 3.826 6.471 3.253 24.99 10.32
[3,] 10.61 3.817 4.115 4.220 4.229 5.497 3.830 6.718 3.535 26.00 12.33
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 8.611 6.134 16.46 10.26 11.2 3.860 4.232 10.27 11.288 8.476
[2,] 25.617 16.552 46.92 373.20 310.5 6.139 51.473 97.24 8.965 442.832
[3,] 71.967 21.704 218.21 366.12 336.9 79.222 58.630 104.56 69.062 59.866
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19]
[1,] 5.11 8.096 6.32 10.89 12.44 9.396 9.008 7.446 13.44
[2,] 209.08 309.034 44.25 83.12 142.01 309.863 257.181 395.310 352.02
[3,] 29.34 251.022 93.26 10.95 46.21 291.444 45.161 178.563 314.35
[,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 11.57 18.14 6.817 18.72 12.04 3.735 9.996 10.31 7.748
[2,] 284.66 16.55 17.802 1621.59 250.03 13.089 390.496 540.16 88.280
[3,] 306.56 255.01 35.840 114.65 501.20 3.097 635.832 362.92 93.111
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 9.938 3.603 10.44 9.212 4.59 11.28 10.78 10.62 9.365
[2,] 430.510 36.264 329.90 157.715 67.51 299.43 317.06 336.28 133.958
[3,] 352.589 6.820 383.26 206.104 58.67 398.07 289.32 175.11 174.840
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 9.525 7.728 2.975 7.96 2.775 7.792 7.95 6.353 3.942
[2,] 258.852 104.908 12.669 152.31 2.195 222.373 289.07 80.822 23.065
[3,] 155.856 77.543 29.059 94.20 12.261 109.363 210.96 118.734 15.425
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.597 9.708 9.389 5.152 10.42 8.578 3.894 9.044 7.185
[2,] 357.659 103.595 30.631 48.065 348.08 157.665 65.454 385.333 357.487
[3,] 152.425 201.270 153.429 41.912 287.49 202.396 59.003 366.618 243.068
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 6.973 4.677 7.925 2.535 7.582 3.688 7.052 7.142 7.352
[2,] 304.905 389.617 31.752 15.753 189.741 55.850 58.528 20.330 329.066
[3,] 310.524 318.971 12.955 11.517 352.207 103.445 180.825 50.468 106.678
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 8.991 4.331 8.912 6.797 8.78 3.675 8.885 9.391 10.68
[2,] 417.933 38.387 324.199 61.282 336.23 9.710 102.076 26.790 46.05
[3,] 112.700 44.875 221.726 104.667 361.65 41.293 22.456 47.575 42.85
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.15 10.63 9.081 8.671 2.624 8.858 5.931 9.584 5.071
[2,] 324.83 179.81 402.860 372.643 22.092 317.247 121.283 289.403 40.769
[3,] 75.65 104.08 106.539 241.289 25.812 315.141 121.128 255.225 34.372
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.854 3.624 8.482 6.713 13.04 12.66 4.136 4.37 5.214
[2,] 131.535 4.542 330.470 12.806 18.27 139.21 113.411 171.06 36.264
[3,] 74.619 31.310 153.357 15.421 117.58 240.17 101.582 23.87 65.360
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.104 6.617 4.798 7.786 3.976 24.08 12.42
[2,] 28.705 12.937 46.149 158.396 67.404 1244.55 252.20
[3,] 96.551 133.591 13.171 138.097 105.967 551.22 515.65
[1] "--- VAR model 2017-10-03 08:31:00 completed"
[1] "Completed training sample: 2017-10-03 08:31:00 - 2017-10-03 16:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 09:01:00 - 2017-10-03 17:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.770 0.02626 -9.005 -5.124
2.087 -0.18129 -6.169 -28.149
1.062 0.10213 -3.055 -7.913
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.387 4.206 1.848 0.08631
-4.718 2.524 1.112 -1.04785
-19.862 1.329 1.600 -1.09526
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.96987 -5.4407 0.8085 -10.47
0.22063 4.2549 1.6775 -10.71
-0.08453 -0.5541 0.5550 -12.72
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
11.687 2.975 13.021 0.67108
8.869 -1.313 8.307 -0.71317
9.497 1.173 6.943 0.01268
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.877 13.606 13.25 4.718
4.577 1.560 13.56 13.994
1.920 4.009 10.56 9.582
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.585 0.14292 -16.83 -21.568
-1.679 -0.04781 -23.76 -6.921
-1.214 0.00892 -15.95 -12.256
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.03188 -32.703 -32.805 1.3047
0.49546 -5.166 -11.146 0.4423
-0.32304 -11.252 -8.178 0.4540
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.406 -0.3610 -4.712 -1.868
-29.339 0.5786 -26.041 -1.967
-7.371 0.6725 -11.048 -2.555
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.01252 -8.266 -5.337 -8.779
-0.03263 -15.206 -5.208 -5.294
0.03722 -22.469 -19.843 -14.888
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.717 -9.357 2.103 0.17863
-5.852 -12.171 1.819 -0.17960
-4.764 -8.028 2.270 0.04795
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
7.693 0.1357 -3.970 -11.779
4.326 0.4330 -2.746 -10.869
2.810 0.2890 -3.291 -9.245
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.341 0.5669 -4.041 2.8585
3.248 0.4776 -12.380 -0.5395
4.400 0.5913 -8.355 -0.1201
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.7997 -2.9866 -13.943 11.375
-3.2269 -0.3363 -8.652 8.925
-0.5871 -1.4580 -0.633 8.959
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.39237 -7.4867 -1.837 -1.398
-1.93878 -17.1871 -9.614 -6.516
0.09366 -0.2032 -5.774 -12.057
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.026 0.5413 -0.4014 3.496
-2.220 0.5030 0.3328 6.179
-9.473 0.4083 -0.1403 -2.868
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.4017 2.762 0.5507 -3.552
-0.8142 4.114 0.3584 3.272
-0.6743 -1.086 0.4336 3.814
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.330 -0.4180 3.3193 1.9653
3.193 -0.3738 -0.7602 1.0833
3.315 -0.1769 4.2559 0.9441
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.62270 0.9601 -3.842 2.1848
-0.06557 0.5844 -0.101 2.5201
3.64769 0.2277 -3.660 0.9953
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.7958 -9.5659 12.729 2.4718
2.1060 -1.3082 9.250 -0.9585
0.8842 0.1967 7.676 1.6165
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
18.468 -1.789 20.503 -10.429
-1.696 -1.531 5.455 -9.704
2.916 -1.125 1.406 -7.583
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.859 0.8631 -0.03604 0.3861
16.097 0.6324 -3.04707 0.5945
1.171 1.0546 -1.93765 -0.1836
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-17.42 0.244792 -0.9371 -16.20
-11.41 0.002753 -0.7496 -14.67
-11.39 -0.221100 -0.2207 -13.25
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.821 -3.120 0.83610 2.9929
-1.836 1.247 2.21596 1.5545
1.094 2.295 0.09928 0.3119
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.0048 -1.2883 16.08 1.527
2.0435 -0.1127 13.98 4.073
-0.3524 0.6352 12.64 2.662
rnd_95776.volume rnd_95787.volume
-49.559 -20.701
3.581 -6.783
-16.988 -11.598
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.881 4.872 12.95 7.380 9.076 3.375 3.171 8.272 8.915 6.530 4.164
[2,] 6.897 4.877 12.96 8.745 9.784 3.379 3.229 8.383 8.916 8.773 5.074
[3,] 6.954 4.880 13.21 9.887 10.589 3.608 3.284 8.464 8.953 8.841 5.099
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.260 5.128 8.224 10.49 7.286 6.916 6.255 10.53 9.061 15.71 5.760
[2,] 7.636 5.157 8.540 10.77 8.333 7.888 8.008 11.42 9.775 15.71 5.787
[3,] 8.291 5.465 8.759 10.80 9.176 7.962 8.422 12.07 10.511 15.99 5.818
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.75 9.662 2.949 7.507 7.521 6.003 7.436 2.916 7.877 7.231
[2,] 25.40 10.255 2.949 9.249 10.550 6.072 9.209 2.962 9.048 7.535
[3,] 25.44 12.238 2.954 12.523 11.640 6.156 10.235 2.966 10.418 7.992
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.763 8.521 8.535 8.382 7.121 7.852 6.163 2.304 6.274 2.146 6.086
[2,] 3.782 9.343 9.399 9.363 7.316 8.587 6.364 2.307 6.757 2.146 6.740
[3,] 3.806 10.847 10.164 9.708 7.686 8.978 6.447 2.330 6.840 2.152 6.900
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.252 4.559 2.963 6.001 7.732 7.526 3.975 8.299 6.841 3.042 7.315
[2,] 7.477 5.012 2.972 7.700 7.836 7.530 4.038 9.492 7.178 3.154 8.997
[3,] 7.949 5.183 2.980 8.083 8.185 7.842 4.071 10.252 7.732 3.243 10.240
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.707 5.572 3.816 6.209 2.001 6.179 2.869 5.602 5.579 6.432 7.174
[2,] 7.415 6.864 6.355 6.229 2.011 6.683 2.947 5.631 5.590 7.639 9.193
[3,] 8.049 7.934 7.684 6.229 2.016 8.080 3.257 6.173 5.622 7.739 9.332
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.499 7.113 5.306 7.050 2.991 7.036 7.517 8.329 8.080 8.600 7.157
[2,] 3.580 8.439 5.374 8.505 2.999 7.137 7.534 8.344 9.074 8.999 9.115
[3,] 3.629 8.927 5.544 9.700 3.056 7.139 7.555 8.371 9.111 9.149 9.236
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.541 2.092 6.896 4.366 7.579 3.920 4.008 2.925 7.031 5.385 10.05
[2,] 8.610 2.129 8.168 4.549 8.506 3.996 4.384 2.926 8.160 5.387 10.05
[3,] 9.198 2.180 9.489 4.796 9.319 4.011 4.493 2.948 8.471 5.397 10.15
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 9.872 3.106 3.381 4.247 4.042 5.277 3.778 6.449 3.007 18.98 9.861
[2,] 10.106 3.544 4.085 4.249 4.043 5.279 3.825 6.870 3.060 25.22 10.449
[3,] 10.509 3.823 4.113 4.284 4.122 5.537 3.827 7.293 3.303 26.25 12.575
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.738 6.187 16.44 9.371 11.53 4.285 4.026 10.50 11.32
[2,] 35.396 16.468 50.93 354.336 275.99 14.000 46.206 103.10 12.92
[3,] 67.917 14.568 193.27 348.234 305.90 95.555 45.192 88.29 61.69
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.292 5.287 7.949 6.512 10.44 13.33 9.252 8.783 7.942
[2,] 442.362 218.923 330.129 41.664 173.91 182.82 305.392 286.349 377.559
[3,] 82.830 38.595 244.018 136.534 147.01 58.64 290.221 82.432 197.076
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.37 11.51 19.95 7.315 18.73 12.27 3.745 9.532 9.55
[2,] 334.00 276.91 20.65 42.149 1561.38 259.71 3.864 407.921 558.62
[3,] 294.02 292.02 224.82 45.489 106.60 504.27 12.508 637.450 371.49
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.623 9.442 3.702 10.0 9.182 4.779 10.82 10.84 10.64
[2,] 69.100 410.262 39.696 336.2 160.319 28.728 289.54 297.25 315.00
[3,] 76.845 337.279 11.307 390.0 201.045 32.748 416.04 292.20 193.91
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.043 9.971 7.826 2.926 7.967 2.725 7.728 7.939 5.79
[2,] 126.648 262.427 120.106 8.780 189.547 2.516 218.722 309.728 157.27
[3,] 177.980 198.159 78.126 25.056 80.278 12.503 111.723 203.694 99.65
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.763 7.621 9.819 9.557 5.048 10.54 8.687 3.863 9.289
[2,] 18.045 364.258 96.006 19.580 53.416 347.88 164.395 62.997 395.431
[3,] 16.421 185.780 178.671 165.603 39.485 292.60 217.051 56.970 369.367
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.247 7.076 4.846 7.884 2.541 7.847 3.644 7.114 7.084
[2,] 357.470 302.600 383.695 38.629 15.138 192.276 50.774 43.618 27.462
[3,] 236.491 300.574 326.172 8.024 11.831 342.961 104.707 191.055 45.415
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.168 9.11 4.443 9.033 6.738 8.952 3.798 8.934 9.546
[2,] 311.204 434.06 57.257 342.880 64.556 359.320 17.056 90.940 38.521
[3,] 93.834 121.17 45.241 219.823 103.162 352.120 44.680 13.429 42.571
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.58 10.26 10.92 9.088 8.307 2.657 8.757 5.544 9.624
[2,] 39.00 311.92 200.39 426.160 422.736 29.734 330.578 96.539 291.702
[3,] 50.71 62.37 124.77 112.986 244.306 35.607 364.658 114.798 287.515
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.977 5.089 3.714 8.928 6.838 12.76 12.54 3.945 4.294
[2,] 58.866 134.134 6.381 312.768 11.881 10.66 163.25 128.790 173.121
[3,] 26.743 74.589 27.205 171.979 25.580 108.96 217.90 108.297 36.377
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.393 5.133 6.70 4.798 8.189 3.819 24.1 12.52
[2,] 10.861 7.836 13.41 45.468 178.970 42.678 1254.1 261.11
[3,] 41.227 60.473 126.31 9.899 184.885 93.996 550.6 528.27
[1] "--- VAR model 2017-10-03 09:01:00 completed"
[1] "Completed training sample: 2017-10-03 09:01:00 - 2017-10-03 17:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 09:31:00 - 2017-10-03 17:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.6263 1.7589 -5.166 -13.001
1.6501 1.3039 -6.345 -6.358
0.5688 0.2602 -3.808 -7.688
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
9.531 1.278 -0.4000 1.891
-9.855 2.951 -0.2819 2.457
-5.975 1.725 -0.3303 2.751
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.257 12.379 4.468 -12.95
2.254 -3.424 1.085 -20.46
1.738 4.039 2.512 -18.52
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
6.873 2.6790 1.3779 -0.4616
8.683 5.0575 5.6419 -0.5628
10.036 -0.1855 -0.1532 -0.9445
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.8326 2.1066 15.66 17.66
3.8231 -0.1053 12.02 12.67
0.9434 2.1889 10.24 12.76
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.2949 -0.14846 -31.88 -3.259
-4.0851 -0.21903 -10.40 -12.582
-0.9928 0.02519 -14.43 -4.070
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.01795 -6.835 -13.863 1.1939
-0.41799 -13.070 -6.869 1.4954
0.05057 -5.182 -8.910 0.5771
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.111 -0.8420 -8.390 0.4441
-6.702 -0.4442 -10.150 2.2655
-8.617 -0.5768 -5.112 1.5790
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.1628 5.026 11.431 2.006
0.2375 -14.063 -11.386 -1.210
0.3110 -3.004 -5.813 -8.758
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.050 -1.966 0.30245 -0.1100
-4.334 -5.174 -0.03226 0.5757
-4.100 -5.393 0.66396 -0.1100
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.6305 -0.0612 -2.333 -6.748
-0.9131 -0.1647 3.636 -7.412
-0.4962 -0.2831 -3.988 -4.364
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.591 0.9663 -9.015 2.5803
4.841 0.8216 -3.596 -0.8261
4.295 0.4645 -4.033 0.2231
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.20910 -1.2581 -2.0951 16.47
0.05566 -0.7704 -4.4491 14.94
-0.32046 -0.2738 -0.8077 16.89
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5891 -10.182 -6.791 4.428
-0.5525 -2.612 -2.078 -7.197
-0.2109 -3.226 -3.339 -1.955
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
14.943 -0.2255 0.3110 4.192
-6.135 -0.1195 -0.2832 11.328
-2.673 -0.3307 0.1280 -3.534
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.337 0.3354 -0.1243 -1.652
-1.687 4.4867 -0.3267 2.207
-1.642 0.3945 0.1445 5.445
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.4738 -0.50285 6.2319 2.532
0.9855 -0.03215 -0.8023 2.403
4.3973 -0.20392 3.4734 2.261
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.120 0.8250 4.240 2.183
3.278 0.7056 1.072 2.175
3.403 0.2079 1.574 1.088
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.654 7.641 7.963 12.417
2.075 5.430 9.047 10.607
1.121 2.505 9.256 8.048
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.250 -0.06615 10.75 -3.323
8.713 -0.36542 12.78 -2.857
7.536 -0.14434 10.95 -3.649
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.745 1.847 -1.8756 0.38026
9.796 1.038 -0.4358 0.07951
8.849 1.025 -1.0811 -0.04057
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-13.271 1.150625 2.1203 -6.504
-9.702 0.819537 -0.9458 -7.693
-7.845 0.005829 0.3039 -12.473
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.139041 1.1697 0.5752 -0.5266
0.005635 -1.1570 -0.8090 0.5313
-0.394335 0.7694 -0.3533 0.1923
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2388 -0.4017 18.79 -0.9116
3.6495 0.6188 14.68 -0.7193
0.3254 0.5234 16.52 -0.5542
rnd_95776.volume rnd_95787.volume
-12.340 -4.513
-6.643 -12.889
-5.982 -3.207
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.943 4.966 13.27 6.236 8.105 3.532 3.047 8.266 8.902 6.545 4.332
[2,] 6.956 4.981 13.29 7.962 8.856 3.537 3.112 8.392 8.903 8.823 5.319
[3,] 7.010 5.004 13.62 9.303 9.625 3.779 3.198 8.490 8.999 8.887 5.371
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.129 5.205 8.133 9.883 7.322 6.904 6.631 10.73 9.225 16.03 6.009
[2,] 7.684 5.247 8.511 10.565 8.369 7.535 8.119 11.65 9.948 16.03 6.027
[3,] 8.346 5.584 8.774 10.909 9.181 7.970 8.383 12.13 10.622 16.37 6.067
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.92 9.743 3.039 7.711 7.645 5.996 6.481 3.111 6.955 7.347 3.606
[2,] 25.88 10.330 3.041 9.485 10.677 6.062 8.464 3.129 8.204 7.665 3.616
[3,] 25.93 12.291 3.041 12.782 11.835 6.146 9.686 3.136 9.996 8.119 3.617
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.946 7.522 7.580 6.952 7.984 6.458 2.252 6.470 2.122 5.688 5.902
[2,] 8.639 8.611 8.511 7.184 8.676 6.719 2.254 6.999 2.122 6.209 7.100
[3,] 10.497 9.340 8.879 7.519 9.023 6.828 2.272 7.092 2.130 6.402 7.624
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.513 3.015 6.099 7.725 7.554 4.000 8.372 7.028 3.224 7.581 5.895
[2,] 5.015 3.028 7.494 7.838 7.559 4.074 9.615 7.313 3.319 9.382 7.585
[3,] 5.205 3.035 8.044 8.144 7.893 4.110 10.356 7.831 3.390 10.657 8.281
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.668 3.899 6.197 2.035 6.432 2.867 5.814 5.550 7.353 8.029 3.684
[2,] 7.021 6.625 6.220 2.041 6.897 2.949 5.833 5.562 8.026 9.172 3.761
[3,] 8.096 7.919 6.220 2.045 8.135 3.264 6.303 5.597 8.104 9.228 3.824
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.227 5.425 7.229 3.020 6.842 7.531 8.550 8.208 8.513 7.347 6.285
[2,] 8.878 5.482 9.306 3.028 6.915 7.550 8.644 9.209 8.993 9.061 8.533
[3,] 9.170 5.737 9.864 3.085 6.915 7.576 8.712 9.265 9.349 9.303 9.162
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.066 6.770 4.423 7.420 3.895 4.100 2.955 7.053 5.450 10.03 10.13
[2,] 2.093 7.995 4.633 8.582 3.957 4.494 2.956 8.045 5.457 10.03 10.30
[3,] 2.157 9.294 4.900 9.334 3.969 4.607 2.980 8.350 5.482 10.15 10.66
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.132 3.346 4.222 3.987 5.342 3.770 6.303 3.310 19.40 9.992
[2,] 3.752 4.041 4.233 3.991 5.345 3.807 6.728 3.334 25.67 10.603
[3,] 4.015 4.075 4.267 4.055 5.578 3.813 7.132 3.600 26.60 12.736
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.817 6.306 16.86 7.919 10.29 4.485 3.869 10.50 11.30
[2,] 30.349 28.288 44.88 352.329 254.26 13.862 45.165 103.60 13.40
[3,] 62.164 34.197 212.49 342.617 268.39 94.781 52.563 91.86 93.88
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.312 5.50 7.782 6.609 10.33 12.55 9.297 8.766 8.42
[2,] 421.163 219.74 329.993 47.608 178.79 266.00 288.584 215.070 333.56
[3,] 76.050 53.49 231.956 135.966 152.02 193.70 268.745 184.841 148.62
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.63 11.71 20.35 7.631 18.95 12.37 3.858 9.792 9.708
[2,] 322.91 265.13 19.12 32.870 1504.76 244.45 8.561 393.109 530.551
[3,] 240.21 265.32 238.52 50.356 120.53 474.20 5.697 609.900 363.462
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.614 8.23 3.951 8.831 9.33 4.579 10.09 9.552 9.626
[2,] 63.438 387.52 23.621 309.844 155.54 19.817 241.32 298.414 275.541
[3,] 72.352 335.27 15.800 406.456 190.66 7.551 424.49 257.635 180.174
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.828 10.14 8.2 2.860 8.216 2.695 7.222 7.495 5.73
[2,] 129.037 241.83 132.2 7.369 190.103 2.217 177.296 280.902 155.81
[3,] 158.121 176.56 87.0 20.650 81.782 12.640 111.353 197.768 99.22
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.828 7.745 9.809 9.593 5.08 10.63 8.925 4.094 9.626
[2,] 20.050 309.932 94.734 19.934 55.24 336.67 144.065 56.310 393.458
[3,] 15.198 208.117 157.648 161.822 38.39 273.94 199.474 49.203 359.861
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.485 7.198 4.951 7.870 2.584 8.168 3.64 7.383 7.048
[2,] 339.773 294.938 381.247 38.018 11.684 177.122 49.52 34.038 26.140
[3,] 236.659 286.880 308.822 8.267 8.981 307.174 99.55 169.985 45.237
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.337 10.20 4.678 9.177 6.888 9.18 3.835 8.689 9.563
[2,] 229.023 315.73 54.088 367.036 56.590 417.18 15.645 71.574 39.603
[3,] 80.347 72.56 49.399 163.682 120.495 232.93 42.228 6.960 44.600
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.86 10.42 10.81 9.329 7.981 2.623 8.597 5.617 9.422
[2,] 90.87 297.20 206.58 377.583 410.743 24.058 302.728 98.196 307.016
[3,] 77.92 73.19 182.12 150.245 237.737 37.283 337.314 113.640 261.418
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.946 5.206 3.752 8.956 6.921 12.74 12.87 3.977 4.248
[2,] 49.693 130.965 5.323 275.541 20.188 22.74 130.57 147.133 161.359
[3,] 22.327 72.473 27.327 159.211 37.538 108.45 196.95 101.623 37.492
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.361 5.063 6.784 4.787 8.004 4.204 24.63 12.69
[2,] 22.470 13.969 13.433 38.200 167.639 28.489 1196.39 252.60
[3,] 38.118 51.209 113.756 14.585 168.521 96.690 496.65 502.31
[1] "--- VAR model 2017-10-03 09:31:00 completed"
[1] "Completed training sample: 2017-10-03 09:31:00 - 2017-10-03 17:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 10:01:00 - 2017-10-03 18:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.410 -0.2951 4.710 10.814
-1.103 1.0137 -5.259 -2.167
-1.252 0.6359 -2.167 -8.627
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.272 1.1576 1.6250 -0.28814
2.548 1.0213 0.7668 -0.53809
-2.093 0.6223 0.8387 0.08744
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.156 -2.8879 -4.8197 -21.44
-1.416 -0.2609 0.9539 -19.10
-1.256 -1.3585 -1.1450 -21.47
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.7252 -1.993 -1.9659 3.867
3.2367 -1.436 -1.8662 4.389
1.0909 -0.275 -0.5803 3.874
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.09244 1.9900 11.802 12.68
-3.39372 -0.1258 7.505 10.90
-0.92458 -2.6716 8.284 12.90
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.6266 -0.86009 -26.696 -4.980
-2.6094 -0.57685 9.446 -6.617
-0.2289 0.02132 -10.959 4.294
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.37321 -6.042 5.9294 3.2551
0.24138 -11.838 -9.6454 0.3783
0.08896 6.999 -0.1687 0.2840
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
14.520 -0.7302 3.300 -21.24
-3.476 0.1256 1.939 -18.78
-9.427 -1.2792 -7.273 -18.02
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.09073 -4.220 -2.087 -3.643
0.19188 8.574 3.586 -4.126
0.03631 -6.012 -1.590 2.541
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.130 4.200 5.241 0.1794
5.741 1.266 4.558 0.4886
5.080 1.983 4.277 -0.1398
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4595 -0.13424 -5.6502 -11.54
0.2312 0.09679 -2.0439 -12.49
0.1158 0.12737 0.1531 -13.74
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.539 -0.2295 -14.580 2.9625
4.134 -0.6048 -5.146 0.4096
3.941 -0.3696 -8.256 -0.8860
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.291 -0.5796 5.2824 5.631
1.706 -1.7126 -10.6610 9.717
1.161 -0.6685 -0.8192 10.333
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.5586 7.185 -0.9626 0.3011
-1.1845 -5.535 3.8767 6.0391
-0.6092 -7.194 -7.4581 -5.7529
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.382 1.287 0.2251 3.929
-1.932 0.264 0.5010 7.184
4.429 1.042 -0.0411 -2.020
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.918 4.4331 1.8655 1.448
-2.299 3.6011 1.4066 1.559
-2.044 0.1042 0.4096 2.702
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.393 -0.5323 -0.2211 -1.0464
3.749 -0.4054 5.9905 2.0196
3.565 -0.2367 7.0123 0.5807
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.9371 -0.8039 0.7368 -1.5838
4.7012 -0.8734 -0.4350 -0.7394
5.0053 -0.5413 1.2907 -1.4696
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.455 2.1989 18.94 -1.225
1.559 -1.3496 17.05 5.383
0.866 -0.9237 18.46 2.442
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.6829 -1.903 2.518 -9.285
8.2255 -1.466 2.189 -9.338
4.9718 -1.198 4.829 -7.695
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.0138 -0.2183 -0.2776 0.436654
0.3667 0.3704 1.0646 0.032699
4.8136 -0.2530 -2.1816 0.003102
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.02932 -0.3297 0.980764 -6.021
-0.67662 0.7396 -1.748896 -3.353
-0.03563 0.2823 -0.008876 -1.708
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-5.1797 -1.910 -2.1950 -2.400
-0.5148 -1.565 -2.4953 -2.226
-1.3431 -1.656 -0.5911 -1.034
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.5426 -2.0709 14.98 0.70835
2.8874 -0.4294 14.41 -0.33896
0.5144 1.0570 13.79 -0.01651
rnd_95776.volume rnd_95787.volume
-28.585 -4.683
-12.778 -6.286
-5.716 4.112
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.861 5.035 13.18 6.042 7.633 3.790 3.093 7.656 8.763 6.255 4.421
[2,] 6.879 5.049 13.19 7.823 8.580 3.803 3.167 7.833 8.763 8.802 5.409
[3,] 6.943 5.074 13.60 9.220 9.336 4.054 3.262 7.937 8.860 8.842 5.489
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.050 5.303 8.292 9.988 7.447 7.036 6.984 10.62 9.199 16.45 5.924
[2,] 7.552 5.323 8.659 10.688 8.423 7.634 8.285 11.65 9.987 16.45 5.937
[3,] 8.191 5.647 8.950 11.071 9.234 8.028 8.506 12.15 10.657 16.83 5.957
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.71 9.627 3.237 7.799 7.191 6.085 6.359 3.038 6.425 7.383 3.568
[2,] 25.83 10.297 3.243 9.514 10.348 6.138 8.411 3.093 7.910 7.731 3.576
[3,] 25.89 12.207 3.244 12.728 11.627 6.228 9.685 3.132 9.870 8.232 3.577
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.632 7.434 7.508 6.838 7.450 6.279 2.213 6.647 2.077 5.727 5.886
[2,] 8.376 8.615 8.606 7.099 7.935 6.494 2.217 7.263 2.077 6.272 7.088
[3,] 10.382 9.376 8.988 7.434 8.110 6.631 2.231 7.390 2.087 6.455 7.594
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.456 3.001 6.065 7.948 7.591 4.042 8.589 7.346 3.255 7.699 6.129
[2,] 4.955 3.007 7.261 8.049 7.596 4.109 9.814 7.625 3.346 9.577 8.054
[3,] 5.149 3.019 7.871 8.294 7.933 4.136 10.569 8.133 3.412 10.787 8.733
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.755 4.032 6.192 2.131 6.504 2.864 5.936 5.561 7.679 8.435 3.717
[2,] 7.129 6.778 6.220 2.133 7.023 2.959 5.956 5.577 8.341 9.610 3.804
[3,] 8.274 8.235 6.220 2.147 8.283 3.271 6.386 5.616 8.470 9.686 3.851
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.136 5.572 7.429 3.029 6.830 7.518 8.691 8.210 8.471 7.236 6.411
[2,] 8.829 5.605 9.354 3.039 6.911 7.542 8.865 9.202 8.952 9.041 8.612
[3,] 9.101 5.997 9.943 3.091 6.911 7.563 8.970 9.273 9.217 9.267 9.213
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.096 6.945 4.348 7.273 3.747 4.206 2.961 7.670 5.495 9.953 10.56
[2,] 2.129 8.157 4.578 8.520 3.781 4.597 2.961 8.154 5.502 9.955 10.76
[3,] 2.180 9.454 4.823 9.239 3.796 4.704 2.993 8.488 5.531 10.054 11.27
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.189 3.377 4.471 4.176 5.384 3.816 6.280 3.372 19.34 10.00
[2,] 4.065 4.265 4.481 4.176 5.392 3.849 6.658 3.381 25.68 10.67
[3,] 4.243 4.293 4.512 4.218 5.633 3.856 7.026 3.577 26.48 12.81
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.713 6.393 16.74 7.672 9.693 4.813 3.927 9.721 11.13
[2,] 35.923 27.961 34.14 354.355 279.362 22.722 48.834 118.548 11.15
[3,] 67.223 36.284 237.05 348.010 262.578 100.231 55.803 91.622 93.37
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.943 5.614 7.683 6.734 10.53 12.68 9.457 8.935 8.869
[2,] 441.501 222.148 322.278 33.189 177.84 271.41 280.714 211.259 317.778
[3,] 60.812 66.805 226.244 134.620 161.76 206.09 269.968 177.293 137.611
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.49 11.68 20.89 7.522 18.69 12.22 4.111 9.903 9.132
[2,] 340.38 277.42 16.92 29.107 1513.90 260.61 14.157 388.528 530.508
[3,] 246.55 265.24 254.21 34.970 126.51 467.56 6.112 602.910 378.069
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.727 8.075 3.858 8.159 9.375 4.531 9.691 9.44 9.534
[2,] 57.571 392.551 41.406 328.964 163.637 17.170 246.199 310.52 299.923
[3,] 75.611 342.366 35.071 420.995 201.865 5.969 437.475 263.90 185.230
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.683 9.461 7.974 2.81 8.44 2.638 7.273 7.474 5.659
[2,] 136.226 194.879 118.169 10.32 208.83 2.241 182.370 281.682 154.551
[3,] 157.500 119.705 96.036 17.55 97.73 14.601 108.850 194.307 99.848
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.81 7.701 10.09 9.639 5.133 10.91 9.329 4.133 9.776
[2,] 13.77 284.784 90.82 21.480 52.780 338.65 145.720 55.266 406.227
[3,] 19.58 216.581 142.99 163.207 33.684 279.80 202.026 48.054 353.963
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.782 7.308 5.12 7.862 2.706 8.259 3.637 7.538 7.062
[2,] 372.600 300.035 388.48 43.028 7.473 188.984 52.989 35.214 30.156
[3,] 240.853 299.384 333.56 6.910 17.169 313.202 99.402 164.395 47.633
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.751 10.71 4.72 9.061 7.076 9.434 3.846 8.673 9.547
[2,] 232.259 328.38 57.83 370.707 43.577 405.216 18.191 75.773 43.252
[3,] 105.273 87.01 42.74 157.728 152.203 240.633 40.159 6.959 40.630
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 11.04 10.43 10.76 9.189 8.141 2.662 8.82 5.521 9.235
[2,] 124.84 296.41 206.47 386.494 410.013 26.439 305.06 102.128 316.521
[3,] 97.97 82.39 156.85 145.233 233.463 33.590 340.79 108.484 254.922
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.758 5.341 3.760 9.739 6.977 12.64 13.41 4.05 4.288
[2,] 36.507 132.207 5.416 197.583 20.700 16.24 146.45 179.68 185.784
[3,] 24.039 71.259 31.090 168.300 40.732 101.05 239.77 86.89 34.711
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.677 5.303 6.837 4.845 7.975 4.282 24.56 12.7
[2,] 21.741 4.223 21.018 36.007 157.709 17.675 1204.48 266.0
[3,] 38.252 42.611 116.298 17.313 160.176 83.321 461.16 505.4
[1] "--- VAR model 2017-10-03 10:01:00 completed"
[1] "Completed training sample: 2017-10-03 10:01:00 - 2017-10-03 18:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 10:31:00 - 2017-10-03 18:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.577 0.28131 -1.661 -3.948
1.421 0.89041 -1.756 -7.050
1.125 -0.09229 -1.775 1.428
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.507 2.607 4.626 4.237
-2.557 2.186 3.447 1.572
-6.192 1.513 3.268 1.837
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.6932 5.3250 0.8575 -13.278
0.8317 4.1691 1.5040 -7.348
0.2898 -0.1962 0.5931 -9.691
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.283 -0.2193 1.909 -1.003
-1.766 1.6625 2.307 -1.106
-2.015 2.4797 2.900 -1.274
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
6.4047 2.5702 0.6543 0.9288
-0.6407 3.0895 9.1087 6.7780
1.3221 -0.3063 5.4733 5.8276
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.5946 -0.59168 -13.526 5.732
-1.6183 -0.29676 -3.024 -6.703
-0.5299 -0.08301 -4.296 -1.013
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.0769 -0.3654 -16.970 3.3575
0.5900 -3.5432 4.243 2.4117
0.5507 -2.7738 -6.308 -0.3516
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.41739 2.2002 7.015 -16.04
-5.10034 -0.5531 -11.144 -15.92
0.09852 1.5176 1.530 -14.38
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.1188 8.9252 -4.078 -9.027
-0.3120 -14.1991 -2.538 1.225
0.1716 0.8011 -6.923 -9.296
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
13.80 -2.0340 7.888 -0.05120
12.37 -0.1334 7.784 -0.14756
11.54 1.4368 8.597 0.07713
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.9667 0.1228 -3.162 -7.996
1.3935 -0.3895 -1.224 -12.344
0.6665 -0.2967 -1.222 -6.281
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.046 -0.67525 -6.888 -2.492
1.396 -0.55382 -7.557 7.664
3.430 -0.09204 -10.144 1.791
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.133 -1.6157 0.3265 10.23
1.366 -0.9162 2.5787 11.00
-0.256 -0.8620 -5.6111 11.34
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.006105 11.287 5.4165 -9.285
-0.100056 1.547 0.6368 8.502
0.154831 -2.604 1.9214 1.552
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.895 3.020 0.32784 13.2871
4.225 1.507 0.21125 -6.1125
1.382 1.698 0.05018 0.5046
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.6521 4.6921 1.3387 -0.9972
-0.5697 -0.8006 0.9510 5.8276
-0.2413 -2.0471 0.3568 -1.1297
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.50215 0.3939 4.736 -1.7978
6.02181 0.3821 1.891 -0.6291
-0.07058 0.3294 4.089 -0.7288
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.0681 -0.6297 3.34134 1.7260
0.4791 -0.5775 -0.03578 0.5268
4.6114 -0.2121 3.63630 0.8889
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.064 11.02754 0.8876 6.022
-2.227 1.37164 2.9312 5.575
-1.244 0.06398 1.5712 2.614
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.582 -0.143404 1.968 -2.007
8.242 0.149876 6.347 -2.589
2.062 -0.003126 6.070 -1.534
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.560 -0.24675 2.0016 -0.24272
-2.166 -0.03809 0.1369 0.21132
6.004 -0.11459 0.5757 -0.06224
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.186 0.1959 1.2094 -0.1604
2.112 0.6519 -2.0817 -3.5397
3.718 -0.3156 0.4574 -2.3371
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.1981 2.33715 0.4524 0.36663
1.1279 -0.03333 0.6109 0.09908
-0.1377 0.19073 0.5196 0.38874
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.6587 0.92340 4.373 2.2775
-0.6480 1.20562 4.644 0.2486
-0.9405 0.09358 3.947 0.4249
rnd_95776.volume rnd_95787.volume
14.760 7.0241
-14.135 -8.8750
3.865 0.9155
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.015 5.200 13.22 5.996 7.515 3.905 3.134 7.746 8.884 6.293 4.430
[2,] 7.038 5.230 13.23 7.790 8.461 3.926 3.224 7.911 8.884 8.917 5.467
[3,] 7.115 5.259 13.62 9.079 9.101 4.212 3.321 8.033 8.999 8.964 5.546
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.097 5.542 8.286 10.14 7.222 6.956 7.093 9.972 9.288 16.26 6.016
[2,] 7.627 5.558 8.649 10.87 8.194 7.559 8.265 10.975 10.115 16.27 6.062
[3,] 8.277 5.937 8.945 11.26 8.975 7.954 8.482 11.539 10.795 16.57 6.098
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.08 9.668 3.316 7.810 7.282 6.152 6.384 3.137 6.541 7.540 3.551
[2,] 26.17 10.324 3.326 9.385 10.270 6.183 8.394 3.197 8.001 8.014 3.560
[3,] 26.21 12.474 3.326 12.875 11.666 6.263 9.566 3.234 9.768 8.559 3.563
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.548 7.310 7.512 6.861 7.554 6.287 2.238 6.807 2.081 5.658 5.831
[2,] 8.380 8.483 8.600 7.152 7.958 6.528 2.245 7.474 2.081 6.225 6.990
[3,] 10.351 9.121 9.061 7.526 8.122 6.676 2.262 7.612 2.095 6.393 7.601
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.462 3.001 6.133 8.125 7.758 4.001 8.796 7.679 3.429 7.854 6.285
[2,] 4.926 3.010 7.315 8.254 7.759 4.066 10.003 8.017 3.429 9.705 8.228
[3,] 5.100 3.019 7.912 8.531 8.139 4.092 10.735 8.677 3.429 10.828 8.878
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.838 4.057 6.343 2.162 6.497 2.851 5.933 5.549 7.873 8.112 3.742
[2,] 7.306 7.007 6.369 2.163 7.042 2.944 5.956 5.560 8.512 9.854 3.821
[3,] 8.431 8.457 6.372 2.182 8.308 3.246 6.361 5.610 8.646 9.895 3.869
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.509 5.556 7.520 3.064 6.842 7.537 8.647 8.239 8.531 7.208 6.583
[2,] 9.475 5.588 9.446 3.074 6.951 7.557 8.863 9.407 9.109 9.016 8.739
[3,] 9.758 5.972 10.182 3.124 6.951 7.591 8.993 9.506 9.425 9.253 9.406
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.109 6.891 4.469 7.317 3.684 4.291 2.953 7.787 5.621 9.953 10.44
[2,] 2.142 8.107 4.640 8.655 3.712 4.667 2.955 8.234 5.634 9.962 10.52
[3,] 2.201 9.429 4.980 9.358 3.734 4.766 2.991 8.557 5.667 10.038 10.88
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.128 3.350 4.542 4.261 5.385 3.850 6.481 3.470 19.34 9.90
[2,] 3.986 4.345 4.550 4.261 5.395 3.881 6.858 3.476 25.53 10.55
[3,] 4.287 4.377 4.576 4.288 5.662 3.896 7.267 3.660 26.36 12.89
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.908 6.603 16.78 7.614 9.543 4.958 3.98 9.836 11.282
[2,] 40.605 39.772 41.90 350.550 274.055 29.157 53.34 113.675 8.926
[3,] 73.970 39.003 228.53 328.753 236.504 107.497 56.16 98.596 101.136
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.991 5.625 7.743 7.037 10.52 12.87 9.17 8.833 9.007
[2,] 445.367 225.857 322.951 30.641 174.95 275.86 273.06 208.626 299.098
[3,] 64.780 66.058 226.741 147.115 160.94 208.96 258.18 174.470 134.756
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 12.66 11.79 20.65 7.639 17.88 12.28 4.211 9.918 9.247
[2,] 323.18 282.47 31.64 52.963 1554.31 255.43 18.154 366.820 510.509
[3,] 251.49 265.96 220.59 46.701 116.00 493.53 4.549 621.345 390.095
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.812 8.107 3.984 8.306 9.575 4.509 9.584 9.283 9.539
[2,] 43.963 384.231 43.374 324.886 191.441 18.679 256.773 303.385 295.138
[3,] 70.535 323.458 34.581 394.990 212.004 11.118 428.295 236.429 201.299
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.713 9.593 7.983 2.842 8.644 2.642 7.185 7.404 5.666
[2,] 142.459 176.518 123.984 12.743 217.689 2.117 182.945 271.806 147.139
[3,] 165.384 114.878 98.881 19.543 101.703 17.220 103.019 210.446 93.360
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.811 7.788 10.32 9.852 5.081 11.17 9.751 4.354 9.974
[2,] 16.217 281.099 102.50 11.890 51.189 335.80 162.459 4.645 401.869
[3,] 17.227 212.571 152.20 173.383 32.497 274.97 234.127 3.990 338.633
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.982 7.413 5.152 8.054 2.746 8.25 3.62 7.534 7.046
[2,] 374.270 309.705 402.628 41.524 3.399 191.60 51.95 37.375 24.744
[3,] 235.129 296.601 333.865 13.787 20.489 310.74 96.32 157.574 52.975
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.997 10.30 4.752 9.535 7.055 9.55 3.89 8.689 9.571
[2,] 228.296 394.30 54.540 407.396 42.502 402.91 17.95 86.369 39.946
[3,] 106.959 64.14 43.136 164.576 148.644 268.15 39.27 6.952 50.608
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.98 10.46 10.83 9.153 8.359 2.679 8.75 5.675 9.292
[2,] 137.32 320.06 225.32 381.818 405.204 26.463 301.10 87.966 325.895
[3,] 107.66 97.01 170.75 146.792 245.185 35.555 339.47 127.477 251.027
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.678 5.449 3.750 9.888 7.138 12.64 13.26 3.972 4.254
[2,] 32.463 129.387 8.223 188.691 27.435 31.14 90.97 174.126 195.054
[3,] 28.676 68.234 32.862 164.398 43.356 87.38 197.75 111.387 37.247
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.768 5.411 6.838 4.889 8.23 4.406 24.56 12.57
[2,] 19.687 4.373 24.465 34.599 158.21 14.495 1175.35 258.20
[3,] 34.762 34.190 121.119 24.621 169.62 80.821 461.47 521.85
[1] "--- VAR model 2017-10-03 10:31:00 completed"
[1] "Completed training sample: 2017-10-03 10:31:00 - 2017-10-03 18:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 11:01:00 - 2017-10-03 19:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.87913 -0.4595 2.545 3.9444
-1.24920 -0.9617 1.286 0.4038
0.09454 -0.5355 1.392 4.9616
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
11.480 0.30324 1.1059 0.006241
7.692 -0.50158 0.4648 0.946310
2.382 -0.02808 0.5077 -1.060371
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.0630 -8.243 2.0112 -13.27
1.7421 4.046 0.7646 -11.31
0.6345 1.678 1.0039 -12.57
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.699 5.7393 8.0458 -1.4459
-1.883 -2.3138 -3.2087 -1.3712
-1.098 0.9167 0.6164 -0.7307
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.0494 9.3281 8.2161 1.001
2.7667 -0.7509 -0.1448 7.806
-0.4927 1.4459 0.4263 2.552
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.7645 1.4828 8.427 8.2007
0.3914 0.5266 5.911 0.4266
0.3730 0.2092 3.070 2.1920
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.07238 6.733 -6.1862 0.8081
0.31782 3.309 8.1197 -0.1939
0.08532 2.291 -0.4047 0.3200
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.650 1.2749 8.818 -0.011403
1.836 -0.0296 -2.474 -0.268707
4.429 1.2087 6.195 0.009578
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2624 13.912 11.364 10.5224
0.2002 -4.169 6.681 12.7416
0.2436 5.820 1.425 0.9821
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4595 2.533 4.535 0.78570
1.4231 4.047 4.015 -0.12117
0.1700 -1.005 3.091 0.09307
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.018 0.85273 6.094 -3.015
1.373 0.04659 4.565 1.292
0.593 -0.17084 3.438 3.331
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.642 -0.3550 3.652 -4.082
4.608 -0.1182 3.174 3.705
5.676 -0.1961 3.312 1.524
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.2765 -1.6333 -3.834 9.605
1.1380 0.6021 6.262 7.423
0.3912 0.1701 -1.413 6.221
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.17957 -4.427 -3.069 -1.969
0.07005 3.124 -2.488 -3.527
0.21762 1.512 4.371 3.792
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.976 -0.1813 -0.02384 9.111
-2.471 0.6691 0.13539 -3.077
-2.914 -0.3159 0.00558 -2.421
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.803 3.523 2.087 2.6249
-1.747 1.256 2.075 4.0198
-1.653 -1.005 1.374 0.2289
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.701 1.0207 -0.6123 3.093
5.808 0.8690 3.2138 2.752
2.416 0.5656 2.9997 1.909
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.905 -0.1169 1.2005 1.31785
5.623 0.4507 -0.9791 -1.03975
6.337 0.2875 -0.9381 0.04004
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.1341 -2.3432 1.700 -1.6042
-1.1528 -0.3083 4.609 -0.7123
-0.6085 -1.3714 5.796 -2.4505
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.268 -0.61510 -8.55214 -2.175
-1.206 -0.26092 -1.19757 -1.569
1.370 0.01013 0.01098 -2.547
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.418 0.56470 -0.9629 -0.53074
-3.286 0.03154 -0.6463 0.01335
-0.725 0.33827 1.0453 -0.08142
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.1744 -0.4797 0.60556 2.706
0.8453 -0.6697 -0.47747 2.422
0.1764 -0.3683 0.01471 -1.376
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.7691 2.6378 -0.34569 -0.3749
1.1657 -0.8270 0.06702 0.1553
-0.8012 0.3363 0.43989 0.3267
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.92203 -0.2855 10.77 239.8
0.09095 1.2954 12.96 240.4
-0.77880 -0.5648 7.78 241.0
rnd_95776.volume rnd_95787.volume
18.469 9.5508
-3.536 -0.5634
11.282 3.2152
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.035 5.252 12.87 6.303 7.536 3.965 3.198 7.787 8.889 6.280 4.560
[2,] 7.069 5.274 12.89 8.120 8.633 3.986 3.286 7.964 8.890 8.828 5.527
[3,] 7.175 5.314 13.28 9.286 9.343 4.267 3.389 8.080 9.003 8.881 5.619
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.132 5.412 8.352 9.489 7.030 6.954 6.983 12.56 9.37 16.31 6.046
[2,] 7.638 5.431 8.703 10.104 7.973 7.529 8.239 13.41 10.18 16.31 6.095
[3,] 8.288 5.752 8.996 10.576 8.696 7.941 8.414 13.93 10.90 16.61 6.132
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.69 9.677 3.333 7.894 7.442 6.451 6.605 3.166 6.664 7.622 3.582
[2,] 26.09 10.420 3.340 9.398 10.347 6.464 8.675 3.225 8.268 8.041 3.588
[3,] 26.14 12.560 3.340 12.820 11.810 6.589 9.748 3.263 9.831 8.625 3.595
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.646 7.298 7.614 6.838 7.599 6.156 2.268 6.782 2.103 5.757 5.845
[2,] 8.564 8.619 8.782 7.158 8.020 6.503 2.276 7.474 2.103 6.323 6.982
[3,] 10.511 9.317 9.264 7.474 8.192 6.628 2.297 7.623 2.112 6.517 7.546
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.002 3.023 6.157 8.221 7.959 3.996 8.881 7.816 3.380 7.947 6.443
[2,] 5.155 3.036 7.357 8.343 7.959 4.053 10.101 8.168 3.380 9.803 8.443
[3,] 5.410 3.040 7.878 8.610 8.311 4.076 10.827 8.824 3.381 10.930 9.088
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.781 4.042 6.394 2.170 6.508 2.905 5.957 5.581 7.904 8.112 3.713
[2,] 7.416 7.174 6.416 2.171 7.043 3.019 5.984 5.595 8.532 9.891 3.788
[3,] 8.507 8.793 6.417 2.190 8.423 3.320 6.377 5.655 8.660 9.939 3.846
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.491 5.523 7.533 3.093 6.870 7.606 8.504 8.123 8.670 7.349 6.646
[2,] 9.460 5.560 9.486 3.106 6.994 7.638 8.800 9.338 9.237 9.299 8.870
[3,] 9.746 5.963 10.221 3.151 6.997 7.685 8.942 9.479 9.563 9.586 9.561
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.111 6.823 4.557 7.404 3.727 4.426 2.971 7.889 5.648 10.33 10.57
[2,] 2.141 8.037 4.723 8.755 3.763 4.775 2.977 8.327 5.659 10.35 10.67
[3,] 2.199 9.428 5.079 9.443 3.782 4.871 3.015 8.653 5.701 10.47 11.06
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.107 3.281 4.522 4.248 5.491 3.979 6.682 10.24 19.63 10.01
[2,] 4.000 4.354 4.529 4.248 5.498 4.026 7.039 14.76 25.69 10.79
[3,] 4.313 4.387 4.554 4.271 5.798 4.034 7.525 18.22 26.48 13.04
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.933 6.669 16.35 8.004 9.57 5.034 4.06 9.888 11.29
[2,] 60.021 41.616 54.26 435.072 357.89 35.091 64.59 142.145 11.26
[3,] 104.387 55.854 273.08 382.969 303.74 129.531 70.35 116.149 121.34
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.975 5.791 7.787 6.872 10.61 12.05 8.928 8.831 8.868
[2,] 527.236 265.482 387.039 39.066 208.08 294.99 319.675 245.364 371.594
[3,] 82.854 86.071 273.397 161.181 193.70 265.69 295.177 214.577 145.550
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.94 11.9 20.71 7.677 17.38 12.29 4.233 10.02 9.45
[2,] 400.48 338.0 40.75 66.200 1887.40 328.53 18.519 433.55 610.99
[3,] 321.78 330.9 266.69 56.923 146.06 596.14 3.427 741.08 483.95
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.191 8.387 4.02 8.463 9.679 4.549 9.709 9.267 9.669
[2,] 35.377 478.065 52.17 415.869 217.784 17.347 327.971 389.729 371.922
[3,] 108.684 377.807 42.58 452.103 265.111 20.448 517.945 300.803 250.797
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.683 9.65 7.817 2.88 8.612 2.670 7.31 7.422 6.352
[2,] 180.145 218.04 178.271 15.78 267.002 3.565 222.40 324.550 105.897
[3,] 182.764 142.23 109.085 26.60 127.638 17.268 134.21 243.387 139.520
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.839 7.818 10.44 10.107 5.074 11.28 9.925 4.292 10.09
[2,] 23.954 342.320 121.02 9.163 57.930 409.12 201.712 3.459 487.92
[3,] 13.515 239.421 180.91 203.410 36.909 331.35 283.856 8.241 410.81
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.181 7.34 5.132 8.12 2.756 8.264 3.689 7.564 7.087
[2,] 463.799 394.90 503.756 45.22 3.268 228.967 69.766 49.358 33.723
[3,] 285.772 354.17 432.128 12.03 25.040 392.648 117.443 187.333 70.135
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 10.04 10.30 4.714 9.512 7.013 9.566 3.928 8.724 9.659
[2,] 273.19 480.96 63.972 491.017 54.415 489.948 24.030 111.545 59.898
[3,] 126.10 83.82 56.535 199.568 183.214 323.741 45.181 17.527 72.377
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.8 10.31 11.01 9.332 8.439 2.681 8.665 5.787 9.402
[2,] 192.6 391.51 270.82 484.327 499.301 30.453 360.985 105.619 397.118
[3,] 135.3 138.68 210.72 197.830 303.279 42.735 418.907 158.700 300.736
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.733 5.621 3.773 10.02 7.172 13.12 13.43 3.945 4.166
[2,] 44.586 152.323 16.615 226.66 30.982 58.49 123.81 214.091 243.245
[3,] 31.881 81.899 40.314 200.01 58.640 132.96 246.69 137.223 46.296
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.742 5.394 6.973 5.053 8.485 13.01 24.93 12.71
[2,] 21.606 6.178 23.780 52.099 188.095 903.46 1408.06 342.93
[3,] 40.524 38.252 156.399 21.612 226.353 908.18 544.51 621.62
[1] "--- VAR model 2017-10-03 11:01:00 completed"
[1] "Completed training sample: 2017-10-03 11:01:00 - 2017-10-03 19:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 11:31:00 - 2017-10-03 19:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6589 -1.9792 11.903 -4.192
1.0962 -0.4585 8.451 4.734
-0.6089 0.1087 2.974 -2.215
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.070 1.0077 1.944 1.733
-2.833 0.8865 1.436 1.391
3.007 0.4866 1.253 1.433
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.7811 6.3258 2.807 -13.51
1.6477 0.5394 3.188 -16.85
0.9453 1.2587 1.798 -16.97
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.012 -2.2434 -3.2420 -0.4510
4.282 1.6926 2.6267 -0.8385
2.847 -0.1189 0.7887 -1.6844
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.26462 -1.6069 6.129 5.191
-0.01155 -2.1503 3.217 8.573
0.63186 0.8864 2.317 3.577
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.6625 -0.004415 -4.682 4.557
-1.4035 -0.270528 17.240 -2.002
-0.2950 -0.153801 11.212 7.402
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.136620 6.265 6.5892 2.302
0.009295 -2.072 -0.4064 3.075
0.001593 7.906 2.3833 1.909
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.392 0.2998 -5.8630 0.8004
5.038 0.2925 1.8146 1.2541
-2.270 0.2811 0.1395 1.7965
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.60347 -3.322 11.190 14.068
-0.25565 1.962 -3.651 -1.582
-0.08321 4.844 3.320 2.966
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.99508 -1.8932 0.05863 -0.38658
0.04143 -0.4032 -0.03611 0.09868
-0.60809 1.7895 0.37473 -0.05432
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.5065 0.1811 1.3913 2.710
-0.6548 0.3214 4.1717 7.594
-0.2691 0.2457 -0.5753 4.663
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9828 0.1237 -0.9801 -1.99951
-0.6344 0.3692 -0.1501 0.81901
-0.6626 0.1927 6.0413 0.04581
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.089 0.2431 2.0342 7.802
2.080 -0.1123 0.5295 7.019
0.793 0.1873 -1.5624 7.193
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1865 -7.858 -9.2152 -4.883
0.1088 3.322 1.1771 -4.329
0.1858 -1.655 0.5584 2.752
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.1199 1.1998 -0.10009 11.253
-7.8629 0.4435 -0.14728 -5.134
0.4305 1.2060 -0.02762 -6.918
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.149 1.8682 -0.08599 4.5216
-1.444 -0.3715 -0.54887 4.2694
-1.313 -2.9124 -0.89410 -0.7033
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.253 1.1983 0.9741 0.5468
2.599 0.9487 3.5816 -1.9131
-1.756 0.7823 2.6865 -0.6181
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.013 0.6030 -1.5737 -1.4640
1.204 0.7891 1.2432 0.7687
2.966 0.5313 -0.4273 -1.1244
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.9823 -4.0681 6.882 -3.929
-1.2163 -1.8989 6.647 -2.012
-0.6713 0.2554 8.036 1.252
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.7087 0.2284 8.684 1.0023
-0.5355 0.4253 -4.050 0.5678
1.2454 0.2822 -2.942 0.3549
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.3944 -0.4562 -3.0083 -0.580892
0.5259 -0.3377 0.1970 -0.002493
-1.5711 -0.2625 0.1357 -0.085396
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.2488 -1.6537 1.3917 2.252
-0.2954 -0.6043 0.8117 2.943
1.2481 -0.1859 0.2905 4.230
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.2324 -0.4157 -0.2482 -0.3248
0.1450 -0.2735 -0.6848 -0.3109
-0.3799 -0.2380 -0.2344 -0.1388
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.6264 0.4047 19.41 248.1
-0.4364 1.7718 17.53 251.8
-2.4279 -0.2819 20.09 251.4
rnd_95776.volume rnd_95787.volume
6.470 2.800
-4.902 -1.091
1.786 7.363
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.091 5.297 13.05 6.314 7.614 3.985 3.240 7.770 8.902 6.224 4.521
[2,] 7.133 5.312 13.07 8.152 8.782 4.008 3.318 7.964 8.902 8.736 5.476
[3,] 7.232 5.354 13.46 9.384 9.484 4.290 3.434 8.068 9.024 8.782 5.572
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.081 5.61 8.304 9.842 7.057 6.880 7.101 13.30 9.423 16.28 6.092
[2,] 7.556 5.62 8.650 10.375 8.020 7.455 8.364 14.31 10.217 16.29 6.136
[3,] 8.192 6.01 8.936 10.742 8.643 7.885 8.532 14.89 10.915 16.58 6.164
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.81 9.756 3.336 7.730 7.511 6.539 6.622 3.323 6.696 7.599 3.517
[2,] 25.94 10.484 3.344 9.297 10.515 6.556 8.679 3.344 8.312 8.030 3.522
[3,] 26.01 12.577 3.344 12.745 11.935 6.674 9.839 3.356 10.021 8.607 3.535
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.687 7.348 7.646 6.605 7.527 6.308 2.301 6.873 2.114 5.704 5.942
[2,] 8.684 8.740 8.886 6.910 7.998 6.673 2.313 7.548 2.114 6.287 7.131
[3,] 10.632 9.411 9.441 7.211 8.167 6.827 2.340 7.709 2.126 6.496 7.766
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.961 3.076 6.136 8.359 8.067 4.114 9.023 7.953 3.386 7.960 6.535
[2,] 5.112 3.084 7.736 8.484 8.067 4.118 10.304 8.298 3.386 9.838 8.575
[3,] 5.371 3.090 8.130 8.726 8.415 4.118 11.068 9.006 3.386 10.953 9.232
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.042 4.094 6.349 2.169 6.433 2.897 5.977 5.547 7.890 8.182 3.738
[2,] 7.543 7.240 6.377 2.169 6.992 3.012 6.006 5.559 8.490 9.961 3.818
[3,] 8.646 8.780 6.378 2.188 8.410 3.303 6.489 5.623 8.633 10.005 3.889
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.457 5.633 7.608 3.121 6.931 7.446 8.504 8.143 8.680 7.314 6.619
[2,] 9.426 5.674 9.566 3.134 7.088 7.488 8.818 9.374 9.238 9.347 8.987
[3,] 9.694 6.082 10.330 3.180 7.089 7.544 8.938 9.524 9.674 9.658 9.626
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.135 6.839 4.718 7.823 3.707 4.458 2.992 7.913 5.555 10.64 10.55
[2,] 2.163 8.076 4.905 8.825 3.742 4.815 2.996 8.387 5.563 10.68 10.66
[3,] 2.230 9.541 5.225 9.699 3.765 4.916 3.029 8.722 5.610 10.81 11.09
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.089 3.193 4.544 4.264 5.552 4.047 6.689 12.56 19.97 10.12
[2,] 3.997 4.339 4.550 4.265 5.557 4.106 7.024 15.84 25.87 10.91
[3,] 4.329 4.373 4.576 4.289 5.866 4.119 7.511 19.10 26.82 13.15
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.004 6.726 16.57 8.018 9.668 5.06 4.115 9.867 11.30
[2,] 80.534 41.861 65.99 537.908 456.659 45.30 74.341 182.212 15.51
[3,] 124.957 70.150 338.75 484.788 373.496 159.60 92.456 135.091 154.49
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.903 5.741 7.722 7.124 10.54 12.5 8.962 8.737 9.017
[2,] 639.497 322.291 467.730 33.812 252.62 342.3 397.448 299.441 461.118
[3,] 93.753 107.602 330.249 222.395 234.35 290.6 336.294 268.101 175.701
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.89 11.97 20.68 7.736 17.54 12.39 4.236 9.816 9.537
[2,] 551.83 411.94 55.91 76.422 2290.50 400.51 23.906 538.858 767.604
[3,] 428.27 400.77 322.01 62.200 196.57 724.78 5.256 909.384 588.915
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.303 8.409 4.219 8.503 9.649 4.467 9.762 9.331 9.709
[2,] 49.531 585.238 39.489 513.662 270.937 18.373 421.379 493.628 472.254
[3,] 130.864 483.531 29.865 583.828 323.176 31.572 639.956 364.143 332.964
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.387 9.558 8.011 2.921 8.728 2.684 7.244 7.545 6.299
[2,] 211.873 282.208 226.899 25.171 325.416 4.860 275.814 411.319 129.066
[3,] 215.133 172.594 150.839 36.774 163.638 23.154 170.385 320.942 171.743
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.906 7.792 10.62 10.24 5.224 11.46 10.1 4.299 10.11 8.299
[2,] 22.723 491.382 151.13 11.29 17.893 519.18 247.0 4.854 603.12 579.047
[3,] 21.313 260.963 213.39 249.74 6.045 421.42 365.3 3.587 502.27 356.888
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 7.672 5.198 8.063 2.754 8.169 3.679 7.59 7.044 10.02
[2,] 471.067 622.915 62.102 4.105 285.776 85.933 62.11 37.890 327.01
[3,] 440.861 518.062 11.622 30.026 487.476 141.426 256.32 88.969 163.51
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 10.39 4.747 9.47 7.154 9.661 3.963 8.801 9.455 10.8
[2,] 592.62 80.856 601.36 70.594 604.918 29.849 154.881 83.215 243.2
[3,] 98.11 77.516 236.54 228.659 406.745 56.402 12.566 96.412 152.4
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.34 11.02 9.288 8.405 2.711 8.685 5.991 9.934 4.707
[2,] 484.51 329.92 607.080 634.102 36.251 448.074 139.932 426.023 53.398
[3,] 175.48 299.64 253.744 359.974 56.489 529.841 188.031 419.965 43.898
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 5.661 3.80 10.05 7.054 13.51 13.39 3.923 4.054 5.77
[2,] 189.798 15.22 289.98 31.734 94.05 161.01 264.630 306.406 25.63
[3,] 103.257 46.63 250.18 75.884 174.01 318.35 173.363 57.215 50.83
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.415 7.05 5.139 8.494 15.95 25.36 12.86
[2,] 7.131 26.72 72.292 223.769 1007.78 1714.45 425.42
[3,] 47.299 196.10 34.538 277.398 1112.79 739.11 765.55
[1] "--- VAR model 2017-10-03 11:31:00 completed"
[1] "Completed training sample: 2017-10-03 11:31:00 - 2017-10-03 19:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 12:01:00 - 2017-10-03 20:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.058 0.27835 1.4938 12.94707
-2.151 0.53120 -0.3803 -0.07533
-0.649 -0.08837 -0.8738 -4.42087
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.105 -0.21808 0.6334 4.319
6.501 0.39811 0.9210 2.503
-1.157 0.08107 1.0038 3.587
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.3118 11.559 4.1339 -2.117
1.5800 -1.059 0.4318 -7.340
1.8442 3.149 1.5590 -6.086
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3803 1.3841 2.463 -2.570
1.6128 4.5708 5.498 -2.629
2.2460 0.4637 0.183 -2.253
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.817 -4.838 -2.986 1.5488
2.104 1.237 2.116 -0.6928
1.420 2.081 2.047 0.2683
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.05348 -1.2434 -11.430 -3.343
-0.81560 -0.7754 2.368 -1.855
-0.05242 -0.3753 -1.958 1.785
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1617 -1.202 4.7680 -0.54830
-0.1037 -5.553 -4.9980 0.12922
-0.1407 2.753 -0.2188 -0.09595
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
13.5005 0.4193 7.214 -2.900
-0.7429 0.1417 2.414 -1.971
-4.5317 -0.3534 -4.479 -1.748
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.5268 -5.946 -5.2162 -5.348
0.4257 11.584 6.6179 -1.733
0.1586 -4.238 -0.3549 3.782
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.514 2.2424 -4.291 -0.45906
-2.439 -4.4621 -2.441 -0.26265
-1.333 -0.2713 -2.350 -0.08535
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.5533 -0.1671 -6.033 -9.855
1.6455 -0.1755 -2.726 -12.060
0.6563 -0.2840 1.925 -7.903
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.1006 -0.27062 -5.344 -1.7356
-0.1607 -0.11017 -6.856 0.4485
-0.7213 -0.02977 -8.833 0.1322
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.255 -0.2596 -4.786 7.960
2.776 0.2570 1.070 5.084
1.592 -0.1679 -3.676 5.079
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.126343 0.2302 0.4020 -12.0771
-0.004792 -2.1160 -3.6578 -1.1012
-0.041964 -1.8502 0.7307 0.0542
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.806 -0.9682 0.2513072 2.3992
-1.786 -0.1131 0.1150720 0.4497
-3.535 -0.6509 -0.0003281 -4.8904
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.876 -0.8312 0.6155 1.931
-1.199 2.1734 1.1722 -1.637
-1.073 -4.4891 1.5323 0.522
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.9648 -0.4746 -3.0458 0.2160
-0.2227 -0.5921 -0.3375 1.9467
1.2535 -0.3694 -1.4727 0.9474
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.670 0.2395 -0.4231 -1.628
1.723 0.7651 -3.2114 -1.921
-2.129 0.2372 -0.6926 -0.392
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.2131 -0.1919 7.912 -2.659
0.7997 -0.9142 6.976 -2.931
0.4359 -2.6413 8.066 -3.141
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.253 0.2471 -5.058 -2.112
2.091 0.3768 -1.131 -2.732
1.284 0.1166 -1.721 -2.516
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.7893 -0.4960 0.2141 0.12728
-0.9981 -0.4309 -0.9477 0.66829
0.9743 -0.3603 0.1925 0.02129
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.374 0.4796 0.28611 5.3828
-5.926 0.5599 0.92670 2.8927
-4.030 -0.0287 0.09678 0.8537
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6461 -1.1416 -0.2033 0.0004037
-0.5849 0.2246 0.1430 -0.0697490
0.2898 -0.1561 -0.1487 -0.1462666
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2038 -1.541 18.02 229.2
1.3062 1.236 17.92 224.5
-2.4677 1.523 17.79 225.8
rnd_95776.volume rnd_95787.volume
3.390 -2.405
-10.281 -2.518
-7.195 1.412
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.991 5.302 12.93 6.361 7.584 3.968 3.247 7.906 8.872 6.107 4.482
[2,] 7.028 5.314 12.96 8.154 8.731 3.994 3.322 8.084 8.872 8.753 5.485
[3,] 7.137 5.360 13.27 9.278 9.388 4.278 3.448 8.189 8.982 8.802 5.576
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.123 5.632 8.214 9.858 7.312 7.113 7.125 13.18 9.549 16.13 6.146
[2,] 7.551 5.639 8.568 10.376 8.344 7.711 8.468 14.22 10.310 16.15 6.187
[3,] 8.182 6.040 8.861 10.767 8.917 8.136 8.648 14.83 10.999 16.41 6.216
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.91 9.712 3.311 7.664 7.543 6.582 6.610 3.194 6.665 7.589 3.578
[2,] 25.85 10.439 3.317 9.310 10.490 6.596 8.596 3.253 8.316 7.959 3.582
[3,] 25.96 12.657 3.317 12.793 11.896 6.718 9.709 3.295 9.936 8.559 3.596
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.673 7.296 7.592 6.544 7.519 6.343 2.260 6.839 2.042 5.606 6.020
[2,] 8.673 8.669 8.804 6.851 7.955 6.716 2.271 7.526 2.043 6.166 7.143
[3,] 10.554 9.291 9.332 7.175 8.140 6.887 2.301 7.689 2.051 6.369 7.799
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.001 3.079 6.085 8.247 7.984 4.120 9.08 7.957 3.348 7.911 6.569
[2,] 5.153 3.087 7.769 8.365 7.985 4.123 10.38 8.326 3.348 9.840 8.554
[3,] 5.398 3.099 8.152 8.625 8.366 4.125 11.10 8.998 3.348 10.944 9.218
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.059 4.078 6.319 2.141 6.416 2.860 5.986 5.500 7.885 8.145 3.716
[2,] 7.594 7.252 6.358 2.142 7.001 2.966 6.020 5.514 8.510 9.875 3.793
[3,] 8.702 8.733 6.359 2.153 8.404 3.258 6.480 5.588 8.657 9.929 3.867
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.370 5.716 7.671 3.088 6.820 7.361 8.582 8.117 8.785 7.243 6.569
[2,] 9.366 5.754 9.527 3.095 6.983 7.401 8.878 9.298 9.332 9.319 9.030
[3,] 9.649 6.095 10.282 3.142 6.984 7.462 8.980 9.450 9.767 9.623 9.612
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.136 6.819 4.710 7.782 3.627 4.502 2.962 7.947 5.558 10.77 10.50
[2,] 2.168 8.065 4.907 8.770 3.666 4.853 2.966 8.415 5.566 10.83 10.62
[3,] 2.226 9.514 5.217 9.713 3.695 4.953 2.993 8.772 5.614 10.98 11.07
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.991 3.133 4.532 4.257 5.583 4.007 6.789 14.09 20.11 10.18
[2,] 4.018 4.324 4.539 4.257 5.588 4.061 7.226 17.02 25.73 10.97
[3,] 4.298 4.360 4.567 4.284 5.900 4.084 7.869 20.23 26.73 13.30
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.878 6.733 16.41 8.077 9.63 5.039 4.123 10.04 11.27
[2,] 86.174 43.438 118.07 610.324 517.53 54.322 84.530 202.22 10.27
[3,] 148.698 83.333 338.35 529.624 412.78 183.393 110.331 156.19 168.10
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.755 5.691 7.775 7.151 10.43 12.52 9.285 9.033 9.047
[2,] 750.077 378.217 528.608 34.336 291.71 387.49 480.936 356.181 547.415
[3,] 111.093 120.464 376.957 259.008 270.25 344.02 376.135 310.490 210.056
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.73 12.13 20.48 7.804 17.67 12.33 4.204 9.732 9.579
[2,] 639.16 465.18 90.90 85.062 2606.63 458.16 23.230 632.265 872.090
[3,] 504.36 458.43 354.03 72.797 277.26 856.02 8.575 1049.547 670.981
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.358 8.394 4.056 8.464 9.637 4.544 9.743 9.265 9.641
[2,] 50.464 657.315 74.183 594.948 286.742 20.415 483.711 559.974 533.214
[3,] 152.900 540.116 62.303 650.332 376.655 37.765 719.502 400.032 370.112
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.31 9.548 8.055 2.869 8.684 2.594 7.119 7.645 6.35
[2,] 242.62 310.713 263.959 26.757 375.778 4.979 307.020 459.888 149.04
[3,] 255.02 206.290 182.892 44.734 189.066 21.995 191.083 374.593 192.30
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.91 7.728 10.47 10.14 5.231 11.53 10.1 4.251 10.05 8.342
[2,] 27.16 577.794 167.55 15.10 20.686 601.31 293.3 3.387 700.01 655.341
[3,] 31.65 295.298 251.90 298.74 13.208 471.08 408.4 3.827 573.02 411.105
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 7.694 5.179 8.024 2.719 8.147 3.632 7.602 6.985 10.01
[2,] 547.533 717.346 84.505 3.191 335.300 93.776 75.862 46.593 382.93
[3,] 508.374 582.024 15.031 26.643 556.191 161.539 286.922 108.787 190.66
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 10.34 4.719 9.359 7.258 9.741 3.922 8.66 9.348 10.9
[2,] 667.87 90.884 691.416 79.339 675.762 25.186 179.92 91.101 271.7
[3,] 124.68 90.528 277.838 240.777 462.774 64.442 12.41 114.442 161.8
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.31 11.16 9.197 8.341 2.712 8.659 5.981 9.882 4.605
[2,] 542.61 376.67 701.553 741.153 44.417 515.287 164.700 483.770 64.193
[3,] 201.95 344.63 287.155 394.036 60.634 603.665 211.865 499.446 55.417
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 5.717 3.761 10.09 7.057 13.68 13.33 3.798 3.978 5.754
[2,] 216.909 19.659 331.02 35.816 134.04 194.03 320.945 356.571 32.154
[3,] 118.415 47.562 296.43 88.363 219.50 373.47 182.729 66.687 59.684
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.406 7.09 5.089 8.622 17.9 25.54 12.93
[2,] 6.312 28.46 79.077 296.121 1142.2 1920.41 488.87
[3,] 56.852 226.44 52.024 372.469 1306.4 867.14 900.52
[1] "--- VAR model 2017-10-03 12:01:00 completed"
[1] "Completed training sample: 2017-10-03 12:01:00 - 2017-10-03 20:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 12:31:00 - 2017-10-03 20:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.022 -0.8859 0.5934 -9.414
1.889 0.6469 0.8967 -4.161
1.117 1.3542 0.6579 1.204
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.168 1.756 1.405 -1.013
-7.231 2.490 1.160 -1.332
-4.980 1.180 1.053 -1.018
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1766 -4.191 -2.8115 -15.87
-2.4179 0.104 -0.1286 -13.91
-1.8706 -2.478 -1.5933 -17.04
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.4078 -2.0351 -3.015 -4.697
-0.9768 -1.4913 -4.320 -5.337
0.1983 -0.2642 -1.402 -5.204
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.197 2.065 0.181 6.776
-3.360 -2.480 -1.683 9.268
-2.592 -2.408 -1.995 4.900
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.5224 -0.02792 3.9009 -1.9338
0.2623 -0.04388 -0.3342 -0.9523
0.1353 -0.02825 1.6653 -1.3207
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.4086 -4.1374 -8.328 0.6097
0.2590 0.5334 1.496 1.2903
0.1883 -1.4248 -0.347 1.3390
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.588 0.3510 -7.749 5.487
-4.260 0.1675 -6.248 3.744
1.107 0.2810 0.791 3.124
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4219 -11.243 -9.180 -6.928
-0.2004 -9.614 -6.981 -8.035
-0.1102 -1.801 -5.099 -6.539
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6140 -1.346 2.588 0.26104
-0.4385 -4.067 2.189 0.02502
-0.2841 -2.206 2.233 0.03625
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.0207 -0.083984 -1.105 -4.120
-0.6703 -0.123900 -4.003 -7.265
-0.2608 -0.005265 -3.030 -8.893
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.677 -0.27846 -5.135 2.6570
1.183 -0.25798 -4.112 -0.8500
1.208 -0.06881 -5.991 0.2703
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.0988 0.54319 -0.4412 10.073
0.7251 -0.26052 -3.8714 10.098
0.3587 0.04871 0.4079 7.898
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05117 -2.78078 -1.909 0.3869
-0.23988 -1.59448 -0.295 -1.5420
-0.25476 -0.01381 -2.688 -1.7133
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.8972 0.7680 -0.10062 -6.971
-1.8325 -0.1762 -0.05501 4.709
-0.1451 0.4803 -0.01096 -1.508
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9538 -2.974 -0.15619 -4.0767
-0.8291 2.094 -0.04728 -3.2436
-0.8825 -1.054 -0.40210 0.1096
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.2672 0.9066 -7.025 2.903
-4.3403 0.5793 -4.274 3.463
0.7536 0.2622 -1.906 2.127
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.201 -0.2300 2.4067 0.9539
-6.635 -0.1795 0.1193 1.6666
-5.391 -0.2013 0.3180 0.8988
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.1945 -0.1649 1.481 2.184
0.2340 2.2376 1.127 1.556
0.3314 0.4272 0.453 2.952
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.408 0.3498 6.051 -0.07991
1.108 0.4601 1.006 0.38173
2.197 0.5064 1.713 -0.02177
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.5630 -0.3425 -0.5356 0.017974
0.6382 -0.4624 -0.1292 -0.128967
0.4828 -0.3471 -0.7868 -0.009319
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.452 -0.6873 -2.796 11.39
-2.497 0.7029 -2.854 15.35
-2.300 0.7127 -0.941 13.57
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.08486 -1.4948 0.2373 -0.1271
-0.63663 0.1188 -0.3566 -0.2877
0.07323 -0.3344 -0.3140 -0.2039
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.7058 0.2845 17.08 207.2
1.4117 -0.8179 15.54 207.0
-0.1556 -0.4108 15.81 206.9
rnd_95776.volume rnd_95787.volume
-15.4104 -1.5261
-0.9094 -0.6707
-6.7594 -0.9746
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.932 5.341 13.15 6.306 7.575 3.977 3.236 7.888 8.756 6.022 4.523
[2,] 6.968 5.353 13.18 8.164 8.663 4.001 3.328 8.049 8.756 8.685 5.511
[3,] 7.087 5.389 13.47 9.378 9.305 4.276 3.449 8.158 8.875 8.727 5.601
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.041 5.636 8.226 8.830 7.245 6.905 7.024 13.21 9.573 16.07 6.193
[2,] 7.481 5.639 8.583 9.181 8.220 7.808 8.286 14.20 10.287 16.09 6.237
[3,] 8.117 6.055 8.875 9.874 8.753 8.088 8.549 14.89 10.972 16.36 6.266
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.48 9.605 3.334 7.610 7.323 6.568 6.555 3.332 6.661 7.610 3.587
[2,] 25.81 10.405 3.340 9.448 10.413 6.580 8.597 3.354 8.255 7.957 3.594
[3,] 25.93 12.599 3.341 12.668 11.926 6.684 9.804 3.364 9.940 8.625 3.609
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.455 7.261 7.553 6.465 8.141 6.204 2.195 6.832 2.012 5.564 5.904
[2,] 8.442 8.569 8.657 6.768 8.780 6.599 2.200 7.529 2.012 6.117 7.103
[3,] 10.383 9.189 9.128 7.111 9.205 6.757 2.221 7.700 2.019 6.319 7.713
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.908 3.042 6.024 8.207 7.909 4.205 9.132 8.054 3.326 7.115 6.548
[2,] 5.043 3.055 7.662 8.323 7.911 4.210 10.348 8.388 3.326 9.298 8.579
[3,] 5.302 3.066 8.060 8.535 8.292 4.212 11.070 9.057 3.326 10.358 9.210
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.900 4.060 6.279 2.110 6.366 2.804 6.036 5.457 7.854 8.098 3.650
[2,] 7.191 7.184 6.307 2.110 6.933 2.908 6.067 5.468 8.494 9.837 3.731
[3,] 8.349 8.681 6.309 2.121 8.349 3.214 6.545 5.557 8.633 9.885 3.801
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.336 5.736 7.685 3.042 6.713 7.359 8.473 8.008 8.976 7.184 6.592
[2,] 9.195 5.792 9.518 3.052 6.869 7.395 8.802 9.214 9.699 9.230 9.083
[3,] 9.482 6.136 10.307 3.094 6.870 7.460 8.906 9.360 10.254 9.533 9.696
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.122 6.744 4.698 7.791 3.601 4.496 2.889 7.627 5.631 10.86 10.57
[2,] 2.154 7.986 4.895 8.822 3.635 4.855 2.893 8.405 5.638 10.92 10.70
[3,] 2.209 9.449 5.204 9.826 3.669 4.949 2.919 8.759 5.684 11.05 11.15
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.922 3.058 4.527 4.256 5.551 4.018 6.628 15.58 20.00 10.11
[2,] 3.917 4.338 4.535 4.256 5.556 4.061 7.019 18.48 25.36 10.93
[3,] 4.277 4.376 4.567 4.287 5.844 4.076 7.640 21.35 26.35 13.21
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.803 6.782 16.69 8.007 9.619 5.05 4.109 10.02 11.12
[2,] 86.096 42.989 109.13 625.962 507.690 53.52 93.938 193.84 11.46
[3,] 156.296 76.030 335.18 557.333 409.889 182.10 109.669 160.56 174.69
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.647 5.743 7.671 7.156 10.45 11.21 9.2 8.768 8.92
[2,] 755.477 380.295 532.803 23.891 295.56 303.81 468.8 440.031 530.68
[3,] 104.068 120.302 380.296 266.192 272.60 438.77 363.5 255.141 254.03
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.77 12.16 20.40 7.865 18.39 12.2 4.233 9.663 9.299
[2,] 630.81 454.92 98.88 89.475 2579.17 483.2 25.132 676.057 893.710
[3,] 538.30 460.76 360.78 72.233 301.90 857.8 7.246 1018.856 702.112
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.34 8.324 4.231 8.458 9.664 4.555 9.467 9.22 9.591
[2,] 49.60 671.551 46.645 588.662 280.701 26.741 478.275 549.49 510.741
[3,] 141.61 569.007 31.081 668.557 401.637 40.629 729.650 400.46 349.572
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.21 10.34 7.878 2.787 8.676 2.555 7.066 7.497 6.233
[2,] 241.84 396.89 271.438 18.339 382.016 4.043 306.826 476.760 139.800
[3,] 263.45 333.95 175.404 36.372 194.904 20.549 191.547 363.119 197.454
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.863 7.649 10.42 10.04 5.339 11.6 10.23 4.223 9.035
[2,] 33.743 571.611 167.49 19.75 25.685 587.7 283.35 3.864 722.609
[3,] 31.684 302.048 228.71 300.21 16.585 474.8 412.49 8.066 551.235
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.315 7.492 5.155 7.973 2.679 8.084 3.561 7.665 6.93
[2,] 669.152 496.257 715.550 72.838 4.401 331.422 93.067 74.195 41.14
[3,] 404.563 512.279 588.305 17.631 25.777 561.623 165.234 296.212 119.66
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.973 10.28 4.635 9.316 7.284 9.759 3.863 8.524 9.345
[2,] 390.620 674.21 93.329 669.102 97.060 677.874 29.565 175.719 88.346
[3,] 186.617 118.05 87.680 279.662 244.591 477.664 61.576 16.702 118.784
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.76 10.17 11.4 9.122 8.37 2.694 8.564 5.966 9.893
[2,] 288.08 550.16 443.7 699.716 754.46 44.846 516.354 165.789 499.614
[3,] 163.95 199.43 401.7 288.065 409.69 58.972 609.877 213.339 522.691
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.573 5.709 3.669 9.684 7.151 13.79 13.42 3.711 3.883
[2,] 59.894 221.151 17.097 426.411 34.738 137.86 198.41 314.836 371.505
[3,] 59.920 115.974 47.145 297.677 87.225 205.28 379.82 207.525 69.411
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.749 5.404 7.049 5.102 8.417 19.78 25.39 12.83
[2,] 32.546 6.807 26.916 71.503 278.706 1200.84 1882.80 501.28
[3,] 64.480 61.849 218.902 41.721 364.511 1291.10 862.27 897.12
[1] "--- VAR model 2017-10-03 12:31:00 completed"
[1] "Completed training sample: 2017-10-03 12:31:00 - 2017-10-03 20:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 13:01:00 - 2017-10-03 21:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.4683 -1.1378 -0.6376 0.4075
-0.8655 -0.7212 -1.3526 -8.9904
-1.1452 -1.0607 -0.3493 -1.2483
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.951 0.1153 0.3160 1.5574
-1.504 -0.3775 0.4394 2.5655
-7.141 -0.1204 0.3205 0.7184
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.135 -2.856 3.189 -11.77
1.315 1.224 1.081 -15.31
1.253 4.231 1.661 -12.40
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.500 7.4797 6.7168 -0.70485
2.277 -0.6154 -0.2486 -2.45856
2.316 0.1556 -0.7261 0.09943
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.191 -7.322 -4.448 0.2939
2.408 1.608 -2.690 -0.5603
-1.463 2.314 -1.105 0.1430
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.5237 0.3714 -0.365 -8.1537
-0.3283 0.3833 -4.247 -0.7923
-0.1551 0.1124 -2.077 -3.1187
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.01933 -13.1814 -9.7489 2.987
-0.13071 0.5134 -5.2057 2.862
-0.06387 -2.0359 0.7895 1.384
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.2422 -0.10376 3.618 -2.914
-10.0378 -0.22342 -8.444 -3.125
-0.6096 0.07794 -3.840 -3.382
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.0358 -1.114 -1.763 -4.7612
-0.3501 -5.464 -1.450 -0.2911
-0.2868 -7.069 -7.214 -4.6656
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.980 5.5924 4.122 0.41446
5.904 5.5338 4.202 -0.15863
6.425 -0.1306 3.820 0.05941
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.4851 0.4060 -5.75426 -11.217
-0.7621 0.3120 -0.05913 -6.922
-0.2946 0.1435 -0.91351 -5.738
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.860 0.19824 -5.119 -1.87662
1.798 0.19787 -6.745 0.79284
1.500 0.02781 -3.381 0.05229
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.6593 -0.02728 -5.285 -0.2180
-0.5387 0.08717 5.374 0.3615
-0.1201 -0.01892 -5.419 1.1469
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.08731 -11.997 -6.806 -2.873
0.19240 3.207 -3.896 -8.490
0.15574 -1.065 4.002 4.031
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.222 0.71939 -0.03767 -2.010
-6.901 0.08522 -0.16188 -5.434
-4.403 0.16252 -0.05207 -5.402
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6170 1.136 1.1184 6.118
-0.9735 -1.840 0.2017 2.233
-1.0032 -1.760 0.1819 0.389
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.405 0.9943 9.798 -1.95238
2.596 0.6549 5.128 -0.02038
-1.063 0.3836 1.938 -0.45517
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.957 0.8960 -0.3528 -0.2772
5.164 0.5562 -1.7013 -0.7086
3.711 0.3564 -1.0508 -1.1058
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.1334 -2.4790 5.119 -4.423
0.3670 -0.8254 4.692 -1.181
0.5582 -1.6264 3.477 -1.373
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.3637 0.2660 2.776 -0.9860
0.1611 0.2414 -3.616 -1.5906
0.7754 0.2798 -1.062 -0.7549
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.612 -0.3945 -2.613 0.3667
-1.045 -0.3475 -1.720 0.4951
0.230 -0.1822 1.263 0.1431
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.081 -0.8462 2.5536 4.5453
3.943 -0.7825 -0.4114 -0.0762
2.967 -0.7743 0.2107 4.5847
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9845 -2.2864 0.05924 -0.04276
-1.6797 0.4916 -0.18525 -0.16145
0.5700 -0.3397 -0.21696 -0.23182
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.493 -0.3289 17.53 216.1
-1.511 0.2287 16.83 214.0
-1.505 0.2659 16.98 213.1
rnd_95776.volume rnd_95787.volume
19.559 -10.2614
-12.166 0.4907
-5.318 -3.2406
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.817 5.340 13.05 6.086 7.421 3.958 3.185 7.803 8.777 5.977 4.470
[2,] 6.863 5.351 13.11 7.918 8.475 3.984 3.278 7.965 8.779 8.701 5.441
[3,] 7.005 5.392 13.41 9.101 9.062 4.255 3.394 8.069 8.847 8.743 5.542
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.020 5.577 7.480 8.386 6.098 6.870 6.863 13.14 9.52 15.98 6.244
[2,] 7.418 5.580 7.817 8.706 6.432 7.717 8.096 14.10 10.25 16.02 6.294
[3,] 8.056 5.990 8.141 9.447 6.732 8.026 8.336 14.72 10.87 16.29 6.327
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.44 9.629 3.299 7.543 7.226 6.535 6.405 3.277 6.527 7.569 3.511
[2,] 25.60 10.395 3.302 9.324 10.272 6.548 8.365 3.299 8.143 7.915 3.518
[3,] 25.76 12.632 3.303 12.620 11.800 6.668 9.512 3.310 9.830 8.592 3.538
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.348 7.145 7.474 6.368 7.408 6.137 2.153 6.739 1.957 5.483 5.852
[2,] 8.364 8.378 8.592 6.649 7.912 6.536 2.159 7.474 1.958 6.023 6.972
[3,] 10.355 8.969 9.064 7.036 8.068 6.751 2.180 7.634 1.969 6.332 7.558
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.932 2.903 6.053 8.086 7.841 4.221 8.964 8.030 3.280 7.737 6.514
[2,] 5.078 2.917 7.612 8.183 7.841 4.225 10.127 8.369 3.281 9.736 8.423
[3,] 5.324 2.931 8.007 8.368 8.262 4.226 10.868 9.050 3.283 10.634 9.048
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.949 4.047 6.123 2.079 6.263 2.779 6.042 5.368 7.805 8.035 3.628
[2,] 7.449 7.217 6.151 2.079 6.829 2.877 6.070 5.379 8.450 9.723 3.712
[3,] 8.575 8.642 6.154 2.093 8.208 3.183 6.548 5.492 8.580 9.757 3.776
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.386 5.537 7.597 3.013 6.645 7.313 8.503 7.937 8.901 7.224 6.503
[2,] 9.372 5.578 9.411 3.022 6.817 7.349 8.813 9.073 9.569 9.265 8.820
[3,] 9.656 5.953 10.205 3.072 6.822 7.428 8.921 9.260 10.171 9.505 9.427
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.100 6.704 4.583 7.660 3.568 4.450 2.827 7.909 5.648 11.11 10.57
[2,] 2.131 7.967 4.762 8.688 3.599 4.760 2.829 8.425 5.653 11.14 10.68
[3,] 2.183 9.339 5.087 9.589 3.627 4.907 2.859 8.815 5.698 11.26 11.12
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.836 3.000 4.512 4.243 5.486 3.938 6.565 16.08 19.69 10.17
[2,] 3.863 4.327 4.519 4.244 5.488 3.979 6.962 18.95 25.27 10.96
[3,] 4.245 4.367 4.554 4.273 5.777 3.992 7.582 21.77 26.25 13.31
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.657 6.781 16.57 7.728 9.423 5.026 4.045 9.908 11.15
[2,] 95.186 42.522 155.68 609.436 492.677 55.069 93.262 192.497 22.39
[3,] 169.130 80.002 337.68 540.060 386.062 179.819 106.150 155.832 132.02
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.59 5.676 7.645 7.082 9.498 10.65 7.744 8.724 8.715
[2,] 760.79 373.414 521.593 25.195 273.187 281.32 245.939 423.154 516.761
[3,] 104.39 126.642 377.894 261.838 273.689 441.29 239.316 265.338 239.284
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.69 12.09 20.29 7.929 18.34 12.23 4.189 9.578 9.176
[2,] 614.49 458.69 142.19 95.922 2543.79 471.37 18.919 659.652 878.513
[3,] 509.82 435.73 357.69 77.761 348.57 863.71 7.556 1023.253 698.919
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.299 8.134 4.161 8.288 9.612 4.459 9.331 9.073 9.491
[2,] 49.495 647.316 46.298 585.966 278.446 25.338 480.855 526.452 509.954
[3,] 151.558 545.066 31.668 662.559 402.210 45.313 734.642 385.585 347.562
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.086 9.407 7.793 2.734 8.558 2.485 6.963 7.432 6.263
[2,] 230.136 334.305 270.603 19.921 388.902 5.678 299.870 455.941 145.500
[3,] 276.955 190.230 203.642 36.102 187.157 25.485 235.476 351.202 192.691
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.687 7.686 10.27 9.957 5.36 11.38 10.2 4.166 9.825
[2,] 33.961 555.315 150.90 8.277 21.42 566.95 284.1 7.429 711.142
[3,] 34.610 299.067 210.91 313.540 14.70 474.86 414.4 15.241 514.680
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.271 7.554 5.14 7.776 2.640 7.952 3.529 7.673 6.816
[2,] 642.622 539.380 719.04 69.647 3.871 327.818 89.576 69.709 42.533
[3,] 397.736 511.179 571.89 26.228 29.085 547.909 163.850 295.527 133.451
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.911 10.20 4.607 9.379 7.031 9.646 3.826 8.438 9.286
[2,] 389.776 658.98 94.367 694.307 81.672 668.488 28.292 183.375 87.745
[3,] 179.359 97.41 83.510 279.530 250.315 475.012 66.274 30.752 130.322
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.8 10.08 11.3 9.173 8.258 2.667 8.513 5.82 9.727
[2,] 278.5 529.11 422.5 698.158 716.874 43.773 518.103 155.77 493.206
[3,] 166.7 223.11 415.1 255.252 400.679 56.968 586.428 215.05 488.404
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.531 5.651 3.59 10.04 7.172 14.11 13.42 3.601 3.81
[2,] 56.880 203.239 14.35 349.61 30.463 94.77 182.32 315.731 375.12
[3,] 53.859 143.526 49.82 311.81 85.911 195.57 374.35 211.618 70.91
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.729 5.388 6.966 5.00 8.337 20.42 25.0 12.91
[2,] 31.957 9.313 20.782 68.84 278.937 1207.06 1906.6 490.54
[3,] 67.279 60.579 217.005 38.76 361.456 1290.52 852.7 910.34
[1] "--- VAR model 2017-10-03 13:01:00 completed"
[1] "Completed training sample: 2017-10-03 13:01:00 - 2017-10-03 21:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 13:31:00 - 2017-10-03 21:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.4189 0.6304 -1.449 -12.825
-0.5763 0.6709 -1.486 4.464
-0.2221 0.7120 -3.227 -8.203
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.3317 -0.1088 0.3690 -0.02771
-8.9997 1.6800 0.2341 -0.37573
0.8546 0.5918 0.1369 -0.40363
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.01745 -2.7846 -1.3207 -16.62
-0.05208 0.3499 0.4693 -13.50
-1.00912 -0.7622 -0.2908 -13.37
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7732 -1.2241 -1.157 -2.928
0.2431 -1.2160 -3.285 -1.230
-0.3574 0.1976 -1.245 -2.477
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.7417 -4.821 -2.6984 5.016
-2.1463 1.389 0.9757 7.472
-0.3097 -1.966 -1.7431 6.299
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.1398 0.8477 -29.339 6.608
-2.2024 0.4939 -1.591 -14.341
-0.7947 0.1473 -5.453 1.310
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.069727 7.4310 -1.618 0.74966
0.003624 -14.0783 -1.462 0.06622
0.001424 -0.7891 -8.862 -0.28577
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.334 0.6818 -11.3279 -10.281
5.327 0.6853 -0.3758 -9.518
-9.676 0.7859 -2.8312 -8.382
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2509 -7.567 -4.74624 -7.580
0.3299 -9.299 -9.79132 -7.569
0.1325 3.390 -0.07952 -3.852
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.999 1.2263 3.014 0.74400
3.302 0.5684 3.594 -0.02091
1.996 0.2539 1.754 0.11270
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.674 -0.03759 -1.731 -4.148
1.293 -0.11691 -2.475 -9.329
0.515 -0.10421 -3.682 -8.941
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.672 0.080104 -4.6975 0.118
4.478 0.090045 -0.7444 2.878
4.096 0.008435 -4.9249 1.652
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.448 0.032161 -2.608 5.886
3.325 -0.109819 5.758 6.771
1.428 -0.006121 -4.113 6.725
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.009457 6.8147 9.103 6.905
0.070020 4.5782 -1.648 2.880
0.031447 0.1268 4.267 4.717
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.761 -0.03774 0.08550 4.502
9.407 -0.32937 -0.04726 3.956
-1.622 -0.03445 -0.05387 8.165
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.08382 0.2744 0.4345 0.9484
0.32562 2.0790 0.8235 1.2794
0.29513 3.9335 0.4113 2.1019
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.775 0.7315 -0.7744 -2.127
1.789 0.5152 1.3431 -1.599
2.603 0.3252 1.5528 -1.280
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.5590 0.1748 -1.469 -0.60799
0.4758 -0.4439 -1.123 -0.49722
0.5111 -0.1583 -1.752 -0.08376
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.8307 -4.100 6.656 -1.4758
-1.2186 -2.473 5.743 -0.6332
-0.9237 -1.918 5.829 -0.7485
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.4174 -0.01348 1.9631 -1.9267
-0.7692 -0.18117 -1.2387 -0.9935
0.3807 -0.03661 -0.1745 -0.6583
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.5992 0.8130 2.9885 0.05626
-0.2908 0.4838 -0.2819 -0.12054
-0.3069 0.3177 1.6132 -0.02784
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4143 0.5367 1.2129 7.661
2.4384 0.8350 -0.1821 5.270
1.2498 0.5324 0.1367 5.617
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9099 -1.5209 -0.41905 0.0845
-1.2363 0.4131 -0.14067 -0.0784
0.5141 -0.2243 0.07235 -0.1242
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.8134 -1.0578 16.30 243.7
1.6059 -0.0506 16.38 246.4
2.7190 0.2834 16.01 247.0
rnd_95776.volume rnd_95787.volume
27.855 6.159
-10.413 -14.204
5.152 2.468
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.699 5.279 13.00 6.103 7.484 3.942 3.158 7.754 8.671 5.931 4.421
[2,] 6.749 5.291 13.08 7.856 8.477 3.969 3.244 7.915 8.674 8.645 5.383
[3,] 6.889 5.345 13.37 9.042 8.997 4.241 3.360 7.995 8.737 8.687 5.485
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.854 5.493 6.736 8.326 6.050 7.055 6.765 13.11 9.405 15.93 6.268
[2,] 7.268 5.495 7.069 8.628 6.338 7.633 8.069 14.01 10.103 15.98 6.320
[3,] 7.844 5.895 7.473 9.377 6.613 7.900 8.243 14.59 10.692 16.25 6.345
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.37 9.526 3.298 7.347 7.285 6.408 6.373 3.347 6.518 7.589 3.536
[2,] 25.23 10.369 3.302 9.294 10.259 6.412 8.240 3.366 8.177 7.951 3.544
[3,] 25.45 12.775 3.303 12.689 11.608 6.510 9.476 3.380 9.880 8.688 3.566
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.355 7.254 7.465 6.336 7.937 6.212 2.125 6.622 1.935 5.422 5.855
[2,] 8.441 8.425 8.613 6.677 8.655 6.636 2.132 7.438 1.935 5.994 6.898
[3,] 10.283 8.950 9.112 7.061 9.016 6.852 2.160 7.603 1.948 6.230 7.467
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.854 2.864 5.920 7.997 7.780 4.259 8.951 7.942 3.245 7.732 6.490
[2,] 5.007 2.876 7.563 8.058 7.780 4.260 10.120 8.260 3.245 9.708 8.329
[3,] 5.284 2.888 7.942 8.193 8.158 4.261 10.873 8.942 3.250 10.664 8.995
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.907 4.005 5.980 2.022 6.222 2.717 6.023 5.248 7.756 8.012 3.548
[2,] 7.404 7.217 6.009 2.022 6.786 2.813 6.051 5.259 8.411 9.644 3.619
[3,] 8.568 8.653 6.020 2.035 8.201 3.107 6.525 5.359 8.556 9.676 3.690
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.398 5.357 7.251 2.974 6.574 6.984 8.366 7.832 8.922 6.986 6.087
[2,] 9.308 5.412 9.302 2.986 6.749 7.027 8.674 8.971 9.593 9.052 8.373
[3,] 9.582 5.802 10.028 3.029 6.754 7.118 8.799 9.158 10.215 9.254 9.007
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.080 5.928 4.573 7.125 3.540 4.494 2.768 7.487 5.502 11.07 10.81
[2,] 2.117 7.412 4.745 8.124 3.572 4.796 2.770 8.300 5.512 11.09 10.93
[3,] 2.169 8.871 5.069 9.011 3.597 4.949 2.803 8.691 5.566 11.23 11.41
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.767 2.939 4.515 4.251 5.453 3.913 6.672 16.90 19.52 9.951
[2,] 3.824 4.334 4.523 4.252 5.453 3.942 7.113 19.59 25.16 10.844
[3,] 4.223 4.374 4.558 4.279 5.743 3.953 7.727 22.48 26.14 13.386
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.507 6.704 16.51 7.75 9.504 5.005 4.01 9.847 11.01
[2,] 102.025 44.818 174.57 614.31 494.267 58.095 92.35 197.251 30.61
[3,] 171.363 94.245 344.05 555.94 374.306 185.498 108.74 140.774 130.65
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.531 5.614 7.433 6.975 8.553 10.57 7.682 8.958 8.59
[2,] 781.096 381.445 534.978 20.248 266.480 281.25 234.707 361.986 546.10
[3,] 106.526 130.350 366.327 264.885 301.031 456.11 234.676 253.030 209.76
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.64 11.94 20.23 7.96 18.25 12.1 4.187 9.33 9.251
[2,] 613.15 458.31 160.14 99.94 2574.66 508.6 21.539 706.85 896.965
[3,] 506.89 434.80 367.28 71.10 417.73 926.7 8.989 1072.78 674.569
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.137 8.092 4.25 8.277 9.637 4.49 9.34 9.211 9.479
[2,] 30.914 648.593 45.17 613.225 294.588 31.14 514.39 532.284 533.511
[3,] 139.468 581.281 37.65 688.510 435.041 48.54 729.27 375.201 369.592
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.046 10.08 7.888 2.698 8.409 2.457 6.885 7.435 6.163
[2,] 261.455 428.95 290.015 22.812 420.596 3.689 317.257 452.914 152.626
[3,] 285.468 313.67 212.184 42.610 196.038 28.312 211.002 355.005 209.951
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.637 7.517 10.15 9.880 5.409 11.37 10.08 4.120 9.819
[2,] 33.288 584.555 123.02 9.957 7.379 586.39 282.01 4.144 728.982
[3,] 32.586 300.881 184.76 304.680 12.242 493.99 425.54 22.317 548.215
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.242 7.501 5.086 7.594 2.567 7.901 3.45 7.648 6.664
[2,] 648.165 554.301 745.519 73.759 6.876 336.309 90.57 72.837 43.138
[3,] 422.049 535.436 592.887 43.903 28.278 572.048 163.71 302.984 128.200
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 9.849 10.17 4.506 9.395 6.802 9.207 3.777 8.349 8.868
[2,] 404.275 666.51 88.398 701.360 95.640 723.551 32.764 189.327 97.049
[3,] 194.653 98.01 89.354 282.669 259.716 465.337 63.485 35.228 141.219
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.62 9.945 11.33 8.871 7.73 2.642 7.527 5.806 9.048
[2,] 284.47 543.430 437.54 714.930 713.98 48.547 552.589 157.241 484.743
[3,] 184.01 228.700 436.11 238.926 412.31 58.771 605.210 221.681 484.142
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.495 5.707 3.515 9.508 6.986 14.05 13.72 3.514 3.732
[2,] 59.376 207.988 11.904 444.683 42.323 86.25 205.45 327.731 395.477
[3,] 53.196 151.904 53.715 320.564 96.196 220.61 405.49 222.532 73.376
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.734 5.398 6.925 4.968 8.472 21.46 24.79 12.64
[2,] 33.743 10.592 6.915 59.701 306.492 1231.56 1971.69 535.19
[3,] 69.897 59.494 223.686 37.656 374.828 1367.74 879.79 974.50
[1] "--- VAR model 2017-10-03 13:31:00 completed"
[1] "Completed training sample: 2017-10-03 13:31:00 - 2017-10-03 21:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 14:01:00 - 2017-10-03 22:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.841 2.189 -4.322 -6.550
2.069 2.642 -3.095 -11.002
1.306 1.555 -2.630 -4.393
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.940 -0.3681 0.3003 -2.163
-6.241 -0.1626 0.6152 -1.911
-10.802 -0.1164 0.6463 -1.111
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.2338 -0.8137 -1.470 -20.57
-2.1373 -4.5785 -2.516 -23.44
-0.6606 -2.2339 -1.442 -22.24
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5951 -4.679 -8.287 -1.923
-1.0613 -1.599 -3.878 -2.209
-0.2971 -2.279 -5.799 -1.817
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.5008 -4.9177 -3.074 -2.736
-1.9486 -5.3831 -3.808 -2.064
-0.8202 -0.9289 -4.840 -4.528
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.117 -0.16110 -17.089 -4.020
-3.460 -0.03765 -9.684 -8.663
-1.732 -0.01920 -7.246 -4.742
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.01239 -7.216 -18.866 0.6749
-0.04930 -7.310 -3.626 2.2155
0.02547 -4.932 -5.986 1.5722
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.925 0.45886 0.5408 -3.960
-10.219 0.19973 -15.0091 -5.290
-4.726 -0.05292 -4.0530 -4.414
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.28923 -7.135 -10.765 -13.893
0.09491 -13.609 -5.914 -6.291
0.05043 -7.159 -10.817 -11.642
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.7605 -3.0508 1.8482 -0.01430
0.6131 -0.8281 1.2720 -0.30783
0.6635 -2.5388 0.7457 -0.02518
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.5067 -0.043198 -5.585 -15.48
0.8204 -0.105054 -6.105 -18.17
0.2858 -0.005102 -3.248 -15.60
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.09804 -0.412474 -12.01 0.5642
-0.38676 -0.015580 -12.75 0.6405
-0.90420 -0.008027 -14.46 0.3242
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.2068 -1.655 -3.741 4.776
1.3903 -1.402 -3.326 3.904
0.7099 -1.785 -4.687 3.557
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.09049 -5.783 -4.843 -2.061
0.06422 -3.155 -2.122 -4.156
0.04799 -4.398 -1.915 -1.645
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.348 1.785 0.03071 1.219
-4.435 1.108 0.13894 -2.647
-2.492 1.401 0.05681 -3.621
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2909 -0.05568 -1.7119 1.296
-0.8913 -0.53294 -1.2866 -1.051
-0.8642 -1.43597 -0.8627 -2.405
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.3328 0.1160 -6.6211 2.478
-0.1872 -0.1658 -0.3128 2.860
-1.6263 0.1050 -1.2449 2.019
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.173 0.22939 0.49161 1.672
1.944 -0.19567 1.97295 1.933
1.048 0.01146 0.06581 1.586
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.9495 0.04184 2.194 5.233
1.2160 2.10451 1.519 4.175
0.7682 2.10880 1.827 4.248
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.2605 -0.07409 6.331 0.46686
0.9532 -0.02943 7.432 -0.01252
2.3430 -0.20696 4.078 -0.31361
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.8388 0.7539 -1.4941 -0.18754
8.4634 0.5899 -0.8225 -0.04404
2.0192 0.4894 -0.6969 -0.02853
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.6013 1.944 1.0173 6.701
-0.9254 2.122 0.8968 5.641
-0.6455 1.177 0.4197 4.065
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.1297 -2.7729 -0.3761 -0.7794
-1.8792 -0.3123 -0.5493 -0.6870
-0.1442 -0.7013 -0.3398 -0.3884
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2175 0.3363 14.79 237.5
-0.3310 -0.3469 15.68 238.9
-1.0487 -0.2003 15.91 238.9
rnd_95776.volume rnd_95787.volume
-10.30 -3.943
-14.89 -8.804
-15.32 -4.158
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.615 5.254 12.85 6.136 7.311 3.913 3.105 7.629 8.595 5.925 4.419
[2,] 6.678 5.273 12.95 7.843 8.176 3.940 3.183 7.789 8.598 8.576 5.347
[3,] 6.778 5.338 13.27 8.959 8.644 4.214 3.302 7.867 8.675 8.613 5.453
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.808 5.183 6.287 8.054 6.007 7.069 6.575 13.00 9.296 15.81 6.174
[2,] 7.076 5.423 6.698 8.610 6.233 7.648 7.976 13.84 9.962 15.88 6.225
[3,] 7.617 5.628 7.005 9.278 6.394 7.994 8.146 14.38 10.542 16.20 6.260
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.26 9.36 3.243 7.280 6.927 6.329 6.372 3.317 6.421 7.497 3.551
[2,] 24.94 10.16 3.248 9.116 9.715 6.332 8.177 3.339 8.008 7.846 3.561
[3,] 25.18 12.57 3.248 12.502 11.273 6.417 9.344 3.350 9.623 8.610 3.575
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.244 7.107 7.424 6.195 7.198 6.156 2.112 6.488 1.847 5.339 5.841
[2,] 8.356 8.134 8.470 6.560 7.686 6.534 2.120 7.311 1.847 5.899 6.829
[3,] 10.126 8.597 8.928 6.963 7.839 6.735 2.146 7.524 1.867 6.100 7.375
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.882 2.780 5.927 7.900 7.617 4.093 8.754 7.854 3.199 7.551 6.348
[2,] 5.018 2.794 7.484 7.948 7.618 4.183 10.039 8.134 3.199 9.543 8.152
[3,] 5.291 2.804 7.837 8.065 7.938 4.232 10.774 8.831 3.204 10.528 8.889
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.916 3.904 5.870 1.925 6.133 2.670 5.987 5.247 7.612 8.668 3.467
[2,] 7.364 7.146 5.892 1.926 6.706 2.755 6.017 5.258 8.295 9.752 3.537
[3,] 8.510 8.592 5.904 1.945 8.077 3.031 6.481 5.356 8.441 9.809 3.611
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.306 5.308 7.243 2.962 6.504 6.934 8.227 7.738 8.912 6.943 6.010
[2,] 9.199 5.363 9.355 2.979 6.646 6.981 8.563 8.868 9.593 8.995 8.292
[3,] 9.484 5.748 10.003 3.013 6.656 7.051 8.698 9.036 10.198 9.199 8.888
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.042 5.711 4.526 7.035 3.549 4.457 2.727 7.897 5.476 10.91 10.73
[2,] 2.076 7.219 4.713 7.882 3.589 4.821 2.728 8.476 5.491 10.95 10.83
[3,] 2.131 8.627 5.021 8.830 3.606 4.924 2.757 8.826 5.559 11.08 11.28
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.759 2.912 4.520 4.256 5.442 3.858 6.580 17.50 19.23 9.809
[2,] 3.798 4.325 4.529 4.257 5.442 3.875 7.026 20.11 24.72 10.658
[3,] 4.196 4.363 4.562 4.282 5.724 3.887 7.651 22.84 25.63 13.209
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.4 6.671 16.32 7.791 9.284 4.969 3.943 9.687 10.91
[2,] 116.4 57.173 206.48 620.386 464.716 58.546 89.093 199.516 29.93
[3,] 147.1 105.454 368.09 549.985 356.354 189.831 111.285 140.835 146.13
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.524 5.612 7.375 6.581 7.984 10.23 7.628 8.976
[2,] 787.374 382.199 513.265 202.547 293.450 386.37 211.146 370.636
[3,] 100.751 136.214 358.237 191.521 260.354 439.17 181.560 295.669
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.349 16.51 11.8 20.07 7.84 18.1 11.89 4.119 9.244
[2,] 573.438 600.60 455.2 192.52 101.45 2598.9 500.95 21.813 696.807
[3,] 210.479 496.02 438.0 405.46 83.07 441.3 940.23 4.850 1086.472
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.797 8.037 8.092 4.211 8.154 9.52 4.51 9.199 9.024
[2,] 864.977 24.138 650.767 49.030 607.708 293.80 33.31 528.894 502.615
[3,] 726.143 132.307 574.197 35.546 677.624 450.50 39.80 726.374 353.530
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.427 7.867 9.14 7.817 2.682 8.239 2.345 6.78 7.417
[2,] 517.776 274.043 342.62 278.152 22.488 427.909 3.489 318.65 449.506
[3,] 358.818 296.575 195.84 207.608 42.863 226.002 34.984 196.88 353.649
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.2 3.53 7.527 10.03 9.672 5.197 11.12 9.974 4.062
[2,] 147.6 34.88 580.200 110.13 19.619 109.868 624.08 268.477 4.656
[3,] 213.0 31.26 295.479 174.46 283.409 81.558 496.87 436.713 21.968
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.588 8.061 7.512 4.957 7.454 2.445 7.788 3.39 7.602
[2,] 741.117 649.458 556.951 760.029 65.215 7.752 344.659 86.48 76.208
[3,] 564.824 450.062 541.602 605.930 48.311 34.024 571.701 160.26 305.832
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.662 9.666 11.01 4.402 9.278 6.74 9.198 3.762 8.259
[2,] 43.749 418.539 567.67 89.548 709.823 96.90 751.912 39.994 173.363
[3,] 129.682 198.517 133.82 92.257 292.970 262.73 449.807 57.118 46.943
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.806 10.45 9.826 11.32 8.817 7.631 2.593 7.253 5.747
[2,] 102.203 301.63 550.258 450.84 726.271 725.515 47.559 560.636 166.685
[3,] 126.646 193.86 220.310 439.42 244.698 406.574 61.235 599.798 219.995
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 8.933 4.507 5.66 3.463 10.03 6.953 13.85 13.62 3.503
[2,] 451.356 67.866 233.33 7.577 391.08 52.449 124.81 190.66 331.540
[3,] 505.624 44.694 127.09 51.234 312.52 110.185 207.61 401.80 226.366
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.698 5.739 5.405 6.91 4.899 8.356 22.22 24.42 12.46
[2,] 406.027 36.518 10.983 10.76 46.643 312.544 1258.08 1973.08 529.41
[3,] 73.583 69.943 59.322 225.25 38.433 384.660 1375.39 860.56 990.86
[1] "--- VAR model 2017-10-03 14:01:00 completed"
[1] "Completed training sample: 2017-10-03 14:01:00 - 2017-10-03 22:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 14:31:00 - 2017-10-03 22:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.5395 -0.1984 -5.552 -10.90797
-1.0496 -0.6468 -3.669 0.03902
-0.5751 -0.9213 -3.948 -6.90852
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.020 0.7917 0.6929 -0.3977
-4.706 0.8764 0.9183 -0.1921
-1.578 0.3874 0.7164 -0.8064
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.1241 -2.0709 0.8049 -6.529
-0.7866 0.7941 -0.1955 -8.612
-0.3726 -0.7902 -0.3345 -8.654
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7192 -0.02547 -0.264 -0.3272
0.8596 0.00169 -1.793 0.2365
0.7336 0.90704 -1.000 -0.3695
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.63683 2.482 -2.642 6.23598
-0.04515 1.509 -1.685 1.98639
-0.53651 -1.121 -1.668 0.01957
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.433 1.4714 -23.575 -1.045
-2.756 1.4995 -9.500 -8.518
-1.362 0.3757 -7.778 -2.223
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.18122 2.479 -5.469 0.403989
0.04524 -10.273 -2.968 0.535097
0.05258 -4.348 -7.689 0.003166
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.6346 -0.08352 -7.284 2.127
0.9372 0.21387 -3.412 2.192
-7.5970 0.18452 -3.489 1.958
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1145 1.9007 2.857 1.3603
-0.2762 -5.0894 -5.544 -0.9848
-0.2681 -0.2386 -1.281 -2.6767
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.922 -0.4906 -0.01919 -0.04492
-2.003 5.6438 0.59838 0.19879
-1.599 2.0983 0.06066 -0.01450
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.9239 0.3783 3.784 3.5353
-0.7574 0.3072 1.095 0.4456
-0.1120 0.1342 -1.093 -0.8807
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1359 -0.29602 -5.0642 0.9807
0.7945 -0.08320 2.4705 0.6967
0.7984 -0.01533 -0.1984 0.4367
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.377 -0.7299 -7.2026 2.746
2.828 -0.6948 0.6227 2.817
1.776 0.3925 -0.8884 2.112
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.126248 1.4207 5.8919 3.984
-0.002743 -3.9771 -4.5880 -1.492
-0.006315 -0.2746 0.1475 -1.543
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.282 1.215 0.5679 -0.7056
5.913 1.185 0.3956 1.1700
-4.847 1.396 0.1491 5.0394
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.298 -0.7117 0.1414 -1.0472
-2.887 1.8267 -0.7275 1.2080
-2.783 2.0386 -0.4094 0.7932
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.0665 0.5591 2.09666 -0.6035
0.7778 0.5505 -0.04839 -1.6269
1.7839 0.5503 1.80997 -0.9203
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.23601 0.3691 -0.253674 -0.3420
-1.09674 -0.1050 -1.003658 -0.4679
-0.00712 -0.2430 -0.006607 -0.5476
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.398 -1.799 1.4371 -1.981
-2.204 -1.575 0.9231 -2.381
-1.337 -1.292 0.6517 -2.493
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.4784 0.6782 -7.983 1.0595
-0.3415 0.8566 -2.499 0.6132
-0.7403 0.5802 -2.328 0.8325
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.701 -0.2427 2.02720 0.0145133
-3.062 -0.1583 -1.58627 0.0002714
-1.400 -0.2079 0.03701 0.0023964
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5592 -0.1457 -2.3478 -1.1233
1.6195 -0.4831 -2.0622 -1.1159
0.4544 -0.4532 -0.9472 -0.4217
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.0709 -1.7990 0.2323 -0.3033
-0.1343 -0.1872 -0.8330 -0.6040
-0.5305 -0.6581 -0.5156 -0.3263
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9068 0.06696 13.19 248.2
1.1434 -0.12749 13.60 249.4
1.4896 -0.07568 13.44 249.4
rnd_95776.volume rnd_95787.volume
-1.170 0.8687
-5.392 -9.7672
5.046 -2.1580
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.556 5.125 12.42 6.172 7.540 3.849 3.028 7.496 8.416 5.876 4.363
[2,] 6.632 5.143 12.53 7.794 8.275 3.877 3.108 7.649 8.418 8.473 5.328
[3,] 6.745 5.206 12.85 8.741 8.710 4.153 3.243 7.732 8.499 8.513 5.430
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.732 5.136 6.187 8.073 5.843 7.019 6.423 12.90 9.059 15.67 6.089
[2,] 6.978 5.374 6.577 8.595 5.854 7.598 7.724 13.69 9.719 15.75 6.142
[3,] 7.520 5.573 6.851 9.237 5.856 7.958 7.888 14.25 10.206 16.06 6.182
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.40 9.278 3.187 7.037 6.802 6.195 6.320 3.308 6.263 7.383 3.563
[2,] 24.25 10.073 3.192 8.699 9.311 6.195 8.042 3.330 7.816 7.744 3.571
[3,] 24.51 12.437 3.193 12.122 10.874 6.281 9.058 3.343 9.268 8.515 3.586
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.100 7.194 7.361 6.034 6.920 6.136 2.055 6.195 1.767 5.241 5.713
[2,] 8.257 8.132 8.306 6.389 7.419 6.527 2.066 6.921 1.767 5.838 6.680
[3,] 9.958 8.535 8.784 6.780 7.559 6.768 2.102 7.088 1.788 6.001 7.209
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.791 2.740 5.820 7.719 7.677 4.078 8.687 7.703 3.117 7.473 6.214
[2,] 4.937 2.755 7.128 7.760 7.677 4.173 10.002 7.991 3.118 9.434 7.990
[3,] 5.209 2.771 7.564 7.849 8.035 4.215 10.723 8.626 3.122 10.395 8.675
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.799 3.791 5.636 1.899 5.919 2.581 5.795 4.959 6.996 8.460 3.394
[2,] 7.291 6.994 5.658 1.901 6.449 2.674 5.832 4.965 7.965 9.546 3.467
[3,] 8.388 8.385 5.675 1.923 7.893 2.904 6.287 5.095 8.082 9.604 3.551
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.147 5.133 7.181 2.964 6.289 6.009 8.179 7.737 8.755 6.578 5.943
[2,] 8.795 5.191 8.788 2.979 6.469 6.865 8.544 8.844 9.439 8.451 8.276
[3,] 9.149 5.596 9.474 3.013 6.481 6.939 8.671 9.038 10.078 8.776 9.293
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.889 5.585 4.414 6.803 3.556 4.440 2.659 7.603 5.346 10.64 10.75
[2,] 1.898 6.814 4.630 7.772 3.602 4.738 2.659 8.192 5.359 10.70 10.84
[3,] 1.979 8.172 4.902 8.804 3.621 4.899 2.695 8.552 5.427 10.82 11.29
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.748 2.899 4.537 4.232 5.229 3.694 6.513 18.17 18.99 9.654
[2,] 3.779 4.276 4.547 4.232 5.229 3.708 6.957 20.90 24.30 10.449
[3,] 4.164 4.316 4.581 4.260 5.489 3.722 7.598 23.78 25.06 12.957
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.325 6.508 15.77 7.838 9.575 4.887 3.845 9.519 10.69
[2,] 131.098 56.216 218.33 622.117 445.523 61.752 91.453 198.972 26.38
[3,] 160.386 106.301 373.47 517.049 355.550 194.496 121.184 147.499 153.38
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.461 5.541 7.279 6.522 7.856 10.25 7.42 8.913 8.157
[2,] 797.836 399.575 520.112 206.708 291.764 385.48 47.86 380.346 560.746
[3,] 107.858 137.256 366.559 192.928 250.483 442.49 18.67 309.235 208.934
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.38 11.5 19.9 7.732 17.01 11.78 4.047 8.936 8.638
[2,] 600.36 460.0 202.4 105.105 2641.90 512.49 23.981 668.325 830.880
[3,] 515.77 407.3 412.9 91.526 461.41 953.39 8.110 1103.310 734.065
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.866 8.025 4.201 7.953 9.375 4.525 9.015 9.135 9.348
[2,] 7.138 650.094 50.095 611.060 305.567 30.403 550.978 495.474 502.733
[3,] 135.538 544.694 38.437 651.051 462.889 43.829 727.557 338.970 373.760
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 7.662 8.787 7.792 2.61 7.867 2.244 6.656 7.255 6.084
[2,] 274.524 349.550 290.764 28.01 403.226 2.265 335.970 452.527 155.887
[3,] 296.658 189.568 234.238 50.27 200.332 35.423 181.671 354.068 217.127
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.479 7.391 9.803 9.748 5.178 11.03 9.782 3.958 9.49
[2,] 37.884 537.918 104.072 11.401 115.802 647.76 277.626 10.893 752.46
[3,] 38.194 330.498 153.878 309.833 78.526 505.30 424.781 20.571 570.57
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.89 7.364 4.814 7.157 2.412 7.517 3.277 7.358 6.298
[2,] 656.47 577.514 768.068 65.000 11.665 334.708 91.327 86.267 31.169
[3,] 441.47 542.045 604.468 58.774 38.030 594.759 148.295 306.949 149.662
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.884 10.74 4.309 9.075 6.519 9.119 3.764 7.985 7.63
[2,] 497.587 578.07 93.114 670.005 101.344 662.146 38.968 198.424 433.85
[3,] 178.878 138.04 100.049 329.203 272.909 462.588 59.072 52.599 132.19
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.39 9.825 11.12 8.353 7.547 2.399 7.092 5.604 8.639
[2,] 322.86 559.924 461.22 693.330 752.744 24.870 510.194 182.992 491.178
[3,] 193.77 243.747 461.39 309.623 552.316 73.064 589.516 210.545 540.595
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.515 5.638 3.376 9.654 6.788 13.51 13.65 3.49 3.682
[2,] 75.207 216.117 7.021 398.858 49.136 141.51 184.76 339.03 410.699
[3,] 49.406 163.212 57.431 320.834 112.136 215.61 409.59 228.66 76.620
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.762 5.374 6.640 4.691 8.271 23.07 24.11 12.26
[2,] 38.722 10.295 5.883 41.466 319.446 1348.60 1983.04 522.61
[3,] 73.258 63.156 218.113 42.887 399.215 1482.54 801.68 1001.23
[1] "--- VAR model 2017-10-03 14:31:00 completed"
[1] "Completed training sample: 2017-10-03 14:31:00 - 2017-10-03 22:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 15:01:00 - 2017-10-03 23:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.89536 0.3211 -1.079 4.142
0.06989 0.3711 -2.250 -2.531
-0.39413 0.5965 -1.822 -4.399
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.9182 -0.6949 -0.6881 -0.6245
-0.6333 1.3874 -0.7870 -0.8892
-3.3011 0.3604 -0.6105 -0.8068
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.1098 -0.3239 0.2187 -4.677
0.3710 1.5251 1.3372 -1.803
0.1604 -1.4827 0.2253 -3.118
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3683 -2.2838 -1.1139 0.6657
2.2857 0.7609 -0.3301 0.3351
0.5431 1.0175 0.7664 0.2864
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.3103 4.6916 1.566 8.916
-0.9143 0.3709 -0.226 6.693
1.9268 -0.5980 -1.079 5.149
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.064 -0.06908 -12.201 -1.8656
-2.756 -0.04769 -2.568 -3.1511
-1.332 -0.01475 -4.835 -0.7397
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.097866 -3.3564 -1.494 -0.3917
0.060901 -5.0250 -4.782 1.1170
0.002952 -0.1549 -2.137 0.8434
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.300 0.41490 4.002 -2.106
-2.992 0.10063 -1.333 -2.066
-4.620 0.05027 -4.436 -1.837
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.17290 0.7552 -4.9299 -10.7564
0.02758 -1.3612 0.1902 -0.7936
0.34230 -4.0672 -2.8995 -2.5800
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.112 2.4695 -1.724 0.3351
1.728 1.9419 -1.601 0.5030
1.571 0.3903 -1.227 0.1152
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.7372 0.08876 -4.4892 -8.885
0.6312 0.19294 -3.2196 -11.312
-0.2083 0.07645 -0.5977 -8.231
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.0893 0.008574 -5.623 0.28235
1.2033 -0.109535 -5.136 0.07711
0.8997 0.011444 -7.469 0.28103
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.8527 -0.13800 -0.8421 3.853
-1.0494 -0.08603 -1.3237 4.481
-0.9488 -0.03286 -2.6553 4.251
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.02201 -3.6800 -3.2504 -4.4513
-0.10361 -0.1516 0.1320 -2.3591
0.04865 -2.3650 -0.6419 0.2688
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.990 -0.5490 0.03903 2.556
-3.554 -0.5157 -0.09103 -1.301
-0.324 -0.4416 -0.03026 -3.597
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8668 -0.3719 0.5361 4.0056
-0.9219 0.8408 0.2154 0.2804
-0.4059 -1.3467 0.1290 0.4635
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.614433 -0.06485 3.0585 0.1736
0.371741 -0.13171 2.6912 -0.5361
0.006241 -0.03916 0.4784 -0.1664
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.830 0.03074 -0.2630 -1.75168
5.883 -0.01507 -0.7077 0.03889
1.169 -0.12443 -0.6559 -0.45334
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.165 -0.7130 4.661 1.5657
1.904 0.5092 4.345 -0.7775
1.452 -0.2039 3.556 0.9787
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.8686 -0.07163 5.012367 1.886
0.1099 0.41130 0.860465 2.179
1.8688 0.33353 0.005535 2.109
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.8189 -0.02117 -1.1603 -0.16539
2.5654 -0.23573 -0.4031 0.11172
0.5582 -0.12808 -0.2743 0.02612
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.929 -0.03074 -0.02679 -0.3768
2.614 -0.03866 -0.63232 0.2068
1.704 0.11312 -0.34255 1.2746
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.58746 -1.3197 0.1707 -0.0337
-0.43806 0.1782 -0.3159 -0.2978
0.05944 -0.3931 -0.1871 -0.1716
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2004 -0.15459 12.12 257.9
0.7753 0.02038 11.52 258.0
-1.4159 0.05925 11.55 258.9
rnd_95776.volume rnd_95787.volume
-0.9867 -2.1891
-7.9969 -3.6504
-6.4340 -0.5182
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.636 4.975 12.04 6.033 7.285 3.695 3.010 7.316 8.258 5.746 4.281
[2,] 6.382 4.995 12.16 7.479 8.118 3.726 3.081 7.460 8.261 8.309 5.180
[3,] 6.481 5.049 12.49 8.316 8.576 3.997 3.210 7.553 8.348 8.351 5.289
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.538 4.896 5.994 8.296 5.830 6.959 6.315 13.07 8.863 14.86 5.695
[2,] 6.659 5.058 6.362 8.553 5.840 7.488 7.603 13.73 9.452 14.94 5.733
[3,] 7.169 5.287 6.627 9.067 5.842 7.766 7.737 14.18 9.900 15.35 5.757
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.93 9.204 3.109 6.995 6.659 6.087 6.157 3.266 6.150 7.199 3.501
[2,] 23.42 9.900 3.116 8.443 9.156 6.087 7.758 3.293 7.594 7.613 3.505
[3,] 23.71 12.117 3.117 11.624 10.592 6.164 8.650 3.312 8.938 8.381 3.513
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.986 7.092 7.236 5.771 6.700 5.911 2.001 5.809 1.704 5.055 5.559
[2,] 8.127 8.023 8.177 6.038 7.118 6.243 2.013 6.392 1.704 5.679 6.480
[3,] 9.801 8.413 8.656 6.343 7.228 6.431 2.041 6.500 1.726 5.832 6.988
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.696 2.709 5.686 7.393 7.379 4.202 8.322 7.401 3.070 7.232 5.949
[2,] 4.820 2.723 7.039 7.435 7.384 4.205 9.555 7.670 3.071 9.142 7.625
[3,] 5.094 2.736 7.386 7.505 7.775 4.221 10.227 8.270 3.073 9.870 8.387
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.553 3.667 5.365 1.824 5.763 2.364 5.538 4.730 7.087 8.224 3.314
[2,] 6.928 6.739 5.413 1.831 6.284 2.486 5.568 4.750 7.585 9.164 3.385
[3,] 8.064 8.156 5.419 1.845 7.577 2.614 6.016 4.855 7.798 9.214 3.467
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.865 4.994 6.917 2.932 6.106 5.879 8.064 7.383 8.603 6.490 5.735
[2,] 8.394 5.035 8.476 2.952 6.266 6.676 8.436 8.354 9.312 8.140 7.952
[3,] 8.598 5.336 8.991 2.988 6.282 6.747 8.556 8.539 9.959 8.636 8.742
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.850 5.416 4.278 6.712 3.468 4.320 2.572 7.348 5.174 10.12 10.67
[2,] 1.856 6.596 4.506 7.628 3.516 4.586 2.572 7.951 5.184 10.18 10.77
[3,] 1.936 7.796 4.807 8.550 3.529 4.745 2.606 8.337 5.240 10.25 11.21
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.715 2.904 4.492 4.198 5.010 3.582 6.479 18.59 18.36 9.529
[2,] 3.735 4.264 4.500 4.199 5.011 3.591 6.984 21.39 23.20 10.250
[3,] 4.127 4.304 4.536 4.224 5.249 3.605 7.725 24.31 24.02 12.575
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.157 6.318 15.29 7.662 9.25 4.692 3.823 9.291 10.49
[2,] 406.367 60.638 228.18 599.901 486.44 65.422 89.120 197.712 28.98
[3,] 153.511 100.174 387.38 493.712 375.45 196.295 122.507 160.682 163.35
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.296 5.436 7.033 6.217 7.611 10.53 7.403 8.837 8.019
[2,] 814.766 395.942 501.982 172.665 289.727 282.67 46.942 375.347 574.834
[3,] 113.828 145.413 360.487 209.091 251.676 408.65 20.913 279.569 194.758
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.6 11.25 18.87 7.231 16.41 11.69 3.948 8.883 8.456
[2,] 573.7 446.07 210.18 89.567 2650.87 495.04 27.914 641.783 853.010
[3,] 478.6 399.93 479.91 71.945 500.34 948.64 13.306 1084.691 723.065
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.729 7.818 4.147 7.809 9.141 4.445 8.872 9.006 9.189
[2,] 6.099 640.752 58.168 604.870 336.228 24.756 563.725 509.167 516.949
[3,] 131.968 519.392 47.348 640.056 475.957 30.581 743.655 343.937 385.635
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 7.329 8.507 7.507 2.541 7.377 2.164 6.419 7.059 5.963
[2,] 241.167 326.568 272.588 30.610 362.105 2.479 351.425 452.146 147.598
[3,] 263.583 170.560 209.475 45.605 160.024 37.517 180.438 355.092 223.766
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.44 7.22 9.387 9.371 5.335 10.57 9.398 3.899 9.184
[2,] 37.55 563.36 107.393 36.666 23.991 637.40 273.432 8.837 759.223
[3,] 36.49 303.77 139.855 330.674 49.279 495.23 420.051 17.036 504.995
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.554 7.052 4.657 6.813 2.317 7.319 3.002 7.032 6.007
[2,] 647.652 562.294 767.448 98.345 20.565 340.132 104.452 78.661 59.146
[3,] 474.074 560.457 623.782 34.329 31.896 574.682 109.903 309.447 136.295
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.999 10.44 4.209 8.718 6.342 8.783 3.723 7.754 7.465
[2,] 367.187 548.63 93.254 655.689 86.541 665.152 45.885 191.068 429.578
[3,] 245.652 130.52 101.754 253.166 240.122 407.187 63.365 59.672 132.548
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.24 9.375 10.92 8.241 7.282 2.349 6.878 5.433 8.523
[2,] 336.40 530.802 483.94 667.019 747.767 20.118 511.040 191.990 492.150
[3,] 194.59 239.906 479.40 391.571 493.150 74.938 564.147 227.156 524.406
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.404 5.486 3.265 9.331 6.57 12.85 13.55 3.448 3.688
[2,] 79.094 209.123 2.573 412.296 45.41 150.37 198.28 348.232 423.929
[3,] 40.529 165.242 57.707 340.708 103.69 165.01 419.69 238.337 79.381
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.704 5.33 6.362 4.549 8.228 23.6 23.32 12.1
[2,] 36.679 13.82 14.465 35.100 353.930 1437.8 1924.49 512.6
[3,] 78.205 62.13 211.986 42.915 448.367 1566.8 843.97 989.0
[1] "--- VAR model 2017-10-03 15:01:00 completed"
[1] "Completed training sample: 2017-10-03 15:01:00 - 2017-10-03 23:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 15:31:00 - 2017-10-03 23:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.4625 -0.3027 1.0905 4.5789
0.3114 -0.5810 0.2171 -0.1324
0.5020 -0.3796 -0.1169 -1.4651
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.4330 0.6410 1.0089 0.1772
2.5651 0.3343 0.7434 -0.2752
-0.1318 0.1881 0.5580 0.2483
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.4407 -3.1128 -2.4303 -6.589
-1.5236 0.5147 0.4241 -3.405
-1.6007 -1.3271 -0.9987 -5.693
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.32907 -0.5527 -1.0599 0.4870
0.01176 -1.8120 -2.4384 0.0706
-0.33161 0.3668 -0.1201 0.5563
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.6396 2.5873 2.264 4.027
-1.1001 0.4493 6.717 5.422
-0.9363 -1.7664 2.290 4.258
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.5076 -0.12863 -3.7337 0.1801
-0.5672 -0.01235 1.4552 -1.1054
-0.2389 -0.01256 -0.1871 0.7429
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.0193327 -0.4379 0.2921 0.411747
-0.0017191 -1.5300 -1.4602 -0.009259
-0.0006821 0.9705 0.1402 0.130912
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.5363 -0.3050 5.2759 -2.863
-0.4229 -0.1638 0.2369 -2.005
-1.4032 -0.1494 -1.3804 -1.655
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.53368 3.0204 -1.761 -2.6028
-0.13632 1.3525 2.818 1.9398
-0.03447 -0.9298 -0.050 0.3963
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9324 3.684 -0.4365 -0.27322
1.1211 3.927 -0.2406 -0.19699
0.9272 1.523 -0.1453 -0.07199
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.20813 0.1892 -2.0194 -4.693
0.08243 0.4058 -1.2783 -6.502
-0.09130 0.2049 0.6239 -4.370
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.557 -0.107167 -3.542 0.4697
1.861 -0.071484 -2.575 -0.2147
1.911 0.006585 -3.919 -0.1637
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.3964 -0.3500 -0.09265 1.7863
0.7788 -0.4587 -3.11772 0.5214
0.3049 -0.3843 -0.21180 1.8111
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.22282 3.481 2.067 -1.917
0.01185 -2.295 0.375 2.137
0.03410 -1.879 -2.388 -2.276
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.5769 0.69504 0.23304 -1.411
1.6028 0.46933 0.07757 -5.330
0.6507 0.07848 0.03354 1.272
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4976 0.3585 -0.5781 6.2850
0.1879 -1.2954 -0.4569 0.9033
-0.0634 1.1043 -0.4235 0.5952
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.3985 -0.2499 10.2110 0.9955
1.0541 -0.3624 3.2090 -0.3557
-0.6462 -0.2633 -0.2945 0.1876
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.3098 -0.3846 1.31547 2.7476
8.9533 1.1857 -0.03764 0.1432
0.9859 0.3969 1.01145 0.1964
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.4383 1.6948 0.1824 1.6400
-0.3585 0.4150 0.1601 1.3514
-0.1481 0.1217 -0.4096 0.4289
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.3112 0.2839 -0.8576 1.558
2.4387 0.2532 1.9062 1.428
0.1215 0.2657 1.4891 1.462
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.2252 -0.5611 0.6571 -0.095818
-0.7378 -0.1134 0.1076 -0.003431
2.6525 0.2874 -0.7527 -0.012405
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.887 -0.2237 -0.4064 7.728
2.767 -0.4934 -0.4651 6.797
2.552 -0.2608 -0.2204 5.609
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.1137 0.21739 0.1140 0.064211
0.4500 -0.06234 -0.1893 -0.080887
-0.1992 -0.05624 -0.1013 0.002816
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.85534 -0.24689 9.528 240.9
-1.63841 0.04339 8.245 241.8
0.08057 0.04553 8.564 242.5
rnd_95776.volume rnd_95787.volume
-8.362 0.2518
-2.914 -0.4861
-3.648 0.8432
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.442 4.838 11.83 5.765 7.066 3.514 2.936 7.225 8.027 5.458 4.099
[2,] 6.127 4.857 11.97 7.206 7.756 3.556 3.000 7.367 8.039 8.128 5.013
[3,] 6.235 4.905 12.29 8.000 8.204 3.823 3.137 7.464 8.110 8.162 5.127
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.496 4.705 5.948 8.385 5.820 6.777 6.216 12.49 8.638 14.32 5.583
[2,] 6.577 4.886 6.241 8.618 5.829 7.325 7.469 12.88 9.171 14.44 5.625
[3,] 7.090 5.082 6.570 9.125 5.831 7.573 7.610 13.16 9.658 14.80 5.654
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.56 8.989 3.006 6.759 6.506 5.889 5.885 3.176 5.822 6.978 3.496
[2,] 22.79 9.698 3.018 8.184 8.879 5.889 7.509 3.200 7.320 7.355 3.501
[3,] 23.12 11.860 3.020 11.362 10.324 5.992 8.375 3.231 8.600 8.013 3.506
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.790 6.583 7.122 5.641 6.430 5.911 1.964 5.636 1.623 4.946 5.228
[2,] 7.706 7.495 8.081 5.917 6.758 6.229 1.975 6.206 1.623 5.538 6.197
[3,] 9.263 7.921 8.439 6.216 6.873 6.416 2.004 6.307 1.644 5.688 6.681
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.276 2.650 5.932 7.111 7.143 3.875 7.973 7.138 3.006 6.955 5.810
[2,] 4.539 2.659 6.475 7.148 7.153 3.981 8.979 7.434 3.007 8.748 7.474
[3,] 4.718 2.667 6.789 7.200 7.530 4.006 9.646 7.957 3.012 9.362 7.995
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.372 3.444 5.113 1.773 5.455 2.269 5.331 4.337 6.738 8.081 3.155
[2,] 6.646 6.438 5.173 1.779 5.942 2.343 5.357 4.351 7.224 8.923 3.233
[3,] 7.624 7.784 5.175 1.792 7.236 2.502 5.695 4.456 7.421 8.962 3.304
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.098 4.863 5.848 2.623 5.943 5.697 7.750 7.200 8.395 6.099 5.544
[2,] 7.547 4.878 7.771 2.732 6.093 6.460 8.211 8.102 9.196 7.564 7.653
[3,] 7.737 5.071 8.417 2.802 6.116 6.535 8.321 8.247 9.812 8.009 8.355
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.781 5.350 4.171 6.444 3.227 4.207 2.445 7.188 5.003 10.03 10.36
[2,] 1.789 6.380 4.399 7.336 3.248 4.447 2.446 7.754 5.015 10.09 10.59
[3,] 1.868 7.522 4.683 8.172 3.368 4.586 2.467 8.127 5.067 10.15 11.00
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.612 2.770 4.263 3.952 4.712 3.468 6.219 18.90 17.12 9.287
[2,] 3.567 4.043 4.271 3.952 4.714 3.478 6.678 21.73 22.19 10.034
[3,] 3.902 4.089 4.280 3.959 4.958 3.497 7.358 24.70 22.74 12.310
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.91 6.143 15.03 7.32 8.973 4.462 3.728 9.174 10.19
[2,] 400.03 61.864 255.53 614.20 454.210 77.818 87.639 204.827 64.30
[3,] 164.33 97.307 397.60 493.54 380.072 199.192 129.974 169.960 152.63
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 6.931 5.205 6.979 5.975 7.553 10.65 7.39 8.606 7.893
[2,] 855.399 410.036 513.117 187.110 268.389 283.15 47.74 394.907 588.234
[3,] 106.349 152.585 376.104 198.357 291.628 425.85 22.38 273.354 207.645
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.87 10.97 18.19 7.089 15.95 11.42 3.817 8.583 8.262
[2,] 444.83 437.79 267.73 98.493 2702.11 516.83 38.086 655.455 858.371
[3,] 385.75 430.32 460.91 80.392 548.44 969.98 15.363 1119.507 748.153
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.478 7.474 4.033 7.394 8.861 4.439 8.622 8.36 9.044
[2,] 11.616 662.375 55.820 630.210 330.389 27.208 517.550 508.84 542.361
[3,] 156.888 526.968 63.888 641.299 451.751 26.876 730.315 364.25 345.491
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 7.163 8.165 7.507 2.494 7.157 2.061 6.28 6.639 5.43
[2,] 253.632 295.885 279.044 29.331 369.183 3.807 353.94 472.722 216.35
[3,] 270.616 177.958 218.481 48.035 159.492 36.815 184.36 354.721 182.96
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.366 7.532 9.03 9.07 4.921 10.12 9.064 3.817 8.832
[2,] 30.534 368.886 103.02 55.44 129.472 586.67 295.427 11.701 753.706
[3,] 30.026 290.022 123.06 334.14 63.928 500.66 403.001 24.782 473.658
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 7.378 6.822 4.373 6.493 2.252 6.927 2.881 6.769
[2,] 667.848 555.771 772.665 111.079 20.822 334.555 83.023 75.303
[3,] 403.510 530.921 621.469 24.584 31.107 586.584 124.783 274.747
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 5.508 8.557 10.26 4.006 7.744 6.175 7.426 3.331
[2,] 49.837 369.858 537.65 100.673 631.604 53.408 727.064 108.294
[3,] 136.719 241.185 119.57 96.958 242.005 197.214 459.392 88.306
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 7.547 7.234 9.842 9.142 10.66 7.744 7.039 2.262 6.793
[2,] 191.124 432.542 385.120 527.767 533.36 635.515 749.535 24.241 493.831
[3,] 75.133 140.535 191.927 219.317 485.95 374.146 476.188 76.194 566.064
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.296 8.183 4.097 5.343 3.105 9.128 6.353 12.74 13.15
[2,] 198.731 498.171 52.592 204.706 12.673 413.196 48.778 155.13 316.21
[3,] 228.247 511.474 127.022 159.118 45.028 345.699 103.870 152.10 423.90
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.317 3.518 5.414 5.018 5.983 4.404 7.897 24 21.74
[2,] 345.080 418.382 35.252 7.523 23.557 37.915 345.607 1522 2006.03
[3,] 224.767 86.781 40.530 32.989 217.873 50.980 438.970 1669 705.72
[,98]
[1,] 11.79
[2,] 539.81
[3,] 1012.98
[1] "--- VAR model 2017-10-03 15:31:00 completed"
[1] "Completed training sample: 2017-10-03 15:31:00 - 2017-10-03 23:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 16:01:00 - 2017-10-04 00:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2137 -0.005181 -1.1547 -3.939
-0.1831 0.213029 0.3475 -2.634
-0.8417 0.176195 0.3223 0.889
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.509 0.45158 0.3505 -1.0089
-4.173 -0.07349 0.3474 -0.4797
-3.045 0.17291 0.3052 -0.3807
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.2456 -3.7960 -2.0774 -4.954
-0.8196 -0.9291 -0.3059 -3.749
-1.1628 -0.5982 -0.7678 -4.115
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.674875 -0.1957 -0.1179 -0.2697
0.906211 -1.5576 -1.8634 -0.6223
0.007299 -0.8009 -0.5977 -0.1337
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.5967 -3.6283 -3.330 -1.208
-1.8056 -0.1749 -1.502 -2.694
-0.8581 -1.6525 -3.104 -1.735
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3310 -0.05434 3.2378 -3.2757
0.6299 -0.05770 -2.2149 0.5636
0.3759 -0.02006 0.8751 -1.9843
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.26126 -4.453 -2.25589 0.3925
0.07036 1.076 0.01942 1.2530
-0.05054 -1.335 0.26927 0.7400
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.5617 -0.2512 -5.4493 -0.2719
-2.9187 -0.2665 -2.4071 0.5599
0.9937 -0.2555 0.1096 0.4144
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.11884 -5.483 -7.038 -6.078
-0.01031 -3.722 -4.511 -4.735
0.22934 -1.921 -3.544 -3.839
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.822 -2.422 -0.7039 0.048633
-1.758 -2.298 -0.5208 0.087310
-1.336 -3.246 -0.3236 0.008818
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8860 0 -3.600 -6.045
-0.5297 0 -2.956 -7.578
-0.1192 0 -1.953 -6.775
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.5475 -0.06154 -2.972 -0.1651
-1.2665 -0.07734 -4.334 -0.1646
-0.9327 0.01346 -4.655 0.1417
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.746 -0.9768 -4.3335 -0.27889
-1.711 -0.4128 -0.5647 -0.02801
-1.027 -0.6948 -1.2690 -0.11544
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.02623 -5.102 -1.5241 -0.4766
-0.06714 -2.542 -2.9806 -3.7863
-0.02662 -0.889 -0.5392 -1.1374
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.741 0.02863 -0.007247 -1.059
-1.739 -0.26651 -0.057401 -3.316
-3.125 0.18937 -0.024384 -1.032
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.264 0.2631 0.11543 1.2738
-1.320 -2.1102 0.32976 0.1591
-1.317 -0.2160 0.05104 -0.8724
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.6785 0.18583 2.6890 0.2015
-0.5177 0.03260 -0.1775 0.5680
-1.2182 0.02792 -0.7682 0.1667
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.2966 -0.379580 -1.1964 -0.30711
1.5683 0.289555 0.3562 -0.09859
-0.2961 -0.009346 -1.1139 -0.59974
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8970 -3.379 1.727 -3.2164
-0.5483 -1.649 1.514 -1.3321
-0.3230 -0.648 1.692 0.7314
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.2967 0.46289 -0.2713 1.2343
-0.6765 0.09491 -2.7193 1.0832
-0.7631 0.21785 -1.5068 0.6759
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.3056 -0.4318 -0.3881 0.03649
-0.3746 -0.2512 -1.3743 0.24990
-1.0634 -0.3217 -0.2574 0.19319
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.187 0.05422 -0.7675 -0.1945
-2.480 0.40814 -0.5626 0.3300
-1.944 0.31005 -0.2297 0.6283
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.12837 -0.06655 -0.07994 -0.079600
-0.03952 -0.06840 -0.10558 -0.047146
-0.06023 -0.02524 -0.06619 -0.005734
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2141 -0.10773 -2.626 266.4
-1.7335 -0.17564 -2.789 266.8
-0.3677 -0.07115 -2.698 266.4
rnd_95776.volume rnd_95787.volume
-4.842 -1.8330
-4.013 0.7246
-6.519 -1.2405
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.728 4.641 11.58 5.545 6.907 3.345 2.830 6.982 7.507 5.345 4.023
[2,] 5.799 4.658 11.71 6.980 7.558 3.389 2.895 7.106 7.522 7.659 4.885
[3,] 5.905 4.704 12.02 7.705 7.972 3.623 3.032 7.231 7.608 7.693 5.005
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.373 4.489 5.808 8.327 5.545 6.660 6.024 12.24 8.204 13.74 5.475
[2,] 6.312 4.630 6.076 8.571 5.663 7.252 7.357 12.62 8.720 13.86 5.525
[3,] 6.828 4.811 6.333 8.975 5.702 7.497 7.492 12.89 9.048 14.16 5.564
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.35 8.791 2.944 6.508 6.341 5.704 5.661 3.145 5.671 6.445 3.408
[2,] 22.32 9.489 2.956 7.927 8.533 5.707 7.205 3.170 7.078 6.751 3.415
[3,] 22.63 11.608 2.957 11.001 10.635 5.810 8.014 3.197 8.275 7.175 3.423
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.564 6.421 6.914 5.583 6.250 5.631 1.884 5.437 1.505 4.839 5.071
[2,] 7.345 7.299 7.718 5.856 6.593 5.862 1.896 5.973 1.506 5.397 6.038
[3,] 8.871 7.700 8.027 6.138 6.708 6.023 1.925 6.080 1.519 5.532 6.510
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.208 2.594 5.886 6.804 6.942 3.777 7.706 6.735 2.923 6.693 5.685
[2,] 4.447 2.599 6.396 6.837 6.954 3.897 8.729 6.980 2.924 8.253 7.256
[3,] 4.607 2.607 6.699 6.881 7.312 3.920 9.428 7.493 2.927 9.057 7.757
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.207 3.343 4.934 1.761 5.213 2.146 5.176 4.011 6.574 7.752 2.964
[2,] 6.439 6.311 4.978 1.767 5.745 2.208 5.195 4.033 7.069 8.595 3.009
[3,] 7.297 7.521 4.979 1.780 6.998 2.341 5.499 4.077 7.260 8.633 3.042
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.792 4.876 5.434 2.493 5.686 6.114 7.617 7.005 8.235 6.130 5.371
[2,] 7.142 4.890 7.442 2.593 5.834 6.169 8.043 7.809 8.961 7.569 7.438
[3,] 7.299 5.080 8.081 2.644 5.854 6.244 8.151 7.958 9.529 7.687 7.798
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.682 5.180 4.117 6.082 3.018 4.025 2.336 6.660 4.777 9.983 10.08
[2,] 1.686 6.318 4.332 7.051 3.049 4.225 2.336 7.277 4.790 10.033 10.29
[3,] 1.753 7.356 4.588 7.987 3.160 4.382 2.354 7.617 4.847 10.087 10.68
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.498 2.661 4.097 3.850 4.451 3.363 5.567 19.36 16.41 8.396
[2,] 3.445 3.909 4.105 3.850 4.454 3.373 5.829 22.26 21.59 9.792
[3,] 3.753 3.955 4.123 3.859 4.724 3.396 6.402 25.28 22.16 11.463
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.274 5.893 14.7 7.041 8.77 4.247 3.594 8.866 9.533
[2,] 134.063 59.450 259.7 627.906 454.73 80.687 90.344 196.336 71.431
[3,] 165.016 97.469 397.6 483.354 375.62 189.699 133.455 198.169 169.255
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.787 5.108 6.823 5.701 7.375 10.57 7.041 8.457
[2,] 812.394 410.583 490.702 167.721 264.436 300.97 170.424 424.870
[3,] 107.562 161.147 385.673 193.800 264.384 394.24 99.313 281.565
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.649 15.54 10.42 17.44 6.953 15.68 11.16 3.739 8.264
[2,] 625.477 460.12 437.81 277.92 110.188 2752.66 529.26 39.395 670.254
[3,] 209.830 383.50 357.77 430.46 96.702 561.10 990.32 8.038 1129.697
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.052 7.243 7.188 3.994 7.201 8.184 4.328 8.335 8.153
[2,] 845.646 29.174 660.130 58.590 627.371 297.816 32.072 488.194 514.062
[3,] 940.223 160.986 519.863 62.137 634.790 359.812 34.504 736.956 363.466
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.779 7.089 7.937 7.15 2.392 6.904 1.912 6.145 6.439
[2,] 508.013 261.989 310.660 241.73 32.342 366.120 6.025 353.914 485.580
[3,] 327.197 272.612 183.744 204.72 49.350 168.789 29.131 180.255 360.264
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.343 3.294 7.475 8.639 8.816 4.796 9.785 8.552 3.711
[2,] 213.294 23.786 370.472 99.969 59.568 142.412 607.413 271.515 14.948
[3,] 177.905 29.828 295.288 115.288 334.572 62.144 527.732 403.745 17.713
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.499 7.22 6.611 4.245 6.266 2.236 6.62 2.726 6.572
[2,] 715.321 667.70 561.144 792.768 97.557 23.126 357.46 76.772 66.834
[3,] 552.466 406.22 508.506 605.955 17.588 31.689 591.97 115.416 267.145
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.093 8.348 9.844 3.764 7.355 6.192 6.901 3.166 7.221
[2,] 63.568 384.714 549.615 77.072 618.965 54.504 753.108 105.393 193.440
[3,] 88.288 245.422 120.064 66.014 222.671 203.771 466.485 77.044 71.065
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.763 9.673 8.895 10.46 7.784 6.82 2.135 6.578 5.228
[2,] 122.551 382.400 511.236 523.41 657.534 762.12 17.931 535.794 199.530
[3,] 143.256 196.318 227.322 479.65 199.180 346.95 71.466 557.878 224.114
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 7.724 3.833 5.111 2.966 8.457 6.066 12.68 12.8 3.172
[2,] 528.167 64.579 190.232 6.730 434.361 52.053 147.96 304.1 351.514
[3,] 555.811 123.035 172.446 43.291 333.307 109.901 155.22 423.0 220.543
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.379 5.203 4.889 5.653 4.271 7.07 24.59 20.84 10.66
[2,] 424.103 37.264 6.636 21.716 38.060 255.85 1626.64 2077.39 746.26
[3,] 88.864 57.051 38.118 233.354 58.425 391.91 1775.06 741.86 882.75
[1] "--- VAR model 2017-10-03 16:01:00 completed"
[1] "Completed training sample: 2017-10-03 16:01:00 - 2017-10-04 00:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 16:31:00 - 2017-10-04 00:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1752 0.3223 0.4884 1.1925
-0.6235 0.3856 0.5148 -2.7131
-0.7065 0.1503 0.8263 0.9011
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.7121 0.22270 -0.2378 -0.1823
0.1156 -0.03469 -0.4058 -0.9405
-2.0612 0.07944 -0.2804 -0.7872
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.83343 -2.975 -0.8801 -1.012
-0.04774 0.389 -0.3993 -1.840
-0.82224 -1.192 -0.4333 -2.035
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.19039 -0.2460 -1.1428 -0.2108
0.11248 -0.9451 -2.0248 -0.3549
-0.06961 0.1503 -0.3019 -0.3426
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.5229 0.20244 1.539 2.3870
-0.3128 -0.07925 1.318 2.5565
-0.7485 -1.22106 1.466 0.1272
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.2706 0.14735 4.3791 -4.2697
0.3088 0.09827 0.2491 2.2842
0.2894 0.01649 1.0470 -0.7692
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.02413 -3.7965 -1.7669 0.01792
0.03624 1.7036 -0.6945 -0.03621
0.00411 -0.2765 1.4206 0.06922
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.078 0.44028 2.8335 -0.9751
-2.999 -0.13243 -2.0682 -0.9762
1.255 -0.01054 -0.4185 -0.7614
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1678 -1.2333 -6.0824 -6.7050
-0.4349 -0.4471 0.2431 -0.5862
-0.2722 -2.7082 -2.2551 -1.4641
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8379 -1.0600 0.07127 0.17457
0.8917 0.7942 0.05279 0.36534
0.6602 -0.8516 0.11332 0.07836
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -0.9002 -3.671
0 0 -2.6548 -5.795
0 0 -0.3120 -4.494
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3145 0.25116 -2.555 -0.4269
0.4255 0.03836 -2.929 0.4516
0.4263 0.00472 -3.642 0.2985
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.5765 -1.2044 -5.830 1.8790
-0.8918 -0.3288 0.382 0.9621
-0.6617 -0.5248 -1.176 1.4882
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.096785 -2.8311 0.9149 0.2941
0.047018 -2.3009 -3.6284 -3.1435
-0.002956 -0.5983 -0.1268 -0.8224
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.540 -0.6812 0 -1.139
1.114 -0.5717 0 -4.038
-3.833 -0.5041 0 1.314
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.035343 -0.2836 0.09671 -1.0226
0.002689 -2.0387 -0.14858 -0.8936
-0.147994 0.1606 -0.17320 -2.2287
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.05665 0.2700 -2.3385 0.0058511
0.01281 0.2578 0.1709 0.0001431
-1.83785 0.2073 -1.1247 0.0013539
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.4620 -0.31482 -1.4260 -0.3888
-1.1437 -0.29536 -0.3623 -0.6799
-0.6599 0.04337 -0.8130 -0.4541
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7860 -2.556 1.1880 -1.2203
-0.4136 -1.916 0.9132 -0.4440
-0.2675 -1.222 0.2216 -0.7152
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.0820 0.4567 -1.6301 0.8862
-0.8384 0.3470 -1.2565 0.3345
-0.8749 0.1602 -0.4982 0.3650
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.319 -0.004184 0.43432 0
-2.492 -0.686862 -1.50116 0
-1.093 -0.295416 0.03061 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.164 0.25588 0.13615 1.8991
1.512 0.17173 0.08432 0.8194
1.369 0.04629 0.01901 1.6546
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.03109 0.21699 -1.0829 244.1
-1.87080 0.15983 -0.7593 243.5
0.20216 0.01094 -0.8597 244.8
rnd_95776.volume rnd_95787.volume
-1.060 -2.6591
-4.499 2.0947
-3.411 -0.6551
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.511 4.389 11.02 5.338 6.521 3.136 2.740 6.251 6.891 4.635 3.893
[2,] 5.557 4.405 11.17 6.774 7.145 3.174 2.802 6.281 6.897 7.002 4.626
[3,] 5.649 4.452 11.48 7.529 7.570 3.365 2.952 6.356 6.944 7.037 4.760
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.895 4.273 5.554 7.697 5.529 6.537 5.924 12.02 7.378 12.35 5.105
[2,] 6.103 4.383 5.752 7.847 5.647 7.150 7.216 12.39 8.038 12.53 5.121
[3,] 6.396 4.573 6.009 8.391 5.689 7.388 7.352 12.64 8.225 12.84 5.132
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.89 8.458 2.777 6.166 6.254 5.543 5.416 2.960 5.351 6.283 3.326
[2,] 21.00 9.134 2.790 7.580 8.243 5.544 6.990 3.007 6.800 6.544 3.329
[3,] 21.37 10.971 2.792 10.262 10.162 5.647 7.826 3.048 7.926 6.977 3.334
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.379 6.156 6.336 5.407 6.116 5.465 1.819 5.082 1.438 4.640 4.895
[2,] 7.020 6.956 7.311 5.643 6.508 5.666 1.826 5.568 1.438 5.229 5.723
[3,] 8.398 7.352 7.636 5.880 6.639 5.815 1.856 5.649 1.449 5.373 6.248
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.069 2.532 5.722 6.497 6.831 3.585 7.311 6.481 2.808 6.271 5.381
[2,] 4.299 2.538 6.272 6.509 6.836 3.715 8.510 6.694 2.808 7.579 6.853
[3,] 4.445 2.543 6.494 6.548 7.150 3.743 9.145 7.176 2.816 8.672 7.423
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.893 3.180 4.711 1.628 4.894 2.028 4.625 3.730 6.188 7.440 2.768
[2,] 5.931 5.990 4.739 1.636 5.378 2.089 4.641 3.742 6.566 8.221 2.825
[3,] 6.731 7.086 4.742 1.646 6.587 2.195 4.947 3.791 6.696 8.245 2.841
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.491 4.726 4.986 2.402 5.453 5.599 7.350 6.639 7.985 5.828 4.808
[2,] 6.663 4.728 6.901 2.491 5.603 5.634 7.706 7.418 8.617 7.418 7.257
[3,] 6.817 4.852 7.375 2.534 5.614 5.717 7.809 7.556 9.118 7.530 7.595
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.606 4.677 3.885 5.759 2.795 3.850 2.158 6.061 4.370 9.891 9.784
[2,] 1.608 5.911 4.045 6.733 2.831 4.055 2.158 6.604 4.384 9.935 9.905
[3,] 1.671 7.026 4.193 7.830 2.928 4.210 2.167 6.840 4.423 9.975 10.362
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.295 2.420 3.596 3.347 4.143 3.294 4.981 19.68 16.05 7.818
[2,] 3.161 3.454 3.611 3.347 4.152 3.304 5.218 22.64 21.31 9.332
[3,] 3.424 3.485 3.620 3.348 4.427 3.325 5.740 25.57 21.87 10.696
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.998 5.573 13.99 6.778 8.281 3.983 3.479 7.938
[2,] 115.944 61.439 292.45 674.682 472.469 79.084 95.284 98.701
[3,] 164.144 104.468 432.46 531.782 404.776 181.003 150.327 158.476
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.751 5.886 4.944 7.486 5.426 7.052 9.774 7.021
[2,] 45.924 849.137 404.084 255.668 158.204 242.274 246.567 185.414
[3,] 130.526 113.149 181.627 309.561 210.787 281.108 480.828 111.867
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.301 7.522 15.26 9.369 15.68 6.483 15.09 10.74 3.526
[2,] 468.641 666.606 489.84 516.079 341.68 66.074 2799.95 557.95 43.823
[3,] 301.376 227.703 405.74 282.413 457.48 54.002 647.73 983.11 15.351
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.83 7.941 7.039 6.877 3.759 6.794 7.978 4.223 8.1
[2,] 713.27 868.694 20.948 714.966 85.472 678.795 296.376 22.847 474.3
[3,] 1119.15 961.535 173.655 569.343 81.289 658.933 391.223 29.962 745.5
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 7.818 8.046 6.865 7.766 6.94 2.31 6.454 1.826 5.892
[2,] 523.807 589.911 261.332 360.335 242.07 25.75 367.855 2.610 390.063
[3,] 385.397 357.119 267.439 211.987 211.35 53.78 155.075 28.366 200.174
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 6.216 5.167 3.216 7.267 8.25 8.674 4.553 9.283 8.23
[2,] 479.636 224.638 27.143 415.509 63.73 44.182 157.586 704.594 271.19
[3,] 405.824 182.515 27.191 272.329 115.91 338.675 73.763 542.053 418.48
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.565 7.963 6.833 6.213 4.038 5.982 2.068 6.214 2.575
[2,] 9.243 688.696 686.565 542.353 821.182 82.755 25.567 360.676 81.474
[3,] 34.639 681.961 461.528 514.913 612.551 27.676 28.962 615.420 109.047
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 5.873 4.737 7.858 9.447 3.515 6.973 6.002 6.332 3.05
[2,] 62.636 48.273 355.365 565.809 91.547 610.365 19.284 771.837 107.05
[3,] 277.039 98.222 212.377 102.431 48.191 233.374 176.985 420.665 75.09
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.924 7.11 9.333 8.43 10.14 7.401 6.106 2.039 5.939
[2,] 208.969 102.23 374.518 535.55 524.37 742.320 879.302 14.294 584.707
[3,] 56.988 156.96 204.961 232.38 482.15 210.116 362.765 73.343 614.555
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.933 7.313 3.55 4.889 2.741 7.697 5.55 12.56 12.42
[2,] 182.386 564.516 73.00 206.172 2.324 424.345 55.98 151.63 249.92
[3,] 178.945 646.611 120.50 183.162 31.736 288.339 94.96 144.43 492.36
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.915 3.073 4.566 4.250 5.261 4.182 6.325 24.99 20.38
[2,] 351.473 398.622 52.600 9.401 45.008 42.134 251.723 1809.89 2267.37
[3,] 213.242 76.093 42.228 12.768 248.478 61.209 386.579 1921.94 794.40
[,98]
[1,] 9.928
[2,] 824.323
[3,] 845.717
[1] "--- VAR model 2017-10-03 16:31:00 completed"
[1] "Completed training sample: 2017-10-03 16:31:00 - 2017-10-04 00:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 17:01:00 - 2017-10-04 01:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.08277 0.6658 -0.76830 -4.5484
-0.11585 0.4975 -0.22966 0.4394
-0.02392 0.3796 -0.08759 -0.9268
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.3427 0 0.0369 0.4139
-4.6998 0 0.1753 0.6457
-0.7115 0 0.1677 0.3781
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.2720 1.8475 1.1961 -0.8038
0.9281 0.2988 1.1322 -1.2008
0.5594 0.9606 0.8659 -2.4760
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.99975 0.006566 0.2007 0.12041
-0.11375 0.662088 0.8136 0.54041
-0.01604 0.071464 0.1989 0.06763
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.4621 -1.6056 1.1247 3.510
0.3674 0.3396 0.7757 1.004
1.0309 0.4111 1.2041 2.125
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.9736 0.08015 -1.000 -1.6690
-0.7686 0.13118 -1.430 -0.8335
-0.5365 0.09101 -1.043 -0.4991
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.12472 -0.2327 1.3845 -0.51149
0.19644 -0.9485 -0.9379 -0.07464
0.08072 -0.7414 -0.2894 0.02756
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.5409 -0.05359 -5.7709 -0.2404
0.3981 -0.01533 0.7623 -0.5792
-0.9531 0.03030 -0.9996 -0.4435
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9346 -6.16 -6.4420 -5.324
-0.6339 -1.92 -5.0521 -5.138
-0.1602 -1.12 -0.9893 -1.880
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.2709 0.8951 0 0.37120
1.3586 0.6886 0 0.08877
0.7479 -0.6750 0 0.07666
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.053821 0 -2.319 -3.809
-0.020410 0 -2.655 -4.064
-0.008482 0 -2.148 -4.265
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.02220 -0.125334 -0.3813 0.87683
0.03623 -0.008631 -2.9694 0.24441
0.15535 0.044988 -2.4743 0.09497
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.2325 -0.7786 -1.8568 2.357
-0.4440 -0.1021 -1.3304 1.086
-0.4944 -0.5440 0.8239 1.222
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.048771 -1.1389 -0.2668 0.502
0.003299 -2.0995 -1.1516 -0.956
0.002685 0.1504 -0.9286 -1.291
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.6944 -0.37586 0.3438 1.64986
-0.2922 -0.07497 0.2184 -0.87740
-1.4097 -0.19470 0.1293 0.03922
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2467 1.2807 -0.1759 4.5636
0.2655 -0.2733 -0.6652 1.9171
0.3345 0.2505 -0.3905 0.8787
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.6650 0.12492 2.523 -0.30746
2.3677 0.01613 2.983 0.23122
0.6042 0.01558 1.326 -0.07826
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.315 0.7163 -0.2059 -0.1440
4.204 0.1994 -0.1284 -0.0535
2.012 0.3320 -0.4107 -0.2847
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.8113 -1.37637 0.6442 0.748473
0.6915 0.28588 0.6594 0.256521
0.4044 -0.01622 0.3493 -0.008776
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.1519 0.06898 2.2681 -0.24414
-0.7154 0.14628 0.2926 -0.04005
0.4444 0.10796 0.2121 -0.26182
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.3899 0.28475 -0.1365 -0.02615
0.5758 0.40898 -0.4793 0.11723
-0.4059 -0.07403 -0.4398 0.09475
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.7400 0.4737 0.4785 -0.1943
0.6028 0.4127 0.2624 -0.3982
0.5822 0.2203 0.1056 -0.4364
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.03928 0.05499 0.08184 0.0501365
0.06378 -0.01113 0.10569 0.0051428
0.04235 0.01141 0.04545 0.0005467
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.2731 0.22055 -0.9744 260.0
-0.4321 -0.02161 -0.9879 262.2
0.1321 0.03013 -0.6989 263.7
rnd_95776.volume rnd_95787.volume
-6.474 -2.2726
2.157 -0.2561
-4.459 -0.8064
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.204 4.148 10.50 5.180 5.861 2.729 2.651 5.841 6.419 4.323 3.582
[2,] 5.225 4.160 10.63 6.649 6.713 2.742 2.706 5.847 6.422 6.455 4.275
[3,] 5.302 4.220 10.90 7.409 7.172 2.854 2.844 5.935 6.490 6.482 4.388
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.394 3.848 5.237 6.789 5.449 6.117 5.275 11.86 7.138 10.46 4.717
[2,] 5.490 4.003 5.451 6.940 5.560 6.688 6.692 12.24 7.730 10.67 4.740
[3,] 5.823 4.065 5.708 7.349 5.600 7.022 6.832 12.48 7.974 10.97 4.775
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.86 7.966 2.601 5.882 5.888 5.482 5.143 2.827 5.008 6.091 3.078
[2,] 19.90 8.447 2.618 7.043 7.738 5.484 6.771 2.836 6.342 6.354 3.121
[3,] 20.28 10.258 2.619 9.805 9.711 5.594 7.586 2.863 7.497 6.787 3.152
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.195 5.647 5.898 5.368 5.610 5.294 1.785 4.648 1.405 4.398 4.740
[2,] 6.820 6.611 7.066 5.581 5.903 5.473 1.792 4.971 1.405 5.011 5.521
[3,] 7.943 7.074 7.392 5.790 6.026 5.613 1.825 5.025 1.414 5.221 6.025
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.921 2.411 5.372 6.127 6.633 3.521 6.988 6.315 2.678 5.874 5.195
[2,] 4.140 2.418 5.799 6.139 6.634 3.664 7.990 6.501 2.678 7.050 6.549
[3,] 4.285 2.422 6.034 6.191 6.877 3.690 8.582 6.909 2.682 7.844 7.042
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.696 2.949 4.461 1.506 4.502 1.943 4.442 3.652 5.764 7.155 2.493
[2,] 5.713 5.766 4.491 1.511 4.942 1.996 4.473 3.662 6.160 7.935 2.514
[3,] 6.512 6.718 4.495 1.523 6.202 2.100 4.764 3.718 6.262 7.973 2.533
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.360 4.663 4.857 2.222 5.037 5.364 7.014 6.252 7.398 5.453 4.426
[2,] 6.764 4.663 6.627 2.298 5.134 5.379 7.247 7.275 7.779 7.130 6.781
[3,] 6.859 4.766 7.131 2.341 5.151 5.439 7.323 7.380 8.121 7.199 7.159
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.596 4.373 3.682 4.896 2.585 3.566 2.008 5.336 4.085 9.853 9.432
[2,] 1.599 5.575 3.769 5.753 2.600 3.759 2.009 6.165 4.101 9.896 9.536
[3,] 1.655 6.741 3.847 7.013 2.694 3.920 2.023 6.350 4.157 9.930 9.916
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.993 2.170 3.063 2.843 3.903 3.221 4.455 20.37 15.58 7.663
[2,] 2.798 3.029 3.063 2.858 3.915 3.236 4.624 23.32 20.11 8.860
[3,] 2.991 3.046 3.080 2.859 4.195 3.266 5.037 26.05 20.59 10.051
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.609 5.267 13.33 6.577 7.443 3.465 3.366 7.417
[2,] 82.576 57.287 293.55 748.596 587.838 49.047 97.435 49.774
[3,] 162.040 127.636 434.74 586.931 453.059 141.775 157.442 182.407
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.152 5.489 4.548 6.849 4.887 6.651 8.622 6.919
[2,] 31.463 860.787 419.005 184.141 197.824 271.139 258.000 198.616
[3,] 168.226 105.514 177.708 348.548 127.296 304.172 434.361 120.369
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.767 6.699 15.06 9.064 13.28 5.99 13.79 10.12 3.303
[2,] 485.807 739.430 546.12 533.028 384.26 83.15 2994.18 504.41 53.913
[3,] 383.959 246.866 431.32 351.493 453.44 103.89 705.01 1045.21 12.353
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.47 7.476 6.962 6.531 3.59 6.36 7.735 3.908 7.867
[2,] 695.51 901.751 22.862 790.669 41.02 698.70 324.659 93.085 511.865
[3,] 1224.79 1053.542 198.433 614.250 70.63 717.84 428.402 78.601 731.139
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 7.171 7.49 6.817 7.124 6.723 2.267 5.902 1.784 5.584
[2,] 617.162 698.83 273.773 329.877 249.308 28.077 316.544 4.941 431.554
[3,] 452.279 389.37 277.042 217.741 223.638 61.962 131.634 28.656 262.948
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 6.019 4.979 3.062 6.822 7.781 8.422 4.471 8.874
[2,] 508.392 238.547 32.081 392.403 69.484 27.073 182.129 695.576
[3,] 433.221 198.325 24.754 299.092 142.944 325.062 77.798 562.720
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 8.019 3.401 7.459 6.597 5.963 3.744 5.665 1.912 5.716
[2,] 277.532 2.827 700.066 715.869 584.175 889.710 91.967 23.048 366.116
[3,] 420.030 26.669 617.640 464.782 561.401 618.985 36.339 34.301 672.953
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.467 5.64 4.638 7.32 9.085 3.166 6.806 5.921 6.168
[2,] 82.659 94.60 48.303 389.84 616.142 57.846 740.904 8.516 809.508
[3,] 116.976 294.62 115.294 203.07 139.063 55.911 204.475 176.497 472.768
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.821 6.397 6.811 8.906 7.939 9.395 6.924 5.621
[2,] 105.592 178.277 73.778 327.333 667.971 431.747 824.814 922.429
[3,] 79.632 75.029 144.255 189.390 223.391 418.805 178.978 412.436
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.026 5.553 4.675 6.217 3.282 4.528 2.550 6.776 5.187
[2,] 19.827 620.953 145.286 542.445 50.382 213.351 9.642 554.393 66.287
[3,] 76.673 680.624 138.445 720.191 127.077 200.125 42.319 273.413 121.860
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 12.51 11.98 2.531 2.755 3.89 3.611 4.956 4.09 5.658
[2,] 164.24 252.14 352.704 379.518 6.43 52.449 54.659 56.74 222.545
[3,] 148.31 488.15 189.529 58.142 57.81 6.259 270.641 79.08 358.324
[,96] [,97] [,98]
[1,] 25.87 19.78 9.731
[2,] 2037.85 2285.28 798.608
[3,] 2083.26 789.62 852.027
[1] "--- VAR model 2017-10-03 17:01:00 completed"
[1] "Completed training sample: 2017-10-03 17:01:00 - 2017-10-04 01:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 17:31:00 - 2017-10-04 01:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2876 0.02793 -2.0028 -0.95136
-0.1883 -0.06303 -1.1665 -2.90952
-0.2646 -0.05267 -0.7721 0.03872
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.543 0.2638 0.6745 -0.24403
-1.369 0.5423 1.2868 -0.24421
-2.055 0.1624 0.8581 0.04683
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.288256 0.2115 0.2213 -3.430
-0.211548 -0.3359 -0.1747 -1.489
-0.001957 -0.3082 -0.1596 -3.285
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.28387 -0.97373 -1.5497 -0.08018
-0.03305 -0.05065 -0.3972 0.89781
0.27022 -0.16795 -0.3491 -0.50351
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.04254 -0.1372 -1.6681 -2.1941
0.13373 -0.6443 -0.6125 -0.5662
0.07292 0.3352 -0.3987 -1.5663
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.02000 0.12249 -0.2121 -2.69104
-0.40404 0.01794 -2.5482 -0.01134
-0.08298 0.01169 -1.2116 -1.51385
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -3.432 -2.3526 0.6416
0 0.174 -0.2714 0.2038
0 -1.065 -0.9199 0.3535
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.64180 0.02293 -1.61210 0
-2.88837 0.13574 -2.35531 0
-0.04584 0.01753 -0.03265 0
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.3492 -2.551 -2.688 -3.447
-0.1376 -2.416 -1.212 -2.257
-0.3475 -2.108 -2.064 -2.474
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.44053 -1.0133 1.2133 0
-0.32348 0.4127 0.9721 0
0.03197 0.2348 0.6615 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -1.2550 -3.883
0 0 -1.2888 -3.498
0 0 -0.7932 -3.628
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.2872 0.12600 -1.784 0.08954
-0.8162 -0.17192 -2.234 -0.22542
-0.5911 -0.00389 -1.926 -0.04094
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.697337 -0.7517 -2.59877 1.1369
0.089742 -0.3999 -1.61384 0.3057
0.005435 -0.4331 0.01819 0.2294
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.04720 -0.5951 2.510 3.749
-0.14232 -2.4580 -1.678 -1.421
0.08546 -0.5034 -1.174 -1.434
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.7198 -0.2370 0.2181 0.84466
2.4118 -0.2563 0.1822 0.02598
-1.9109 -0.2234 0.1790 2.73542
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.3423 -0.1942 0.5731 0.5413
0.2114 -0.3828 0.5206 0.3172
0.7850 1.6831 0.2915 0.7632
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.7404 0.116806 2.7320 0.12544
-0.3098 0.014328 0.1387 0.25977
-0.3793 0.009803 -0.2057 0.03924
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.15161 -0.04967678 -0.4382 -0.3257
0.95914 -0.00026157 -0.3336 -0.3018
0.09367 0.00005518 -0.2868 -0.2962
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1257 -0.4568 0.6182 -1.3525
0.1373 -0.3168 1.2247 -0.2996
-0.1195 -0.4736 0.4345 -0.3100
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.3950 0.1730 0.64072 0.20166
-0.3468 0.2387 -1.36199 -0.12472
0.3555 0.1290 -0.04911 0.05637
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.89960 0.7378 1.3925 0.007818
-2.40395 -0.2752 -0.6859 0.096901
-0.04798 -0.1604 -0.5498 0.123622
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.17399 0.058803 -0.20810 0.2880
-0.57950 -0.113461 -0.06671 0.5274
-0.03415 -0.004365 -0.02294 0.3669
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.06724 0 -0.8374 254.3
-0.46147 0 -0.9790 255.4
1.34493 0 -0.7664 255.9
rnd_95776.volume rnd_95787.volume
-6.4854 -0.8581
-0.4682 -0.9401
-3.6282 -1.0580
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.991 4.000 9.996 4.856 5.546 2.469 2.520 5.358 6.148 4.389 3.197
[2,] 5.010 4.003 10.139 6.235 6.565 2.485 2.556 5.358 6.159 6.060 3.772
[3,] 5.082 4.031 10.349 6.990 7.009 2.578 2.681 5.398 6.196 6.063 3.855
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.093 3.802 4.953 5.791 5.173 5.815 4.598 11.91 6.793 10.04 4.425
[2,] 5.185 3.803 5.269 6.033 5.298 6.363 6.240 12.49 7.378 10.27 4.472
[3,] 5.406 3.865 5.506 6.500 5.358 6.724 6.400 12.80 7.748 10.49 4.492
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.08 7.657 2.399 5.465 5.422 5.346 4.868 2.579 4.725 5.817 2.952
[2,] 18.62 8.133 2.408 6.532 7.341 5.347 6.418 2.597 5.821 6.032 2.999
[3,] 19.03 9.953 2.408 9.215 9.211 5.475 7.160 2.607 7.140 6.419 3.033
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.857 4.918 5.280 5.268 5.094 4.729 1.736 4.293 1.375 4.123 4.588
[2,] 6.438 6.349 6.727 5.443 5.354 4.840 1.743 4.560 1.376 4.778 5.292
[3,] 7.688 6.776 7.121 5.620 5.434 4.961 1.779 4.603 1.385 5.043 5.818
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.809 2.191 5.115 5.750 6.486 3.319 6.800 5.789 2.372 5.354 4.915
[2,] 4.004 2.192 5.628 5.757 6.487 3.461 7.641 6.012 2.372 6.431 6.301
[3,] 4.149 2.193 5.800 5.828 6.733 3.492 8.116 6.412 2.375 7.233 6.723
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.451 2.768 4.287 1.382 3.869 1.932 4.136 3.558 5.119 6.777 2.123
[2,] 5.411 5.358 4.308 1.388 4.358 1.991 4.196 3.570 5.403 7.510 2.139
[3,] 6.194 6.370 4.314 1.408 5.796 2.077 4.574 3.625 5.554 7.529 2.146
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.242 4.414 4.265 2.198 4.858 5.213 6.583 5.908 7.015 5.057 4.061
[2,] 6.321 4.416 6.441 2.198 4.941 5.225 6.685 7.033 7.246 6.962 6.352
[3,] 6.383 4.451 6.831 2.198 4.958 5.276 6.710 7.097 7.467 6.996 6.698
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.516 3.989 3.377 4.376 2.401 3.330 1.914 4.757 3.944 9.549 8.513
[2,] 1.517 5.281 3.425 5.333 2.419 3.531 1.915 5.755 3.951 9.567 8.600
[3,] 1.531 6.610 3.457 6.697 2.525 3.687 1.923 5.812 3.982 9.610 8.889
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.714 1.776 2.828 2.554 3.649 3.107 4.169 20.71 14.78 7.357
[2,] 2.393 2.687 2.834 2.588 3.674 3.127 4.340 23.67 18.91 8.477
[3,] 2.565 2.688 2.841 2.588 3.977 3.142 4.687 26.38 19.37 9.608
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.338 5.08 12.69 6.167 7.043 3.136 3.20 6.804 7.807
[2,] 86.629 29.25 339.86 784.418 704.520 55.819 85.27 5.445 73.825
[3,] 171.216 95.59 416.48 633.938 492.747 137.533 162.63 130.996 135.278
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.574 4.059 6.467 4.828 6.289 7.354 6.569 7.385
[2,] 838.097 401.507 195.341 18.744 360.466 338.916 229.795 517.870
[3,] 38.154 160.313 306.390 137.786 320.323 485.694 159.665 436.233
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.838 15.13 8.626 12.75 5.619 12.8 9.723 3.046 6.94
[2,] 846.324 752.01 577.710 431.67 130.060 3140.9 549.784 41.808 717.78
[3,] 285.349 559.79 474.658 437.50 84.832 783.3 1150.741 8.965 1303.81
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.885 6.788 6.182 3.275 6.001 7.387 3.748 7.437
[2,] 992.762 21.259 838.892 60.376 681.986 319.672 106.365 536.279
[3,] 1115.910 236.564 636.628 45.614 829.135 440.353 91.322 842.935
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 6.246 6.705 6.689 6.469 6.005 2.204 5.451 1.746 5.235
[2,] 805.433 835.917 275.097 330.367 206.473 31.613 308.645 8.757 484.506
[3,] 474.746 468.837 280.757 186.515 219.147 71.589 125.242 31.295 323.725
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 5.827 4.837 2.782 6.495 7.302 8.237 4.215 8.635
[2,] 528.863 247.402 16.171 470.989 55.618 24.740 196.221 699.076
[3,] 485.033 218.239 9.145 281.307 182.032 361.689 94.284 548.397
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 7.351 3.012 6.799 6.241 5.652 3.515 5.444 1.755 4.913
[2,] 325.459 2.420 714.489 791.032 617.404 920.117 84.100 25.266 402.254
[3,] 447.547 23.535 664.388 470.182 604.653 691.052 47.586 47.320 766.674
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.454 5.252 4.519 6.5 8.606 2.696 6.656 5.606 5.416
[2,] 96.372 141.593 57.012 347.2 649.020 52.277 708.655 20.280 968.094
[3,] 118.644 365.352 126.361 257.8 107.405 35.799 177.585 112.348 456.495
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.791 6.169 6.619 8.36 7.502 8.908 6.421 5.157 1.925
[2,] 3.196 181.466 72.694 233.10 765.683 364.359 959.923 979.768 11.427
[3,] 2.252 81.423 146.000 116.32 190.816 361.674 138.048 426.405 41.715
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.066 4.289 5.557 3.049 4.229 2.431 6.041 5.008 12.13
[2,] 694.165 114.110 611.380 58.969 235.214 3.560 649.671 48.050 117.06
[3,] 797.165 94.671 812.473 145.186 213.134 37.259 161.738 99.218 181.08
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 10.81 2.176 2.256 3.591 3.243 4.633 3.946 5.294 26.3
[2,] 246.02 335.121 404.331 36.492 84.095 85.496 69.821 241.608 2295.9
[3,] 450.36 184.992 17.830 42.173 4.385 305.594 62.252 355.266 2339.2
[,97] [,98]
[1,] 18.77 9.342
[2,] 2365.86 844.573
[3,] 839.07 907.297
[1] "--- VAR model 2017-10-03 17:31:00 completed"
[1] "Completed training sample: 2017-10-03 17:31:00 - 2017-10-04 01:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 18:01:00 - 2017-10-04 02:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.4561 -0.1142 -1.2767 -1.8393
-0.4065 -0.1092 -0.7197 0.2359
-0.3156 -0.0691 -1.5218 -2.8062
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.2942 0 0.1523 -0.2399
-0.7436 0 0.5558 0.1261
-0.5231 0 0.1376 0.1249
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.09982 0.9989 0.31432 -0.9099
0.27950 -0.1598 -0.08324 -1.1131
0.10903 0.1053 0.12794 -1.0988
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.13161 0.007905 -0.3640 -0.6453
-0.11052 0.571990 0.4169 -0.3814
-0.01331 -0.047269 -0.3436 -0.5216
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.6057 -1.1569 -0.08235 2.2418
-1.0416 -0.2636 0.14759 -0.7761
-0.3859 -0.3280 -0.41551 0.3113
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.3470 0.19099 -7.167 0.5077
-0.4839 0.13155 -2.280 -3.0943
-0.9459 0.04086 -1.275 -0.5479
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 0.9645 -1.166 0.3303
0 -3.3214 -1.233 0.8293
0 -0.6953 -2.091 0.5858
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.7866 -0.16699 -0.8893 -0.3467
0.2315 -0.09672 -0.8553 -0.4756
-2.8366 -0.05750 -1.4419 -0.3276
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.394732 -1.3073 -2.6843 -2.7217
-0.323324 -1.3862 -0.9335 -1.0608
0.001827 -0.7642 -0.7071 -0.7891
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.1325 -0.3802 0 0
1.1624 0.2078 0 0
0.9946 0.4632 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 1.0011 -0.6402
0 0 -1.4269 -0.8678
0 0 -0.5508 -1.3345
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.9064 0.05507 -0.06653 -0.1924
0.6560 0.01223 -0.12752 0.2952
0.3554 -0.11535 -0.63316 0.1131
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1683 -0.29644 1.3206 0.3608
0.1341 0.03885 0.6954 0.9156
-0.1660 -0.03653 -0.2114 1.2865
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.10999 -1.7412 -2.1337 -0.8884
-0.01986 1.4824 0.5265 -0.9498
0.09536 -0.1517 0.6360 1.2655
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.357 0 0.076169 0.5265
-1.974 0 0.047543 0.8756
0.551 0 0.009743 -2.1335
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5896 -0.2071 0.2034 -0.25758
-0.4881 0.5011 0.0311 0.81523
-0.4538 -0.7067 -0.1214 0.05927
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.8462 -0.10908 0.09164 0.03032
0.4909 -0.03443 -0.16676 0.24936
0.2885 0.07184 0.75998 0.02808
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.4402 -0.09200 -0.47135 -0.2863
-0.1650 0.01108 -0.19391 -0.4653
0.5028 -0.01911 -0.07131 -0.3969
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.04983 -0.06381 0.04507 -1.2004
0.00260 -0.66963 0.34754 -0.5709
-0.01438 -0.32136 0.13075 -0.4151
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.65600 0 -0.8077 0
-0.02195 0 -0.9933 0
-0.34708 0 -0.3498 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.35249 -0.38223 -0.7669 0
-1.59345 -0.32959 0.0120 0
0.06716 -0.05481 0.3393 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.7788 -0.08027 -0.035925 0.5482
-0.1128 -0.10203 -0.002233 0.1256
0.8880 -0.01770 -0.003464 0.0485
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.3324 0 -0.9014 246.5
0.6716 0 -0.6907 248.3
-0.5789 0 -0.7953 248.6
rnd_95776.volume rnd_95787.volume
3.0256 0.3789
-1.0972 -3.2072
0.3358 -0.5324
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.738 3.774 9.090 4.575 5.213 2.022 2.230 5.230 6.025 4.228 2.967
[2,] 4.758 3.782 9.172 5.752 6.242 2.025 2.232 5.230 6.033 5.905 3.537
[3,] 4.823 3.803 9.285 6.386 6.651 2.121 2.376 5.271 6.069 5.908 3.593
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.960 3.530 4.452 5.464 4.961 4.630 4.073 11.43 6.960 8.997 4.242
[2,] 5.125 3.532 4.763 5.735 5.028 5.574 5.614 11.95 7.370 9.164 4.304
[3,] 5.369 3.563 5.030 6.177 5.094 5.779 5.940 12.29 7.909 9.273 4.337
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.715 7.193 2.055 5.121 5.119 5.125 4.603 2.404 4.439 5.427 2.861
[2,] 17.131 7.582 2.056 6.087 6.929 5.126 5.999 2.416 5.479 5.548 2.915
[3,] 17.379 9.202 2.065 8.436 7.770 5.234 6.669 2.422 6.768 5.802 2.953
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.647 4.586 4.670 5.124 4.368 4.656 1.672 3.817 1.341 3.904 4.121
[2,] 6.171 6.010 6.127 5.291 4.707 4.757 1.676 3.971 1.342 4.439 4.871
[3,] 7.232 6.417 6.570 5.461 4.783 4.865 1.716 3.981 1.350 4.731 5.318
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.728 2.065 4.780 5.186 6.189 3.069 5.929 5.314 2.143 5.008 4.529
[2,] 3.777 2.068 5.169 5.187 6.191 3.208 6.617 5.485 2.143 5.870 5.563
[3,] 3.940 2.069 5.364 5.275 6.434 3.233 7.227 5.853 2.144 6.588 5.873
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.222 2.429 4.007 1.203 3.572 1.862 3.788 3.377 3.805 5.708 1.811
[2,] 5.075 5.025 4.041 1.207 3.929 1.908 3.831 3.390 4.471 6.826 1.862
[3,] 5.676 5.783 4.051 1.211 5.419 1.970 4.257 3.427 4.674 6.864 1.900
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.740 4.075 3.611 1.952 4.620 4.971 6.052 5.572 6.270 4.835 3.380
[2,] 5.397 4.100 5.102 2.030 4.696 4.984 6.060 6.774 6.285 6.722 5.965
[3,] 5.502 4.101 5.642 2.053 4.723 5.037 6.060 6.819 6.288 6.746 6.321
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.387 3.013 3.123 3.618 2.249 3.189 1.796 4.122 3.736 9.312 7.652
[2,] 1.387 4.507 3.129 4.700 2.263 3.347 1.797 5.003 3.748 9.329 7.738
[3,] 1.398 6.172 3.144 6.366 2.368 3.482 1.805 5.027 3.767 9.373 7.931
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.383 1.397 2.149 2.155 3.423 2.944 3.874 21.06 14.01 7.229
[2,] 1.811 2.173 2.162 2.167 3.448 2.968 4.012 23.89 17.32 7.677
[3,] 2.055 2.176 2.176 2.168 3.729 2.980 4.327 26.63 17.64 9.210
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.017 4.793 11.54 5.81 6.62 2.567 2.832 6.642 7.65
[2,] 100.259 55.818 283.12 808.30 796.24 28.447 19.843 9.505 74.06
[3,] 183.828 92.797 335.07 643.26 532.32 146.387 189.278 151.191 153.61
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.369 3.767 6.298 4.482 5.653 6.939 6.3 5.879 5.172
[2,] 955.878 446.727 299.021 29.951 392.947 403.599 190.2 719.948 895.916
[3,] 47.790 146.337 371.116 108.867 375.058 532.238 188.6 353.529 450.376
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 14.52 8.838 11.42 5.387 12.34 9.134 2.61 6.503
[2,] 803.66 562.560 404.28 169.234 3272.13 555.730 14.81 763.069
[3,] 670.88 665.314 328.93 123.117 678.72 1209.362 43.20 1354.633
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.501 6.508 5.845 3.053 5.637 6.891 3.633 7.171
[2,] 1083.038 24.195 892.181 55.011 744.752 266.880 129.753 576.971
[3,] 815.011 244.984 675.794 39.729 921.453 394.393 109.260 874.418
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.824 5.93 6.507 5.547 5.912 2.123 4.847 1.703 4.957
[2,] 900.665 920.00 305.828 406.736 226.421 27.904 253.859 12.300 490.300
[3,] 521.756 549.73 313.304 196.362 236.303 85.782 66.406 33.586 379.550
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 5.233 4.734 2.623 6.069 6.585 7.859 3.897 7.529
[2,] 602.286 141.220 26.455 456.246 28.785 34.975 216.580 681.291
[3,] 494.982 259.885 6.213 332.395 222.249 406.261 94.259 674.393
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.748 2.721 6.359 5.751 5.361 3.085 5.088 1.527
[2,] 314.828 6.366 710.404 749.371 653.361 1020.068 121.542 23.153
[3,] 473.645 10.676 693.564 436.076 589.493 663.852 67.708 23.193
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 4.536 2.364 4.81 4.288 4.831 7.248 2.299 6.019
[2,] 379.188 96.747 132.13 69.558 544.334 868.171 100.852 598.441
[3,] 865.779 113.892 430.47 115.470 316.002 168.927 86.941 248.240
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 5.174 4.585 2.479 5.867 6.312 7.685 7.075 7.962 6.14
[2,] 104.765 836.012 129.301 194.723 83.540 70.191 893.337 99.901 1082.97
[3,] 26.246 558.404 70.598 117.479 169.380 7.073 182.398 47.094 131.92
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.293 1.761 3.826 3.966 4.594 2.856 4.049 2.281 5.234
[2,] 1139.808 7.116 777.315 46.356 695.897 56.849 235.479 4.994 657.725
[3,] 484.708 40.413 978.062 69.621 995.753 162.305 223.175 40.904 112.219
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 4.745 11.82 9.717 1.756 1.774 2.729 2.736 4.347 3.739
[2,] 67.902 134.53 266.477 271.362 385.869 55.441 53.879 96.018 87.063
[3,] 88.352 208.42 404.132 225.049 26.872 56.376 13.122 329.446 63.095
[,95] [,96] [,97] [,98]
[1,] 4.919 26.75 17.79 9.18
[2,] 242.370 2613.95 2362.17 599.29
[3,] 375.617 2728.44 773.54 1179.89
[1] "--- VAR model 2017-10-03 18:01:00 completed"
[1] "Completed training sample: 2017-10-03 18:01:00 - 2017-10-04 02:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 18:31:00 - 2017-10-04 02:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6997 -0.008232 -0.49646 -2.2663
-0.3418 0.076336 -0.60143 -2.1752
-0.1908 0.015032 -0.04688 -0.2356
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.921 0 0.12104 -0.05225
-1.053 0 0.01356 0.15219
-2.222 0 0.03351 0.06891
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.160705 1.28454 0.03400 -0.8042
-0.072805 -0.01878 0.29150 -0.9210
-0.008911 -0.03198 0.01377 -1.1586
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.10736 -0.9548 -0.7878 -0.22627
-0.12899 0.3702 0.5131 -0.54420
-0.00181 -0.1389 -0.2212 -0.02249
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.42524 -0.8066 -1.473 0.80320
-1.34848 -1.1494 -1.185 0.02796
0.03455 -0.3506 -1.196 -0.12839
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.6647 -0.09300 -1.051 -0.413
-0.6571 -0.05555 -1.225 -1.258
-0.4180 -0.04857 -1.105 -1.056
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.082811 -1.3879 -3.7009 0.3844
0.019010 -0.7186 0.1294 0.4645
0.006233 -0.6918 -0.7396 0.3329
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.3927 0.4225 -1.00512 0.10820
-1.9175 0.3277 -3.36698 0.18514
-0.3112 0.1147 0.05486 0.05108
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2797 -1.5962 -2.097 -1.786
-0.2592 -2.8025 -1.123 -1.108
-0.1059 -0.8207 -2.225 -2.336
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3705 -0.4047 0.2967 0
0.4419 -0.8344 0.3708 0
0.4171 -0.1110 0.3048 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 1.9611 3.067
0 0 -0.7062 0.427
0 0 -0.5008 -0.298
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.2214 0.1069 -0.94292 -0.093811
1.2824 0.0626 1.97476 -0.003729
0.8031 -0.1079 -0.04692 -0.014190
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.0903 0.3122 3.11324 0.5664
-0.4985 -0.1577 -0.03255 0.6409
-0.3588 0.4312 1.24234 0.8991
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.123068 -0.5433 -0.5781 -1.4679
0.007969 1.5296 1.8472 0.3042
0.032984 -0.3661 0.1842 0.7349
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.6289 0 0 -1.2263
-0.4620 0 0 -0.7647
1.7839 0 0 -0.8880
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2934 -0.9285 0.1067 -1.7834
0.2185 -0.5888 0.2469 -1.0063
0.3678 -0.5541 0.1459 -0.7806
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.4771 -0.02907 -1.2282 0.1728
-1.1186 -0.17724 -1.3322 0.2843
-0.6782 -0.11860 -0.8349 0.1566
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.1476 -0.1281 -0.35873 -0.5912
-1.5649 -0.1452 -0.05249 -0.3265
-0.7332 -0.1503 -0.09308 -0.2060
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.029977 -0.3988 0.1052 -0.0919
0.065079 -0.2940 -0.1140 -0.6643
0.002437 -0.1559 0.2320 -0.2041
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.2872 0 0.3149 0.11091
-0.4211 0 -0.2457 0.05289
-0.3621 0 -0.5216 0.17991
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.3844 -0.32808 -0.56847 0
-0.2735 -0.17415 0.60107 0
-0.4513 -0.06521 0.02009 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.0103 0.00789 0.1210 0.373149
-1.0817 0.06795 0.3451 0.008102
-0.3715 -0.01435 0.2681 0.018473
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.00000 0.78251 0 0.11148
0.51677 0.02906 0 0.08234
-0.05816 0.04758 0 0.11759
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.0457 0 -0.2658 241.4
-0.3706 0 -0.2169 242.7
-0.4657 0 -0.4410 242.1
rnd_95776.volume rnd_95787.volume
0.6993 -0.1451
0.6691 -1.2348
3.6234 -0.8934
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.392 3.375 8.457 4.262 4.963 1.687 2.204 4.664 5.506 4.052 2.747
[2,] 4.398 3.375 8.567 5.451 5.903 1.693 2.218 4.666 5.522 5.378 3.245
[3,] 4.439 3.385 8.676 6.119 6.328 1.714 2.300 4.690 5.537 5.381 3.298
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.715 3.186 4.189 5.095 4.891 4.441 3.707 11.22 5.585 8.401 3.902
[2,] 4.850 3.195 4.524 5.316 4.960 5.256 5.300 11.71 6.657 8.582 3.919
[3,] 5.080 3.215 4.778 5.599 5.020 5.495 5.633 12.01 7.038 8.707 3.925
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.457 7.069 1.864 4.749 4.869 4.698 4.359 2.210 4.090 4.824 2.734
[2,] 15.975 7.990 1.865 5.691 6.783 4.698 5.749 2.217 5.165 4.854 2.771
[3,] 16.249 8.087 1.871 7.806 8.374 4.821 6.425 2.226 6.590 5.056 2.817
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.339 4.271 4.423 4.709 3.766 4.383 1.554 3.385 1.265 3.650 4.229
[2,] 5.828 5.708 5.768 4.744 4.497 4.431 1.556 3.453 1.265 4.225 4.986
[3,] 6.799 6.133 6.109 4.795 4.574 4.505 1.582 3.454 1.272 4.517 5.382
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.497 1.926 4.480 4.585 5.865 2.964 5.517 4.980 1.963 4.584 3.762
[2,] 3.538 1.928 4.889 4.589 5.867 3.090 6.221 5.175 1.963 5.448 4.897
[3,] 3.678 1.932 5.088 4.641 6.058 3.116 6.720 5.416 1.964 6.284 5.266
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.982 2.329 3.648 1.093 3.389 1.733 3.570 3.196 3.693 4.971 1.654
[2,] 4.678 4.252 3.685 1.094 3.766 1.748 3.621 3.209 4.025 5.678 1.702
[3,] 5.212 5.076 3.686 1.096 4.888 1.814 3.964 3.238 4.193 5.737 1.718
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.354 3.945 3.273 1.821 4.240 4.537 5.623 5.135 5.895 4.683 2.965
[2,] 4.857 3.972 4.932 1.902 4.302 4.545 5.628 6.138 5.903 6.478 5.599
[3,] 4.881 3.975 5.314 1.921 4.331 4.570 5.628 6.165 5.903 6.491 5.890
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.247 2.894 2.868 3.285 2.116 2.942 1.656 3.633 3.367 8.880 7.304
[2,] 1.251 4.364 2.872 4.131 2.128 3.108 1.660 4.635 3.367 8.893 7.350
[3,] 1.251 5.863 2.873 6.001 2.262 3.250 1.666 4.699 3.375 8.952 7.458
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.137 1.203 1.962 1.913 3.172 2.742 3.365 21.35 13.19 7.179
[2,] 1.437 1.869 1.967 1.924 3.222 2.771 3.482 24.11 15.96 8.159
[3,] 1.700 1.870 1.995 1.931 3.443 2.781 3.766 26.80 16.45 8.271
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.577 4.286 10.74 5.412 6.302 2.142 2.798 5.922 6.991
[2,] 64.118 7.988 355.62 885.510 832.796 35.751 64.360 42.589 111.138
[3,] 155.663 67.221 358.30 724.679 593.985 69.603 158.986 123.382 106.322
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.145 3.488 5.987 4.046 5.319 6.47 6.211 5.639 4.708
[2,] 921.404 450.279 295.869 62.615 445.148 394.68 215.031 732.582 987.002
[3,] 48.487 154.161 394.390 93.894 400.269 458.21 200.417 417.928 497.215
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.24 7.092 10.67 4.955 12.01 8.976 2.367 6.03 6.183
[2,] 872.62 943.997 457.39 94.633 3355.05 970.364 16.077 817.35 1230.518
[3,] 700.62 595.227 382.72 56.619 773.94 326.837 39.742 1392.07 1279.436
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.966 5.535 2.806 5.193 6.126 3.472 6.779 5.423
[2,] 17.139 976.781 46.770 822.206 140.275 117.742 609.295 986.836
[3,] 281.387 747.948 52.971 1066.513 369.219 131.777 912.248 584.384
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.616 5.979 4.782 5.566 1.974 4.299 1.606 4.634 5.371
[2,] 964.695 151.588 640.130 169.504 19.641 176.769 5.020 554.492 687.845
[3,] 524.381 180.779 218.442 211.811 74.478 30.050 36.103 416.862 527.985
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 4.44 2.446 5.689 5.822 7.448 3.764 7.005 6.323 2.493
[2,] 140.36 24.351 509.972 47.718 39.103 227.508 749.578 367.506 2.154
[3,] 261.98 30.059 367.227 180.783 393.026 105.812 661.650 415.858 8.601
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 5.822 4.777 5.057 2.958 4.633 1.388 4.304 2.201
[2,] 766.913 816.811 639.654 926.783 135.968 13.644 427.897 59.738
[3,] 816.372 504.767 598.584 722.374 13.003 16.566 811.971 126.066
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 4.533 4.058 4.689 6.313 2.10 5.528 5.009 4.156
[2,] 157.829 74.811 416.890 714.913 105.12 560.887 121.524 961.363
[3,] 420.637 112.648 306.366 213.386 61.12 126.731 42.626 516.034
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.313 5.384 5.761 7.141 6.52 7.486 5.947 3.765 1.583
[2,] 143.034 189.779 70.098 61.159 876.54 80.836 1166.522 1237.629 27.329
[3,] 70.935 129.101 124.587 11.985 148.46 7.050 104.142 476.048 4.587
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.674 3.642 4.171 2.687 3.736 2.103 4.613 4.276 11.28
[2,] 851.077 41.542 652.631 58.534 260.600 27.955 750.244 7.698 124.01
[3,] 1020.334 19.970 1134.153 199.951 248.012 38.055 201.232 59.715 267.99
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 9.276 1.444 1.528 2.491 2.429 4.028 3.482 4.273 27.11
[2,] 211.949 228.774 372.618 38.475 55.589 147.328 104.946 233.121 2919.83
[3,] 331.009 237.018 14.204 85.824 41.081 316.263 60.266 373.456 3047.21
[,97] [,98]
[1,] 16.76 9.116
[2,] 2340.77 1010.371
[3,] 1041.13 353.629
[1] "--- VAR model 2017-10-03 18:31:00 completed"
[1] "Completed training sample: 2017-10-03 18:31:00 - 2017-10-04 02:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 19:01:00 - 2017-10-04 03:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.04022 0.0669016 -0.9430 -1.2878
0.01484 0.0445304 -0.8438 -1.5846
0.21883 -0.0004506 -0.2895 -0.1744
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.4829 0 0.1257 -0.05997
-1.6238 0 0.2691 0.05132
-0.8013 0 0.1657 0.01057
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.12113 1.00128 0.001452 -1.286
-0.23366 0.09022 0.101728 -1.222
0.09664 -0.02629 0.142186 -1.647
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.567191 -0.4552 -0.5045 1.4155
-0.006835 0.5417 0.1230 0.1174
0.085711 0.1088 -0.3072 0.2579
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.5995 0.8660 0.5206 1.0735
-1.9598 1.7900 2.4038 0.1288
0.3539 -0.9677 -0.6736 1.5190
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.7238 0.070436 -0.1591 -2.1078
-0.7013 0.060173 -1.3777 -0.2660
-0.2602 0.007598 -1.2983 -0.5825
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.002228 -2.0469 -0.44131 1.7496
-0.131762 0.1588 -1.10238 1.0024
0.050726 -0.7742 -0.09689 0.4304
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.12630 0 -2.7121 -0.8614
-1.52990 0 -0.3062 -0.9540
-0.07136 0 -1.0151 -0.6403
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.10167 -0.7678 -0.0712 0.4366
-0.09589 -0.8097 -1.6857 -1.0245
-0.21434 -1.2977 -0.9655 -0.7375
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.29805 2.2197 -0.033252 0
0.04103 0.3219 -0.004921 0
0.04215 0.6723 -0.008007 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -1.089000 -1.0891
0 0 -0.005668 -1.6863
0 0 -0.830649 -0.5994
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.21525 0 0.3450 0.11953
0.07755 0 -0.6798 -0.24124
0.30745 0 -0.7792 -0.09479
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.6586 0.00000 -1.3365 0.4905
0.5069 0.06811 0.9069 0.6837
0.1793 -0.13984 0.2157 0.2851
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05548 -0.8206 0.8521 1.2392
0.08561 -0.4004 -0.9700 -1.0067
0.14166 0.7262 0.4937 0.0458
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.5054 -0.22086 -0.04899 0.8952
0.5391 -0.04506 0.02973 1.4024
-1.0318 -0.18933 -0.05862 0.6652
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4238 0.6898 0.0774 1.7682
-0.2881 0.4048 0.1979 0.3571
-0.1604 0.4875 0.1034 0.9001
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.0545 0 -0.4964 0.07763
0.8009 0 1.5919 0.26255
0.4988 0 0.1270 0.04161
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.7232 0.12496 0.0003299 0.12041
1.1489 -0.06052 0.0255619 -0.03632
0.4965 0.19284 0.0024887 0.08570
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.034318 0.13260 0.5368 1.08051
-0.003387 -0.06356 0.3911 -0.18641
-0.001906 0.01809 0.1913 -0.07724
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.1976 0 0.5491 0
0.2555 0 0.5581 0
0.1301 0 -0.1779 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.02186 -0.01901 0.5424 0
0.87224 0.03502 -0.4218 0
0.12808 0.11234 0.1813 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.5943 0.038693 0.108716 0.6220
1.0232 0.008009 0.004527 0.6748
-0.0934 -0.041444 0.007484 0.3594
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.1093 0 -0.21819 238.5
0.1024 0 -0.06753 237.5
0.4622 0 -0.06389 238.0
rnd_95776.volume rnd_95787.volume
1.042 -2.03690
1.722 -0.01246
-2.512 -0.67839
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.006 3.147 7.955 3.671 4.488 1.478 1.943 4.241 5.113 3.774 2.501
[2,] 4.007 3.148 8.060 4.748 5.442 1.483 1.958 4.245 5.129 5.111 2.963
[3,] 4.015 3.152 8.197 5.342 5.742 1.502 2.027 4.251 5.138 5.113 2.995
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.760 2.857 3.847 4.682 4.814 4.205 3.593 6.377 5.590 7.884 3.723
[2,] 4.467 2.984 4.147 4.850 4.900 4.956 5.033 7.759 6.459 8.065 3.736
[3,] 4.685 2.986 4.433 5.190 4.958 5.487 5.305 7.990 6.793 8.213 3.740
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.702 6.605 1.709 4.432 4.425 4.254 3.777 2.079 3.558 4.498 2.605
[2,] 15.004 6.650 1.709 5.223 6.237 4.270 5.074 2.089 4.447 4.544 2.623
[3,] 15.273 7.943 1.712 7.432 6.821 4.357 5.684 2.099 5.981 4.750 2.675
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.026 3.946 4.038 4.422 3.582 4.013 1.434 3.200 1.121 3.366 3.592
[2,] 5.352 5.263 5.351 4.464 4.193 4.057 1.435 3.257 1.121 3.836 4.346
[3,] 6.244 5.569 5.680 4.507 4.272 4.170 1.455 3.261 1.128 4.217 4.730
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.139 1.761 4.172 4.140 5.453 2.812 5.140 4.661 1.882 4.303 3.794
[2,] 3.230 1.761 4.493 4.143 5.453 2.934 5.822 4.795 1.882 5.088 4.644
[3,] 3.329 1.770 4.694 4.187 5.640 2.959 6.294 4.999 1.882 5.785 4.953
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.780 2.142 3.260 0.9902 3.211 1.620 3.396 2.987 3.437 4.707 1.608
[2,] 4.442 4.127 3.339 0.9930 3.627 1.627 3.457 2.991 3.758 5.362 1.620
[3,] 4.938 4.744 3.342 0.9934 4.819 1.662 3.887 3.010 3.919 5.432 1.628
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.677 3.672 3.142 1.709 3.949 4.169 5.239 4.898 5.259 4.516 2.597
[2,] 4.468 3.712 4.510 1.770 3.968 4.169 5.239 5.715 5.260 5.854 4.986
[3,] 4.498 3.719 4.873 1.798 3.970 4.173 5.239 5.720 5.261 5.869 5.266
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.173 2.711 2.548 2.841 1.930 2.638 1.482 3.401 3.155 8.019 7.019
[2,] 1.174 4.200 2.553 3.542 1.935 2.833 1.488 4.433 3.156 8.026 7.053
[3,] 1.174 5.390 2.557 5.283 2.056 2.995 1.489 4.477 3.160 8.045 7.155
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.003 1.094 1.838 1.775 2.911 2.398 3.080 18.25 12.46 6.616
[2,] 1.249 1.778 1.847 1.787 2.973 2.415 3.224 19.15 15.02 6.701
[3,] 1.547 1.778 1.870 1.796 3.183 2.440 3.481 20.70 15.45 8.069
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.088 3.997 10.1 4.662 5.699 1.877 2.467 5.385 6.492
[2,] 12.426 15.891 335.4 777.879 795.347 32.509 63.147 48.625 107.314
[3,] 65.417 39.252 385.7 632.456 473.366 60.973 135.098 55.636 76.277
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.792 3.177 4.775 3.628 4.885 5.945 6.113 5.339
[2,] 890.575 410.121 623.358 222.336 400.408 327.198 236.216 677.973
[3,] 39.979 113.371 364.305 30.540 404.483 477.235 195.327 608.464
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.563 8.098 7.099 10.01 4.728 11.05 8.387 2.170
[2,] 910.492 1142.198 836.084 439.56 81.896 3158.10 199.193 1.778
[3,] 433.621 492.731 542.960 401.29 41.006 737.39 1122.534 29.135
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.628 5.619 5.402 4.796 2.64 4.519 5.712 3.308
[2,] 714.158 1135.751 94.298 875.561 52.04 689.208 166.917 78.344
[3,] 1366.245 713.386 224.522 661.649 53.69 1033.304 357.696 136.058
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.382 5.01 5.127 5.615 4.548 5.096 1.821 4.064 1.423
[2,] 475.926 899.92 907.146 157.363 563.099 153.513 16.339 156.194 2.617
[3,] 830.586 470.80 492.055 161.657 211.377 249.724 61.819 44.006 33.540
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.275 4.562 3.986 2.236 5.298 5.257 6.924 3.57 6.527
[2,] 475.400 632.188 197.610 3.107 431.030 45.035 16.895 217.16 706.096
[3,] 452.408 481.951 207.773 45.083 351.322 156.298 371.403 97.94 617.952
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 5.919 2.389 5.464 4.818 4.8 2.72 4.14 1.257 4.078
[2,] 290.382 2.691 701.421 691.751 602.7 911.35 186.07 19.251 435.968
[3,] 365.400 4.102 711.579 444.858 557.7 604.67 38.11 8.197 819.561
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.058 4.313 3.793 4.364 5.977 2.043 4.669 4.663 3.99
[2,] 36.394 167.295 40.683 392.722 663.462 49.496 655.917 139.557 835.81
[3,] 88.642 459.034 86.576 287.004 224.985 40.899 133.618 57.464 476.92
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.171 5.015 5.294 6.652 6.219 6.678 5.734 3.297 1.490
[2,] 118.392 99.081 5.394 24.309 761.111 27.486 962.535 1099.851 9.188
[3,] 82.509 36.210 47.413 5.417 56.982 20.704 108.695 437.444 6.034
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.443 3.236 3.608 2.45 3.35 1.882 4.319 4.006 10.18
[2,] 828.952 41.016 546.396 35.66 266.49 35.068 734.605 26.206 86.65
[3,] 872.576 33.644 1012.956 179.69 251.21 13.681 162.572 42.049 142.87
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 8.912 1.273 1.390 2.333 2.254 3.696 3.046 3.911 23.17
[2,] 180.658 192.544 362.047 47.400 53.796 155.829 72.258 246.321 1503.61
[3,] 311.281 235.723 8.158 76.656 45.351 293.807 91.408 339.184 2029.62
[,97] [,98]
[1,] 15.82 8.401
[2,] 2165.88 274.625
[3,] 934.19 1161.694
[1] "--- VAR model 2017-10-03 19:01:00 completed"
[1] "Completed training sample: 2017-10-03 19:01:00 - 2017-10-04 03:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 19:31:00 - 2017-10-04 03:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.19811 0 0.16544 1.2043
-0.08737 0 0.05329 0.1328
-0.01535 0 -0.46740 -0.9129
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.1413 0 0.5493 0.07347
1.1454 0 0.2309 -0.03811
0.5500 0 0.1556 0.01436
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.09879 -0.8455 -0.1847 -0.7970
-0.48884 0.4086 0.7803 -0.4752
0.11352 -0.1272 0.5059 -0.3708
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3875 -1.14176 -0.5448 -1.01253
0.4319 -0.61298 -0.7653 -0.38940
0.4600 -0.09961 -0.0548 -0.05351
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.1001 3.0124 0.1353 0.5075
-2.7375 -0.8112 1.4245 2.0773
-0.2315 -1.9009 -0.6010 0.1895
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.6206 -0.041100 -2.7579 0.05517
0.3518 0.005192 0.5314 -0.32935
-0.1606 -0.001902 0.3305 0.33102
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -0.1096 0.65296 0.4821
0 -1.0348 -0.85088 0.7962
0 0.3878 -0.09075 0.4794
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.3425 0 2.1189 0.007539
-0.0756 0 0.2501 -0.272293
-0.9132 0 -0.5909 -0.143744
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.30519 3.1673 -0.5374 -0.9679
0.17002 1.4370 1.6556 2.0508
-0.06929 -0.3164 0.1863 0.6258
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.048555 2.48072 1.935 0
0.007783 0.61292 2.123 0
0.007206 0.08027 1.201 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 0.4290 1.8479
0 0 -0.2176 0.1795
0 0 0.8368 1.6892
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.6917 0 1.06815 0.2417
0.1522 0 0.96594 0.1758
0.4921 0 -0.02096 0.2101
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.4031 0.2296 0.5458 1.350
0.5276 0.1322 1.7323 1.705
0.5060 0.1564 0.9102 1.955
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.012701 -0.1356 0.9000 0.001727
0.217212 1.3026 0.5431 -0.436698
0.006643 0.7839 0.8387 1.177369
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.5820 0 -0.04602 1.1203
0.6440 0 0.00870 -0.1916
0.4384 0 -0.05432 0.7824
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2453 0.4428 0.1488 0.1852
0.4796 0.5499 0.3345 0.9963
0.6420 0.1353 0.3567 0.0199
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.2459 0 0.2194 -0.32850
1.0842 0 0.2015 -0.03941
0.2705 0 1.0352 -0.09638
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.28481 -0.12613 -0.12259 -0.124953
-0.07658 0.02859 -0.04340 -0.068953
0.94278 0.03334 -0.03419 -0.004825
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0 -0.43806 0.0002975 0.52672
0 -0.13182 0.0831080 0.12655
0 -0.02489 0.0014795 -0.07663
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.1228 0 -0.12616 0
-0.3732 0 0.34698 0
-0.0676 0 -0.01448 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.2003 -0.47098 0.60770 0
0.1592 -0.06072 0.03538 0
-0.3240 0.03709 0.46476 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.7177 0 0.08707 0.50139
0.7396 0 0.61707 -0.14278
0.7756 0 0.29032 -0.06092
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.01732 0 0.1417 232.0
0.49821 0 0.3248 228.9
0.08834 0 0.2416 235.2
rnd_95776.volume rnd_95787.volume
3.9390 -0.1843
1.3064 -0.5606
0.7589 0.4637
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.626 2.912 7.133 3.449 4.261 1.339 1.794 3.965 4.884 3.619 2.385
[2,] 3.626 2.914 7.244 4.354 5.026 1.348 1.806 3.974 4.901 4.820 2.795
[3,] 3.636 2.920 7.396 4.881 5.277 1.360 1.860 3.976 4.907 4.823 2.825
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.425 2.802 3.159 3.703 4.724 4.148 3.258 6.302 5.179 7.388 3.563
[2,] 4.127 2.812 3.492 3.881 4.785 4.578 4.612 7.549 5.969 7.559 3.587
[3,] 4.294 2.819 3.827 4.251 4.837 5.055 4.790 7.638 6.275 7.691 3.597
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.945 5.893 1.548 4.070 4.166 3.887 3.432 1.982 3.284 4.198 2.451
[2,] 13.566 6.071 1.548 4.761 5.618 3.889 4.618 1.995 4.129 4.249 2.475
[3,] 13.860 7.040 1.551 6.677 6.249 3.978 5.137 2.000 5.275 4.495 2.532
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.599 3.575 3.766 4.175 3.409 3.612 1.207 2.845 1.004 3.174 3.251
[2,] 4.872 4.667 4.859 4.228 3.992 3.628 1.207 2.899 1.005 3.618 3.979
[3,] 5.586 4.912 5.102 4.273 4.067 3.671 1.216 2.899 1.009 3.946 4.403
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.964 1.643 3.864 3.495 5.090 2.675 4.137 4.238 1.718 4.048 3.461
[2,] 3.072 1.644 4.194 3.507 5.090 2.792 5.578 4.365 1.719 4.711 4.011
[3,] 3.170 1.652 4.388 3.553 5.264 2.820 5.717 4.485 1.719 5.259 4.692
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.438 1.875 3.005 0.9460 2.934 1.573 3.158 2.846 3.193 4.395 1.395
[2,] 4.021 3.686 3.058 0.9496 3.327 1.585 3.216 2.850 3.594 5.056 1.397
[3,] 4.606 4.044 3.064 0.9507 4.371 1.629 3.487 2.861 3.709 5.130 1.398
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.806 3.301 2.873 1.531 3.633 3.745 4.916 4.565 4.946 4.278 2.488
[2,] 4.435 3.334 4.191 1.605 3.640 3.746 4.919 5.328 4.947 5.308 4.579
[3,] 4.468 3.334 4.581 1.633 3.651 3.748 4.920 5.329 4.947 5.333 4.840
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.056 2.520 2.259 2.524 1.884 2.474 1.299 3.077 2.942 7.281 6.659
[2,] 1.056 3.945 2.275 3.269 1.887 2.635 1.300 4.091 2.945 7.283 6.671
[3,] 1.056 4.964 2.276 4.796 1.987 2.867 1.301 4.136 2.954 7.297 6.749
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8769 0.9876 1.677 1.592 2.653 2.040 2.920 17.89 12.73 5.788
[2,] 1.1129 1.6710 1.691 1.614 2.700 2.041 3.042 19.04 13.42 5.994
[3,] 1.4132 1.6742 1.719 1.625 2.880 2.054 3.325 20.54 13.68 6.974
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.605 3.698 9.057 4.38 5.411 1.70 2.278 5.035 6.202
[2,] 15.310 31.706 367.612 772.30 774.829 46.85 62.114 79.654 119.891
[3,] 75.403 53.093 434.031 641.78 467.445 52.13 129.028 38.207 66.866
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.595 3.028 4.349 3.559 4.012 4.703 5.999 5.267
[2,] 925.368 423.870 669.639 66.191 432.456 337.856 222.215 562.938
[3,] 50.525 118.559 344.948 60.458 455.205 504.263 205.772 623.600
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.137 8.002 6.576 9.382 4.524 10.09 7.483 1.966
[2,] 949.245 1208.357 862.917 464.399 122.410 3196.65 423.865 1.752
[3,] 375.784 339.093 562.869 412.950 77.918 826.20 1036.524 25.692
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.168 5.291 4.936 4.358 2.516 4.17 5.331 3.113
[2,] 718.167 1095.425 30.521 898.302 66.137 727.90 189.444 100.707
[3,] 1360.753 795.698 242.958 654.266 41.852 954.10 426.610 154.498
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.84 4.54 4.783 5.302 4.329 4.587 1.533 3.613 1.275
[2,] 467.46 872.16 892.519 194.593 603.875 99.311 1.277 161.977 11.277
[3,] 794.72 445.26 452.541 180.168 226.916 162.381 42.937 4.460 27.221
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.031 4.128 3.764 2.086 4.906 4.438 6.464 3.397
[2,] 504.725 667.049 234.754 19.720 474.444 85.353 6.073 232.512
[3,] 457.895 548.204 227.185 46.706 374.709 165.140 389.761 114.761
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.253 5.382 2.182 5.141 4.394 4.366 2.381 3.816
[2,] 1087.844 303.568 15.189 700.327 589.423 606.259 922.406 164.452
[3,] 364.030 299.198 3.215 679.714 708.007 652.585 484.115 56.028
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.201 3.726 1.998 4.01 3.614 4.055 5.581 1.771 4.833
[2,] 23.821 456.151 56.125 177.49 47.689 479.454 726.639 22.486 662.044
[3,] 13.239 823.913 109.688 391.42 70.206 266.779 252.069 14.943 156.189
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.191 3.649 1.945 4.613 4.756 6.243 5.797 6.281 5.432
[2,] 136.435 886.987 139.813 67.245 25.445 51.968 798.752 26.016 913.713
[3,] 12.837 537.791 87.754 79.570 28.978 23.934 29.109 16.369 150.355
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 3.159 1.340 3.2 2.869 3.205 2.393 3.141 1.65 3.907
[2,] 1117.648 2.788 882.3 77.271 604.032 30.750 263.870 10.87 783.849
[3,] 456.000 4.269 876.2 20.392 1020.347 180.906 328.729 19.24 177.125
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.736 9.245 8.456 1.114 1.254 2.13 2.022 3.369 2.591
[2,] 32.423 55.413 114.418 199.221 391.858 61.72 75.735 145.246 18.764
[3,] 69.055 130.223 297.278 253.174 29.976 89.73 56.140 291.798 67.070
[,95] [,96] [,97] [,98]
[1,] 3.708 22.71 16.16 7.35
[2,] 248.042 1895.64 1237.83 452.30
[3,] 390.373 2242.52 772.48 1036.76
[1] "--- VAR model 2017-10-03 19:31:00 completed"
[1] "Completed training sample: 2017-10-03 19:31:00 - 2017-10-04 03:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 20:01:00 - 2017-10-04 04:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.01699 0.16350 56.07 -4.692
0.01678 0.10470 -239.55 -2.560
-0.02361 -0.09446 834.52 -0.952
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.8988 0 0 0.31839
-2.3013 0 0 0.10206
-2.6844 0 0 -0.01655
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.3781 -2.3994 -1.29032 -3.950
0.1477 0.1458 -0.25290 -2.693
0.3883 -0.0614 0.03766 -3.090
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.17733 -2.45455 -1.95605 -0.8209
-0.01831 -1.44012 -1.40949 -0.1928
-0.06167 0.07645 -0.09453 0.4515
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.560 -0.629 -0.9694 -0.6284
-3.431 -2.694 -1.1352 -0.5631
-1.173 -2.441 -1.6420 -1.8450
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.7588 0 -1.647 -1.841
-1.2015 0 -3.021 -1.874
-0.7523 0 -1.533 -1.955
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -2.6656 -3.9582 0.8371
0 -0.8991 -0.6162 0.4250
0 -1.5944 -1.4696 0.2031
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.407 0 -2.6187 -1.357
-2.607 0 -3.3934 -1.233
-1.090 0 -0.7264 -0.935
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4737 -1.934 -1.289 -1.365
-0.5889 -4.131 -2.912 -2.295
-0.3427 -1.662 -2.966 -3.459
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3530 -0.2564 0.3822 0
0.2265 1.5373 0.4018 0
0.2491 -0.7871 0.1563 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -1.9845 -1.975
0 0 -0.8138 -1.863
0 0 -1.5626 -2.234
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.26613 0 -0.9158 0
0.09147 0 -1.6215 0
0.05466 0 -1.5200 0
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.7559 0.2151 1.79433 0.2366
1.6053 -0.2702 -0.06827 0.2556
0.5987 -0.3326 -0.16338 0.4030
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.0152256 1.0441 0.32616 -0.6556
-0.1280205 0.4986 1.39358 1.0632
-0.0009749 -0.4377 0.04769 0.1260
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.707 0 0.05947 2.9993
0.277 0 0.02286 -1.9239
1.220 0 0.02198 0.5856
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.28269 1.8419 0 0.003687
-0.05021 -0.5748 0 1.619034
0.05618 -0.0423 0 -1.272014
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.425 -0.030717 -2.2781 0
2.165 0.003982 1.7610 0
-1.172 -0.001634 0.2476 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.2588 0.1806 0.06082 0.01158
-0.6956 -0.2683 0.09423 -0.02310
1.6731 0.2020 0.02153 -0.02855
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.054170 0.71923 0.24727 0.21955
-0.001497 -0.07321 -0.08817 0.27825
-0.002985 0.09728 0.13076 0.07795
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.6489 0 -0.6125 0
0.4134 0 0.7913 0
-0.1920 0 0.1313 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.5468 -0.43799 -0.06110 0.149892
0.5294 -0.05294 0.45975 -0.011392
0.3184 0.10080 -0.05119 0.007043
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5954 0.3077 -0.22490 0.030505
1.0106 0.1289 -0.08924 0.045677
0.2739 -0.2217 0.33532 0.004568
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.6652 0 0.00000 206.9
-0.4909 0 0.08567 201.3
-0.1841 0 0.04469 174.9
rnd_95776.volume rnd_95787.volume
-0.1786 -1.310
-1.3291 -1.890
-2.1258 -1.818
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.374 2.707 70.06 3.058 4.088 1.276 1.628 3.434 4.587 3.295 2.284
[2,] 3.374 2.717 70.11 3.927 4.717 1.285 1.642 3.441 4.592 4.366 2.627
[3,] 3.381 2.720 70.96 4.628 4.930 1.295 1.676 3.443 4.592 4.368 2.653
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.300 2.594 2.991 3.490 4.289 3.760 3.027 6.116 4.605 7.135 3.38
[2,] 3.985 2.607 3.308 3.679 4.344 4.204 4.260 7.064 5.323 7.319 3.41
[3,] 4.160 2.607 3.543 3.889 4.383 4.558 4.441 7.128 5.575 7.457 3.42
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.001 5.550 1.470 3.826 3.746 3.577 3.064 1.847 3.072 3.802 2.280
[2,] 12.551 5.687 1.470 4.621 5.218 3.580 4.203 1.854 3.778 3.879 2.308
[3,] 12.863 6.491 1.472 6.138 5.787 3.669 4.816 1.860 4.985 3.996 2.356
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.382 3.364 3.600 3.934 3.273 3.309 1.147 2.689 0.8971 3.005 2.802
[2,] 4.607 4.325 4.501 3.982 3.603 3.315 1.147 2.744 0.8985 3.388 3.507
[3,] 5.272 4.550 4.746 4.027 3.704 3.336 1.152 2.745 0.9039 3.692 3.812
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.812 1.487 3.459 3.208 4.772 2.475 3.895 3.934 1.674 3.865 3.270
[2,] 2.816 1.490 3.704 3.224 4.774 2.593 4.608 4.043 1.674 4.759 3.786
[3,] 2.866 1.490 3.833 3.257 4.929 2.609 4.916 4.166 1.674 4.875 4.240
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.211 1.756 2.812 0.9114 2.718 1.525 2.985 2.620 3.021 4.187 1.266
[2,] 3.766 3.509 2.852 0.9154 3.008 1.535 3.032 2.632 3.386 4.850 1.269
[3,] 4.421 3.886 2.855 0.9163 4.111 1.569 3.279 2.636 3.463 4.902 1.272
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.540 2.980 2.626 1.439 3.290 3.440 4.504 4.268 4.559 4.060 2.335
[2,] 4.155 3.000 3.916 1.500 3.293 3.441 4.507 5.026 4.569 5.023 4.154
[3,] 4.186 3.002 4.275 1.522 3.306 3.443 4.514 5.026 4.569 5.041 4.400
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9849 2.345 2.085 2.366 1.760 2.287 1.035 2.894 2.655 6.545 6.381
[2,] 0.9850 3.683 2.099 3.051 1.762 2.475 1.038 4.004 2.669 6.549 6.382
[3,] 0.9850 4.593 2.099 4.411 1.853 2.594 1.039 4.021 2.672 6.550 6.429
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7823 0.8962 1.564 1.503 2.445 1.747 2.795 18.37 11.95 5.327
[2,] 0.9801 1.5695 1.588 1.531 2.500 1.747 2.906 19.63 12.59 5.508
[3,] 1.3230 1.5751 1.607 1.539 2.664 1.753 3.199 21.12 12.82 6.269
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.284 3.438 88.97 3.883 5.191 1.621 2.068 4.36 5.825
[2,] 4.431 72.243 882.90 803.899 767.688 50.005 69.147 74.08 69.297
[3,] 71.651 46.310 3567.15 798.458 467.886 51.068 109.102 40.11 4.642
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.184 2.9 4.19 3.294 3.798 4.432 5.446 4.774 3.844
[2,] 934.066 423.5 728.52 84.482 461.246 379.409 225.241 613.661 977.486
[3,] 50.853 121.2 390.27 9.815 413.526 411.102 189.167 573.925 409.151
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.767 5.847 9.061 4.292 10.16 7.048 1.867 4.858
[2,] 1153.026 870.942 531.817 146.330 3153.92 404.786 1.589 845.373
[3,] 310.294 540.442 466.472 84.996 918.41 1020.721 21.152 1317.802
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 4.757 4.543 3.891 2.346 3.901 4.828 2.895 5.565
[2,] 1184.766 46.247 938.414 50.562 717.176 250.001 117.587 463.435
[3,] 815.865 261.595 766.569 50.899 1060.709 313.553 153.615 836.146
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 4.272 4.571 4.996 4.156 4.202 1.456 3.415 1.139 3.815
[2,] 886.798 881.221 200.372 491.660 67.622 13.738 178.770 16.261 510.772
[3,] 460.273 490.943 195.384 279.311 119.274 32.124 17.050 32.297 478.526
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.559 3.571 1.888 4.393 4.073 6.06 3.143 4.947 4.996
[2,] 687.689 46.334 33.472 432.135 103.798 49.00 251.966 803.110 303.690
[3,] 487.494 174.866 4.175 320.848 152.643 398.95 95.979 558.378 327.970
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.126 4.907 4.152 4.077 2.23 3.571 1.157 3.452 1.936
[2,] 3.585 905.965 622.387 641.708 990.90 154.924 28.092 419.795 56.937
[3,] 8.463 345.025 622.694 755.368 544.60 41.755 13.084 914.239 107.373
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.791 3.327 3.837 5.317 1.608 4.495 3.784 3.335 1.827
[2,] 171.755 83.133 498.978 798.347 26.232 709.624 113.551 947.333 137.969
[3,] 407.226 48.374 235.419 233.638 27.069 166.178 31.132 559.365 84.706
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.178 4.368 5.72 5.419 5.789 5.156 2.966 1.251 2.978
[2,] 45.944 25.234 49.81 865.690 99.648 964.733 1120.608 5.071 926.202
[3,] 93.753 42.868 81.38 19.122 7.148 136.660 473.389 2.253 895.217
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.647 3.004 2.235 2.904 1.315 3.674 3.372 8.312 8.103
[2,] 80.201 628.138 21.273 309.243 25.687 902.604 88.864 69.229 40.923
[3,] 7.257 1039.257 187.331 252.875 15.901 120.015 37.318 47.856 252.029
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.9934 1.138 1.986 1.908 3.104 2.218 3.549 23.33 15.17
[2,] 192.5473 420.249 88.973 95.294 169.976 18.374 259.833 2256.68 1295.51
[3,] 289.8744 43.117 79.696 50.843 300.187 44.426 436.530 2539.12 778.30
[,98]
[1,] 6.764
[2,] 457.272
[3,] 976.573
[1] "--- VAR model 2017-10-03 20:01:00 completed"
[1] "Completed training sample: 2017-10-03 20:01:00 - 2017-10-04 04:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 20:31:00 - 2017-10-04 04:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.20916 0.20248 0.006885 -0.6264
-0.30432 0.03342 0.014503 0.1918
-0.09213 -0.05631 0.033272 3.6016
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.6332 0 0.3754 -0.12634
0.3087 0 0.3862 -0.07026
-0.7709 0 0.2210 0.03560
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.3320 2.46169 -0.1417 -2.536
-0.2801 -0.07472 0.2233 -2.762
0.1034 -0.25045 0.0186 -1.252
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1037 -2.5264 -1.5740 -0.26426
0.3412 0.2506 0.2189 0.01869
0.5986 -0.9870 -0.8071 0.10302
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.728 0.7557 -2.348 -1.01940
-4.302 1.0650 1.810 0.01935
-0.611 -2.3704 -2.498 -0.20588
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.5999 0.28156 10.260 2.1060
0.6181 0.21117 -1.338 -0.8128
0.8275 0.08799 2.226 -0.2015
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.11592 0.166 -1.746 0.009897
-0.09718 4.038 4.248 0.127447
-0.01137 -1.225 -1.478 0.131183
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.0714 0.1241 1.2698 -0.7930
0.5551 0.1951 -0.8676 -0.6457
3.2247 0.1259 3.5254 -0.8583
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.3062 1.564 0.5637 0.05866
-0.4004 -2.008 -0.2216 0.70874
0.3357 1.807 -0.1347 -1.10503
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.045007 -0.008699 0.4114 0
0.006549 0.495829 0.6642 0
0.007166 0.588237 0.3477 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -2.3645 -0.41012
0 0 0.2929 -0.53695
0 0 -0.3581 -0.02027
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3932 0.08457 0.7600 0.1327
0.5731 0.01407 -0.5663 0.2687
0.2618 0.08631 -1.0716 0.3359
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.8681 0.90910 1.8045 0
0.3914 0.12313 2.4399 0
0.1951 -0.04721 0.5596 0
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1340 -0.6923 -0.5071 2.1182
-0.1578 1.3780 1.0266 -0.1925
-0.1423 1.1174 1.4938 1.0587
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.6473 -0.4201 -0.021404 0.9743
-0.2443 -0.2919 -0.019219 0.9686
0.8205 -0.2808 -0.001886 -0.1504
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1769 0.7546 -0.26690 -0.004748
-0.5917 0.8006 0.15174 0.803291
-0.3457 0.9727 -0.05645 0.828953
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.1388 -0.0324470 -0.1176 -0.1267
0.7136 -0.0009418 0.7021 0.1279
1.5150 -0.0030946 1.1654 -0.2001
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.5989 0.62291 -0.17882 -0.11357
-0.1842 -0.01229 -0.07124 -0.15807
0.6909 0.07807 -0.03023 -0.04356
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.17648 -0.2408 -0.102981 -1.04921
-0.15198 -0.2884 0.099520 0.11214
0.01135 -0.1282 0.005627 0.06749
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.87431 0 -1.8506 0
-0.08669 0 -0.4746 0
-0.18309 0 0.1803 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.48288 -0.4502 -0.09745 0
-1.57517 -0.5872 0.49658 0
0.09164 -0.1825 0.70474 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5379 0.10461 0.1581 0.092526
0.6333 0.08654 0.3298 -0.107717
0.6264 -0.03351 0.2641 -0.009606
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.7455 0.15567 -0.3036 236.3
0.6016 0.05759 -0.4840 231.0
0.4261 0.01718 -0.5235 232.0
rnd_95776.volume rnd_95787.volume
3.745 2.6529
1.263 -1.1696
-1.644 -0.3785
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.094 2.369 70.1 2.874 3.941 1.169 1.507 3.191 4.311 3.139 2.083
[2,] 3.095 2.385 70.1 3.615 4.488 1.173 1.520 3.195 4.315 4.162 2.352
[3,] 3.099 2.397 70.1 4.306 4.695 1.183 1.549 3.195 4.318 4.164 2.379
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.073 2.391 2.896 3.345 4.309 3.549 3.052 5.805 4.227 6.358 3.062
[2,] 3.731 2.393 3.199 3.550 4.315 3.991 4.161 6.655 4.879 6.407 3.076
[3,] 3.849 2.393 3.454 3.772 4.315 4.347 4.348 6.732 5.095 6.728 3.083
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.635 5.084 1.303 3.563 3.491 3.292 2.927 1.767 2.909 3.452 2.117
[2,] 11.331 5.561 1.304 4.348 4.725 3.293 3.904 1.774 3.515 3.544 2.141
[3,] 11.418 5.587 1.305 5.562 5.765 3.398 4.505 1.785 4.576 3.653 2.223
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.176 3.199 3.384 3.675 3.092 3.066 1.043 2.298 0.8275 2.790 2.713
[2,] 4.402 4.084 4.285 3.713 3.376 3.066 1.045 2.348 0.8288 3.154 3.417
[3,] 5.014 4.274 4.553 3.759 3.503 3.089 1.051 2.352 0.8361 3.405 3.785
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.675 1.333 3.192 2.931 4.580 2.346 3.644 3.453 1.521 3.517 3.108
[2,] 2.680 1.334 3.420 2.944 4.580 2.454 4.329 3.574 1.521 4.427 3.628
[3,] 2.718 1.334 3.560 3.006 4.702 2.469 4.587 3.647 1.521 4.537 4.093
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.847 1.621 2.590 0.8786 2.582 1.467 2.685 2.419 2.586 3.904 1.201
[2,] 3.319 3.301 2.652 0.8810 2.821 1.476 2.731 2.442 3.233 4.526 1.201
[3,] 4.109 3.658 2.653 0.8814 3.748 1.510 2.971 2.442 3.307 4.604 1.207
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.272 2.718 2.391 1.383 3.031 3.159 4.037 3.999 4.244 3.818 2.153
[2,] 3.760 2.731 3.378 1.442 3.033 3.160 4.040 4.626 4.259 4.625 3.814
[3,] 3.823 2.734 3.784 1.460 3.040 3.161 4.054 4.626 4.262 4.633 4.050
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8973 2.193 1.931 2.216 1.597 2.095 0.9268 2.542 2.332 5.793 5.846
[2,] 0.8975 3.461 1.954 2.812 1.602 2.260 0.9286 3.518 2.345 5.793 5.856
[3,] 0.8980 4.275 1.954 4.014 1.697 2.355 0.9287 3.527 2.354 5.796 5.862
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7308 0.8133 1.473 1.383 2.298 1.451 2.555 18.07 11.45 5.000
[2,] 0.9189 1.4124 1.496 1.420 2.351 1.451 2.682 19.23 11.95 5.507
[3,] 1.1946 1.4230 1.517 1.429 2.469 1.459 2.957 20.82 12.15 5.591
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.929 3.009 89.02 3.649 5.005 1.484 1.914 4.052 5.474
[2,] 29.579 104.654 70.33 847.898 830.275 35.348 76.428 59.159 73.073
[3,] 56.492 92.897 124.68 905.231 533.212 59.993 114.220 24.736 60.228
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.986 2.645 3.902 3.036 3.678 4.247 5.472 4.507
[2,] 1057.027 422.548 818.178 39.582 525.461 460.241 89.532 705.475
[3,] 45.337 138.816 366.532 13.107 503.323 493.528 9.583 666.556
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.876 7.371 5.368 8.074 3.889 9.695 6.456 1.655
[2,] 1093.768 1258.780 942.540 305.599 111.196 3238.293 870.916 17.765
[3,] 488.136 393.619 567.404 793.978 83.421 544.446 211.887 22.399
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.525 4.433 4.181 3.716 2.244 3.694 4.384 2.688
[2,] 963.642 1231.287 25.417 999.127 60.212 762.951 309.419 125.591
[3,] 1341.680 1277.520 324.568 869.498 76.422 1133.563 343.288 230.390
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.303 4.062 4.297 4.666 3.926 3.893 1.324 2.918
[2,] 537.910 981.983 1016.567 206.842 524.936 16.353 29.170 187.115
[3,] 928.484 486.659 596.043 226.318 360.429 146.772 41.724 51.427
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.051 3.543 3.445 3.397 1.693 4.054 3.722 5.815 2.979
[2,] 17.423 569.072 803.414 59.848 21.770 475.105 107.576 27.577 278.210
[3,] 42.818 496.594 630.113 174.491 6.472 381.189 235.870 410.805 105.981
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.627 4.385 1.931 4.466 3.947 3.615 2.058 3.289
[2,] 903.917 356.671 16.263 1039.779 723.377 659.887 1112.316 221.535
[3,] 587.387 280.010 10.668 384.021 732.968 936.494 609.055 19.382
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.116 3.279 1.863 3.409 3.072 3.284 4.957 1.525 4.155
[2,] 25.254 438.683 62.772 194.390 130.470 750.417 885.582 13.535 715.989
[3,] 9.190 954.876 124.190 452.423 3.417 269.834 326.825 44.312 267.212
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.452 3.037 1.756 3.849 4.012 5.127 5.078 5.389
[2,] 102.419 922.898 157.558 37.848 27.053 62.828 899.097 139.741
[3,] 45.810 658.941 88.960 80.355 36.594 128.049 30.184 57.342
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.848 2.734 1.139 2.785 2.453 2.814 2.028 2.66
[2,] 1010.053 1217.571 8.245 1035.464 114.507 669.418 49.800 328.09
[3,] 98.700 526.843 11.367 970.622 17.063 1108.175 216.904 256.30
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.177 3.229 2.962 7.356 7.424 0.928 1.033 1.87 1.756
[2,] 22.337 940.487 94.398 21.069 131.420 215.414 446.563 102.34 124.338
[3,] 3.925 97.820 78.103 67.885 101.241 295.229 67.237 95.74 61.635
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.918 1.842 3.244 22.94 14.54 6.349
[2,] 192.709 13.187 315.531 2552.94 1322.71 892.633
[3,] 291.363 57.401 481.600 3079.19 860.73 372.082
[1] "--- VAR model 2017-10-03 20:31:00 completed"
[1] "Completed training sample: 2017-10-03 20:31:00 - 2017-10-04 04:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 21:01:00 - 2017-10-04 05:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.32536 0.16332 0.03469 4.278
-0.13076 0.04312 0.03808 4.549
-0.08757 -0.02435 -0.01999 -1.372
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.074 -0.05306 0.29716 0.25832
1.608 -0.05459 0.07300 -0.08541
3.087 -0.05601 -0.03987 0.12464
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.4157 -4.461 -1.7622 -6.236
-0.9741 0.151 -0.2998 -1.904
0.4566 -0.419 -0.6985 -2.075
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2225 -1.02213 0.4043 1.2103
0.2163 -2.62022 -3.1384 0.4637
-0.2751 -0.01869 0.1865 -1.4434
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.48717 -1.7139 0.44615 0.7606
-0.03026 -0.3138 -0.68299 -0.7502
-4.05932 -1.7955 -0.05421 0.3346
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.7283 0.1429 -2.4458 -1.43760
-1.8987 0.2071 -0.2527 -0.39077
0.2041 0.0361 -2.8700 0.01422
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.062971 5.8354 9.5490 0.06205
-0.033533 -1.2227 -2.5966 0.50509
-0.003737 0.5088 0.3477 0.50733
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.081 0.07620 1.366 0.2937
4.703 0.11300 6.683 -0.8586
-1.010 0.08508 -2.223 -0.3765
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.0627 -0.32415 0.3572 2.558
0.9161 6.54657 1.5464 1.556
0.5286 0.01801 3.3388 3.828
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8045 1.5048 -0.2783 0
0.6581 -0.2534 -0.3076 0
0.3685 1.8703 -0.3767 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.15290 0 2.9828 1.223
0.02984 0 0.1074 2.271
0.02012 0 1.5128 2.415
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4271 0.0861757 0.8238 -0.08247
-0.3438 -0.0684869 1.1654 0.31189
-0.1668 0.0001522 1.3175 0.16072
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.4446 -0.4187 -2.9417 -0.7093
0.6060 0.2517 1.2303 -0.6341
0.3008 0.1423 0.3676 -0.5838
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.20053 -2.81876 -0.008451 0.2981
-0.12309 -0.02232 -2.160190 -2.8970
0.01129 0.79806 0.834709 0.3486
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.7092 -0.04249 -0.034444 -0.3714
-0.3164 0.66745 -0.003887 3.6061
-1.9296 0.13387 -0.018653 -0.5269
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4429 -0.1025 -0.3552 0.6884
-0.3088 2.1598 0.2252 0.5378
-0.1296 -0.0251 -0.1028 2.1667
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.6047 -0.08910 1.3174 0.14707
0.6396 0.20494 -0.3732 0.03462
2.6690 0.03406 2.1893 0.01955
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.2667 0.63573 -0.006316 0.18136
1.1787 0.23608 -0.124439 -0.06302
0.3417 0.01588 -0.002674 -0.07172
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.12178 0.07444 -0.1348 -1.4115
-0.13806 -0.12795 0.1910 0.4194
0.02899 -0.10835 -0.2227 0.1348
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.412348 0 -6.4904 -0.12835
0.484842 0 -0.2015 0.12464
0.001459 0 0.2331 0.03219
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.7956 1.3507 -0.04343 -0.22303
-3.9022 -1.0359 -0.74537 -0.04206
0.5500 -0.3936 0.27052 0.18739
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8537 0.12716 0.13483 -0.1284
0.6334 0.04623 -0.38685 0.2262
1.1821 -0.05310 0.00961 -0.1125
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.009493 -0.0688 -1.051 230.6
1.447050 -0.1797 -1.066 232.2
-0.113741 -0.0840 -1.055 230.0
rnd_95776.volume rnd_95787.volume
2.1605 -2.0084
1.1209 1.1625
0.9165 -0.3282
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.955 2.087 70.05 2.715 3.816 1.044 1.468 3.010 3.929 2.790 1.941
[2,] 2.955 2.127 70.05 3.396 4.300 1.052 1.482 3.013 3.929 3.725 2.146
[3,] 2.955 2.130 70.05 4.128 4.512 1.053 1.507 3.013 3.961 3.731 2.172
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.002 2.290 2.996 3.228 3.539 3.212 2.875 5.591 4.099 5.983 3.113
[2,] 3.692 2.291 3.376 3.474 3.573 3.858 3.960 6.276 4.660 6.011 3.142
[3,] 3.828 2.291 3.686 3.778 3.619 4.161 4.199 6.462 4.878 6.301 3.150
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.492 4.837 1.205 3.416 3.326 3.081 2.775 1.694 2.799 3.432 2.082
[2,] 10.719 5.324 1.207 4.305 4.540 3.082 3.774 1.699 3.427 3.540 2.105
[3,] 10.775 5.356 1.207 5.394 5.455 3.179 4.431 1.710 4.381 3.757 2.149
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.739 3.131 3.232 3.194 2.663 2.761 0.9440 2.111 0.7518 2.647 2.612
[2,] 4.221 3.988 3.999 3.234 2.893 2.766 0.9466 2.151 0.7541 2.971 3.252
[3,] 4.606 4.188 4.335 3.242 2.948 2.796 0.9505 2.169 0.7610 3.201 3.581
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.445 1.263 3.045 2.803 4.341 2.263 3.298 3.162 1.458 3.355 2.917
[2,] 2.450 1.263 3.235 2.809 4.342 2.373 4.019 3.266 1.460 4.233 3.342
[3,] 2.492 1.263 3.333 2.847 4.437 2.386 4.364 3.311 1.461 4.320 3.860
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.696 1.474 2.395 0.8522 2.414 1.421 2.569 2.295 2.424 3.606 1.084
[2,] 3.162 3.045 2.444 0.8533 2.610 1.434 2.609 2.307 2.946 4.271 1.084
[3,] 3.951 3.339 2.449 0.8534 3.498 1.466 2.834 2.307 3.054 4.412 1.084
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.006 2.400 2.270 1.334 2.939 2.999 3.677 3.667 3.844 3.414 2.095
[2,] 3.507 2.418 3.281 1.385 2.939 3.000 3.691 4.295 3.869 4.523 3.663
[3,] 3.560 2.419 3.614 1.403 2.950 3.000 3.699 4.298 3.871 4.531 3.884
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8091 2.052 1.804 2.138 1.539 1.977 0.8612 2.400 2.035 5.117 5.430
[2,] 0.8095 3.154 1.837 2.736 1.547 2.111 0.8623 3.118 2.072 5.148 5.435
[3,] 0.8097 4.142 1.837 3.953 1.633 2.191 0.8634 3.135 2.075 5.149 5.446
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6801 0.7419 1.393 1.265 2.042 1.273 2.357 18.02 10.43 4.652
[2,] 0.8534 1.3081 1.414 1.312 2.075 1.277 2.454 19.20 10.82 5.225
[3,] 1.1059 1.3296 1.432 1.318 2.209 1.286 2.699 20.84 11.03 5.315
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.752 2.65 88.95 3.448 4.845 1.326 1.864 3.823 4.990
[2,] 21.588 190.34 81.20 939.539 913.838 59.662 93.628 55.233 4.208
[3,] 7.860 48.09 114.25 1081.652 629.806 16.071 126.480 13.458 229.605
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.543 2.465 3.812 2.908 3.804 4.099 4.494 4.078
[2,] 1136.911 421.368 990.737 28.292 717.333 591.217 225.751 985.005
[3,] 96.558 153.253 465.349 4.032 682.080 684.413 264.602 718.354
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.65 7.1 5.205 7.598 3.953 9.514 6.142 1.53
[2,] 1255.10 1312.9 1021.166 265.374 197.282 3531.431 1024.905 32.74
[3,] 642.53 710.0 664.270 870.161 103.606 509.346 269.804 18.78
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.337 4.223 3.912 3.524 2.151 3.554 4.359 2.643
[2,] 1207.644 1423.760 44.149 1178.061 59.504 910.982 398.731 144.791
[3,] 1496.693 1393.175 358.493 1069.943 88.220 1257.628 580.039 198.502
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.748 3.975 4.105 4.056 3.382 3.506 1.199 2.681
[2,] 902.412 1138.207 1084.365 231.686 519.766 75.946 32.339 189.798
[3,] 849.352 588.634 771.671 107.141 263.365 189.577 39.416 127.975
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 0.9546 3.361 3.317 3.105 1.603 3.867 3.56 5.512 2.874
[2,] 27.5088 621.762 892.388 70.674 12.988 502.193 82.01 49.283 328.056
[3,] 47.0500 548.804 691.412 209.726 11.656 370.814 215.43 421.229 117.242
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.188 4.015 1.852 4.261 3.704 3.424 1.872 3.042
[2,] 1058.106 376.819 33.712 1189.242 751.444 761.200 1227.344 223.007
[3,] 783.968 251.671 18.903 396.419 889.834 1091.026 631.227 70.919
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.082 3.066 1.804 3.262 2.915 3.078 4.58 1.376 3.817
[2,] 20.183 457.525 90.943 210.460 106.372 771.362 1053.85 4.971 832.208
[3,] 5.671 1072.835 140.730 508.849 19.841 370.184 511.04 6.614 280.685
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.048 2.882 1.694 3.732 3.808 4.669 4.656 4.881
[2,] 134.174 1091.575 171.677 23.435 40.123 147.993 1030.916 203.056
[3,] 34.913 697.982 102.933 115.505 3.092 110.736 62.758 49.512
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.335 2.661 1.027 2.605 2.29 2.714 1.955 2.51
[2,] 1366.811 1384.437 11.334 1103.841 159.69 786.641 70.550 340.97
[3,] 126.647 594.457 8.738 1236.713 22.72 1314.698 241.657 270.86
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.094 3.048 2.584 6.497 6.895 0.8636 0.9421 1.769
[2,] 19.686 916.836 179.903 262.951 107.266 237.5254 496.3245 112.656
[3,] 20.119 150.186 55.022 24.486 162.392 324.0196 109.8010 105.078
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.606 2.594 1.616 2.994 22.89 13.25 5.907
[2,] 160.519 169.823 47.054 313.570 3054.36 1312.93 1096.701
[3,] 57.733 348.682 69.626 517.747 3726.84 1002.41 446.843
[1] "--- VAR model 2017-10-03 21:01:00 completed"
[1] "Completed training sample: 2017-10-03 21:01:00 - 2017-10-04 05:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 21:31:00 - 2017-10-04 05:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3180734 0.30669 -0.004009 5.4979
-0.0006344 0.04386 0.003998 -0.7501
-0.0460796 -0.02852 0.019519 4.1742
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.866 -0.05046 -0.3389 2.1282
3.643 -0.04173 -0.4770 -0.6098
-0.531 -0.03293 -0.4180 0.3798
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.8143 -1.54560 1.351540 -2.810
1.3109 2.43048 -0.004724 -5.049
0.2862 -0.09781 0.434246 -2.885
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.01725 8.3958 4.8863 0.4401
0.10982 -0.9766 -1.6500 0.2531
-0.13360 1.6306 -0.2213 -0.8391
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.8249 -2.9501 -4.751 3.8716
2.0803 6.7084 1.748 0.1503
-2.2768 -0.6009 1.893 4.3720
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.914 0.9632 8.401 4.954
2.560 0.5698 4.638 3.055
1.932 0.2384 5.952 3.199
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.04867 -2.326 -0.4984 1.4877
0.07386 4.222 4.2175 0.5869
0.09169 1.515 1.8352 0.9494
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.2350 0.2139 8.153 -3.409
-0.7024 0.1985 -1.458 -1.327
4.1423 0.1195 3.942 -1.232
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.98576 5.7206 2.698 4.3269
1.28253 0.7553 3.328 4.7324
0.04475 2.4700 -1.098 -0.4179
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2975 1.6404 0.23897 -0.1748
0.1490 1.7709 0.15775 0.1358
0.1278 -0.3134 0.03895 0.1520
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.111169 0.1732 4.1228 4.7557
0.178950 0.1188 2.4184 3.3850
0.006072 0.1139 0.9742 0.8568
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.05082 -0.12481 -1.180 0.3953
0.45157 0.12854 4.615 0.1144
0.17119 -0.07502 1.516 1.2468
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.2126 1.15502 4.5998 0.2084
0.9431 -0.03819 0.6829 -0.1838
0.6128 0.68059 2.6964 0.2591
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1853 3.2061 2.572 -2.006
0.2240 3.3190 2.802 1.513
0.3454 -0.2282 0.503 2.026
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.1885 0.2435 0.007616 2.76816
1.9799 0.2758 0.021743 -0.08879
2.4426 0.0649 0.001396 2.18678
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5511 1.7783 0 2.90718
-0.4809 0.6699 0 1.90436
-0.3856 -0.3612 0 0.03191
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.2068 -0.0089831 4.3632 -0.14130
2.0582 0.0421658 1.7966 0.05523
0.4863 -0.0003271 0.9619 -0.03915
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.069 -0.7333 0.4117 7.399
2.830 0.4359 1.3549 -1.464
1.583 0.2375 0.5515 1.352
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.18869 8.0983 -0.05626 2.8472
-0.13385 0.5482 0.15371 -0.2975
-0.02973 1.1716 -0.06910 0.3198
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.8614 0 -0.04822 -0.36051
6.8638 0 4.96127 -0.07208
-0.7831 0 0.18528 -0.21113
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.7736 0.07279 0.98359 0.25007
-1.5162 -0.39743 0.76448 -0.18868
5.6970 1.01805 0.09207 -0.01155
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.5475 0.13222 -0.6789 0.6332
1.0829 -0.03106 -0.1849 -0.5332
0.7127 -0.03376 -0.6759 -0.3125
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.33699 -0.2314 -0.008747 -0.16652
-0.15044 -0.1068 0.036935 -0.16526
-0.01037 -0.1247 0.144285 -0.05132
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.51132 0.06883 -0.8540 240.9
-0.04744 -0.13997 -0.6491 240.7
0.24356 -0.08558 -0.7609 242.6
rnd_95776.volume rnd_95787.volume
8.540 5.088
1.259 2.919
6.761 3.001
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.929 1.881 70 2.531 3.526 0.9228 1.426 3.012 3.775 2.758 1.921
[2,] 2.934 1.908 70 3.259 4.006 0.9301 1.442 3.013 3.780 3.676 2.095
[3,] 2.936 1.909 70 3.974 4.266 0.9307 1.463 3.057 3.821 3.690 2.109
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.019 2.204 2.923 3.240 3.481 3.275 2.758 5.996 4.262 6.176 2.982
[2,] 3.620 2.204 3.326 3.507 3.498 3.930 3.878 6.264 4.440 6.304 3.001
[3,] 3.798 2.205 3.551 3.758 3.532 4.226 4.162 6.492 4.647 6.413 3.023
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.088 4.766 1.048 3.306 3.248 2.882 2.639 1.487 2.750 2.974 1.888
[2,] 10.470 5.448 1.048 4.239 4.445 2.883 3.629 1.497 3.366 2.993 1.905
[3,] 10.643 5.538 1.048 5.350 5.501 2.991 4.250 1.506 4.369 3.093 1.971
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.249 2.928 2.925 2.888 2.357 2.425 0.7956 1.810 0.6931 2.480 2.397
[2,] 3.712 3.794 3.556 2.891 2.708 2.430 0.8223 1.845 0.6958 2.780 3.013
[3,] 4.348 4.034 3.839 2.891 2.782 2.449 0.8314 1.849 0.7001 3.024 3.298
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.279 1.181 2.918 2.403 3.978 2.147 3.008 2.903 1.412 2.977 2.604
[2,] 2.279 1.181 3.050 2.407 3.988 2.230 3.759 3.003 1.413 3.750 3.005
[3,] 2.304 1.182 3.137 2.423 4.081 2.238 4.023 3.026 1.413 3.871 3.483
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.431 1.361 2.148 0.8657 2.320 1.372 2.472 2.098 2.237 2.890 1.076
[2,] 2.918 2.748 2.198 0.8672 2.443 1.389 2.500 2.101 2.684 3.541 1.076
[3,] 3.641 3.016 2.202 0.8674 3.143 1.419 2.699 2.101 2.747 3.607 1.076
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.723 2.064 2.033 1.283 2.971 2.586 3.338 3.390 3.395 3.395 1.985
[2,] 3.198 2.092 3.117 1.323 2.972 3.149 3.375 4.110 3.409 4.229 3.413
[3,] 3.234 2.092 3.398 1.337 2.996 3.169 3.384 4.113 3.421 4.239 3.837
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7549 1.923 1.645 2.012 1.474 1.750 0.7978 2.184 1.795 4.855 4.572
[2,] 0.7549 3.043 1.672 2.509 1.484 1.864 0.7982 2.771 1.826 4.931 4.592
[3,] 0.7558 3.911 1.673 3.516 1.556 1.930 0.8000 2.808 1.827 4.932 4.599
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6588 0.7355 1.257 1.144 1.908 1.04 2.203 17.86 9.657 4.549
[2,] 0.8157 1.1810 1.278 1.184 1.929 1.04 2.284 19.05 10.024 5.265
[3,] 1.0403 1.1976 1.290 1.191 2.039 1.05 2.531 20.63 10.300 5.373
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.72 2.389 88.89 3.214 4.477 1.172 1.81 3.825 4.794
[2,] 78.34 155.585 91.23 994.539 921.515 56.078 106.06 41.059 95.511
[3,] 55.99 22.766 98.06 1101.813 711.233 17.153 117.39 249.870 270.393
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.502 2.44 3.834 2.799 3.712 4.114 4.42 4.159
[2,] 1178.016 404.71 967.350 8.800 769.199 650.490 169.69 1052.044
[3,] 154.197 118.49 556.652 27.095 602.478 654.683 236.38 752.850
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.502 7.615 5.413 7.843 3.787 9.0 6.052 1.331
[2,] 1320.753 877.272 601.730 611.460 164.023 3733.7 1278.396 13.485
[3,] 732.175 826.233 664.232 571.672 174.204 926.8 481.887 9.572
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.198 4.125 3.66 3.352 1.888 3.492 3.776 2.397
[2,] 1285.982 1469.957 31.66 1206.728 83.293 940.669 162.009 122.436
[3,] 1581.124 1570.412 387.00 1072.111 80.461 1349.152 378.484 246.091
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.125 3.718 3.714 3.668 2.994 3.079 1.01 2.299
[2,] 870.468 1169.134 979.593 59.379 645.539 77.490 100.69 172.737
[3,] 1096.634 664.119 701.832 9.713 308.282 145.502 59.43 54.561
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 0.8802 3.15 3.044 2.894 1.499 3.705 3.052 5.051 2.727
[2,] 29.4743 608.27 884.262 17.269 11.370 430.992 61.821 139.321 292.332
[3,] 37.3830 576.74 649.771 162.611 18.661 354.324 136.418 419.921 91.704
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.82 3.686 1.793 3.78 3.306 3.087 1.728 2.727
[2,] 1092.31 373.149 21.866 1105.10 726.856 781.581 1156.887 225.923
[3,] 694.08 179.090 13.575 465.39 852.949 1055.390 601.691 70.544
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.099 2.946 1.743 3.139 2.664 2.84 3.669 1.366 3.457
[2,] 24.934 370.836 103.957 180.390 57.162 718.98 991.396 4.829 812.269
[3,] 7.268 957.720 141.288 493.687 5.452 282.00 332.246 3.261 235.328
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 2.621 2.582 1.63 3.772 3.284 4.239 4.304 4.312
[2,] 166.770 1144.719 154.96 38.519 870.124 238.390 1126.025 146.056
[3,] 2.385 655.137 95.03 184.482 174.382 120.938 78.222 137.790
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.311 2.521 0.9586 2.441 2.09 2.555 1.872 2.223
[2,] 1222.006 1344.948 1.2374 1142.686 143.71 726.191 81.147 310.723
[3,] 141.034 849.827 17.2446 1190.671 28.78 1193.558 226.215 242.733
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.013 2.774 2.279 6.166 5.805 0.8366 0.9339 1.596
[2,] 11.688 826.175 163.837 416.311 208.788 233.0523 447.7137 111.825
[3,] 26.306 218.535 30.737 56.192 119.476 312.7693 96.2345 86.175
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.453 2.423 1.32 2.798 22.68 12.26 5.776
[2,] 146.812 135.887 11.75 291.350 3214.34 1301.59 1284.310
[3,] 64.037 320.492 71.58 528.505 3832.25 1149.09 518.814
[1] "--- VAR model 2017-10-03 21:31:00 completed"
[1] "Completed training sample: 2017-10-03 21:31:00 - 2017-10-04 05:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 22:01:00 - 2017-10-04 06:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9196 -0.29523 -0.033141 -3.0580
0.6231 -0.00970 -0.009437 0.3601
0.5615 0.06833 -0.001510 -1.2806
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.1338 0 1.9764 -2.6454
-0.6735 0 0.6304 3.4962
-0.9360 0 1.3922 0.5736
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.2029 22.383 3.1425 -7.652
1.2700 -5.304 -0.8578 -19.183
0.6396 3.025 0.6797 -14.111
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.76764 5.531 -3.098 0.1386
-0.34925 6.175 6.520 -0.3174
0.04342 -1.128 -5.289 -0.2058
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.925 -2.275 0.9268 4.16133
3.107 -1.535 -4.4778 1.43929
1.394 6.069 2.1454 0.02416
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.0015 -0.4407 -1.7655 -1.9784
0.1574 -0.2944 -4.9663 -1.8595
-0.3998 -0.1670 0.2006 -0.2264
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.04484 1.5409 -0.3316 2.2995
0.13190 -0.9039 -1.4217 0.9784
-0.09446 -1.8450 -2.3570 0.3230
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.0591 0.2049 -1.6986 -0.4335
0.2101 0.1912 0.1828 -1.0262
-1.3784 0.1648 -1.2980 -0.7980
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.3217 -5.633 -8.836 -7.3728
-0.7058 -2.525 -1.418 -2.1647
-0.1847 -1.569 -1.134 -0.8137
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.2642 -2.01566 -0.4523 0.071832
0.6448 0.08887 -0.4068 0.002227
2.7057 0.84734 -0.2501 0.005988
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.13806 0.01906 -1.8956 5.952
-0.03633 0.13651 -4.6015 -6.879
-0.07116 0.01470 -0.8889 -4.756
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.1347 0.6719 -3.8953 0.2841
0.3050 0.1764 0.0875 1.1655
0.2103 0.1500 -3.7129 0.2520
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.7129 -0.18030 4.557 -0.5100
-0.7122 0.02558 -6.432 0.4664
-0.8739 -0.19597 3.101 0.1456
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.15840 6.693 2.118 1.079
-0.07166 -1.734 2.990 6.036
-0.11987 -1.046 -4.169 -2.280
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.317 1.7671 -0.08004 0.649
1.840 0.4062 0.12432 1.704
3.147 1.0440 -0.08852 2.379
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7759 0.1197 0.40683 -1.243
-0.7340 1.1560 0.35137 1.165
-0.4788 0.9763 0.07009 1.319
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.3982 0.61133 1.5811 -0.24033
1.6242 0.14732 -0.2124 0.09529
2.1088 0.09523 1.3760 -0.01268
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.549 0.00784 1.1907 2.0595
-1.507 0.16819 1.1968 0.5414
1.215 -0.02371 0.5613 0.7539
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3526 2.168 -0.3184 8.3677
0.6153 1.433 0.1969 1.5727
-0.3361 1.267 0.1640 0.6795
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.4777 -0.02290 2.994 -0.1906
1.4939 -0.04134 4.101 0.2959
0.9045 -0.03375 1.427 -0.1308
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.8797 -0.1926 0.1164 0.7141
7.9982 0.1820 1.3753 0.9091
0.5853 0.5605 -1.0243 0.4656
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.4431 0.4132 -0.3508 0.1388
-0.5155 -0.1247 0.5297 -1.0259
1.3100 -0.1414 0.3744 -0.3984
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.34217 -0.0009823 0.7808 0.29222
-0.02965 0.2753321 0.5338 0.40135
0.26759 0.3337567 0.4710 0.09376
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2473 -0.29207 -2.195 224.1
1.1014 0.05083 -2.415 222.0
0.7647 -0.01675 -2.364 219.2
rnd_95776.volume rnd_95787.volume
-6.9248 -2.7924
1.0945 -3.1884
0.9835 -0.9605
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.070 1.645 69.98 2.595 2.998 0.9086 1.622 3.833 4.172 2.878 2.042
[2,] 3.092 1.647 69.98 3.664 4.026 0.9095 1.647 3.835 4.172 4.169 2.243
[3,] 3.092 1.652 69.98 4.344 4.527 0.9185 1.661 3.869 4.187 4.199 2.255
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.418 2.247 3.320 3.336 3.596 3.450 2.716 5.934 4.266 6.151 2.983
[2,] 4.059 2.247 3.633 3.519 3.596 3.809 3.951 6.397 4.462 6.191 3.000
[3,] 4.387 2.251 3.746 3.711 3.596 4.127 4.122 6.513 4.757 6.239 3.014
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.604 4.944 1.005 3.710 3.360 2.899 2.763 1.425 2.791 3.416 1.881
[2,] 11.084 5.612 1.005 4.503 4.737 2.902 4.041 1.431 3.563 3.463 1.893
[3,] 11.165 5.679 1.007 5.527 5.870 2.990 4.651 1.440 4.699 3.511 1.963
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.454 2.854 2.914 3.216 2.495 2.238 0.7722 1.718 0.7036 2.534 2.643
[2,] 3.968 3.891 4.008 3.241 2.718 2.246 0.7726 1.753 0.7075 2.847 3.171
[3,] 4.883 4.355 4.455 3.241 2.861 2.263 0.7753 1.762 0.7078 3.055 3.518
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.207 1.165 2.878 2.335 3.570 2.075 2.933 2.551 1.530 2.900 2.585
[2,] 2.209 1.165 3.006 2.335 3.570 2.076 3.703 2.652 1.531 3.576 3.018
[3,] 2.243 1.166 3.099 2.342 3.588 2.082 4.075 2.655 1.533 3.778 3.513
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.409 1.509 2.024 1.004 2.304 1.356 2.284 1.899 2.329 2.706 1.151
[2,] 2.981 2.750 2.068 1.008 2.422 1.373 2.300 1.900 2.570 3.436 1.163
[3,] 3.516 3.080 2.081 1.009 3.056 1.409 2.452 1.908 2.615 3.466 1.164
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.656 1.920 1.947 1.287 3.030 2.412 3.401 3.415 3.438 3.386 2.178
[2,] 3.124 1.936 2.988 1.287 3.042 3.323 3.402 4.323 3.453 4.321 3.588
[3,] 3.140 1.936 3.146 1.292 3.062 3.330 3.406 4.329 3.453 4.330 4.066
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7178 2.024 1.594 2.105 1.403 1.745 0.7773 2.018 1.567 5.035 4.122
[2,] 0.7202 2.928 1.630 2.525 1.425 1.814 0.7778 2.633 1.577 5.142 4.131
[3,] 0.7209 3.863 1.630 3.896 1.449 1.883 0.7782 2.651 1.578 5.148 4.188
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.727 0.7774 1.198 1.064 1.860 0.9173 2.008 17.74 8.683 4.707
[2,] 0.846 1.0731 1.215 1.096 1.914 0.9174 2.083 18.95 9.893 5.398
[3,] 1.020 1.0837 1.222 1.097 1.992 0.9320 2.327 20.61 10.223 5.500
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.898 2.089 88.86 3.296 3.808 1.154 2.06 4.867 5.298
[2,] 205.771 47.512 137.26 1449.922 1505.976 21.807 159.05 74.863 7.092
[3,] 12.410 69.341 80.67 1307.717 1160.728 71.891 123.34 288.288 200.792
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.655 2.593 4.34 2.853 4.216 4.236 4.566 4.38
[2,] 1690.519 520.125 1227.32 9.788 826.965 627.715 22.376 904.86
[3,] 279.346 133.777 932.94 75.669 511.083 660.733 14.271 890.84
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.449 7.535 5.418 7.811 3.788 9.656 6.279 1.276
[2,] 1608.446 1339.767 732.786 393.727 177.560 4520.218 1488.487 20.240
[3,] 658.160 684.348 924.068 433.610 164.897 750.161 487.307 29.164
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.711 4.267 3.682 3.508 1.809 3.544 4.337 2.388
[2,] 1430.605 1871.956 72.960 1653.083 77.025 1241.723 319.070 121.501
[3,] 1795.691 1942.706 403.519 1290.831 88.445 1717.260 325.562 290.263
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.386 3.625 3.7 4.084 3.168 2.842 0.9806 2.182
[2,] 1095.290 1482.183 1542.4 223.356 604.290 108.408 13.4387 194.183
[3,] 1595.170 1095.893 1090.5 25.839 501.173 151.717 36.0887 100.379
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 0.8934 3.218 3.356 2.803 1.479 3.655 2.965 4.533 2.635
[2,] 41.4258 727.517 982.317 47.470 19.951 486.175 14.946 3.588 33.793
[3,] 11.8866 621.538 853.672 218.372 23.196 422.051 100.022 199.571 89.510
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.725 3.239 1.942 3.683 3.283 3.059 1.917 2.57
[2,] 1266.592 406.199 37.992 1172.092 872.628 984.564 1288.718 237.89
[3,] 953.964 78.579 45.612 684.009 1007.907 1045.014 776.453 129.10
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.275 2.925 1.722 2.901 2.411 2.957 3.436 1.462
[2,] 50.619 420.106 118.964 149.464 36.974 609.806 1186.575 94.245
[3,] 9.390 1044.135 177.279 477.210 95.970 270.044 258.728 20.439
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.373 2.438 2.473 1.634 3.848 3.063 4.319 4.336
[2,] 922.253 140.090 1270.059 5.650 145.612 1281.098 35.987 1485.919
[3,] 176.575 4.296 553.017 60.745 199.257 117.534 101.071 126.463
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.366 4.3 2.765 0.9114 2.57 2.024 2.673 1.781
[2,] 177.164 1504.9 1598.567 32.9270 1185.72 190.990 781.681 140.787
[3,] 39.431 157.2 1072.138 18.5855 1412.34 23.071 1663.039 147.038
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.215 0.987 2.562 1.99 6.393 5.234 0.9231 0.9872
[2,] 278.751 16.007 948.057 97.75 585.651 150.828 242.5469 414.6173
[3,] 282.946 14.695 173.837 24.06 143.737 385.845 319.2802 84.8239
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.521 1.351 2.362 1.165 2.55 22.53 11.03 5.978
[2,] 114.972 147.361 254.086 6.740 309.76 3731.90 2656.48 1480.817
[3,] 74.442 25.411 309.893 92.098 582.18 4547.72 1446.20 591.132
[1] "--- VAR model 2017-10-03 22:01:00 completed"
[1] "Completed training sample: 2017-10-03 22:01:00 - 2017-10-04 06:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 22:31:00 - 2017-10-04 06:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.6721 -0.113443 -0.03498 -12.74561
-0.3176 -0.027661 0.02199 -14.32819
0.6555 0.005976 -0.01265 -0.03121
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.275 0.1721 3.553 4.315
-8.269 0.2540 5.025 8.776
-15.676 0.2166 2.740 8.209
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.843 17.973 6.813 -14.73
9.041 3.099 2.706 -18.80
10.308 8.312 2.779 -17.15
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.5357 6.857 5.551 2.1532
0.4312 4.931 7.993 -0.9098
0.3374 3.127 3.367 0.8345
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.536 1.662 14.304 15.905
8.367 10.505 9.359 2.797
3.362 7.754 16.127 11.057
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.3824 0.212810 -3.359 -2.492
-0.9801 0.005372 -8.949 -3.753
-0.2403 0.048312 -4.488 -1.391
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.33324 -16.14902 -23.1943 1.457
0.05243 0.03147 -0.9024 3.570
-0.10375 -4.24740 -1.9495 2.526
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.5203 0.14365 2.4820 -1.6028
-17.9016 0.14509 -24.3295 -1.5940
-0.4073 0.09107 0.2511 -0.7574
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5843 5.738 -6.985 -5.912
-2.2663 -26.487 -1.339 7.371
-1.2760 -5.115 -18.573 -23.282
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.5537 -0.3557 0.1464 -0.009038
-0.2186 3.6441 0.2308 -0.139931
0.1142 0.5586 0.1209 -0.154744
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.3153 0.00776 -0.5143 8.766
-0.3759 -0.04475 -0.7582 -4.259
-0.2769 -0.13859 -4.6896 3.263
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5576 0.8462 2.9746 0.1955
-0.1361 1.1083 2.2251 -0.4208
-0.2586 0.4423 -0.8101 0.4044
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.0003091 1.2823 -0.2223 1.127
-0.0777094 0.5047 4.2630 3.402
-0.0074596 0.4106 2.1532 2.628
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.02199 1.558 8.1105 1.232
0.72323 6.370 -0.5931 1.612
0.39235 2.646 3.3935 3.503
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.656 -1.125 0.2866 11.826
8.018 -0.613 0.1246 -1.720
-2.009 1.226 0.1545 5.858
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.690 4.797 0.35627 -5.31989
-2.007 2.570 -0.26354 9.12553
-1.490 2.046 -0.06274 0.03201
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.087 0.4770 -5.676 -0.29080
5.727 0.2986 2.783 -0.17680
1.327 0.3812 3.799 -0.05752
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.191 0.3038 0.9827 0.8906
-5.645 -0.2758 -0.6046 1.0991
7.498 0.3103 0.1134 -0.1451
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.36604 0.7409 1.0580 9.8092
-0.02257 0.8114 -0.4569 1.6651
1.44928 -0.4938 -0.4362 -0.8064
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.0386 0.1886639 -7.879 0.3631
4.3626 0.0220848 5.928 0.2618
0.1609 -0.0004302 1.546 0.1794
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.277 1.0875 1.93705 -0.1825
5.951 -0.8475 0.09508 -0.2742
1.351 1.0380 0.77899 0.3037
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.2047 -0.5529 1.885 -4.770
2.1154 0.1743 1.618 -3.485
0.8297 0.2535 1.068 -1.865
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2342 -2.5243 -0.4783 -0.2172
0.3477 0.5288 -1.3662 -2.3839
-0.1782 0.8057 -0.4964 0.4598
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.205 -0.15989 -3.488 229.2
1.854 -0.12618 -3.180 224.1
1.586 -0.03341 -3.102 226.0
rnd_95776.volume rnd_95787.volume
19.485 -4.419
7.807 -4.798
-2.593 -2.531
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.506 1.554 70.04 3.223 3.267 0.7881 1.809 4.322 5.166 3.872 2.123
[2,] 3.541 1.558 70.04 4.232 4.523 0.7881 1.841 4.336 5.201 4.874 2.398
[3,] 3.545 1.558 70.04 4.852 4.930 0.8131 1.892 4.594 5.355 4.893 2.419
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.401 2.369 4.008 3.801 2.420 3.867 2.443 5.882 3.829 6.517 2.830
[2,] 4.555 2.370 4.206 3.991 2.428 4.515 4.237 6.597 4.433 6.532 2.871
[3,] 4.953 2.376 4.370 4.177 2.497 4.740 4.437 7.007 4.801 6.563 2.884
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.40 5.034 1.001 4.031 3.914 3.103 3.253 1.407 3.289 3.626 2.011
[2,] 11.82 5.860 1.001 4.898 5.194 3.121 4.498 1.416 3.943 3.646 2.029
[3,] 11.89 5.927 1.003 6.245 6.296 3.209 5.346 1.430 5.149 3.679 2.101
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.068 3.215 3.420 3.712 2.614 2.154 0.7885 1.852 0.7137 2.868 2.779
[2,] 4.299 4.597 4.642 3.735 2.779 2.162 0.7898 1.888 0.7137 3.123 3.284
[3,] 5.692 5.040 5.273 3.737 2.902 2.185 0.7945 1.890 0.7139 3.426 3.670
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.279 1.342 3.003 2.388 3.152 1.858 3.557 2.592 1.410 2.890 2.915
[2,] 2.284 1.352 3.158 2.388 3.166 1.915 4.083 2.681 1.454 3.321 3.264
[3,] 2.320 1.358 3.224 2.390 3.186 1.921 4.220 2.685 1.469 3.773 3.592
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.463 2.015 2.213 1.073 2.227 1.365 2.231 1.89 2.602 2.729 1.314
[2,] 2.999 2.725 2.221 1.075 2.774 1.379 2.322 1.89 2.898 3.411 1.317
[3,] 3.399 3.336 2.237 1.075 3.120 1.414 2.516 1.90 2.961 3.492 1.322
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.828 1.890 2.435 1.212 3.507 2.596 3.620 3.679 3.860 3.448 2.280
[2,] 3.030 1.904 3.102 1.255 3.541 3.630 3.621 4.735 3.877 4.982 3.709
[3,] 3.080 1.905 3.334 1.267 3.578 3.631 3.622 4.757 3.882 4.984 4.337
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6742 2.616 1.711 2.568 1.366 1.676 0.8387 2.480 1.468 5.168 4.562
[2,] 0.6788 3.355 1.726 3.026 1.382 1.764 0.8404 2.721 1.489 5.216 4.571
[3,] 0.6788 4.694 1.726 4.773 1.428 1.794 0.8410 2.741 1.489 5.230 4.770
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9836 1.078 1.076 0.9863 1.867 1.098 1.898 17.52 8.207 5.518
[2,] 0.9912 1.180 1.226 1.1483 1.913 1.122 1.974 18.60 9.724 6.065
[3,] 0.9914 1.208 1.240 1.1836 1.982 1.131 2.216 20.14 10.226 6.138
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.452 1.974 88.94 4.093 4.149 1.0007 2.298 5.488
[2,] 287.491 56.831 182.98 1585.833 1808.761 0.9254 196.320 200.122
[3,] 95.508 22.065 86.26 1372.888 1134.773 115.8565 253.082 878.370
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.559 4.916 2.696 5.588 3.008 5.09 4.826 3.073
[2,] 351.916 1711.725 644.863 678.721 31.461 737.92 704.671 114.886
[3,] 736.030 251.568 180.886 1125.567 102.304 686.11 711.341 336.958
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.911 3.103 7.469 4.863 8.276 3.593 10.67 6.392
[2,] 1347.195 2001.503 1727.128 1290.773 258.746 279.502 4808.55 1734.678
[3,] 834.509 762.086 1366.577 1067.006 367.340 160.565 739.68 515.459
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.271 5.118 4.97 3.94 4.131 1.786 4.177 4.604
[2,] 21.512 1609.347 1974.56 195.87 1796.070 94.146 1256.938 220.545
[3,] 32.935 2240.390 2057.09 431.26 1670.948 115.387 1915.051 284.634
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.554 5.165 4.082 4.343 4.713 3.319 2.735 1.001
[2,] 154.126 805.382 1899.987 1814.854 242.459 546.218 111.034 26.270
[3,] 316.186 2156.778 1195.728 1447.234 55.530 483.567 181.198 49.914
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.351 0.9063 3.642 3.529 2.894 1.705 3.813 3.032 4.002
[2,] 212.183 1.7532 713.693 1011.809 88.900 91.008 565.090 26.571 175.720
[3,] 48.938 9.2610 815.504 948.142 234.461 78.518 374.683 60.715 205.486
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.359 4.517 3.291 1.79 3.669 3.702 3.128 2.559
[2,] 268.383 1159.061 397.011 206.10 946.032 849.454 989.480 1060.267
[3,] 92.797 618.472 81.859 122.74 1035.375 866.529 924.846 1113.020
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.81 1.363 2.828 1.734 2.833 2.40 3.304 3.465 1.668
[2,] 113.07 37.938 956.541 111.612 372.649 22.25 737.907 1183.264 56.166
[3,] 155.14 17.305 825.104 180.449 560.200 112.00 352.355 433.231 68.375
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.592 2.40 3.093 1.539 4.453 3.296 4.597 4.672
[2,] 628.495 133.67 1110.648 188.375 284.609 1467.495 53.265 1724.227
[3,] 319.108 32.11 706.769 100.332 297.922 53.365 50.828 261.187
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.902 4.378 2.895 0.8562 3.322 2.172 3.261 1.735
[2,] 210.797 2079.771 1691.869 45.6438 1214.560 133.432 925.727 118.789
[3,] 113.725 82.453 1300.110 1.1186 1898.039 13.499 2134.857 207.615
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.128 1.065 3.149 1.864 6.563 5.794 1.249 1.369 1.366
[2,] 318.834 30.839 648.412 145.896 407.420 159.884 71.124 277.673 340.420
[3,] 187.379 17.584 190.191 10.929 219.394 789.348 11.520 147.161 107.550
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.252 2.371 1.394 2.41 22.24 10.42 7.007
[2,] 340.046 239.220 133.974 314.81 3621.39 3015.82 1455.700
[3,] 165.946 301.126 82.597 581.96 4468.43 1829.79 545.378
[1] "--- VAR model 2017-10-03 22:31:00 completed"
[1] "Completed training sample: 2017-10-03 22:31:00 - 2017-10-04 06:30:00"
[1] "SpVAR; CCF training sample: 2017-10-03 23:01:00 - 2017-10-04 07:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.298 0.25526 0.11822 -18.221
4.908 -0.05675 -0.02235 4.503
4.010 0.04241 -0.03525 -8.979
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.072 0.617055 4.845 18.60
-16.356 -0.071968 2.718 11.62
2.089 0.007016 4.995 10.46
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
10.322 16.45 6.808 -8.197
9.666 16.38 4.540 -6.591
10.407 10.69 4.071 -4.094
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.459 6.831 9.852 0.7799
-2.114 7.617 10.208 1.6826
-1.384 7.934 10.251 2.2390
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
9.282 13.79 27.01 17.38
12.290 10.16 24.52 14.76
10.536 11.98 25.43 18.11
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.116 -0.7845 -23.1631 -8.523
-2.152 -0.5584 -7.1578 -4.203
-1.286 -0.3365 -0.3508 -1.973
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5230 11.73 2.842 4.990
0.3769 -11.74 -5.942 5.914
-0.1009 -1.56 -7.249 4.909
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.235 0.7147 -20.567 -0.4356
10.327 0.7805 3.117 -0.7844
-9.319 0.4309 -4.658 -0.9063
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.3445 -14.533 -0.6028 2.535
-0.1986 -5.083 -20.6918 -18.826
-0.2663 2.687 2.7101 2.251
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.266 3.3663 1.0683 0.2047
1.184 2.6707 0.8142 0.0464
-0.519 -0.9854 0.4185 -0.2955
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.3611 0.00879 1.9831 -4.025
-0.6545 -0.19358 -0.9566 -1.801
-2.9800 0.09756 -8.4162 -8.097
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.688 0.3187 -5.927 -6.761
5.045 2.6255 1.539 -1.889
4.728 1.4569 -1.804 2.092
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.1191 -0.2509 1.650 3.784
0.8067 -0.9526 2.746 2.144
1.0365 0.2182 -5.481 2.174
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1151 5.280 3.5888 -5.704
1.4753 8.749 0.8657 5.490
-1.0471 -5.415 1.9139 4.111
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.218 4.02689 0.15935 0.4792
4.430 1.03299 0.01806 -1.9061
2.356 -0.06889 0.04119 4.8164
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9385 3.52121 1.172 9.0854
-0.2662 -0.14027 2.010 3.2057
-1.2236 0.05862 1.153 0.2626
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.551 -0.3818 -1.013 -0.15819
6.492 -0.1845 4.938 -0.08479
2.455 0.0694 1.178 -0.04525
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.604 0.4422 6.226 8.930
8.195 -0.5210 5.907 3.845
3.267 0.1763 5.713 4.157
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.2518 9.047 14.847 3.542
2.0744 4.620 11.752 7.045
0.3935 4.637 9.867 5.531
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.971 0.1828589 7.225 -1.22916
8.231 0.0252068 5.353 0.66496
6.953 0.0009743 6.900 0.02938
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.419 1.4426 0.72802 0.3315
10.124 -0.2476 -0.05145 0.1721
9.129 0.1461 0.71785 0.2498
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.8845 0.6751 1.9091 -10.028
2.8889 0.5523 1.2035 -12.023
0.4239 -0.1306 0.6607 -8.049
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.094 -6.536 -4.5474 -3.538
1.203 2.374 -2.1574 -1.950
0.143 3.040 0.2377 1.603
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.28737 0.13356 -5.011 13.42
-0.08352 0.03294 -5.176 13.37
-0.36674 0.01975 -4.900 13.46
rnd_95776.volume rnd_95787.volume
31.537 3.721
-26.721 -9.951
5.637 -1.234
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.632 1.658 70.1 3.714 4.065 0.8126 1.914 5.635 6.451 4.398 2.367
[2,] 3.707 1.662 70.1 4.718 4.947 0.8138 1.982 6.117 6.730 6.123 2.825
[3,] 3.860 1.662 70.1 5.412 5.502 0.8388 1.991 6.314 6.973 6.403 2.915
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.332 2.733 4.298 3.922 2.835 3.928 2.960 4.943 4.094 7.122 2.911
[2,] 5.690 2.763 4.563 4.158 2.855 4.617 4.564 6.010 4.467 7.174 2.972
[3,] 5.970 2.773 4.799 4.377 2.956 4.878 4.801 6.595 4.970 7.199 2.978
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.85 5.715 1.095 4.279 4.408 2.996 3.795 1.355 4.130 4.036 2.312
[2,] 13.41 6.408 1.095 5.921 5.982 3.025 4.887 1.367 4.722 4.043 2.360
[3,] 13.45 6.467 1.096 6.965 6.541 3.058 6.131 1.383 5.662 4.098 2.362
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.977 4.026 4.218 3.828 2.819 2.261 0.7683 2.221 0.7890 3.063 3.016
[2,] 5.193 4.845 5.029 3.860 3.032 2.275 0.7711 2.225 0.7899 3.409 3.556
[3,] 6.038 5.488 5.637 3.860 3.145 2.284 0.7730 2.233 0.7900 3.674 3.938
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.280 1.460 3.174 3.084 3.169 2.049 3.969 2.584 1.553 3.162 3.065
[2,] 2.314 1.504 3.448 3.089 3.205 2.112 4.521 2.712 1.604 3.685 3.410
[3,] 2.403 1.541 3.522 3.273 3.225 2.123 4.674 2.721 1.635 4.072 3.674
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.913 2.280 2.566 1.160 2.611 1.369 2.496 2.092 2.535 2.946 1.519
[2,] 3.397 2.825 2.567 1.166 3.068 1.376 2.544 2.097 3.166 3.894 1.520
[3,] 3.942 3.644 2.619 1.166 3.381 1.428 2.676 2.112 3.209 3.965 1.525
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.147 1.938 2.446 1.400 3.639 2.793 3.911 4.180 4.399 4.122 2.978
[2,] 3.342 1.947 3.290 1.400 3.771 3.817 3.959 5.062 4.592 5.272 4.332
[3,] 3.427 1.947 3.737 1.405 3.848 3.919 4.020 5.122 4.717 5.360 4.796
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6588 2.995 1.853 3.220 1.842 1.709 0.8824 2.776 1.508 5.724 4.801
[2,] 0.6650 3.952 1.857 3.761 1.879 1.816 0.8881 2.982 1.538 5.756 4.802
[3,] 0.6651 4.896 1.859 4.837 1.880 1.849 0.8909 3.019 1.538 5.823 5.170
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.345 1.354 1.411 1.551 1.997 1.229 1.636 20.17 9.128 5.722
[2,] 1.348 1.586 1.589 1.643 2.034 1.261 1.720 22.89 11.043 6.131
[3,] 1.362 1.639 1.590 1.696 2.062 1.266 1.926 25.34 11.679 6.739
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.611 2.106 89.02 4.716 5.162 1.032 2.431 7.155
[2,] 462.331 62.725 222.18 1804.827 1748.150 27.403 318.635 1476.659
[3,] 665.752 2.614 87.59 1643.895 1494.200 125.948 118.180 970.081
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.191 5.585 3.005 6.77 3.47 5.458 4.98 3.6
[2,] 1190.774 2642.248 956.485 1232.30 255.62 949.752 857.13 208.7
[3,] 1129.808 1160.939 445.409 1119.76 145.48 921.798 848.21 474.9
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.988 3.758 6.277 5.199 9.044 3.696 13.78 7.257
[2,] 1504.251 2154.665 2120.320 1108.433 533.218 373.442 4881.17 1796.582
[3,] 977.016 923.191 1682.803 1350.594 371.769 116.231 707.56 540.327
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.39 5.434 5.598 3.804 4.819 1.721 5.245 5.126
[2,] 25.94 2538.053 2507.391 261.639 1910.029 112.449 1419.035 137.876
[3,] 14.38 2274.392 1640.162 275.297 2295.793 130.160 1937.629 417.682
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.936 6.32 5.112 5.357 4.861 3.579 2.871 0.9756
[2,] 293.243 918.97 1671.907 1698.118 307.206 693.073 153.677 40.8432
[3,] 63.860 1910.82 1598.083 1578.217 38.186 518.305 128.560 33.8552
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.82 1.002 3.889 3.83 2.895 1.854 4.031 3.916 4.025
[2,] 87.72 22.561 927.884 1168.16 245.970 224.286 834.537 109.191 296.833
[3,] 113.53 10.193 850.853 1049.67 402.703 207.241 447.969 671.615 220.136
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.602 5.04 3.282 1.972 4.015 3.892 3.699 2.895
[2,] 316.852 1342.34 509.596 247.967 1173.778 926.573 1083.995 1033.965
[3,] 133.579 736.35 137.261 195.188 1074.859 847.694 1239.311 1427.602
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.259 1.473 3.316 1.738 3.17 2.656 3.219 3.741
[2,] 47.115 74.526 998.715 85.854 303.46 89.120 1176.642 1578.847
[3,] 320.232 15.100 881.523 237.602 514.43 158.991 322.488 463.641
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.929 3.997 2.461 3.106 1.778 4.621 3.547 4.967
[2,] 36.051 697.180 114.426 1364.752 10.054 614.161 1613.278 381.546
[3,] 79.716 470.403 3.386 1098.819 72.048 473.555 550.588 432.159
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.308 5.586 5.235 3.782 0.8366 3.803 2.353 4.089
[2,] 1770.215 818.220 2038.268 1950.479 56.3199 1599.021 70.381 1205.225
[3,] 482.942 669.305 597.520 1277.242 2.2761 1792.404 59.150 1885.370
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.339 2.171 1.121 3.525 1.915 7.268 6.097 1.708
[2,] 229.502 380.575 62.259 674.452 188.543 375.505 69.501 56.558
[3,] 32.808 214.986 43.854 294.141 15.854 547.716 1187.939 120.416
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.719 1.791 1.97 2.535 1.561 2.078 25.61 11.59
[2,] 512.840 453.153 335.49 240.775 175.629 328.668 6721.70 3854.80
[3,] 255.564 38.376 261.58 210.859 66.778 537.765 6729.18 2356.35
[,98]
[1,] 7.267
[2,] 1365.179
[3,] 1734.536
[1] "--- VAR model 2017-10-03 23:01:00 completed"
[1] "Completed training sample: 2017-10-03 23:01:00 - 2017-10-04 07:00:00"
[1] "SpVAR; CCF training sample: 2017-10-03 23:31:00 - 2017-10-04 07:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.10443 -0.01619782 -0.001321 -11.700
-0.07064 0.00314508 -0.174145 -13.431
-0.16203 -0.00006147 -0.114658 -9.327
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.236 0.5931 3.9332 17.197
-9.468 0.2176 1.5959 15.524
-15.364 0.2041 -0.7376 8.665
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
10.012 19.903 6.011 -14.32
4.073 3.326 2.561 -15.34
3.953 2.652 -1.017 -11.53
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.241 -4.2882 -9.190 -3.422
-6.017 -0.6121 -4.904 -2.891
-8.324 -3.6659 -5.893 -3.029
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-20.947 -33.28 -33.28 -19.96
-9.215 -12.97 -37.92 -20.72
-7.411 -12.21 -24.95 -13.38
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.483628 -0.176080 -23.428 -8.378
0.001335 0.109491 -6.805 -5.867
1.924373 0.009607 -10.515 -4.008
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.214584 -15.326 -22.027 -0.9265
-0.004979 -10.603 -10.445 -0.6541
0.157060 -2.246 -5.896 -0.7222
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.304 0.003227 -5.716 1.435
-15.308 0.271919 -16.250 1.314
-9.339 0.040309 -9.139 0.986
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9683 -2.463 -6.889 -9.919
-3.3457 -15.086 -6.154 -6.949
-1.3682 -10.326 -12.939 -11.083
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.8950 4.602 0.13796 0.6987
1.8331 -2.767 0.04484 -0.2570
-0.2914 -6.775 0.08409 0.4924
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.025 0.5652 -6.724 -6.762
-2.162 -0.4259 -4.047 -10.011
-1.205 0.9274 -3.719 -5.507
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.9620 -1.622 -3.290 4.147
0.9687 -1.016 -4.007 1.558
0.2029 -1.587 -4.616 1.341
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.648 -2.1464 -1.466 0.5915
1.933 0.4936 -2.127 0.9436
2.169 0.1191 1.030 -1.0603
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.99938 4.3215 1.984 -6.157
0.09268 -2.8762 -3.785 3.616
0.28780 0.3764 -2.453 -4.106
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.389 0.4236 -0.0074688 -2.481
3.524 -0.9237 -0.0009872 -6.455
-2.189 -0.5431 -0.0003086 3.600
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.760 0.6742 2.603 9.483
-2.923 -5.7923 3.819 1.710
-2.990 0.4174 3.707 -5.383
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
12.254 0.8572 1.058 1.3940
4.755 -0.1908 4.882 0.2082
-2.816 -0.1785 -1.648 -0.0552
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.193 1.6773 6.7481 1.7520
10.831 0.5220 1.9092 4.2843
1.906 0.6819 -0.7763 0.9528
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.7768 -3.3142 1.958 -14.9611
-0.1476 2.5815 2.143 -1.3550
0.1547 0.6589 1.418 -0.9673
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-9.415 0.5589 -5.65038 -0.21027
-5.041 0.3096 -10.41391 -0.06486
2.357 0.1054 -0.05784 -0.16912
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.748 0.08327 0.04855 -0.0970
-10.186 0.83953 -0.20345 -0.2770
-2.588 -0.21917 -0.35770 0.2487
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.010 0.178026 -0.4221 -28.68
1.049 0.106183 -2.1134 -16.44
-3.456 0.007335 -1.5696 -14.60
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.16552 -0.5523 6.6527 8.9209
-0.04901 2.7334 -0.3033 -0.4638
0.16076 0.8174 3.2353 -0.7004
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5949 -0.1389 -5.754 3.957
-4.9609 0.0665 -5.418 3.444
1.2860 0.0854 -5.354 4.092
rnd_95776.volume rnd_95787.volume
-0.2325 -5.965
7.9153 -8.957
-1.6972 -5.317
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.918 1.789 70.25 4.401 4.711 0.7972 1.917 6.312 6.956 4.646 2.629
[2,] 3.977 1.789 70.25 5.260 5.494 0.8039 1.999 6.834 7.326 6.423 2.969
[3,] 4.085 1.789 70.25 6.426 6.086 0.8419 2.004 7.056 7.558 6.634 3.030
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.500 2.863 4.479 4.202 3.184 5.046 3.951 5.607 4.532 10.10 3.438
[2,] 5.814 2.883 4.795 4.496 3.311 5.661 5.481 6.766 5.046 10.66 3.445
[3,] 6.106 2.915 4.914 4.636 3.329 5.952 5.719 7.586 5.616 10.68 3.478
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.67 6.525 1.214 4.743 5.016 3.330 4.499 1.359 5.213 4.376 2.225
[2,] 15.41 6.947 1.216 7.106 7.134 3.435 5.153 1.373 5.884 4.384 2.282
[3,] 15.69 7.165 1.216 7.975 7.508 3.542 6.844 1.390 6.953 4.410 2.369
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.585 4.489 4.844 4.139 2.914 2.229 0.8247 2.500 0.9259 3.335 3.046
[2,] 5.984 5.251 5.439 4.188 3.200 2.312 0.8270 2.514 0.9267 3.717 3.799
[3,] 6.779 5.880 5.939 4.190 3.445 2.321 0.8271 2.528 0.9289 3.932 4.103
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.337 1.612 3.733 3.301 3.143 2.318 3.975 2.569 1.680 3.419 3.246
[2,] 2.401 1.642 3.926 3.510 3.216 2.388 5.006 2.582 1.775 3.892 3.647
[3,] 2.475 1.650 4.108 3.536 3.294 2.406 5.261 2.602 1.812 4.443 3.977
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.366 2.617 2.797 1.219 2.895 1.426 2.739 2.200 2.618 3.248 1.645
[2,] 3.776 3.209 2.801 1.230 3.419 1.439 2.889 2.200 3.353 4.275 1.647
[3,] 4.261 3.976 2.853 1.231 3.848 1.501 2.993 2.206 3.415 4.385 1.657
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.188 2.128 2.745 1.434 3.840 3.067 4.102 4.699 4.718 4.308 3.375
[2,] 3.810 2.184 3.638 1.487 3.844 3.950 4.298 5.321 4.932 5.790 4.703
[3,] 3.924 2.188 4.245 1.512 3.993 3.954 4.427 5.328 5.078 5.844 5.197
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7226 3.485 2.098 4.068 1.706 1.848 0.9703 2.543 1.828 6.227 5.118
[2,] 0.7301 4.204 2.099 4.469 1.737 1.938 0.9744 3.131 1.836 6.280 5.245
[3,] 0.7361 5.195 2.099 5.333 1.813 1.988 0.9745 3.203 1.838 6.352 5.720
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.095 1.888 1.628 1.533 2.358 1.415 1.245 19.81 10.79 6.322
[2,] 2.191 2.341 2.159 1.961 2.476 1.443 1.377 22.43 12.29 7.093
[3,] 2.206 2.438 2.278 2.236 2.620 1.443 1.509 24.85 13.26 7.417
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.976 2.272 89.21 5.589 5.982 1.012 2.435 8.015
[2,] 404.595 20.677 146.78 1715.003 1682.277 61.606 336.316 1559.483
[3,] 555.246 8.626 180.86 2197.132 1558.454 148.708 84.010 1044.775
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.833 5.9 3.339 6.984 3.635 5.688 5.336 4.043
[2,] 1367.225 2639.9 820.370 1122.090 204.955 1019.301 952.253 541.348
[3,] 1106.470 986.1 360.238 1110.088 255.831 638.581 672.596 205.361
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.408 5.017 7.12 5.754 12.82 4.365 17.35 8.286
[2,] 1526.659 2260.819 2254.40 1321.564 2036.31 131.794 4233.16 1419.017
[3,] 1094.308 971.721 2041.53 1466.896 428.83 286.342 1761.07 1044.699
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.541 6.023 6.369 4.229 5.713 1.725 6.619 5.557
[2,] 48.718 3149.206 3019.659 499.802 1495.715 118.560 1624.436 155.848
[3,] 3.933 2154.082 1391.497 515.873 2680.209 128.442 2205.111 285.566
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.826 7.092 5.7 6.151 5.256 3.7 2.83 1.047 3.175
[2,] 301.354 1279.355 1621.9 1472.656 378.100 787.9 365.99 36.516 156.411
[3,] 379.392 1895.783 1574.4 1419.874 92.865 759.2 118.98 8.437 157.417
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.176 4.235 3.869 2.968 2.046 4.74 4.192 3.991
[2,] 23.422 977.196 1350.554 327.856 188.367 723.68 710.110 405.353
[3,] 37.701 762.364 922.263 356.184 96.784 720.65 252.745 423.408
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.944 5.047 3.262 2.133 4.342 4.121 4.274 3.323
[2,] 339.962 1811.647 156.193 342.595 1106.685 990.207 1018.454 1105.373
[3,] 175.396 962.392 189.821 214.076 1275.161 944.349 1175.266 1396.698
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.552 1.548 3.676 1.811 3.478 2.793 3.324 4.125
[2,] 87.929 95.898 1083.108 116.777 546.513 35.134 1247.297 1653.700
[3,] 322.647 30.000 1050.513 254.043 466.304 91.906 385.581 582.302
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.089 4.048 2.702 3.485 1.82 4.877 3.895 5.209
[2,] 48.683 1242.261 294.620 1421.417 235.39 94.166 1481.846 762.018
[3,] 109.612 556.563 76.173 1301.738 163.52 644.187 100.643 633.553
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.968 5.991 5.47 4.285 0.9175 4.425 2.664 5.165
[2,] 1485.876 855.663 2302.23 1949.832 62.4545 1399.452 41.621 1100.845
[3,] 157.447 719.048 473.03 1315.650 55.5783 1816.829 12.196 1732.607
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.167 2.346 1.232 3.229 2.322 7.907 6.498 2.66
[2,] 193.546 347.300 53.079 1087.679 101.525 487.325 682.976 382.42
[3,] 309.018 265.747 6.782 402.120 47.592 566.254 1359.384 148.79
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.397 2.067 1.947 2.994 1.797 1.582 25.16 13.71
[2,] 823.547 844.277 728.236 451.069 167.346 348.920 6252.77 3499.85
[3,] 406.532 431.856 638.998 508.895 11.904 368.111 6367.75 2964.34
[,98]
[1,] 8.028
[2,] 1914.604
[3,] 1289.799
[1] "--- VAR model 2017-10-03 23:31:00 completed"
[1] "Completed training sample: 2017-10-03 23:31:00 - 2017-10-04 07:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 00:01:00 - 2017-10-04 08:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.185 -0.24229 -0.10451 -15.80
-2.689 -0.05811 -0.04266 -19.94
-2.408 0.01693 0.02182 -13.93
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-25.83 0.2522 4.2443 8.173
-19.37 0.3852 2.0899 9.257
-25.37 0.4662 0.5062 -1.914
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6188 -1.881 -0.5934 -19.14
2.2466 6.376 -0.1058 -20.01
1.3946 1.407 0.6291 -21.00
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.361 -15.07 -11.22 -8.212
-5.650 -15.15 -13.20 -9.040
-5.891 -14.23 -11.30 -9.777
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-15.85 -6.531 -9.38 -5.647
-19.16 -16.482 -17.94 -5.654
-23.11 -16.870 -19.52 -7.894
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.0136 1.228 -5.699 -12.444
1.6019 1.876 -6.077 -13.288
0.1163 1.109 -7.587 -8.661
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.4128 -20.553 -22.30 -8.095
0.9668 -11.224 -15.28 -7.478
2.6191 -5.445 -11.35 -7.679
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.66 0.3511 -13.11 -1.7913
-24.11 0.4899 -18.52 -1.1709
-15.05 0.2633 -14.65 -0.5109
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.313 -23.09 -16.38 -23.34
-4.602 -17.66 -17.54 -12.39
-4.889 -20.02 -17.57 -17.83
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.838 2.1311 1.344 -0.08238
-1.977 -4.6892 1.290 0.32139
1.581 -0.8292 1.251 -0.42416
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.420 -1.3551 -3.988 -11.67
-3.453 -0.1837 -4.799 -12.89
-2.766 -1.1034 -6.250 -12.32
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.0450 0.1950 -6.879 5.146
-0.9188 -1.3511 -12.816 2.322
-1.2689 -0.8578 -9.166 1.660
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.639 -1.12165 -3.760 4.154
2.791 -0.07249 2.517 1.657
1.078 0.44771 -5.700 1.821
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1603 -3.22575 -2.226 -1.4619
0.1103 0.51130 -1.974 -3.5529
-0.1181 0.01448 3.011 0.9479
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.780 -0.1122 -0.40580 -12.0238
1.090 -0.1476 -0.04185 -0.7838
-2.221 -0.2201 -0.01591 -1.8795
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.690 -2.5382 -0.3117 3.796
-4.039 -2.7350 0.2529 -4.614
-3.813 -0.2499 -0.3041 -2.820
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.624 0.25119 6.454 0.6120
-3.589 0.21452 2.331 0.4433
-2.627 0.05906 -4.627 -0.1417
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.110 -0.15946 -1.3997 -6.7709
5.308 0.18316 0.9978 -1.9291
-4.210 -0.01139 -2.4728 -0.2742
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.883 -14.49 -9.452 -11.913
-4.931 -12.47 -7.906 -8.714
-5.004 -10.90 -9.241 -6.871
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-20.003 -0.296977 -15.950 1.5689
-12.683 0.006026 -13.338 1.1139
-9.943 0.122586 -8.485 0.6398
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-13.216 0.3251 0.008157 0.7494
-15.478 0.5198 -0.495725 0.2830
-9.851 0.4394 0.367638 0.5200
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.5262 1.3449 4.583 -25.68
-0.5757 -0.4914 3.129 -25.32
-4.7501 0.2129 3.069 -27.00
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.97852 0.9584 8.9692 9.887
-0.50352 0.6055 -0.1958 -3.006
0.02361 0.3908 0.4696 2.724
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1570 -0.1383 -7.576 -2.331
-2.0859 -0.1294 -7.956 -1.962
0.6709 -0.3467 -7.760 -5.624
rnd_95776.volume rnd_95787.volume
11.944 -19.035
-2.266 -8.328
-13.703 -10.188
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.333 2.072 70.3 5.202 5.218 0.9595 2.433 7.008 7.621 5.632 2.856
[2,] 4.421 2.078 70.3 5.893 5.823 0.9596 2.562 7.443 8.026 7.124 3.201
[3,] 4.479 2.080 70.3 6.912 6.377 1.0303 2.601 7.676 8.280 7.309 3.281
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.506 3.017 4.758 4.324 3.057 5.221 4.596 6.731 4.937 11.69 3.401
[2,] 5.818 3.071 5.106 4.604 3.199 6.017 5.582 7.245 5.440 11.69 3.407
[3,] 6.052 3.121 5.320 4.790 3.296 6.405 5.805 7.825 5.887 11.69 3.445
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.64 6.749 1.347 5.721 5.791 3.549 5.130 1.419 5.672 4.634 2.298
[2,] 17.07 7.074 1.347 7.443 7.279 3.727 5.852 1.436 6.484 4.643 2.353
[3,] 17.15 7.179 1.416 8.296 7.663 3.877 6.950 1.467 7.313 4.687 2.453
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.980 4.880 5.428 4.479 3.231 2.507 0.9528 2.595 1.281 3.639 3.193
[2,] 6.346 5.603 6.145 4.515 3.857 2.577 0.9595 2.646 1.281 3.971 4.090
[3,] 6.950 6.335 6.515 4.521 4.056 2.580 0.9599 2.668 1.281 4.125 4.325
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.611 1.750 3.583 4.220 3.373 2.525 4.128 2.825 1.851 3.580 3.442
[2,] 2.699 1.792 3.919 4.261 3.483 2.525 5.468 2.853 1.957 4.014 3.904
[3,] 2.756 1.802 4.078 4.482 3.561 2.539 5.680 3.028 2.052 4.876 4.310
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.837 2.849 3.043 1.305 3.066 1.460 3.011 2.318 2.794 4.487 1.788
[2,] 4.233 3.537 3.049 1.319 3.648 1.477 3.032 2.319 3.590 5.499 1.789
[3,] 4.621 4.290 3.066 1.319 4.175 1.535 3.123 2.322 3.640 5.525 1.809
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.618 2.421 3.173 1.559 4.239 4.432 4.536 5.143 4.994 5.090 3.832
[2,] 4.296 2.444 4.130 1.559 4.242 4.995 4.724 5.815 5.306 6.346 4.973
[3,] 4.388 2.479 4.764 1.566 4.463 5.025 4.832 5.844 5.513 6.487 5.412
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7758 3.597 2.353 4.258 1.990 1.952 1.057 2.856 2.601 6.755 5.147
[2,] 0.7797 4.354 2.420 4.660 2.031 2.034 1.065 3.515 2.601 6.804 5.304
[3,] 0.7805 5.298 2.462 5.491 2.079 2.092 1.066 3.624 2.624 6.860 5.724
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.360 2.401 2.043 1.994 2.759 1.529 0.8777 19.29 10.54 6.388
[2,] 2.473 2.877 2.862 2.746 3.022 1.543 0.9085 21.81 13.67 7.295
[3,] 2.474 2.941 3.019 3.085 3.121 1.544 0.9843 24.18 14.28 7.779
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.502 2.631 89.27 6.606 6.626 1.218 3.089 8.899
[2,] 602.940 111.473 177.74 1903.406 1776.969 9.821 553.649 1723.676
[3,] 496.036 64.062 211.20 2482.782 1786.063 257.790 306.688 1289.548
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.678 7.151 3.626 6.992 3.831 6.043 5.491 3.882
[2,] 1730.353 2999.107 993.763 1292.120 395.524 1272.340 1086.337 648.454
[3,] 1397.372 1122.426 497.641 1145.958 381.396 1027.377 909.790 545.392
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.63 5.837 8.547 6.269 14.84 4.319 18.59 8.571
[2,] 2056.60 2177.210 1843.437 1570.831 111.26 135.399 6030.37 1454.796
[3,] 1508.78 1095.230 2031.463 1547.008 229.50 351.845 1155.67 841.487
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.71 7.264 7.353 4.506 6.515 1.802 7.203 5.885
[2,] 17.89 3273.327 3031.022 782.269 1934.529 153.406 2159.832 197.925
[3,] 299.58 2518.587 1648.267 734.674 2577.567 206.742 2324.923 439.840
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.919 7.594 6.197 6.893 5.688 4.103 3.183 1.21
[2,] 345.239 1458.214 1892.877 1980.302 388.272 1447.748 412.396 77.81
[3,] 478.053 1948.125 2031.190 1486.797 164.900 862.615 82.862 19.15
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.295 1.626 4.621 4.054 3.315 2.222 4.55 5.359
[2,] 356.066 4.647 1093.877 1757.250 470.632 265.451 1091.15 403.173
[3,] 232.307 31.132 767.092 965.930 382.889 126.178 775.18 955.786
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.284 3.206 5.242 3.588 2.351 4.547 4.37 4.872
[2,] 594.961 30.057 2465.128 270.934 436.472 1247.881 1266.86 1229.560
[3,] 509.724 184.497 1055.938 697.562 423.329 1902.382 1255.29 1274.146
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.618 3.864 1.658 3.894 1.854 3.823 2.944 3.547
[2,] 1441.403 130.145 127.514 1359.004 150.830 247.580 34.906 1550.078
[3,] 1668.496 223.308 9.294 1395.493 289.032 513.670 90.451 412.940
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.697 2.27 4.595 3.075 4.03 1.98 5.383 5.627
[2,] 2186.055 51.05 1592.083 227.426 1817.03 14.60 113.117 1583.539
[3,] 367.037 183.89 615.498 285.345 1632.10 100.05 953.475 380.538
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.76 6.531 6.342 6.464 4.866 0.9851 4.568 2.987
[2,] 905.79 1864.968 1232.450 2605.255 2179.518 53.8972 1686.683 389.381
[3,] 699.33 401.911 1027.752 925.433 1466.541 24.6770 2074.631 311.654
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.406 2.527 2.479 1.343 3.627 3.303 8.578 6.536
[2,] 1301.614 280.524 392.499 90.046 1408.822 14.224 562.623 881.021
[3,] 1996.363 304.930 336.893 24.313 606.464 240.071 599.601 1478.705
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.997 3.049 2.595 2.532 3.503 1.942 1.115 24.49
[2,] 507.904 1089.632 1377.657 1297.970 847.561 143.764 161.186 6992.39
[3,] 53.735 419.453 659.524 966.041 537.372 19.436 260.446 7186.26
[,97] [,98]
[1,] 13.39 8.111
[2,] 5981.51 2421.662
[3,] 2832.49 1857.580
[1] "--- VAR model 2017-10-04 00:01:00 completed"
[1] "Completed training sample: 2017-10-04 00:01:00 - 2017-10-04 08:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 00:31:00 - 2017-10-04 08:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-8.292 0.005401 -0.1015 -17.78
-5.167 -0.041509 -0.1137 -22.48
-2.215 -0.019134 -0.0213 -17.87
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.51 2.088 6.717 2.476
-22.09 1.975 3.683 1.740
-26.75 2.372 6.856 2.518
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.7281 3.3715 -0.86259 -20.45
2.3260 3.4495 -0.01429 -18.95
0.4045 0.4347 -0.17761 -20.12
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.932 -4.178 -6.584 -3.407
-5.592 -6.337 -5.304 -6.299
-4.208 -6.652 -5.040 -7.782
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.313 -6.979 -9.337 0.3185
-8.489 -6.200 -9.361 1.7896
-12.831 -8.516 -11.065 -0.5330
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.336 -0.08449 -17.37 -15.07
1.951 -0.68180 -12.27 -10.72
1.011 -0.41743 -15.69 -10.17
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
4.554 -25.129 -22.48 -4.776
3.771 -12.694 -18.77 -6.529
3.938 -5.893 -15.64 -5.839
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.34 0.8901 -19.83 -1.334
-22.68 0.7621 -24.55 -1.115
-17.61 0.4165 -19.13 -0.719
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.299 -24.04 -20.10 -12.47
-3.122 -14.73 -16.54 -16.37
-5.435 -21.43 -17.75 -15.84
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4456 -7.1525 -0.2061 1.2636
1.2797 6.6139 -0.3970 0.5236
0.3313 0.5912 -0.0860 0.8491
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.378 -0.3000 -1.766 -11.841
-2.850 0.2604 -4.226 -7.357
-3.252 -0.1051 -4.244 -12.697
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.0190 0.30314 -5.871 4.993
0.1445 -0.64850 -6.732 2.340
-0.3429 0.09829 -6.260 1.153
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.895 2.3476 4.5254 6.825
5.000 0.4379 -0.4713 7.788
1.739 0.1730 -0.8786 6.839
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.88311 10.3201 3.4995 -1.4649
-0.07190 -0.2009 3.7315 8.0973
0.03056 -0.2333 -0.2291 -0.4107
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.2977 -1.1878 0.53177 7.789
5.7457 -0.5861 0.04326 -4.077
2.6747 -0.1349 0.07070 7.535
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.255 3.3731 1.2156 -0.5910
-3.992 0.8196 0.1407 4.6836
-4.051 2.0693 0.1240 -0.7038
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.208 -0.1281 -0.7275 1.9876
4.071 0.5015 2.5743 -0.3858
1.137 0.1169 3.7070 0.2057
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.2569 -0.24725 1.991 -0.8703
-0.4102 0.08824 3.395 -4.7519
5.8477 0.03174 1.687 -1.7216
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.2904 -5.375 -11.870 -14.558
0.4215 -7.050 -10.276 -8.553
0.1255 -8.081 -9.348 -10.464
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-9.524 0.08926 -3.790 2.90285
-8.402 -0.25543 -7.328 1.06395
-6.405 0.03082 -7.516 -0.03343
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.980 1.524 1.49031 -0.9497
-7.900 1.022 1.14805 1.2065
-5.554 1.093 0.04384 0.1380
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.4765 -0.5926 4.655 -22.18
0.8532 0.2694 4.973 -21.41
4.4766 -0.1118 3.204 -28.88
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.7650 6.038 12.321 13.534
1.0385 5.731 5.979 6.746
0.9843 3.543 5.342 3.799
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.638 -0.6332 -6.660 5.321
1.904 -0.3368 -6.679 5.515
-3.497 -0.1046 -6.679 3.917
rnd_95776.volume rnd_95787.volume
1.757 -26.25
4.141 -12.99
-1.115 -10.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.697 2.310 70.39 6.117 5.573 1.104 2.686 7.824 8.128 5.977 3.169
[2,] 4.838 2.313 70.39 6.918 6.226 1.104 2.850 8.432 8.680 7.744 3.503
[3,] 4.864 2.317 70.39 7.676 6.494 1.166 2.911 8.570 8.802 7.973 3.602
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.561 3.193 4.741 4.692 3.185 5.949 5.301 8.572 5.433 12.32 3.462
[2,] 5.794 3.251 5.046 5.003 3.316 6.545 6.038 9.251 5.788 12.32 3.465
[3,] 6.031 3.293 5.413 5.157 3.436 6.935 6.192 9.628 6.152 12.34 3.497
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.70 7.309 1.574 7.226 6.545 3.850 5.954 1.531 6.183 4.772 2.305
[2,] 17.40 7.602 1.579 8.641 7.819 4.130 6.644 1.553 6.701 4.789 2.374
[3,] 17.44 7.669 1.650 9.391 8.146 4.335 7.575 1.583 7.324 4.847 2.463
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.371 5.263 5.620 4.778 3.525 2.757 1.041 2.743 1.46 4.034 3.335
[2,] 6.753 5.902 6.156 4.819 4.278 2.802 1.057 2.782 1.46 4.334 4.443
[3,] 7.181 6.388 6.474 4.827 4.419 2.816 1.059 2.805 1.46 4.410 4.657
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.642 1.946 3.588 4.542 3.668 2.548 4.330 3.090 2.010 3.995 3.615
[2,] 2.695 1.965 4.122 4.617 3.787 2.635 5.887 3.227 2.136 4.596 4.121
[3,] 2.773 1.969 4.447 4.944 3.911 2.681 6.058 3.368 2.218 5.553 4.561
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.991 2.996 3.436 1.418 3.221 1.539 3.184 2.437 3.149 4.875 1.887
[2,] 4.458 3.736 3.448 1.425 3.908 1.547 3.214 2.437 3.985 5.942 1.892
[3,] 4.923 4.547 3.473 1.425 4.517 1.616 3.342 2.453 4.053 5.954 1.908
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.774 2.670 3.360 1.611 4.746 4.794 4.989 5.764 5.020 5.574 4.487
[2,] 4.440 2.678 4.461 1.612 4.763 5.333 5.388 6.272 5.382 6.380 5.227
[3,] 4.561 2.712 5.158 1.623 4.952 5.435 5.629 6.365 5.572 6.485 5.644
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8409 4.043 3.164 4.899 2.183 2.151 1.143 3.102 2.785 6.975 5.439
[2,] 0.8447 4.662 3.665 5.245 2.235 2.253 1.149 3.813 2.785 7.035 5.546
[3,] 0.8454 5.463 3.924 5.665 2.269 2.329 1.149 3.937 2.795 7.095 5.961
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.748 2.826 2.436 2.243 3.285 1.704 0.7413 18.78 11.78 7.094
[2,] 2.870 3.538 3.414 3.142 3.488 1.756 0.7759 21.22 14.69 7.822
[3,] 2.881 3.636 3.634 3.645 3.598 1.770 0.8489 23.62 15.55 8.231
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.964 2.933 89.39 7.768 7.077 1.402 3.411 9.936
[2,] 823.223 91.683 205.55 2288.427 1965.429 18.011 675.524 2226.351
[3,] 351.025 85.960 245.86 2354.135 1307.231 265.449 418.715 1082.590
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.32 7.59 4.024 7.062 4.055 6.02 5.959 4.044
[2,] 2157.01 3487.00 1056.503 1150.546 430.182 1223.95 1228.731 655.468
[3,] 1033.23 1343.21 596.042 1186.895 373.221 1386.20 884.212 635.105
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.554 6.731 10.89 6.899 15.64 4.397 18.67 9.282
[2,] 1932.690 2046.436 2462.32 1411.871 173.22 105.557 6594.86 1478.986
[3,] 1623.976 972.300 1890.37 1476.107 496.88 332.952 850.89 717.821
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.998 9.176 8.311 4.889 7.56 1.944 7.851 6.06
[2,] 91.136 3354.563 3029.051 1059.171 2087.63 185.453 1829.343 281.07
[3,] 339.928 2604.257 1618.264 930.783 2576.84 216.671 2093.403 528.68
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.926 8.09 6.683 7.137 6.067 4.476 3.501 1.322
[2,] 404.090 1584.40 1891.710 1777.437 446.605 1715.905 353.258 127.777
[3,] 462.744 1729.78 1730.410 1419.193 197.819 784.390 198.084 45.183
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.483 1.854 5.122 4.235 3.355 2.471 4.556 5.768
[2,] 329.916 1.460 1122.647 2078.098 376.040 190.178 1437.253 584.961
[3,] 253.914 9.985 574.611 989.203 464.826 96.123 1180.940 1252.277
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.658 3.236 5.498 3.924 2.553 5.073 4.59 5.068
[2,] 667.629 476.466 2824.167 658.399 512.283 1609.129 1401.41 1406.957
[3,] 690.364 350.195 1011.614 681.594 421.715 2205.878 1383.43 1478.001
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.805 4.363 1.801 4.09 1.954 4.044 3.095 3.998
[2,] 1579.597 204.282 101.376 1566.55 111.369 307.582 20.643 1729.572
[3,] 1835.417 295.274 8.264 1604.03 332.293 649.189 197.652 524.513
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.191 2.397 4.793 3.39 4.267 2.046 6.027 6.088
[2,] 2405.983 94.767 1655.327 144.86 2077.836 46.122 282.205 1653.980
[3,] 259.899 175.993 738.203 304.26 1832.819 134.215 961.189 741.387
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.336 7.319 6.375 7.079 5.698 1.068 5.134 4.018
[2,] 1440.976 1750.908 1372.948 2197.845 1898.584 56.652 1642.595 1309.517
[3,] 1151.972 770.172 1021.360 821.857 1508.059 24.793 2017.313 992.297
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.221 2.772 2.731 1.451 3.939 3.537 8.858 6.907
[2,] 1327.233 340.133 474.939 83.308 1570.336 2.968 647.765 764.239
[3,] 1514.640 274.940 416.579 4.752 692.890 167.041 651.299 1549.078
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.49 3.589 3.094 2.849 4.172 2.164 0.9413 23.84
[2,] 584.13 1506.717 1693.039 1558.101 829.623 298.624 162.1716 6991.22
[3,] 184.99 594.105 882.302 1307.492 625.918 160.867 243.9565 7357.73
[,97] [,98]
[1,] 14.96 9.009
[2,] 6210.05 2332.293
[3,] 3608.89 1814.534
[1] "--- VAR model 2017-10-04 00:31:00 completed"
[1] "Completed training sample: 2017-10-04 00:31:00 - 2017-10-04 08:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 01:01:00 - 2017-10-04 09:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.71081 0.14131 -0.11991 -11.60
-0.06043 0.10083 -0.12775 -15.17
-4.22995 0.01973 -0.03613 -13.33
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.41 0.3289 3.779 9.861
-19.33 1.7051 6.334 9.995
-18.32 0.1261 5.921 12.587
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.979 7.009 0.3324 -17.95
1.493 8.245 0.1012 -17.64
4.734 10.162 -0.2418 -18.55
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.291 -3.463 -6.625 -3.709
-3.247 -5.640 -5.776 -2.893
-2.655 -4.830 -4.247 -5.645
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.094 -8.215 0.561061 6.803
-2.530 -3.976 0.002054 5.896
-5.348 -5.714 0.410471 4.372
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.002756 0.5477 -19.43 -8.521
-0.742889 0.7120 -15.27 -11.664
1.578548 0.2421 -8.35 -9.619
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.551 -13.254 -18.77 -5.171
1.252 -8.989 -14.30 -4.523
2.347 -9.174 -13.93 -5.210
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.190 1.1489 -13.50 1.3535
-13.800 1.2748 -13.10 1.3016
-8.573 0.9167 -13.37 0.7511
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.029 -3.026 -9.696 -7.005
-2.477 -15.161 -7.360 -7.452
-2.351 -11.354 -11.086 -13.010
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.597 -2.388 1.5147 -0.5305
-1.228 1.715 1.2673 0.3309
-1.054 -4.244 0.9417 -0.2644
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.8611 0.01733 -1.46403 -2.493
-0.8674 0.05911 -0.06616 -8.320
-0.7014 -0.00272 0.30526 -4.257
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1554 -0.5615 -6.929 -2.338
2.1836 -0.6648 -2.950 3.908
2.2618 0.1550 -5.870 1.068
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.113 -0.4654 7.043 4.652
-0.409 -0.3217 -1.451 5.597
1.193 0.3020 -2.292 3.653
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.06508 2.929 4.632 -4.868
1.28943 7.933 1.904 3.329
-1.10835 -5.157 1.505 5.680
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.068 1.7221 -0.15361 0.2993
5.445 -0.1467 0.32823 -5.7218
3.120 0.2535 -0.04447 4.4447
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.530 5.7529 -0.04787 -5.094
-4.676 -3.6502 -1.12430 5.279
-3.569 0.6847 -0.96294 -5.408
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.158 -1.1564 4.164 -0.30680
5.504 1.0743 2.003 -0.17038
-3.767 0.3192 1.938 -0.00591
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.955 -0.059475 2.514 -5.210
-3.728 -0.008990 1.852 1.514
6.464 -0.005933 1.427 -2.389
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.938 -10.063 -4.561 -4.851
6.214 -3.457 -5.293 -2.133
2.534 -2.670 -4.985 -3.612
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.432 -0.1902 1.041 5.040
-8.463 0.2210 -4.673 3.069
-3.351 0.1563 -3.372 1.301
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.02219 -0.5803 0.4934 -0.2875
-1.12888 1.0849 1.2868 0.3685
-5.55457 0.4009 -0.3974 -0.4202
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.191 0.25892 5.831 -12.79
2.406 -0.28864 6.214 -10.99
-1.365 0.05542 4.346 -14.28
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.643 9.667 12.287 11.381
2.235 2.200 4.624 9.366
1.690 5.122 1.499 1.214
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.968 1.5169 -6.173 2.1964
-2.438 0.7367 -6.259 1.6280
-1.311 0.1582 -5.927 0.9815
rnd_95776.volume rnd_95787.volume
25.946 -8.325
-17.607 -12.153
7.905 -8.937
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.759 2.570 70.47 7.033 6.049 1.190 2.961 8.202 8.775 6.379 3.344
[2,] 4.871 2.572 70.47 7.788 6.614 1.190 3.165 8.538 9.244 8.135 3.724
[3,] 5.068 2.573 70.47 8.457 6.856 1.245 3.259 8.631 9.420 8.302 3.809
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.712 3.743 5.015 5.019 3.229 6.162 5.585 8.984 5.554 12.79 4.005
[2,] 5.949 3.804 5.228 5.264 3.363 6.747 6.194 9.593 5.875 12.79 4.005
[3,] 6.198 3.859 5.694 5.444 3.523 7.227 6.297 9.924 6.234 12.83 4.129
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.37 7.400 1.829 7.258 7.218 3.945 6.470 1.614 6.906 4.932 2.370
[2,] 18.41 7.799 1.842 8.411 8.274 4.286 6.899 1.634 7.619 4.957 2.446
[3,] 18.43 8.112 1.913 9.253 8.560 4.494 7.557 1.667 8.259 5.043 2.500
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.947 5.802 5.913 5.055 3.831 2.967 1.165 3.208 1.611 4.251 3.588
[2,] 7.351 6.560 6.413 5.095 4.563 2.993 1.184 3.228 1.612 4.558 4.586
[3,] 7.625 6.830 6.690 5.097 4.705 3.018 1.186 3.231 1.612 4.654 4.796
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.826 2.273 3.817 4.812 4.268 2.906 4.738 3.310 2.109 4.297 3.806
[2,] 2.897 2.273 4.230 4.943 4.271 2.912 6.455 3.511 2.253 5.037 4.432
[3,] 2.972 2.292 4.541 5.296 4.503 2.926 6.602 3.681 2.347 6.098 4.952
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.182 3.074 3.821 1.548 3.390 1.659 3.022 2.730 3.256 5.017 2.085
[2,] 4.769 3.888 3.824 1.552 4.128 1.673 3.152 2.733 4.145 6.019 2.094
[3,] 5.339 4.843 3.889 1.553 4.820 1.773 3.298 2.782 4.218 6.074 2.112
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.915 2.763 3.474 1.699 5.214 4.973 5.157 5.969 5.327 6.233 5.033
[2,] 4.592 2.775 4.656 1.699 5.292 5.410 5.636 6.319 5.730 6.960 5.724
[3,] 4.745 2.820 5.394 1.707 5.413 5.610 5.924 6.640 5.908 7.065 6.008
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9041 4.711 3.666 5.419 2.650 2.215 1.258 3.398 3.014 7.336 5.888
[2,] 0.9094 5.250 4.299 5.670 2.724 2.347 1.265 4.120 3.015 7.407 5.985
[3,] 0.9128 5.936 4.596 6.008 2.730 2.446 1.265 4.225 3.027 7.501 6.354
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.994 3.208 2.801 2.502 3.629 1.841 0.6921 18.26 12.69 7.436
[2,] 3.120 3.909 3.815 3.634 3.830 1.886 0.7206 20.78 15.93 8.072
[3,] 3.152 4.021 4.043 4.160 3.945 1.899 0.7888 23.36 16.50 8.430
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.043 3.264 89.48 8.931 7.682 1.511 3.76 10.42
[2,] 675.464 66.374 173.17 2171.016 1735.260 22.587 725.56 1539.75
[3,] 908.537 12.480 256.47 2138.250 1172.074 237.811 505.80 819.19
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.14 8.1 4.246 7.253 4.753 6.368 6.373 4.101
[2,] 1886.12 3276.3 1063.556 1077.691 440.918 958.888 1031.033 610.034
[3,] 1177.30 1073.1 520.113 1129.213 421.657 1464.566 899.383 679.684
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.824 7.092 11.41 7.052 16.25 5.085 19.52 9.397
[2,] 1784.409 1737.378 2181.49 1244.610 45.74 22.380 6572.69 1598.959
[3,] 1679.706 737.268 1649.88 1353.091 649.81 653.153 626.90 1448.265
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.322 9.216 9.166 5.009 8.216 2.05 8.769 6.263
[2,] 143.665 2759.016 2624.413 1087.309 1553.942 162.40 2089.037 322.710
[3,] 335.811 2501.504 1425.398 877.846 2001.620 214.31 2068.614 603.798
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.01 8.822 7.368 7.508 6.418 4.865 3.768 1.48
[2,] 393.06 1558.036 1986.531 1610.783 415.743 1607.366 255.232 136.06
[3,] 335.88 1316.281 1234.450 1237.925 88.786 746.222 254.391 40.60
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.073 2.045 5.398 4.556 3.589 2.887 4.848 6.111
[2,] 233.993 48.666 1068.058 1853.394 413.011 2.335 1183.067 734.351
[3,] 89.886 4.407 610.770 910.999 430.019 188.763 1070.911 1233.645
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.419 3.69 6.016 4.203 2.678 5.457 4.833 5.31
[2,] 101.390 124.51 2844.271 760.885 514.525 1704.531 1473.374 1487.32
[3,] 927.140 186.50 899.570 717.479 426.195 2231.263 1433.106 1557.86
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.903 4.852 1.966 4.304 2.106 3.838 3.467 4.135
[2,] 1544.591 106.101 76.980 1528.650 140.408 579.656 78.454 1664.787
[3,] 1874.151 460.643 32.421 1615.263 382.464 631.646 337.046 504.358
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.371 2.648 4.972 3.508 4.411 2.157 6.621 6.315
[2,] 2157.286 122.522 1556.315 168.128 2011.556 35.302 586.144 1382.452
[3,] 531.227 181.242 776.829 326.270 1767.579 105.755 738.312 964.629
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.549 7.579 6.765 7.914 6.391 1.148 5.982 4.655
[2,] 1475.460 1345.926 1368.717 2009.618 1769.289 63.227 1503.757 1457.383
[3,] 1182.856 1324.064 934.841 788.845 1185.627 51.466 1798.172 1054.793
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.882 3.365 2.813 1.597 4.314 3.827 9.316 7.476
[2,] 1083.164 408.502 503.371 87.055 1512.315 61.652 664.186 699.447
[3,] 1289.120 123.067 447.074 15.094 607.871 172.880 765.941 1384.773
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.802 4.074 3.557 3.177 4.609 2.337 0.8788 23.18
[2,] 569.237 1449.237 1680.783 1710.724 794.826 265.144 130.3430 6435.03
[3,] 293.875 612.170 869.408 1313.390 613.438 146.209 208.1858 6928.35
[,97] [,98]
[1,] 16.11 9.442
[2,] 6252.05 2038.802
[3,] 2790.14 1575.765
[1] "--- VAR model 2017-10-04 01:01:00 completed"
[1] "Completed training sample: 2017-10-04 01:01:00 - 2017-10-04 09:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 01:31:00 - 2017-10-04 09:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.7011 0.32781 0.06006 -0.5551
0.9876 0.21233 0.01407 -1.0721
1.6266 0.08634 -0.01630 -1.3772
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.435 0.44333 -0.35481 11.02
-2.175 -0.25134 0.04145 11.31
-3.507 0.04774 -0.43296 15.55
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
13.14 9.892 4.419 -17.04
14.57 8.003 5.324 -16.08
17.26 9.538 2.751 -18.41
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.662 1.251 2.8242 -0.2507
-1.844 3.051 2.9959 -0.4508
-1.429 0.844 0.4502 -0.7492
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.5511 6.303 6.353 12.36
0.2245 1.216 8.786 10.57
-0.8570 3.056 6.959 10.13
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.1856 0.39226 -1.6384 -0.6751
-1.0871 -0.16616 1.1736 -3.8189
0.6103 0.05694 -0.3808 -3.3789
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.4500 -2.678 -5.323 -2.3190
0.3743 -2.691 -6.433 -0.5464
0.9070 -2.064 -5.691 0.9594
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.6371 0.8173 1.0870 0.9725
-0.1594 0.6884 2.0782 0.4575
-0.9214 0.5002 0.6621 0.1755
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.26313 2.005 -0.6046 -5.511
-1.11280 -1.801 2.7870 -3.532
0.09527 -1.597 -0.4033 -4.524
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.5055 -5.746 -0.47614 0.6967
0.3006 -4.937 -0.22029 -0.4408
0.2799 -1.817 -0.05437 0.2283
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8542 0.12814 -3.3955 -9.506
0.2712 0.12890 -0.8326 -4.087
-0.4244 0.09086 0.4581 -4.867
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.919 -1.4779 -1.515 4.546
3.257 1.0291 -7.230 -1.719
3.952 0.8158 -0.803 0.433
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.8918 0.37032 -9.794 2.0753
0.5022 0.01035 1.989 0.8376
-0.1982 -0.09148 -3.726 0.4003
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.2598 -4.729 -1.468 -2.704
-1.1684 -5.409 -5.668 -4.125
0.5796 2.139 1.444 -3.534
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.8182 -0.194159 -0.1754 -6.808
-0.9144 -0.045922 0.1215 -5.019
-6.3451 -0.008585 0.1012 -3.752
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.822 -4.1412 0.9547 -0.2434
-2.206 -1.9637 0.1987 -3.6447
-1.952 -0.6142 0.7402 -2.1758
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.619 0.3158 0.5578 -0.01115
-3.028 -0.6170 -2.3117 -1.70082
-1.801 -0.2599 -2.8289 0.44915
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.6918 0.24516 3.959 5.750
-0.2167 0.27812 4.126 4.696
-3.7563 0.07836 5.447 3.327
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6905 -1.643 1.281 2.1937
1.1416 4.341 1.640 -1.0086
0.1397 4.473 2.749 0.9321
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.1762 -0.3161 -1.379 1.6879
-0.3671 -0.0246 2.314 1.2930
3.3669 -0.4418 0.402 0.2961
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.29549 0.9911 -0.3194 -0.13625
0.04843 1.2534 -1.5944 0.12874
-0.27167 -0.3065 0.4610 -0.04125
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.908 0.6142 -1.4998 2.093
-5.694 0.3187 -0.8410 4.178
-1.387 -0.0562 -0.4524 -3.168
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9531 -0.01937 3.68454 1.7820
1.3248 0.49021 0.03667 -0.6390
1.1065 0.98323 2.36781 0.1099
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.9337 -0.10582 -5.523 1.6984
-0.9513 -0.21094 -5.830 0.9932
-1.9162 -0.03051 -5.511 0.9259
rnd_95776.volume rnd_95787.volume
-9.783 -3.265
5.112 -4.406
-18.177 -4.057
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.093 2.758 70.51 7.180 6.751 1.324 3.156 8.595 9.065 6.528 3.471
[2,] 5.226 2.766 70.51 7.748 7.131 1.325 3.419 8.875 9.419 8.436 3.878
[3,] 5.398 2.767 70.52 8.382 7.387 1.420 3.511 8.957 9.558 8.582 3.954
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.068 3.833 5.300 5.101 3.472 6.604 5.997 9.379 6.241 13.11 4.122
[2,] 6.267 3.909 5.514 5.579 3.641 7.148 6.567 10.063 6.503 13.11 4.122
[3,] 6.484 3.957 6.019 5.697 3.769 7.554 6.692 10.413 6.938 13.15 4.240
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.91 7.957 1.924 7.592 7.573 4.312 6.742 1.697 7.102 5.250 2.489
[2,] 19.52 8.407 1.942 8.874 8.760 4.631 7.203 1.726 7.663 5.281 2.566
[3,] 19.55 8.942 1.994 9.874 9.063 4.865 7.955 1.766 8.272 5.333 2.608
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.430 6.417 6.513 5.426 4.249 3.164 1.288 3.442 1.719 4.405 3.783
[2,] 7.807 7.071 6.984 5.462 5.034 3.188 1.307 3.503 1.720 4.734 4.840
[3,] 7.992 7.300 7.233 5.466 5.240 3.207 1.307 3.519 1.720 4.852 5.010
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.124 2.417 4.067 5.051 4.605 3.089 5.005 3.617 2.337 4.609 4.088
[2,] 3.141 2.417 4.593 5.226 4.606 3.091 6.883 3.860 2.499 5.231 4.797
[3,] 3.207 2.436 4.890 5.613 4.830 3.097 7.066 4.038 2.600 6.344 5.497
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.400 3.190 4.076 1.592 4.082 1.716 3.290 2.881 3.407 5.190 2.207
[2,] 5.043 4.122 4.076 1.596 4.319 1.730 3.339 2.881 4.359 6.266 2.214
[3,] 5.529 5.117 4.149 1.597 5.113 1.822 3.561 2.931 4.420 6.291 2.223
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.580 2.923 3.586 1.759 5.617 5.257 5.415 6.295 5.855 6.338 5.323
[2,] 4.811 2.935 4.857 1.760 5.741 5.712 5.852 6.642 6.087 7.203 6.096
[3,] 5.005 2.969 5.620 1.766 5.816 5.877 6.119 6.952 6.322 7.312 6.327
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.120 4.993 4.138 5.864 2.942 2.396 1.500 3.523 3.199 7.734 6.611
[2,] 1.168 5.488 4.641 6.092 3.015 2.544 1.506 4.342 3.204 7.812 6.745
[3,] 1.181 6.137 4.936 6.377 3.018 2.659 1.507 4.467 3.220 7.935 7.361
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.217 3.386 2.960 2.766 3.804 2.044 0.7241 17.85 13.29 7.776
[2,] 3.382 4.134 3.889 3.893 4.012 2.067 0.7575 20.41 16.77 8.375
[3,] 3.409 4.271 4.172 4.469 4.111 2.080 0.8290 22.96 17.44 8.800
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.467 3.502 89.54 9.118 8.572 1.681 4.007 10.91
[2,] 693.650 122.179 165.99 1719.359 1356.097 38.211 776.425 1305.15
[3,] 797.813 55.950 250.50 1888.280 1138.105 300.869 471.958 714.05
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.51 8.29 4.408 7.706 4.867 6.73 6.477 4.409
[2,] 1512.09 3154.82 1020.433 925.008 454.676 897.62 1333.778 645.861
[3,] 958.37 931.72 454.993 981.704 363.576 1424.27 682.113 576.087
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.386 7.616 11.91 7.926 16.64 5.235 20.2 10.1
[2,] 1614.384 1579.602 2153.06 1078.741 53.89 21.390 6678.8 1602.9
[3,] 1442.950 759.067 1581.90 1427.770 642.11 584.863 653.1 1798.5
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.444 9.641 9.616 5.475 8.561 2.155 9.018 6.666
[2,] 154.965 2712.043 2599.524 997.802 1498.172 187.645 1699.402 338.882
[3,] 267.267 2557.549 1373.781 880.676 1992.869 220.726 1839.409 437.050
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.161 9.435 8.148 8.27 6.89 5.395 4.017 1.635
[2,] 369.465 1415.269 1753.780 1488.41 370.69 1593.643 233.368 132.001
[3,] 274.496 1008.243 1070.754 1110.96 109.59 859.744 202.221 3.426
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.371 2.183 5.594 4.803 3.967 3.069 5.165 6.414
[2,] 385.498 23.907 1023.451 1782.615 189.390 25.939 1259.292 792.585
[3,] 193.348 4.995 629.135 764.945 383.871 176.657 991.001 1208.804
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.847 3.923 6.355 4.593 2.968 5.853 5.191 5.587
[2,] 72.054 66.665 2789.648 794.904 521.786 1460.651 1481.750 1455.451
[3,] 858.007 111.015 944.399 699.971 424.237 2119.041 1585.168 1337.796
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.051 5.176 2.022 5.183 2.18 4.178 3.658 4.326
[2,] 1540.831 6.315 67.575 833.339 129.69 338.142 14.733 1605.363
[3,] 1790.315 458.499 30.643 1616.234 336.87 729.895 319.567 430.601
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.591 2.802 5.816 3.712 4.553 2.233 7.133 6.676
[2,] 2072.932 107.989 870.447 151.425 1934.311 46.550 701.443 1317.976
[3,] 328.092 115.021 814.064 266.787 1669.918 83.802 550.019 816.734
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.876 7.994 7.435 8.048 6.759 1.422 6.341
[2,] 1311.007 1249.806 982.349 2021.082 1755.016 195.440 1344.945
[3,] 1054.429 1212.453 1010.019 742.341 999.661 103.247 1621.815
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.255 7.447 3.736 3.043 1.905 4.474 4.062 9.821
[2,] 1240.372 973.641 390.402 504.864 76.603 1498.585 106.998 652.683
[3,] 992.009 1113.697 79.133 456.203 30.642 618.956 187.316 820.172
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 8.394 4.085 4.3 3.759 3.513 4.83 2.595 0.9195
[2,] 789.963 615.666 1400.3 1488.988 1617.221 753.65 182.355 131.3280
[3,] 1741.453 253.015 634.1 891.813 1296.363 529.06 136.921 198.7984
[,96] [,97] [,98]
[1,] 22.67 16.88 9.874
[2,] 5847.77 6036.72 1836.314
[3,] 6199.26 2819.66 1596.013
[1] "--- VAR model 2017-10-04 01:31:00 completed"
[1] "Completed training sample: 2017-10-04 01:31:00 - 2017-10-04 09:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 02:01:00 - 2017-10-04 10:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.919 0.10320 -0.0086172 3.130
3.271 0.09577 -0.0847032 -3.922
3.198 0.12489 0.0002313 1.921
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.837 0.3625 -0.2456 3.081
1.132 0.6055 -1.4751 9.914
-4.377 0.6536 0.2416 -3.197
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.126 -9.361 1.2209 -15.61
6.562 3.832 0.1536 -14.84
1.965 4.833 1.8413 -13.92
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.139 3.4698 3.671 0.5381
-1.224 -0.2058 6.029 2.8184
-1.311 3.6419 8.411 2.5455
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.7795 9.433 3.108 2.606
-0.4756 4.595 10.363 7.068
0.9098 2.315 6.158 1.805
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.6470 -0.2904 -3.544 -6.118
1.0495 0.1651 2.241 -1.500
-0.3062 -0.0467 -3.517 3.422
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.09454 -7.5444 -9.275 2.847
0.70792 0.4643 -6.172 5.359
-0.57951 1.3025 -3.705 4.051
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.556 -0.0004168 -1.4825 0.9101
-5.996 -0.2855669 -1.9660 1.5946
-1.302 -0.3039666 -0.7312 0.7831
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.084 -9.794 -6.2085 -6.88024
-1.204 1.534 0.7822 0.02006
-1.148 -5.256 0.5499 -0.00324
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9803 3.1113 1.0565 0.02056
-0.3229 0.4316 0.7098 0.17546
0.3507 5.1724 0.7799 0.02400
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6879 0.01004 -2.2795 -3.502
2.0012 -0.10538 -1.1931 -8.784
0.9241 -0.08178 -0.1661 -1.619
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.836 0.3749 -5.37252 0.2468
2.074 0.1429 -0.03741 1.3900
1.015 0.6984 -2.18007 0.3399
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.3211 0.5822 -5.055 2.826
1.9119 0.7832 2.392 2.405
0.9887 0.3590 -1.034 2.210
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.0073 3.55285 6.7296 11.42053
0.8249 0.02187 -3.2004 0.23823
-0.4486 -0.71942 0.6706 -0.07853
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
13.491 1.7557 0.046620 4.259
5.980 -0.3972 0.078534 13.666
-4.119 0.1697 0.003402 2.064
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.884 1.814 -0.9991 1.539
-2.445 5.755 0.6411 1.491
-3.108 4.252 0.5412 7.985
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.2931 0.145921 1.1345 0.23409
0.5442 0.002874 0.2579 -0.16764
6.0957 -0.039307 2.3021 0.04641
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.2981 0.5051 2.166 3.314
2.2073 0.3545 2.557 4.808
0.9359 0.1628 1.808 1.765
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7712 2.656 4.358 10.953
-0.2180 4.241 4.637 2.166
0.1110 5.734 4.616 2.548
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.358 -0.1112 10.351 -2.2141
7.225 -0.4077 9.566 -0.9377
8.413 -0.3254 3.806 -0.5767
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.928 1.386 2.4859 -0.38897
7.901 -1.760 -0.6775 0.17652
3.900 -1.183 0.5265 -0.05014
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.3016 0.345482 -1.0712 3.367
0.1966 0.297830 -0.6929 7.435
1.8408 0.004179 -0.7430 3.973
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4125 4.737 -0.9466 -5.923
0.6414 -1.344 2.7466 4.995
1.0014 1.337 -0.3537 -1.809
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.7004 0.4015 -5.969 0.01089
1.9316 0.3252 -5.975 1.00136
4.2858 0.1164 -6.148 0.37072
rnd_95776.volume rnd_95787.volume
12.170 -6.116
-8.215 -4.591
4.235 -2.238
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.615 2.886 70.59 7.585 7.001 1.302 3.299 9.121 9.634 6.740 4.102
[2,] 5.733 2.898 70.59 8.283 7.343 1.303 3.520 9.324 9.900 8.831 4.597
[3,] 5.775 2.899 70.59 8.973 7.590 1.351 3.627 9.444 10.075 8.932 4.707
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.515 3.818 5.996 7.425 3.622 6.830 6.252 9.841 6.631 13.46 4.382
[2,] 6.685 3.898 6.390 7.900 3.789 7.505 6.872 10.594 6.923 13.46 4.384
[3,] 6.939 3.946 6.551 7.976 3.905 7.888 7.069 10.987 7.346 13.51 4.505
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.62 10.36 2.031 7.996 7.829 4.579 6.912 1.764 7.310 5.435 2.654
[2,] 20.78 10.93 2.050 9.375 9.130 4.822 7.514 1.794 7.836 5.470 2.726
[3,] 20.87 11.15 2.108 10.614 9.475 5.049 8.381 1.832 8.452 5.527 2.770
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.779 6.602 6.830 5.685 4.475 3.423 1.406 3.719 1.790 4.517 3.983
[2,] 8.262 7.268 7.257 5.734 5.332 3.446 1.421 3.745 1.790 4.827 5.088
[3,] 8.501 7.543 7.472 5.737 5.494 3.453 1.422 3.757 1.791 4.939 5.243
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.330 2.544 4.413 5.229 4.807 3.211 6.197 4.099 2.464 4.821 4.329
[2,] 3.425 2.544 4.813 5.427 4.811 3.212 7.273 4.251 2.619 5.566 5.269
[3,] 3.536 2.575 5.080 5.820 4.994 3.219 7.610 4.429 2.719 6.343 5.779
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.576 3.329 4.268 1.621 4.379 1.795 3.388 3.062 3.533 5.404 2.400
[2,] 5.349 4.419 4.269 1.624 4.618 1.810 3.578 3.062 4.466 6.549 2.406
[3,] 5.876 5.681 4.359 1.624 5.541 1.871 3.796 3.126 4.548 6.637 2.407
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.829 3.136 3.776 1.860 5.851 5.397 5.764 6.490 6.159 6.537 5.611
[2,] 5.057 3.142 5.011 1.864 5.900 5.897 6.205 6.931 6.507 7.481 6.484
[3,] 5.228 3.170 5.811 1.871 6.025 6.034 6.418 7.235 6.757 7.635 6.811
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.190 5.242 4.396 6.307 3.138 2.580 1.680 3.747 3.330 8.265 7.025
[2,] 1.239 5.804 4.853 6.556 3.203 2.820 1.682 4.583 3.336 8.358 7.210
[3,] 1.254 6.560 5.099 6.871 3.208 2.893 1.685 4.737 3.348 8.455 7.846
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.338 3.485 3.101 2.884 3.903 2.184 0.8077 17.44 13.82 8.053
[2,] 3.510 4.255 4.200 4.057 4.125 2.198 0.8514 20.12 17.59 8.717
[3,] 3.529 4.391 4.430 4.619 4.234 2.205 0.9318 22.68 18.27 9.234
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.13 3.665 89.64 9.631 8.891 1.653 4.189 11.58
[2,] 614.31 137.857 143.66 1769.723 1176.543 27.147 652.989 1029.27
[3,] 371.94 37.452 233.32 1835.094 1021.704 190.457 465.026 795.38
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 12.23 8.558 5.208 8.273 4.848 7.614 9.429 4.599
[2,] 1212.47 3035.128 1103.788 797.166 419.647 1174.958 1434.609 591.454
[3,] 993.18 710.357 539.331 988.917 323.779 766.049 584.780 503.555
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.672 7.939 12.5 8.42 17.09 5.565 21.11 13.15
[2,] 1655.043 1517.553 2086.0 1057.97 51.10 60.351 6632.27 1851.51
[3,] 1290.828 879.454 1548.8 1306.18 626.37 551.097 1020.50 1168.44
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.579 10.15 9.942 5.815 8.777 2.24 9.283 6.901
[2,] 147.097 2602.11 2498.219 804.267 1566.980 173.73 1501.436 329.150
[3,] 261.813 2646.71 1347.180 796.270 1973.966 195.84 1683.973 419.196
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.371 9.878 8.383 8.673 7.219 5.683 4.347 1.786
[2,] 329.744 1479.507 1616.328 1303.492 398.025 1541.137 213.131 108.052
[3,] 262.095 1066.191 1073.873 946.521 106.067 704.079 112.428 33.543
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.723 2.273 5.736 5.058 4.228 3.23 5.603 6.64
[2,] 231.233 8.104 905.336 1683.790 427.763 12.37 1022.632 773.01
[3,] 163.426 21.787 556.537 673.649 467.193 213.70 864.201 1118.64
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.104 4.078 7.869 5.206 3.13 6.122 5.498 5.81
[2,] 99.098 36.241 2025.127 599.309 470.93 1479.427 1596.915 1473.29
[3,] 713.808 110.906 1190.674 661.017 389.98 1617.420 1263.131 1293.59
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.228 5.42 2.058 5.561 2.28 4.302 3.888 4.487
[2,] 1545.607 46.98 52.249 780.080 119.78 610.904 17.341 1452.489
[3,] 1898.662 467.47 21.972 1628.251 254.00 674.792 333.555 457.215
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.863 3.048 6.132 3.982 4.795 2.362 7.43 6.853
[2,] 1967.393 84.648 799.303 106.056 1751.622 61.744 403.16 1264.366
[3,] 570.989 38.744 704.293 221.253 1564.671 89.027 651.25 677.787
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.32 8.241 7.821 8.301 7.125 1.511 6.657 5.582
[2,] 1222.19 1294.355 1116.473 1934.735 1728.381 184.149 1324.777 1093.718
[3,] 871.76 1103.428 968.660 810.196 1108.502 103.081 1626.104 832.099
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.008 3.985 3.277 2.134 4.758 4.228 10.5 8.92
[2,] 952.739 339.725 605.494 41.820 1403.118 108.476 659.4 864.21
[3,] 1092.897 100.351 343.526 49.068 637.723 152.808 678.8 1646.11
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.239 4.425 3.938 3.663 4.956 2.774 1.026 22.15
[2,] 576.931 1298.640 1506.442 1517.685 710.055 130.202 143.153 5330.15
[3,] 196.652 576.038 749.627 1173.972 508.547 90.889 201.357 5571.44
[,97] [,98]
[1,] 17.54 10.23
[2,] 5788.47 1775.26
[3,] 2638.37 1620.66
[1] "--- VAR model 2017-10-04 02:01:00 completed"
[1] "Completed training sample: 2017-10-04 02:01:00 - 2017-10-04 10:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 02:31:00 - 2017-10-04 10:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1605 0.8513 0.02007 -6.4569
0.1150 0.2665 0.03748 -5.7065
-0.2606 0.6531 0.02037 -0.9149
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.791 0.9775 -1.221 6.853
-1.081 0.7263 -1.189 3.084
-7.033 1.2441 -1.535 5.753
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.045 -1.1038 0.6948 -18.51
-3.716 1.9560 -2.9144 -16.40
-1.189 0.3226 -1.5587 -17.99
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.756 -3.0687 -0.4774 1.7864
-1.698 0.6816 -1.1957 0.9992
-1.498 3.3855 -0.9573 -0.4204
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.0264 2.338 2.6257 0.7266
-0.5428 5.347 3.7112 4.9363
-0.1448 -1.422 0.4486 3.2557
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.18368 -0.07360 -2.9492 -2.2511
-0.48409 0.42259 0.8087 -0.7952
0.01543 0.05831 -1.8739 4.8567
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.2176 -4.8555 -10.977 -0.1571
1.1100 -0.7204 -3.943 -0.6308
-0.3710 -2.4819 -4.576 2.3829
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.1472 0.7587 -3.6975 0.1637
-6.7182 0.6382 -6.5495 -0.7732
0.4246 0.4182 -0.5903 -0.2412
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.9230 -4.705 -1.920 -1.812
-0.4466 -3.690 -3.191 -3.084
-0.5997 -3.673 -2.278 -2.543
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.256954 2.727 0.7637 0.0005068
0.627732 -1.377 0.8468 0.0949286
-0.008427 1.360 0.3816 0.8375135
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.7566 0.17398 -1.99456 -5.318
-0.2753 0.07145 -0.06805 -7.923
-0.8473 -0.00558 -1.23247 -6.196
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.522 0.5852 -6.6665 -1.7863
2.323 0.4265 0.1943 0.7982
2.068 0.2127 -3.2272 0.1554
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.584 -0.004208 -6.1193 4.987
1.230 -0.398069 1.7302 4.567
1.054 -0.069014 -0.7982 4.192
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4426 2.3733 9.7333 7.7466
0.5973 0.6453 -4.1538 0.5175
-0.7058 -2.0490 0.9114 0.2584
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.033 -1.2154 -0.01902 0.2518
11.155 -1.5154 0.12093 4.7769
-5.413 -0.5879 -0.07308 4.3423
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.089 1.434 1.3879 -8.9311
-3.151 -1.440 0.3911 3.0454
-3.257 5.555 -0.5822 -0.5088
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-12.863 -0.113875 -1.0421 1.3942
2.289 0.007709 -2.6432 -0.1131
-1.732 -0.002582 0.8187 0.1501
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.366 0.0596 0.09272 2.761
-9.181 0.3611 0.66276 4.099
2.393 0.1012 0.40196 1.437
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.9728 3.1667 -0.4132 -1.5286
1.3278 -0.2859 3.8545 1.2243
0.1952 5.5332 0.5851 0.4752
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.224 -0.0548 1.9506 -1.8699
3.713 -0.2227 0.6318 -1.1384
-0.689 -0.4678 0.9375 -0.5344
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.833 -0.1075 3.2726 -0.13822
-1.083 1.0817 -0.7208 -0.05695
2.501 1.0301 0.3046 0.21727
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.6984 0.5715 0.8347 6.318
0.1433 0.7162 -0.6989 10.806
-0.1431 0.1744 0.2440 7.305
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.40010 0.01627 -2.2242 -2.2282
-0.18723 0.81937 2.0996 0.1954
0.05262 -0.34542 0.1361 1.0010
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1972 -0.7017 -6.547 0.1277
0.4995 -0.3908 -6.717 -0.4492
2.2116 -0.1580 -6.473 0.3336
rnd_95776.volume rnd_95787.volume
13.521 3.62776
-11.807 0.05917
3.503 1.46433
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.925 3.034 70.64 7.676 7.220 1.364 3.392 9.406 10.30 6.899 4.219
[2,] 6.030 3.045 70.64 8.339 7.595 1.365 3.633 9.623 10.69 9.184 4.772
[3,] 6.071 3.047 70.64 9.076 7.856 1.415 3.764 9.778 10.96 9.310 4.904
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.712 3.965 6.405 9.366 4.105 7.052 6.588 10.29 7.348 13.67 4.432
[2,] 6.868 4.061 6.743 9.718 4.277 7.846 7.174 11.09 7.749 13.67 4.434
[3,] 7.134 4.144 6.903 9.893 4.384 8.220 7.475 11.50 8.143 13.73 4.553
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.91 10.64 2.097 8.190 7.982 4.817 7.078 1.863 7.545 5.607 2.882
[2,] 21.33 11.31 2.118 9.579 9.453 5.051 7.822 1.890 8.091 5.639 2.959
[3,] 21.43 11.59 2.174 10.760 9.858 5.235 8.805 1.923 8.757 5.692 2.986
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.096 6.813 7.140 5.928 4.662 3.543 1.479 3.845 1.842 4.623 3.928
[2,] 8.602 7.558 7.651 5.963 5.534 3.563 1.490 3.867 1.842 4.940 5.259
[3,] 8.923 7.814 7.822 5.969 5.677 3.567 1.490 3.885 1.843 5.073 5.411
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.489 2.660 4.705 5.444 5.005 3.352 6.370 4.242 2.560 5.049 4.497
[2,] 3.724 2.660 5.030 5.647 5.010 3.352 7.580 4.404 2.745 5.789 5.468
[3,] 3.859 2.694 5.263 6.042 5.181 3.356 7.935 4.587 2.859 6.608 6.031
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.772 3.477 4.463 1.648 4.554 1.880 3.730 3.226 3.675 5.634 2.544
[2,] 5.567 4.739 4.466 1.651 4.838 1.894 3.806 3.226 4.662 6.965 2.550
[3,] 6.114 5.971 4.552 1.652 5.835 1.956 4.161 3.289 4.739 7.017 2.551
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.672 3.406 4.036 2.000 6.353 5.695 6.127 7.100 6.574 6.801 5.739
[2,] 5.448 3.409 5.336 2.004 6.577 6.203 6.480 7.573 6.912 7.846 6.730
[3,] 5.563 3.434 6.119 2.012 6.755 6.370 6.710 7.643 7.114 7.984 7.045
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.267 5.484 4.556 6.534 3.245 2.661 1.863 3.881 3.443 8.758 7.521
[2,] 1.301 6.156 5.021 6.833 3.318 2.902 1.865 4.811 3.449 8.846 7.766
[3,] 1.316 7.036 5.235 7.165 3.323 2.982 1.867 4.946 3.462 8.910 8.556
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.382 3.569 3.178 2.964 4.075 2.360 0.8332 16.96 14.59 8.612
[2,] 3.579 4.329 4.303 4.125 4.274 2.378 0.8778 19.80 18.53 9.471
[3,] 3.607 4.470 4.525 4.677 4.398 2.381 0.9540 22.48 19.15 10.102
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.524 3.852 89.7 9.747 9.168 1.732 4.307 11.94 13.08
[2,] 473.994 112.999 111.1 1375.988 995.260 16.476 548.914 857.86 1211.89
[3,] 296.160 34.615 201.8 1512.589 847.648 157.749 416.133 732.19 1007.14
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.761 5.358 8.523 5.035 8.134 11.89 5.213 8.955
[2,] 2558.764 941.527 615.261 370.217 889.038 1093.98 506.807 1452.227
[3,] 645.932 475.668 814.532 349.086 624.177 781.48 407.772 1034.675
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.365 13.07 9.331 17.36 5.628 21.47 13.52 2.663
[2,] 1199.353 1743.36 1038.740 22.61 59.281 5492.83 1613.10 125.789
[3,] 886.278 1291.40 1055.787 526.51 436.555 852.88 1067.87 206.718
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.4 10.14 6.117 8.988 2.365 9.581 7.12 3.659
[2,] 2097.7 2138.33 640.573 1405.462 135.442 1233.924 251.39 284.609
[3,] 2068.6 1179.98 581.812 1706.852 149.537 1414.031 328.07 167.378
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 10.28 8.651 9.066 7.528 5.919 4.499 1.878 4.883
[2,] 1227.37 1381.666 1161.631 271.354 1258.906 161.067 73.780 171.550
[3,] 1000.33 838.387 685.698 113.560 534.448 70.292 20.776 158.679
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.339 5.871 4.988 4.431 3.378 5.974 6.913 6.355
[2,] 12.431 735.013 1476.566 549.243 17.452 751.868 633.732 92.823
[3,] 19.789 486.624 537.608 427.121 179.992 653.047 907.278 558.222
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.257 8.089 5.387 3.25 6.411 5.711 6.06 4.416
[2,] 7.654 1734.528 499.722 418.81 1195.279 1313.151 1210.52 1358.991
[3,] 62.777 990.070 540.822 337.50 1346.026 1074.094 1067.22 1533.736
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.667 2.093 5.783 2.388 4.737 4.097 4.667 7.154
[2,] 72.919 41.050 689.048 95.016 318.864 7.772 1211.018 1728.767
[3,] 372.582 26.207 1377.117 206.504 709.661 270.023 360.290 361.158
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.231 5.933 4.325 5.125 2.54 8.067 7.231 7.781
[2,] 72.763 1182.855 66.538 1473.818 55.62 718.830 1038.243 890.291
[3,] 24.485 475.141 173.033 1264.048 71.37 650.154 610.832 734.558
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.016 8.347 8.637 7.288 1.609 6.964 5.786 8.297
[2,] 1111.843 902.236 1651.831 1483.391 124.379 1180.870 890.787 843.470
[3,] 434.409 710.787 622.528 879.876 85.074 1438.072 624.787 910.980
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 4.12 3.379 2.366 4.928 4.372 11.12 9.551 4.294
[2,] 293.05 489.088 32.184 1200.623 88.660 525.23 816.429 494.328
[3,] 80.13 288.029 37.594 484.635 127.357 449.08 1516.180 189.586
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.532 4.036 3.764 5.175 2.996 1.058 21.54 18.53
[2,] 1034.615 1224.583 1211.082 543.374 123.442 116.624 4313.99 4820.73
[3,] 470.068 590.666 930.087 438.470 52.109 157.758 4492.29 2042.83
[,98]
[1,] 10.94
[2,] 1663.73
[3,] 1483.74
[1] "--- VAR model 2017-10-04 02:31:00 completed"
[1] "Completed training sample: 2017-10-04 02:31:00 - 2017-10-04 10:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 03:01:00 - 2017-10-04 11:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2513 0.01227 -0.154475 -14.018
0.1984 -0.02250 -0.039269 -15.635
-0.4251 -0.11428 0.006164 -6.516
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.16 0.6784 1.2095 4.2559
-13.15 1.3575 0.5318 0.7595
-14.67 0.7770 0.8248 -0.9894
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.783 -1.3455 -0.2079 -14.21
-2.450 2.7766 -0.1399 -16.13
-2.219 -0.3787 -0.7747 -15.36
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.560 -2.9314 -1.674 -3.072
-3.585 -1.7785 -1.978 -1.595
-2.763 0.3778 -1.270 -1.511
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.318 0.4453 -0.7097 -0.6896
-4.179 0.4401 0.2484 -0.4939
-4.193 -5.1628 -3.4283 -2.1338
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.40267 -1.5451 -8.954 -8.774
1.18233 -0.9252 -8.791 -6.421
-0.09461 -0.4243 -6.060 -3.221
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.04714 -13.885 -19.482 -0.9281
0.08697 -4.016 -6.311 -2.7119
-0.33325 -5.007 -7.580 -1.6658
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.007 -0.4214 -14.292 -1.4515
-14.768 -0.3223 -13.497 -0.9849
-5.215 -0.2657 -5.372 -1.0867
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.550 -15.373 -3.242 0.875
-2.474 -11.717 -11.378 -11.826
-2.311 -9.946 -9.773 -9.028
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.53739 -3.0679 0.68654 -0.13846
-0.08875 -0.7487 -0.07783 -0.30417
0.08281 -2.2500 -1.12338 -0.02293
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.09949 0.15133 -3.6769 -5.802
1.15823 -0.15559 -0.1421 -8.852
-0.15513 -0.06914 -3.0273 -6.769
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.09865 0.4694 -11.5695 1.3834
0.27554 1.5188 -0.6434 -0.5007
-0.01065 0.3026 -4.9651 0.5606
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.01424 -0.11151 -1.320 3.224
-1.10185 -0.33271 -4.044 2.978
-0.53967 0.03774 -1.022 1.488
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05794 -0.6214 3.409 1.2653
-0.04438 0.3665 -0.847 -0.5868
-0.79441 -4.4762 -2.827 0.5221
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.660 -1.0947 0.09424 -0.4451
4.957 -0.8081 0.02999 -4.2051
-1.389 -0.3128 0.06592 1.5551
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.026 -0.4682 -0.7122 -1.2607
-2.324 -4.7709 -1.1195 -0.5094
-2.654 2.1928 -0.1259 -5.3963
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.391 0.02257 -1.018 -0.25367
-1.007 -0.07099 -1.856 0.14758
-5.727 -0.02130 -2.461 -0.04026
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.7699 0.13574 -1.349 -2.7249
-2.0130 0.01378 -3.101 -0.8569
-0.8262 0.01143 -2.431 -1.8099
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8789 -2.6469 -0.2385 -1.3498
-0.9362 -1.8998 0.3019 0.2556
-0.2027 0.9343 -0.6434 -1.1852
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.6653 -0.6216 -1.2033 0.95130
-0.7160 -0.2245 -2.4721 -0.21980
-2.3278 -0.3102 -0.2048 0.05942
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.932 0.30626 1.9724 -0.53357
-2.282 -1.00234 0.4189 0.09691
-2.286 -0.06158 -0.2498 -0.05115
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.03499 0.16621 -3.800 -0.8444
-2.44959 -0.29020 -2.262 0.8772
-0.81058 0.02032 -2.279 -1.9015
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.1068 -1.3634 -1.012 -2.0564
-0.6177 -1.7835 -1.429 -0.9316
-0.9971 -0.7342 -1.412 -1.2023
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.0619 -0.4920 -6.235 2.979
-0.5924 -0.1882 -5.810 2.161
-0.4741 -0.3321 -6.281 1.732
rnd_95776.volume rnd_95787.volume
3.1527 -7.115
-13.3918 -5.902
-0.1333 -4.598
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.118 3.169 70.68 7.841 7.393 1.557 3.512 9.567 10.64 6.989 4.296
[2,] 6.215 3.173 70.68 8.505 7.839 1.560 3.743 9.769 10.99 9.410 4.896
[3,] 6.252 3.177 70.68 9.375 8.158 1.646 3.880 9.933 11.27 9.518 5.019
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.964 4.035 6.635 9.541 4.546 7.276 6.777 10.55 7.613 13.87 4.673
[2,] 7.142 4.140 6.930 9.868 4.711 8.053 7.463 11.36 8.094 13.87 4.673
[3,] 7.422 4.233 7.099 10.042 4.810 8.399 7.790 11.81 8.556 13.92 4.781
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.36 10.92 2.283 8.415 8.079 5.048 7.250 1.965 7.776 5.784 3.026
[2,] 22.04 11.58 2.327 9.904 9.602 5.293 8.076 1.994 8.401 5.818 3.102
[3,] 22.13 11.86 2.411 11.123 10.091 5.478 9.165 2.017 9.190 5.867 3.136
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.400 7.022 7.373 6.178 4.879 3.787 1.565 3.951 1.915 4.740 4.099
[2,] 8.917 7.820 8.041 6.224 5.793 3.794 1.572 3.977 1.915 5.078 5.517
[3,] 9.299 8.087 8.247 6.235 5.943 3.797 1.572 3.996 1.915 5.221 5.701
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.624 2.799 4.878 5.637 5.224 3.455 6.523 4.393 2.652 5.229 4.654
[2,] 3.869 2.800 5.202 5.838 5.228 3.456 7.823 4.547 2.825 5.934 5.623
[3,] 4.003 2.830 5.443 6.219 5.416 3.459 8.187 4.717 2.935 6.830 6.212
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.881 3.519 4.692 1.686 4.754 1.908 3.882 3.409 3.838 5.762 2.606
[2,] 5.702 4.873 4.692 1.690 5.043 1.919 3.964 3.409 4.838 7.138 2.611
[3,] 6.249 6.081 4.764 1.692 6.018 1.977 4.355 3.458 4.921 7.195 2.611
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.200 3.590 4.179 2.069 6.737 6.123 6.367 7.372 7.074 6.928 5.850
[2,] 5.572 3.592 5.616 2.071 6.844 6.514 6.691 7.962 7.345 8.058 6.977
[3,] 5.685 3.617 6.419 2.078 7.069 6.607 6.917 8.005 7.534 8.193 7.336
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.341 5.572 4.736 6.676 3.339 2.848 1.977 4.054 3.566 9.046 7.821
[2,] 1.371 6.276 5.162 6.996 3.405 3.069 1.977 5.001 3.567 9.122 8.079
[3,] 1.383 7.251 5.355 7.365 3.410 3.148 1.979 5.115 3.591 9.187 8.823
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.436 3.615 3.235 2.994 4.222 2.494 0.8790 16.57 14.99 8.981
[2,] 3.642 4.382 4.378 4.187 4.426 2.506 0.9241 19.51 19.06 9.844
[3,] 3.666 4.525 4.608 4.748 4.560 2.508 1.0018 22.26 19.68 10.477
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.768 4.024 89.75 9.957 9.388 1.978 4.46 12.15 13.51
[2,] 401.220 57.744 103.18 1203.259 952.312 31.818 472.74 722.10 997.64
[3,] 248.538 55.801 176.99 1440.932 824.914 192.100 373.66 656.98 915.13
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.875 5.455 8.843 5.124 8.426 12.12 5.772 9.239
[2,] 2302.347 857.961 579.015 338.453 730.477 920.34 452.419 1261.238
[3,] 521.513 404.776 737.779 322.199 563.687 680.22 354.888 871.117
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.606 13.39 9.667 17.61 5.934 22.04 13.87 2.899
[2,] 1141.876 1546.27 1004.846 33.18 6.280 4959.36 1408.04 165.298
[3,] 816.523 1177.37 1012.827 442.43 370.434 726.24 936.37 230.688
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.69 10.26 6.411 9.207 2.495 9.875 7.345 3.842
[2,] 1908.33 1896.13 580.855 1299.686 122.974 1161.318 229.133 249.483
[3,] 1850.50 1133.72 516.495 1583.594 110.884 1361.657 274.748 169.073
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 10.67 8.917 9.363 7.845 6.195 4.809 1.987 5.018
[2,] 1093.44 1256.986 1172.039 278.289 1141.411 86.216 53.526 163.288
[3,] 964.00 753.676 670.105 129.770 484.380 52.312 17.915 143.742
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.431 6.019 5.205 4.602 3.554 6.195 7.158 6.633
[2,] 3.634 665.333 1349.333 494.372 26.751 660.079 554.725 74.730
[3,] 15.424 444.262 524.514 375.312 150.637 585.605 783.273 517.394
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.388 8.283 5.578 3.367 6.64 5.91 6.199 4.468
[2,] 11.808 1577.604 429.142 356.286 1024.76 1153.00 1076.547 1231.739
[3,] 52.342 882.015 459.056 290.461 1236.01 964.55 934.366 1329.292
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.958 2.141 6.037 2.423 4.929 4.329 4.874 7.317
[2,] 21.362 43.731 614.880 74.230 293.803 6.260 1075.990 1539.326
[3,] 301.002 24.497 1200.187 174.315 659.082 211.932 329.766 330.954
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.309 6.603 4.559 5.306 2.627 8.554 7.775 8.084
[2,] 55.751 731.597 49.292 1370.843 32.496 441.326 812.769 752.571
[3,] 20.522 410.937 154.647 1135.823 61.816 647.246 403.326 640.790
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.361 8.983 8.797 7.428 1.703 7.076 6.013 8.478
[2,] 1099.433 722.038 1503.710 1389.050 103.786 1055.201 750.253 763.754
[3,] 301.983 613.977 541.136 828.761 67.511 1327.237 520.889 841.845
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.24 3.617 2.51 5.148 4.529 11.49 9.932 4.363 4.59
[2,] 243.66 418.062 16.98 1069.693 31.013 426.90 739.219 441.382 905.29
[3,] 67.46 256.273 26.04 392.485 150.717 400.11 1296.177 154.574 412.53
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.108 3.802 5.362 3.167 1.116 21.05 19.04 11.4
[2,] 1077.869 1069.294 484.846 89.713 104.164 3758.42 4298.54 1473.4
[3,] 524.489 818.482 401.600 34.387 141.365 3915.92 1798.79 1309.7
[1] "--- VAR model 2017-10-04 03:01:00 completed"
[1] "Completed training sample: 2017-10-04 03:01:00 - 2017-10-04 11:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 03:31:00 - 2017-10-04 11:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.29099 0.08142 -0.04136 -2.535
-0.02976 -0.30390 -0.17868 -12.136
0.82315 -0.05209 -0.09733 -11.057
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.2812 0.15498 0.3603 -1.650
-5.2595 0.17337 0.3058 7.013
-12.4122 0.05935 0.4462 3.446
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.0665 3.216 3.6127 -17.85
-0.8358 -1.683 -0.6895 -17.05
1.7925 4.160 -0.2821 -16.94
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.3191 -2.4661 -3.120 1.3808
-1.4193 -2.8711 -4.047 0.8885
-0.8035 -0.3671 -3.041 -0.9676
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.7738 -2.975 0.9382 8.199
-3.4871 1.517 3.8076 8.530
-3.8664 -1.685 0.4300 6.425
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3411 -0.76945 -30.789 -6.724
-2.1404 1.61581 -6.723 -8.431
1.4986 0.01913 -11.228 -4.203
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.13519 -15.671 -8.929 1.2189
-0.05129 -14.058 -11.586 1.9382
-0.10605 -5.831 -8.530 0.4908
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.892 0.22031 -2.579 1.28225
-12.939 0.15619 -8.766 0.70965
-10.611 0.08047 -10.777 0.05688
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.6327 -1.620 6.684 6.125
-1.4207 -4.514 -3.364 -1.642
-1.6565 -8.785 -8.313 -5.737
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.6624 6.8768 0.100479 0.64651
-1.3165 0.7912 0.003222 0.05281
0.7584 2.9506 -0.064221 0.13838
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.88405 0.04824 -1.741 -21.945
0.60890 -0.20461 1.446 -5.317
-0.09196 -0.20524 -1.628 -4.859
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.609 0.005524 -4.527 4.45257
2.799 -0.619238 -9.443 0.08041
2.308 -0.382076 -2.061 0.12178
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.9304 -0.30015 3.1972 1.4331
-0.7342 -0.02220 0.2176 0.3414
-0.3385 -0.08252 -5.9995 -0.1046
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.8562 -9.377 -9.7790 -2.847
1.0020 4.131 2.7487 -8.991
-0.1765 -1.092 -0.5898 4.771
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.979 0.009546 0.5539 1.445
-10.267 0.650311 -0.1677 2.022
3.288 0.300672 0.4862 -8.670
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.645 2.045 0.09207 2.244
-3.151 3.068 -0.49188 1.455
-3.498 -3.655 -0.77509 2.242
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.293 0.302649 0.7848 -0.40779
1.412 -0.007521 1.8932 1.12093
2.268 -0.014994 2.5452 -0.07116
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.012 0.014111 -1.9357 0.02713
1.689 0.319674 -1.4937 -0.46513
1.609 -0.009229 -0.7826 -0.35647
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.2029 0.2315 -4.467 3.1973
-0.7358 -2.7259 -1.006 -1.6586
-0.3018 -1.1134 -2.855 -0.7338
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.629 1.1154 -3.141 -0.4139
2.256 1.3744 2.029 -0.5604
-2.460 0.7629 -1.552 -0.2019
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.817 1.8173 -2.57543 0.25217
-1.424 0.8138 0.60970 0.02458
0.403 2.2574 -0.06777 -0.12775
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
10.039 -0.01703 1.644 -6.101
3.373 -0.27003 1.436 -1.676
1.301 0.03133 2.506 -1.792
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.4669 -3.6340 -4.2532 -1.97426
-1.0636 -0.5326 -2.1267 -3.27431
-0.8823 -1.6985 -0.3406 0.04359
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.074 0.1039 -7.639 -3.476
2.618 -0.5313 -7.871 -3.545
-0.349 -0.3934 -7.369 -3.844
rnd_95776.volume rnd_95787.volume
9.635 -5.409
-4.408 -9.718
-13.962 -2.461
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.351 3.454 70.74 8.018 7.669 1.598 3.617 10.26 10.86 7.107 4.423
[2,] 6.443 3.454 70.74 8.767 8.105 1.601 3.845 10.54 11.20 9.718 5.016
[3,] 6.481 3.465 70.74 9.735 8.472 1.682 4.001 10.86 11.48 9.849 5.137
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.169 4.151 6.767 10.38 5.070 7.399 6.957 10.68 7.775 14.15 4.733
[2,] 7.325 4.265 7.067 10.78 5.193 8.257 7.675 11.54 8.284 14.15 4.733
[3,] 7.616 4.359 7.242 10.93 5.312 8.612 8.029 12.00 8.732 14.21 4.836
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.67 11.63 2.484 8.74 8.553 5.339 7.457 2.025 7.897 6.031 3.106
[2,] 22.81 12.39 2.551 10.25 10.211 5.553 8.400 2.046 8.676 6.076 3.186
[3,] 22.90 12.80 2.675 11.55 10.844 5.817 9.592 2.075 9.601 6.123 3.235
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.650 7.322 7.582 6.526 5.106 4.168 1.678 4.118 1.993 5.017 4.696
[2,] 9.248 8.188 8.382 6.579 6.077 4.169 1.686 4.143 1.993 5.371 5.872
[3,] 9.808 8.536 8.659 6.588 6.225 4.169 1.686 4.168 1.994 5.530 6.052
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.710 2.909 4.894 5.868 5.507 3.560 6.760 4.658 2.721 5.704 4.929
[2,] 3.950 2.912 5.765 6.071 5.513 3.560 7.970 4.830 2.911 6.417 5.938
[3,] 4.088 2.938 6.135 6.455 5.671 3.561 8.427 5.019 3.025 7.193 6.491
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.081 3.662 4.933 1.758 5.010 1.970 3.967 3.581 4.037 5.838 2.711
[2,] 5.984 5.212 4.933 1.763 5.359 1.985 4.070 3.581 4.986 7.235 2.716
[3,] 6.599 6.430 4.984 1.764 6.467 2.041 4.388 3.620 5.093 7.305 2.717
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.398 3.842 4.456 2.146 6.919 6.319 6.587 7.480 7.799 7.289 5.990
[2,] 5.847 3.844 5.864 2.147 7.029 6.757 6.899 8.095 8.088 8.483 7.180
[3,] 5.971 3.886 6.671 2.154 7.244 6.842 7.077 8.138 8.277 8.609 7.588
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.419 5.686 4.848 6.796 3.515 2.990 2.154 4.374 3.818 9.332 8.112
[2,] 1.445 6.506 5.252 7.149 3.584 3.201 2.155 5.307 3.818 9.402 8.341
[3,] 1.460 7.521 5.435 7.547 3.592 3.275 2.157 5.412 3.851 9.453 9.097
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.491 3.665 3.336 3.023 4.425 2.729 0.9502 16.15 15.62 9.569
[2,] 3.700 4.447 4.568 4.251 4.603 2.736 1.0061 19.02 19.53 10.469
[3,] 3.727 4.594 4.819 4.827 4.774 2.739 1.0859 21.71 20.38 11.179
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.065 4.385 89.82 10.18 9.739 2.03 4.594 13.03 13.79
[2,] 351.779 20.246 89.86 1148.61 849.063 29.39 422.190 781.62 894.07
[3,] 226.172 89.532 167.56 1370.58 798.911 167.11 358.302 847.92 816.79
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.024 5.616 9.103 5.272 8.593 13.18 6.438 9.395
[2,] 2147.157 766.376 487.895 316.490 659.292 943.30 364.859 1187.378
[3,] 518.430 359.666 675.794 292.096 512.509 593.54 361.027 792.538
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.834 13.57 9.874 17.97 6.01 22.43 14.77 3.154 11.1
[2,] 1050.544 1409.51 925.532 66.55 17.71 4674.07 1382.67 188.198 1731.8
[3,] 763.684 1068.97 894.731 412.72 322.49 652.66 1041.06 261.018 1729.0
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 10.86 6.779 9.469 2.571 10.03 7.659 3.945 10.98
[2,] 1806.60 494.599 1252.653 96.037 1163.91 237.441 229.243 1059.79
[3,] 1182.34 561.585 1499.844 110.563 1331.80 247.464 180.988 1058.55
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 9.298 9.628 8.286 6.484 5.292 2.131 5.229 2.531
[2,] 1187.017 1157.351 270.550 1067.271 30.033 50.737 148.653 6.277
[3,] 781.364 703.194 110.240 437.318 4.169 1.808 147.752 15.193
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.37 5.964 4.711 3.694 6.215 7.451 6.994 4.520
[2,] 621.39 1141.548 439.582 41.014 986.648 503.985 81.258 4.629
[3,] 426.29 475.407 341.051 125.983 680.416 710.313 430.203 26.725
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 8.584 5.914 3.456 7.244 6.259 6.452 4.65 6.264
[2,] 1367.550 414.366 334.679 952.279 1072.416 1023.900 1201.51 9.605
[3,] 886.371 441.535 266.630 1052.414 849.577 901.388 1219.88 229.654
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.232 6.362 2.501 5.038 4.547 5.126 7.414 3.442
[2,] 42.320 615.729 79.025 294.079 9.329 947.543 1384.051 52.013
[3,] 19.975 1172.502 154.610 531.833 171.654 336.570 326.723 31.553
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 6.855 4.878 5.658 2.725 8.786 8.024 8.364 9.499
[2,] 727.773 44.754 1235.005 22.850 401.848 775.532 664.857 1001.990
[3,] 391.627 184.937 1030.080 54.909 568.104 349.417 510.688 271.835
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.903 9.256 7.606 1.802 7.221 6.157 8.63 4.463
[2,] 693.953 1405.529 1282.641 88.697 1023.867 654.434 718.42 227.773
[3,] 569.665 475.029 795.165 66.867 1222.415 452.996 783.60 73.744
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.797 2.736 5.555 4.848 11.85 10.3 4.433 4.654 4.237
[2,] 370.009 8.063 973.642 8.331 370.25 628.7 396.888 815.936 1010.598
[3,] 224.582 29.646 342.402 161.562 318.88 1176.4 145.988 373.345 497.388
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.838 5.619 3.465 1.207 20.51 19.84 12.15
[2,] 968.446 411.366 62.312 107.141 3251.06 3795.48 1375.86
[3,] 740.693 410.119 42.348 132.341 3391.37 1884.91 1269.76
[1] "--- VAR model 2017-10-04 03:31:00 completed"
[1] "Completed training sample: 2017-10-04 03:31:00 - 2017-10-04 11:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 04:01:00 - 2017-10-04 12:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.266 -0.8081 4.794 7.353
-1.287 0.8539 0.320 5.180
1.147 0.7109 0.496 -4.636
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.073 0.4637 1.928 -2.862
3.472 0.5470 1.681 -1.122
7.010 0.2629 1.628 -2.407
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.2594 -3.2664 -0.7105 -19.72
1.1485 -0.1011 -0.1570 -18.71
-0.7381 0.1548 0.7509 -18.38
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.4335 -1.877023 -4.276 2.353
-0.8097 -1.908216 -2.955 1.868
0.3212 0.009703 -3.529 1.956
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.7187 -1.5246 0.7110 2.66108
-1.4324 0.4214 -0.5069 -0.41134
-4.1622 -2.4448 -2.6410 -0.09971
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.0427 0.33716 -14.769 7.341
-1.8429 -0.85857 9.823 -2.212
0.5745 -0.04038 2.156 3.644
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1983 7.973 12.774 -2.28819
1.2875 -10.314 -1.155 0.09746
0.9328 -0.204 -3.009 -0.25032
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
8.843 0.0009432 0.6071 -1.1741
4.699 -0.2443571 8.9358 -0.9565
-6.201 -0.1284239 -1.6986 -0.7319
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.1435 -2.149 -4.750 -4.3690
0.6959 9.237 2.830 -0.3342
0.7408 2.549 5.868 7.5811
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.4614 4.963 -0.1948 0.2890
0.6062 2.127 0.1484 0.3612
-0.0845 -4.147 0.2122 0.2618
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8139 0.1165 -1.0700 -7.108
-0.3571 -0.1984 -0.8144 -6.488
-0.9568 0.1894 0.3003 -5.510
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0838 -0.57979 0.2068 -0.702
2.0942 -0.11457 -4.5036 3.010
0.7856 -0.07738 -2.1376 1.457
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.28976 0.23361 -5.4195 2.14159
0.28297 -0.01937 -1.2713 1.95885
0.02055 -0.05405 -0.1914 0.08286
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.0071 5.9962 5.9187 -9.029
-0.2022 -3.7875 -4.3273 6.748
-0.1397 -0.3495 0.1249 -4.222
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.085 1.5980 -0.05336 1.749
7.786 -0.4541 0.14761 -10.763
-4.136 -0.1864 0.01391 8.208
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.065 2.17077 0.1282 5.119
-3.518 -3.84133 0.6373 1.615
-3.569 0.04447 0.2234 -5.592
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2617 0.07975 -3.810 -0.05806
2.5347 -0.04554 3.961 2.31190
-3.6905 -0.01638 -1.541 -0.20359
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.02288 0.03561 -1.528 -3.4117
4.24302 0.08196 -1.416 -1.0128
2.47542 0.04250 -1.483 -0.3589
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.236 -0.8311 -2.229 -0.02034
2.794 -1.2456 -3.275 -0.88958
0.885 0.1997 -4.026 -1.37452
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.5123 -0.03948 -9.2663 1.9222
-0.4142 0.20084 -0.4737 0.9678
-1.4187 0.04093 -1.0506 0.5088
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-11.0516 0.6317 1.5937 -0.01106
-0.3164 -0.3372 -1.0181 0.02452
-1.3670 0.3531 -0.1774 -0.02539
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.12104 -1.292 3.822 2.4132
2.05319 1.467 4.180 -1.6590
-0.03078 0.337 1.978 0.1659
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.90735 2.4803 1.5681 -0.2647
-0.04567 -0.5665 1.3578 2.1838
-0.11903 0.5688 -0.7789 -0.5584
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.5662 0.1200 -7.316 4.944
-0.8429 -0.2822 -6.953 4.683
-2.8919 0.1743 -6.943 4.733
rnd_95776.volume rnd_95787.volume
-5.6810 0.366
-0.3650 -8.416
-0.1587 -1.225
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.638 3.785 11.49 8.220 8.057 1.661 3.656 10.49 11.21 7.242 4.671
[2,] 6.693 3.785 11.49 9.002 8.571 1.663 3.875 10.74 11.52 9.981 5.334
[3,] 6.735 3.804 11.84 9.495 9.012 1.743 4.032 11.11 11.84 10.089 5.403
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.450 4.266 6.959 10.96 5.599 7.557 7.115 10.80 8.063 14.37 4.827
[2,] 7.629 4.378 7.279 11.28 5.685 8.465 7.929 11.68 8.565 14.37 4.827
[3,] 7.934 4.531 7.448 11.37 5.867 8.841 8.390 12.18 8.993 14.43 4.924
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.12 11.77 2.558 9.095 8.573 5.518 7.663 2.114 8.029 6.204 3.246
[2,] 23.32 12.08 2.616 9.889 9.685 5.733 8.696 2.135 8.838 6.248 3.326
[3,] 23.33 12.91 2.740 11.966 10.681 5.922 9.309 2.164 9.496 6.308 3.366
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.797 7.526 7.692 6.798 5.349 4.402 1.821 4.265 2.076 5.137 4.895
[2,] 9.417 8.393 8.583 6.843 6.344 4.402 1.840 4.288 2.076 5.529 6.085
[3,] 10.018 8.739 8.862 6.851 6.479 4.403 1.840 4.316 2.076 5.689 6.294
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.862 2.999 5.159 6.053 5.791 3.686 6.992 4.833 2.807 5.841 5.096
[2,] 4.102 3.002 6.076 6.260 5.796 3.686 8.223 4.991 2.987 6.587 6.219
[3,] 4.267 3.026 6.483 6.643 5.990 3.686 8.700 5.167 3.093 7.385 6.787
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.237 3.751 5.231 1.798 5.170 2.061 4.194 3.838 4.235 6.012 2.838
[2,] 6.175 5.415 5.231 1.804 5.533 2.079 4.283 3.838 5.222 7.466 2.842
[3,] 6.836 6.720 5.261 1.805 6.660 2.130 4.586 3.861 5.322 7.524 2.843
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.539 4.102 4.676 2.232 7.140 6.564 7.081 7.759 8.263 7.506 6.185
[2,] 6.073 4.103 6.266 2.232 7.235 7.033 7.306 8.381 8.652 8.743 7.630
[3,] 6.202 4.135 6.996 2.236 7.458 7.111 7.483 8.430 8.817 8.867 7.985
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.499 5.933 4.961 6.923 3.610 3.069 2.343 4.602 4.196 9.761 8.582
[2,] 1.534 6.894 5.357 7.317 3.676 3.286 2.344 5.576 4.199 9.820 8.846
[3,] 1.543 7.866 5.531 7.837 3.682 3.362 2.345 5.685 4.236 9.869 9.678
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.526 3.728 3.371 3.044 4.563 2.948 0.9788 13.91 16.26 9.70
[2,] 3.742 4.514 4.611 4.300 4.731 2.948 1.0301 17.26 20.28 9.94
[3,] 3.769 4.668 4.862 4.884 4.955 2.956 1.1091 19.97 21.20 11.19
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.429 4.806 14.59 10.44 10.23 2.109 4.642 13.32 14.23
[2,] 248.564 21.107 86.91 1060.56 844.37 22.832 371.246 669.35 772.75
[3,] 217.196 107.539 818.99 872.25 805.21 150.923 322.160 820.53 790.80
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.197 5.931 9.46 5.418 8.837 13.92 7.11 9.596
[2,] 1984.878 744.252 475.01 284.269 616.572 763.23 285.62 1102.399
[3,] 425.746 248.569 629.80 337.121 456.665 429.34 418.46 737.349
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.035 13.72 10.24 18.25 6.13 16.66 14.95 3.248 11.55
[2,] 1011.096 1283.20 834.88 92.38 12.30 5571.52 785.25 158.713 1121.84
[3,] 793.196 996.05 792.22 375.71 281.31 233.57 1312.93 235.911 1947.24
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 10.89 7.007 9.73 2.684 10.2 7.878 4.122 11.17
[2,] 1301.99 448.583 1188.00 87.149 1067.1 214.162 209.553 971.10
[3,] 1301.60 429.691 960.47 101.423 1004.1 250.768 149.188 987.53
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 9.556 9.768 8.632 6.792 5.589 2.313 5.416 2.636 6.523
[2,] 1073.614 1100.042 226.988 985.854 5.966 76.363 127.432 7.802 590.821
[3,] 703.517 637.370 98.425 379.787 33.908 5.812 142.424 3.348 387.091
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 6.216 4.904 3.808 6.552 7.686 7.353 4.680 8.879
[2,] 1044.535 399.315 42.337 927.264 461.625 71.828 3.779 1250.721
[3,] 464.595 339.112 109.412 653.533 642.194 437.143 21.152 820.938
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.137 3.564 7.417 6.471 6.65 4.763 6.642 2.284
[2,] 360.890 294.989 880.098 1030.343 945.40 1128.501 6.676 40.427
[3,] 385.458 232.194 965.197 785.046 847.27 1150.245 164.012 20.662
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 6.565 2.617 5.326 4.873 5.378 7.634 3.603 7.033
[2,] 569.560 79.767 251.583 3.977 882.797 1279.380 43.279 719.705
[3,] 1071.209 134.044 473.014 121.899 297.797 269.313 27.614 363.544
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 5.208 5.938 2.834 9.066 8.335 8.992 9.852 10.49
[2,] 27.693 1205.093 13.303 338.100 729.904 520.683 915.529 740.71
[3,] 149.360 899.620 35.937 523.652 303.863 467.629 263.316 490.26
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 9.531 7.854 1.903 7.534 6.3 8.791 4.584 3.897
[2,] 1295.588 1291.159 93.973 1014.755 584.0 684.651 201.255 339.701
[3,] 426.819 680.647 49.317 1094.368 397.6 811.415 62.689 204.485
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 2.976 5.844 5.329 12.4 10.9 4.477 4.735 4.28 3.866
[2,] 12.429 909.611 42.156 310.9 619.7 361.988 735.352 909.21 877.653
[3,] 22.893 320.607 162.272 282.7 1134.9 130.714 343.736 446.08 669.440
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.794 3.743 1.243 17.67 20.65 12.32
[2,] 361.582 3.011 92.771 2952.71 3500.69 627.20
[3,] 425.284 61.741 118.848 2900.54 1786.80 1485.98
[1] "--- VAR model 2017-10-04 04:01:00 completed"
[1] "Completed training sample: 2017-10-04 04:01:00 - 2017-10-04 12:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 04:31:00 - 2017-10-04 12:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2066 -0.4555 6.682 -4.333
-0.8665 -0.3537 6.662 7.970
-0.6017 -0.4042 3.269 5.861
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.592 0 1.0911 6.023
-1.237 0 0.9996 -1.790
4.903 0 0.6905 1.029
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.747 1.6630 0.4599 -15.19
3.516 4.9473 2.4578 -12.03
2.412 -0.4967 1.6410 -15.02
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.373 2.352 0.9754 2.654
-2.422 4.979 -0.5587 1.212
-2.240 3.953 0.9008 1.761
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.843 6.195 7.375 11.179
2.819 5.125 9.392 9.774
3.590 3.215 5.654 7.584
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.94429 -0.4973 21.04 14.29
0.08288 -0.2487 11.01 18.57
-0.13542 -0.1238 12.42 5.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.551 13.213 4.990 2.405
1.729 8.575 8.801 2.147
1.334 3.734 5.635 1.000
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.088 -0.32476 -1.184 -0.9079
6.851 -0.32328 5.532 -0.8010
5.578 0.02859 9.458 -0.6042
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.97619 5.408 8.832 4.2124
-0.05302 -2.490 -1.585 4.1489
1.22276 8.152 4.205 0.8668
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0356 6.034 0.16286 1.3695
-0.2693 3.735 -0.03249 -0.2262
0.6989 1.268 0.03526 0.5576
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.1238 -0.11308 0.28782 -1.381
0.1595 0.12532 2.44357 1.044
0.6177 0.05733 0.08861 3.613
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.419 -0.88903 4.563 0.6253
3.478 -0.27274 3.374 1.0910
3.180 0.06529 2.763 0.1363
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.74505 -0.1435 9.2113 7.194
-0.09965 -0.0850 0.1823 7.861
0.26357 0.1160 3.3459 7.060
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.9176 11.497 3.0267 -4.0156
0.2911 2.692 5.1991 9.0056
0.3885 1.728 -0.1958 0.3801
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.536 0.3636 -0.042626 3.7234
2.327 0.9032 0.059131 0.2313
5.541 0.4389 0.006143 5.9665
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.478 5.7151 0.4881 -0.9855
-3.793 2.6311 0.9105 5.1590
-3.738 -0.4249 -0.0724 1.6879
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.957 0.03632 -7.180 -0.9214
5.980 0.07588 3.400 0.9113
2.883 0.03538 2.877 -0.2441
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.386 0.03672 0.4789 -2.4362
-3.009 0.01158 -0.9859 -0.8304
5.672 0.00291 -1.2897 -1.2338
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.373 -0.76972 1.05171 -2.7758
-3.094 2.74142 0.46539 0.7373
-1.272 0.04743 -0.05405 1.4282
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.081 0.05413 0.5263 -1.6952
-1.558 -0.16646 -2.5855 -1.2181
2.104 -0.03483 0.5100 -0.5498
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.4751 0.7409 0.5748 0.1058
-0.2947 -0.6257 1.5565 -0.1029
-1.7541 1.1239 0.1558 -0.0471
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
9.085 -0.06069 1.803 7.190
4.585 -0.86761 2.295 5.912
1.524 -0.38073 1.932 4.242
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.4615 0.4855 1.7753 0.9408
0.3048 -1.1373 -1.1292 0.1737
-0.1169 0.4942 -0.5832 -1.1628
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.2028 -0.44697 -5.967 -2.389
2.1719 0.07087 -6.719 -2.332
-0.4165 0.37923 -6.508 -2.531
rnd_95776.volume rnd_95787.volume
1.754 10.863
8.781 6.215
8.465 5.154
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.734 3.972 11.76 8.356 8.700 1.722 3.710 10.63 11.35 7.326 4.759
[2,] 6.794 3.972 11.76 9.256 9.172 1.723 3.924 10.86 11.66 10.128 5.418
[3,] 6.840 3.996 12.12 9.859 9.697 1.803 4.095 11.25 11.99 10.224 5.486
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.186 4.438 7.104 11.11 5.654 7.739 7.327 11.06 8.329 14.58 4.882
[2,] 7.768 4.605 7.461 11.43 5.741 8.697 8.195 11.95 8.908 14.58 4.883
[3,] 8.158 4.773 7.620 11.52 5.924 9.097 8.708 12.47 9.369 14.65 4.978
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.34 12.38 2.668 9.43 9.038 5.730 7.820 2.234 8.284 6.361 3.379
[2,] 23.78 12.64 2.725 10.34 10.367 5.911 9.032 2.247 9.179 6.396 3.489
[3,] 23.80 13.57 2.827 12.81 11.236 6.106 9.815 2.263 10.033 6.440 3.553
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.964 7.691 7.797 7.039 5.502 4.562 1.962 4.465 2.16 5.273 5.512
[2,] 9.646 8.659 8.788 7.095 6.605 4.563 1.975 4.484 2.16 5.660 6.516
[3,] 10.372 9.121 9.142 7.105 6.733 4.566 1.975 4.504 2.16 5.829 6.842
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.174 3.087 5.654 6.331 6.168 3.800 7.199 5.015 2.876 6.034 5.199
[2,] 4.350 3.089 6.721 6.514 6.171 3.800 8.501 5.184 3.061 6.860 6.417
[3,] 4.592 3.109 7.053 6.915 6.369 3.803 9.019 5.398 3.169 7.747 7.032
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.402 3.828 5.440 1.836 5.309 2.153 4.373 4.014 4.374 6.251 2.944
[2,] 6.352 5.564 5.441 1.841 5.667 2.173 4.449 4.014 5.369 7.768 2.947
[3,] 7.066 6.963 5.458 1.842 6.783 2.207 4.778 4.036 5.471 7.826 2.949
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.683 4.293 4.861 2.314 7.292 6.686 7.470 8.157 8.459 7.556 6.265
[2,] 6.194 4.293 6.486 2.314 7.384 7.159 7.685 8.871 8.829 8.915 7.750
[3,] 6.321 4.337 7.217 2.320 7.589 7.233 7.816 8.936 8.963 9.024 8.150
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.589 6.056 5.056 7.014 3.760 3.115 2.473 4.724 4.377 10.07 8.879
[2,] 1.628 7.041 5.447 7.405 3.819 3.344 2.474 5.735 4.377 10.10 9.168
[3,] 1.635 8.089 5.614 7.953 3.826 3.427 2.474 5.856 4.422 10.17 10.023
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.589 3.772 3.420 3.070 4.724 3.064 1.131 12.92 16.67 10.25
[2,] 3.799 4.565 4.670 4.349 4.878 3.064 1.184 16.31 20.84 10.49
[3,] 3.828 4.715 4.919 4.932 5.089 3.069 1.269 19.01 21.77 12.01
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.551 5.043 14.93 10.61 11.05 2.187 4.711 13.5 14.41
[2,] 238.249 4.727 68.74 1048.28 764.05 9.839 336.465 582.6 701.97
[3,] 207.203 115.954 770.90 893.10 828.29 140.040 308.046 772.1 738.78
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.303 6.043 9.125 5.636 9.021 14.11 7.179 9.828
[2,] 1840.354 681.877 776.673 323.702 599.928 707.14 261.903 1043.938
[3,] 368.281 226.284 655.631 330.362 408.058 367.55 385.104 702.173
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.304 14.04 10.58 18.52 6.20 16.93 15.71 3.388 11.97
[2,] 966.151 1190.89 831.48 88.65 12.83 5182.22 681.97 146.871 1114.98
[3,] 774.654 939.77 763.68 361.12 254.79 223.47 1298.11 197.878 1991.83
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 11.48 7.276 9.93 2.836 10.52 8.078 4.291 11.38
[2,] 1336.14 382.747 1189.26 64.167 1040.05 175.590 229.346 937.74
[3,] 1140.85 402.920 1011.18 70.791 1066.08 198.194 175.579 1003.07
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 9.766 9.901 8.939 6.987 5.793 2.492 5.67 2.742 6.696
[2,] 1047.040 1066.946 234.107 961.661 25.720 60.015 109.45 2.798 541.362
[3,] 754.264 663.052 96.162 343.379 46.776 3.691 111.00 7.316 367.243
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 7.0 5.301 3.92 7.18 8.039 7.833 4.826 9.142 6.369
[2,] 914.3 322.565 31.14 956.28 403.036 49.998 3.832 1189.667 345.224
[3,] 549.6 386.637 92.54 563.37 610.714 414.479 33.095 793.314 396.136
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.652 7.662 6.602 6.86 4.862 6.908 2.332 6.742
[2,] 276.155 858.751 989.732 879.54 1062.692 15.810 35.406 521.371
[3,] 215.283 947.356 757.322 814.58 1101.612 114.722 18.105 980.833
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.734 5.553 5.097 5.554 7.937 3.739 7.216 5.451
[2,] 77.306 214.837 11.873 819.366 1213.712 31.948 648.341 6.456
[3,] 101.776 458.520 109.389 276.626 249.825 32.697 331.894 162.115
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.173 2.938 9.26 8.49 9.486 10.36 10.74 9.595 7.956
[2,] 1130.184 6.919 306.28 673.11 474.662 917.73 665.15 1245.149 1200.708
[3,] 832.479 46.321 461.09 271.88 375.383 283.43 406.83 367.583 663.874
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.018 7.69 6.421 8.906 4.775 3.956 3.141 5.998 5.557
[2,] 93.388 945.58 533.253 625.223 175.675 319.810 12.769 856.162 22.654
[3,] 38.979 1047.54 357.151 763.150 59.113 197.435 12.423 310.687 165.032
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 12.79 11.28 4.558 4.79 4.343 3.898 5.999 3.891 1.437
[2,] 218.30 600.97 327.974 676.80 836.850 810.924 320.554 3.937 92.269
[3,] 313.17 1065.58 121.980 310.85 406.687 611.954 380.898 45.719 119.627
[,96] [,97] [,98]
[1,] 16.41 21.17 13.01
[2,] 2618.33 3290.90 587.59
[3,] 2572.52 1659.78 1540.60
[1] "--- VAR model 2017-10-04 04:31:00 completed"
[1] "Completed training sample: 2017-10-04 04:31:00 - 2017-10-04 12:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 05:01:00 - 2017-10-04 13:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2123 0.96487 -1.257 3.412
0.1146 0.22008 1.579 -3.536
0.9756 0.04666 1.105 4.749
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.259 0.8866 2.716 1.916
13.965 0.8973 1.402 3.581
3.664 0.2998 2.201 5.614
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.217 10.451 3.8299 -8.992
2.897 1.679 0.5540 -10.750
6.637 3.702 0.7157 -9.864
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.380 1.4991 -1.6266 -1.2121
-2.955 0.7780 -0.7977 0.3106
-2.067 -0.2955 -2.1470 -0.1644
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.6606 3.199 9.678 12.722
-0.3648 -2.730 3.674 7.830
-0.8348 1.593 4.429 3.875
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.9666 -0.6084 15.2637 -1.726
0.6797 -0.5499 -0.9919 3.140
-0.2177 -0.1213 2.1435 -1.330
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6890 -3.9572 -4.334 -0.1761
-0.8803 5.7707 3.748 0.5468
-0.6412 -0.2079 1.815 0.8975
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.175 0.3753 2.909 0.2445
-2.627 0.2536 -2.566 -0.2135
5.155 0.1746 3.123 -0.2484
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.02948 5.6091 1.908 2.0812
0.38800 0.3652 2.572 2.4468
-0.02289 -0.4578 -1.336 -0.3488
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.91444 3.3898 -0.02180 0.66002
-0.34907 -3.3184 -0.00997 0.09596
0.07056 -0.5579 0.21963 0.21596
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.2910 0.13168 2.7155 -5.672
0.8631 -0.08638 0.5382 -3.785
-0.2229 0.14024 0.6571 -3.715
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.104 -0.8600 -4.225 -1.191
1.587 -0.6182 -3.758 5.867
1.903 -0.8248 -2.259 2.103
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.2527 -1.7920 -14.271 11.72
-0.5642 -0.4809 7.460 12.99
-0.3085 -0.5052 -3.334 12.37
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.9293 -1.70289 9.290 13.268
1.0100 0.09938 -9.175 -3.684
-0.2863 0.98793 5.315 1.152
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.351 -0.4065 0.02846 -6.642
10.720 -0.2097 -0.05275 3.115
-10.378 -0.1130 -0.08271 4.385
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.445 -2.794 0.2686 2.9451
-3.910 -3.311 1.3271 -3.9326
-4.435 6.497 0.8032 -0.2544
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.892 -0.25324 -1.1924 0.26704
-2.857 0.20724 -0.6882 0.95884
-1.700 0.03983 -3.5354 0.03506
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.586 0.56024 1.031 3.2861
4.411 0.03169 1.943 0.7684
-3.855 -0.01066 2.320 1.3729
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.9868 2.46428 3.812 5.9903
0.7817 0.06974 4.087 0.8393
0.4368 0.51626 3.374 0.2794
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.3371 -0.51113 -1.915 -0.9829
4.3339 -0.01973 5.348 -0.5289
1.2131 -0.14266 0.789 -0.2684
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.99921 -1.2399 2.402 0.1129615
0.03914 -1.0703 -2.190 -0.0696761
2.71152 -0.4068 1.228 -0.0002883
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.6729 1.02675 1.1875 1.964
0.2187 -0.12090 -0.2784 2.250
-2.9845 0.04207 0.9390 3.478
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.63128 0.3942 -0.9628 -1.6468
-0.02241 0.7378 1.2409 0.7920
0.49799 -0.1425 0.1118 0.5025
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.689 -0.3217 -6.485 -2.218
-2.268 0.3501 -6.034 -1.780
4.054 0.4900 -6.488 -1.900
rnd_95776.volume rnd_95787.volume
24.146 -1.257
-7.782 3.807
6.095 -1.687
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.007 4.199 12.08 8.600 11.88 1.808 3.755 10.72 11.52 7.436 4.807
[2,] 7.062 4.201 12.08 9.342 12.27 1.809 3.970 10.94 11.80 10.240 5.473
[3,] 7.101 4.228 12.45 10.165 12.83 1.890 4.138 11.33 12.13 10.333 5.539
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.697 4.497 7.422 11.22 5.699 7.914 7.433 10.48 8.066 14.95 4.900
[2,] 8.377 4.678 7.800 11.53 5.786 8.945 8.301 11.57 8.835 14.95 4.900
[3,] 9.192 4.850 7.976 11.61 5.972 9.349 8.836 12.54 9.319 15.02 4.976
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.66 12.69 2.779 9.558 9.22 6.050 7.979 2.269 8.400 6.619 3.449
[2,] 24.54 12.98 2.839 10.449 10.61 6.237 9.275 2.282 9.391 6.653 3.591
[3,] 24.55 13.89 2.927 13.029 11.61 6.368 10.063 2.298 10.191 6.679 3.657
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.092 7.807 7.926 7.180 5.652 4.809 2.061 4.609 2.222 5.440 5.750
[2,] 9.815 8.810 8.997 7.234 6.805 4.809 2.069 4.629 2.222 5.726 6.809
[3,] 10.518 9.299 9.358 7.241 6.916 4.812 2.069 4.646 2.223 5.820 7.129
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.427 3.187 5.781 6.534 6.411 3.804 7.342 5.253 2.949 6.161 5.292
[2,] 4.527 3.192 6.941 6.731 6.414 3.883 8.728 5.445 3.142 7.048 6.556
[3,] 4.850 3.208 7.292 7.130 6.633 3.917 9.318 5.694 3.257 7.963 7.211
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.573 3.869 5.538 1.954 5.419 2.207 4.531 4.156 5.081 6.433 3.061
[2,] 6.500 5.649 5.538 1.955 5.779 2.226 4.609 4.156 5.547 7.902 3.062
[3,] 7.230 7.059 5.553 1.955 6.933 2.261 4.960 4.181 5.658 7.965 3.070
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.990 4.538 5.157 2.391 7.440 6.926 7.696 8.769 8.585 7.697 6.441
[2,] 6.499 4.539 6.874 2.393 7.529 7.448 7.896 9.370 8.957 9.122 8.082
[3,] 6.550 4.588 7.324 2.401 7.735 7.513 8.010 9.520 9.087 9.190 8.448
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.669 6.141 5.237 7.216 3.836 3.181 2.575 4.837 4.534 10.33 9.095
[2,] 1.701 7.214 5.596 7.665 3.891 3.404 2.575 5.872 4.535 10.37 9.430
[3,] 1.705 8.305 5.742 8.281 3.898 3.487 2.576 6.006 4.577 10.45 10.274
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.642 3.815 3.457 3.117 4.880 3.225 1.225 12.43 17.26 10.49
[2,] 3.844 4.620 4.718 4.391 5.013 3.227 1.270 16.04 21.73 10.78
[3,] 3.870 4.766 4.968 4.981 5.240 3.236 1.373 18.57 22.72 12.27
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.897 5.332 15.34 10.92 15.09 2.295 4.768 13.61 14.63
[2,] 200.842 30.260 25.50 832.70 695.58 14.480 294.063 499.42 581.43
[3,] 171.392 109.753 686.84 914.21 856.52 125.431 266.189 670.09 645.31
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.443 6.104 9.774 5.711 9.425 14.25 7.236 10.05
[2,] 1606.285 597.355 754.345 293.744 547.397 603.63 228.120 951.02
[3,] 316.343 193.734 863.517 292.115 379.865 311.40 337.389 620.23
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.439 13.31 10.24 18.98 6.222 17.35 16.11 3.529 12.14
[2,] 843.468 1122.29 822.56 53.02 16.882 4650.96 632.23 132.645 963.38
[3,] 690.469 1098.04 676.36 340.10 197.671 152.47 1123.64 162.759 1776.05
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 11.71 7.683 10.13 2.881 10.67 8.405 4.38 11.55 9.914
[2,] 1197.27 345.983 1079.12 56.322 958.52 153.880 227.76 843.67 931.308
[3,] 1076.64 292.613 890.90 60.662 902.97 133.812 157.65 862.80 679.329
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.06 9.117 7.177 6.107 2.617 5.853 2.822 6.907 7.301
[2,] 971.75 202.581 864.704 4.830 41.080 96.950 8.783 407.828 832.361
[3,] 586.92 69.402 282.096 38.686 9.816 91.993 5.973 238.147 481.410
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.621 4.047 7.341 8.298 8.141 4.83 9.323 6.67 3.745
[2,] 215.996 42.602 876.369 368.040 49.841 178.21 1076.781 327.02 247.386
[3,] 397.220 73.776 510.559 537.157 385.005 118.38 744.459 379.89 196.057
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 7.824 6.72 7.077 4.913 7.032 2.482 6.882 2.802 5.754
[2,] 780.685 883.00 763.261 939.276 7.634 13.089 458.002 67.397 193.349
[3,] 845.642 684.86 722.215 965.679 92.570 2.314 873.729 90.544 417.670
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 5.277 6.452 8.169 3.887 7.607 5.763 6.549 3.036
[2,] 6.887 508.182 1046.977 15.925 575.374 11.296 1037.109 21.802
[3,] 105.591 254.538 228.581 52.659 185.458 153.011 576.874 45.884
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.448 8.795 9.773 11.14 10.9 9.774 8.179 2.12 7.799
[2,] 263.191 625.405 402.139 753.80 583.3 1117.004 1113.979 73.96 863.783
[3,] 404.627 224.513 308.438 383.07 348.8 255.608 561.244 29.36 938.726
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.65 9.163 4.871 4.04 3.27 6.142 5.757 13.12 11.55
[2,] 449.79 589.532 148.252 276.24 12.45 759.503 21.646 198.75 568.49
[3,] 294.13 715.557 54.847 173.38 13.60 287.848 141.137 289.01 930.38
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.625 4.845 4.39 3.958 6.197 4.095 1.555 15.79 21.92
[2,] 280.081 594.637 732.74 705.614 261.288 23.236 76.413 2311.84 3012.48
[3,] 103.682 266.986 354.60 536.728 347.878 56.245 119.210 2136.55 1512.25
[,98]
[1,] 13.32
[2,] 561.36
[3,] 1341.00
[1] "--- VAR model 2017-10-04 05:01:00 completed"
[1] "Completed training sample: 2017-10-04 05:01:00 - 2017-10-04 13:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 05:31:00 - 2017-10-04 13:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2423 0.3391 3.339 6.374
-1.0528 0.7603 1.548 7.975
-1.4162 0.2321 1.009 3.033
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
5.257 1.774 4.444 -0.4219
17.944 2.418 3.091 -2.0163
17.882 1.476 2.992 2.0540
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.837 4.2076 -3.5133 -16.24
-5.226 -0.4441 -0.4475 -17.86
-4.526 -0.6717 -1.2001 -20.60
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.1677 0.3197 1.7829 1.963
0.9271 2.3984 0.9796 0.480
-0.5089 0.2150 0.1953 1.416
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.431 15.235 40.87 13.335
3.013 3.639 31.77 15.647
3.762 2.563 24.31 9.272
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.3864 -0.7621 1.498 6.534
-0.7234 -0.8572 8.989 1.781
0.1844 -0.1887 3.776 3.857
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.095 10.3786 7.581 -1.0737
0.961 0.5438 3.959 0.1331
0.507 4.2859 3.696 0.4521
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.621 0.45158 3.325 -0.8500
8.545 0.14035 8.282 -1.0259
2.347 -0.07608 4.887 -0.9924
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4614 0.841 1.842 4.287
0.5683 7.405 3.624 3.129
1.6529 6.400 8.143 6.931
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.8866 5.584 -0.003368 0.42431
0.2367 1.289 0.173213 0.06999
-0.1929 2.719 0.103165 -0.06598
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.73552 0.05768 4.9864 -0.1596
2.15635 -0.03417 0.7845 4.5681
-0.03879 0.04674 0.9846 1.6638
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.59293 -0.4181 0.4262 -4.0842
-0.02543 0.1259 -0.9387 4.7951
0.02502 0.4565 2.4115 0.8498
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.277 -0.92131 -1.395 3.911
-1.667 0.05305 4.676 4.229
-0.673 -0.11608 -3.172 3.494
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.191 -0.08984 1.852 0.3551
1.066 4.15799 -1.190 0.1183
-0.595 -0.75931 2.912 3.0688
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.7846 -0.2128 0.05406 6.504
2.0623 0.3676 0.04261 0.285
-0.9502 0.3266 0.02327 2.070
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.687 0.3079 1.5357 5.649
-5.111 3.1949 1.8271 2.704
-4.519 0.6841 0.9035 1.654
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
11.709 0.56940 3.730 -0.36650
2.215 -0.35081 2.267 0.42203
4.421 -0.03408 3.654 -0.08171
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.585 0.32822 2.1898 2.04932
8.184 0.28084 0.1035 0.06008
1.325 0.01821 1.0622 -0.27852
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.1032 3.231 0.8330 -2.45861
1.2939 2.716 0.3202 3.84942
0.5835 1.061 1.2702 -0.04276
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.6053 -0.8229 4.594 -1.8380
0.8137 -0.4511 -1.352 -1.2081
3.0029 -0.4324 2.131 -0.5489
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.4015 0.09235 0.78941 0.10555
-0.5307 -1.13194 -0.01898 -0.07311
1.7997 -0.17792 0.80128 0.01932
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.1749 0.3421 1.0876 4.781
1.6233 0.4589 -0.6482 8.714
2.8973 0.1096 -0.9361 5.664
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.65328 -1.12003 -0.2774 0.9800
0.24378 0.78355 -0.1741 -1.0091
-0.05408 -0.04883 0.7287 0.7627
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1665 -0.3385 -8.732 6.315
3.4517 0.5576 -8.571 5.844
-0.1035 0.1502 -8.797 5.848
rnd_95776.volume rnd_95787.volume
18.237 7.032
-9.821 1.757
10.606 3.752
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.109 4.304 12.23 8.777 14.19 1.893 3.796 10.71 11.74 7.502 4.834
[2,] 7.151 4.307 12.23 9.567 14.47 1.896 4.003 10.95 11.99 10.311 5.532
[3,] 7.183 4.334 12.58 10.518 15.18 1.974 4.179 11.32 12.35 10.403 5.592
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.879 4.572 7.592 11.26 5.803 8.102 7.488 11.12 8.208 15.16 4.910
[2,] 8.655 4.749 7.962 11.56 5.882 9.156 8.356 12.22 8.981 15.16 4.911
[3,] 9.508 4.915 8.153 11.64 6.098 9.516 8.918 13.30 9.525 15.23 4.989
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.09 12.85 2.832 9.706 9.592 6.211 8.146 2.375 8.779 6.794 3.613
[2,] 25.05 13.14 2.893 10.596 11.154 6.405 9.520 2.384 9.908 6.841 3.770
[3,] 25.07 14.07 2.979 13.248 12.045 6.522 10.395 2.397 10.857 6.868 3.823
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.203 8.085 8.119 7.408 5.811 5.014 2.157 4.833 2.275 5.546 5.904
[2,] 9.943 9.073 9.207 7.462 6.957 5.014 2.164 4.854 2.276 5.865 7.006
[3,] 10.713 9.603 9.712 7.462 7.053 5.022 2.165 4.868 2.276 5.961 7.337
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.555 3.253 5.869 6.708 6.717 3.848 7.699 5.406 3.028 6.427 5.531
[2,] 4.682 3.259 7.117 6.904 6.718 3.921 9.066 5.601 3.206 7.340 6.929
[3,] 5.006 3.278 7.490 7.304 6.982 3.955 9.634 5.862 3.307 8.279 7.599
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.748 3.958 5.710 1.951 5.604 2.250 4.739 4.401 5.381 6.600 3.164
[2,] 6.638 5.923 5.710 1.952 5.968 2.270 4.820 4.403 5.874 8.151 3.167
[3,] 7.474 7.440 5.725 1.952 7.239 2.331 5.214 4.425 5.970 8.214 3.174
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.251 4.770 5.285 2.481 7.564 6.953 7.927 8.87 8.914 8.037 6.572
[2,] 6.790 4.771 7.100 2.484 7.625 7.420 8.149 9.48 9.274 9.388 8.357
[3,] 6.850 4.833 7.613 2.490 7.836 7.489 8.240 9.61 9.420 9.482 8.700
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.769 6.193 5.300 7.268 3.894 3.276 2.692 4.963 4.641 10.80 9.182
[2,] 1.799 7.316 5.663 7.696 3.944 3.518 2.692 6.079 4.643 10.86 9.519
[3,] 1.808 8.390 5.804 8.375 3.950 3.598 2.693 6.211 4.682 10.90 10.247
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.686 3.849 3.470 3.127 5.003 3.353 1.346 11.49 17.72 10.68
[2,] 3.879 4.670 4.743 4.416 5.136 3.359 1.388 15.24 22.24 10.95
[3,] 3.905 4.809 5.000 5.020 5.375 3.381 1.500 17.94 23.27 12.46
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.028 5.466 15.53 11.15 18.02 2.404 4.82 13.6 14.9
[2,] 164.364 31.138 24.00 807.07 601.27 21.307 269.42 478.6 523.8
[3,] 143.631 102.669 624.61 927.07 972.06 117.101 254.60 608.1 627.0
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.527 6.139 10 5.805 9.64 14.29 7.369 10.29 9.508
[2,] 1500.163 570.227 760 272.385 509.36 561.74 203.453 904.38 786.886
[3,] 293.578 173.765 835 269.122 371.71 286.26 341.378 549.97 660.568
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.11 10.42 19.25 6.236 17.9 16.32 3.596 12.32 12.18
[2,] 1075.38 773.44 19.48 16.978 4393.6 586.42 125.123 902.00 1207.43
[3,] 1115.68 673.12 315.43 186.167 170.5 1063.29 151.279 1686.54 964.33
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.887 10.34 3.016 11.15 8.627 4.588 11.69 10.27 10.31
[2,] 331.810 1045.02 43.531 974.54 169.385 228.348 798.02 873.50 920.87
[3,] 260.908 885.46 52.039 941.39 131.341 135.135 845.85 667.19 655.72
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.407 7.38 6.367 2.739 6.138 2.889 7.042 7.497 5.784
[2,] 189.825 811.37 19.264 37.982 94.107 12.251 404.729 800.163 229.780
[3,] 14.638 245.04 57.296 4.341 80.508 6.827 226.437 461.989 375.897
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.13 7.453 8.518 8.53 4.887 9.777 6.865 3.846 8.161
[2,] 41.49 854.005 346.552 30.30 159.924 1015.590 311.112 223.056 752.302
[3,] 75.05 494.970 505.800 403.38 109.632 690.858 366.897 172.629 811.925
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.024 7.299 5.026 7.25 2.477 7.117 2.857 6.018 5.588
[2,] 885.281 704.370 934.564 13.83 14.159 435.277 63.923 186.664 33.481
[3,] 661.365 728.715 955.143 88.21 3.221 868.968 112.877 421.296 93.830
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.833 8.38 4.018 7.937 6.057 6.711 3.15 9.605 8.829
[2,] 499.518 1014.79 26.021 562.382 15.972 1005.579 25.88 204.409 550.102
[3,] 226.186 215.12 47.229 191.956 164.024 583.092 37.36 383.041 214.253
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.07 11.26 11.32 10.21 8.346 2.246 7.865 6.73 9.229
[2,] 401.42 709.87 542.79 1029.07 1094.996 70.153 825.910 423.15 536.851
[3,] 258.61 333.11 350.61 282.60 512.956 38.097 871.313 269.59 700.992
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.945 4.161 3.419 6.302 5.894 13.71 11.66 4.68 4.888
[2,] 132.072 271.510 6.169 744.592 24.852 239.46 532.23 256.31 561.014
[3,] 48.014 160.490 7.187 270.528 129.002 205.63 804.49 95.14 243.144
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.406 3.97 6.353 4.258 1.709 14.6 22.5 13.56
[2,] 685.884 661.32 246.506 40.317 71.603 2123.5 2849.4 511.30
[3,] 335.654 506.69 335.931 82.065 120.673 2006.9 1456.2 1260.60
[1] "--- VAR model 2017-10-04 05:31:00 completed"
[1] "Completed training sample: 2017-10-04 05:31:00 - 2017-10-04 13:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 06:01:00 - 2017-10-04 14:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.4013 0.4117 -3.9973 -1.660
0.3405 -1.1200 -0.9720 -1.777
-0.6414 -0.2610 -0.7676 1.743
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.894 1.06945 2.6456 4.427
9.323 0.27610 0.9328 5.419
9.007 -0.07706 1.2393 1.203
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.046 0.2428 3.2673 -10.86
5.259 4.6295 0.1556 -11.18
5.596 3.8118 1.3886 -9.81
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1805 6.217 -0.2438 0.6167
0.7392 3.943 -0.5463 2.6166
0.8831 4.751 0.4615 1.3541
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.549 0.05494 8.253 7.387
6.072 3.40565 11.128 6.397
3.882 2.39849 13.798 8.365
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.48034 -0.7747 1.212 -2.555
0.19873 0.7015 -8.370 -2.156
-0.05878 -0.1059 -1.496 -2.732
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4143 -2.2287 -3.462 5.166
-0.4776 0.2361 -1.031 3.033
-0.5057 -3.5523 -2.392 4.556
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.325 -0.1357 -1.2035 -0.9204
-1.087 -0.4462 -2.2230 -0.6682
1.043 -0.1840 -0.2445 -0.2859
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.20101 -5.302 -0.6218 2.669
0.08357 -3.060 -5.0804 -5.473
0.68667 -1.156 -0.9672 -2.973
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.19586 -0.09505 0.1853 0.03956
-0.06377 3.18607 0.2572 0.19292
-0.04869 -0.33425 0.3980 0.08234
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.0348 0.07420 0.2155 -19.66
-1.4694 0.11172 -1.1681 -10.42
-0.3704 0.09377 -2.2983 -12.32
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.027 0.1171 -9.697 2.032
2.600 0.3723 -10.272 3.949
2.121 1.3126 -5.779 1.659
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.730 -1.412 -12.12621 2.426
1.794 -1.430 2.18283 3.673
1.507 -1.063 -0.09482 2.580
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1713 8.7233 15.180 14.096
0.4524 -4.9943 -8.438 3.870
-0.2632 0.4025 1.618 -3.971
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.020 0.180692 0.17429 3.510
16.063 -0.007449 -0.09234 8.669
-9.995 -0.101461 0.07403 11.190
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.849 5.1724 -0.8052 4.011
-5.014 -0.2212 0.3345 2.800
-5.351 8.0246 1.5276 2.794
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.2245 0.52127 -3.732 -0.667479
3.8635 0.37697 2.887 0.736096
0.8507 0.08384 -1.540 -0.007716
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.035 -0.05835 -0.3681 0.5426
1.541 -0.07210 -1.3136 -1.3329
3.452 -0.01852 -0.5017 -1.0964
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.1676 -1.210 0.6833 -4.5791
-0.6544 -1.118 0.7197 -0.6008
-0.3249 -1.272 0.6046 -1.2871
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.4562 0.16939 -1.7294 -0.6633
-0.2023 0.09831 -2.5511 -0.3794
-0.4636 0.13367 -0.6617 -0.1900
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.6489 -0.9577 3.9556 -0.4021
-3.7190 -1.2281 -1.8237 0.2094
-0.4431 -1.3137 0.4182 -0.2661
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.2699 0.09505 1.5190 2.700
2.1125 -0.58529 1.3545 9.298
-0.8654 -0.04385 0.8824 4.082
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3690 -0.5973 0.7677 1.6764
-0.2802 0.2450 -0.2657 -0.5489
-0.3472 -0.2174 0.1897 0.2719
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.216 0.46294 -8.614 2.386
-3.263 0.08495 -9.164 2.304
5.336 0.39420 -8.822 2.203
rnd_95776.volume rnd_95787.volume
4.959 -2.4125
-5.025 -0.3181
-5.158 -3.2117
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.258 4.366 12.26 8.784 16.31 1.980 3.751 10.63 11.80 7.505 4.826
[2,] 7.286 4.370 12.26 9.548 16.56 1.982 3.957 10.89 12.05 10.278 5.518
[3,] 7.320 4.404 12.63 10.599 17.32 2.067 4.130 11.27 12.42 10.379 5.577
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.909 4.573 7.584 11.42 5.786 8.102 7.530 11.20 8.314 15.32 4.956
[2,] 8.818 4.759 7.980 11.70 5.866 9.145 8.354 12.33 9.126 15.32 4.957
[3,] 9.612 4.933 8.156 11.77 6.087 9.542 8.918 13.53 9.704 15.40 5.040
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.1 12.77 2.884 9.621 9.566 6.244 8.165 2.448 8.926 6.747 3.658
[2,] 25.3 13.07 2.946 10.572 11.167 6.447 9.502 2.456 9.919 6.801 3.792
[3,] 25.3 14.02 3.025 13.301 12.002 6.584 10.428 2.470 10.848 6.829 3.844
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.122 8.166 8.016 7.421 5.816 5.159 2.217 4.953 2.311 5.559 5.901
[2,] 9.851 9.210 9.066 7.453 7.058 5.159 2.224 4.968 2.312 5.895 7.071
[3,] 10.554 9.721 9.561 7.453 7.140 5.165 2.224 4.991 2.312 6.001 7.457
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.730 3.300 5.820 6.837 7.102 3.896 7.821 5.586 3.029 6.468 5.598
[2,] 4.881 3.305 7.233 7.026 7.105 3.970 9.221 5.816 3.199 7.476 7.113
[3,] 5.165 3.324 7.650 7.441 7.400 4.009 9.782 6.095 3.293 8.469 7.731
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.849 3.994 5.834 1.918 5.626 2.478 4.858 4.616 4.892 7.292 3.194
[2,] 6.712 6.008 5.835 1.920 6.040 2.574 4.933 4.619 6.039 8.870 3.196
[3,] 7.637 7.612 5.852 1.920 7.340 2.741 5.350 4.635 6.171 8.919 3.202
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.541 4.940 5.385 2.554 7.653 7.173 7.942 8.957 9.014 8.309 6.933
[2,] 7.098 4.940 7.214 2.556 7.713 7.626 8.185 9.559 9.380 9.712 8.519
[3,] 7.227 4.978 7.957 2.562 7.919 7.684 8.264 9.673 9.516 9.738 8.808
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.805 6.071 5.414 7.228 3.960 3.339 2.791 4.935 4.713 10.96 9.311
[2,] 1.831 7.352 5.748 7.758 4.014 3.585 2.791 6.065 4.716 11.02 9.641
[3,] 1.840 8.461 5.878 8.341 4.020 3.665 2.791 6.172 4.763 11.07 10.502
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.715 3.886 3.531 3.155 5.185 3.521 1.437 10.52 18.21 10.67
[2,] 3.893 4.704 4.795 4.473 5.242 3.531 1.489 14.45 22.77 10.95
[3,] 3.923 4.832 5.048 5.046 5.501 3.550 1.623 16.87 23.82 12.53
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.217 5.545 15.57 11.15 20.71 2.514 4.763 13.5 14.99
[2,] 115.384 33.079 60.15 679.73 519.05 18.159 229.288 430.0 440.83
[3,] 127.919 98.699 546.50 836.61 925.69 106.143 215.003 525.7 546.63
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.53 6.128 10.04 5.807 9.63 14.5 7.347 10.29 9.562
[2,] 1276.28 486.456 708.66 239.008 451.10 464.3 175.737 770.66 657.391
[3,] 262.25 147.202 695.21 236.566 306.21 239.4 295.913 495.40 567.723
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.22 10.56 19.45 6.294 17.91 16.21 3.663 12.22 12.15
[2,] 937.30 683.69 47.72 9.682 3816.26 504.53 108.628 796.58 1047.29
[3,] 1012.83 599.66 291.65 166.274 114.29 923.17 125.205 1466.69 799.35
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.928 10.37 3.108 11.33 8.568 4.645 11.58 10.37 10.18
[2,] 291.985 883.12 36.705 786.16 155.542 181.770 675.57 774.11 769.73
[3,] 243.014 780.87 48.194 798.03 113.171 114.443 688.58 565.27 552.24
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.423 7.385 6.551 2.815 6.29 2.935 7.059 7.494 6.007
[2,] 125.103 726.743 5.709 31.859 70.20 12.387 356.436 707.864 218.970
[3,] 9.285 195.974 47.421 3.555 86.00 3.838 204.232 430.716 306.482
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.19 7.391 8.682 9.018 4.947 9.931 7.094 3.847 8.214
[2,] 32.72 780.231 294.624 39.759 138.460 887.799 293.998 187.162 681.291
[3,] 65.26 452.890 444.993 376.403 102.007 593.381 331.684 141.707 723.008
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.108 7.427 5.072 7.408 2.436 7.144 3.147 6.169 5.861
[2,] 797.552 598.411 815.579 17.815 16.463 399.523 126.546 155.631 32.545
[3,] 550.377 662.004 849.373 80.614 3.383 757.892 171.285 376.310 68.936
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.212 9.26 4.056 8.306 6.273 6.838 3.244 9.718 9.109
[2,] 643.370 917.82 21.511 500.631 6.620 872.470 18.032 174.908 470.633
[3,] 230.683 169.36 34.247 247.757 111.353 609.995 30.430 326.478 170.813
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.08 11.37 11.45 10.55 8.804 2.292 7.709 6.875 9.179
[2,] 360.01 607.14 471.59 913.64 899.609 55.598 753.560 350.682 512.177
[3,] 208.09 268.30 292.04 129.56 407.127 32.302 761.084 224.105 556.697
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.028 4.24 3.543 6.267 5.985 13.92 11.82 4.717 4.935
[2,] 119.936 236.77 10.412 640.689 30.090 206.15 454.76 211.946 481.747
[3,] 40.123 139.00 3.065 208.549 121.592 193.70 756.95 87.164 200.594
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.484 4.007 6.585 4.471 1.825 13.36 23.13 13.55
[2,] 589.637 576.203 140.212 50.302 70.461 1801.13 2484.42 443.59
[3,] 286.721 424.327 303.225 66.124 117.666 1580.03 1267.12 1107.20
[1] "--- VAR model 2017-10-04 06:01:00 completed"
[1] "Completed training sample: 2017-10-04 06:01:00 - 2017-10-04 14:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 06:31:00 - 2017-10-04 14:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.9059 -0.25645 1.5571 0.7861
-2.0268 -0.26750 -0.8822 1.7724
-0.2318 -0.05939 -0.6290 -0.1610
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.777 3.382 -0.6700 7.938
10.228 2.955 -1.0799 3.483
16.674 2.241 -0.5039 5.975
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.782 8.334 1.42802 -11.508
1.474 3.980 0.72923 -8.422
3.156 1.996 0.03049 -13.874
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.964 1.474 0.58292 1.83911
-1.389 3.537 0.08756 1.50852
-0.486 2.574 1.25154 -0.09616
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.687 6.0611 11.88 4.422
1.678 5.4848 16.09 11.338
4.120 0.7974 11.81 11.484
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.1860 2.8104 -6.655 -0.3245
0.3792 3.1719 2.933 1.0611
-0.1606 0.3172 -2.233 1.5183
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.3151 -1.070308 3.7984 -0.5587
1.3413 0.008212 -1.9711 0.8007
0.7997 0.920925 -0.3916 0.4173
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.353 0.39981 2.13256 -1.6250
1.526 0.02744 -0.04982 -1.7004
-0.771 0.04538 -1.50354 -0.8336
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.9099 7.6746 6.7474 5.0826
0.2789 0.4121 0.8333 0.4316
0.4292 0.3015 1.1452 1.1326
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.085649 -13.031 5.462 -0.02477
-0.076598 4.311 3.393 -0.10773
0.001914 2.195 2.892 -0.06180
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.0732 -0.08616 2.1006 -13.688
0.1672 -0.18284 1.0021 -3.363
-0.1204 0.05623 -0.3889 -5.783
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.388 0.38289 -2.463 7.184
1.608 -0.02656 -8.369 -3.520
1.699 -0.25759 -1.263 1.560
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.46357 -1.4191 0.6848 10.48
0.07797 -0.2814 -5.4184 10.43
0.46245 -0.8914 5.9513 10.34
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.390 12.336 9.8798 6.483
-1.430 -7.018 -0.2844 8.536
1.124 3.539 -3.5360 -7.615
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.3004 -0.6696 -0.03229 13.768
9.6753 -0.5407 0.05264 3.322
-0.3872 -0.2313 -0.03304 8.495
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.135 2.399 0.6841 -0.2094
-4.732 5.406 0.3219 7.2068
-5.214 3.478 0.2641 3.0096
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.655 -0.16460 -2.4547 1.5889
4.461 0.04912 0.9675 1.3517
5.490 0.10043 5.8864 0.3753
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.2442 0.36558 -3.779 -1.816
0.9015 0.17101 -3.231 -1.294
4.7265 0.03905 -1.546 -0.913
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.963 -4.842 3.281 -0.8021
-1.742 -3.665 3.603 -2.5536
-1.072 -3.083 1.930 -2.3568
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.074 -1.2139 -7.797 -1.4793
-1.827 -0.8072 -1.071 -0.8395
-1.311 -0.7075 -2.954 -0.4458
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.556 -1.4597 3.2463 -0.1481
-4.564 -0.4766 0.3893 -0.9884
-1.162 -0.5018 -0.7903 1.4391
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.219 0.16215 0.8580 -6.0663
-3.636 -0.42647 -1.0257 4.1133
5.301 -0.01025 -0.6017 0.8028
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7263 -2.421 -3.720 -3.837
-1.3435 -1.429 -1.380 -1.843
-0.7724 -1.616 -1.429 -1.018
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.4296 0.38633 -8.393 4.609
3.3823 0.05149 -8.125 3.878
-0.1065 0.02739 -8.782 3.372
rnd_95776.volume rnd_95787.volume
-24.54 0.4292
20.84 -0.4299
-17.29 1.6134
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.069 4.488 12.06 8.477 17.94 2.109 3.683 10.66 11.69 7.035 4.779
[2,] 7.097 4.496 12.07 9.385 18.11 2.115 3.874 10.91 11.89 10.089 5.484
[3,] 7.143 4.522 12.41 10.723 18.84 2.210 4.063 11.23 12.20 10.158 5.535
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.884 4.512 7.377 11.25 5.743 7.987 7.568 11.17 8.279 15.28 5.251
[2,] 8.737 4.678 7.749 11.47 5.822 9.105 8.321 12.27 9.128 15.28 5.256
[3,] 9.538 4.849 7.899 11.51 6.038 9.349 8.867 13.38 9.688 15.37 5.343
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.45 12.62 2.988 9.738 9.133 6.348 8.046 2.504 9.254 6.643 3.652
[2,] 25.08 13.07 3.048 10.649 10.806 6.599 9.441 2.510 9.954 6.721 3.785
[3,] 25.09 14.03 3.129 13.326 11.798 6.794 10.275 2.526 10.927 6.769 3.842
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.022 8.078 7.881 7.323 5.891 5.591 2.270 5.153 2.320 5.360 5.955
[2,] 9.755 8.928 8.896 7.345 7.268 5.643 2.277 5.192 2.321 5.659 6.902
[3,] 10.397 9.482 9.291 7.345 7.352 5.724 2.277 5.222 2.322 5.755 7.337
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.806 3.264 5.901 7.019 7.271 4.009 7.865 5.825 3.074 6.537 5.567
[2,] 4.945 3.267 7.363 7.249 7.272 4.076 9.284 6.082 3.244 7.645 7.283
[3,] 5.256 3.282 7.707 7.723 7.566 4.114 9.840 6.361 3.340 8.617 7.943
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.820 3.781 5.971 1.944 5.650 2.548 4.975 4.799 4.965 7.581 3.228
[2,] 6.845 6.168 5.971 1.946 6.008 2.651 5.050 4.805 6.105 9.051 3.229
[3,] 7.786 7.797 5.984 1.946 7.478 2.807 5.497 4.819 6.259 9.087 3.230
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.539 5.175 5.422 2.604 7.553 7.184 7.970 8.907 9.042 8.540 6.991
[2,] 7.075 5.177 7.219 2.604 7.601 7.577 8.185 9.510 9.370 9.949 8.713
[3,] 7.220 5.229 8.107 2.610 7.808 7.632 8.268 9.616 9.521 10.020 9.011
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.874 5.992 5.438 6.976 3.938 3.377 2.712 4.868 4.809 11.10 9.145
[2,] 1.900 7.396 5.778 7.569 3.979 3.655 2.713 6.086 4.811 11.15 9.689
[3,] 1.906 8.455 5.891 8.124 3.986 3.748 2.768 6.219 4.848 11.19 10.330
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.747 3.912 3.596 3.134 5.368 3.560 1.501 8.879 18.30 10.56
[2,] 3.907 4.682 4.813 4.461 5.405 3.575 1.558 12.154 23.06 10.97
[3,] 3.939 4.799 5.043 5.010 5.680 3.590 1.701 13.899 24.10 12.43
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.977 5.699 15.31 10.77 22.78 2.678 4.677 13.54 14.85
[2,] 89.820 38.616 75.29 576.85 355.68 24.352 172.025 329.06 307.24
[3,] 116.376 69.986 414.67 742.82 743.64 91.448 175.634 385.09 395.91
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.933 6.069 10.01 5.73 9.368 14.29 7.293 10.14 9.61
[2,] 1035.759 385.329 539.45 177.11 339.960 319.57 137.038 626.23 495.58
[3,] 169.773 106.843 547.82 182.73 219.376 137.73 229.133 303.73 438.81
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.18 10.51 19.40 6.668 17.08 16.02 3.794 12.37 11.6
[2,] 728.98 550.58 46.79 35.290 3031.28 484.85 86.668 617.33 827.2
[3,] 762.85 465.18 231.26 137.397 106.25 733.86 100.880 1147.43 678.5
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.061 10.22 3.18 11.75 8.436 4.637 11.46 10.26 10.01
[2,] 258.366 707.45 24.74 525.45 146.227 142.769 531.15 544.51 591.15
[3,] 231.319 580.72 40.79 645.60 115.363 94.343 515.19 457.51 384.23
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.299 7.481 7.099 2.882 6.544 2.947 6.806 7.562 6.103
[2,] 80.721 609.749 109.463 25.948 91.486 8.945 260.086 499.733 166.486
[3,] 9.520 158.540 137.791 2.912 79.709 5.447 150.230 356.443 255.177
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.145 7.494 8.913 9.233 5.09 9.987 7.397 3.904 8.3
[2,] 18.151 630.665 259.612 22.485 106.03 706.582 250.341 148.186 568.0
[3,] 44.612 326.103 381.663 299.217 79.11 467.072 267.204 113.933 569.3
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.069 7.391 4.802 7.582 2.468 7.175 3.236 6.317 6.094
[2,] 672.656 516.080 697.886 13.555 14.215 292.381 104.716 124.365 34.561
[3,] 454.104 531.446 683.263 55.392 4.716 637.894 132.285 311.158 52.781
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.305 9.626 4.099 8.304 6.572 6.886 3.307 9.591 9.122
[2,] 508.868 708.467 7.754 386.897 18.954 682.508 4.343 122.028 345.278
[3,] 197.893 116.029 14.831 206.267 105.411 528.603 24.396 255.887 130.913
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.12 11.31 11.48 10.84 8.877 2.379 7.608 6.906 8.859
[2,] 266.56 477.53 352.08 731.11 744.960 44.687 621.056 279.663 420.539
[3,] 167.70 204.12 242.54 170.13 329.151 22.733 587.000 164.901 422.873
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.00 4.288 3.444 6.182 6.106 14.09 11.61 4.758 4.968
[2,] 82.02 200.475 10.890 523.261 24.151 156.10 458.76 158.927 368.381
[3,] 33.58 118.527 78.694 182.747 85.030 140.00 513.28 71.024 150.706
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.567 3.98 6.817 4.521 1.906 11.28 23.23 13.41
[2,] 458.053 454.74 90.785 46.556 59.537 1188.76 2009.51 424.58
[3,] 215.890 326.67 250.120 46.701 97.987 965.73 1006.61 837.58
[1] "--- VAR model 2017-10-04 06:31:00 completed"
[1] "Completed training sample: 2017-10-04 06:31:00 - 2017-10-04 14:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 07:01:00 - 2017-10-04 15:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.5478 0.42226 -3.059 -14.248
-0.5074 0.39604 -1.402 -3.160
0.6417 0.08351 -1.535 -9.377
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.6312 0.9843 -0.22714 -3.062
5.2847 1.1805 -0.58061 -3.212
5.7998 0.7070 0.01136 -5.335
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.128 -8.7657 -2.17918 -19.94
-3.597 -0.8417 -0.02901 -19.87
-3.677 -2.9754 -0.48774 -20.26
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.056 -5.57020 -0.2573 -1.863
-3.569 -1.05907 -0.7347 -3.208
-2.715 -0.07414 -0.9166 -1.927
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.324 -3.382 2.597 6.971
-6.581 0.433 7.951 6.400
-4.605 -4.632 5.061 8.046
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.3358 0.6085 -13.907 -3.264
-1.2657 -0.1588 -5.470 -6.287
0.3582 0.1189 -3.679 -1.584
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.9451 -3.082 -4.049 -0.1424
0.9320 -7.263 -8.901 -1.2225
0.7198 -5.247 -5.736 -2.7452
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.395 -0.02455 -7.806 6.378
-3.031 -0.29273 -9.591 4.957
-8.467 -0.01516 -6.752 3.497
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.5844 -5.527 -0.4217 0.6997
-2.3324 -8.118 -11.0112 -7.3883
-1.4225 -3.936 -2.6970 -3.4167
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.129 8.7614 12.660 -0.10250
2.244 -0.0467 9.431 0.08696
1.650 2.6714 6.543 -0.07599
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.738 0.08285 1.5578 -4.382
2.156 0.06109 0.1514 -5.080
1.859 -0.00380 -2.4266 -3.887
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0557 0.8757 -3.632 1.0867
0.4157 0.2402 -3.451 5.9677
0.5223 -0.1771 -3.948 0.4717
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.9921 -1.4893 4.999 5.672
0.9763 -0.3590 -5.000 7.800
0.7176 -0.1202 -1.322 7.747
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8581 2.6143 -5.376 -6.9564
-0.2926 0.6043 3.452 3.7565
-0.1423 -2.7082 -3.192 -0.5058
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.3448 0.9983 0.006761 6.3090
-5.8771 0.2355 -0.185704 -0.6473
4.7445 -0.4804 0.013607 -2.9311
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.243 1.614 0.9016 3.2937
-5.129 1.932 0.9528 1.9135
-6.128 -3.355 0.3483 0.2724
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.769 -0.3237 10.642 0.006057
2.151 -0.3549 -0.262 0.093141
2.913 -0.2922 2.328 0.036310
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
14.483 0.19152 0.08077 1.3862
3.428 0.21583 0.53955 -0.4364
1.752 0.07879 0.66149 0.6498
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.4171 0.5545 5.117 1.938
0.7362 -1.7050 4.557 1.209
0.3579 -0.7426 3.539 -0.848
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.4742 0.29517 -7.2454 6.086
2.2914 0.01321 1.9905 3.620
0.4937 -0.09026 0.5381 1.944
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.1005 -0.5010 -1.7645 0.5450
0.5922 -0.6890 0.6160 0.6166
1.7907 0.2525 -0.7916 0.4296
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.417 -0.02653 7.065 -6.304
2.343 0.73309 5.317 -2.113
1.598 0.11906 4.004 -6.176
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.19746 -0.8744 3.1243 3.4624
-0.35595 0.9658 -0.6715 -0.7967
0.09645 -0.1541 0.2636 0.4941
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.548 1.5684 2.4142 1.07256
3.101 -0.3074 -0.6599 0.02968
-1.659 -0.5038 1.3684 0.91052
rnd_95776.volume rnd_95787.volume
-5.103 -3.962
-3.208 -6.502
7.412 -1.985
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.083 4.597 11.92 8.516 18.92 2.214 3.634 9.922 10.86 6.670 4.716
[2,] 7.109 4.613 11.93 9.497 19.04 2.219 3.808 10.043 10.93 9.124 5.275
[3,] 7.151 4.644 12.22 10.719 20.06 2.315 3.981 10.458 11.35 9.167 5.315
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.596 4.559 7.180 11.01 5.584 7.994 7.479 11.16 8.949 15.06 5.199
[2,] 8.236 4.717 7.667 11.20 5.705 8.947 8.220 12.19 9.696 15.06 5.200
[3,] 9.067 4.880 7.733 11.22 5.907 9.213 8.656 13.09 9.991 15.12 5.283
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.19 12.61 3.006 9.803 9.142 6.354 8.029 2.556 8.624 6.805 3.549
[2,] 24.77 13.02 3.071 10.570 10.603 6.501 9.537 2.558 9.510 6.936 3.625
[3,] 24.78 13.90 3.145 13.228 12.705 6.643 10.333 2.568 10.464 6.957 3.730
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.777 7.933 7.669 7.721 5.977 5.859 2.308 5.517 2.325 5.475 5.987
[2,] 9.488 8.854 8.806 7.820 7.318 5.995 2.315 5.706 2.327 5.765 6.976
[3,] 10.246 9.439 9.269 7.848 7.427 6.190 2.315 5.765 2.327 5.865 7.406
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.809 3.191 5.855 7.276 7.593 4.014 7.868 6.179 3.064 6.564 5.649
[2,] 4.949 3.192 7.438 7.474 7.597 4.068 9.363 6.412 3.225 7.763 7.369
[3,] 5.271 3.198 7.793 7.884 7.920 4.102 9.999 6.671 3.322 8.876 8.042
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.817 3.549 6.045 1.958 4.903 2.677 4.981 5.028 5.013 7.681 3.194
[2,] 6.841 6.356 6.045 1.960 6.089 2.777 5.047 5.030 6.103 9.100 3.195
[3,] 7.789 7.921 6.051 1.961 7.519 2.928 5.623 5.041 6.274 9.139 3.196
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.627 5.281 6.180 2.645 7.433 7.313 8.073 8.692 8.877 8.241 6.663
[2,] 7.123 5.294 7.626 2.645 7.461 7.649 8.224 9.345 9.130 9.765 8.547
[3,] 7.247 5.388 8.249 2.647 7.631 7.691 8.267 9.451 9.226 9.846 8.915
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.965 5.970 5.483 7.096 3.887 3.428 2.840 5.032 4.949 11.12 9.265
[2,] 1.993 7.290 5.873 7.625 3.917 3.686 2.842 6.192 4.958 11.23 9.755
[3,] 1.997 8.457 6.023 8.201 3.926 3.776 2.890 6.321 4.994 11.28 10.409
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.586 3.857 3.559 3.202 5.280 3.687 1.921 3.836 18.39 9.425
[2,] 3.757 4.454 4.686 4.424 5.365 3.704 2.060 3.891 23.43 11.090
[3,] 3.798 4.585 4.865 4.802 5.751 3.726 2.201 4.023 24.45 12.232
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 8.995 5.837 15.14 10.81 24.03 2.812 4.615 12.6 13.79 8.47
[2,] 76.327 49.579 64.57 534.68 273.47 19.769 144.832 198.3 164.85 791.88
[3,] 99.485 68.777 333.99 632.07 803.93 83.961 147.411 371.1 388.89 112.11
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19]
[1,] 5.988 9.646 5.789 9.118 13.98 7.091 10.15 9.497 14.17
[2,] 300.698 404.671 154.278 342.045 264.50 148.758 511.08 433.929 622.49
[3,] 83.039 482.527 159.113 128.523 80.80 194.483 279.84 344.810 605.93
[,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 11.36 19.12 6.601 16.75 16.02 3.817 12.45 11.61 8.068
[2,] 474.95 15.07 17.323 2666.31 412.62 80.093 502.58 683.16 174.808
[3,] 306.40 175.38 118.733 101.58 619.25 86.190 1011.56 890.13 174.344
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 10.2 3.246 10.95 8.641 4.506 11.15 10.07 9.738 9.804
[2,] 654.4 14.735 509.69 170.903 94.108 458.30 500.09 550.501 158.081
[3,] 505.9 28.451 555.41 69.370 111.533 492.05 415.97 367.814 84.395
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 7.59 7.44 2.931 7.005 2.953 6.952 7.602 6.106 4.052
[2,] 536.97 161.33 22.661 185.492 11.141 229.926 455.571 148.612 7.028
[3,] 161.67 196.36 3.713 105.133 5.633 137.093 316.097 231.012 26.557
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 7.435 9.239 9.642 5.097 9.992 7.847 3.891 8.335
[2,] 583.490 217.306 31.923 84.229 645.383 217.760 128.159 527.106
[3,] 295.783 319.191 284.750 66.765 446.473 233.999 101.212 547.430
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.173 7.387 4.507 7.676 2.487 6.226 3.399 6.325 6.384
[2,] 601.835 457.936 670.513 7.683 10.447 459.177 93.966 103.887 21.840
[3,] 409.679 473.640 601.247 35.962 7.010 561.113 118.235 315.423 41.221
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.366 9.754 4.055 8.416 6.706 7.848 3.358 9.439 9.287
[2,] 442.597 620.643 9.960 332.084 46.998 568.221 6.690 82.351 285.071
[3,] 185.058 106.955 11.476 170.058 127.899 400.090 13.408 203.757 102.844
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.25 11.04 11.27 10.46 8.46 2.495 7.581 6.962 9.011
[2,] 199.96 436.41 271.65 666.37 680.95 42.628 531.996 267.685 354.876
[3,] 107.29 179.43 168.88 160.09 322.22 16.645 545.380 170.435 384.162
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.936 4.354 3.607 6.39 6.284 14.12 11.77 4.554 4.898
[2,] 61.993 172.251 13.628 458.91 39.775 202.19 388.28 142.628 283.093
[3,] 33.290 104.147 66.525 161.24 75.839 141.48 461.91 70.711 138.811
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.519 4.067 6.705 4.681 2.439 4.871 23.35 11.97
[2,] 387.785 388.130 121.403 46.140 94.643 82.789 1845.88 743.43
[3,] 166.317 237.687 263.362 51.416 98.759 130.273 888.46 656.28
[1] "--- VAR model 2017-10-04 07:01:00 completed"
[1] "Completed training sample: 2017-10-04 07:01:00 - 2017-10-04 15:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 07:31:00 - 2017-10-04 15:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.056 1.52610 1.411 2.582
1.747 -0.45114 -2.062 -7.699
1.202 0.03414 -1.962 -7.807
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.928 -1.851 1.3200 1.2141
14.395 3.336 0.9481 0.7279
1.197 1.050 0.6887 0.6615
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.3263 2.9352 4.22138 -13.79
-0.4032 0.4720 -0.08523 -18.22
0.9012 0.5642 0.28789 -17.33
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.6152 0.6821 -1.845 0.1453
-1.7023 1.3520 -2.176 -0.2555
0.6382 -2.0560 -2.029 -0.7284
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.9277 1.2546 2.4279 1.393
-1.0152 -2.6991 -0.3490 3.459
-0.4627 -0.4276 0.9584 1.140
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.7393 -0.2701 -21.899 -3.839
-0.7335 -0.4782 2.828 -3.462
-0.2251 0.2005 -4.160 -1.746
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.21444 -2.3136 -7.796 0.9373
0.06738 -8.3254 -7.729 2.6306
0.20204 0.2514 -1.151 1.0261
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.2705 -0.05579 6.012 16.50
-4.6300 -0.38691 -4.123 14.37
-7.6541 -0.49926 -5.992 11.88
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7188 2.260 -5.651 -4.996
0.3014 -2.752 3.347 2.831
-1.0910 -4.454 -4.015 -5.690
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.039 -2.377 -2.509 0.065083
1.793 2.151 -2.501 0.005293
1.075 1.859 -2.231 0.001649
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.330 -0.0471798 -1.6420 -13.35
-1.119 0.0457093 -2.3485 -13.57
-0.690 -0.0006472 0.6059 -15.15
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.175 -0.25847 -11.272 7.1239
2.294 -0.06562 -8.253 -2.7996
3.037 -0.01118 -8.765 -0.1198
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.530 0.3692 1.805 8.157
4.319 0.1653 -11.421 7.645
1.983 0.6000 2.374 9.410
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.35036 5.572 2.376 1.169
-1.90881 -8.725 1.309 4.655
0.09138 -2.097 -7.220 -9.044
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.716 -0.4181 0.1874 4.5248
2.107 -0.7901 -0.2535 0.5107
1.591 0.1219 0.4570 1.9749
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.324 3.45722 0.18073 -5.597
-5.331 3.98962 0.22541 4.331
-5.732 0.03507 0.03998 1.882
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.058 0.69248 -6.069 0.2328
3.026 0.35686 -1.016 0.2060
2.676 0.08204 3.929 0.1276
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.540 0.25767 2.115 3.951
-4.725 0.15798 2.019 2.124
3.287 0.04341 1.099 1.627
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7209 7.462 1.9661 5.585
0.7034 3.771 -0.8886 3.405
0.5416 2.587 0.1427 2.362
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.743 0.7491 5.556 1.2912
5.662 0.1880 5.955 0.8316
2.276 0.2588 3.043 0.5317
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.977 -0.1439 0.2299 -2.773
2.841 -0.9274 0.3201 -1.106
3.702 -0.3487 -1.7163 0.669
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.8164 1.3686 6.733 0.9860
-0.3509 -0.4486 4.760 4.2977
1.8330 0.1458 3.034 -0.4935
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2638 -0.7421 1.2131 0.9060
-0.6481 0.3782 -1.0461 -0.9110
-0.1468 -0.3531 0.2552 0.7365
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.08176 -0.13483 -0.654 1.0951
3.43988 -0.08627 -1.731 -0.6839
0.57583 -0.17628 -1.453 -0.8262
rnd_95776.volume rnd_95787.volume
-37.731 -7.739
3.729 -4.301
-16.210 -2.345
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.149 4.792 11.59 8.282 20.34 2.559 3.434 8.811 9.602 6.437 4.674
[2,] 7.156 4.795 11.59 9.456 20.56 2.560 3.557 8.815 9.671 8.618 5.287
[3,] 7.183 4.831 11.76 10.804 21.57 2.727 3.715 8.904 9.688 8.650 5.356
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.959 4.537 6.894 11.04 5.734 7.346 7.186 12.09 8.906 13.01 5.156
[2,] 8.398 4.704 7.384 11.20 5.772 8.284 7.812 12.95 9.569 13.01 5.166
[3,] 9.074 4.857 7.390 11.21 5.910 8.452 8.267 13.22 9.867 13.17 5.211
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.47 12.57 2.999 9.715 8.839 6.620 7.827 2.612 8.514 7.228 3.490
[2,] 24.30 12.94 3.079 10.428 10.858 6.791 9.590 2.612 9.406 7.536 3.567
[3,] 24.31 13.78 3.150 12.933 12.790 7.034 10.509 2.615 10.552 7.844 3.686
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.454 7.791 7.762 7.984 6.185 5.967 2.297 5.674 2.256 5.526 5.977
[2,] 9.183 8.680 8.869 8.172 7.451 6.131 2.305 5.879 2.257 5.822 7.005
[3,] 10.148 9.293 9.347 8.237 7.505 6.343 2.306 5.968 2.257 5.918 7.419
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.867 3.177 5.789 7.374 7.698 4.049 8.181 6.704 3.056 6.612 5.718
[2,] 5.005 3.178 7.303 7.579 7.700 4.050 9.560 6.883 3.201 7.938 7.611
[3,] 5.240 3.180 7.668 7.943 8.003 4.050 10.162 7.203 3.287 9.007 8.244
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.679 3.509 6.095 2.012 5.696 2.823 4.935 5.134 5.835 8.403 3.332
[2,] 6.784 6.270 6.098 2.013 6.171 2.886 4.994 5.134 6.350 9.070 3.341
[3,] 7.756 7.924 6.110 2.015 7.615 3.100 5.625 5.138 6.468 9.114 3.345
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.750 5.211 6.508 2.657 7.339 7.480 8.326 8.780 8.629 8.348 6.531
[2,] 7.289 5.219 8.303 2.657 7.347 7.811 8.464 9.601 8.751 9.712 8.395
[3,] 7.359 5.318 8.569 2.661 7.431 7.860 8.529 9.699 8.882 9.775 8.818
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.993 5.884 5.453 7.152 3.928 3.484 2.935 5.309 5.076 11.05 8.951
[2,] 2.017 7.312 5.870 7.672 3.945 3.742 2.935 6.305 5.077 11.20 9.492
[3,] 2.022 8.459 6.039 8.309 3.949 3.822 3.003 6.396 5.119 11.28 10.008
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.507 3.840 3.687 3.439 5.244 3.686 2.467 3.864 18.33 9.368
[2,] 3.515 4.302 4.599 4.356 5.259 3.714 2.636 3.926 23.28 10.959
[3,] 3.587 4.359 4.688 4.677 5.561 3.740 2.831 4.040 24.22 12.035
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.079 6.085 14.72 10.52 25.83 3.250 4.361 11.19 12.19
[2,] 38.057 21.320 11.73 556.99 366.47 6.047 113.299 34.76 140.14
[3,] 75.490 72.429 236.42 637.79 796.03 114.991 130.478 153.35 71.81
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.174 5.935 8.837 5.762 8.754 14.02 7.281 9.328
[2,] 699.358 301.530 573.722 151.443 323.069 231.72 81.021 467.329
[3,] 90.825 104.817 419.519 147.833 36.683 59.68 155.438 205.007
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.125 15.35 11.31 16.52 6.548 15.83 15.96 3.809 12.34
[2,] 373.967 565.96 427.29 21.43 39.123 2545.75 376.24 84.991 462.56
[3,] 330.214 322.63 293.46 249.51 83.550 83.08 579.40 81.258 933.72
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 11.22 8.406 9.939 3.317 10.81 9.179 4.432 10.73 9.893
[2,] 769.68 185.243 676.236 5.297 488.14 260.499 90.339 437.88 467.198
[3,] 825.01 223.593 524.741 16.281 583.66 265.488 113.310 527.12 405.096
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.856 10.14 7.854 7.577 2.917 7.205 2.865 7.017 7.589
[2,] 523.899 213.16 507.129 172.189 22.917 187.764 5.628 223.589 445.966
[3,] 359.929 125.63 110.293 198.469 7.467 125.359 2.520 129.887 298.096
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.18 4.035 7.352 9.363 9.775 5.141 10.39 8.513 3.881
[2,] 142.66 9.137 543.226 214.141 24.070 10.680 603.71 189.989 116.442
[3,] 189.26 15.125 285.543 289.882 266.269 5.894 420.68 259.306 91.037
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.397 7.261 7.211 4.456 7.74 2.555 7.233 3.584 6.266
[2,] 535.972 612.939 453.037 634.147 23.49 7.807 289.986 73.549 93.635
[3,] 519.517 386.746 458.633 591.254 46.31 10.517 544.483 138.175 316.012
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.519 7.41 10.67 4.232 8.571 6.617 8.265 3.374 9.32
[2,] 7.884 305.76 416.56 29.447 335.827 34.954 629.286 3.175 42.35
[3,] 24.904 149.96 109.29 20.267 123.749 124.926 258.696 16.710 136.12
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.499 10.57 11.15 10.96 10.6 8.294 2.531 7.472 6.925
[2,] 274.706 186.07 474.36 178.09 605.7 643.679 37.742 529.668 264.996
[3,] 106.907 128.24 168.11 185.52 135.1 329.411 17.621 519.134 173.476
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 9.082 4.988 4.424 3.726 6.741 6.446 14.03 11.37 4.453
[2,] 338.994 44.309 166.740 7.028 415.175 13.306 229.32 385.73 29.377
[3,] 389.311 21.490 94.791 77.641 131.120 80.013 155.67 387.29 87.670
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.876 4.682 4.367 6.659 4.68 3.133 4.907 23.28 11.9
[2,] 236.782 335.527 326.239 49.523 56.30 113.252 84.897 1751.47 694.1
[3,] 85.617 110.949 207.990 220.657 53.52 126.146 116.073 816.42 607.2
[1] "--- VAR model 2017-10-04 07:31:00 completed"
[1] "Completed training sample: 2017-10-04 07:31:00 - 2017-10-04 15:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 08:01:00 - 2017-10-04 16:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.4742 0.64789 -1.224 5.758
0.7023 -0.11632 -5.869 -2.651
1.4703 0.04453 -4.068 -15.407
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.024 1.8000 3.643 1.605
-3.151 1.2096 3.353 1.968
-6.883 0.9811 2.949 1.908
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.1679 9.3284 3.47898 -6.493
0.4105 -0.4763 -1.24660 -11.380
0.7281 1.2520 0.08323 -10.204
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.250 2.37707 0.05172 -1.627
4.656 1.93428 0.16805 -5.550
2.467 0.08293 -0.01303 -2.857
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.619 0.1372 1.4428 4.4314
-1.012 -1.7244 -0.2456 0.6577
-4.961 0.6025 -0.9701 0.1318
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.527 0.3134 -50.128 -4.268
-5.806 1.8381 -2.582 -12.644
-2.998 -0.6328 -12.717 -1.607
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.1107 -7.6488 -2.577 6.720
0.8758 -19.6734 -17.329 6.615
0.5436 -0.4874 -7.126 5.508
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
3.696 -0.01848 1.4090 21.17
-4.965 0.30353 -0.5219 21.40
-16.440 0.07965 -13.5682 19.51
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4268 -1.7580 -5.355 -9.85071
1.0246 0.5779 1.748 0.01325
-0.5423 -8.1193 -3.708 -0.76460
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.206 -0.5655 2.406 0.03633
-3.762 -2.0153 2.459 -0.05243
-2.690 -2.3733 2.097 0.03142
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.360 0.085724 -2.4575 -6.306
2.225 -0.000418 -1.7483 -11.093
1.295 0.009054 0.4546 -11.042
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.101 0.4210 -10.033 -2.152
3.578 0.3639 1.692 4.118
3.065 -0.5688 -6.708 1.700
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.676 0.2797 5.723 7.834
5.828 0.2986 1.415 8.475
3.749 -0.1136 -1.242 8.733
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.6018 21.007 15.7679 1.414
1.4889 5.283 3.4174 15.237
-0.4394 -2.716 0.9803 3.687
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.268 1.1243 -0.03275 -4.691
15.984 0.9013 -0.01210 -9.739
4.143 0.2764 -0.09217 17.176
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.107 -3.712 0.55831 2.433
-5.232 -3.475 0.39011 -4.126
-4.950 4.050 -0.04928 -4.633
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.4555 1.0918 3.4037 0.2301
-1.8114 0.8083 0.4153 -0.3703
-3.2180 0.3958 -1.9959 -0.2440
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.2907 0.38166 1.879 2.30
0.9082 0.17674 1.516 1.65
-2.4373 0.06013 1.048 1.68
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.1721 3.647 0.6638 8.7029
-0.6966 1.142 0.7700 1.1214
-0.4489 1.106 0.1415 0.9815
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.886 -0.3816 4.310 -7.570
2.977 -0.1051 7.215 -5.210
1.371 -0.1476 1.099 -3.566
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.978 1.964 3.954 -0.9931
5.852 1.401 1.342 1.2063
3.711 1.040 0.492 -0.6786
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.667 0.69892 4.186 -13.69
-2.287 -0.13211 4.856 -14.21
-2.356 -0.08022 2.554 -13.76
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1613 1.9961 -0.5840 -0.77257
1.1368 -0.2563 0.6737 1.28740
0.3878 0.7369 0.4652 -0.07605
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.2189 -0.5797 10.443 -0.8835
-0.8885 -0.1155 12.703 -1.5973
-0.7315 0.4914 8.909 -1.9072
rnd_95776.volume rnd_95787.volume
30.92 -16.454
-12.35 -12.115
14.98 -2.529
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.155 4.861 11.58 7.721 21.89 2.720 3.280 8.589 9.555 6.007 4.634
[2,] 7.155 4.863 11.58 9.153 22.04 2.720 3.392 8.591 9.640 8.436 5.338
[3,] 7.163 4.929 11.70 10.457 23.02 3.016 3.528 8.673 9.644 8.499 5.404
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.755 4.615 6.609 11.18 5.965 7.283 7.101 11.96 8.88 12.35 5.098
[2,] 8.449 4.752 7.168 11.30 6.005 7.968 7.686 13.08 9.75 12.36 5.104
[3,] 9.125 4.902 7.214 11.31 6.139 8.132 8.018 13.37 10.08 12.49 5.149
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.05 12.75 2.999 9.277 8.84 6.765 7.512 2.678 8.460 7.423 3.618
[2,] 23.94 13.01 3.069 10.057 10.59 6.903 9.355 2.678 9.446 7.812 3.756
[3,] 23.95 13.89 3.100 13.022 12.49 7.122 10.288 2.678 10.594 8.276 3.843
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.363 8.402 7.636 7.978 6.492 5.912 2.264 5.682 2.087 5.496 5.853
[2,] 9.235 8.825 8.744 8.291 7.441 6.088 2.269 5.927 2.089 5.818 6.906
[3,] 10.047 9.374 9.250 8.447 7.498 6.308 2.269 6.009 2.089 5.864 7.350
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.968 3.152 5.904 7.338 7.849 4.05 8.224 6.989 3.037 6.637 5.742
[2,] 5.099 3.153 7.423 7.530 7.857 4.05 9.739 7.108 3.171 8.013 7.674
[3,] 5.374 3.157 7.796 7.793 8.191 4.05 10.357 7.539 3.246 9.076 8.360
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.619 3.486 6.180 2.033 5.766 2.875 5.150 5.278 6.025 7.250 3.545
[2,] 6.765 6.283 6.182 2.033 6.215 2.949 5.217 5.278 6.547 8.706 3.571
[3,] 7.777 7.981 6.205 2.034 7.759 3.165 5.887 5.281 6.658 8.759 3.579
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.184 5.104 7.173 2.723 7.349 7.036 8.156 8.153 8.708 7.783 6.257
[2,] 7.656 5.115 8.323 2.723 7.357 7.476 8.244 9.094 8.873 9.293 8.156
[3,] 7.746 5.194 8.601 2.724 7.447 7.482 8.281 9.114 8.924 9.355 8.731
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.021 5.990 5.493 7.155 3.992 3.555 2.915 5.538 4.904 10.93 9.627
[2,] 2.045 7.206 5.952 7.610 4.009 3.798 2.984 6.469 4.904 11.11 10.119
[3,] 2.050 8.498 6.159 8.061 4.010 3.888 3.058 6.544 4.937 11.19 10.738
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.473 3.767 3.582 3.331 5.180 3.708 2.949 3.924 18.67 9.415
[2,] 3.489 4.132 4.348 4.255 5.187 3.743 3.096 3.988 23.50 10.955
[3,] 3.558 4.169 4.407 4.391 5.466 3.776 3.324 4.085 24.36 12.009
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.085 6.173 14.70 9.804 27.8 3.454 4.165 10.91 12.13
[2,] 8.153 13.105 11.58 476.831 251.7 5.951 83.727 19.34 124.04
[3,] 33.996 78.221 166.15 490.649 643.5 126.258 94.280 115.68 30.22
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.628 5.884 8.578 5.86 8.393 14.20 7.575 9.248 9.017
[2,] 574.471 257.087 492.281 110.28 269.132 161.60 66.640 313.720 285.415
[3,] 100.390 82.013 334.377 116.74 78.967 13.18 124.210 157.841 221.474
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.19 11.28 15.68 6.474 15.30 16.19 3.808 11.78 11.23
[2,] 513.97 390.52 34.84 23.577 2006.10 249.62 63.221 376.81 564.98
[3,] 267.55 248.60 178.29 66.187 70.85 472.31 42.984 802.33 643.58
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.59 9.539 3.400 10.74 9.426 4.595 10.62 10.67 9.696
[2,] 133.78 540.769 3.249 407.52 236.323 97.810 380.07 261.99 413.321
[3,] 169.81 415.321 3.908 465.28 265.056 79.041 383.71 306.75 292.722
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.13 8.244 7.507 2.875 7.216 2.650 6.98 7.433 6.309
[2,] 219.17 352.682 141.405 14.220 163.458 9.240 185.07 355.567 111.141
[3,] 156.82 90.448 160.229 4.536 96.399 2.294 71.63 243.922 164.798
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.003 7.497 9.319 9.967 5.142 10.44 8.875 3.857 8.428
[2,] 8.151 436.446 163.798 34.752 5.223 506.00 125.721 88.340 435.551
[3,] 15.478 231.238 194.744 224.955 4.704 342.09 243.685 67.578 413.395
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.292 7.136 4.426 7.848 2.581 7.322 3.65 6.54 6.702
[2,] 493.735 365.313 507.059 15.415 2.901 224.800 64.03 81.08 5.646
[3,] 321.799 372.169 477.264 52.253 8.277 450.623 111.55 264.61 18.885
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.65 9.207 4.502 9.123 6.481 9.109 3.458 9.332 8.935
[2,] 248.65 467.480 42.118 256.620 33.400 409.402 2.908 35.157 244.975
[3,] 117.30 93.328 22.336 114.373 87.344 210.757 8.157 112.085 32.027
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.36 10.35 11.06 9.883 7.946 2.566 7.606 6.975 9.085
[2,] 116.46 390.86 165.68 492.648 507.346 30.283 388.652 222.403 251.674
[3,] 76.34 59.26 92.53 104.630 302.360 13.880 436.794 153.663 257.841
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.070 4.514 3.702 7.032 6.228 13.87 12.22 4.41 4.783
[2,] 35.431 129.830 61.673 324.373 6.599 194.84 302.62 32.88 164.682
[3,] 9.735 80.657 64.945 96.270 54.944 132.15 348.51 67.57 53.865
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.549 4.23 6.577 4.708 3.744 4.983 23.71 11.96
[2,] 239.056 256.77 27.675 49.683 91.702 69.421 1385.00 543.17
[3,] 69.624 105.39 167.175 48.594 117.294 85.602 619.88 477.31
[1] "--- VAR model 2017-10-04 08:01:00 completed"
[1] "Completed training sample: 2017-10-04 08:01:00 - 2017-10-04 16:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 08:31:00 - 2017-10-04 16:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.78059 0.4018 1.962 0.1659
-0.02081 1.4544 2.891 0.4456
0.90507 0.5671 2.789 12.5239
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.048 0.4869 2.769 1.569
1.496 4.5199 2.517 4.251
1.722 0.8208 2.060 3.100
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.9337 9.1981 1.1472 -11.72
1.1726 -0.5143 0.6378 -16.44
0.1333 2.6539 0.4923 -14.58
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.596 0.939913 -0.1073 0.2740
9.379 1.579553 -0.4923 0.7973
6.129 0.005864 -0.2413 0.2876
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.2767 0.4439 -6.0934 -4.680
-0.1035 -0.8536 -1.5311 1.451
-0.1203 -1.7841 -0.8116 2.556
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.375 0.4364 32.337 8.5798
1.834 0.4991 3.143 8.4289
1.424 -0.1546 6.152 0.2356
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.02952 0.2336 -0.7865 -2.2868
-0.18454 13.4548 12.7397 -1.3072
-0.16194 -0.3967 2.7209 -0.1939
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.8474 -0.6146 4.854 1.3750
0.2558 0.6804 -2.419 1.5469
11.9888 -0.8434 8.478 0.2161
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.13064 2.335 1.88221 7.7408
-0.42175 -1.910 1.20351 2.0717
0.05985 5.974 -0.06841 -0.6241
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.032 1.0781 7.764 -0.02337
-3.272 -3.0149 6.544 -0.02088
-2.437 -0.8467 5.528 -0.01368
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.2278 -0.044863 0.5051 3.877
0.5741 0.029485 2.3468 -4.909
0.3286 -0.004876 1.3752 -1.086
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.147 0.4123 -2.970 -2.340
6.390 0.7334 5.857 1.837
5.063 0.3425 -1.254 1.089
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.7710 0.7547 -2.760 5.819
-1.2099 0.7498 4.725 7.000
-0.2339 0.4582 -2.236 6.383
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9330 -5.146 -4.941 -7.993
0.7274 1.740 -2.382 -3.470
-0.4360 -2.184 3.031 3.693
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.2248 -0.40512 -0.2342 -5.831
-6.0714 -0.02773 0.1951 -2.143
-2.3509 -0.06517 -0.0601 -6.282
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.564 -3.851 -0.2600 -4.2317
-1.133 -1.471 0.1720 -4.0302
-2.412 -3.741 0.1362 -0.2846
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.323 0.1492 1.479 0.9510
-3.878 -0.1548 -3.131 0.0135
-1.315 0.1793 -1.652 0.0346
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.188 1.80460 -0.29452 -0.3919
-4.276 1.18182 0.11514 1.1899
-4.027 0.04575 0.01906 0.2656
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.896 -0.22943 -0.08231 3.6449
-2.654 -0.59470 -0.26084 -0.6880
-1.981 0.03355 -0.11905 -0.1264
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.1055 0.25713 -2.6534 -2.888
-0.1007 0.08781 3.0672 -2.622
-0.1856 0.13470 -0.5825 -2.012
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.858 1.10195 -0.9606 -0.6564
1.443 0.06078 -1.2656 0.3711
0.822 0.71896 0.9785 -0.3139
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.310 3.771 -0.3770 -9.252
-1.812 4.216 -0.5479 -10.042
-2.394 1.258 -0.3648 -10.707
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8458 3.8969 4.4225 1.7918
0.1302 -0.6085 -0.3506 1.3255
1.1340 0.1775 0.2697 -0.3952
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.1262 0.4275 -5.055 1.5442
-0.7975 1.0630 -5.345 -0.1101
-2.8215 0.3802 -3.613 -0.1692
rnd_95776.volume rnd_95787.volume
17.96 12.361
-10.12 4.883
10.44 2.408
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.296 4.867 11.34 7.246 23.55 3.031 3.115 8.713 9.576 6.016 4.543
[2,] 7.303 4.868 11.35 8.638 23.84 3.031 3.211 8.714 9.653 8.683 5.271
[3,] 7.315 4.953 11.44 9.880 24.67 3.301 3.296 8.826 9.685 8.784 5.320
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.719 4.744 6.339 11.11 6.025 7.195 6.962 11.03 8.871 13.08 5.106
[2,] 8.507 4.918 6.912 11.23 6.067 7.991 7.669 12.19 9.822 13.08 5.110
[3,] 9.234 5.080 6.963 11.23 6.117 8.185 7.834 12.63 10.196 13.11 5.154
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.72 11.56 2.951 8.369 7.923 6.529 7.074 2.767 8.113 7.518 3.667
[2,] 23.98 12.79 2.990 9.521 9.947 6.615 8.933 2.767 9.195 7.878 3.765
[3,] 23.99 13.74 2.995 12.702 12.031 6.820 9.874 2.767 10.362 8.353 3.857
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.271 8.777 7.864 7.881 6.974 5.938 2.248 5.727 2.027 5.515 5.796
[2,] 9.169 9.180 8.903 8.220 7.653 6.151 2.249 5.978 2.027 5.905 6.831
[3,] 10.121 9.690 9.436 8.424 7.727 6.394 2.250 6.065 2.028 5.960 7.285
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.006 3.100 5.945 7.364 7.979 4.092 8.212 7.366 3.050 6.796 5.890
[2,] 5.152 3.102 7.433 7.547 7.983 4.094 9.708 7.462 3.156 8.068 7.707
[3,] 5.452 3.113 7.810 7.780 8.304 4.095 10.333 8.030 3.215 9.102 8.399
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.737 3.537 6.057 2.030 5.706 2.945 5.208 5.601 5.601 7.508 3.729
[2,] 6.786 6.447 6.061 2.031 6.113 3.023 5.261 5.601 6.876 8.980 3.744
[3,] 7.744 7.948 6.082 2.031 7.772 3.245 6.012 5.601 6.971 9.028 3.771
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.517 5.077 7.814 2.903 7.268 7.344 8.104 7.724 8.861 7.536 6.066
[2,] 8.128 5.107 8.724 2.919 7.279 7.939 8.175 8.876 9.110 9.299 7.978
[3,] 8.279 5.216 9.227 2.948 7.363 7.939 8.212 8.903 9.192 9.333 8.626
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.077 6.214 5.112 7.393 4.044 3.679 2.988 6.191 5.566 10.81 9.914
[2,] 2.099 7.336 5.350 7.981 4.048 3.909 3.125 6.793 5.568 10.99 10.141
[3,] 2.105 8.578 5.529 8.482 4.049 3.997 3.153 6.873 5.607 11.07 10.649
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.696 3.766 3.824 3.404 5.137 3.688 3.588 4.115 18.79 9.688
[2,] 3.698 3.993 4.120 3.969 5.140 3.733 3.876 4.153 23.52 10.987
[3,] 3.748 3.997 4.125 4.015 5.482 3.759 4.174 4.251 24.32 11.790
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.265 6.181 14.4 9.202 29.91 3.849 3.956 11.06 12.16
[2,] 28.498 7.268 40.2 400.473 317.64 4.028 66.445 15.99 104.10
[3,] 35.267 78.286 122.3 408.490 539.36 111.314 63.338 119.77 67.53
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.639 5.769 8.532 6.024 8.05 14.11 7.651 9.136 8.84
[2,] 533.319 227.709 444.452 110.419 234.66 136.87 61.208 296.339 274.05
[3,] 113.366 61.524 305.938 108.578 71.80 15.22 66.661 150.854 136.49
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.01 11.26 16.61 6.483 16.15 14.68 3.748 10.63 10.06
[2,] 440.73 359.10 27.22 17.808 1731.08 466.34 40.831 386.68 512.25
[3,] 284.33 233.48 80.57 57.385 63.35 428.04 15.055 716.21 576.50
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.291 8.983 3.513 10.3 9.547 4.656 10.5 11.15 9.986
[2,] 90.521 464.604 2.918 368.8 200.492 72.732 337.2 229.26 355.580
[3,] 141.705 358.401 4.305 406.8 236.692 71.461 365.2 264.30 266.304
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.01 8.856 7.541 2.854 7.273 2.573 7.003 7.36 6.356
[2,] 199.05 268.401 136.614 7.220 145.951 4.385 179.944 308.03 103.965
[3,] 157.42 91.244 148.874 4.661 87.492 4.910 69.328 215.60 151.950
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.937 7.549 9.351 10.13 5.196 10.43 9.354 3.873 8.63
[2,] 9.206 380.021 141.014 22.99 10.094 441.06 101.921 69.297 370.29
[3,] 22.090 204.364 160.906 194.92 11.281 301.57 252.697 52.042 359.09
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.479 7.286 4.492 7.692 2.578 7.246 3.739 6.614 7.112
[2,] 423.437 308.742 459.026 18.580 2.526 186.786 58.184 63.527 7.543
[3,] 284.449 317.810 396.034 43.858 5.227 408.823 100.529 247.919 6.292
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.112 9.534 4.735 9.546 6.447 9.923 3.687 9.229 9.325
[2,] 339.724 419.694 28.549 263.406 47.287 330.466 25.573 35.047 256.956
[3,] 98.078 79.468 38.933 134.315 90.468 255.930 35.599 94.714 11.705
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.29 9.809 11.25 9.57 7.703 2.637 7.891 6.492 9.388
[2,] 91.97 372.460 180.27 463.95 441.307 26.300 332.134 134.239 256.138
[3,] 66.84 59.498 105.01 68.53 279.523 12.848 378.754 118.961 244.750
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.135 4.671 3.795 7.862 7.067 13.72 12.59 4.693 4.782
[2,] 17.325 112.730 77.940 238.145 15.506 167.80 181.77 11.780 113.146
[3,] 4.251 71.136 36.035 89.071 56.584 120.02 277.03 51.907 15.418
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.856 4.323 6.523 4.683 4.557 5.226 23.87 12.3
[2,] 130.514 173.886 15.912 49.484 124.854 47.647 1204.32 441.5
[3,] 18.059 51.491 162.356 37.889 132.068 77.466 526.38 364.3
[1] "--- VAR model 2017-10-04 08:31:00 completed"
[1] "Completed training sample: 2017-10-04 08:31:00 - 2017-10-04 16:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 09:01:00 - 2017-10-04 17:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.515 1.4723 -0.2092 -0.7018
1.747 0.2575 -1.2523 -0.7168
0.367 0.2482 0.2224 2.4242
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.716 1.5254 0.03995 4.266
-5.156 -0.3030 -0.30009 1.365
-3.111 0.6617 -0.28007 1.326
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.1273 -0.8679 -1.2196 -12.509
0.9810 3.1457 0.6930 -6.296
-0.1342 0.3357 -0.2011 -6.717
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.919 0.7697 1.47758 0.25283
-1.595 0.7874 -0.83000 0.01638
-1.641 0.6804 -0.09056 0.01953
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.90642 0.6738 6.973 9.909
0.09509 0.6030 3.099 11.222
0.24740 -0.2743 5.591 8.808
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.26458 0.7561 7.81927 -1.0910
0.08261 0.2066 -0.03428 2.1681
0.46022 -0.2195 -1.87189 0.1631
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.8693 -5.0581 1.3234 0.0001853
-0.4535 4.1447 0.3076 -0.3422293
0.3243 -0.5859 1.6013 -0.3844268
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.4409 0.218780 5.1333 -3.419
-1.9820 -0.008084 0.2940 -2.513
2.8154 -0.152568 -0.3257 -2.685
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.07147 4.6180 0.3795 -7.001
0.18168 0.2692 0.5406 2.034
-0.19093 -1.3543 -0.7877 -1.055
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.374 -2.856 1.742 -0.044533
-4.209 1.981 1.634 -0.011274
-3.282 3.618 1.224 0.001207
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.723 0.05454 -0.9183 -10.160
-1.861 -0.06728 -0.2268 -7.094
-1.241 0.02676 0.1356 -6.478
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.459 0.50913 -5.864 0.5540
1.204 0.31115 -6.797 -4.0555
1.025 0.06067 -4.042 -0.8463
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.0244 -0.3334 -12.6514 16.35
1.3185 -0.2621 -0.4984 12.99
0.8676 -0.8139 -2.2696 12.59
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.121516 -12.613 -2.771 2.083
-0.013706 -4.269 -8.159 -12.374
0.002732 -2.175 -0.370 -2.753
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
14.795 -0.52895 -0.3316 3.809
-3.915 -0.02053 -0.1435 11.787
-8.931 0.23079 -0.0850 -4.738
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.386 -2.9214 0.10477 -0.9662
-4.963 7.8585 -0.02355 0.4421
-4.610 -0.5628 -0.09635 7.4623
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.921 -0.08179 3.8664 -0.7132
-1.089 0.09078 -1.1148 -0.3544
7.834 0.07750 0.6208 -0.3537
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.3537 3.611 2.196 5.885
-0.3250 3.335 2.995 0.915
0.4253 2.637 1.404 1.371
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.217 6.4279 18.06 1.654
2.891 0.4917 13.99 2.689
1.919 2.1856 11.15 1.761
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.629 0.04959 2.132 7.879
10.781 -0.68673 2.707 6.925
4.928 -0.08736 3.755 4.749
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.594 0.1482 -0.2788 2.6817
5.192 0.1700 -2.3433 -0.5979
7.394 0.6634 -0.2570 0.1599
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.217 1.580842 0.5579 -8.948
-2.021 0.337126 0.6830 -9.001
-1.053 -0.005623 0.8717 -8.123
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.5196 3.7091 -0.5940 -1.2172
1.8885 -0.5572 -0.6404 1.1446
-0.6383 0.4225 0.5380 -0.4877
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.5706 1.568 -6.992 2.320
5.8623 1.501 -7.482 1.890
0.2996 1.436 -7.578 1.169
rnd_95776.volume rnd_95787.volume
-14.999 -1.7462
-6.569 2.9183
-17.946 -0.4993
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.326 4.961 11.36 6.421 25.48 3.431 2.883 8.794 9.797 5.997 4.640
[2,] 7.335 4.963 11.37 7.907 25.58 3.435 2.930 8.795 9.825 8.826 5.281
[3,] 7.352 5.038 11.46 9.174 26.13 3.811 3.009 8.987 9.905 8.904 5.324
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.752 4.432 6.219 11.03 6.051 7.133 7.734 10.82 9.146 14.29 4.847
[2,] 8.523 4.635 6.704 11.16 6.063 7.814 8.465 12.16 10.003 14.32 4.874
[3,] 9.260 4.805 6.797 11.16 6.081 7.942 8.610 12.66 10.384 14.35 4.876
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.52 11.38 2.972 7.909 7.240 6.468 6.457 2.838 7.941 7.623 3.712
[2,] 23.82 12.62 3.001 9.126 9.401 6.528 8.400 2.840 8.787 8.020 3.793
[3,] 23.83 13.48 3.007 12.443 11.660 6.699 9.400 2.841 9.947 8.485 3.860
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.104 8.582 7.879 7.830 7.685 5.992 2.208 5.721 1.926 5.500 5.759
[2,] 8.898 9.127 8.933 8.202 8.191 6.260 2.210 6.029 1.926 5.866 6.801
[3,] 9.891 9.594 9.375 8.415 8.336 6.515 2.210 6.151 1.927 5.954 7.216
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.992 3.018 6.174 7.376 7.947 4.079 8.171 7.422 3.347 7.046 6.073
[2,] 5.147 3.025 7.663 7.518 7.949 4.091 9.791 7.497 3.347 8.590 7.749
[3,] 5.432 3.036 8.039 7.724 8.282 4.092 10.486 8.132 3.348 9.430 8.497
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.899 3.714 6.015 2.054 5.704 2.952 5.308 5.565 5.810 7.812 3.798
[2,] 6.894 6.660 6.019 2.056 6.198 3.046 5.359 5.567 7.044 9.131 3.822
[3,] 8.003 7.946 6.029 2.057 7.881 3.242 6.115 5.567 7.148 9.184 3.846
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.976 5.101 8.076 3.098 7.244 7.208 8.340 7.651 9.150 7.536 6.032
[2,] 8.359 5.141 8.999 3.152 7.256 7.928 8.453 8.873 9.632 9.228 8.099
[3,] 8.588 5.270 9.412 3.194 7.312 7.930 8.496 8.887 9.877 9.267 8.785
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.170 6.176 4.900 7.350 3.921 3.823 2.977 6.560 5.635 10.66 10.00
[2,] 2.188 7.390 5.093 7.990 3.922 4.061 3.142 7.106 5.635 10.88 10.17
[3,] 2.191 8.516 5.295 8.548 3.922 4.158 3.165 7.183 5.653 10.95 10.63
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.489 3.428 3.694 3.752 5.062 3.729 3.737 3.987 19.26 9.448
[2,] 3.757 3.758 3.900 3.758 5.063 3.753 4.023 4.170 24.29 10.912
[3,] 3.813 3.782 3.929 3.771 5.417 3.798 4.347 4.300 25.05 11.584
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.303 6.299 14.42 8.154 32.35 4.357 3.661 11.17 12.44
[2,] 29.134 12.092 36.97 351.981 177.18 13.039 39.963 13.30 57.73
[3,] 37.961 66.220 110.51 354.936 406.39 125.939 52.365 141.10 95.83
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.615 5.892 8.574 5.628 7.897 14.01 7.683 9.058 9.821
[2,] 494.000 192.431 396.730 103.581 191.178 128.70 30.508 243.549 262.653
[3,] 90.500 52.092 276.336 96.597 85.377 24.74 36.166 108.291 120.160
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.74 11.61 18.14 6.155 15.90 14.44 3.774 10.04 9.194
[2,] 423.88 309.12 79.48 38.972 1545.58 416.51 31.935 347.45 457.540
[3,] 269.18 212.74 68.06 12.862 55.16 361.59 14.360 645.30 526.174
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.213 8.199 3.604 10.08 9.68 4.713 10.29 10.9 10.01
[2,] 68.184 409.934 7.644 287.11 190.32 59.747 280.34 237.2 321.16
[3,] 114.759 322.010 6.653 355.74 211.33 54.882 329.56 225.6 217.30
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.943 9.758 7.609 2.804 7.265 2.446 6.984 7.314 6.339
[2,] 186.288 216.427 138.318 6.804 145.205 1.950 155.523 275.980 95.743
[3,] 143.694 118.510 137.994 3.134 93.014 2.958 78.408 183.985 132.514
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.833 7.84 9.366 10.09 5.180 10.38 9.424 4.250 8.948
[2,] 15.969 346.25 111.373 15.80 24.348 411.59 81.197 3.406 374.840
[3,] 19.165 185.49 135.329 177.45 8.367 286.51 240.385 6.704 296.915
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.712 7.491 4.716 7.638 2.608 7.243 3.748 6.74 7.067
[2,] 367.249 272.197 421.772 18.040 8.456 185.133 57.630 56.84 11.585
[3,] 265.956 310.107 330.673 26.428 2.526 371.383 84.633 224.65 7.018
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.377 9.92 4.823 10.13 6.478 10.25 3.935 9.199 9.154
[2,] 303.849 360.62 32.925 190.93 48.659 302.93 44.081 32.947 251.760
[3,] 93.284 76.13 32.949 150.71 88.782 210.55 39.574 69.363 15.952
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.59 9.716 11.62 9.57 7.66 2.755 7.843 6.222 9.334
[2,] 105.21 342.883 229.61 406.34 412.35 21.602 309.667 106.102 239.036
[3,] 65.69 38.545 167.20 65.07 259.78 9.149 322.881 110.756 231.932
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.979 4.855 3.78 8.331 7.156 13.54 12.7 4.431 4.353
[2,] 7.466 104.527 76.76 208.469 6.594 163.59 137.9 106.170 117.414
[3,] 5.033 68.195 29.06 80.353 34.899 99.28 236.9 49.835 32.610
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.691 4.764 6.428 4.735 4.745 5.063 24.45 12.0
[2,] 95.395 16.858 6.931 32.695 113.739 93.243 1130.11 416.6
[3,] 36.231 24.485 147.026 44.813 125.656 80.097 467.41 296.8
[1] "--- VAR model 2017-10-04 09:01:00 completed"
[1] "Completed training sample: 2017-10-04 09:01:00 - 2017-10-04 17:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 09:31:00 - 2017-10-04 17:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.368 0.6715 -2.1916 -4.0928
-1.979 1.9215 0.5556 0.3182
-1.368 0.7064 -1.1956 -5.5740
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.690 1.8831 1.4736 1.752
-5.320 1.0905 0.1971 2.428
-3.054 0.8933 0.5264 3.092
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.4768 10.647 4.7309 -3.365
1.2608 -1.058 -0.2025 -9.138
2.1664 1.314 0.2072 -6.300
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.0617 4.6702 0.7419 0.2691
0.3113 0.1444 -0.4495 0.3390
0.4372 0.1741 0.6069 0.3135
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.2983 -1.1754 12.12 17.53
2.7117 0.3945 12.46 12.22
-0.2433 1.7718 10.25 15.48
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.65289 0.2694 -12.3186 -3.0812
0.16256 -0.1005 -2.8677 -2.4002
-0.05432 -0.1710 0.7475 -0.3632
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.06389 1.7140 1.7715 -1.785
0.23875 -6.6485 -4.9619 -2.230
0.28511 -0.3469 -0.4323 -1.850
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.6106 -0.08933 -4.4596 -6.077
0.7114 0.46017 0.7624 -5.124
-5.4229 -0.13581 -2.4783 -6.324
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2301 -6.2438 -8.1919 -2.22133
-1.1078 -0.6216 -4.0496 -6.02826
0.1354 -1.6955 -0.4321 0.06046
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.337 -0.4333 19.05 0.036211
-3.021 2.0782 16.21 -0.033441
-2.648 -0.6974 13.39 0.004135
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.25908 -0.02899 -2.0642 -6.835
0.16030 0.02967 -0.6501 -8.378
0.07932 -0.01583 -1.0838 -7.098
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.073 1.360 -1.920 1.5267
6.360 1.358 -1.201 -1.7083
5.470 1.257 -2.624 0.6559
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.29256 -2.303 3.0720 13.20
0.02141 -1.293 -2.1645 18.21
0.04219 -1.298 0.6794 17.00
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.059085 1.9096 -0.6344 -2.6708
0.069819 -0.5790 1.6050 2.7666
-0.005326 -0.9638 -1.5111 -0.4936
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.30213 0.38856 -0.34594 -9.4291
0.03041 -0.03272 -0.11117 -6.9346
1.45570 -0.42051 0.05531 0.7274
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.218 -1.8633 0.2269 -0.3627
-4.240 -3.2684 -0.2582 -4.1761
-4.038 -0.7109 -0.1163 -3.0257
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.561 -0.5741 1.8251 0.11743
-3.101 -0.7648 -0.8091 0.12271
-3.853 -0.3625 -1.5578 0.04222
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.0139 4.102 -1.77142 1.2493
-0.9055 3.434 -0.13219 -1.2571
-4.3089 2.934 0.01337 -0.1816
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.884 1.38726 4.832 -3.0407
2.252 -1.09314 4.161 -0.1096
1.108 0.01264 2.759 -0.2250
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.2700 0.7731 8.2464 6.069
3.0217 -0.1222 -4.1027 5.666
0.3969 0.4067 -0.4405 4.300
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.932 -0.1106 -0.3163 -0.5933
1.149 0.3933 0.5791 0.2437
2.477 0.2001 -0.3422 0.2599
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.199 0.2966 -4.692 -7.831
-1.277 1.6176 -3.154 -7.096
-1.139 1.0531 -2.291 -6.658
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
8.080 -0.1027 0.8745 0.07440
-1.901 -1.1471 -0.4406 -0.02582
0.757 0.1833 0.1820 -0.01636
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.4516 1.151 -7.549 0.9457
-0.9255 1.803 -7.303 -0.9611
-0.9221 1.373 -6.692 -0.7242
rnd_95776.volume rnd_95787.volume
-2.234 -4.8608
1.636 -0.9964
-3.849 0.1858
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.346 5.056 11.61 6.998 26.14 3.733 2.940 9.179 10.16 6.299 4.745
[2,] 7.375 5.060 11.61 8.428 26.24 3.734 2.974 9.183 10.17 9.501 5.369
[3,] 7.404 5.146 11.65 9.749 26.82 4.062 3.039 9.316 10.23 9.574 5.429
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.797 4.798 6.215 10.87 6.266 7.228 7.639 10.68 8.989 15.33 4.948
[2,] 8.313 4.908 6.661 10.99 6.271 7.915 8.408 11.99 9.721 15.35 4.959
[3,] 9.105 5.067 6.666 10.99 6.279 8.033 8.553 12.52 10.100 15.36 4.960
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.66 11.29 3.123 7.876 7.439 6.244 6.895 2.882 8.343 7.568 3.711
[2,] 24.05 12.59 3.160 9.189 9.779 6.303 8.762 2.883 9.119 7.954 3.820
[3,] 24.06 13.38 3.170 12.327 11.985 6.475 9.788 2.885 10.254 8.486 3.903
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.020 8.420 7.639 7.554 7.235 6.092 2.174 5.866 1.840 5.637 5.809
[2,] 8.748 9.075 8.785 7.942 7.703 6.441 2.174 6.265 1.841 5.984 6.831
[3,] 9.894 9.553 9.260 8.164 7.767 6.769 2.175 6.390 1.841 6.053 7.302
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.044 2.782 6.246 7.378 7.977 4.165 8.189 7.510 3.287 7.058 6.177
[2,] 5.226 2.915 7.664 7.512 7.985 4.188 9.709 7.593 3.287 8.715 7.865
[3,] 5.530 2.931 8.040 7.738 8.331 4.201 10.351 8.285 3.288 9.528 8.568
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.957 3.829 5.965 2.120 5.668 2.967 5.367 5.685 6.121 8.112 3.870
[2,] 6.972 6.766 5.967 2.124 6.243 3.066 5.411 5.687 7.241 9.311 3.902
[3,] 8.075 8.095 5.973 2.125 7.997 3.266 6.144 5.687 7.348 9.351 3.932
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.026 5.010 8.256 3.299 7.449 7.433 8.508 7.847 9.135 7.969 6.713
[2,] 8.434 5.051 9.231 3.385 7.496 8.101 8.675 9.065 9.803 9.294 8.346
[3,] 8.665 5.194 9.608 3.473 7.613 8.112 8.738 9.080 10.108 9.344 8.955
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.140 6.426 4.739 7.370 3.857 3.847 2.975 7.124 5.737 10.34 9.866
[2,] 2.146 7.831 5.013 7.931 3.859 4.079 3.118 7.493 5.737 10.59 10.156
[3,] 2.146 8.726 5.197 8.616 3.860 4.165 3.137 7.574 5.760 10.66 10.599
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.252 3.450 4.069 4.023 5.040 3.690 4.047 4.097 19.35 10.01
[2,] 3.804 4.136 4.087 4.029 5.040 3.705 4.312 4.320 24.30 11.60
[3,] 4.043 4.184 4.100 4.030 5.437 3.761 4.670 4.414 24.98 11.61
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 9.328 6.421 14.74 8.886 33.2 4.740 3.734 11.66 12.90 7.999
[2,] 46.784 13.773 30.96 332.150 158.3 6.638 31.567 21.36 33.31 502.830
[3,] 47.266 66.748 64.69 346.423 393.0 113.252 44.416 111.12 80.75 83.550
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19]
[1,] 6.026 8.631 6.093 7.893 13.80 7.957 9.179 9.701 13.56
[2,] 177.644 338.426 72.972 169.432 115.22 18.706 228.124 248.357 386.05
[3,] 57.024 262.726 89.142 19.283 28.14 23.790 97.044 111.097 255.09
[,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 11.41 19.47 6.284 16.08 14.34 3.966 10.0 9.447 7.928
[2,] 261.84 62.17 23.227 1445.31 394.22 33.874 334.8 448.779 61.198
[3,] 193.89 33.86 9.789 51.69 319.66 18.455 580.9 489.841 105.061
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 8.755 3.659 10.59 9.61 4.713 10.18 10.69 9.701 9.592
[2,] 382.319 6.853 260.36 173.12 64.125 247.02 239.43 306.732 173.499
[3,] 308.486 7.779 331.49 209.23 56.484 326.86 211.09 207.238 133.836
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 9.187 7.735 2.760 7.449 2.337 7.158 7.377 6.406 3.532
[2,] 186.999 148.029 4.339 155.524 2.987 142.088 254.141 96.694 61.619
[3,] 71.110 147.317 4.674 89.254 3.419 64.629 182.503 127.807 22.064
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.931 9.369 10.13 5.288 10.4 9.536 4.174 8.963 7.844
[2,] 314.040 100.107 25.74 31.333 368.8 79.688 3.806 361.453 344.227
[3,] 171.796 131.658 168.07 23.655 253.9 234.342 6.458 272.361 240.299
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 7.564 4.862 7.575 2.692 7.198 3.768 6.815 7.219 7.773
[2,] 256.227 394.338 10.860 9.868 185.134 54.614 49.254 12.966 273.568
[3,] 288.027 314.167 20.195 2.992 353.305 79.595 205.789 5.745 88.533
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 10.30 4.914 10.19 6.362 10.48 4.189 9.459 9.439 10.80
[2,] 323.19 35.536 183.47 45.841 291.96 53.621 59.959 227.777 120.20
[3,] 61.94 34.581 140.56 85.706 188.71 54.932 94.242 30.262 74.42
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.965 11.6 10.12 8.524 2.718 8.16 6.018 9.358 4.897
[2,] 320.937 251.5 338.20 350.578 11.726 316.47 115.708 207.389 10.895
[3,] 37.068 174.6 68.30 229.639 2.149 272.19 96.962 238.036 5.316
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.885 3.778 9.046 7.285 13.14 12.53 4.129 4.381 5.167
[2,] 95.844 66.151 164.366 5.760 159.60 170.57 139.508 161.286 27.711
[3,] 59.755 24.696 78.147 36.846 89.37 214.52 96.880 44.900 23.077
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.108 6.400 4.686 5.139 5.202 24.57 12.71
[2,] 15.894 5.711 23.181 105.224 97.122 1039.90 415.10
[3,] 7.117 144.307 46.173 126.800 64.051 407.01 39.18
[1] "--- VAR model 2017-10-04 09:31:00 completed"
[1] "Completed training sample: 2017-10-04 09:31:00 - 2017-10-04 17:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 10:01:00 - 2017-10-04 18:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.274 0.06261 -2.27786 -15.590
2.370 1.10991 2.32162 2.879
2.506 0.45847 0.01901 -3.202
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.806 -0.08554 1.2947 2.4896
-1.005 -1.26122 0.5491 0.9033
-0.617 -0.15411 0.3204 1.2700
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.8308 0.04019 -1.1964 -19.17
-0.3753 2.10693 1.6190 -15.52
-1.4013 0.19961 -0.4675 -18.43
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.589 -2.60587 -0.493235 -0.11687
2.406 0.52329 -0.003535 0.29795
1.808 0.03893 0.065703 0.08775
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.7602 -2.5586 2.3028 7.6996
-1.5888 -1.2089 -0.2446 2.9946
-0.4332 -0.1922 -0.5859 0.0662
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.4681 1.0377 -2.811 6.9514
0.3572 0.2548 -5.046 -4.1066
-0.1314 -1.1594 4.244 -0.5544
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.6845 8.188 -2.0854 0.3329
-1.0166 -3.158 -0.5869 -0.1053
-0.6273 -3.414 -1.7029 0.2542
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.889 -0.4460 -12.947 -11.835
4.268 -0.1645 -5.067 -10.256
-3.191 -0.3346 1.958 -9.048
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2752 -6.481 2.554 0.4513
-1.4208 -8.471 -9.902 -8.1394
0.4512 2.699 1.537 -3.8618
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.1948 -10.382 -4.235 -0.171539
-0.7501 -7.915 -3.617 0.002532
-0.6152 -7.183 -3.030 0.039416
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.2309 0.08711 2.0022 -3.03851
1.3929 -0.04897 0.8211 -0.05339
0.8458 0.01119 -2.1142 -0.78327
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.146 3.357 1.2993 1.2690
5.532 3.008 -4.2318 0.6012
5.145 2.093 -0.5163 1.2703
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-10.469 -3.147 -20.3192 10.86
-11.318 -2.577 -0.6721 14.87
-7.405 -1.632 -1.1299 12.24
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.009431 -9.8305 -0.439 -5.893
-0.020310 -13.8095 -14.081 -9.386
-0.015175 0.1362 -1.224 -8.796
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.778 0.4622 0.065555 -9.335
-1.239 -0.2725 -0.108305 -6.138
-14.525 -0.3550 -0.005541 -1.838
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.745 -3.825 0.2608 7.277
-3.055 -3.033 0.7318 -4.361
-3.269 -2.127 1.0682 -2.167
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.7028 1.1616 1.072 -2.087
-3.6030 1.1006 2.075 -1.837
-2.8099 0.6014 -2.606 -1.151
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.615 -0.9696 -0.3312 -0.92033
1.637 -1.3097 -0.7142 0.16779
-3.723 -1.1316 -0.4510 0.02663
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.232 -1.7577 18.56 9.616
-3.304 -0.1044 13.66 3.053
-2.560 -0.4858 12.84 2.645
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.955 0.208419 3.210 -6.814
5.044 -0.061381 9.867 -5.623
4.760 0.004696 4.264 -4.748
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.171 -0.1002 0.2941 -1.0966
5.973 -0.1873 -3.1277 -1.4389
3.179 0.1247 -0.1758 -0.8263
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.750 0.4817 5.431 -8.733
-2.183 0.7992 2.413 -5.189
-1.529 0.7219 3.146 -4.386
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.200 7.685 0.04076 -1.1569
4.760 -2.201 0.59848 0.8738
-2.175 0.497 -0.20443 -0.1244
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.805 0.3674 -5.539 0.05434
-2.948 0.8776 -5.185 -0.88573
-2.948 0.9152 -5.023 -1.87732
rnd_95776.volume rnd_95787.volume
-30.530 -0.1471
-9.642 -1.9374
-15.122 0.1870
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.354 5.101 11.59 7.355 26.57 3.981 3.051 9.271 10.20 6.294 4.366
[2,] 7.390 5.102 11.60 8.778 26.65 3.981 3.090 9.280 10.20 9.582 5.011
[3,] 7.429 5.205 11.62 9.994 27.16 4.297 3.153 9.426 10.29 9.631 5.054
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.725 4.863 6.215 9.035 6.288 7.256 7.636 10.51 8.926 15.40 5.056
[2,] 7.948 4.982 6.582 9.118 6.292 7.880 8.387 11.84 9.645 15.43 5.062
[3,] 8.732 5.152 6.585 9.142 6.302 7.975 8.505 12.43 10.036 15.44 5.062
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 13.03 9.189 3.358 7.848 7.358 6.174 7.174 2.954 8.659 7.636
[2,] 24.17 10.771 3.427 9.257 9.574 6.226 9.061 2.961 9.354 8.037
[3,] 24.18 11.653 3.436 12.122 11.778 6.414 10.092 2.962 10.309 8.607
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.789 8.173 8.565 7.805 7.443 7.413 6.090 2.150 5.947 1.832 5.703
[2,] 3.886 8.818 9.186 8.978 7.843 7.818 6.427 2.151 6.387 1.833 6.064
[3,] 3.967 9.899 9.694 9.484 8.089 7.868 6.778 2.153 6.535 1.835 6.139
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.860 5.056 2.894 6.836 7.692 8.126 4.243 8.395 7.606 3.299 7.088
[2,] 6.830 5.233 3.061 7.544 7.787 8.144 4.287 9.973 7.702 3.300 8.902
[3,] 7.306 5.555 3.102 7.762 7.970 8.600 4.321 10.449 8.434 3.300 9.745
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.202 5.759 3.895 6.045 2.162 5.619 3.001 5.483 5.757 6.265 8.778
[2,] 7.905 7.024 6.886 6.047 2.165 6.248 3.100 5.547 5.762 7.492 9.383
[3,] 8.695 8.224 8.104 6.053 2.165 7.974 3.314 6.273 5.762 7.627 9.429
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.971 7.761 4.892 8.291 3.361 7.414 7.763 8.635 7.999 9.318 8.222
[2,] 4.001 8.451 4.941 9.326 3.433 7.480 8.358 8.875 9.103 10.161 9.357
[3,] 4.050 8.662 5.098 9.630 3.551 7.578 8.371 9.011 9.126 10.569 9.420
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.032 2.217 6.575 4.922 7.725 3.782 3.937 2.974 7.451 5.948 10.23
[2,] 8.424 2.218 7.806 5.318 8.384 3.787 4.151 3.099 7.857 5.949 10.46
[3,] 8.936 2.220 8.656 5.601 8.769 3.787 4.233 3.113 7.941 5.976 10.56
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.12 3.235 3.459 4.106 4.189 5.109 3.709 4.393 4.087 20.78 9.944
[2,] 10.38 3.997 4.359 4.121 4.206 5.109 3.726 4.666 4.296 25.52 11.602
[3,] 10.90 4.345 4.432 4.147 4.217 5.479 3.785 5.029 4.375 25.92 11.613
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 9.338 6.477 14.72 9.34 33.73 5.055 3.875 11.77 12.96 7.993
[2,] 53.129 8.762 29.81 342.70 155.85 4.468 35.078 31.28 16.84 516.812
[3,] 54.424 74.024 52.98 341.93 375.67 115.798 44.890 118.29 96.23 69.892
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19]
[1,] 5.544 8.54 6.175 7.893 11.47 7.985 9.214 9.697 13.35
[2,] 175.951 303.01 77.627 155.109 88.12 17.740 219.887 248.282 390.75
[3,] 47.340 258.88 94.116 14.879 48.52 25.618 88.203 101.002 269.54
[,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 11.33 19.56 6.421 16.55 11.67 4.264 9.966 9.343 7.84
[2,] 261.54 67.05 18.334 1456.11 402.11 49.128 351.241 438.270 58.01
[3,] 198.54 39.51 5.513 59.37 318.24 18.066 559.855 490.761 110.32
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 9.109 3.751 11.0 9.697 4.812 10.38 10.88 9.911 9.452
[2,] 396.049 15.256 253.2 179.575 61.847 237.01 237.53 317.580 177.012
[3,] 318.014 6.022 310.1 220.454 57.149 321.86 221.84 218.699 141.652
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 9.413 7.733 2.730 7.551 2.327 7.242 7.442 6.42 3.675
[2,] 177.816 147.086 5.987 166.849 4.093 147.462 251.056 96.73 71.460
[3,] 63.779 154.036 7.026 99.140 5.678 68.620 185.602 133.42 35.972
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 8.68 9.768 10.32 5.388 10.66 9.659 4.190 9.001 7.876
[2,] 228.44 87.090 40.44 43.909 385.13 86.733 5.375 385.281 350.680
[3,] 130.85 121.547 197.77 39.052 223.24 245.982 3.362 283.719 259.154
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 7.314 4.945 7.676 2.745 7.135 3.811 6.963 7.311 7.955
[2,] 287.608 406.214 11.544 8.746 195.558 55.685 60.139 17.368 293.991
[3,] 306.097 305.716 20.459 2.576 354.445 83.832 209.736 7.253 102.590
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 11.15 5.042 9.856 6.212 10.53 4.269 9.414 9.858 10.97
[2,] 237.15 35.001 239.288 49.966 305.47 49.916 71.763 221.755 146.77
[3,] 67.64 45.516 136.312 89.978 172.05 65.092 86.897 33.355 111.98
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.16 11.83 10.44 8.929 2.816 8.35 6.251 9.809 4.803
[2,] 310.98 290.12 319.57 331.911 5.617 301.03 144.007 233.312 13.320
[3,] 47.26 208.26 78.79 213.316 5.710 267.64 125.887 183.988 3.798
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 5.00 3.776 9.461 7.553 12.99 12.85 4.108 4.392 5.214
[2,] 94.07 62.490 178.566 10.801 155.78 166.94 167.997 189.831 25.589
[3,] 59.30 21.217 82.639 40.990 101.90 238.70 121.925 57.170 33.340
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.32 6.488 4.71 5.579 5.19 26.39 12.63
[2,] 27.52 5.695 26.04 112.460 94.78 1059.22 427.64
[3,] 21.34 141.623 47.67 134.283 59.39 325.36 37.89
[1] "--- VAR model 2017-10-04 10:01:00 completed"
[1] "Completed training sample: 2017-10-04 10:01:00 - 2017-10-04 18:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 10:31:00 - 2017-10-04 18:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.854 0.4727 0.3086 13.676
1.277 -0.6510 -0.6002 -1.056
1.159 -0.3102 1.6158 6.968
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.702 2.3105 0.6539 4.161
9.952 0.1909 0.6190 2.608
5.342 0.8807 1.2891 1.623
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.7982 1.0446 -0.25395 -12.17
-1.0744 2.6426 1.08529 -10.49
-0.6399 0.8706 -0.06676 -12.51
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.5294 0.2761 -0.7906 0.006372
1.0402 0.4048 0.1336 -0.123042
0.8117 0.1441 0.1590 0.027153
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.4602 2.00417 10.999 9.974
-0.2333 0.95568 5.433 3.794
0.1572 0.09461 2.896 2.542
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.16172 0.3773 15.4868 2.224
-0.11046 0.4553 -0.3102 4.206
0.03069 -0.2379 -0.5876 -1.302
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -2.7807 -3.3395 3.559
0 7.1866 6.7656 4.250
0 -0.8547 -0.1946 3.452
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
11.759 -0.01409 8.101 -1.653
-2.076 -0.17697 1.078 -1.164
6.216 -0.10501 2.688 -2.581
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.330 8.353 5.4316 6.735
1.927 4.622 8.8201 9.141
-0.275 1.861 -0.0294 2.360
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.937 0.180 6.241 0.17126
9.672 2.344 5.771 0.11539
8.009 -1.239 4.774 -0.02731
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.826 -0.08797 6.131 -4.9565
4.047 0.06039 2.857 -0.8992
2.530 -0.01243 3.491 -3.3978
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.632 3.878 -6.8528 -2.047
4.871 2.609 -2.8615 2.141
4.418 2.438 -0.8213 1.067
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-9.406 -2.952 -5.784 7.578
-6.879 -2.697 2.132 12.121
-6.092 -1.510 -3.800 10.285
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.081155 -6.490 -1.191 1.9309
-0.021682 -1.084 -3.904 -5.4975
0.006768 -1.637 1.405 0.4842
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.4096 -0.5695 -0.035329 2.8738
-0.8371 -0.4453 -0.007546 -0.5552
-4.3146 -0.3213 0.235638 -0.9509
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.498 2.4196 0.3519 2.074
-2.876 -1.9850 -0.1320 2.087
-1.846 0.7184 0.3415 -1.013
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.8035 0.2756 4.221 1.0216
2.4782 0.2875 1.570 2.0066
-1.1740 0.1519 1.561 0.9924
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.046 -0.9027 1.444 2.8816
1.874 -0.4088 2.330 0.8609
2.286 -0.2876 1.442 1.1502
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.366 3.743 8.898 4.177
5.325 1.484 7.206 2.931
2.956 1.241 6.386 1.831
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.390 0.14805 5.412 10.902
5.555 0.13615 5.047 9.278
3.099 0.01154 4.175 8.570
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.361 -0.3030 -0.3201 0.23127
7.124 0.1941 -0.8751 0.03599
4.044 0.3574 0.3202 0.29619
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.0090 -0.56450 4.268 -4.715
0.5818 0.02478 3.104 -5.853
0.2501 -0.42219 2.615 -7.503
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.712 6.0484 -1.0411 -0.3946
3.237 -1.1780 1.5395 1.1356
-0.935 0.8253 -0.5297 0.1253
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.687 0.48734 -6.861 -0.002519
-3.200 -0.03001 -6.613 0.583628
0.795 -1.43511 -6.102 0.302096
rnd_95776.volume rnd_95787.volume
5.160 5.60936
-15.178 0.89587
-3.551 0.04913
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.043 5.127 11.67 7.636 27.32 4.193 3.104 9.240 10.06 6.390 4.343
[2,] 7.421 5.130 11.67 9.029 27.43 4.193 3.142 9.255 10.06 9.663 4.993
[3,] 7.463 5.227 11.68 10.190 28.00 4.489 3.215 9.429 10.14 9.707 5.037
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.769 4.928 6.531 8.436 6.028 7.255 7.641 10.39 9.086 15.79 5.124
[2,] 7.943 5.033 6.572 8.463 6.029 7.901 8.317 11.73 9.809 15.82 5.129
[3,] 8.737 5.207 6.573 8.499 6.037 7.927 8.425 12.26 10.211 15.82 5.130
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 13.67 9.192 3.456 7.851 7.451 6.203 7.389 3.016 8.691 7.680
[2,] 24.19 10.726 3.541 9.428 9.694 6.256 9.214 3.019 9.419 8.071
[3,] 24.21 11.483 3.560 12.019 11.744 6.478 10.310 3.019 10.331 8.639
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.742 8.114 8.753 7.902 7.423 7.434 6.106 2.174 6.236 1.856 5.699
[2,] 3.843 8.826 9.244 8.858 7.912 7.815 6.468 2.176 6.771 1.856 6.065
[3,] 3.925 9.839 9.764 9.379 8.226 7.874 6.854 2.177 6.946 1.859 6.126
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.831 5.034 2.965 6.830 7.715 8.250 4.354 8.586 7.819 3.3 7.114
[2,] 6.701 5.197 3.151 7.611 7.797 8.307 4.406 9.885 7.923 3.3 9.095
[3,] 7.192 5.535 3.213 7.819 8.001 9.002 4.495 10.359 8.705 3.3 9.773
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.222 5.768 3.920 6.110 2.176 5.607 3.117 5.488 5.816 6.306 8.762
[2,] 8.036 7.084 6.827 6.111 2.179 6.260 3.239 5.535 5.825 7.502 9.395
[3,] 8.714 8.362 8.169 6.117 2.179 7.973 3.444 6.283 5.825 7.634 9.411
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.966 8.068 4.927 8.397 3.330 7.371 7.774 8.699 8.037 9.382 8.156
[2,] 3.997 8.594 4.974 9.503 3.398 7.446 8.377 9.043 9.081 10.482 9.115
[3,] 4.047 8.873 5.175 9.855 3.513 7.539 8.401 9.180 9.110 11.071 9.336
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.285 2.279 6.669 4.996 7.790 3.857 3.983 2.995 7.848 5.978 9.997
[2,] 8.418 2.281 7.706 5.408 8.479 3.858 4.204 3.106 8.061 5.979 10.247
[3,] 9.015 2.283 8.436 5.722 8.781 3.859 4.271 3.118 8.103 5.999 10.392
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.23 3.225 3.444 4.283 4.323 5.140 3.749 4.746 4.100 21.91 9.788
[2,] 10.49 4.081 4.465 4.292 4.335 5.143 3.776 5.079 4.297 26.08 11.346
[3,] 11.02 4.480 4.521 4.319 4.361 5.489 3.843 5.450 4.366 26.58 11.362
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.944 6.511 14.81 9.696 34.69 5.324 3.942 11.73 12.77
[2,] 165.807 12.605 25.42 341.737 179.18 5.309 34.744 38.63 10.10
[3,] 56.398 71.382 39.07 334.913 397.72 113.672 48.149 128.22 89.35
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.114 5.515 8.596 6.258 8.294 10.71 7.655 9.212 9.703
[2,] 513.834 174.663 294.616 72.639 52.298 48.72 11.177 221.954 232.843
[3,] 66.666 47.335 258.127 94.745 9.983 56.52 22.045 46.799 95.799
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.19 11.54 20.06 6.506 17.36 11.67 4.389 9.969 9.462
[2,] 386.97 262.35 62.97 17.246 1414.68 391.99 54.568 370.077 439.621
[3,] 251.19 201.26 36.66 7.366 65.32 290.85 26.784 528.569 470.116
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.877 9.383 3.830 11.04 9.752 4.752 10.3 11.11 10.03
[2,] 57.915 390.292 8.495 257.48 176.261 62.058 246.4 210.82 283.79
[3,] 119.146 327.986 4.031 301.01 218.555 56.652 308.4 223.20 218.63
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.426 9.441 7.753 2.760 7.919 2.357 7.237 7.405 6.392
[2,] 194.168 170.841 151.512 6.895 186.950 1.857 147.261 234.133 91.770
[3,] 159.879 68.862 160.807 5.271 110.083 7.164 61.423 185.206 135.124
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.765 8.673 9.797 10.48 5.529 10.9 9.929 4.190 9.034
[2,] 75.690 238.114 80.142 69.33 47.990 347.4 90.851 5.214 401.727
[3,] 44.624 127.393 127.491 246.07 63.394 219.6 255.702 3.679 253.659
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.901 7.325 4.978 7.759 2.763 7.12 3.958 6.969 7.385
[2,] 360.540 291.538 396.283 9.962 7.864 197.40 62.643 51.029 23.595
[3,] 239.139 315.036 318.075 19.524 4.670 350.12 82.932 210.910 5.833
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.007 11.13 5.036 10.25 6.257 10.66 4.229 9.36 9.872
[2,] 288.141 240.57 35.429 210.01 48.621 315.65 48.078 75.17 221.430
[3,] 100.497 39.80 45.476 156.62 101.444 185.17 63.316 84.16 45.506
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 11.05 10.21 11.91 10.36 9.251 2.894 8.469 6.344 9.893
[2,] 175.57 299.76 331.44 288.61 299.056 7.539 273.703 146.983 237.331
[3,] 112.09 52.28 252.95 143.61 228.839 6.699 243.488 132.571 162.202
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.897 5.058 3.803 9.966 7.591 12.69 12.99 4.095 4.373
[2,] 9.039 95.362 58.566 130.833 9.328 159.83 164.42 177.318 201.451
[3,] 5.425 53.583 19.409 58.485 35.510 123.11 240.26 131.032 50.865
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.439 5.49 6.528 4.761 6.027 5.207 27.82 12.43
[2,] 20.013 23.19 11.778 32.108 128.198 91.192 1004.11 406.94
[3,] 34.378 33.95 136.169 50.754 140.285 55.102 364.89 43.64
[1] "--- VAR model 2017-10-04 10:31:00 completed"
[1] "Completed training sample: 2017-10-04 10:31:00 - 2017-10-04 18:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 11:01:00 - 2017-10-04 19:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.09899 -0.8868 0.3163 -6.304
0.11990 -0.2944 3.4675 9.363
-0.90139 -0.1889 4.0051 12.149
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
12.280 0.9894 2.528 -0.9902
17.716 1.6028 2.845 1.8203
9.169 0.5332 1.906 1.9865
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.180 10.005 2.9964 -19.15
0.368 -2.174 0.7393 -21.89
1.522 1.682 0.8598 -21.18
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.298 0.6351 0.4503 0.12853
1.412 2.2470 0.9425 0.12807
1.982 -0.7612 -0.2781 0.04231
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.7336 -6.92852 -10.156 -1.731
-0.4160 -2.49720 -8.041 -5.332
-0.4196 0.04245 -7.072 -6.411
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.738 -0.2120 42.420 8.801
1.344 0.1399 1.552 10.075
1.186 0.2754 8.548 -1.265
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.2403 14.902 4.635 -1.3664
0.6406 15.064 14.338 -0.9530
0.7026 -3.261 3.056 -0.9978
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.666 -0.3481 4.438 -6.501
10.692 0.3128 -1.126 -7.448
11.873 0.2644 13.129 -6.859
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.1420 6.648 10.753 7.4084
0.2691 -2.942 -4.506 2.2416
1.4458 9.950 5.756 0.1461
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0950 3.60476 4.936 0.24371
0.2490 1.66782 4.924 0.17390
0.6187 0.02135 3.948 0.05367
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.2058 0.2382 -3.9923 -1.682
-1.3236 0.1367 2.6894 -7.884
-0.9089 -0.1082 0.3521 -2.212
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0082 -0.2772 -3.009 2.386
-0.8935 0.2991 -1.874 4.580
-1.0009 -0.4814 -4.910 1.666
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.7796 0.08723 1.3958 10.51
0.1287 -0.83209 -0.6642 11.77
1.2228 -1.57390 -0.1113 11.18
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.21174 -0.8474 -1.3804 -2.5034
0.20396 0.6536 1.0036 0.3462
0.02924 -0.7259 -0.5376 0.4277
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1179 -0.5089 0.19812 3.1652
-2.2660 0.6349 -0.07776 0.1254
1.3052 0.0410 0.21852 -2.5164
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.239 -2.178 -0.2608 -3.5340
-3.350 2.423 0.3816 -0.1865
-3.160 -1.837 0.1101 1.3483
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.488 -0.2591 -2.8885 1.4324
-2.946 -0.4217 -3.0233 0.8593
2.082 -0.2444 0.3487 0.5738
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.7744 0.80240 1.2590 -2.1189
-4.1460 0.23849 -0.7603 0.3342
-1.4096 -0.08061 -0.7714 -0.5481
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.557 -3.0311 -0.7952 -2.6443
-2.610 0.2214 -0.2118 0.6540
-2.910 -0.6817 -0.9099 -0.5587
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.69627 0.5629 -0.08835 -1.2456
0.07356 0.5309 -1.19205 -0.6367
0.95201 0.3384 1.27166 -0.5776
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.4304 0.5489 -0.46879 0.3817
-0.9538 0.5095 0.24177 0.6049
0.8899 -0.6697 0.03113 0.1305
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.12585 -0.9729 -1.1235 -3.041
1.03001 -0.6936 -1.7522 -2.229
0.05439 -0.3242 -0.2053 -1.291
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.04045 -1.5732 1.2229 0.6321
-0.35391 0.6897 -0.8182 -0.2948
0.09871 -0.2299 0.3764 0.1007
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.543 0.35992 13.86 248.6
2.115 -0.08901 13.63 250.5
-1.376 -0.26325 12.06 251.8
rnd_95776.volume rnd_95787.volume
-0.1630 14.564
-0.2355 6.019
5.6716 2.190
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.077 5.194 11.77 7.680 28.15 4.246 3.189 9.386 10.10 6.504 4.436
[2,] 7.477 5.195 11.77 9.114 28.28 4.247 3.232 9.410 10.11 9.822 5.110
[3,] 7.527 5.275 11.78 10.260 28.76 4.526 3.313 9.582 10.17 9.861 5.151
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.893 5.004 6.270 8.511 5.407 7.317 7.656 10.61 9.316 15.91 5.096
[2,] 8.103 5.099 6.430 8.535 5.407 7.868 8.358 11.98 10.088 15.93 5.096
[3,] 8.935 5.276 6.617 8.573 5.415 7.909 8.455 12.55 10.524 15.94 5.098
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.82 10.14 3.469 7.869 7.386 6.235 7.358 3.155 8.743 7.762 3.765
[2,] 24.41 10.75 3.546 9.369 9.682 6.268 9.291 3.157 9.495 8.162 3.860
[3,] 24.43 12.01 3.569 12.063 11.414 6.509 10.396 3.160 10.497 8.748 3.956
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.253 8.888 7.941 7.361 7.332 5.922 2.235 6.282 1.862 5.692 5.714
[2,] 8.961 9.458 8.864 7.866 7.850 6.348 2.237 6.797 1.863 6.050 6.584
[3,] 9.961 9.979 9.314 8.218 7.885 6.783 2.242 6.969 1.865 6.119 7.056
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.078 2.912 6.785 7.779 8.341 4.567 9.022 7.889 3.478 7.197 6.292
[2,] 5.239 3.103 7.564 7.863 8.404 4.630 10.152 8.002 3.486 9.439 8.224
[3,] 5.586 3.178 7.777 8.113 9.132 4.742 10.556 8.804 3.497 10.065 8.836
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.818 3.962 6.263 2.168 5.672 3.168 5.525 5.859 6.286 8.162 3.973
[2,] 7.153 6.897 6.263 2.170 6.340 3.288 5.559 5.876 7.565 9.554 4.001
[3,] 8.545 8.342 6.268 2.171 8.084 3.487 6.344 5.876 7.686 9.569 4.052
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.923 4.905 8.430 3.364 7.423 8.055 8.734 8.148 9.341 8.230 7.974
[2,] 8.701 4.960 9.455 3.435 7.500 8.696 9.083 9.200 10.413 9.156 8.708
[3,] 8.961 5.145 10.008 3.562 7.632 8.721 9.214 9.228 11.039 9.378 9.191
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.314 6.785 5.012 7.911 4.030 4.026 3.015 7.927 6.072 10.19 10.40
[2,] 2.323 7.844 5.466 8.646 4.058 4.305 3.141 8.138 6.076 10.48 10.65
[3,] 2.330 8.531 5.786 8.920 4.073 4.373 3.160 8.190 6.093 10.61 11.24
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.182 3.366 4.276 4.310 5.191 3.785 4.906 9.496 22.29 9.51
[2,] 4.123 4.479 4.284 4.320 5.198 3.811 5.290 13.853 26.35 10.84
[3,] 4.514 4.535 4.315 4.355 5.515 3.882 5.705 17.275 26.84 11.32
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.987 6.596 14.94 9.753 35.74 5.392 4.049 11.92 12.83
[2,] 219.740 8.406 32.40 446.487 250.39 7.672 47.962 61.43 25.16
[3,] 79.046 83.686 45.17 428.781 477.70 142.381 66.143 164.91 107.35
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.258 5.633 8.753 6.354 7.961 10.81 6.866 9.291 9.722
[2,] 669.674 230.767 387.528 89.554 129.996 59.72 7.403 263.378 305.143
[3,] 80.267 59.445 342.689 123.228 142.257 73.44 26.969 73.135 116.245
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.47 11.83 20.20 6.472 17.55 12.87 4.405 9.992 9.379
[2,] 506.56 352.24 83.27 5.271 1830.47 325.35 67.258 462.773 569.510
[3,] 339.42 272.90 42.30 12.894 90.28 487.93 36.343 691.354 550.067
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.918 9.344 4.006 11.1 9.857 4.781 10.48 11.29 10.08
[2,] 58.267 516.127 10.525 337.0 229.639 77.649 317.87 294.53 358.22
[3,] 159.856 424.507 14.141 407.3 286.513 78.859 395.76 289.61 260.42
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.347 9.311 7.52 2.838 7.978 2.365 7.228 7.256 6.448
[2,] 252.443 255.168 207.92 8.385 236.181 3.880 186.438 297.730 117.261
[3,] 216.579 68.122 217.62 14.097 140.127 8.459 83.756 230.937 176.402
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.698 8.616 9.879 10.59 5.799 11.46 10.02 4.417 9.139
[2,] 97.652 304.274 104.360 93.12 69.455 423.61 122.14 20.459 555.606
[3,] 62.227 164.427 181.992 325.30 93.353 263.05 334.01 25.807 318.201
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.99 7.388 5.031 7.954 2.753 7.203 4.022 7.015 7.440
[2,] 481.76 378.577 513.643 6.460 7.842 257.660 80.135 56.757 40.498
[3,] 294.03 425.282 426.971 23.068 7.428 456.378 105.790 278.158 6.099
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.982 10.36 5.046 10.06 6.229 10.7 4.271 9.426 10.23
[2,] 383.036 451.97 42.932 327.21 67.089 389.7 63.700 97.782 298.19
[3,] 123.594 49.10 58.592 195.31 124.595 298.7 85.774 128.531 61.00
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 11.09 10.35 11.86 10.45 10.13 2.939 8.616 6.365 10.05
[2,] 226.99 388.73 418.76 365.15 318.60 18.168 358.132 198.385 317.43
[3,] 141.02 66.46 333.44 184.58 267.47 17.179 305.216 172.891 199.89
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 5.117 5.112 3.829 10.07 7.711 12.94 13.2 4.04 4.274 5.43
[2,] 43.599 138.738 80.166 167.62 21.533 224.49 212.2 238.54 268.896 24.23
[3,] 31.721 70.410 31.654 84.62 41.941 152.01 326.3 167.17 64.615 47.26
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.474 6.592 4.806 6.23 12.06 28.31 12.08
[2,] 26.958 24.123 41.115 180.04 917.66 1278.63 473.85
[3,] 50.217 167.886 67.487 194.53 939.10 465.00 295.39
[1] "--- VAR model 2017-10-04 11:01:00 completed"
[1] "Completed training sample: 2017-10-04 11:01:00 - 2017-10-04 19:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 11:31:00 - 2017-10-04 19:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.087 1.4361 0.7108 -4.212
1.428 -0.1125 -1.4753 4.391
1.294 -0.1773 -3.0437 -12.815
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.5570 0.67942 0.9796 3.629
1.1121 0.09232 1.8810 4.915
0.9148 0.24698 1.4763 3.412
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.7038 8.910 1.3434 -4.118
0.9806 1.226 1.2246 -4.997
0.7910 3.141 0.6003 -4.149
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5315 1.6677 -0.2451 0.1317
0.3672 1.8446 -0.6572 0.3956
0.1820 0.7747 0.4065 0.1979
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.612 3.2381 13.538 8.756
1.027 2.4859 10.075 4.747
1.036 0.4823 6.947 2.316
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.2449 -0.158621 -34.7358 2.737
-0.7983 -0.083163 0.8893 -12.122
-0.6712 0.004433 -2.5965 2.394
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5654 4.291 4.306 2.0392
0.1856 -15.512 -11.342 1.8922
0.3211 2.790 -2.481 0.8973
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.122 -0.17296 -9.591 2.911
5.556 -0.07785 1.454 4.175
-12.951 -0.29339 -4.400 4.182
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.4650 -10.9429 -10.252 -3.1857
0.7514 0.2472 -3.234 -6.3817
0.3217 -0.7571 1.725 0.9426
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.339 10.701 -1.5574 0.4372
3.673 11.387 -0.8177 0.3761
2.841 4.471 -0.6102 0.1550
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.532 -0.0255422 -0.7181 -14.408
1.376 0.0144105 -2.8289 -11.272
1.027 -0.0008244 -1.7424 -8.914
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.5633 -0.47124 0.3586 -0.6005
0.9167 0.05759 -10.1652 3.1162
0.8109 0.09525 -5.8308 0.8304
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.5812 0.20323 -10.6830 8.831
-0.4377 -0.31754 -0.1029 7.182
-0.7010 0.07886 -2.1875 6.741
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5881 -5.1718 1.1386 -3.043
-0.7255 -6.1704 -7.0402 -5.073
-0.3604 -0.6795 -0.1007 -3.343
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.6293 0.1217 0.1467 13.5161
0.2144 0.5320 0.1080 1.4432
-6.7617 0.8073 0.2837 -0.2886
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.476 9.469 0.1746 4.188
-2.704 4.475 0.1757 7.259
-2.078 -1.396 0.1772 1.589
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.158 0.8535 -2.527 1.058
8.709 0.7242 6.774 2.042
3.780 0.4260 4.178 1.675
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.02483 -0.6451 1.652 1.979
2.82278 -0.3850 1.818 1.015
6.59110 -0.7368 1.148 1.038
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.78458 1.9900 -2.844 0.3541
-1.35741 0.8676 -2.556 0.7515
-0.03267 1.1362 -2.149 1.4201
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.4854 -0.1986 1.2061 4.258
0.5975 -0.1446 -0.1143 3.768
0.3774 -0.1693 0.8809 3.312
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.9239 -1.2381 0.03338 -0.7378
-0.8292 -0.3712 -1.74832 1.1872
-0.6446 -0.6299 -0.07008 1.2888
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.889 0.3231 4.040 2.256
3.585 0.5327 3.910 2.822
1.410 -0.3376 1.833 3.052
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.3645 0.1604 -0.4276 0.124184
-0.5072 0.1366 0.4852 0.098062
0.2409 0.1016 -0.2623 -0.003108
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
6.5920 0.9009 12.26 247.6
4.5439 0.3018 11.85 248.0
0.1765 -0.8441 11.15 248.1
rnd_95776.volume rnd_95787.volume
-9.925 -9.1118
-9.055 -5.6831
-14.475 -0.7514
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.040 5.111 11.72 7.743 28.38 4.273 3.165 9.340 10.14 6.547 4.396
[2,] 7.431 5.111 11.72 9.097 28.51 4.274 3.214 9.368 10.15 9.820 5.118
[3,] 7.476 5.183 11.73 10.278 28.93 4.553 3.288 9.562 10.24 9.853 5.155
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.882 5.042 6.228 7.628 5.690 7.443 7.759 10.78 9.471 15.91 5.087
[2,] 8.086 5.127 6.377 7.628 5.690 7.976 8.500 12.07 10.220 15.93 5.087
[3,] 8.968 5.295 6.551 7.663 5.698 8.015 8.594 12.69 10.705 15.94 5.090
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.03 9.876 3.447 7.647 7.329 6.210 7.321 3.162 8.731 7.738
[2,] 24.40 10.505 3.528 9.222 9.637 6.247 9.214 3.167 9.438 8.072
[3,] 24.41 11.843 3.544 11.914 11.208 6.487 10.378 3.169 10.418 8.615
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.762 8.250 8.897 7.884 7.289 7.391 5.904 2.253 6.265 1.831 5.685
[2,] 3.853 8.936 9.564 8.780 7.778 7.783 6.305 2.255 6.785 1.831 6.066
[3,] 3.957 9.830 10.014 9.190 8.161 7.829 6.749 2.261 6.943 1.832 6.158
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.780 5.087 2.872 6.755 7.807 8.414 4.598 9.203 7.953 3.520 7.160
[2,] 6.669 5.247 3.058 7.540 7.890 8.452 4.668 10.395 8.080 3.526 9.492
[3,] 7.154 5.548 3.135 7.766 8.158 9.181 4.797 10.814 8.883 3.543 10.152
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.299 5.801 3.978 6.253 2.136 5.603 3.153 5.558 5.867 6.257 8.218
[2,] 8.335 7.116 6.862 6.254 2.138 6.230 3.278 5.593 5.889 7.579 9.598
[3,] 8.955 8.551 8.398 6.257 2.139 7.944 3.475 6.432 5.890 7.690 9.627
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.945 8.013 4.904 8.398 3.412 7.424 7.993 8.715 8.240 9.349 8.100
[2,] 3.979 8.735 4.965 9.463 3.498 7.491 8.619 9.062 9.327 10.301 9.041
[3,] 4.027 8.987 5.092 10.068 3.617 7.605 8.642 9.194 9.355 11.089 9.244
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 8.038 2.297 6.785 5.098 7.935 4.012 4.038 2.972 7.935 5.984 10.26
[2,] 8.823 2.305 7.791 5.580 8.713 4.037 4.331 3.100 8.160 5.991 10.53
[3,] 9.312 2.314 8.523 5.901 9.013 4.054 4.405 3.114 8.218 6.003 10.71
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.28 3.061 3.226 4.253 4.292 5.226 3.746 4.980 11.21 22.32 9.481
[2,] 10.54 4.077 4.446 4.258 4.299 5.233 3.778 5.377 14.83 26.47 10.562
[3,] 11.11 4.502 4.503 4.289 4.334 5.519 3.863 5.829 17.65 26.94 11.083
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.94 6.491 14.89 9.832 36.04 5.426 4.018 11.86 12.88
[2,] 261.22 5.991 24.30 524.124 298.23 10.842 61.801 80.03 24.88
[3,] 89.57 94.554 43.05 524.986 540.56 172.109 75.996 210.07 151.18
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.314 5.582 8.74 6.403 7.909 9.686 7.225 9.452 9.852
[2,] 803.210 287.660 465.98 101.984 150.544 8.826 9.296 314.744 381.143
[3,] 89.088 68.003 425.53 145.495 164.661 80.619 33.501 86.642 139.569
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.69 12.03 20.20 6.460 17.81 12.54 4.377 9.711 9.307
[2,] 596.88 421.74 96.36 7.601 2190.61 392.81 82.833 565.729 686.848
[3,] 428.28 349.54 55.14 19.194 91.33 600.33 36.714 827.870 628.019
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.885 9.296 4.015 11.09 9.826 4.778 10.48 11.3 10.01
[2,] 74.790 614.192 18.797 393.39 252.237 91.076 376.72 385.0 424.19
[3,] 192.221 524.170 14.308 484.18 330.373 98.904 449.73 325.9 298.12
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.255 9.385 7.498 2.861 7.955 2.325 7.219 7.34 6.459
[2,] 298.136 267.752 242.922 11.132 285.954 3.399 232.213 365.10 141.556
[3,] 271.267 93.138 264.050 17.661 161.725 8.344 116.814 284.26 197.818
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.647 8.578 9.913 10.68 5.839 11.69 10.1 4.47 9.092
[2,] 115.378 367.656 125.571 88.55 88.330 530.50 157.0 22.01 683.983
[3,] 76.026 204.349 227.707 393.46 121.614 327.23 405.0 38.64 395.283
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.999 7.366 5.052 7.94 2.712 7.115 4.003 7.057 7.450
[2,] 599.105 452.421 613.617 11.90 10.057 298.998 98.435 69.426 57.024
[3,] 359.392 520.452 531.466 24.75 7.541 540.955 126.721 348.507 7.411
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.945 10.44 5.009 10.18 6.227 10.66 4.333 9.427 10.15
[2,] 469.478 544.29 57.412 381.60 85.769 478.79 84.649 110.324 353.90
[3,] 142.690 83.02 68.138 232.06 123.701 377.43 100.782 144.282 69.98
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 11.07 10.46 11.87 10.29 10.21 2.917 8.615 6.473 10.08
[2,] 272.43 479.78 474.86 440.84 399.54 21.417 420.376 249.161 395.03
[3,] 170.74 79.84 450.51 211.61 326.95 22.473 379.366 210.646 253.12
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.095 5.127 3.774 10.08 7.598 13.03 13.06 3.887 4.096
[2,] 49.404 171.904 96.468 209.01 32.219 260.55 256.74 295.667 335.808
[3,] 39.874 88.415 32.593 107.29 42.544 215.56 385.41 209.586 78.168
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.401 5.45 6.636 4.757 6.323 14.23 28.34 12.04
[2,] 23.898 26.85 30.014 53.599 222.593 1066.16 1562.58 511.13
[3,] 56.034 60.37 192.513 88.575 247.024 1049.89 550.61 368.53
[1] "--- VAR model 2017-10-04 11:31:00 completed"
[1] "Completed training sample: 2017-10-04 11:31:00 - 2017-10-04 19:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 12:01:00 - 2017-10-04 20:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.30446 -0.1703 0.3186 5.7608
0.06950 -0.9998 -0.4465 -2.5503
-0.09174 -0.3829 -1.2474 -0.9625
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.2906 0.7927 2.449 2.1335
-0.9409 0.8164 2.277 1.5665
-0.6126 0.3747 2.347 -0.1457
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.1757 -6.0669 -0.2998 -10.453
0.1236 3.2807 0.6390 -6.766
-0.7195 -0.1913 0.1288 -6.641
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5792 0.43880 0.7805 0.26141
-0.3615 -0.23343 -0.1976 -0.20945
0.4974 0.04832 -0.1694 -0.05408
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.91095 -2.890071 10.903 6.199
0.05177 0.692485 14.528 3.343
-0.75272 -0.007968 7.671 5.793
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.06880 0.04128 -12.510 2.0539
-0.08897 -0.12015 1.118 -3.0439
-0.03827 -0.15481 -1.028 -0.1761
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.6383 -0.4783 -4.870 3.981
0.4802 -4.3479 -1.483 1.898
0.4539 1.1869 -1.335 1.629
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.370 0.5712 8.239 -0.8975
-1.689 -0.3187 -1.294 -3.7191
-1.049 0.3773 -2.106 -4.2186
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.26609 6.6165 3.207 2.2907
0.37720 -1.4226 3.611 5.9290
0.01758 -0.6142 -1.126 -0.8426
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.887 4.229 1.5991 0.1009828
2.210 -1.016 1.0760 0.0006796
1.640 1.924 0.7267 0.0085492
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.13309 0.027632 -3.1823 -0.7344
-0.08822 0.007647 0.9501 -7.6769
-0.10574 -0.015084 2.1824 -3.7551
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.136 2.306 -3.9418 0.60546
3.386 1.777 -0.3272 -0.08369
3.786 1.347 -4.7886 0.16525
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.983 0.70567 -3.7398 8.042
2.957 -0.55248 0.4749 11.033
2.495 -0.04156 -0.3346 9.206
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.03014 5.0466 6.1163 0.09994
0.17902 -2.9818 -1.5924 2.46146
0.09740 0.4509 0.6811 -1.57627
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
10.039 0.2425 0.17167 -7.686
4.561 0.1788 0.13330 9.210
-1.950 -0.3055 0.09306 3.718
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.473 -3.2004 0.60842 -3.342
-2.661 6.4372 0.03060 -2.319
-2.566 0.1129 -0.08208 5.204
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.209 0.0799 -1.994 -0.3240
-2.170 0.1416 -0.696 -0.8976
5.403 0.1607 1.190 -0.8730
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.544 -0.7051 0.41661 0.1572692
-1.874 -0.8551 0.06015 0.3096716
-2.313 -1.1317 0.07127 -0.0006944
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.212 -0.03698 0.8501 -1.7012
-2.690 0.07780 -0.1683 0.4609
-2.340 -0.13548 0.0678 -0.2346
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.1864 0.6589 -0.2010 -0.6283
0.6130 0.3665 -0.7834 -0.3171
0.7489 0.3636 0.6491 -0.5591
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.9686 -0.4953 1.87144 -0.3013
-0.5908 0.8687 -0.49631 0.3858
0.7959 0.3228 0.09353 -0.2439
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8432 0.09081 6.102 3.88419
0.9091 -0.37950 5.207 1.30146
0.7435 -0.35078 3.610 0.07602
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.94641 -1.0685 0.1142 -0.296053
-0.36686 -0.1463 -0.1983 -0.195109
0.00581 -0.1712 0.1506 -0.005557
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.3000 -0.10573 16.67 220.0
2.9747 -0.04036 15.91 220.5
0.9617 -0.34307 15.37 220.0
rnd_95776.volume rnd_95787.volume
0.3093 -1.9755
-2.7281 -2.6881
-0.9406 0.4781
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.264 5.003 11.79 7.860 28.38 4.274 3.183 9.293 10.01 6.524 4.336
[2,] 7.351 5.004 11.79 9.228 28.51 4.275 3.245 9.328 10.02 9.768 5.004
[3,] 7.421 5.073 11.79 10.268 28.91 4.552 3.317 9.499 10.11 9.799 5.036
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.826 5.020 6.472 6.978 5.457 7.434 7.729 11.27 9.446 15.92 5.270
[2,] 7.985 5.096 6.486 6.990 5.458 7.949 8.422 12.55 10.277 15.93 5.274
[3,] 8.831 5.248 6.490 7.007 5.458 7.964 8.506 13.18 10.765 15.94 5.277
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.16 9.844 3.475 7.607 7.375 6.315 7.323 3.217 8.699 7.762
[2,] 24.42 10.447 3.556 9.171 9.385 6.352 9.210 3.225 9.407 8.087
[3,] 24.43 11.846 3.573 11.912 11.203 6.602 10.182 3.230 10.327 8.630
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.767 8.242 8.828 7.874 7.151 7.166 5.923 2.202 6.345 1.770 5.888
[2,] 3.851 8.963 9.546 8.766 7.651 7.668 6.399 2.202 6.857 1.772 6.283
[3,] 3.942 9.809 9.999 9.211 8.080 7.696 6.811 2.210 7.013 1.772 6.365
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.779 5.140 2.850 6.663 7.790 8.484 4.584 9.288 7.999 3.516 7.241
[2,] 6.725 5.314 3.053 7.451 7.864 8.515 4.651 10.517 8.131 3.524 9.542
[3,] 7.195 5.600 3.132 7.698 8.147 9.243 4.779 10.936 8.976 3.543 10.203
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.263 5.797 4.003 6.160 2.097 5.569 3.117 5.498 5.841 6.297 8.272
[2,] 8.263 7.141 6.870 6.161 2.099 6.246 3.229 5.540 5.866 7.624 9.665
[3,] 8.905 8.549 8.365 6.167 2.102 8.042 3.428 6.494 5.869 7.739 9.700
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.915 8.072 4.827 8.379 3.402 7.335 7.898 8.546 8.269 9.072 8.042
[2,] 3.946 8.797 4.936 9.430 3.492 7.411 8.511 8.971 9.374 10.021 9.077
[3,] 3.998 9.038 5.046 9.984 3.616 7.517 8.539 9.100 9.397 10.913 9.167
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.913 2.296 6.629 5.110 7.911 3.996 4.042 2.895 7.563 5.808 10.17
[2,] 8.698 2.301 7.593 5.581 8.649 4.018 4.351 3.014 7.892 5.825 10.54
[3,] 9.048 2.316 8.419 5.907 8.926 4.033 4.431 3.032 7.977 5.836 10.73
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.30 3.006 3.163 4.282 4.322 5.174 3.710 5.118 12.29 22.31 8.145
[2,] 10.52 4.058 4.443 4.287 4.326 5.182 3.729 5.520 15.70 26.43 10.099
[3,] 11.12 4.515 4.492 4.318 4.360 5.438 3.795 5.999 18.25 26.86 11.023
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.224 6.353 14.97 9.98 36.04 5.427 4.042 11.8 12.71
[2,] 145.698 12.881 24.55 621.95 351.16 11.637 81.042 105.3 45.77
[3,] 130.989 106.977 31.87 579.39 613.88 201.187 88.429 230.8 172.93
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.285 5.506 8.668 6.374 8.218 8.861 6.929 9.44 9.815
[2,] 935.154 321.401 532.947 113.205 55.671 53.680 13.836 362.38 430.242
[3,] 100.131 72.598 485.352 161.208 28.721 62.926 10.895 62.12 153.489
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 14.31 12.0 20.22 6.693 17.98 12.5 4.412 9.66 9.366 8.019
[2,] 709.97 520.8 82.95 25.053 2558.58 449.9 97.473 658.90 746.608 87.858
[3,] 519.70 412.2 68.38 23.282 90.34 718.4 44.794 977.83 786.950 231.735
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 9.3 4.085 11.05 9.857 4.784 10.47 11.21 9.998 9.081
[2,] 718.4 29.618 460.86 292.028 102.799 453.13 467.46 495.698 350.040
[3,] 558.4 22.331 547.91 387.398 108.651 512.54 382.81 363.894 334.067
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 9.099 7.521 2.797 8.058 2.248 7.477 7.339 6.527 3.62
[2,] 351.239 311.439 2.913 334.263 9.999 282.073 442.394 173.628 140.65
[3,] 84.731 300.447 24.083 189.415 2.594 131.771 329.206 227.258 90.28
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 8.461 9.892 10.77 5.82 11.79 10.16 4.465 9.195 7.954
[2,] 428.862 138.726 93.92 101.52 634.76 188.00 29.949 799.478 693.282
[3,] 249.087 273.606 462.73 141.40 385.79 489.06 48.032 464.508 427.221
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 7.362 5.083 7.823 2.663 7.071 3.958 6.981 7.418 7.997
[2,] 536.237 718.245 12.900 12.669 363.799 108.497 87.747 68.583 552.833
[3,] 604.730 613.745 33.808 13.270 651.642 148.365 435.953 25.484 171.368
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 10.5 4.971 10.25 6.129 10.64 4.32 9.314 10.03 10.85
[2,] 643.1 63.706 449.82 132.998 556.60 101.44 136.416 408.22 350.92
[3,] 106.4 82.495 267.06 134.873 421.89 120.48 161.586 88.90 196.38
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.50 11.52 10.21 10.05 2.915 8.418 6.489 10.05 5.075
[2,] 567.93 547.73 541.52 464.59 21.116 476.235 288.696 449.55 53.675
[3,] 86.38 555.78 165.30 320.64 33.037 467.948 249.151 284.15 44.173
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 5.132 3.677 9.604 7.375 12.91 13.08 3.818 4.016 5.437
[2,] 207.124 107.803 289.922 58.068 355.97 271.54 350.695 401.339 26.870
[3,] 107.884 41.964 149.791 46.872 260.27 465.16 254.395 84.987 66.385
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.488 6.57 4.711 6.499 15.61 28.33 10.34
[2,] 24.330 37.50 48.468 266.261 1257.70 1822.44 768.01
[3,] 69.981 212.20 90.813 302.074 1195.97 618.82 568.16
[1] "--- VAR model 2017-10-04 12:01:00 completed"
[1] "Completed training sample: 2017-10-04 12:01:00 - 2017-10-04 20:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 12:31:00 - 2017-10-04 20:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8594 -0.9806 -1.40149 -6.506
0.7938 -0.6086 -0.08939 -3.281
0.5072 -0.2189 0.10923 -1.599
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.1794 -0.01795 1.272 1.3286
0.8863 0.36470 1.797 1.0197
0.4722 0.03159 1.200 0.6395
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6944 0.7184 -0.2198 -12.67
-0.1259 0.6341 -0.4569 -12.87
-0.3516 0.5496 -0.6916 -12.05
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.083 -0.16647 0.1989 -0.273735
-1.239 -0.29705 0.5963 0.003568
-1.357 -0.03358 0.1006 -0.043346
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.074 0.3140 -0.06501 -0.2934
-1.573 -0.5294 -0.08593 3.7235
-1.175 -0.8026 -2.61478 -0.3581
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.11841 -0.24050 -0.1085 -4.4282
-0.01352 0.01789 -3.2299 -0.2424
0.00969 0.10576 -0.6120 -0.7279
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.24073 -3.7160 -1.875 4.570
0.04817 -0.6378 -2.351 4.758
-0.03784 -1.8472 -1.008 2.717
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.344 0.74877 -6.214 0.6137
-3.574 -0.41999 -1.883 -0.5792
-1.543 0.08412 -2.331 -1.5211
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.3422 -4.405 -1.814 -3.563
-1.1866 -1.648 -3.575 -3.290
-0.3296 -2.803 -2.307 -1.788
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5732 -0.3458 4.456 0.16987
0.8008 -3.0193 4.468 -0.03142
0.6190 0.1802 3.535 -0.04605
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.735 -0.006782 1.993 -14.315
2.817 0.090324 -2.109 -6.974
2.018 0.003876 -1.597 -11.731
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.496 1.3711 -8.982 2.1430
3.570 0.5309 -7.985 -0.7783
3.551 0.7466 -4.346 0.2103
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.6577 1.1468 -0.6378 9.805
-0.7393 1.3462 -2.6292 10.515
-0.7577 0.1791 -3.0507 9.078
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2541 -8.4344 -8.217 -2.926
0.3389 -0.9991 -0.392 -5.677
0.2826 -3.5378 -2.259 -0.328
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.3758 0.50194 0.21290 -3.560
-8.5629 0.38054 0.09484 4.174
-0.9522 -0.08219 0.01548 -8.359
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3072 -4.028 -0.3968 0.2293
-0.0808 3.264 -0.0366 -2.1424
-0.1173 -2.774 -0.4060 2.0900
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.8182 0.5534 -1.24506 0.1058
-3.0653 0.4863 0.06151 0.3778
2.7380 0.2522 0.44686 -0.3573
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.339 -1.239 1.32228 1.3607
-0.230 -1.468 0.01182 0.7504
-1.898 -1.539 0.59468 0.1753
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.725 2.0276 -2.950 3.260
-2.398 0.9315 -3.874 1.746
-3.141 -0.4237 -2.908 1.087
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.9881 -0.08552 3.029 -3.234
2.6564 -0.05214 3.506 -2.763
2.2393 0.03945 2.387 -2.392
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.576 0.6908 -2.3715 -0.6324
1.381 1.7562 -0.1916 0.1462
2.693 1.6056 -0.4486 -0.2850
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.4430 0.07368 2.512 -3.382
0.2403 -0.46618 2.003 -3.141
0.4076 -0.12957 1.743 -1.951
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.8692 -0.565802 -0.0361 0.11395
-0.6551 0.226570 0.2151 -0.01331
0.2184 0.004895 -0.1032 0.01549
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.6247 0.5903 18.06 225.5
0.2567 -0.2122 16.58 226.6
-1.9122 -0.9189 16.82 225.2
rnd_95776.volume rnd_95787.volume
-11.44 -2.4972
-11.95 -0.7502
-13.97 -0.7919
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.209 5.011 11.87 7.849 28.26 4.253 3.214 9.317 10.08 6.523 4.310
[2,] 7.288 5.011 11.88 9.208 28.40 4.253 3.280 9.368 10.08 9.785 5.025
[3,] 7.354 5.077 11.88 10.176 28.79 4.527 3.349 9.501 10.15 9.810 5.056
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.759 5.017 6.427 7.186 5.614 7.447 7.678 12.65 9.467 15.96 5.474
[2,] 7.966 5.080 6.445 7.191 5.618 7.935 8.398 13.61 10.230 15.98 5.482
[3,] 8.817 5.234 6.445 7.191 5.619 7.955 8.480 14.24 10.710 15.99 5.482
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.16 9.305 3.455 7.636 7.276 6.314 7.289 3.231 8.562 7.832
[2,] 24.59 10.009 3.532 9.135 9.357 6.367 9.214 3.242 9.269 8.213
[3,] 24.61 11.516 3.552 11.916 11.184 6.614 10.134 3.245 10.325 8.787
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.727 8.237 8.930 7.815 7.005 7.173 6.112 2.163 6.300 1.705 5.874
[2,] 3.821 8.934 9.652 8.694 7.461 7.667 6.567 2.163 6.856 1.707 6.270
[3,] 3.906 9.855 10.075 9.117 7.934 7.693 6.998 2.173 7.024 1.707 6.355
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.864 5.147 2.825 6.342 7.669 8.377 4.613 9.212 8.176 3.478 7.328
[2,] 6.754 5.330 3.041 7.288 7.741 8.407 4.690 10.479 8.318 3.489 9.527
[3,] 7.229 5.619 3.137 7.529 7.995 9.134 4.801 10.811 9.140 3.501 10.195
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.406 5.832 3.986 6.179 2.074 5.608 3.081 5.542 5.834 6.300 8.199
[2,] 8.329 7.226 6.965 6.180 2.078 6.286 3.185 5.579 5.854 7.773 9.658
[3,] 8.965 8.549 8.372 6.188 2.080 8.166 3.395 6.431 5.857 7.867 9.692
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.868 8.140 4.852 8.403 3.409 7.317 7.842 8.427 8.200 9.221 8.082
[2,] 3.903 8.898 4.991 9.503 3.495 7.390 8.456 8.807 9.295 10.143 9.129
[3,] 3.948 9.146 5.071 10.148 3.614 7.494 8.484 8.966 9.315 11.006 9.223
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.993 2.269 6.677 5.130 7.914 3.970 4.105 2.864 7.666 5.786 10.26
[2,] 8.790 2.272 7.700 5.632 8.740 4.001 4.404 2.973 8.012 5.798 10.67
[3,] 9.137 2.287 8.522 5.973 9.029 4.013 4.484 2.990 8.090 5.808 10.81
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.23 2.913 3.087 4.274 4.303 5.222 3.711 5.271 12.73 22.37 8.217
[2,] 10.42 4.004 4.411 4.278 4.307 5.230 3.733 5.689 15.93 26.19 10.215
[3,] 11.02 4.475 4.462 4.309 4.345 5.540 3.807 6.171 18.18 26.67 11.174
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.155 6.364 15.08 9.966 35.89 5.40 4.082 11.83 12.79
[2,] 138.577 5.012 45.54 625.477 365.30 10.79 84.786 127.11 52.17
[3,] 128.574 105.873 36.43 562.883 614.35 201.52 88.220 206.00 154.04
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.283 5.473 8.583 6.371 8.162 9.126 7.129 9.457 9.75
[2,] 947.488 335.703 547.572 103.643 62.273 35.340 27.809 355.855 442.09
[3,] 91.915 71.769 491.048 163.752 9.673 7.296 18.869 72.998 152.61
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.06 12.02 20.27 6.951 17.98 11.82 4.387 9.696 9.239
[2,] 653.00 503.46 96.37 38.312 2611.47 479.38 95.159 651.344 764.393
[3,] 546.35 411.92 79.41 8.435 134.57 739.72 48.808 994.063 795.806
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.018 9.255 4.103 10.87 9.946 4.732 10.46 11.34 9.923
[2,] 106.928 732.196 34.336 461.14 321.279 109.606 449.51 475.79 495.027
[3,] 232.766 548.150 17.592 591.16 405.702 105.374 540.53 375.56 356.482
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.895 9.108 7.762 2.747 8.001 2.165 7.459 7.446 6.536
[2,] 333.692 351.718 311.754 5.884 351.392 10.084 284.955 435.347 180.194
[3,] 350.610 83.639 314.329 27.327 198.196 6.446 134.788 334.987 230.881
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.588 8.054 9.739 10.64 5.858 11.7 10.38 4.417 9.306
[2,] 146.047 466.555 137.082 92.30 109.597 648.8 199.11 35.528 790.822
[3,] 99.976 245.275 259.971 464.22 133.619 345.7 491.97 38.960 471.444
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.134 7.406 5.062 7.847 2.634 7.121 3.912 7.038 7.409
[2,] 691.581 554.207 741.935 12.226 15.445 368.964 105.280 83.768 61.721
[3,] 430.869 593.656 603.580 40.415 13.801 677.192 152.798 415.394 25.120
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.0 10.41 4.912 10.34 6.161 10.67 4.329 9.292 9.958
[2,] 591.5 663.02 67.510 466.97 152.304 576.37 100.525 134.362 410.985
[3,] 157.7 105.99 77.659 274.80 116.000 462.87 119.220 162.279 90.221
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.7 10.41 11.71 10.26 10.15 2.881 8.478 6.514 10.05
[2,] 332.8 568.81 549.06 551.44 475.06 16.210 498.322 301.886 481.64
[3,] 218.8 79.82 554.95 171.12 324.27 34.180 474.329 258.608 294.69
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.042 5.213 3.637 9.734 7.347 13.02 13.0 3.699 3.92
[2,] 64.628 207.082 103.843 302.656 48.760 383.56 251.6 356.840 409.31
[3,] 39.330 109.673 40.565 146.008 45.726 220.21 468.0 259.783 87.53
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.427 5.464 6.631 4.712 6.694 16.16 28.41 10.43
[2,] 26.711 23.838 38.364 52.822 277.898 1244.96 1769.51 788.31
[3,] 66.779 74.342 237.293 96.894 310.883 1138.03 654.57 588.57
[1] "--- VAR model 2017-10-04 12:31:00 completed"
[1] "Completed training sample: 2017-10-04 12:31:00 - 2017-10-04 20:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 13:01:00 - 2017-10-04 21:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1992 -0.1334 -1.803 -14.615
-0.7558 -0.6303 -2.418 -2.627
0.5686 -0.3106 -2.233 -9.534
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.2853 -0.009912 -0.5674 -1.1233
0.1618 1.101772 -0.7718 -0.0199
0.1993 0.105141 -0.5023 0.3410
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.552 1.1895 -2.6987 -13.70
-1.388 -1.3787 -0.8056 -14.67
-1.266 0.1873 -0.5928 -15.20
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.975 -0.4391 0.009249 0.14684
-1.354 -0.4404 0.473742 0.02455
-1.022 -0.2204 0.228425 0.13461
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.2879 2.8098 4.1699 1.082
-0.3216 -0.8642 3.7289 5.003
-0.0174 -0.1416 0.9257 2.143
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.2414 -0.03565 -27.401 -0.9245
-0.7692 0.01169 -4.251 -9.6571
-0.3423 -0.01772 -4.700 0.2625
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1079 0.0004396 -9.634 3.985
-1.1018 -11.7514482 -9.187 2.916
-0.3032 -1.5720422 -4.329 1.859
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.8732 0.171525 -9.397 -2.868
-0.1361 0.137805 -10.368 -3.578
-9.7703 0.002658 -3.447 -3.697
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5370 -8.785 -2.724 4.502
-1.3068 -8.322 -8.711 -6.187
-0.2407 -1.775 -3.458 -6.034
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.209 0.1880 5.713 -0.004565
-1.915 0.9168 5.320 0.222343
-1.524 5.6389 4.075 0.133547
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.549 -0.306292 1.1003 -11.398
2.173 -0.001904 -0.7616 -8.731
1.546 0.102545 -2.9239 -11.279
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.3135 -0.6905 -9.759 1.3750
-1.3578 -0.4329 -6.625 0.2912
-0.9648 -0.3601 -5.421 0.3085
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.096 -0.9940 -6.245 7.946
8.611 -0.4826 -2.103 8.730
6.545 -0.5602 -1.794 6.691
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.07266 1.036 4.867 2.938
0.23874 -4.715 -3.338 -1.003
0.19556 -2.024 -1.199 -2.845
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.504 0.2515 -0.095124 2.436
4.239 -0.3900 0.042114 7.140
-3.583 -0.1974 0.002605 3.995
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2222 -0.1396 0.05865 9.3187
-0.9181 4.4602 0.22516 0.4023
-0.6313 2.1060 0.44434 3.5382
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.2907 0.08353 3.653 2.633
0.2548 0.30654 3.544 3.227
4.2545 0.17920 1.735 1.564
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.261 0.2272 -0.2630 -0.4245
7.798 0.3693 0.4389 -0.4481
1.130 0.2351 -0.1305 0.6394
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.4942 -0.6675 8.518 5.371
0.4710 -0.1538 6.871 2.005
-0.3062 0.3702 5.607 1.468
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.8439 0.21683 0.4693 1.0145
-0.1783 0.01281 4.1107 0.6880
0.3308 0.02559 1.4852 0.4207
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.4414 -0.1366 1.5014 0.07569
2.9610 0.5245 -1.1714 0.15493
0.9376 -0.1054 -0.3943 0.21470
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.945 -0.1724 -0.9396 -2.518
0.483 0.1581 -1.9380 -5.870
1.053 -0.3418 -0.3807 -4.036
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.5344 -0.6846 0.35396 0.27721
-0.6968 0.4319 -0.14086 -0.09630
0.3999 -0.1147 0.05108 0.04603
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.9834 1.539 15.04 224.4
3.4726 3.429 15.03 223.3
1.8815 1.454 14.80 223.2
rnd_95776.volume rnd_95787.volume
-10.01 -9.041
-10.69 -5.001
-11.77 -1.956
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.032 4.949 11.74 7.842 27.51 4.246 3.197 9.267 9.940 6.440 4.319
[2,] 7.124 4.949 11.75 9.225 27.67 4.247 3.270 9.324 9.955 9.737 5.026
[3,] 7.190 5.010 11.75 10.290 27.95 4.524 3.346 9.455 10.024 9.766 5.058
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.697 5.016 6.271 7.053 5.693 7.441 7.662 12.75 9.473 15.76 5.646
[2,] 7.854 5.078 6.306 7.064 5.696 7.837 8.470 13.60 10.222 15.78 5.654
[3,] 8.713 5.243 6.306 7.066 5.701 7.861 8.538 14.26 10.788 15.78 5.655
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.05 9.226 3.315 7.467 7.108 6.205 7.306 3.271 8.426 7.559
[2,] 24.26 9.895 3.418 9.039 9.381 6.253 9.250 3.282 9.052 7.912
[3,] 24.29 11.537 3.522 11.803 10.847 6.511 10.403 3.285 10.093 8.540
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.722 8.220 8.855 7.825 6.882 7.130 6.102 2.116 6.291 1.657 5.902
[2,] 3.820 8.818 9.547 8.640 7.362 7.614 6.584 2.117 6.844 1.660 6.362
[3,] 3.900 9.768 9.960 8.961 7.832 7.639 7.039 2.125 7.008 1.661 6.445
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.806 5.110 2.793 6.322 7.613 8.395 4.580 9.322 8.291 3.451 7.359
[2,] 6.703 5.299 2.994 7.289 7.675 8.432 4.653 10.505 8.434 3.462 9.517
[3,] 7.257 5.577 3.100 7.505 7.941 9.153 4.776 10.878 9.237 3.474 10.119
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.330 5.818 3.956 6.176 1.993 5.562 3.044 5.486 5.847 6.165 8.162
[2,] 8.396 7.243 6.833 6.178 2.002 6.246 3.151 5.511 5.869 7.659 9.633
[3,] 8.973 8.547 8.373 6.187 2.002 8.074 3.364 6.356 5.873 7.733 9.658
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.805 8.001 4.832 8.289 3.400 7.248 7.749 8.343 8.096 9.153 7.687
[2,] 3.839 8.794 4.976 9.370 3.479 7.322 8.331 8.752 9.196 10.143 8.867
[3,] 3.878 9.068 5.058 10.028 3.599 7.420 8.356 8.922 9.216 11.034 8.963
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.971 2.225 6.647 4.960 7.768 3.977 4.124 2.804 7.631 5.744 10.07
[2,] 8.766 2.229 7.584 5.504 8.505 4.012 4.456 2.914 7.978 5.754 10.45
[3,] 9.081 2.245 8.400 5.875 8.794 4.020 4.540 2.929 8.060 5.765 10.58
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.22 2.841 3.022 4.250 4.288 5.112 3.678 5.341 13.83 22.09 9.596
[2,] 10.48 3.959 4.387 4.255 4.292 5.121 3.688 5.761 16.64 25.82 10.660
[3,] 11.07 4.451 4.437 4.289 4.333 5.430 3.742 6.259 18.76 26.30 11.225
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.93 6.285 14.90 9.958 34.93 5.392 4.06 11.77 12.62
[2,] 154.73 6.643 70.31 659.535 413.49 10.965 92.91 139.72 76.31
[3,] 132.22 105.882 30.89 619.029 532.91 211.893 96.64 213.40 160.06
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.177 5.485 8.504 6.369 7.963 8.957 7.229 9.449 9.73
[2,] 991.489 349.006 557.105 108.110 90.621 52.565 25.376 334.101 490.28
[3,] 102.073 76.964 512.217 177.054 6.621 24.245 33.841 82.859 145.21
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.19 12.03 20.01 7.17 17.84 11.72 4.209 9.482 9.026
[2,] 642.73 521.58 106.03 41.15 2685.11 485.39 113.205 691.466 831.098
[3,] 579.56 468.24 71.08 14.58 164.66 805.37 115.554 1030.519 739.510
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.879 9.277 4.154 10.7 9.599 4.726 10.44 11.24 9.936
[2,] 105.302 770.182 36.668 448.9 317.410 116.675 433.57 484.69 497.375
[3,] 246.397 646.298 19.732 606.1 436.452 106.843 570.58 385.27 322.911
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.739 9.054 7.748 2.687 7.989 2.104 7.495 7.373 6.489
[2,] 354.949 362.684 336.027 8.297 365.917 14.201 322.381 454.937 190.443
[3,] 363.149 84.672 337.802 25.689 204.727 5.296 140.185 377.537 236.152
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.547 8.028 9.668 10.66 5.816 11.84 10.53 4.382 9.345
[2,] 146.559 492.440 132.062 107.02 111.489 657.81 210.07 38.136 819.170
[3,] 109.080 242.790 276.734 483.57 146.260 383.38 511.52 39.591 466.771
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.038 7.388 5.024 7.843 2.531 7.063 3.865 6.966 7.425
[2,] 748.814 585.616 756.276 19.779 24.412 385.926 110.616 71.460 69.190
[3,] 429.988 616.028 657.141 45.525 5.898 694.563 160.022 429.948 29.263
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.829 10.36 4.832 10.16 6.136 10.53 4.318 9.204 9.84
[2,] 616.861 694.65 69.153 495.65 161.504 593.29 100.368 141.793 415.12
[3,] 145.733 94.01 74.842 300.38 123.099 485.04 124.675 163.367 89.57
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.59 10.28 11.62 9.762 10.12 2.826 8.44 6.298 9.864
[2,] 359.19 592.04 593.58 599.875 495.25 17.981 495.95 324.045 470.048
[3,] 235.49 83.34 589.81 178.135 322.01 35.725 490.27 278.960 303.893
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.05 5.236 3.56 9.69 7.294 12.79 12.98 3.608 3.838
[2,] 71.56 229.344 107.95 316.25 45.793 379.47 314.85 374.354 431.801
[3,] 35.00 118.056 40.76 155.55 47.952 220.37 486.75 276.043 89.717
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.396 5.445 6.492 4.671 6.782 17.56 28.05 12.19
[2,] 28.521 23.008 41.940 37.652 293.312 1256.74 1814.37 630.49
[3,] 73.533 80.943 245.154 85.939 332.296 1177.16 682.15 477.47
[1] "--- VAR model 2017-10-04 13:01:00 completed"
[1] "Completed training sample: 2017-10-04 13:01:00 - 2017-10-04 21:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 13:31:00 - 2017-10-04 21:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.1061 0.03587 -6.063 -16.800
0.1381 0.64357 -3.358 -9.138
-0.2179 0.33302 -4.752 -14.662
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.4122 0.7216 2.294 0.6925
-1.0894 0.4300 1.906 -1.6972
-0.4908 0.2956 2.187 -0.6653
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6707 -3.443 -2.6673 -14.35
-1.6693 0.290 0.2127 -11.48
-1.7220 -1.393 -0.7820 -13.54
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.841 -0.6982 0.547363 -0.34096
-2.682 -0.4957 -0.007726 0.02608
-2.131 -0.3609 0.137568 -0.28992
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.3189 -1.7737 -1.6527 -1.0323
-0.8910 -0.9451 0.6295 -0.3627
-0.5669 -0.3222 -1.2481 -1.7828
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.159 -0.3117 -43.51 -5.303
-1.913 -0.1625 -14.76 -13.395
-1.240 -0.1021 -6.98 -2.017
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.315 -6.105 -9.124 -2.657
-2.292 -16.835 -14.547 -1.988
-1.145 -4.682 -8.064 -1.424
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.581 0.078058 -13.849 -4.626
-6.705 -0.001187 -8.593 -5.654
-14.181 -0.065112 -9.437 -5.792
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.142 -13.325 -10.01 -9.468
1.372 -10.896 -10.50 -10.529
0.667 -7.659 -7.42 -7.582
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.3027 3.374 0.5546 0.18103
-1.1598 -4.641 0.7805 0.21511
-0.9978 -3.016 0.5682 0.06539
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.08173 0.22162 -4.157 -17.41
0.11774 -0.03178 -5.269 -15.63
0.05474 -0.03037 -5.309 -16.19
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.5899 -0.09799 -9.336 0.5384
-1.6586 -0.82807 -12.486 1.4257
-0.3406 -0.56735 -11.381 0.6975
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.118 -2.405 -11.4626 4.362
-2.530 -1.718 -0.7947 4.338
-1.987 -1.481 -4.5179 3.204
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2761 -12.547 -3.7651 1.055
0.2345 -5.653 -8.3549 -10.904
0.2925 -2.606 -0.8022 -3.102
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.34 0.15366 -0.16155 -12.910
-2.43 -0.07636 0.07870 -9.198
-9.44 -0.07598 -0.09784 -2.452
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.3325 -6.8001 0.8383 0.6928
-0.9553 -6.7594 0.9030 -6.2635
-0.6588 0.1806 0.9280 -4.2638
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.078 0.5895 -5.319 -0.4143
-5.733 0.2941 -2.207 0.2460
-5.154 0.1459 -5.599 -0.4812
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.363 0.4586 0.8201 -1.6030
-1.464 0.7644 0.7708 0.3857
-5.995 0.2603 -0.5079 0.3461
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.4191 -3.2320 -3.723 -2.2016
0.4413 0.7788 -3.244 1.1646
0.2605 0.7382 -2.590 0.7561
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.7707 0.1603 3.2572 0.7536
-1.1381 0.4292 -1.3982 0.5774
-0.1354 0.1464 0.6181 0.5910
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.5305 -0.2809 -1.01569 0.4100
0.7876 -0.3318 -1.99536 0.4403
-0.3414 -0.5498 -0.09202 -0.4739
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.0003139 -0.37693 2.702 2.235
-0.8712595 0.18799 2.055 2.360
-0.5974364 0.05265 1.357 1.887
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.48230 -0.6656 0.75075 0.39604
-0.07033 0.5583 -0.27196 -0.18228
0.22420 -0.2537 0.08266 0.07153
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.9957 -0.5109 14.57 240.3
-4.8445 -0.5579 14.11 238.5
-0.9685 -0.1657 13.95 238.8
rnd_95776.volume rnd_95787.volume
-10.45 -12.968
-17.67 -8.572
-23.16 -2.658
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.004 4.994 11.94 7.74 26.75 4.227 3.163 9.178 9.695 6.444 4.291
[2,] 7.105 4.994 11.97 9.16 26.92 4.227 3.238 9.228 9.723 9.719 4.989
[3,] 7.183 5.044 11.99 10.14 27.16 4.507 3.306 9.363 9.802 9.741 5.028
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.469 4.911 5.963 6.892 5.943 7.341 7.579 11.93 9.303 15.82 5.628
[2,] 7.477 4.970 6.030 6.908 5.948 7.683 8.367 12.48 9.924 15.86 5.637
[3,] 8.261 5.149 6.030 6.912 5.956 7.716 8.419 13.04 10.509 15.89 5.637
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.53 9.288 3.309 7.519 7.05 6.220 7.206 3.263 8.345 7.477 3.934
[2,] 24.23 9.949 3.400 9.036 9.32 6.255 9.243 3.278 8.974 7.786 3.936
[3,] 24.33 11.653 3.510 11.857 10.77 6.527 10.321 3.281 10.036 8.403 3.992
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.375 8.554 7.883 6.641 6.992 6.069 2.073 6.185 1.601 5.827 5.581
[2,] 8.855 9.395 8.743 7.167 7.483 6.583 2.075 6.749 1.608 6.294 6.374
[3,] 9.836 9.862 8.987 7.617 7.511 7.034 2.091 6.899 1.610 6.439 6.922
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.075 2.785 6.092 7.558 8.396 4.628 9.209 8.420 3.432 7.269 6.384
[2,] 5.242 3.002 7.436 7.611 8.428 4.694 10.357 8.538 3.445 9.402 8.362
[3,] 5.504 3.097 7.631 7.885 9.129 4.814 10.726 9.458 3.455 10.002 8.937
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.800 3.891 6.126 1.966 5.507 3.053 5.402 5.723 6.156 8.114 3.730
[2,] 7.233 6.875 6.128 1.971 6.189 3.166 5.428 5.738 7.584 9.558 3.771
[3,] 8.517 8.348 6.133 1.971 8.085 3.364 6.253 5.741 7.677 9.581 3.813
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.947 4.711 8.317 3.392 7.187 7.736 8.231 8.031 8.903 7.954 7.906
[2,] 8.742 4.876 9.395 3.462 7.295 8.364 8.572 9.182 9.934 8.999 8.733
[3,] 8.992 4.939 10.061 3.580 7.384 8.396 8.748 9.214 10.851 9.087 9.054
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.209 6.670 4.957 7.734 3.975 4.111 2.735 7.796 5.727 9.758 10.33
[2,] 2.213 7.687 5.506 8.507 4.011 4.417 2.833 8.051 5.739 10.134 10.57
[3,] 2.226 8.514 5.894 8.796 4.018 4.494 2.847 8.102 5.749 10.348 11.15
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.811 2.941 4.269 4.277 5.087 3.573 5.362 14.48 21.93 9.603
[2,] 3.931 4.367 4.278 4.282 5.094 3.581 5.796 17.26 25.73 10.699
[3,] 4.441 4.422 4.307 4.321 5.408 3.619 6.284 19.25 26.37 11.308
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.894 6.341 15.16 9.828 33.96 5.367 4.017 11.65 12.31
[2,] 163.560 10.558 112.72 668.061 416.56 10.764 94.767 131.39 101.30
[3,] 144.140 96.148 108.16 593.058 488.96 213.101 91.069 216.02 169.39
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.182 5.449 8.215 6.237 7.572 8.752 7.546 9.322 9.624
[2,] 992.070 347.106 511.321 103.900 122.662 64.151 35.450 309.268 483.319
[3,] 90.595 85.973 479.080 183.862 8.124 33.171 42.248 97.872 128.398
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.15 11.81 20.09 7.147 17.18 11.79 4.202 9.548 8.952
[2,] 499.29 471.27 150.43 43.004 2740.43 486.51 106.209 683.200 831.402
[3,] 515.52 471.62 120.15 11.544 310.36 827.38 119.236 1046.955 736.858
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.899 9.151 4.143 10.6 9.495 4.995 10.63 10.86 10.01
[2,] 89.769 789.344 42.845 450.1 296.001 18.065 392.40 529.88 515.56
[3,] 254.119 626.100 19.418 612.5 431.158 91.188 583.91 408.92 284.04
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.433 8.879 7.707 2.632 7.854 2.033 7.399 7.088 6.445
[2,] 367.654 363.432 347.617 11.075 368.315 20.752 324.730 419.828 178.593
[3,] 351.643 88.752 338.140 35.333 195.252 9.595 185.214 368.217 229.203
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.537 7.737 9.598 10.66 5.877 11.69 10.69 4.359 9.23
[2,] 152.783 581.393 121.794 100.98 106.915 646.21 193.44 40.467 813.17
[3,] 103.593 233.495 281.200 478.42 145.967 380.70 554.93 35.707 465.26
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.106 7.365 4.941 7.779 2.497 6.993 3.876 6.86 7.268
[2,] 736.600 589.448 772.873 23.237 19.223 385.126 114.253 72.90 56.291
[3,] 429.931 613.114 645.904 31.278 4.838 709.457 155.282 423.12 25.368
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.817 10.30 4.736 10.09 5.983 10.56 4.307 9.127 9.823
[2,] 603.992 689.01 75.975 496.89 171.269 595.99 94.472 170.718 433.527
[3,] 162.815 89.22 77.421 287.08 107.430 490.71 124.498 155.805 101.027
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.45 10.2 11.31 10.1 10.04 2.806 8.47 6.295 9.821 5.048
[2,] 326.30 607.1 600.95 573.8 505.64 17.333 520.96 326.786 483.106 72.752
[3,] 238.35 104.3 595.42 172.6 326.00 32.547 499.25 286.868 305.240 33.420
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 5.22 3.473 9.9 7.272 12.39 13.12 3.57 3.734 5.422
[2,] 220.52 100.637 274.1 50.236 373.43 303.29 374.60 440.208 36.314
[3,] 112.88 39.461 124.2 46.722 285.43 485.27 281.81 95.174 69.060
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.432 6.459 4.538 6.808 18.39 27.85 12.19
[2,] 28.731 36.499 32.487 300.308 1279.71 1834.03 643.26
[3,] 78.863 247.839 71.320 330.994 1161.89 786.26 499.52
[1] "--- VAR model 2017-10-04 13:31:00 completed"
[1] "Completed training sample: 2017-10-04 13:31:00 - 2017-10-04 21:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 14:01:00 - 2017-10-04 22:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.52674 -1.0338 -5.102 -7.189
-0.06965 -1.5086 -3.853 -11.822
0.19265 -0.7194 -1.781 -4.373
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.9719 -0.009924 2.7350 -1.393
-0.4754 1.110437 0.8558 -1.774
-0.1722 0.097911 0.4481 -1.452
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.827 -5.2173 -2.764 -13.056
-2.980 -0.9566 -1.056 -9.924
-2.248 -1.8689 -1.970 -11.352
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.4718 -0.06535 0.2018 -0.1345
-0.3043 -0.20543 1.0440 -0.2323
-0.2997 0.32764 -0.1649 -0.1260
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.7273 -1.3960 -2.2330 -4.160
-1.4822 -0.5022 -1.1265 -3.415
-0.6778 -0.7684 -0.1393 -1.666
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.971 -0.10874 -11.810 -10.232
-1.075 -0.03756 -9.299 -2.160
-0.487 -0.04892 -8.035 -3.971
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.1582 -15.168 -13.203 4.152
-1.0297 -3.399 -7.378 3.335
-0.7719 -4.369 -3.159 2.284
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.635 0.30881 -2.929 -2.721
-11.765 -0.03566 -11.138 -3.390
-3.715 0.04727 -7.350 -3.985
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.191258 -0.3428 -1.266 -2.883
0.037064 -7.3714 -3.920 -1.677
0.004888 -7.8462 -8.155 -5.782
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.163 9.288 -1.1066 0.2877
1.501 4.541 -1.2041 0.5103
1.618 7.099 -0.8279 0.1251
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9280 0.28947 -2.5276 -7.252
0.5864 -0.07505 -1.5471 -9.577
0.4595 -0.07628 -0.6956 -8.534
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.5076 -1.2086 -8.605 3.918
-0.0357 -0.5417 -5.500 1.632
-0.2080 -0.6860 -7.284 1.389
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.682 -0.7243 -1.9486 14.91
2.582 -0.6513 -0.7666 13.99
2.150 0.2212 -0.5002 12.68
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.48835 1.332 3.3987 10.451
-0.31721 1.127 -0.4670 -1.015
-0.01366 1.253 -0.2654 0.801
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.422 1.1415 -0.1925 2.428
4.009 0.4643 -0.1353 11.947
-1.100 0.7622 -0.1210 3.580
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.732 -0.4665 1.698 7.871
-1.659 5.4051 1.353 1.444
-1.560 4.6298 1.653 6.320
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.371 0.03394 4.176 1.0329
1.747 0.13051 4.105 0.5665
6.142 0.05772 2.737 0.8252
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.347 -0.4332 -0.4001 0.1498
7.244 -0.1981 0.2096 -0.1436
2.413 -0.5865 0.1449 0.1169
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.8272 0.19175 -1.578 -1.0411
-1.4887 -0.47200 -2.093 -1.6006
-0.7915 0.08635 -1.495 -0.9855
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.3046 0.2114 -5.2068 0.2865
-0.4858 -0.0386 -0.8832 0.2119
-0.6921 0.1184 -1.4250 0.1171
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.9970 0.2404 0.9458 0.8198
-1.3029 0.1716 -0.3298 0.9019
-0.5201 -0.1401 -0.1333 0.4391
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.840 -0.5891 -1.142 5.255
2.634 -1.5032 -1.249 2.993
2.338 -0.8498 -1.124 3.743
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.6046 1.6790 0.74439 0.9823
0.8048 0.8720 -0.01186 0.2819
0.4423 0.2864 0.03776 0.1410
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2587 -0.46734 16.54 244.0
3.8650 0.02202 15.72 241.1
5.3490 -0.07020 15.21 242.9
rnd_95776.volume rnd_95787.volume
-4.982 -10.237
-3.875 -2.255
-5.683 -4.095
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.759 5.001 11.99 7.752 25.34 4.207 3.165 9.056 9.560 6.397 4.281
[2,] 6.879 5.004 12.05 9.149 25.54 4.208 3.233 9.102 9.602 9.579 4.991
[3,] 6.953 5.057 12.10 10.029 25.78 4.487 3.313 9.239 9.688 9.597 5.037
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.389 4.921 5.861 6.774 5.903 7.350 7.507 11.69 9.146 15.76 5.618
[2,] 7.256 4.971 5.940 6.798 5.908 7.704 8.308 12.17 9.724 15.82 5.625
[3,] 7.995 5.143 5.943 6.808 5.914 7.750 8.368 12.75 10.350 15.86 5.625
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.40 9.233 3.281 7.301 6.957 6.190 7.201 3.276 8.174 7.381 3.907
[2,] 24.19 9.870 3.376 8.779 9.259 6.223 9.077 3.291 8.855 7.678 3.907
[3,] 24.36 11.690 3.490 11.755 10.134 6.475 9.982 3.296 9.895 8.324 3.946
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.278 8.445 7.829 6.417 6.864 5.964 2.024 6.114 1.537 5.695 5.499
[2,] 8.776 9.258 8.574 6.963 7.325 6.506 2.025 6.677 1.547 6.129 6.231
[3,] 9.788 9.710 8.817 7.365 7.358 6.999 2.045 6.840 1.552 6.265 6.718
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.750 2.704 6.065 7.510 8.164 4.655 9.07 8.372 3.410 6.863 6.389
[2,] 5.077 2.917 7.426 7.547 8.192 4.717 10.23 8.480 3.418 8.965 8.256
[3,] 5.285 3.018 7.598 7.815 8.882 4.839 10.59 9.415 3.426 9.716 8.808
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.704 3.829 6.091 1.943 5.467 2.983 5.294 5.646 6.094 7.462 3.673
[2,] 7.036 6.856 6.099 1.948 6.184 3.094 5.326 5.669 7.459 8.978 3.709
[3,] 8.171 8.205 6.107 1.948 8.091 3.284 6.229 5.678 7.554 9.011 3.757
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.699 4.590 8.105 3.340 7.051 7.526 8.010 7.913 8.901 7.771 7.807
[2,] 8.505 4.778 9.240 3.415 7.166 8.121 8.383 8.972 9.927 8.629 8.578
[3,] 8.769 4.856 9.920 3.529 7.252 8.158 8.571 9.014 10.850 8.757 8.900
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.196 6.691 4.899 7.782 3.917 4.133 2.647 7.808 5.704 9.543 10.34
[2,] 2.200 7.622 5.465 8.552 3.958 4.428 2.732 8.061 5.723 9.885 10.55
[3,] 2.212 8.327 5.856 8.799 3.965 4.504 2.745 8.120 5.733 10.100 11.11
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.804 2.924 4.292 4.298 4.996 3.464 5.416 15.05 21.41 9.237
[2,] 3.950 4.395 4.296 4.302 5.003 3.468 5.859 17.74 25.15 9.978
[3,] 4.495 4.447 4.333 4.349 5.324 3.507 6.362 19.68 25.80 11.939
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.583 6.351 15.23 9.844 32.18 5.342 4.019 11.5 12.14
[2,] 185.241 24.188 164.44 705.215 469.27 11.003 96.052 132.7 131.36
[3,] 147.618 105.829 155.92 596.290 501.19 226.213 104.674 230.3 186.63
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.123 5.436 8.114 6.249 7.443 8.602 7.496 9.333
[2,] 1034.911 372.547 499.234 102.915 140.338 83.045 34.529 335.405
[3,] 86.711 99.092 487.187 191.461 25.000 53.785 39.671 122.516
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.533 14.84 11.61 20.01 7.135 17.01 11.72 4.166 9.271
[2,] 516.596 492.55 479.63 195.51 40.151 2923.26 506.53 115.192 707.680
[3,] 145.302 550.11 514.71 159.40 8.517 419.09 909.24 128.556 1134.637
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.835 7.86 9.144 4.16 10.38 9.373 4.961 10.51 10.72
[2,] 886.743 93.76 802.249 45.84 494.41 307.040 7.441 422.88 550.69
[3,] 598.299 259.51 602.981 26.88 640.87 466.623 80.390 629.30 425.12
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.942 8.149 8.716 7.573 2.57 7.764 1.952 7.232 6.983
[2,] 507.479 392.301 371.365 377.601 12.81 389.281 25.126 328.587 425.221
[3,] 298.697 348.441 100.343 374.550 40.85 216.013 17.782 188.797 364.638
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.032 3.434 7.702 9.536 10.37 5.911 11.52 10.63 4.33
[2,] 260.456 158.961 621.895 109.141 97.86 110.103 686.20 195.96 35.21
[3,] 213.149 112.538 233.846 294.674 498.25 156.962 397.43 593.82 33.49
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.715 8.113 7.243 4.863 7.735 2.468 6.943 3.788 6.723
[2,] 837.320 759.020 598.038 825.407 45.015 20.071 419.568 119.164 83.863
[3,] 543.663 445.282 603.081 654.417 44.678 5.363 757.293 160.097 468.979
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 7.169 7.739 9.475 4.665 9.776 5.829 10.29 4.241 8.954
[2,] 74.541 624.381 724.747 74.768 524.650 192.500 644.17 103.817 185.556
[3,] 47.840 173.702 111.937 86.813 310.362 126.324 523.81 129.317 161.793
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.556 10.17 10.05 11.3 9.868 9.914 2.789 8.496 6.221
[2,] 442.945 359.11 613.81 638.0 544.594 516.008 19.166 530.077 351.513
[3,] 113.647 259.67 126.60 635.7 216.751 344.242 32.620 486.656 305.569
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 9.882 4.974 5.249 3.361 9.915 7.243 12.12 13.12 3.56
[2,] 515.071 83.148 230.730 98.440 290.993 67.254 374.48 304.02 403.92
[3,] 300.107 33.890 119.647 38.302 141.919 50.828 300.51 508.64 311.54
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.714 5.45 5.458 6.344 4.399 6.878 19.11 27.18 11.73
[2,] 476.195 29.59 24.401 38.376 23.945 324.492 1362.02 1916.11 547.49
[3,] 98.915 81.58 92.868 264.341 75.612 359.867 1237.42 836.32 951.87
[1] "--- VAR model 2017-10-04 14:01:00 completed"
[1] "Completed training sample: 2017-10-04 14:01:00 - 2017-10-04 22:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 14:31:00 - 2017-10-04 22:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7142 -0.26663 -1.823 -1.5645
-0.7846 0.06370 -1.080 1.1539
-0.9222 -0.03321 -1.811 -0.4756
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.39195 1.9266 -0.22861 -0.28205
-0.04558 0.9010 -0.08887 -0.64619
-0.03084 0.7738 0.17454 0.08372
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.7360 0.2150 -1.8401 -12.78
-0.8667 -1.0522 -1.1019 -10.98
-1.0301 -0.4429 -0.8704 -12.03
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.2795 -0.05976 -0.3202135 0.128409
-1.0902 -1.26171 0.8269086 -0.039334
-0.5226 0.38128 -0.0009606 0.004668
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.607 -3.0091 0.6275 -1.618
-1.355 -0.3003 2.6733 -1.393
-1.332 -0.7591 2.6281 -0.620
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.8823 -0.08415 -10.663 4.5227
-0.5124 0.08327 -4.372 -5.2082
-0.3527 -0.06534 -1.865 -0.6066
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1546 2.695 -2.891 1.6626
-0.5834 -3.928 1.631 0.9418
-0.3648 -1.526 -3.962 1.1378
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.0671 0.2150 0.08493 -2.979
1.5956 -0.2526 -2.54304 -2.319
-0.6722 0.2753 0.96271 -2.037
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.077464 0.7285 3.00118 3.9179
0.001796 -2.6388 -0.55874 -0.2055
0.025833 2.5462 0.08425 -2.2821
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.2034 11.6508 0.2708 0.06095
0.2656 7.9468 0.3828 -0.24850
0.0738 0.7736 0.1969 -0.07542
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5840 -0.122728 -2.3270 -8.213
0.1999 0.055358 0.2141 -7.425
0.1501 0.001901 -1.4347 -5.709
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.8874 -0.8090 -5.203 2.083
0.5150 -0.4610 -5.419 2.552
0.6861 -0.4993 -5.387 1.295
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.270 2.146 1.651 8.192
4.666 2.842 -2.009 7.140
3.081 3.498 -0.450 6.238
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.20932 -1.56970 -2.921 6.0121
-0.09118 -0.17811 1.003 -1.3919
-0.02020 0.09647 -1.406 -0.5119
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.7925 0.9888 -0.2435 -2.8293
-0.8102 1.2848 -0.1885 0.9354
0.4865 0.8126 -0.1563 0.7180
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5778 1.633 2.607 7.057
-0.4381 -1.763 2.825 1.162
-0.2984 2.602 0.755 1.621
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.727 0.5698 4.85806 0.8372
3.436 0.5756 4.55908 0.4970
1.546 0.2525 0.06812 0.4979
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.481 0.8882 -0.9962 -1.3692
6.979 1.0937 -2.2054 -0.5577
2.481 0.4454 -1.0243 -1.3854
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.083 -1.9303 -3.724 -5.803
-1.581 -0.9785 -3.044 -1.962
-1.091 -1.4245 -2.497 -1.613
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.415 0.11930 -4.140 0.02231
-1.897 0.03471 -4.408 0.14787
-1.290 -0.02586 -1.927 0.19515
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.712 -0.5505 -1.1336 -0.3107
-3.487 -0.4362 0.3207 1.0758
-1.483 -0.4501 -0.4362 0.7973
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.1607 -0.82538 3.676 2.952
3.5456 -0.07404 2.905 5.602
0.9513 -0.46236 1.878 3.026
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.3630 6.014 1.974 1.928
4.3826 1.211 2.194 2.265
0.9054 2.283 1.188 1.355
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.372 -0.72295 12.59 243.1
-1.618 0.02154 13.20 242.2
2.181 0.62716 13.67 243.5
rnd_95776.volume rnd_95787.volume
-7.480 3.9968
-3.099 -5.1961
-3.624 -0.1616
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.657 4.921 11.70 7.670 24.23 4.153 3.113 8.798 9.317 6.372 4.270
[2,] 6.772 4.932 11.78 9.006 24.38 4.154 3.176 8.850 9.388 9.481 4.920
[3,] 6.847 4.983 11.83 9.786 24.50 4.429 3.260 9.017 9.486 9.498 4.969
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.044 4.844 5.881 6.774 5.919 7.258 7.445 11.52 9.018 15.63 5.386
[2,] 6.836 4.897 5.950 6.801 5.923 7.607 8.231 11.99 9.556 15.70 5.386
[3,] 7.475 5.066 5.954 6.816 5.930 7.660 8.290 12.59 10.212 15.75 5.386
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.20 9.009 3.224 7.056 6.787 6.041 7.080 3.274 8.158 7.460 3.828
[2,] 23.83 9.665 3.308 8.477 8.971 6.073 8.967 3.289 8.668 7.765 3.829
[3,] 24.08 11.533 3.405 11.443 9.818 6.335 9.819 3.294 9.616 8.381 3.875
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.155 8.115 7.546 6.256 6.689 5.838 1.989 5.994 1.516 5.594 5.560
[2,] 8.633 8.980 8.269 6.825 7.067 6.310 1.991 6.499 1.532 5.961 6.249
[3,] 9.714 9.328 8.472 7.244 7.101 6.756 2.009 6.642 1.536 6.105 6.683
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.647 2.568 5.931 7.255 8.158 4.602 8.963 8.169 3.337 7.145 6.544
[2,] 4.991 2.732 7.216 7.276 8.181 4.671 10.134 8.258 3.348 9.167 8.405
[3,] 5.179 2.862 7.417 7.514 8.862 4.794 10.437 9.213 3.356 9.813 8.885
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.601 3.691 5.953 1.867 5.414 2.889 5.297 5.660 6.033 7.136 3.602
[2,] 7.256 6.945 5.969 1.872 6.101 3.002 5.317 5.694 7.571 8.758 3.636
[3,] 8.336 8.266 5.991 1.874 8.275 3.198 6.276 5.732 7.672 8.790 3.691
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.636 4.341 7.944 3.267 6.897 7.386 7.903 7.824 8.587 7.000 7.644
[2,] 8.478 4.507 9.038 3.350 7.013 7.942 8.304 8.745 9.700 8.088 8.430
[3,] 8.789 4.567 9.776 3.467 7.092 7.978 8.496 8.787 10.642 8.232 8.642
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.148 6.638 4.857 7.665 3.871 4.162 2.553 7.860 5.657 9.239 10.08
[2,] 2.152 7.327 5.405 8.402 3.917 4.456 2.642 8.126 5.678 9.612 10.24
[3,] 2.165 8.075 5.803 8.642 3.925 4.534 2.655 8.177 5.694 9.852 10.87
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.813 2.942 4.517 4.507 4.835 3.374 5.453 15.31 21.26 8.937
[2,] 4.027 4.607 4.521 4.515 4.847 3.378 5.906 17.86 24.39 9.701
[3,] 4.694 4.624 4.677 4.663 5.121 3.423 6.412 19.84 24.97 11.769
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.454 6.249 14.86 9.74 30.76 5.274 3.953 11.17 11.83
[2,] 185.708 49.064 206.61 705.26 408.39 13.735 94.533 142.99 173.34
[3,] 150.570 106.589 157.97 571.80 361.90 229.534 109.774 258.34 202.91
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.091 5.422 7.675 6.151 7.468 8.602 7.517 9.216
[2,] 1048.937 365.205 477.153 107.371 135.091 89.815 32.217 340.618
[3,] 84.545 103.957 451.721 193.946 34.641 69.308 43.387 134.173
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.454 14.62 11.45 19.85 6.839 16.76 11.44 4.094 8.96
[2,] 524.619 496.04 472.39 218.79 5.396 2964.26 522.95 110.748 701.83
[3,] 147.236 576.48 538.05 183.23 8.770 515.76 940.09 120.676 1148.45
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.619 7.671 8.991 4.158 10.36 9.473 4.862 10.36 10.3
[2,] 876.394 92.956 822.118 46.115 437.74 321.690 5.027 423.38 574.5
[3,] 595.892 269.678 597.632 28.688 622.26 471.148 89.409 665.36 377.4
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.582 7.944 8.494 7.414 2.526 7.611 1.925 7.104 7.06
[2,] 505.371 407.536 340.379 357.799 12.064 375.390 32.745 307.530 426.16
[3,] 275.185 363.045 104.588 360.687 40.553 204.537 16.043 196.928 354.10
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.9 3.261 7.531 9.212 10.36 5.844 11.38 10.37 4.238
[2,] 272.2 139.582 614.197 84.694 91.85 119.234 706.47 181.52 40.733
[3,] 206.8 127.404 256.024 279.840 509.26 161.769 373.52 610.29 33.907
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.073 8.309 7.113 4.687 7.56 2.371 6.875 3.669 6.726
[2,] 858.107 787.966 689.125 878.950 64.30 20.345 420.226 121.780 69.225
[3,] 523.008 430.806 612.903 669.619 76.66 12.012 835.326 164.968 498.246
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 7.187 7.661 9.062 4.574 9.696 5.513 10.09 4.148 8.758
[2,] 93.117 683.263 758.607 74.249 550.575 181.082 643.96 110.799 189.900
[3,] 98.162 185.769 111.768 94.432 346.282 110.464 556.79 133.546 157.993
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.379 10.04 9.935 10.9 8.889 9.707 2.727 8.429 6.168
[2,] 436.143 381.00 583.581 674.2 605.300 531.039 19.424 463.469 354.187
[3,] 113.486 267.97 128.188 654.0 228.964 284.097 36.038 507.161 315.657
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 9.734 4.915 5.285 3.241 9.98 7.183 11.73 12.8 3.572
[2,] 514.080 89.638 237.809 101.987 308.27 73.381 396.38 276.1 430.466
[3,] 302.320 37.422 125.123 39.401 137.38 63.678 322.90 544.5 360.480
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.736 5.736 5.724 6.14 4.284 6.924 19.44 27 11.35
[2,] 529.585 26.105 39.622 50.73 26.225 338.920 1373.34 1784 563.93
[3,] 59.312 179.001 174.294 247.06 82.091 373.186 1292.51 801 995.40
[1] "--- VAR model 2017-10-04 14:31:00 completed"
[1] "Completed training sample: 2017-10-04 14:31:00 - 2017-10-04 22:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 15:01:00 - 2017-10-04 23:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8509 0.03124 -2.067 1.226
-0.7068 -0.04836 -3.676 -5.280
-0.7880 -0.07767 -3.193 -4.496
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.75956 -0.34869 -0.25996 1.0553
0.33073 -0.02033 0.18165 0.9896
0.05956 -0.12604 -0.01765 0.7496
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.442 3.9091 0.6805 -4.740
1.520 0.4343 0.5389 -3.149
1.198 1.1826 0.8705 -4.095
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.673 0.9449 -0.2894 0.08463
-1.783 0.5072 0.4401 0.20296
-1.106 0.7248 -0.1140 0.11467
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.9468 2.882 -0.7526 -4.291
0.9611 1.127 -1.5678 -3.317
0.9215 0.446 -1.0801 -3.131
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.190 0.26896 -20.763 -2.865
-1.940 0.02890 -4.426 -6.390
-1.077 -0.08401 -7.206 -1.029
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.4176 -6.411 -8.155 0.3369
0.3272 -6.645 -4.146 2.3169
0.1278 -1.213 -4.727 2.5357
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.4078 0.3328 3.683 -2.697
-5.2525 -0.1140 -5.639 -3.460
-4.2403 0.2212 -4.464 -3.131
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.036091 1.218 0.7377 0.2385
0.097821 -2.405 0.9648 0.9342
-0.006959 -2.672 -2.7804 -2.3366
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6700 -3.307 -0.08697 0.4573
-0.3759 1.873 0.65287 -0.1526
-0.3082 -2.462 0.14669 0.1707
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4341 0.33035 -0.00602 -4.859
-0.3101 -0.05444 -1.01897 -2.895
-0.2227 -0.05321 -0.53394 -4.068
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9682 -0.4046 -3.565 0.3023
-0.8043 -0.6005 -3.029 0.7986
-1.4120 -0.2366 -1.916 0.6608
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.6323 -1.2006 2.0392 2.8691
-1.3203 -0.9309 -0.6982 0.5182
-1.0598 -0.4928 -1.0190 1.0983
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.07845 -1.756 -3.3206 1.7402
0.21954 1.619 1.7709 -0.9670
0.27791 -1.350 -0.4922 0.8669
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.503 -0.8848 -0.3075 -2.021
-2.488 -0.5972 -0.2438 2.353
1.456 -0.2876 -0.1943 -2.112
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.1725 -3.0151 1.3785 4.0439
-1.4469 -0.7587 0.8439 -0.4142
-0.9564 0.2239 1.0642 1.0739
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.0852 -0.3307 3.3353 1.9569
-0.8049 -0.2322 0.6122 1.3489
0.3456 -0.1159 -0.2086 0.7794
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.6989 -0.20830 -1.2731 -2.0723
3.4077 -0.04886 -0.9407 -0.5519
-0.1347 -0.06116 -1.0393 -0.7435
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.08587 -2.7028 3.461 -0.9083
-0.06409 -1.0173 2.535 0.2855
0.39528 -0.6784 2.156 0.1928
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.2054 -0.04534 -1.1525 2.106
-1.8054 -0.12334 -1.7949 1.908
-0.7809 -0.10146 -0.4674 1.560
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.3656 0.4833 -1.0137 -0.02291
-1.3920 -0.3168 0.6267 -0.26436
-1.1764 0.4995 -0.2166 0.12135
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.3528 0 -0.9132 -4.984
0.4967 0 -0.6264 -3.665
-0.4766 0 -0.4017 -2.032
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1727 0.05510 0.26364 0.2625
0.1736 0.30099 0.09773 0.1088
0.2026 0.04844 0.07361 0.0757
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.3389 0.1497 9.744 238.3
-0.5719 -0.7568 9.796 236.2
0.5083 -0.3561 9.853 235.0
rnd_95776.volume rnd_95787.volume
1.126 -3.1410
-2.690 -6.5506
-2.015 -0.8119
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.410 4.750 11.46 7.522 23.52 4.069 3.056 8.544 9.178 6.289 4.156
[2,] 6.523 4.773 11.58 8.708 23.72 4.070 3.116 8.583 9.255 9.346 4.810
[3,] 6.590 4.817 11.64 9.550 23.78 4.330 3.205 8.762 9.356 9.364 4.870
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.263 4.591 5.501 6.755 5.785 7.201 7.433 11.38 8.841 15.46 5.352
[2,] 6.659 4.632 5.652 6.779 5.788 7.555 8.210 11.89 9.391 15.55 5.353
[3,] 7.155 4.831 5.782 6.807 5.790 7.604 8.274 12.52 10.044 15.61 5.353
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.99 8.812 3.295 6.787 6.539 5.952 6.917 3.242 7.870 6.984 3.759
[2,] 23.49 9.464 3.358 8.303 8.630 5.985 8.660 3.262 8.533 7.220 3.760
[3,] 23.79 11.380 3.386 11.133 9.432 6.188 9.592 3.265 9.417 7.876 3.807
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.947 7.947 7.352 6.030 6.624 5.582 1.879 5.667 1.490 5.560 5.502
[2,] 8.418 8.821 8.009 6.583 6.863 5.914 1.925 6.019 1.506 5.919 6.229
[3,] 9.436 9.121 8.214 7.024 6.984 6.239 1.941 6.130 1.511 6.060 6.663
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.496 2.506 6.054 6.722 7.919 4.618 8.686 7.901 3.309 7.108 6.148
[2,] 4.851 2.656 7.010 6.742 7.939 4.679 9.736 7.996 3.320 8.954 7.929
[3,] 5.036 2.795 7.261 7.000 8.547 4.790 10.019 9.027 3.330 9.542 8.423
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.696 3.577 5.768 1.809 5.250 2.710 5.165 5.389 5.836 6.960 3.537
[2,] 7.203 6.617 5.781 1.817 5.924 2.809 5.175 5.424 7.306 8.520 3.575
[3,] 8.116 7.888 5.812 1.821 8.102 2.971 6.145 5.472 7.474 8.566 3.628
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.416 4.298 7.577 3.177 6.778 7.189 7.590 7.739 8.427 6.873 7.549
[2,] 8.199 4.440 8.643 3.263 6.894 7.729 7.899 8.605 9.564 7.710 8.236
[3,] 8.475 4.486 9.384 3.394 6.974 7.764 8.141 8.645 10.519 7.845 8.420
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.059 6.417 4.742 7.186 3.762 4.116 2.334 7.760 5.516 8.968 9.956
[2,] 2.061 7.165 5.250 7.914 3.804 4.435 2.414 8.007 5.551 9.214 10.116
[3,] 2.077 7.792 5.610 8.156 3.812 4.514 2.425 8.041 5.564 9.387 10.723
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.787 2.909 4.498 4.458 4.751 3.208 5.379 15.73 20.82 8.665
[2,] 4.017 4.576 4.502 4.467 4.766 3.211 5.817 18.13 23.71 9.392
[3,] 4.692 4.590 4.657 4.622 5.045 3.257 6.332 20.15 24.19 11.519
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.14 6.032 14.56 9.551 29.87 5.167 3.881 10.85 11.65
[2,] 194.39 74.268 267.17 704.784 489.21 15.265 97.403 132.93 191.64
[3,] 150.36 105.256 191.18 630.011 273.56 237.468 120.699 282.80 219.80
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.986 5.277 7.953 5.83 6.985 8.578 7.346 9.145 9.439
[2,] 1110.359 389.020 363.230 97.91 208.387 91.213 30.637 366.978 559.980
[3,] 94.291 122.706 420.555 220.62 196.052 99.679 28.869 138.268 165.571
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.45 11.23 19.63 6.796 16.49 11.19 4.184 8.619 8.303
[2,] 556.28 508.84 267.32 16.324 3143.62 554.59 104.259 768.145 904.695
[3,] 626.61 572.27 230.40 11.407 609.35 1015.05 69.405 1191.170 611.401
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.558 8.783 4.116 9.994 8.868 4.774 10.09 10.09 9.336
[2,] 101.810 837.087 58.577 529.868 294.081 8.490 445.76 614.99 510.350
[3,] 252.640 662.187 21.578 639.815 505.865 95.959 685.13 372.56 292.834
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 7.657 8.412 7.089 2.386 7.196 1.892 7.06 6.986 5.709
[2,] 424.475 288.353 313.537 67.379 325.815 34.937 325.86 469.163 292.778
[3,] 393.483 208.340 319.596 39.763 186.023 19.686 208.94 380.014 217.072
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.183 7.687 8.536 10.06 5.864 11.03 10.03 4.202 9.027
[2,] 141.381 567.884 83.216 90.46 120.641 706.48 197.37 44.043 874.600
[3,] 139.561 303.732 302.243 508.37 164.997 379.65 672.73 41.507 529.841
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.807 7.232 4.543 7.325 2.297 6.667 3.442 6.558 6.843
[2,] 804.396 708.309 894.102 60.840 26.782 440.778 118.858 53.069 98.984
[3,] 456.598 600.805 689.749 96.393 20.828 887.840 155.288 532.107 116.684
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 7.411 8.838 4.492 9.417 5.457 9.621 4.034 8.607
[2,] 705.961 789.292 83.609 561.659 179.212 668.125 119.732 202.382
[3,] 253.017 142.799 98.787 345.035 103.476 586.768 149.832 169.903
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.129 9.639 9.827 10.7 8.728 9.586 2.615 8.149 6.021
[2,] 456.077 351.169 604.304 726.2 561.163 528.669 15.138 511.888 361.860
[3,] 117.262 316.597 134.887 703.6 232.417 281.751 40.847 491.882 317.514
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 9.125 4.778 5.227 2.964 9.855 7.004 11.39 12.64 3.538
[2,] 532.844 89.640 265.327 98.893 316.655 100.471 339.82 287.64 464.719
[3,] 316.727 40.877 134.853 35.957 119.629 61.864 288.38 571.71 389.362
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.694 5.712 5.661 6.033 4.074 6.83 19.98 26.43 11.0
[2,] 567.391 30.689 44.976 60.071 20.433 355.72 1448.00 1824.32 582.2
[3,] 58.719 191.797 190.802 266.061 88.388 401.76 1409.67 768.55 1071.2
[1] "--- VAR model 2017-10-04 15:01:00 completed"
[1] "Completed training sample: 2017-10-04 15:01:00 - 2017-10-04 23:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 15:31:00 - 2017-10-04 23:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.0983 0.1578 -1.346 -4.249
-0.6417 0.2721 -0.868 -1.689
-0.7387 0.2162 -1.264 -4.784
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.23349 0.75078 0.6968 0.5532
0.07654 0.09133 0.3750 0.9714
0.02647 0.26091 0.2179 0.6974
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.4761 1.9339 1.865 -6.476
0.4279 0.2747 1.024 -6.674
0.6709 0.7903 1.000 -6.444
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.48319 0.636696 -0.79482 -0.9918
-0.06495 -0.007158 0.04694 -0.3777
-0.14271 0.006788 -0.05556 -0.3225
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.31319 1.2942 2.0508 -1.7010
-0.08263 -0.5516 0.5527 1.1259
0.10870 0.1582 -0.2942 -0.8663
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.1769 0.90572123 -9.451 -1.4420
-0.9087 0.00648091 -2.951 -4.1315
-0.5367 0.00004197 -1.877 -0.3459
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.00009633 -0.6553 -1.131 -0.9869
-0.05408297 -4.4441 -3.288 -0.7928
-0.01046722 -0.7359 -2.754 -0.3409
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.645 -0.041475 -7.061 -1.044
-1.268 -0.005590 -1.857 -1.586
-4.480 0.001155 -2.974 -1.784
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.13709 -8.759 -5.744 -2.086
-0.17299 -2.043 -3.794 -5.533
-0.05338 -2.436 -1.846 -1.600
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2945 -0.59081 2.774 -0.20046
0.2920 -0.07111 3.086 -0.04067
0.1826 1.17106 1.368 -0.02731
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.02752 0.19829 0.5137 -1.017
0.14080 0.00795 -1.5700 -2.203
0.11125 -0.05466 -1.6461 -3.164
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.4664 0.21525 -1.9439 1.04276
0.4499 -0.70102 -0.1515 -0.03048
0.1834 0.05258 -1.6669 -0.11809
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.7898 -0.2387 0.8464 3.056
-2.2490 -0.3659 -0.9656 2.862
-1.5003 -0.6036 -1.3055 2.655
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.03086 -3.2495 -3.7501 -2.3816
0.02430 0.1457 0.7087 -1.3373
-0.02594 -0.8012 -0.5390 -0.2311
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.3017 -0.36801 -0.2399 3.757
-3.2691 -0.04877 -0.1308 -2.825
0.8139 -0.34181 -0.2006 -2.626
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.1377 4.9549 -0.4400 1.794
-0.9947 -0.9605 -0.5903 2.190
-1.0544 -1.2032 -0.1377 -1.492
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.9851 0.38624 -1.4318 0.8784
3.3644 0.21861 3.2982 0.4012
-1.0658 0.08172 0.5645 0.4183
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.167 0.09959 -1.1239 -0.6268
1.821 -0.08456 -0.7603 -0.5901
2.424 -0.11151 -0.3681 -0.5694
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.5795 -0.6142 0.5888 -1.3455
-0.7463 -0.8718 0.5488 -0.7019
-0.4839 -0.5831 0.4239 -0.3663
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.7865 0.4236 -3.165 1.0717
-0.4963 0.3004 -1.901 0.9411
-0.3625 0.2065 -1.521 0.7383
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.250 -0.50712 -1.7268 -0.241449
-2.065 -0.25044 0.1659 -0.077432
-1.293 -0.06579 -0.1189 0.002537
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.2817 0.1977 -0.08740 2.822
-0.3035 0.1368 -0.07179 1.939
0.3404 0.3137 -0.25822 1.064
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.53828 0.1328 -0.25417 -0.25940
0.04949 -0.3606 -0.10531 -0.11784
-0.29988 -0.1076 -0.07064 -0.07647
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.0386 -0.1693 10.83 250.8
-0.2186 -0.1798 10.50 248.0
-0.9927 -0.2066 10.12 248.8
rnd_95776.volume rnd_95787.volume
-4.623 -2.1801
-3.566 -3.6363
-1.056 -0.2543
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.080 4.529 11.23 7.392 22.03 3.907 3.035 8.275 8.917 6.161 3.992
[2,] 6.235 4.543 11.40 8.554 22.20 3.908 3.089 8.323 9.002 9.007 4.576
[3,] 6.282 4.584 11.47 9.389 22.22 4.140 3.178 8.499 9.115 9.021 4.623
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.045 4.420 5.428 6.331 5.416 7.076 7.028 11.14 8.670 15.29 5.144
[2,] 6.427 4.460 5.570 6.362 5.570 7.437 8.059 11.68 9.183 15.40 5.144
[3,] 6.920 4.647 5.684 6.414 5.602 7.485 8.114 12.28 9.859 15.47 5.144
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.74 8.668 3.238 6.574 6.409 5.684 6.766 3.193 7.387 6.726 3.700
[2,] 22.90 9.344 3.298 8.105 8.415 5.721 8.474 3.222 8.176 6.958 3.700
[3,] 23.29 11.223 3.332 10.800 9.257 5.919 9.392 3.223 9.130 7.445 3.749
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.901 7.739 6.865 5.572 6.418 5.496 1.869 5.403 1.458 5.413 5.411
[2,] 8.359 8.629 7.659 5.921 6.676 5.795 1.918 5.728 1.476 5.799 6.018
[3,] 9.350 8.911 7.837 6.313 6.794 6.102 1.933 5.803 1.480 5.962 6.476
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.386 2.453 5.950 6.357 7.726 4.508 8.250 7.433 3.209 6.895 5.924
[2,] 4.691 2.595 6.750 6.377 7.752 4.579 9.385 7.549 3.225 8.895 7.498
[3,] 4.926 2.735 7.019 6.657 8.330 4.704 9.470 8.539 3.238 9.310 8.066
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.469 3.419 5.518 1.684 5.037 2.493 4.959 5.162 5.620 6.747 3.382
[2,] 6.904 6.415 5.548 1.689 5.654 2.641 4.966 5.201 7.044 8.216 3.403
[3,] 8.003 7.619 5.555 1.701 7.847 2.743 5.998 5.268 7.191 8.244 3.446
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.128 4.292 7.258 3.098 6.536 6.932 7.386 7.546 8.218 6.581 6.731
[2,] 7.937 4.433 8.343 3.193 6.652 7.434 7.807 8.269 9.373 7.359 7.793
[3,] 8.187 4.474 9.107 3.310 6.737 7.468 7.983 8.310 10.324 7.514 8.067
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.008 6.209 4.705 6.832 3.637 4.033 2.221 7.376 5.330 8.678 9.568
[2,] 2.011 6.943 5.212 7.493 3.699 4.352 2.306 7.710 5.356 8.844 9.729
[3,] 2.022 7.474 5.582 7.953 3.709 4.441 2.316 7.772 5.369 8.989 10.268
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.692 2.807 4.339 4.296 4.661 3.099 5.190 16.15 21.80 8.450
[2,] 3.881 4.439 4.347 4.309 4.680 3.099 5.618 18.49 22.49 9.219
[3,] 4.591 4.447 4.488 4.457 4.947 3.150 6.113 20.44 22.77 11.324
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.72 5.751 14.26 9.386 27.98 4.962 3.854 10.51 11.32
[2,] 240.85 62.266 336.00 748.227 471.81 11.723 99.962 154.60 214.21
[3,] 132.79 107.182 228.75 673.076 156.44 237.567 130.125 299.09 249.15
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.824 5.069 7.676 5.613 6.893 8.04 6.877 8.986
[2,] 1141.885 388.909 379.232 103.359 217.400 107.56 226.780 397.722
[3,] 87.618 113.895 446.102 226.949 197.126 142.15 103.332 147.953
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.924 14.15 11.01 19.42 6.532 16.18 11.01 4.112 8.347
[2,] 685.611 608.01 526.27 315.50 8.209 3307.57 606.65 109.088 824.239
[3,] 163.324 663.44 623.53 255.87 5.144 742.20 1080.50 82.038 1240.578
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.139 7.218 8.592 4.055 9.38 8.541 4.698 10.03 9.827
[2,] 947.765 113.293 886.662 74.871 609.18 309.666 4.569 474.42 663.418
[3,] 670.642 263.415 703.888 15.783 706.05 460.122 104.982 728.43 386.524
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.718 7.075 8.15 6.979 2.374 6.861 1.852 6.873 6.871
[2,] 590.158 348.275 319.18 319.475 74.604 330.469 39.983 361.616 457.759
[3,] 289.152 380.486 219.60 332.204 41.647 162.153 16.673 240.952 415.888
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.569 3.115 7.556 8.072 9.811 5.724 10.48 9.438 4.075
[2,] 289.112 147.115 554.010 87.986 109.300 139.897 777.87 229.324 56.239
[3,] 261.405 150.427 334.356 332.550 530.256 187.592 220.15 693.679 51.040
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.755 7.523 6.945 4.342 7.007 2.139 6.396 3.165 6.297
[2,] 976.688 798.771 732.402 943.508 99.301 22.371 446.320 151.891 46.400
[3,] 477.797 516.752 703.334 714.263 51.606 34.695 945.845 128.322 584.640
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.554 7.137 8.567 4.294 9.052 5.45 9.216 3.934 8.3
[2,] 111.284 737.945 814.895 65.875 606.717 192.44 715.060 134.449 214.6
[3,] 145.440 251.345 119.199 94.557 348.757 106.12 634.646 151.429 186.0
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.803 9.379 9.583 10.44 8.357 8.547 2.55 7.884 5.975
[2,] 466.976 439.649 587.598 783.56 572.323 682.700 17.34 540.247 389.452
[3,] 123.643 289.605 144.287 752.40 264.398 362.192 36.76 480.843 347.816
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 8.675 4.619 5.122 2.82 9.366 6.769 11.02 12.15 3.418
[2,] 534.704 117.354 284.166 108.11 390.390 91.749 296.56 306.49 485.968
[3,] 463.783 46.000 154.200 36.57 169.720 63.598 279.67 570.55 426.417
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.564 5.51 5.455 5.919 3.935 6.59 20.51 27.68 10.73
[2,] 597.623 43.44 58.322 72.582 5.355 373.99 1565.31 962.52 640.78
[3,] 47.228 194.23 198.267 278.457 97.671 419.04 1512.23 616.99 1143.06
[1] "--- VAR model 2017-10-04 15:31:00 completed"
[1] "Completed training sample: 2017-10-04 15:31:00 - 2017-10-04 23:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 16:01:00 - 2017-10-05 00:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.66257 0.4313 -1.999 -2.432
0.22022 0.2720 -1.094 -1.848
0.05426 0.1329 -1.883 -2.035
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.58208 0.28052 0.2487 0.20515
-0.11684 0.07901 0.6225 -0.05683
0.06817 0.07872 0.4131 0.03745
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.346 -1.8345 -2.1090 -4.511
-1.375 -0.2753 -0.8538 -3.284
-1.281 -0.6448 -0.7734 -3.923
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1788 -1.12989 -0.5877 0.6310
0.4670 -0.22126 -0.2263 0.3241
0.4672 -0.01406 -0.2608 -0.1369
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.18569 1.1476 0.3285 3.907
-0.41515 0.0938 -0.7521 3.067
-0.03664 -0.2578 -0.4094 2.547
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
5.859 1.3727 -7.890 0.1635
4.571 0.7784 -2.884 -3.6439
2.475 0.7545 -1.356 -0.9325
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.2413 -0.4796 -4.0752 -0.1561
0.8300 -3.8693 -0.8124 0.1542
0.4454 -0.7532 -2.8072 0.4047
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.568 0.14224 -2.722 2.131
-1.351 0.01309 -3.124 2.500
-1.502 0.01762 -1.747 2.786
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.84099 -5.805 -7.925 -4.358
-0.10631 -3.502 -2.687 -3.051
-0.06332 -1.488 -2.286 -3.603
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.02814 2.5238 -1.5525 0.2589
-0.06884 1.3953 -1.1328 0.2409
-0.11456 0.3995 -0.6293 0.1256
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.20930 0.03650 -2.613 -6.840
0.07222 0.02577 -3.601 -7.465
0.03579 -0.08626 -1.940 -7.341
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7846 -0.6609 -3.022 1.4234
-0.3628 -0.5986 -4.504 -0.6827
-0.2052 -0.4569 -4.839 -0.3679
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.122 0.2369 -1.1453 1.6771
3.773 0.6796 -0.9592 0.6327
3.196 0.7575 -1.0271 0.9450
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.06658 -1.120 -0.6193 -3.2848
0.03524 -1.098 -0.4737 -0.5637
-0.04839 -1.478 -0.5778 -0.8839
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1384 0.14316 -0.25193 0.7722
-1.1908 0.05571 -0.12216 -0.3252
-0.4236 0.15031 -0.04513 -1.2487
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7235 -0.5526 0.7332 3.2856
-0.3468 1.5664 0.8924 0.6255
-0.3988 -1.6570 0.7928 1.2010
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.00852 0.10143 1.7657 0.9091
0.07199 0.04944 1.2250 0.5718
1.71056 0.01777 0.9639 0.4685
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.2476 -0.266928 0.53343 0.7437
2.8468 0.002378 0.09455 0.3963
0.4877 -0.161997 0.19827 0.1345
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.7619 0.4337 -1.3694 -0.4777
-1.0416 0.3095 -0.8154 -0.1174
-0.7826 0.0379 -0.9038 -0.1817
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.8445 0.19016 -0.2255 -0.8129
-0.1932 0.08268 -0.2824 -0.6250
-0.1733 0.02730 0.7690 -0.5791
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.4696 -0.3251 -0.05612 0.1488
-0.8416 -0.1119 -0.31156 0.1743
0.1875 -0.1613 -0.21361 0.1341
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.2726 0.27791 0.6166 3.476
0.2122 0.41493 0.7541 3.993
-0.1226 0.05545 0.5209 3.291
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1557 -0.2844 0.24393 0.06537
-0.1335 0.1631 0.11948 -0.12091
0.1408 -0.1548 0.06785 -0.04574
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2416 0.3438 7.842 240.8
0.9625 0.6938 7.738 239.0
-1.2443 0.4275 7.906 239.0
rnd_95776.volume rnd_95787.volume
-3.191 0.9683
-3.095 -3.7368
-4.895 -0.6799
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.773 4.310 10.75 7.294 20.60 3.707 2.957 7.999 8.535 5.994 3.854
[2,] 5.923 4.325 10.89 8.411 20.88 3.707 3.007 8.040 8.614 8.653 4.358
[3,] 5.981 4.355 10.99 9.225 20.90 3.851 3.090 8.232 8.749 8.666 4.394
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.890 4.157 5.323 5.620 5.137 6.850 6.614 10.86 8.422 14.32 5.206
[2,] 6.264 4.182 5.487 5.781 5.301 7.193 7.925 11.46 8.833 14.47 5.207
[3,] 6.693 4.343 5.626 5.960 5.342 7.247 7.993 12.05 9.538 14.55 5.209
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.47 8.313 3.166 6.330 6.271 5.450 6.654 3.108 7.134 6.288 3.581
[2,] 21.83 8.883 3.232 7.786 8.212 5.481 8.322 3.140 7.858 6.440 3.581
[3,] 22.17 10.549 3.275 10.133 8.945 5.656 9.190 3.140 8.788 6.715 3.643
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.667 7.344 6.682 5.414 6.191 5.492 1.857 5.193 1.425 5.240 5.307
[2,] 8.138 8.317 7.507 5.684 6.383 5.766 1.904 5.494 1.437 5.658 5.913
[3,] 9.142 8.606 7.684 5.965 6.517 6.053 1.918 5.565 1.438 5.845 6.363
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.209 2.427 5.703 6.073 7.492 4.430 8.014 7.082 3.113 6.724 5.764
[2,] 4.492 2.567 6.497 6.090 7.521 4.498 9.068 7.232 3.132 8.750 7.239
[3,] 4.701 2.698 6.755 6.373 8.061 4.626 9.154 8.142 3.148 9.125 7.770
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.293 3.300 5.289 1.545 4.013 2.427 4.622 4.913 5.364 6.513 3.105
[2,] 6.717 6.199 5.307 1.554 5.245 2.567 4.632 4.970 6.565 7.837 3.111
[3,] 7.806 7.318 5.312 1.569 7.256 2.678 5.660 5.032 6.760 7.866 3.145
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.334 4.322 6.215 3.015 6.239 6.717 7.106 7.399 7.937 6.450 6.585
[2,] 7.396 4.456 7.633 3.110 6.337 7.129 7.555 8.089 8.878 7.166 7.581
[3,] 7.659 4.492 8.442 3.248 6.405 7.161 7.727 8.121 9.739 7.291 7.812
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.945 5.971 4.586 6.534 3.427 3.890 2.128 7.151 5.156 8.513 9.243
[2,] 1.948 6.742 5.031 7.253 3.496 4.229 2.205 7.519 5.182 8.656 9.376
[3,] 1.963 7.207 5.313 7.766 3.509 4.319 2.211 7.574 5.191 8.793 9.851
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.543 2.694 4.183 4.198 4.484 3.008 4.901 16.32 21.29 8.039
[2,] 3.717 4.343 4.193 4.212 4.537 3.009 5.340 18.69 21.97 8.684
[3,] 4.447 4.353 4.320 4.349 4.860 3.048 5.830 20.62 22.25 10.562
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.331 5.473 13.65 9.263 26.15 4.708 3.755 10.16 10.84
[2,] 260.687 70.460 348.08 824.672 680.01 3.720 107.741 159.73 228.73
[3,] 164.288 101.140 288.75 745.853 146.65 204.792 140.348 347.96 302.21
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.611 4.893 7.479 5.279 6.759 7.136 6.523 8.699
[2,] 1228.845 400.582 419.836 90.843 262.331 266.841 258.203 431.817
[3,] 93.710 111.203 464.376 230.660 244.876 285.424 128.747 175.221
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.399 13.79 10.7 18.19 6.61 15.83 10.56 4.021 8.038
[2,] 859.382 723.34 524.2 404.05 21.41 3528.15 616.37 127.729 892.528
[3,] 204.964 730.57 708.5 299.80 31.29 765.53 1120.25 104.342 1276.835
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.963 6.921 8.45 3.947 9.058 7.984 4.547 9.736
[2,] 1043.999 113.844 983.89 87.043 648.772 274.308 7.214 537.369
[3,] 698.259 275.401 767.49 4.805 774.769 374.700 132.466 820.213
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 9.326 8.485 6.874 7.862 6.974 2.358 6.595 1.81 6.654
[2,] 768.313 673.701 340.964 305.973 345.862 82.470 352.834 35.61 420.251
[3,] 435.661 323.613 356.242 259.116 362.797 45.865 174.910 10.54 288.984
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 6.739 5.344 3.082 7.242 7.711 9.514 5.625 10.18
[2,] 513.194 309.219 164.477 612.877 89.823 130.067 154.256 835.48
[3,] 463.186 273.213 163.466 364.180 369.763 570.746 212.691 247.19
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 8.992 3.953 8.538 7.319 6.722 4.191 6.717 1.962
[2,] 289.344 67.673 1102.439 862.480 814.260 1033.276 84.998 33.442
[3,] 736.524 61.740 510.053 555.684 783.050 765.566 48.376 41.988
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 5.096 3.082 5.869 6.238 6.812 8.27 3.943 8.043 5.488
[2,] 665.024 164.389 59.231 148.488 745.102 858.29 38.711 751.954 213.439
[3,] 987.131 150.133 640.482 154.811 317.559 132.19 90.810 391.485 112.816
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.892 3.828 7.922 8.53 9.023 9.395 10.08 8.191 8.362
[2,] 872.491 150.542 218.494 470.29 505.179 643.772 783.05 614.663 739.397
[3,] 710.199 184.666 184.050 131.61 319.243 142.579 788.50 264.172 371.729
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.47 7.582 5.824 8.297 4.352 4.939 2.702 9.081 6.548
[2,] 22.20 616.524 407.310 619.973 135.969 326.638 114.261 457.174 102.054
[3,] 46.68 501.309 336.425 546.615 58.829 173.114 30.511 179.193 60.839
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 10.81 11.74 3.23 3.421 5.311 5.331 5.694 3.820 6.224
[2,] 308.98 309.86 533.63 670.623 57.641 65.964 136.143 6.206 417.183
[3,] 304.03 595.07 480.73 58.101 204.929 213.788 342.995 96.499 460.704
[,96] [,97] [,98]
[1,] 20.72 27.03 10.21
[2,] 1794.39 1072.50 646.46
[3,] 1716.77 687.39 1183.86
[1] "--- VAR model 2017-10-04 16:01:00 completed"
[1] "Completed training sample: 2017-10-04 16:01:00 - 2017-10-05 00:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 16:31:00 - 2017-10-05 00:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2921 0.14469 -3.001 -5.832
0.3111 -0.03069 -1.893 -1.920
0.2330 -0.01921 -2.392 -4.065
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.2356 0 0.3073 -0.3941
-4.9174 0 0.5179 -1.0103
-0.5529 0 0.1593 -0.7982
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5566 -3.1402 -0.2416 -2.433
-0.5962 -0.1184 0.3592 -2.604
-0.3931 -0.8020 0.3427 -3.417
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.1531 -0.6027 -0.24608 -0.55321
-0.5605 -0.8743 -0.96104 0.37635
-0.3789 -0.3534 -0.08654 -0.06552
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.2607 -2.3377 -3.081 -0.8549
-0.8721 -0.9781 -2.209 -0.9251
-0.9633 -0.5447 -1.402 -0.2728
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.5552 0.3144 -13.717 -0.1684
-1.1756 0.3443 -5.922 -5.0451
-0.6403 0.6955 -3.561 -1.5575
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.037201 -0.5154 -3.982 -0.2188
-0.007853 -5.5816 -2.498 -0.2217
-0.006600 -2.4331 -3.998 -0.0678
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.895 -0.19247 -3.880 0.4633
-1.750 -0.02071 -3.301 0.7547
-3.906 -0.04446 -3.176 0.9493
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7281 -2.162 -3.650 -3.899
-0.3435 -4.358 -3.685 -2.429
-0.1486 -1.663 -2.686 -3.122
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.09463 0.6665 0.6238 0.073599
0.31245 -0.1433 0.6318 0.050804
0.28751 -0.4248 0.2490 -0.002128
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5553 0 1.117 -0.1723
0.2480 0 -1.519 -0.8804
0.2252 0 -1.674 -1.5707
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4554 -0.1282 0.2416 0.35230
-0.9608 -0.5154 -0.3341 0.07613
-1.0057 -0.2781 -0.9517 0.29769
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.4067 0.8577 1.3274 0.6886
0.9271 1.5921 -0.7586 0.8151
1.3704 1.0558 0.5053 0.7023
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05133 3.93674 1.79878 -1.2010
-0.11521 -0.58727 1.29387 2.8082
-0.11024 0.08661 -0.03518 -0.6584
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.9527 0.3828 0.07834 -1.758
0.9398 0.2694 0.13796 2.682
1.3207 0.2525 -0.07082 1.075
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6659 -1.6710 0.4224 -0.7053
-0.3786 1.4590 0.4141 -0.6066
-0.5356 -0.5002 0.1448 1.3440
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.06278 -0.06378 0.2747 -0.08923
-0.98507 -0.06729 -0.7320 -0.07939
1.57455 -0.03663 0.5784 -0.04187
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.9800 0.3606 -0.06835 0.01938
-0.4649 0.3882 -0.20641 0.05011
-0.6085 0.1846 -0.04363 -0.06883
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.07967 -0.12765 -0.6604 -0.2564
-0.43905 -0.01577 -1.7718 -0.0519
-0.17291 -0.11249 -1.0493 -0.3153
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.9411 0.1273 0.323630 0.1422
-0.1856 0.2970 -0.001006 0.3143
-0.4357 0.1990 -0.211516 0.1611
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.8487 0.05235 0.6077 -0.0499662
-0.2311 0.06895 0.2743 -0.0096707
-0.0607 0.11989 -0.2278 0.0005296
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4281 0.08848 -0.5049 3.685
0.2409 0.03175 -0.4597 2.387
-0.3513 -0.05031 -0.3321 1.783
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.00000 -0.02112 0 -0.05961
-0.01626 -0.10577 0 -0.00326
-0.07693 0.01242 0 -0.01670
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.3346 0 6.125 240.9
0.4361 0 6.184 236.9
-0.4753 0 6.152 236.5
rnd_95776.volume rnd_95787.volume
-3.7927 -0.1913
0.6171 -5.1419
0.9532 -1.2500
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.284 4.157 10.49 7.076 17.77 3.372 2.866 7.474 8.091 5.638 3.672
[2,] 5.366 4.165 10.61 8.134 17.81 3.372 2.913 7.510 8.163 8.004 4.219
[3,] 5.422 4.190 10.73 8.918 18.19 3.494 2.996 7.702 8.268 8.008 4.257
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.777 3.732 5.268 5.375 5.084 6.656 5.296 10.31 7.680 13.33 5.148
[2,] 6.136 3.734 5.437 5.547 5.261 6.982 6.948 10.79 7.975 13.50 5.150
[3,] 6.539 3.914 5.584 5.784 5.300 7.040 7.034 11.26 8.855 13.65 5.153
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.18 7.957 3.046 5.943 6.064 5.347 6.292 2.991 6.768 6.154 3.451
[2,] 21.32 8.468 3.113 7.359 7.859 5.368 7.871 3.025 7.460 6.325 3.451
[3,] 21.63 10.178 3.160 9.821 8.614 5.504 8.748 3.025 8.348 6.589 3.522
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.314 6.713 6.163 5.319 5.817 5.351 1.801 5.042 1.414 4.946 5.143
[2,] 7.809 7.828 7.070 5.550 6.210 5.589 1.852 5.325 1.426 5.375 5.644
[3,] 8.677 8.112 7.294 5.800 6.282 5.835 1.867 5.397 1.428 5.592 6.091
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.991 2.334 5.479 5.791 7.090 4.317 7.770 6.660 3.020 6.300 5.543
[2,] 4.306 2.479 6.295 5.798 7.127 4.378 8.733 6.837 3.038 8.631 7.072
[3,] 4.454 2.577 6.518 6.044 7.551 4.501 8.817 7.636 3.062 8.843 7.557
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.043 3.174 5.191 1.400 3.786 2.213 4.488 4.492 5.131 6.135 2.834
[2,] 6.502 5.968 5.208 1.412 5.034 2.351 4.500 4.532 6.199 7.452 2.852
[3,] 7.749 7.166 5.215 1.429 7.011 2.425 5.336 4.647 6.382 7.478 2.860
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.001 4.197 5.351 2.892 5.953 5.870 6.712 7.064 7.701 6.158 6.148
[2,] 6.968 4.286 7.023 2.972 6.036 6.267 7.033 7.813 8.493 6.860 7.279
[3,] 7.193 4.297 7.818 3.107 6.111 6.289 7.244 7.841 9.242 6.951 7.489
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.855 5.319 4.435 6.039 3.134 3.679 2.134 6.783 4.342 8.490 8.646
[2,] 1.859 6.273 4.867 6.638 3.265 4.009 2.178 7.154 4.354 8.631 8.762
[3,] 1.879 6.856 5.093 7.328 3.301 4.092 2.178 7.209 4.378 8.754 9.251
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.169 2.414 3.873 4.012 4.262 2.926 4.603 16.64 20.44 7.706
[2,] 3.321 4.011 3.886 4.018 4.334 2.926 4.942 19.08 21.16 8.301
[3,] 4.008 4.023 4.035 4.172 4.587 2.961 5.370 20.99 21.48 10.200
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.71 5.278 13.32 8.986 22.56 4.281 3.639 9.491 10.27
[2,] 206.60 59.876 360.29 885.533 263.63 8.212 115.293 162.028 239.40
[3,] 170.87 100.236 344.21 807.606 816.70 202.687 154.787 377.110 290.11
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.159 4.663 7.335 4.739 6.689 6.825 6.456 8.453
[2,] 1254.505 458.862 456.624 25.357 297.428 302.255 299.335 465.637
[3,] 52.645 124.961 499.190 259.372 280.393 362.445 140.971 198.778
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 6.725 13.09 9.753 16.92 6.538 15.47 10.1 3.868 7.546
[2,] 992.982 702.94 474.371 475.18 32.897 3862.48 639.3 142.004 958.483
[3,] 242.783 716.54 849.594 442.34 35.952 808.08 1246.9 119.366 1436.026
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.701 6.79 7.99 3.799 8.595 7.815 4.382 9.288
[2,] 1103.564 106.24 1044.23 98.831 692.768 322.759 3.521 604.475
[3,] 779.047 267.89 842.79 9.912 827.384 407.322 155.828 835.191
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 8.525 7.826 6.755 7.387 6.795 2.287 6.402 1.795 6.28
[2,] 888.777 765.020 349.491 479.962 356.746 95.045 377.962 40.901 464.59
[3,] 470.294 395.657 372.509 210.390 369.678 51.915 194.641 15.844 340.48
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 6.531 5.068 2.964 6.958 7.353 9.004 5.482 9.866
[2,] 513.228 356.839 183.987 684.299 64.441 158.684 160.514 880.407
[3,] 505.869 251.545 155.709 373.287 377.035 551.047 231.113 267.507
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 8.458 3.834 8 7.039 6.404 4.03 6.591 1.778 4.808
[2,] 341.324 73.464 1302 969.782 906.321 1115.99 94.099 39.340 732.343
[3,] 750.655 84.013 425 587.887 930.648 875.60 58.071 48.899 1077.478
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.81 5.699 5.704 6.515 7.791 3.598 7.621 5.329
[2,] 175.49 74.612 133.218 768.014 933.995 71.413 781.878 191.673
[3,] 131.17 632.987 227.391 335.813 138.227 45.777 394.331 68.654
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.796 3.672 7.56 7.455 8.523 8.971 9.78 7.82 7.807
[2,] 1004.043 151.890 220.61 484.419 464.377 736.722 790.30 667.60 860.652
[3,] 758.644 199.526 210.13 115.473 383.044 147.873 804.78 246.97 388.589
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.356 6.754 5.631 7.669 3.98 4.672 2.710 8.614 5.513
[2,] 26.147 734.466 442.828 608.479 201.87 351.588 95.856 501.757 73.378
[3,] 60.858 610.743 331.082 685.410 106.81 180.519 4.599 197.016 99.438
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 10.78 10.98 2.754 3.065 4.919 5.095 5.413 3.715 5.845
[2,] 342.75 313.87 555.353 707.206 69.427 48.607 172.662 3.753 397.026
[3,] 323.83 655.11 495.443 69.560 239.703 248.276 332.081 101.038 464.359
[,96] [,97] [,98]
[1,] 21.13 25.96 9.785
[2,] 2061.38 1208.88 681.535
[3,] 1932.97 817.83 1308.918
[1] "--- VAR model 2017-10-04 16:31:00 completed"
[1] "Completed training sample: 2017-10-04 16:31:00 - 2017-10-05 00:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 17:01:00 - 2017-10-05 01:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.08614 0.0996 -0.25098 1.7081
-0.40827 0.0133 0.06071 1.8742
-0.40856 0.0108 -0.23363 -0.7409
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.580 0 0.21094 -0.55190
1.133 0 0.27388 -0.18421
1.864 0 0.09372 0.01533
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.0802 1.35307 0.22581 -3.682
0.6743 -0.30566 0.43190 -3.729
0.2953 0.06621 -0.06016 -3.433
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6354 -1.74393 -2.1744 0.5350
-0.8771 -0.06934 -0.2986 -0.4348
-0.4969 -0.46012 -0.1826 -0.4082
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.126 -5.7825 -2.6976 -1.6284
-1.997 -1.7046 0.4390 -2.2063
-1.492 -0.7505 0.5576 -0.6043
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.14883 0.15721 -1.3314 -0.5338
-0.05389 0.18083 -0.2856 -0.3311
-0.02711 -0.04734 0.2775 0.5760
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.21641 1.9335 3.6409 0.4487
-0.14032 -0.6923 -0.7697 0.8553
-0.04687 0.1332 0.1124 0.7489
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.3764 -0.057339 1.0314 1.3255
1.9306 -0.077983 2.8697 0.9697
-0.5114 -0.009837 -0.5561 0.6537
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.0212 -1.485635 -2.8044 -2.797
-0.3965 2.356629 -0.2208 -1.332
-0.2583 0.003891 2.0075 1.481
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4653 -1.1075 -0.13465 0.24033
-0.2735 2.1814 -0.14211 -0.08415
-0.1854 0.7942 -0.04871 0.19993
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6148 0 -0.3285 -3.417
0.3361 0 -1.5338 -2.717
0.3598 0 -0.7703 -3.445
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.2972 0.592084 -2.877 -0.02474
0.6129 -0.007974 -2.173 -0.12809
1.4060 0.113429 -1.879 -0.18533
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.847 -1.1116 1.5858 1.073
4.389 -0.9393 -0.1239 1.959
3.477 -0.9053 -0.3087 1.692
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.19953 1.64599 0.6780 -0.52631
-0.06096 0.73336 1.8390 1.78235
-0.07146 0.07099 0.5719 0.07146
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.1892 0.03382 -0.21329 1.722
0.5321 -0.01430 -0.01954 -1.180
1.9350 -0.07878 -0.03171 0.620
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.14986 3.96367 -0.30939 0.2602
-0.05186 -1.86592 -0.16038 0.8199
-0.04165 0.07247 0.08064 -1.2669
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2514 0.3378 -2.1378 0.07543
2.4441 0.2762 2.1808 0.04739
-1.6489 0.2095 -0.9961 0.02430
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.3770 0 -0.19558 0.526986
0.5143 0 -0.14178 0.004857
1.4799 0 0.08879 -0.329305
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.19457 0.759079 -0.2238 -0.9105
0.03452 -0.003479 1.2754 -0.1738
0.02028 -0.144830 1.3158 0.1036
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.5771 0.039682 -2.51022 0
0.2780 0.002955 -0.83093 0
0.2075 0.008962 0.07457 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.60294 1.0453 -0.04363 0
-1.80022 0.1128 0.35496 0
0.07886 0.2684 -0.05835 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.01524 0.11442 0.5927 2.6522
0.82219 0.02980 0.1175 0.8895
0.28517 0.01619 -0.1597 0.4746
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.23608 0.0128885 0.1180 0
0.01628 -0.0001763 0.2796 0
0.06855 0.0040405 0.1928 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.9148 0 6.934 236.1
-1.0227 0 6.908 236.8
-0.2597 0 6.849 232.4
rnd_95776.volume rnd_95787.volume
1.0212 0.02852
-1.7534 -0.35450
-0.9786 0.40143
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.044 3.892 10.13 6.698 15.68 2.867 2.825 7.090 7.414 5.273 3.327
[2,] 5.104 3.901 10.24 7.781 15.89 2.874 2.871 7.115 7.590 7.636 3.978
[3,] 5.150 3.922 10.34 8.528 16.06 2.899 2.952 7.213 7.639 7.671 4.022
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.228 3.635 5.017 5.154 4.566 6.312 4.753 10.13 7.376 12.27 4.878
[2,] 5.897 3.637 5.204 5.341 4.728 6.724 6.523 10.59 7.776 12.33 4.878
[3,] 6.332 3.800 5.352 5.630 4.777 6.793 6.672 11.04 8.527 12.48 4.884
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.80 7.674 2.841 5.673 5.849 5.275 6.072 2.864 6.300 5.927 3.355
[2,] 20.64 8.171 2.908 7.017 7.611 5.292 7.657 2.890 7.072 6.087 3.355
[3,] 20.90 9.949 2.936 9.461 8.358 5.411 8.523 2.891 8.004 6.358 3.420
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.014 6.335 5.814 5.137 5.294 5.154 1.767 4.850 1.388 4.620 4.541
[2,] 7.540 7.360 6.759 5.337 5.779 5.338 1.817 5.074 1.403 5.144 5.086
[3,] 8.460 7.648 6.979 5.573 5.836 5.535 1.836 5.139 1.404 5.378 5.398
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.919 2.247 5.152 5.495 6.883 4.128 7.558 6.272 2.738 5.949 5.174
[2,] 4.211 2.406 5.820 5.497 6.922 4.175 8.352 6.427 2.748 8.092 6.682
[3,] 4.363 2.525 6.027 5.757 7.313 4.301 8.398 7.138 2.795 8.256 7.122
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.853 2.874 5.000 1.276 3.406 2.135 4.338 4.421 4.826 5.553 2.553
[2,] 6.262 5.622 5.036 1.282 4.671 2.259 4.349 4.460 5.967 7.087 2.563
[3,] 7.435 6.829 5.039 1.295 6.561 2.336 5.276 4.582 6.150 7.105 2.573
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.460 4.093 4.738 2.662 5.601 5.536 6.370 6.543 7.443 5.829 5.688
[2,] 6.616 4.152 6.470 2.701 5.653 6.031 6.711 7.509 8.054 6.611 6.725
[3,] 6.788 4.154 7.399 2.831 5.746 6.040 6.836 7.528 8.645 6.664 7.123
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.683 4.869 4.257 5.474 3.013 3.531 2.046 5.792 4.059 8.351 8.391
[2,] 1.687 5.975 4.675 6.170 3.146 3.839 2.089 6.166 4.081 8.456 8.485
[3,] 1.730 6.558 4.878 6.913 3.193 3.904 2.089 6.207 4.112 8.563 8.881
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.894 2.163 3.545 3.717 4.029 2.766 4.535 16.90 19.08 7.439
[2,] 2.919 3.812 3.569 3.731 4.095 2.775 4.864 19.31 19.66 7.963
[3,] 3.763 3.816 3.704 3.869 4.373 2.788 5.268 21.23 20.02 9.864
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.405 4.942 12.86 8.505 19.91 3.641 3.588 9.003 9.415
[2,] 179.800 59.740 356.08 914.928 599.03 45.148 117.381 138.270 375.329
[3,] 160.121 93.600 323.65 806.561 533.04 87.897 158.832 272.879 200.644
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.696 4.224 6.639 4.616 6.371 6.545 5.799 8.015
[2,] 1276.361 503.945 630.113 26.514 319.562 322.957 283.403 535.172
[3,] 169.242 136.826 533.240 254.522 288.331 411.799 156.793 223.417
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 6.036 12.87 9.366 15.58 6.195 14.98 9.745 3.608
[2,] 1032.117 709.12 568.717 296.36 13.372 3912.65 648.259 143.393
[3,] 324.357 721.04 808.520 440.12 55.803 760.66 1311.465 92.449
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.204 7.428 6.698 7.71 3.637 8.0 7.526 4.260
[2,] 954.244 1125.032 97.979 1078.06 89.792 742.2 320.614 8.873
[3,] 1466.166 798.359 261.238 864.81 4.659 866.3 424.376 153.688
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 8.907 8.045 7.382 6.523 6.722 6.545 2.243 6.158 1.762
[2,] 639.504 865.617 796.413 334.912 535.813 320.765 98.012 344.490 47.680
[3,] 886.496 480.184 402.210 370.657 187.088 338.525 61.663 188.354 13.709
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 5.866 5.766 4.976 2.853 6.542 6.978 8.741 5.241
[2,] 522.583 529.668 356.090 198.947 625.738 35.602 168.592 145.689
[3,] 362.709 417.440 263.545 177.039 361.980 394.610 545.429 238.092
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 9.597 7.964 3.477 7.554 6.571 6.162 3.65 6.349
[2,] 821.630 323.889 52.255 1267.598 976.999 914.562 1116.32 140.453
[3,] 201.408 717.812 118.041 378.643 569.014 926.226 895.70 38.653
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.621 4.325 2.711 5.508 5.614 6.129 7.051 3.242
[2,] 27.039 738.519 170.741 73.307 135.033 810.579 1017.396 51.771
[3,] 43.864 1064.694 137.122 690.305 243.375 344.857 119.625 54.182
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 6.933 5.197 6.017 3.38 7.113 7.029 8.089 8.308
[2,] 863.391 161.214 1018.035 105.82 175.859 553.309 487.689 851.322
[3,] 351.335 33.391 829.571 196.01 238.383 73.717 300.833 123.364
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.452 7.402 7.223 2.137 6.182 5.405 6.951 3.826
[2,] 710.830 720.767 828.883 28.995 800.543 446.511 657.698 209.246
[3,] 726.214 193.917 542.752 87.816 624.172 321.701 720.257 125.920
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.484 2.599 7.354 5.154 10.6 10.65 2.406 2.747 4.501
[2,] 348.176 97.036 489.057 97.616 307.3 291.08 513.250 725.308 96.702
[3,] 163.985 2.744 163.399 117.519 312.0 606.52 548.742 36.613 229.049
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.72 5.116 3.513 5.758 21.46 24.23 9.447
[2,] 74.88 170.038 50.882 406.508 2160.37 1095.47 656.469
[3,] 236.17 353.940 62.617 467.290 2035.93 868.52 1344.901
[1] "--- VAR model 2017-10-04 17:01:00 completed"
[1] "Completed training sample: 2017-10-04 17:01:00 - 2017-10-05 01:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 17:31:00 - 2017-10-05 01:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.39584 -0.01235 -2.0425 -3.603
-0.19365 -0.08218 -1.6642 -5.193
-0.06123 -0.03993 -0.8108 -1.125
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.012 0.744675 0.67749 -0.06709
-2.724 0.537026 0.22606 0.22725
-4.601 0.009911 0.09066 0.10419
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.2076 1.5371 1.1740 0.4868
0.4396 -0.0604 -0.0788 -0.3731
0.3617 0.5652 0.1783 -0.1826
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.673530 1.3083 1.6799 -0.21839
-0.035393 1.0427 0.3684 0.02482
-0.003247 0.1681 0.1891 -0.28076
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.1116 -1.2531 1.82472 1.7688
1.0889 0.8027 0.03931 0.3144
0.3408 0.7107 2.66627 1.4652
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.7876 0.144527 -2.766 -4.7946
-0.9858 0.005141 -3.800 -0.7858
-0.5666 0.007936 -3.402 -2.0822
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.008535 -6.1064 -5.444 0.70351
-0.001993 -0.8931 -2.519 -0.13983
-0.001221 -1.9698 -0.935 -0.06891
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.070 0.047362 -3.433 0.8429
-5.126 -0.031976 -5.168 0.7828
-1.033 -0.004132 -2.253 0.3726
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.26180 -1.221 -0.4025 -0.4657
0.31106 -3.509 -2.3618 -1.6915
0.03201 -3.032 -4.0309 -3.4827
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2960 -0.07983 0.8873 0.000000
0.1719 -1.19951 0.1992 -0.007138
0.1098 1.57775 0.1570 -0.107478
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -0.9946 -0.6153
0 0 -0.2735 -1.2940
0 0 -0.9953 -1.0845
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4670 0.050564 -0.9151 0.23446
0.5302 0.301864 -0.8788 -0.14203
0.1984 -0.001499 -0.8417 0.00482
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.0855 -0.5846 0.1303 2.369
0.4975 -0.7395 -0.4487 2.895
0.5921 -0.7617 0.9654 2.421
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2823 4.71698 4.9597 8.9876
-0.3330 -0.04829 0.9782 2.2869
-0.1986 2.18698 0.9726 0.1076
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.6852 -0.04000 0 -2.269
5.5056 0.04464 0 4.514
0.7545 -0.02442 0 5.440
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1154 -1.1922 -0.17390 0.557
-0.1635 0.7189 -0.02490 -1.590
-0.2520 4.8506 -0.04232 2.724
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.8509 0.2863 1.9546 0
-1.2985 0.2285 -0.7723 0
1.3053 0.1671 -0.1854 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.08948 -0.4481 -0.35668 -0.16065
0.69413 0.2242 -0.01905 -0.25334
-1.48027 -0.1488 -0.04051 0.01483
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2078 0.01468 -0.7942 -0.5757
0.3886 -0.25587 -0.7736 -0.4175
0.1380 -0.01497 -0.5139 -0.2656
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.0702 0.16961 0.5057 0.3978
-0.2754 0.08483 -0.3384 0.6128
-0.2699 0.03431 -0.4529 0.3095
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.7025 0.6712 1.602039 0.00150009
-0.7318 0.7760 0.098514 0.00030753
-0.2461 0.3515 0.003935 0.00002461
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5112 -0.06171 -0.24802 2.0658
-0.7135 -0.11085 -0.22351 0.4191
-0.5293 -0.04909 -0.06362 0.2276
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.04537 0 6.449 238.0
-0.02566 0 6.472 237.1
3.83659 0 6.390 234.7
rnd_95776.volume rnd_95787.volume
-0.8870 -4.3948
1.6344 -0.4538
0.7519 -1.8822
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.786 3.654 9.437 5.765 14.49 2.547 2.597 6.175 6.666 4.695 2.992
[2,] 4.817 3.665 9.582 6.901 14.63 2.549 2.650 6.181 6.740 6.508 3.667
[3,] 4.846 3.679 9.777 7.685 14.74 2.582 2.728 6.345 6.839 6.530 3.686
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.988 3.058 4.721 4.937 4.459 5.910 4.435 9.267 7.149 10.41 4.794
[2,] 5.797 3.077 5.052 5.194 4.565 6.301 6.269 9.703 7.686 10.52 4.797
[3,] 6.207 3.254 5.226 5.493 4.662 6.544 6.467 10.259 8.338 10.79 4.804
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.18 7.313 2.581 5.426 5.315 5.201 5.425 2.752 5.408 5.679 3.193
[2,] 19.40 7.790 2.651 6.667 7.105 5.218 7.083 2.770 6.212 5.803 3.195
[3,] 19.69 9.661 2.676 9.110 7.957 5.325 7.945 2.770 7.333 6.034 3.234
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.515 5.992 5.548 5.091 4.982 4.800 1.735 4.476 1.364 4.269 4.336
[2,] 7.049 7.006 6.485 5.264 5.580 4.884 1.792 4.626 1.381 4.811 4.878
[3,] 8.023 7.340 6.686 5.463 5.613 4.987 1.814 4.694 1.383 5.204 5.163
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.705 2.095 4.880 5.165 6.609 3.987 7.145 6.126 2.597 5.683 4.899
[2,] 3.918 2.248 5.583 5.166 6.633 4.024 7.871 6.291 2.607 7.842 6.330
[3,] 4.070 2.368 5.747 5.384 7.026 4.127 7.909 6.978 2.659 7.997 6.769
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.611 2.670 4.866 1.088 3.122 2.017 4.096 4.173 4.295 4.955 2.335
[2,] 5.959 5.268 4.898 1.090 4.327 2.106 4.154 4.216 5.521 6.592 2.342
[3,] 7.176 6.398 4.900 1.113 6.138 2.156 4.905 4.336 5.725 6.636 2.351
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.038 4.074 4.465 2.087 5.007 5.225 5.997 6.102 7.335 5.082 4.882
[2,] 6.239 4.125 5.915 2.178 5.014 5.721 6.291 7.092 7.920 6.339 6.172
[3,] 6.420 4.126 7.060 2.245 5.047 5.722 6.393 7.098 8.423 6.364 6.764
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.577 4.217 4.068 4.769 2.857 3.361 1.945 5.307 3.814 8.168 8.046
[2,] 1.581 5.324 4.411 5.581 2.985 3.643 1.986 5.602 3.842 8.249 8.113
[3,] 1.604 6.417 4.586 6.458 3.052 3.702 1.986 5.647 3.868 8.338 8.463
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.633 1.735 3.072 3.004 3.857 2.699 4.308 17.12 18.13 6.969
[2,] 2.516 2.931 3.113 3.017 3.929 2.715 4.663 19.54 18.65 7.476
[3,] 3.093 2.934 3.248 3.260 4.158 2.720 5.050 21.51 19.02 9.526
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.077 4.641 11.98 7.321 18.4 3.234 3.297 7.842 8.465
[2,] 135.576 70.346 412.74 941.432 501.3 28.887 131.625 65.890 246.878
[3,] 132.952 79.183 481.17 838.944 443.3 101.216 160.032 355.493 287.959
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.961 3.80 6.334 3.883 5.994 6.27 5.662 7.504
[2,] 1118.544 525.75 732.875 84.038 446.774 400.44 243.377 542.705
[3,] 132.797 93.16 550.475 263.280 332.086 443.07 234.735 438.262
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.632 11.77 9.078 13.22 6.088 14.2 9.286 3.278
[2,] 1099.535 713.75 699.943 374.56 42.586 3933.4 666.027 149.540
[3,] 394.333 826.78 802.123 591.76 65.499 842.2 1418.235 91.686
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.891 6.75 6.604 6.889 3.494 6.867 7.212 4.055
[2,] 961.083 1169.74 105.710 1130.093 78.216 758.353 295.641 22.492
[3,] 1540.445 888.93 263.415 892.778 3.503 967.065 410.572 124.021
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 8.273 7.609 7.045 6.464 6.327 6.095 2.203 5.684
[2,] 667.895 900.927 833.277 332.203 623.661 223.802 110.895 289.939
[3,] 950.461 543.627 403.552 363.031 149.855 250.324 71.149 197.568
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.732 5.421 5.506 4.705 2.66 6.197 6.558 8.393 5.063
[2,] 53.764 550.473 554.738 316.228 202.56 673.016 26.336 137.654 134.865
[3,] 17.309 492.220 419.624 273.921 184.89 337.920 376.706 575.484 227.337
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 9.072 7.779 3.298 7.217 6.221 5.856 3.391 6.18
[2,] 819.559 354.648 57.235 1340.896 994.913 936.522 1126.895 137.49
[3,] 191.485 749.362 129.839 389.128 594.971 992.280 901.005 36.37
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.381 3.964 2.561 5.201 5.299 5.453 6.292 2.965
[2,] 17.011 743.459 150.612 171.160 148.337 860.791 1078.831 46.910
[3,] 56.430 1080.298 114.629 647.499 251.995 376.488 189.881 49.946
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 6.397 5.173 5.669 2.65 6.359 6.635 7.615 7.749
[2,] 913.183 160.987 962.815 154.79 66.538 578.079 472.122 896.751
[3,] 375.731 23.926 956.522 134.84 141.223 31.514 281.350 75.787
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 9.314 6.454 6.2 2.003 5.355 5.166 6.056 3.628 4.268
[2,] 741.081 940.040 937.0 25.638 806.410 422.991 719.425 214.240 348.475
[3,] 711.492 141.404 686.6 68.068 888.842 311.116 806.515 158.045 163.013
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 2.470 6.739 4.843 10.37 10.22 2.073 2.203 3.901 3.814
[2,] 98.965 445.281 114.037 286.08 257.45 475.062 586.279 125.329 69.324
[3,] 8.164 177.139 111.673 302.67 597.72 446.358 33.825 229.660 306.492
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.898 3.427 5.471 21.74 23.02 8.85
[2,] 185.829 73.056 442.475 2338.01 1087.18 671.57
[3,] 338.116 43.479 481.076 2230.68 933.13 1465.02
[1] "--- VAR model 2017-10-04 17:31:00 completed"
[1] "Completed training sample: 2017-10-04 17:31:00 - 2017-10-05 01:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 18:01:00 - 2017-10-05 02:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.19193 0 0.4886 3.0743
0.07024 0 0.2751 -0.3798
0.01994 0 0.4456 1.1214
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.0628 0 0.22151 -0.5645
1.9568 0 0.21000 -0.3088
0.2367 0 0.09821 -0.8035
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.37520 -0.4452 0.09762 -2.038
-0.06501 -0.4534 -0.10660 -2.662
-0.06542 -0.2109 0.07814 -2.466
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.27399 -0.4241 -0.5511 -0.2682
-0.01569 -0.6187 -0.3219 -0.2686
-0.04012 -0.3184 -0.1059 -0.3448
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.997 -3.4954 3.0183 -2.802
-1.418 -0.9593 2.4099 -2.434
-1.430 -1.0105 -0.1219 -1.473
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.8693 0 4.4801 -0.8351
1.0137 0 1.2338 1.4471
0.9053 0 0.7758 0.2463
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04021 -0.7629 1.3627 0
-0.06198 1.9413 0.3009 0
-0.01882 0.6321 1.1804 0
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
3.2298 0.180541 0.5075 0.2991
-0.3667 0.014807 0.9901 0.2794
1.3123 -0.002924 0.4253 0.2491
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.09419 -1.3575 -1.2360 -1.5115
0.36687 1.4873 1.1252 -1.0131
0.22361 -0.4274 0.4786 0.8611
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.8783 -1.3552 0 0.42834
1.0661 0.3842 0 -0.13827
0.7529 -0.9121 0 0.09113
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -0.8815 0.4086
0 0 -0.8433 -1.6258
0 0 0.3338 -1.9214
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.67778 0.3986493 -2.3224 -0.24577
-0.09039 -0.0007949 -0.1843 0.23724
0.20739 -0.0016983 -1.1952 0.04324
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.30538 -0.4198 -0.4032 0.21295
-0.02063 -0.1706 -0.5792 0.05141
-0.11033 -0.1728 -0.5830 0.10088
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.30027 -1.0031 -0.2349 -0.9934
-0.14698 -0.3622 -0.2383 -0.4470
-0.06851 -1.1877 -0.3704 -0.2969
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.9425 0.05367 0 0.69650
-0.1329 0.35379 0 -2.54861
-0.2244 0.04280 0 0.01826
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1066 1.1174 -0.00136 -0.0992
0.1280 -1.1708 -0.11140 0.3274
-0.2442 -0.3718 -0.02889 -1.4769
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.5486 0 0.1612 0.01681194
0.7702 0 0.6957 0.00240894
-1.4352 0 -0.5790 0.00009735
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.5291 0.24187 0.2645 -1.1140
-0.4062 0.02571 -0.1975 0.4923
0.4489 0.09877 -0.1664 -0.1920
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3674 -1.5531 -0.4297 -0.795308
-0.2785 0.2973 -0.1552 -0.008801
-0.1457 -0.2175 -0.1413 -0.061160
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.6955 0 -0.7673 0
-1.3326 0 -1.1193 0
0.3808 0 -0.1120 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.2052 0.39322 -0.1318 0
-0.8353 0.20931 -0.1175 0
-1.2232 -0.06842 -0.1334 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.59851 0 -0.2532 0.9326
-0.45023 0 -0.3668 0.5690
-0.05447 0 -0.1511 0.4367
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.02654 0.10274 -0.13896 -0.10911
0.03745 -0.08244 -0.11940 -0.09880
-0.10252 -0.02683 -0.09994 -0.08447
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.4853 0 6.363 242.3
-0.8825 0 6.234 242.1
-0.4769 0 6.015 240.1
rnd_95776.volume rnd_95787.volume
-1.2348 -1.08818
-2.0244 1.75880
-0.4097 0.09937
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.579 3.464 8.820 5.035 13.26 2.014 2.311 5.222 6.107 4.532 2.871
[2,] 4.599 3.468 8.956 6.146 13.47 2.014 2.374 5.223 6.174 6.055 3.500
[3,] 4.613 3.471 9.196 6.932 13.66 2.027 2.458 5.244 6.262 6.076 3.520
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.658 2.880 4.449 4.449 4.360 5.474 4.059 9.923 6.874 9.800 4.403
[2,] 5.609 2.884 4.842 4.828 4.470 5.876 5.915 10.310 7.360 9.901 4.419
[3,] 5.979 3.066 4.979 5.139 4.555 6.210 6.155 10.613 7.980 10.137 4.427
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.10 6.933 2.224 5.090 5.104 5.128 4.757 2.606 4.583 5.211 3.017
[2,] 18.24 7.476 2.237 6.143 6.752 5.147 6.286 2.614 5.430 5.252 3.017
[3,] 18.49 9.375 2.255 8.667 7.611 5.259 7.150 2.615 6.716 5.332 3.040
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.085 5.045 5.060 4.854 4.086 4.633 1.646 4.154 1.292 4.029 4.112
[2,] 6.562 6.502 6.023 4.958 4.749 4.707 1.703 4.261 1.309 4.523 4.719
[3,] 7.437 6.769 6.183 5.099 4.803 4.787 1.733 4.312 1.311 5.070 5.089
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.487 2.153 4.500 4.575 6.359 3.856 6.191 5.831 2.437 5.282 4.424
[2,] 3.716 2.288 5.103 4.575 6.374 3.879 7.066 5.999 2.447 6.920 5.800
[3,] 3.820 2.346 5.399 4.881 6.775 3.950 7.432 6.604 2.491 7.296 6.226
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.205 2.471 4.569 0.9788 2.878 1.793 3.703 3.557 3.943 4.697 1.941
[2,] 5.281 4.773 4.603 0.9872 4.105 1.826 3.772 3.803 4.865 6.038 1.946
[3,] 6.349 5.920 4.603 1.0087 5.718 1.827 4.339 3.840 5.210 6.224 1.946
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.827 4.010 4.019 1.922 4.716 4.565 5.780 5.510 6.723 4.537 4.241
[2,] 5.812 4.051 5.597 2.012 4.716 5.168 5.831 6.661 7.050 6.111 5.762
[3,] 5.939 4.051 6.350 2.053 4.740 5.178 5.861 6.662 7.360 6.120 6.511
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.407 3.699 3.471 3.979 2.760 3.116 1.820 4.127 3.375 7.933 7.563
[2,] 1.419 4.769 3.650 4.848 2.861 3.359 1.854 4.776 3.387 8.004 7.602
[3,] 1.431 6.156 3.744 5.925 2.945 3.431 1.854 4.876 3.406 8.071 7.826
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.344 1.484 2.667 2.523 3.637 2.571 3.735 17.47 16.99 6.592
[2,] 2.026 2.452 2.749 2.619 3.695 2.579 3.996 19.83 17.43 7.110
[3,] 2.510 2.504 2.877 2.753 3.888 2.586 4.338 21.78 17.67 9.204
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.815 4.398 11.2 6.394 16.84 2.557 2.935 6.631 7.755
[2,] 112.866 44.626 410.6 931.021 633.43 5.747 142.915 25.639 239.935
[3,] 95.017 37.813 551.7 847.090 585.55 61.162 168.708 123.978 275.458
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.756 3.645 5.915 3.657 5.65 5.649 5.536 6.951
[2,] 1060.497 528.755 825.427 43.645 504.39 495.317 260.920 564.814
[3,] 134.569 99.117 547.388 274.255 307.44 464.958 230.939 530.289
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.154 12.6 8.728 12.44 5.591 12.83 8.804 2.824
[2,] 1136.761 739.6 694.946 372.72 100.805 4011.30 738.834 64.607
[3,] 449.170 665.2 814.746 574.30 67.578 801.89 1494.480 74.753
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.463 6.481 6.512 6.04 3.309 5.82 6.617 3.831
[2,] 908.590 1167.564 115.370 1085.70 56.510 769.37 173.117 14.354
[3,] 1615.260 927.702 285.400 900.12 11.451 1043.94 243.671 97.688
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 7.727 6.407 6.426 6.164 5.188 5.883 2.09 5.275 1.64
[2,] 648.643 1083.587 862.897 267.029 639.207 220.880 115.60 250.083 56.28
[3,] 924.755 497.250 369.307 313.991 190.874 230.139 85.19 175.438 16.20
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 5.116 5.222 4.428 2.735 5.715 5.81 8.075 4.896
[2,] 542.875 611.523 339.471 204.134 635.281 14.41 113.658 112.356
[3,] 605.483 502.909 234.061 136.825 466.250 449.44 606.968 197.266
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 7.861 7.405 3.094 6.707 5.617 5.34 3.137 5.802
[2,] 899.968 371.901 61.068 1180.941 990.969 843.74 1078.871 147.584
[3,] 608.236 729.746 122.794 611.297 597.582 931.15 925.129 9.256
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.243 3.654 2.277 4.702 4.516 5.007 5.964 2.464
[2,] 33.931 773.303 91.850 189.634 355.916 752.801 1002.386 37.071
[3,] 54.762 1051.457 13.985 566.333 140.560 492.321 398.165 9.290
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 6.129 5.092 5.103 2.441 5.989 5.796 7.34 6.997
[2,] 855.343 151.824 1028.978 157.552 14.288 640.028 203.14 988.639
[3,] 322.673 7.350 792.522 107.361 125.055 86.823 155.34 25.688
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 8.537 5.761 5.385 1.787 4.698 4.407 5.053 3.505
[2,] 560.482 1081.639 1030.536 47.446 795.157 298.885 731.686 199.022
[3,] 558.509 86.797 800.610 48.583 1028.352 219.480 899.836 184.353
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.957 2.311 5.24 4.286 10.07 9.604 1.706 1.885 3.386
[2,] 331.280 93.186 635.26 75.972 281.22 202.172 400.654 515.411 176.203
[3,] 183.862 3.202 259.15 94.824 274.56 491.639 391.073 134.184 224.016
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.203 4.618 3.264 4.742 22.19 21.57 8.371
[2,] 186.129 173.547 56.615 375.545 2474.78 1031.61 703.641
[3,] 223.800 319.602 50.319 445.882 2384.43 758.70 1543.906
[1] "--- VAR model 2017-10-04 18:01:00 completed"
[1] "Completed training sample: 2017-10-04 18:01:00 - 2017-10-05 02:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 18:31:00 - 2017-10-05 02:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.03873 0.043667 -2.568 -2.193
-0.14312 0.015220 -1.746 -3.882
0.11100 0.003699 -1.235 -1.810
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.508 0 0.14909 -0.09776
-2.329 0 0.03174 -0.26982
-3.037 0 0.04049 -0.12342
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.23442 -1.30626 -0.3128 -1.0552
-0.18463 -0.05404 -0.1656 0.2132
-0.04854 -0.29593 -0.1991 -0.5262
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.07932 -0.5028 0.3160 0.032950
0.20463 -0.3438 -1.1001 -0.821871
0.22875 -0.1165 0.1682 0.008365
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.1976 -0.8819 -0.8931 1.2284
-1.3170 -0.4614 -2.3057 -0.6976
0.0608 -1.3305 -1.5475 -0.2234
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.4596 0.4757 -3.400 -3.495
-0.6725 0.0468 -4.130 -1.633
-0.5855 0.0368 -2.873 -2.185
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -3.951 -3.725 0.485
0 -1.521 -2.146 1.015
0 -1.931 -1.327 1.113
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.233 0.09768 -3.220 -0.4021
-3.673 0.01814 -3.935 -0.4446
-1.631 0.08089 -1.975 -0.2660
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2563 -4.633 -3.333 -0.2831
-0.2660 -2.912 -3.095 -3.7344
-0.1799 -2.906 -3.318 -2.8043
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.06207 -0.9272 -0.24509 0.00000
-0.08755 -0.7147 -0.02969 -0.10561
-0.02091 -0.1935 -0.02778 -0.08243
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -1.972 -1.524
0 0 -2.129 -0.702
0 0 -1.535 -2.331
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7016 -0.23985 -1.0448 1.024
-0.4400 -0.05388 -1.5406 1.122
-0.6389 -0.10744 -0.6123 0.626
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.2805 -0.16646 0.2168 1.111
-0.2300 -0.06757 -1.8131 1.521
0.1743 -0.08831 -0.3693 1.139
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.03949 1.13166 -0.2113 -0.4304
-0.18586 -0.85337 0.3095 1.0815
-0.11786 0.07877 -0.7313 -0.9607
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.8057 0.1994 0 -1.6630
-0.1022 0.1406 0 -0.7643
0.4027 0.1911 0 0.2477
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5830 0.16350 0.3671 0.6564
0.4391 -0.63647 0.1634 -0.5296
-0.3214 -0.03568 0.2489 -0.3092
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.1093 0 0.8563 0.4062
-0.1395 0 0.6727 -0.1062
-0.3980 0 -0.5331 0.1008
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.7923 0.16201 -0.05123 0.9681
0.5456 0.23806 -0.03878 -0.4251
-0.1773 0.05522 0.12946 0.1210
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0 1.7751 -0.12268 1.9576
0 -0.2512 -0.14499 -0.3888
0 -0.0324 0.03404 -0.1260
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.07348 0 -3.1724 0
1.35512 0 2.3928 0
-0.32939 0 -0.1294 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.3087 -0.4036 -0.20186 0
0.4782 -0.4623 0.04543 0
1.2312 0.2746 -0.37060 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.7091 0.18521 1.5172 0
-0.3603 0.11039 1.1260 0
-0.4254 0.04819 0.9166 0
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.057969 0.05522 -0.11581 0
-0.036358 0.04340 -0.05447 0
0.003017 0.05141 0.04034 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.6447 0 4.435 243.2
-0.4316 0 3.766 242.4
-0.1692 0 3.589 243.2
rnd_95776.volume rnd_95787.volume
-2.718 -3.374
1.145 -1.145
-1.651 -1.921
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.211 3.270 8.338 4.554 11.62 1.571 2.183 5.204 5.877 4.240 2.719
[2,] 4.212 3.281 8.481 5.666 11.78 1.574 2.232 5.217 5.925 5.794 3.301
[3,] 4.213 3.288 8.759 6.427 12.03 1.588 2.310 5.266 6.016 5.802 3.311
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.352 2.715 4.244 4.287 4.351 4.955 3.604 8.639 5.639 8.750 4.231
[2,] 5.317 2.725 4.605 4.503 4.469 5.330 5.477 9.797 6.734 8.863 4.252
[3,] 5.624 2.875 4.767 4.989 4.530 5.693 5.671 10.030 7.312 9.150 4.264
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.129 6.577 1.992 4.718 4.851 4.902 4.271 2.517 4.282 4.930 2.895
[2,] 17.649 7.098 1.994 5.587 6.327 4.915 5.811 2.534 5.107 4.965 2.895
[3,] 17.935 9.283 1.998 8.375 7.240 5.004 6.567 2.534 6.287 5.040 2.915
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.694 4.365 4.541 4.469 3.725 4.334 1.553 3.534 1.175 3.799 3.823
[2,] 6.035 6.122 5.653 4.503 4.469 4.365 1.609 3.552 1.186 4.176 4.536
[3,] 6.927 6.358 5.797 4.571 4.541 4.393 1.647 3.566 1.186 4.939 4.896
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.296 1.914 4.215 4.309 6.056 3.545 5.684 5.335 2.318 5.022 4.232
[2,] 3.561 1.986 4.734 4.310 6.056 3.554 6.534 5.471 2.327 6.324 5.521
[3,] 3.648 2.010 5.116 4.579 6.257 3.578 6.911 5.883 2.368 6.683 5.864
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.013 2.265 4.317 0.8834 2.662 1.560 3.434 3.312 3.766 4.402 1.779
[2,] 4.974 4.570 4.341 0.9036 3.799 1.573 3.501 3.571 4.611 5.622 1.788
[3,] 5.750 5.616 4.341 0.9195 5.470 1.574 4.016 3.606 4.973 5.886 1.788
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.459 3.695 3.702 1.838 4.352 4.177 5.092 5.031 5.801 4.368 3.342
[2,] 5.368 3.770 5.179 1.918 4.353 4.858 5.092 6.286 5.824 5.921 5.451
[3,] 5.471 3.776 5.896 1.955 4.358 4.888 5.093 6.292 5.845 5.933 6.145
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.256 3.323 3.122 3.509 2.514 2.983 1.616 3.464 3.132 7.644 7.053
[2,] 1.266 4.496 3.200 4.118 2.632 3.196 1.646 4.371 3.156 7.723 7.114
[3,] 1.277 5.880 3.223 5.584 2.731 3.262 1.646 4.459 3.193 7.789 7.280
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.18 1.285 2.236 2.267 3.419 2.335 3.435 18.00 12.83 6.209
[2,] 1.73 2.180 2.295 2.366 3.480 2.341 3.589 20.41 14.82 6.689
[3,] 2.18 2.234 2.421 2.486 3.674 2.350 3.879 22.61 15.26 9.090
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.347 4.152 10.59 5.783 14.75 1.994 2.773 6.608 7.463
[2,] 31.215 80.171 448.85 974.939 569.89 28.909 134.424 108.011 217.890
[3,] 17.771 59.057 633.57 877.422 697.33 61.022 171.477 205.554 301.631
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.384 3.452 5.526 3.448 5.39 5.444 5.525 6.293
[2,] 1142.028 541.538 883.581 67.376 516.44 398.203 295.313 567.363
[3,] 84.346 72.245 529.281 264.981 356.42 621.224 214.049 578.369
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.576 10.97 7.161 11.11 5.373 11.59 8.351 2.53
[2,] 1192.670 1335.75 1064.349 408.36 120.444 4368.05 772.287 21.26
[3,] 424.874 622.60 823.819 658.23 94.741 922.65 1729.832 37.78
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.992 6.16 6.224 5.424 3.197 5.438 6.26 3.676
[2,] 865.479 1174.73 106.220 1139.571 83.569 804.425 171.81 11.254
[3,] 1804.063 1017.75 271.019 884.216 15.475 1060.478 250.53 96.949
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 7.23 5.543 5.766 5.675 4.73 5.503 1.972 4.487 1.492
[2,] 578.48 1241.255 973.391 160.091 713.84 151.867 122.519 102.969 46.360
[3,] 983.36 496.638 372.557 226.285 232.59 142.099 101.297 93.841 6.432
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.825 4.854 4.185 2.43 5.352 5.471 7.69 4.502 7.218
[2,] 501.318 705.809 389.924 153.15 623.721 31.622 11.97 75.158 931.721
[3,] 762.292 533.039 228.835 90.53 560.598 447.053 455.89 119.090 651.539
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.775 2.944 6.377 5.374 5.096 2.876 5.482 1.122
[2,] 350.084 58.201 1111.418 1025.338 849.694 1147.938 130.867 54.976
[3,] 625.992 127.361 625.382 571.607 834.659 943.769 6.810 49.248
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.381 1.982 4.36 4.205 4.782 5.589 2.259 5.662
[2,] 783.699 58.018 197.10 386.067 769.511 1011.514 49.634 864.433
[3,] 1138.108 14.642 569.21 144.914 538.532 504.267 12.512 305.203
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.692 4.701 2.334 5.526 5.304 6.466 6.389 7.367
[2,] 217.043 1047.474 158.367 27.937 717.254 11.097 1089.806 147.553
[3,] 56.849 814.754 109.601 60.597 156.268 29.306 79.022 143.723
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.547 4.244 1.596 4.219 3.965 4.456 3.192 3.788
[2,] 1155.949 1245.206 45.624 876.064 203.183 622.786 225.221 331.712
[3,] 106.257 820.482 47.310 1095.604 109.866 1090.692 211.411 188.626
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.052 4.399 3.978 9.707 8.957 1.498 1.632 2.839
[2,] 90.068 771.000 110.222 317.462 268.517 366.033 509.099 149.214
[3,] 2.115 254.547 141.618 293.325 446.122 383.567 141.550 222.964
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.879 4.342 2.965 4.362 22.86 16.29 7.885
[2,] 196.284 187.377 50.105 301.425 2784.36 2148.00 719.447
[3,] 220.102 340.921 59.554 425.371 2809.55 1044.28 1780.073
[1] "--- VAR model 2017-10-04 18:31:00 completed"
[1] "Completed training sample: 2017-10-04 18:31:00 - 2017-10-05 02:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 19:01:00 - 2017-10-05 03:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.03293 -0.10771 -0.9903 -0.6428
0.05731 -0.11004 -0.7204 -2.3202
-0.01428 -0.04575 -0.5369 -0.4444
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.5218 0 0.4306 0.03151
-0.2436 0 0.4464 -0.23041
-1.6843 0 0.3397 -0.07939
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5264 -1.39893 -0.42280 -2.916
-0.2850 -0.05428 -0.22009 -2.977
-0.1499 -0.31474 -0.01074 -3.032
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.4941 -0.2986 -0.3439 -0.03978
-0.4319 -0.5389 -0.7429 -0.48667
-0.2097 -0.1379 -0.2286 -0.31449
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.205 -1.1001 2.337 1.5834
-1.139 -0.8213 0.562 0.5139
-1.177 -1.0528 1.057 0.8482
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.031 0.12325 -1.453 -1.2039
-0.520 0.09429 -1.782 -0.8601
-0.352 0.12691 -1.351 -0.9161
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -2.1640 -2.9212 1.710
0 -0.4330 -0.6184 1.166
0 -0.8867 -0.6911 1.910
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.7268 -0.07950 1.0175 -0.04983
-2.2794 -0.09719 -2.6429 0.23245
-0.2826 -0.03456 -0.5745 0.19414
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2688 -0.6375 1.248 1.3536
-0.2688 -1.1307 -0.840 -0.3749
-0.1957 -1.0688 -1.627 -1.2192
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0862 2.1054 0 0.1046
0.2996 0.9771 0 0.2251
0.2146 0.9970 0 0.1238
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 0.6236 -0.9101
0 0 0.3954 0.2173
0 0 -0.7096 -0.9424
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5444 -0.0279571 -0.9361 -0.29377
0.2953 -0.0606239 -0.6461 -0.18846
0.2587 -0.0002416 0.1100 -0.08864
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.0837 -0.15558 -0.05985 1.972
0.8344 -0.24285 0.27658 2.057
0.7486 -0.09401 -0.21626 2.138
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.037708 -1.0427 0.1284 2.8518
0.005279 0.5469 0.4354 -0.8075
-0.014529 1.0477 0.7903 0.6630
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.5407 0.15916 -0.16595 1.5120
0.4866 0.13596 -0.19720 1.7917
0.2096 0.01563 -0.07039 0.4427
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3452 0.9386 -0.1091 3.8045
-0.2480 1.1480 0.3706 0.2425
-0.3754 1.2233 0.5363 1.5736
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.9414 0.24215 1.3678 -0.132330
0.4522 0.01678 1.8643 -0.025466
1.1217 0.11250 0.5677 0.006784
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.9378 0.4992 -0.02328 1.2359101
3.0575 0.1777 -0.06004 -0.2755639
0.2323 0.1998 0.01342 -0.0007047
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0 0.98136 0.11954 -0.58626
0 -0.06601 0.22471 0.26978
0 -0.03568 -0.02103 -0.04324
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.8425 0 -1.0767 0
1.4112 0 -0.2217 0
-0.1946 0 0.3299 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.1388 0.6945 -0.03952 0
-0.6773 0.2749 -0.06865 0
1.1267 0.3222 0.11880 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.8459 -0.25507 1.2196 1.307
2.0504 -0.19321 0.8543 1.470
0.6778 -0.06434 0.4500 1.490
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2111 0.0607 0.3373 0.2503
0.1412 0.2613 0.5569 0.6311
0.3757 0.5963 0.2177 0.2838
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.384 0 3.669 233.5
0.475 0 3.544 227.7
1.223 0 3.577 229.6
rnd_95776.volume rnd_95787.volume
-0.9463 -1.2976
-1.5704 -0.4993
0.1640 -0.8084
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.769 3.076 7.797 4.198 9.982 1.409 2.021 4.638 5.414 3.887 2.463
[2,] 3.770 3.083 7.954 5.298 10.316 1.414 2.077 4.640 5.446 5.174 2.990
[3,] 3.776 3.096 8.309 6.074 10.603 1.447 2.138 4.683 5.554 5.177 3.001
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.742 2.473 4.011 3.932 4.184 4.681 3.408 8.384 5.385 8.281 4.025
[2,] 4.628 2.488 4.280 4.248 4.373 5.027 5.155 9.277 6.337 8.380 4.055
[3,] 4.800 2.627 4.386 4.496 4.437 5.329 5.327 9.477 6.795 8.711 4.073
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.444 6.192 1.836 4.342 4.529 4.566 3.973 2.239 3.820 4.631 2.726
[2,] 16.466 6.656 1.838 5.089 5.909 4.599 5.319 2.267 4.545 4.665 2.726
[3,] 16.699 8.593 1.840 7.712 6.769 4.667 6.066 2.275 5.612 4.737 2.739
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.127 4.103 4.246 4.224 3.555 4.128 1.417 3.369 1.060 3.540 3.538
[2,] 5.453 5.544 5.246 4.243 4.192 4.166 1.466 3.388 1.067 4.026 4.289
[3,] 6.429 5.741 5.400 4.307 4.261 4.200 1.491 3.405 1.068 4.643 4.769
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.096 1.840 4.050 3.983 5.681 2.994 4.976 4.564 1.935 4.535 3.871
[2,] 3.331 1.840 4.513 3.983 5.681 3.056 5.940 4.625 1.937 5.745 5.138
[3,] 3.384 1.841 4.881 4.152 5.836 3.071 6.215 4.859 1.939 6.151 5.567
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.858 2.145 3.898 0.8245 2.517 1.429 3.328 3.044 3.548 4.097 1.671
[2,] 4.727 4.270 3.928 0.8438 3.576 1.442 3.385 3.253 4.389 5.236 1.685
[3,] 5.511 5.262 3.928 0.8619 5.183 1.444 3.940 3.306 4.719 5.470 1.685
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.121 3.560 3.452 1.707 3.977 3.331 4.774 4.639 5.451 4.410 2.687
[2,] 4.934 3.625 4.881 1.779 3.987 3.891 4.775 5.746 5.482 5.357 4.874
[3,] 5.018 3.630 5.517 1.809 3.991 3.990 4.780 5.767 5.511 5.366 5.747
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.134 2.956 2.927 2.891 2.315 2.756 1.405 3.185 2.824 7.051 6.559
[2,] 1.134 4.397 3.007 3.540 2.408 2.924 1.430 4.025 2.836 7.090 6.613
[3,] 1.134 5.409 3.035 5.031 2.480 2.994 1.435 4.091 2.878 7.144 6.686
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.096 1.132 1.996 2.000 3.129 2.095 3.309 14.52 13.23 5.917
[2,] 1.485 1.958 2.039 2.113 3.169 2.096 3.476 15.04 13.62 6.372
[3,] 1.929 2.019 2.118 2.192 3.380 2.101 3.745 16.01 13.89 8.516
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.786 3.907 9.901 5.331 12.68 1.79 2.567 5.889 6.875
[2,] 26.470 62.266 500.255 1030.355 830.03 36.22 152.502 48.399 186.466
[3,] 69.258 90.881 766.819 946.586 781.70 98.36 161.065 200.833 348.483
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.936 3.127 4.751 3.141 5.093 4.993 5.312 5.944
[2,] 1088.445 540.445 867.990 85.803 476.254 512.886 405.605 584.119
[3,] 63.121 81.445 405.911 269.037 305.877 469.161 240.410 564.095
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.327 10.65 6.838 10.52 5.111 10.72 7.863 2.331
[2,] 1233.269 1266.23 1065.402 408.61 158.182 4506.35 778.421 28.757
[3,] 427.247 617.74 781.393 758.81 121.043 886.91 1732.647 23.929
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.514 5.751 5.799 5.045 2.844 4.85 5.881 3.461
[2,] 845.851 1209.993 172.990 1127.028 112.785 785.26 179.706 2.726
[3,] 1847.389 1052.752 254.202 929.882 58.150 1049.27 262.155 86.881
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.51 5.211 5.392 5.364 4.515 5.242 1.799 4.278
[2,] 592.42 1188.528 982.224 127.679 708.026 177.934 120.160 114.235
[3,] 1085.46 475.185 408.066 236.843 243.633 169.221 87.044 106.728
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.346 4.495 4.492 3.931 2.336 5.142 5.058 7.213 3.801
[2,] 39.179 611.409 773.066 391.879 10.069 634.923 16.237 24.080 195.693
[3,] 9.901 737.565 664.884 190.784 16.335 592.816 373.216 425.762 95.553
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 6.319 5.796 2.457 5.759 4.915 4.899 2.724 4.95
[2,] 1033.780 238.999 22.882 1124.507 1077.040 870.659 1177.074 153.99
[3,] 583.507 474.609 32.858 700.069 683.209 902.942 979.867 10.39
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.047 3.196 1.814 4.227 3.866 4.505 5.203 2.122
[2,] 57.122 809.796 63.141 195.895 365.677 823.506 1039.255 68.382
[3,] 56.038 1195.882 23.818 643.025 188.205 552.952 504.704 2.045
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 5.233 4.52 4.384 2.168 5.05 4.23 6.063 5.89 6.922
[2,] 865.190 218.40 1099.789 159.787 87.39 640.80 18.916 1080.75 183.952
[3,] 290.361 58.29 819.615 104.906 62.09 281.65 71.580 157.26 179.554
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.60 3.412 1.439 3.753 3.717 3.671 2.939 3.499
[2,] 969.47 1296.177 4.878 1037.631 219.941 651.243 211.671 311.582
[3,] 98.73 970.637 5.656 1004.076 130.202 1139.386 188.268 204.945
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.785 4.044 3.586 8.953 8.329 1.392 1.437 2.535
[2,] 83.773 784.663 84.593 236.841 269.159 319.277 509.465 132.745
[3,] 39.025 233.743 156.664 279.550 313.826 392.741 156.699 182.258
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.539 3.974 2.66 4.202 18.43 16.79 7.514
[2,] 218.049 158.409 16.00 338.935 1252.90 1041.83 753.465
[3,] 185.119 375.285 49.16 444.462 1747.27 858.53 1801.205
[1] "--- VAR model 2017-10-04 19:01:00 completed"
[1] "Completed training sample: 2017-10-04 19:01:00 - 2017-10-05 03:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 19:31:00 - 2017-10-05 03:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.0001066 0 0.5374 -1.3925
-0.0484242 0 1.3509 0.9509
0.0060368 0 1.1489 2.6444
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.7122 0 0.5535 -0.046898
-1.3814 0 0.4527 -0.016852
0.2936 0 0.2019 -0.001071
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.4744 -1.3168 -0.59475 -2.321
-0.3897 -0.3312 -0.09117 -2.540
-0.1893 -0.4514 -0.00916 -3.296
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.28921 -1.2249 -1.2427 -0.8284
0.04162 -0.6764 -0.4395 1.1281
-0.08441 -0.3901 -0.2587 0.3664
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.921 -0.9083 -0.2577 -1.1429
-1.186 -1.7381 0.4152 0.5048
-1.197 -0.3376 0.2195 -0.5159
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.3483 -0.059012 8.0567 3.5704
1.1927 -0.007057 0.9481 1.4538
0.9660 -0.006660 2.4253 0.6497
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.066281 0.99697 -0.6704 0
0.081487 3.02275 3.2071 0
0.005905 0.03103 1.0076 0
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.5401 0.04805 -0.8834 0.5730
0.9118 0.13755 -0.5682 0.3972
2.7979 0.01413 2.8908 0.2295
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.010289 -1.5967 -1.9517 -3.4995
-0.178919 -1.8485 -1.1392 -0.9761
0.004267 0.7404 -0.3524 -1.4923
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.25444 -0.7252 -0.02376 0.00000
0.08792 0.4949 -0.04663 -0.07696
0.04494 0.5336 -0.30916 0.05124
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -1.3527 -0.1593
0 0 -0.8647 -1.4545
0 0 -0.6896 -2.1712
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.22884 -0.092193 1.8040 -0.1319
0.05703 0.001340 -0.6636 0.6919
0.28316 0.002622 -1.0001 0.3130
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.8384 0.1539 -0.4878 -0.3437
0.3245 0.2702 1.7621 1.3168
-0.1932 -0.1205 -0.2760 0.5219
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.05927335 -1.4268 -1.5261 -0.4794
-0.00260092 0.4016 -0.2366 -0.8822
0.00002904 1.3023 1.6190 0.8648
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.7821 0.057650 -0.2960 2.455
-1.4810 0.006630 -0.1633 1.715
-0.1135 0.003796 -0.1886 -1.208
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.3282 -0.3317 0.04823 0.3843
-0.1890 1.1818 -0.05498 1.0491
0.3790 -0.5006 0.24851 0.9626
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.3675 0 -0.21350 -0.094830
0.3868 0 0.05687 -0.018519
1.0138 0 1.48346 0.001087
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.9884 -0.36169 -0.055129 -0.04529
0.7594 -0.01292 -0.011518 -0.10218
0.6956 -0.01100 0.002009 0.03261
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.103450 -0.087677 0.446728 1.10842
0.094452 0.063752 0.128871 0.05778
0.005042 -0.003892 0.002033 0.02547
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.37670 0 1.82364 0
0.06276 0 0.45427 0
-0.06305 0 -0.08717 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.3069 1.4015 -0.63895 0
1.3072 1.0073 -0.07297 0
-0.1013 0.4628 0.37183 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5251 0 -0.7885 0.09609
-0.1719 0 -0.5611 0.19210
0.7922 0 -0.3935 -0.11022
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.008671 0.02035 0.1913 0.15155
0.142050 0.07604 0.1347 0.09778
0.128932 0.02254 0.1763 0.20134
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2514 0 2.124 240.6
0.7011 0 2.186 239.9
-0.1382 0 2.797 242.3
rnd_95776.volume rnd_95787.volume
2.587 1.1947
1.273 2.3880
-1.959 -0.3549
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.501 2.843 7.342 3.753 9.456 1.252 1.871 4.004 4.817 3.406 2.327
[2,] 3.501 2.846 7.477 4.809 9.631 1.268 1.912 4.005 4.857 4.861 2.740
[3,] 3.505 2.851 7.825 5.458 9.929 1.294 1.963 4.007 4.920 4.868 2.751
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.131 2.146 3.736 3.714 3.746 4.161 3.139 8.780 5.049 7.760 3.953
[2,] 4.247 2.150 3.855 3.979 3.944 4.476 4.644 8.789 5.863 7.838 3.981
[3,] 4.373 2.248 4.032 4.297 4.014 4.582 4.801 8.963 6.222 8.142 4.006
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.744 5.029 1.729 4.148 4.251 4.254 3.703 2.165 3.466 4.332 2.601
[2,] 15.342 6.517 1.729 4.742 5.241 4.294 5.004 2.175 4.232 4.392 2.601
[3,] 15.539 7.554 1.733 7.188 6.627 4.348 5.603 2.176 5.076 4.475 2.610
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.819 3.819 4.061 3.847 3.013 3.917 1.263 3.198 0.9807 3.196 3.125
[2,] 5.123 4.920 4.920 3.855 3.588 3.958 1.303 3.216 0.9856 3.687 3.785
[3,] 5.842 5.135 5.119 3.903 3.703 3.983 1.329 3.231 0.9889 4.114 4.227
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.905 1.74 3.787 3.289 5.354 2.782 4.696 4.213 1.737 4.389 3.610
[2,] 3.185 1.74 4.175 3.302 5.354 2.847 5.655 4.290 1.738 5.623 4.830
[3,] 3.190 1.74 4.511 3.347 5.506 2.862 5.716 4.489 1.738 5.798 5.246
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.574 1.944 3.644 0.7537 2.421 1.480 3.100 2.873 3.262 3.884 1.520
[2,] 4.543 3.995 3.668 0.7708 3.513 1.528 3.163 3.063 4.141 4.916 1.524
[3,] 5.283 4.969 3.676 0.7927 4.985 1.561 3.587 3.113 4.438 5.147 1.525
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.691 3.319 3.116 1.589 3.649 3.772 4.535 4.363 4.684 3.727 2.499
[2,] 4.508 3.375 4.539 1.635 3.653 3.780 4.535 5.320 4.792 5.016 4.581
[3,] 4.599 3.375 5.253 1.658 3.654 3.799 4.542 5.344 4.801 5.050 4.912
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.063 2.757 2.522 2.655 2.157 2.580 1.222 3.046 2.613 6.495 6.257
[2,] 1.063 3.990 2.599 3.233 2.238 2.750 1.239 3.841 2.619 6.529 6.315
[3,] 1.063 5.068 2.621 4.829 2.334 2.824 1.246 3.917 2.647 6.547 6.372
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.019 1.067 1.807 1.764 2.917 1.906 3.251 14.16 11.93 5.680
[2,] 1.374 1.771 1.829 1.826 2.961 1.907 3.418 14.86 12.36 6.046
[3,] 1.742 1.797 1.915 1.883 3.172 1.907 3.681 15.88 12.84 7.874
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.446 3.611 9.323 4.766 12.01 1.59 2.376 5.084 6.116
[2,] 7.578 42.812 479.283 1019.468 620.01 66.39 133.501 28.567 210.895
[3,] 57.559 58.100 782.394 875.193 817.94 88.84 150.353 48.995 267.155
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.325 2.955 3.976 2.725 4.745 4.716 4.757 5.284
[2,] 1176.003 490.324 972.909 42.767 321.502 483.980 417.611 558.508
[3,] 89.192 82.685 353.955 223.087 401.097 549.992 253.255 333.369
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.986 11.15 6.411 9.854 5.02 9.833 6.386 2.195
[2,] 1160.499 137.99 1010.956 374.214 160.34 4491.055 1405.747 11.014
[3,] 412.171 596.60 706.203 747.285 151.34 835.482 1294.827 39.090
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.267 5.399 5.403 4.702 2.75 4.402 5.501 3.303
[2,] 779.763 1039.123 196.343 1141.336 69.29 823.098 244.716 17.222
[3,] 1831.613 1375.507 231.537 854.980 24.27 950.287 291.134 70.111
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.119 4.85 5.157 4.885 3.826 4.975 1.604 4.061
[2,] 589.411 1051.98 941.904 85.842 660.551 192.718 109.007 115.413
[3,] 952.544 497.68 478.949 206.432 310.278 148.876 89.146 103.906
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.245 4.059 3.969 3.69 2.209 4.809 4.176 6.799 3.532
[2,] 33.118 623.131 723.816 442.77 8.747 596.368 100.437 19.682 205.807
[3,] 27.570 619.076 638.610 56.59 16.864 579.024 184.782 435.316 98.800
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.964 5.35 2.205 5.573 4.584 4.539 2.468 4.628
[2,] 1068.434 273.15 25.897 1191.603 1087.960 950.665 1183.686 142.154
[3,] 280.815 449.11 1.762 479.572 694.417 914.554 1001.633 81.449
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.9571 3.074 1.879 3.936 3.648 4.142 4.932 1.93
[2,] 54.7156 863.254 128.249 213.131 360.138 865.295 1022.128 38.11
[3,] 62.7941 1199.043 109.681 574.075 187.482 540.405 516.274 17.96
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.688 4.215 3.957 2.017 4.634 4.79 5.759 5.541
[2,] 877.222 206.448 1119.243 130.523 54.546 84.95 6.771 1031.996
[3,] 309.485 15.715 896.420 94.559 31.530 128.95 79.694 172.820
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.948 4.733 3.173 1.350 3.5 3.203 3.372 2.739
[2,] 341.719 1137.980 1301.962 5.528 978.2 212.383 625.402 203.263
[3,] 99.646 199.986 601.463 1.261 1059.5 114.171 1216.285 223.854
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.276 1.552 3.868 3.318 8.247 7.945 1.294 1.355
[2,] 322.628 68.848 793.532 61.048 226.514 290.767 312.462 479.225
[3,] 218.034 46.902 260.284 129.786 167.029 287.187 363.196 104.442
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.295 2.241 3.704 2.421 4.129 17.98 15.14 7.213
[2,] 95.820 158.712 172.902 12.703 357.503 1523.94 1105.55 701.949
[3,] 192.616 156.846 385.623 9.308 463.083 1900.41 1176.65 1710.451
[1] "--- VAR model 2017-10-04 19:31:00 completed"
[1] "Completed training sample: 2017-10-04 19:31:00 - 2017-10-05 03:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 20:01:00 - 2017-10-05 04:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.09524 0.07054 -1.3042 -0.8602
0.05837 0.06665 -0.8059 -1.3276
-0.04495 -0.01635 -0.6589 -1.4403
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.4143 0 0.19584 0.0142518
-1.4417 0 0.19423 -0.0108451
-0.3312 0 0.07284 0.0002717
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.26948 -0.01327 0.08627 -1.021
-0.10281 -0.04356 -0.07331 -1.417
-0.04929 0.08812 -0.05485 -1.539
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3702 0.1197 -0.1370 -0.7022
-0.4080 -0.2480 -0.4673 -0.2812
-0.4242 -0.2687 -0.2020 -0.4699
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.9301 -2.2777 0.30013 1.4139
-0.6815 -0.3606 0.25741 0.4130
-0.8657 -0.6926 0.06586 0.6396
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.1629 0 -4.125 -2.2084
-0.4925 0 -2.258 -1.1425
-0.3499 0 -1.494 -0.8064
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -0.4998 -0.05002 0
0 -1.4949 -1.23697 0
0 -1.1244 -1.08306 0
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.781 0.19968 0.6109 0.5539
-1.139 0.13294 -0.8532 0.5383
-1.397 0.08099 -1.0684 0.2870
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2806 -1.5191 -2.2991 -1.8473
0.2613 -0.6953 -0.4448 -0.8391
0.2090 -1.0953 -0.8713 -0.7430
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.45888 -0.3185 0 -0.10972
0.10946 -1.2225 0 -0.03992
0.06235 0.2992 0 -0.15048
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -1.2830 0.2324
0 0 -1.2088 -2.8283
0 0 -0.1062 -1.0195
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.008829 0 -0.2954 -0.15902
-0.047833 0 -0.6400 -0.01806
0.042999 0 -1.8275 -0.03620
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.4585 -0.04675 0.4681 -0.21211
1.1924 0.03221 -0.3696 0.05113
0.1531 -0.10236 0.4428 -0.14129
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.129907 0.4750 -1.0432 -1.5366
-0.001541 -0.6814 0.3161 0.4309
-0.002416 -0.0248 -0.3508 -0.5530
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.3907 0.3338 -0.21971 -0.7200
-1.0183 0.3097 -0.04249 0.2605
0.4136 0.2185 -0.05893 -0.7236
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2771 -1.0797 -0.03648 0.9140
-0.1278 0.4470 0.07227 -0.6417
-0.1853 -0.9446 -0.03668 0.2742
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.2652 0 0.3549 0
-1.1684 0 -0.4726 0
0.1082 0 -0.1557 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.5929 0.09885 -0.19813 0.2012
1.1750 0.03372 -0.02547 0.1997
-0.8256 -0.03987 -0.03270 -0.1175
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.036769 5.9447 0.39785 1.2789
0.072688 -0.7778 0.20209 -0.0846
-0.002602 0.1485 0.02061 0.2663
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.1530 0 -0.8113 0
3.6627 0 3.3094 0
-0.3993 0 -0.2928 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.09156 0.4313 -0.23047 -0.057683
-0.88096 -0.1258 0.04386 -0.006607
2.65432 0.8761 -0.14546 -0.003246
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.64746 0.08578 0.2197 1.4156
-0.93609 0.15388 -0.7317 1.0673
-0.07544 -0.01492 -0.3485 0.6583
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.04126 -0.06645 -0.010741 -0.1480
-0.10874 -0.19115 -0.432638 -0.2212
-0.19471 -0.12984 0.001011 -0.1383
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.8878 0 -0.1668 225.0
0.3814 0 0.2229 217.0
-0.5557 0 0.0215 188.7
rnd_95776.volume rnd_95787.volume
-2.7707 0.09523
0.7177 -1.64894
-0.9687 -0.50043
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.312 2.667 6.198 3.354 9.146 1.185 1.788 3.659 4.592 3.235 2.219
[2,] 3.312 2.674 6.283 4.234 9.330 1.198 1.816 3.659 4.645 4.599 2.588
[3,] 3.315 2.680 6.530 4.862 9.483 1.227 1.861 3.661 4.695 4.613 2.603
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.981 2.098 3.554 3.543 3.347 3.930 2.895 7.436 4.749 6.920 3.591
[2,] 4.152 2.116 3.673 3.855 3.497 4.216 4.358 7.436 5.396 7.069 3.604
[3,] 4.302 2.259 3.853 4.038 3.566 4.323 4.512 7.472 5.732 7.281 3.642
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.943 4.807 1.550 3.754 3.809 3.880 3.323 2.015 3.237 4.045 2.435
[2,] 13.281 6.158 1.551 4.273 4.736 3.906 4.420 2.022 3.844 4.137 2.436
[3,] 13.444 6.746 1.553 6.130 5.815 3.958 5.010 2.026 4.635 4.208 2.442
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.430 3.503 3.796 3.516 2.876 3.600 1.153 2.837 0.9153 2.958 2.914
[2,] 4.716 4.488 4.501 3.525 3.443 3.633 1.197 2.855 0.9198 3.227 3.628
[3,] 5.363 4.657 4.654 3.552 3.541 3.682 1.223 2.859 0.9257 3.658 3.854
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.711 1.583 3.504 3.195 4.960 2.618 4.342 4.026 1.601 4.019 3.521
[2,] 2.937 1.584 3.854 3.216 4.963 2.686 5.153 4.101 1.601 5.336 4.707
[3,] 2.944 1.585 4.212 3.297 5.075 2.702 5.236 4.283 1.602 5.495 5.061
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.363 1.805 3.346 0.7087 2.271 1.363 2.985 2.704 3.033 3.458 1.391
[2,] 4.340 3.803 3.369 0.7219 3.271 1.372 3.017 2.849 3.869 4.469 1.402
[3,] 5.096 4.733 3.390 0.7465 4.690 1.372 3.402 2.889 4.089 4.637 1.403
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.422 3.003 2.897 1.493 3.491 3.546 4.222 4.079 4.502 3.245 2.323
[2,] 4.214 3.026 4.152 1.531 3.492 3.550 4.222 4.929 4.623 4.744 4.356
[3,] 4.288 3.026 4.796 1.554 3.492 3.569 4.233 4.942 4.641 4.791 4.610
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9514 2.555 2.324 2.490 2.060 2.497 1.115 2.855 2.469 5.985 5.789
[2,] 0.9516 3.565 2.393 2.992 2.147 2.648 1.123 3.619 2.478 5.993 5.866
[3,] 0.9543 4.676 2.415 4.668 2.227 2.708 1.124 3.697 2.507 6.036 5.963
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9829 0.9836 1.613 1.568 2.835 1.688 3.010 14.85 11.07 5.359
[2,] 1.2907 1.6108 1.631 1.610 2.874 1.688 3.165 15.31 11.47 5.675
[3,] 1.6191 1.6259 1.695 1.664 3.080 1.691 3.399 16.39 11.83 7.193
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.206 3.387 7.871 4.26 11.61 1.504 2.271 4.646 5.832
[2,] 17.242 69.035 376.677 947.38 677.06 65.155 116.436 17.042 256.574
[3,] 47.278 65.230 651.805 876.10 621.45 97.108 149.091 38.617 249.188
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.108 2.817 3.786 2.664 4.514 4.499 4.251 4.99
[2,] 1198.131 488.161 1059.542 102.355 339.287 557.126 370.400 559.30
[3,] 131.818 103.898 412.441 289.498 427.215 440.661 256.186 350.45
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.676 9.442 6.031 8.787 4.56 8.816 6.104 1.968
[2,] 1194.206 21.579 938.901 530.464 113.07 4150.553 1411.174 28.128
[3,] 428.893 269.599 709.005 639.482 193.67 765.778 1009.582 26.689
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.767 4.837 4.926 4.22 2.559 4.111 5.136 3.092
[2,] 748.564 1031.906 165.255 1068.61 61.631 759.834 318.243 24.032
[3,] 1611.572 1236.620 234.707 864.51 47.992 949.452 281.479 64.944
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.625 4.449 4.821 4.464 3.652 4.572 1.464 3.603
[2,] 592.488 1028.527 886.516 93.102 694.348 178.745 118.442 118.731
[3,] 936.525 455.701 433.935 159.672 303.030 219.359 91.699 55.673
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.162 3.756 3.701 3.443 2.01 4.45 4.057 6.299 3.324
[2,] 33.465 473.006 792.427 414.154 19.21 587.90 133.088 56.723 220.065
[3,] 38.160 631.363 476.040 71.484 16.83 623.42 266.656 388.746 106.248
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.514 5.113 2.033 5.104 4.471 4.27 2.292 4.249
[2,] 1017.483 285.611 7.143 1286.526 1145.319 1006.16 1227.034 144.766
[3,] 339.862 452.821 11.035 482.090 680.996 978.98 1033.233 137.146
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 0.90 2.884 1.731 3.79 3.433 3.852 4.391 1.766 4.345
[2,] 50.25 863.067 56.528 161.00 328.662 880.547 1038.054 63.300 901.811
[3,] 69.69 1232.402 13.801 576.17 177.162 485.019 452.356 25.614 289.735
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.813 3.678 1.896 4.433 4.503 5.361 5.179 5.717
[2,] 137.636 1090.402 124.298 37.633 59.951 4.389 1014.948 385.269
[3,] 8.367 880.217 97.015 7.315 133.111 111.994 129.083 146.899
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.12 2.949 1.208 3.244 2.952 3.162 2.616 3.171
[2,] 1268.94 1351.121 6.921 911.767 208.290 607.734 220.987 323.211
[3,] 243.38 553.483 26.318 1109.343 119.471 1313.582 217.848 208.413
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.416 3.626 3.136 7.6 7.351 1.248 1.249 2.048 1.991
[2,] 46.845 814.984 77.698 110.8 346.179 306.712 467.651 88.569 134.195
[3,] 23.038 277.775 139.321 265.0 393.773 358.391 80.984 168.763 153.717
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.6 2.144 3.823 18.86 14.05 6.805
[2,] 171.9 2.201 358.836 1362.03 1100.60 683.932
[3,] 406.5 32.072 453.872 2141.00 1060.33 1620.255
[1] "--- VAR model 2017-10-04 20:01:00 completed"
[1] "Completed training sample: 2017-10-04 20:01:00 - 2017-10-05 04:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 20:31:00 - 2017-10-05 04:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.07578 -0.021041 -0.4615 -3.40474
0.01511 -0.002429 0.7674 1.67027
-0.11509 -0.001245 -0.1814 -0.08215
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.1612 0.000000 0.2442 -0.07404
-2.6007 0.002005 0.4750 0.12674
0.5386 -0.002643 0.5384 -0.03420
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5698 3.3459 1.06717 0.7989
0.2183 -1.4080 -0.38142 -1.6411
0.3352 0.6508 0.07323 -2.5617
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.062746 0.6295 0.2500 -0.9706
0.004991 1.1659 0.5696 -0.7818
0.150483 -0.7976 -0.5769 -1.3195
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.6639 -5.0957 0.6187 4.8248
1.7115 -0.4407 -1.7177 0.7338
-0.7479 0.9515 0.6636 0.9155
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.57176 0 1.329 1.834
0.22885 0 -1.484 -2.360
0.09786 0 1.399 1.017
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 1.4009 0.7388 0.7188
0 0.4329 0.7718 1.0497
0 -0.7167 -0.8436 1.2364
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.8090 0 -3.2534 0.58593
1.4699 0 1.0701 0.51447
0.2805 0 0.2793 0.06114
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.9242 -1.5437 1.1965 1.7403
0.8755 0.2945 -1.9340 -1.0722
0.4470 0.7285 0.9521 0.2739
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.109002 0.80147 0.5441 0.09681
0.007289 0.60155 0.5218 0.07988
0.011965 0.07542 -0.1888 0.07496
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 2.9387 1.426
0 0 0.2403 1.005
0 0 -0.6925 -1.682
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.2501 -0.008355 1.1228 0.4012
0.2979 -0.141522 0.1633 -0.2957
-0.3799 0.028048 0.5371 -0.1290
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.38109 0.30949 -1.2361 0.7685
0.02178 0.05005 1.4437 0.3219
0.08073 0.01410 0.1523 1.0218
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2998 -3.4324 -1.2343 0.789
0.1527 0.7134 -0.7442 -2.390
0.1002 0.6077 1.0045 1.250
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.2433 0.2906 -0.05969 -0.02784
-1.0919 0.2468 0.46262 0.34552
-0.7774 0.2009 0.20289 -0.75639
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4199 0.4322 0.5246 2.5014
-0.3152 0.5946 0.4296 -0.4306
-0.1496 0.1562 0.4609 0.8304
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.0828 0.103713 1.48435 -0.14901
0.1472 0.007494 1.93529 0.02633
0.7391 0.067445 -0.06991 0.06528
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.8669 0.03958 0.00405903 0.05701
1.8987 0.08374 0.00484551 0.32338
-0.5299 0.02718 0.00007669 -0.15224
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.2715 -0.10129 -0.39245 -2.713297
-0.1994 0.02061 -0.10649 0.138670
-0.1541 -0.15330 -0.06261 0.001019
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.7458 0 -1.9362 0.13597
0.2280 0 -1.4615 0.31288
0.1396 0 0.2887 0.06255
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.3430 -0.3551 -0.6638 0
-3.4504 -0.7216 -0.2225 0
0.4007 -0.1529 0.3318 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.4008 -0.027682 0.2476 0.08721
0.5583 -0.003478 0.6085 -0.15741
-0.1245 -0.004014 1.5916 0.12133
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.02385 -0.00367 -0.082831 0.43646
-0.01159 0.50112 0.005249 0.21522
0.38640 0.18453 -0.035650 0.08646
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.0725 0.07083 4.198 234.2
-0.3082 0.04021 4.841 239.5
0.1513 0.05450 3.911 236.8
rnd_95776.volume rnd_95787.volume
2.8259 0.2195
0.8282 0.3415
1.4461 -0.4110
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.125 2.400 5.669 3.080 8.599 1.074 1.608 3.302 4.141 3.066 2.081
[2,] 3.125 2.416 5.757 3.983 8.763 1.082 1.621 3.302 4.181 4.287 2.352
[3,] 3.126 2.420 5.967 4.609 9.066 1.107 1.643 3.311 4.259 4.300 2.369
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.789 1.873 3.096 2.619 3.227 3.772 2.701 5.462 4.810 6.497 3.162
[2,] 3.858 1.907 3.403 2.975 3.343 3.993 4.022 5.654 4.943 6.549 3.173
[3,] 3.961 1.988 3.597 3.270 3.408 4.191 4.189 5.745 5.156 6.795 3.204
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.602 4.428 1.432 3.532 3.706 3.492 3.103 1.873 2.985 3.700 2.295
[2,] 12.169 5.286 1.438 4.030 4.518 3.507 4.187 1.880 3.625 3.765 2.297
[3,] 12.287 6.130 1.441 5.702 5.443 3.593 4.794 1.884 4.421 3.860 2.306
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.143 3.297 3.644 3.343 2.655 3.105 1.056 2.544 0.8558 2.757 2.723
[2,] 4.357 3.933 4.225 3.355 3.206 3.155 1.087 2.548 0.8583 3.019 3.462
[3,] 4.933 4.107 4.378 3.375 3.317 3.201 1.111 2.557 0.8651 3.320 3.631
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.435 1.474 3.225 2.975 4.720 2.439 4.091 3.577 1.446 3.710 3.063
[2,] 2.612 1.474 3.692 2.984 4.727 2.510 5.002 3.677 1.497 4.941 4.276
[3,] 2.630 1.475 3.994 3.064 4.832 2.531 5.074 3.834 1.500 5.057 4.642
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.927 1.675 3.026 0.6693 2.076 1.332 2.672 2.465 2.808 3.137 1.282
[2,] 3.931 3.297 3.058 0.6723 2.933 1.365 2.706 2.600 3.431 4.042 1.289
[3,] 4.656 4.322 3.081 0.6928 4.136 1.377 3.110 2.623 3.581 4.189 1.289
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.037 2.764 2.683 1.430 3.247 3.354 3.931 3.761 3.802 3.207 2.115
[2,] 3.802 2.776 3.767 1.431 3.247 3.358 3.935 4.429 3.939 4.168 3.872
[3,] 3.877 2.776 4.305 1.433 3.248 3.367 3.936 4.430 3.986 4.174 4.061
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8823 2.326 2.101 2.250 1.922 2.345 0.9513 2.495 2.248 5.241 5.351
[2,] 0.8842 3.388 2.131 2.750 1.985 2.502 0.9714 3.171 2.266 5.260 5.414
[3,] 0.8873 4.104 2.141 4.061 2.070 2.578 0.9729 3.275 2.289 5.319 5.501
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9153 0.8923 1.543 1.472 2.525 1.442 2.646 15.34 10.72 4.901
[2,] 1.2085 1.5590 1.578 1.524 2.540 1.446 2.796 15.80 11.09 5.180
[3,] 1.5531 1.5819 1.676 1.562 2.655 1.447 3.034 17.21 11.43 6.587
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.969 3.048 7.198 3.911 10.92 1.363 2.041 4.193 5.259
[2,] 9.596 111.285 404.445 1014.299 678.31 54.655 84.161 17.855 230.737
[3,] 14.295 57.062 629.211 931.490 933.18 93.506 106.342 94.794 324.993
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.893 2.643 3.541 2.379 3.931 3.326 4.098 4.79
[2,] 1203.309 439.843 1070.740 143.927 567.347 566.717 350.965 526.45
[3,] 133.636 116.439 360.206 225.514 467.508 545.077 264.879 510.28
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.429 6.935 6.109 8.25 4.015 8.384 5.623 1.818
[2,] 1197.089 587.045 456.409 330.20 107.914 4104.951 1159.273 51.629
[3,] 469.443 409.485 588.734 727.79 180.069 683.215 1246.647 37.310
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.486 4.706 4.435 3.941 2.379 3.791 4.699 2.914
[2,] 778.900 1037.600 127.921 1128.964 63.209 825.807 280.373 35.444
[3,] 1620.180 1219.402 313.539 937.779 51.430 1016.157 340.656 81.543
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.261 4.186 4.627 4.245 3.371 3.942 1.341 3.231 1.087
[2,] 542.363 861.442 858.959 113.981 721.772 226.152 103.930 52.522 25.996
[3,] 928.710 475.176 460.462 149.433 341.472 216.890 91.653 89.341 43.500
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 3.501 3.457 3.092 1.871 4.095 3.778 5.993 3.097
[2,] 494.533 858.982 379.662 5.331 721.623 92.625 108.401 239.199
[3,] 554.451 439.168 124.114 27.923 612.628 279.634 401.533 128.204
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.195 4.542 1.836 4.712 3.89 3.717 2.127 3.843
[2,] 1155.356 342.310 154.902 1310.440 1198.33 1053.843 1140.483 176.607
[3,] 343.069 436.005 41.835 431.001 725.64 1001.764 1122.262 150.024
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.8499 2.636 1.692 3.394 3.13 3.566 3.983 1.628
[2,] 25.2451 832.004 118.713 171.558 332.72 791.467 1023.782 53.409
[3,] 67.1648 1171.198 74.671 615.654 138.54 412.055 440.969 4.068
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.856 3.510 3.407 1.816 4.123 4.259 4.992 4.776 4.828
[2,] 918.775 102.505 1062.073 10.700 13.587 65.665 65.922 939.326 414.316
[3,] 304.652 5.255 836.981 33.569 40.648 101.116 41.581 38.644 243.628
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.072 2.686 1.12 2.953 2.668 2.857 2.441 2.978
[2,] 1068.769 1302.454 22.87 989.538 143.751 634.950 198.785 350.380
[3,] 95.584 491.580 29.96 929.691 81.874 1200.141 236.247 249.698
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.208 3.168 2.855 6.655 6.794 1.162 1.133 1.959
[2,] 78.924 785.788 113.458 178.821 331.447 316.889 513.396 132.797
[3,] 21.400 328.690 130.943 318.169 391.917 391.770 107.631 227.162
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.869 3.206 1.831 3.36 19.48 13.61 6.223
[2,] 159.145 109.856 41.048 362.75 1516.19 1133.79 673.253
[3,] 136.923 311.134 23.332 472.90 2736.98 1119.52 1634.046
[1] "--- VAR model 2017-10-04 20:31:00 completed"
[1] "Completed training sample: 2017-10-04 20:31:00 - 2017-10-05 04:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 21:01:00 - 2017-10-05 05:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.13274 0.18019 2.4664 -0.8988
0.10109 0.06155 0.1561 6.9458
-0.01685 0.01971 -1.1489 -4.5103
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.7282 0.00000 0.07209 -0.3834
0.2688 0.01127 0.31335 0.5409
3.7143 0.07422 0.21310 -0.2194
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.49788 2.4326 0.38566 -1.837
-0.06023 -1.4650 -0.19637 -4.232
-0.01571 0.6481 -0.03808 -4.487
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.85041 -0.5790 -0.3347 1.86385
-0.08022 0.6793 1.2347 -1.94882
0.16280 -0.9894 -1.2182 0.06352
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.4949 -0.1710 -2.8335 -3.2172
-0.6928 -1.1076 -1.2802 -0.4603
-1.1657 -0.5879 -0.4177 -1.0378
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.5344 0.4068 -10.39000 1.403
1.6188 0.2203 6.30636 -2.647
-0.5573 0.1262 -0.02908 2.789
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.225955 7.683 5.4947 0.6555
0.104519 -4.825 -1.6994 0.4463
-0.007174 2.979 -0.7693 0.6853
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.8755 0.20906 0.8937 -1.4493
6.9890 0.06908 6.3856 -2.2007
-4.9207 0.02452 -3.1178 -0.7668
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.35236 1.676 -0.6538 -2.9746
0.53487 1.641 0.7704 0.6870
0.06929 -0.286 1.9813 0.9429
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4564 0.3418 -0.76666 -0.02320
0.6769 1.2372 -0.41194 0.02777
0.1454 1.1914 0.02048 0.10459
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -1.7005 -2.011
0 0 -1.2058 -1.806
0 0 -0.2966 -3.657
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3939 0.09084 -1.9823 -0.07834
-0.5439 -0.17675 -1.3544 -0.36295
-0.1983 0.15067 -0.5098 -0.19352
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.01075 0.03347 1.728 0.4610
0.07836 -0.38996 -1.162 0.3791
0.12396 0.02846 -0.410 0.5848
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.130287 4.9936 4.5526 1.4995
-0.057668 0.9609 1.9015 3.6200
0.004377 -0.4713 -0.4761 0.3732
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.444 0.2550 -0.02429 3.846
3.932 0.3939 0.45131 2.549
1.770 0.2330 0.70026 3.395
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9288 1.947 -0.1606 0.7529
-0.6522 1.936 0.7728 2.2990
-1.1008 1.303 0.2408 1.6784
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.8739 -0.00884 0.1676 -0.135385
2.2350 0.17765 1.4300 -0.029155
1.3768 0.01501 2.0136 0.001363
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.135 0.08555 -0.4621 1.1220
1.551 0.12877 0.4641 -0.5338
2.257 0.04305 -0.2021 0.3214
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.05703 1.4973 -0.04257 1.5397
0.09000 -0.2967 0.14040 -0.9191
0.06141 0.2901 0.02924 0.7275
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.2952 0 -5.2047 0.324311
1.5659 0 2.1384 0.216090
-0.5311 0 -0.7677 0.003599
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.4835 0.1634 1.4273 0.09535
0.1059 -0.4821 0.3011 0.02139
1.6702 0.2257 -0.2581 0.01134
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.0443 0.29784 0.1438 0.7349
0.7463 0.14161 0.7358 0.5996
1.5004 0.01118 0.3350 0.2372
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.07962 0.03453 0.5887 0.5600
0.24719 0.58202 0.3225 0.4995
0.55399 0.40678 0.8451 0.6384
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.9818 -0.08957 -0.7740 233.1
1.1491 -0.01624 -0.8529 228.5
0.6168 -0.01007 -0.7455 231.0
rnd_95776.volume rnd_95787.volume
2.0371 4.102
-1.8952 -4.638
-0.6352 3.049
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.895 2.012 5.220 2.680 7.385 0.9699 1.548 3.127 4.037 2.867 1.942
[2,] 2.896 2.068 5.321 3.555 7.534 0.9819 1.557 3.128 4.082 4.095 2.200
[3,] 2.897 2.082 5.542 4.076 7.959 1.0022 1.573 3.136 4.154 4.107 2.208
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.713 1.678 2.969 2.511 2.899 3.571 2.432 4.700 4.262 6.197 2.829
[2,] 3.881 1.718 3.340 2.940 2.969 3.806 3.712 4.899 4.382 6.270 2.849
[3,] 3.978 1.746 3.564 3.341 3.045 4.118 3.884 5.087 4.548 6.481 2.868
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.874 3.748 1.220 3.381 3.322 3.180 2.682 1.705 2.687 3.331 2.170
[2,] 11.269 4.711 1.242 3.917 4.016 3.187 3.821 1.710 3.145 3.357 2.173
[3,] 11.412 5.212 1.247 5.430 4.959 3.253 4.346 1.718 3.923 3.401 2.189
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.916 3.131 3.426 3.218 2.578 2.776 0.9627 2.259 0.7737 2.597 2.537
[2,] 4.091 3.648 3.917 3.229 3.124 2.835 0.9893 2.263 0.7770 2.904 3.253
[3,] 4.432 3.820 4.025 3.253 3.208 2.873 1.0031 2.273 0.7858 3.107 3.464
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.231 1.384 2.983 2.673 4.082 2.257 3.612 3.172 1.396 3.357 2.932
[2,] 2.387 1.384 3.378 2.693 4.083 2.325 4.148 3.350 1.399 4.648 3.839
[3,] 2.405 1.386 3.666 2.731 4.122 2.341 4.341 3.578 1.399 4.808 4.116
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.823 1.598 2.791 0.6279 2.007 1.225 2.508 2.197 2.651 2.925 1.242
[2,] 3.549 3.167 2.809 0.6347 2.817 1.235 2.539 2.295 3.206 3.821 1.246
[3,] 4.274 3.875 2.843 0.6537 3.873 1.236 2.922 2.322 3.364 3.990 1.248
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.801 2.396 2.435 1.358 2.997 2.574 3.581 3.562 3.437 3.066 1.994
[2,] 3.423 2.416 3.424 1.358 2.997 2.998 3.582 4.228 3.537 3.846 3.455
[3,] 3.470 2.417 3.924 1.364 3.001 3.036 3.591 4.229 3.588 3.868 4.048
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8106 2.163 1.885 2.074 1.759 2.178 0.8862 2.398 1.979 4.882 4.868
[2,] 0.8129 3.238 1.889 2.588 1.807 2.296 0.8975 3.047 2.027 4.894 4.885
[3,] 0.8146 3.905 1.890 3.602 1.902 2.334 0.9026 3.142 2.060 4.938 4.917
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8478 0.8328 1.464 1.390 2.425 1.156 2.584 15.19 10.04 4.114
[2,] 1.1602 1.4505 1.488 1.465 2.446 1.159 2.726 15.64 10.40 4.435
[3,] 1.4876 1.4858 1.571 1.501 2.535 1.165 2.921 17.17 10.63 5.395
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.676 2.555 6.629 3.404 9.378 1.232 1.966 3.971
[2,] 41.549 215.935 465.247 1051.786 671.465 68.728 74.171 17.914
[3,] 20.823 106.776 696.961 897.676 1155.680 90.442 102.488 103.912
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.126 3.641 2.467 3.445 2.131 3.77 3.189 3.681
[2,] 271.576 1316.580 464.988 1249.741 165.776 688.79 688.637 289.743
[3,] 347.603 142.057 85.835 393.510 139.716 560.65 714.064 303.186
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.535 3.088 5.968 5.412 7.869 3.592 7.459 4.76
[2,] 592.703 1262.609 622.500 457.790 428.427 153.546 4330.752 1285.00
[3,] 707.980 516.058 616.794 549.079 739.643 147.455 810.161 1004.30
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.549 4.293 4.219 4.038 3.405 2.165 3.412 4.23
[2,] 105.510 890.236 1016.113 94.340 1225.725 60.219 736.230 188.97
[3,] 46.701 1693.585 1309.796 294.855 932.231 74.870 1055.706 244.67
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.756 4.973 3.976 4.351 4.087 3.273 3.526 1.223
[2,] 49.123 533.195 842.845 854.285 116.681 794.847 257.512 102.498
[3,] 120.169 767.842 510.493 418.087 178.104 327.580 211.853 74.655
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.869 0.9825 3.298 3.221 2.832 1.758 3.788 3.395 5.184
[2,] 54.575 32.4331 585.190 917.291 382.201 10.924 714.041 144.464 36.240
[3,] 96.778 52.5473 497.825 535.465 135.076 30.734 641.110 205.275 255.546
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.866 4.587 4.027 1.772 4.262 3.723 3.585 2.029
[2,] 251.181 917.857 486.206 43.408 1447.727 1115.945 968.520 1231.391
[3,] 125.038 577.483 566.004 1.771 553.369 668.143 1072.593 1004.976
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.544 0.7974 2.549 1.556 3.184 2.789 3.367 3.715
[2,] 141.008 41.7511 890.221 69.286 179.521 299.350 811.748 1106.715
[3,] 197.636 70.4787 1196.792 26.372 651.656 158.256 459.254 517.726
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.577 3.557 3.043 3.092 1.725 3.806 3.269 4.547
[2,] 48.383 885.727 138.886 1083.771 4.971 12.862 692.268 38.105
[3,] 26.681 256.215 30.626 863.079 57.166 69.980 213.697 112.841
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.524 4.364 3.893 2.532 1.029 2.747 2.393 2.634
[2,] 1025.482 376.561 1045.271 1270.433 27.201 1085.210 55.752 697.306
[3,] 44.389 270.411 187.078 949.550 24.158 982.505 24.124 1128.330
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.233 2.765 1.125 3.045 2.513 6.199 6.182 1.077
[2,] 187.359 328.262 63.809 846.231 198.255 153.568 180.146 356.638
[3,] 266.712 187.544 43.359 346.978 165.521 298.143 254.826 419.262
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.058 1.859 1.766 3.08 1.468 3.281 19.29 12.75
[2,] 534.764 118.462 208.269 141.60 37.866 391.103 1662.67 1217.61
[3,] 145.038 227.929 146.625 300.67 54.452 472.669 3192.02 998.89
[,98]
[1,] 5.224
[2,] 746.669
[3,] 1383.158
[1] "--- VAR model 2017-10-04 21:01:00 completed"
[1] "Completed training sample: 2017-10-04 21:01:00 - 2017-10-05 05:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 21:31:00 - 2017-10-05 05:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.023883 -0.16118 0.3901 10.09
0.121855 -0.02130 2.6015 -10.41
0.008802 -0.02139 0.6849 12.83
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.88 -0.11173 -0.2942 1.06406
10.00 -0.06852 -0.3656 -0.28756
-6.16 -0.09180 -0.2517 0.05345
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.836 3.634 2.2001 -0.6401
2.153 1.882 0.9078 -2.2861
1.081 2.324 0.8168 -2.6922
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6771 5.8319 4.6750 0.7102
0.1066 2.8233 0.9642 2.8996
-0.1396 0.9373 0.2479 2.1817
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.4734 9.272 9.084 0.5876
3.3444 1.871 1.137 4.0319
2.7281 3.203 2.702 1.3494
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
4.7196 -0.25514 22.882 -1.632
-0.8545 -0.22236 2.414 9.248
2.7338 -0.07269 1.699 -1.031
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.15390 -11.975 -7.858 0.8956
-0.02475 14.294 5.313 0.1991
0.07139 -2.007 4.837 0.4260
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
9.822 0.19624 11.024 0.6448
-10.210 0.11411 -9.883 0.6621
13.371 0.02645 9.366 0.2009
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.1682 6.8355 -3.763 -5.684
0.6481 -0.5392 7.370 7.212
-0.9660 -1.0830 -4.959 -2.903
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1177 3.9478 -0.064287 0.04509
-0.1646 0.1007 0.024016 0.29292
-0.1060 1.9482 -0.004309 0.10194
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5640 0.09671 4.945 3.907
0.2125 0.11189 -1.968 2.790
0.2957 0.01821 2.899 -1.324
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6097 -0.03457 0.9529 0.83483
1.4665 -0.06272 5.0779 -0.07971
0.2699 0.13964 -2.0822 1.23320
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.02881 -1.7875 1.879 1.521
0.16860 0.2815 1.003 2.622
0.12460 1.2376 1.735 1.244
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.7601 3.0360 1.1054 1.898
-0.1637 -1.0067 0.9881 2.766
0.1187 0.9094 0.9227 -1.060
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.7781 0.6538 1.1577 -0.3341
0.8687 1.1587 0.7213 2.9004
1.0555 0.2027 1.1129 1.4954
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2837 3.7633 0.6352 5.5481
-0.3587 -0.4056 0.8032 -0.1202
-0.1372 0.9707 1.0600 1.2881
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.395 0.8301 3.447 -0.2553
1.295 0.6397 4.969 0.1832
2.219 0.5096 -1.067 -0.2855
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.824 0.10655 0.5071 -2.7235
6.511 0.06221 -0.5925 0.4482
1.201 0.07550 0.2122 -0.3121
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1552 -2.11753 0.26695 -0.6764
-0.1125 0.11518 -0.12816 0.9194
0.1361 0.01001 0.02824 -0.6083
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.2310 0.14199 10.98166 0.07051
-3.3666 -0.06045 -1.72986 0.05104
0.3865 -0.00475 0.01325 -0.32729
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.610 0.09576 0.3514 0.06984
6.800 2.53795 0.4291 0.07401
-3.055 0.29483 0.2603 0.01853
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.7173 -0.51724 1.1694 0.1300
3.0393 -0.47169 -0.3746 0.6074
-0.8209 -0.05926 -0.3997 0.1855
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.5406 -0.6509 -0.99800 -0.5955
-0.3636 -0.7905 0.06773 0.6599
-0.3921 0.5747 0.24503 0.2325
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.8815 0.037365 6.570 239.1
-0.8560 0.002624 6.375 241.7
0.7244 0.001291 6.329 239.3
rnd_95776.volume rnd_95787.volume
-5.664 -3.079
1.083 9.779
7.451 -0.842
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.754 1.771 4.922 2.568 5.526 0.8643 1.555 3.079 3.923 2.812 1.935
[2,] 2.755 1.831 4.940 3.432 5.885 0.8683 1.566 3.080 3.936 3.937 2.168
[3,] 2.755 1.855 5.096 4.042 6.315 0.8774 1.593 3.092 4.004 3.956 2.172
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.842 1.731 2.877 2.254 2.365 3.574 2.278 4.447 3.966 5.757 2.767
[2,] 3.781 1.736 3.515 2.867 2.458 3.793 3.544 4.715 4.066 5.850 2.783
[3,] 3.895 1.789 3.742 3.404 2.531 4.228 3.764 4.866 4.218 5.952 2.798
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.736 3.607 1.139 3.249 3.200 2.897 2.541 1.622 2.511 3.462 1.832
[2,] 10.557 4.512 1.141 3.790 3.738 2.917 3.649 1.626 3.006 3.530 1.836
[3,] 10.581 5.084 1.141 5.470 5.134 2.984 4.241 1.634 3.740 3.566 1.887
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.401 2.750 3.150 3.154 2.525 2.539 0.9361 2.060 0.7222 2.618 2.511
[2,] 3.584 3.399 3.774 3.164 2.959 2.573 0.9380 2.068 0.7258 2.747 3.151
[3,] 4.006 3.690 3.948 3.175 3.017 2.603 0.9444 2.094 0.7303 2.939 3.240
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.056 1.235 2.850 2.238 3.620 2.122 3.438 2.606 1.266 3.129 2.650
[2,] 2.175 1.235 3.244 2.244 3.650 2.177 3.759 2.682 1.321 4.124 3.475
[3,] 2.194 1.235 3.407 2.266 3.668 2.194 3.933 2.808 1.324 4.269 3.615
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.752 1.454 2.422 0.6930 1.985 1.261 2.407 2.118 2.390 2.684 1.176
[2,] 3.388 2.824 2.467 0.7086 2.603 1.294 2.429 2.240 2.940 3.529 1.181
[3,] 3.960 3.433 2.511 0.7225 3.432 1.330 2.795 2.300 3.094 3.666 1.183
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.497 2.137 2.569 1.207 2.824 2.415 3.436 3.471 3.326 2.947 1.914
[2,] 3.018 2.156 3.373 1.207 2.828 2.772 3.436 4.013 3.399 3.702 3.228
[3,] 3.095 2.157 3.798 1.209 2.833 2.813 3.437 4.016 3.430 3.708 3.672
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6807 2.103 1.646 2.157 1.629 2.026 0.8041 2.158 1.807 4.387 4.436
[2,] 0.6863 3.068 1.648 2.553 1.686 2.182 0.8101 2.907 1.856 4.388 4.450
[3,] 0.6876 3.736 1.648 3.522 1.802 2.215 0.8191 2.969 1.891 4.389 4.478
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7487 0.7679 1.264 1.260 2.233 1.087 2.485 14.96 9.142 3.323
[2,] 1.0528 1.3464 1.297 1.338 2.259 1.090 2.644 15.39 9.317 4.247
[3,] 1.3539 1.3855 1.365 1.367 2.326 1.091 2.850 16.93 9.598 4.917
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.498 2.249 6.25 3.262 7.017 1.098 1.974 3.909
[2,] 13.243 229.951 208.09 1124.089 1000.484 41.018 92.650 49.948
[3,] 7.704 146.140 618.33 1054.857 1130.379 62.270 144.409 134.926
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.981 3.57 2.458 3.609 2.198 3.654 2.862 3.003
[2,] 162.790 1361.04 482.700 1231.471 67.943 996.914 875.358 330.976
[3,] 360.688 189.42 62.741 463.842 212.388 634.384 906.144 297.850
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.538 2.892 5.647 5.036 7.311 3.514 7.284 4.581
[2,] 628.437 1341.133 774.229 444.037 511.266 147.045 4377.452 1338.806
[3,] 922.446 626.236 593.000 554.259 542.515 140.309 351.268 1156.904
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.446 4.126 4.064 3.679 3.227 2.06 3.189 4.397
[2,] 33.428 963.488 954.148 168.151 1293.197 54.26 816.442 339.577
[3,] 2.906 1948.162 1737.909 311.471 1067.482 80.13 1099.254 251.460
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.327 4.319 3.491 4.0 4.004 3.207 3.224 1.189 2.616
[2,] 61.950 558.591 987.364 1026.6 129.308 761.761 206.610 29.902 87.383
[3,] 214.183 883.392 708.926 571.3 127.269 290.816 195.273 53.916 162.210
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 0.9171 3.324 3.189 2.611 1.569 3.619 2.842 4.597 2.694
[2,] 35.5059 410.863 940.117 350.539 4.974 764.640 78.895 228.962 240.079
[3,] 40.0150 515.895 373.685 142.976 6.081 515.411 157.180 183.497 134.912
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.366 3.309 1.608 3.974 3.366 3.495 1.847 3.076
[2,] 751.035 313.128 185.407 1326.868 1109.814 975.836 1195.454 230.756
[3,] 571.664 411.171 44.951 544.565 491.985 1012.400 964.389 231.976
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 0.88 2.52 1.601 3.057 2.689 3.035 3.408 1.494 3.171
[2,] 73.07 832.12 145.091 159.249 360.941 846.007 1132.117 50.992 836.720
[3,] 69.70 1104.25 151.561 683.138 258.424 475.250 490.635 34.850 339.638
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 2.714 3.263 1.533 3.586 3.067 4.363 4.408 4.223
[2,] 140.285 1079.643 2.417 77.212 672.250 9.896 994.052 346.200
[3,] 26.062 861.355 36.895 77.122 236.309 43.164 81.255 226.990
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 3.742 2.43 0.8644 2.67 2.09 2.739 2.068 2.573
[2,] 1106.646 1283.81 42.9917 1103.39 38.03 674.874 214.948 400.498
[3,] 108.415 864.34 20.9452 1053.41 17.71 1198.138 314.304 186.008
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.021 2.74 2.294 5.571 5.633 0.9508 0.9751 1.606 1.6
[2,] 48.747 961.90 210.379 39.405 176.171 365.5333 546.2039 142.761 221.7
[3,] 59.710 299.48 177.534 52.241 243.607 420.4220 161.5716 210.071 138.1
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.835 1.381 3.155 19 11.61 4.22
[2,] 171.201 37.722 446.558 1789 889.81 1306.29
[3,] 273.660 18.589 524.833 3480 1137.13 1223.48
[1] "--- VAR model 2017-10-04 21:31:00 completed"
[1] "Completed training sample: 2017-10-04 21:31:00 - 2017-10-05 05:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 22:01:00 - 2017-10-05 06:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.41457 0.28477 -1.2724 -14.4317
0.01421 0.15135 0.9279 4.5717
-0.08571 0.04894 0.6071 -0.2836
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.431 -0.15860 2.636 -0.2393
-9.979 -0.05873 2.953 0.8745
2.032 -0.09773 3.401 -0.1508
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7844 4.3456 2.5302 -10.30
0.1268 -0.1283 -0.3220 -13.03
0.3637 3.3178 -0.3551 -12.42
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9447 5.0916 1.083544 -0.5751
-0.3854 2.1757 -0.004182 -0.7792
0.6006 0.9496 -1.833193 -0.5673
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.518 4.289 0.7235 -1.2269
1.354 -1.554 -2.2472 0.8811
-2.186 0.359 1.4730 0.2463
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.0419 0.28650 5.301 5.1397
-0.8939 0.18654 -2.367 -1.1387
-0.7847 0.03357 1.347 -0.3608
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.2230 3.95515 -2.847 -0.3795
0.2480 -0.04557 3.889 0.4543
0.1652 -1.34626 -1.415 -0.4332
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.67843 0.12674 -12.235 0.58730
4.83246 0.04902 1.140 0.10496
-0.08385 0.02454 2.345 0.07011
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.153 -7.104 -2.193 5.567
-2.375 -5.150 -12.495 -9.905
0.822 3.764 2.247 -1.887
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.483 7.33038 0.29207 0.7746
1.572 4.06267 0.33040 0.4718
1.056 0.05537 -0.05321 0.2822
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.0392 -0.13892 0.8191 -2.202
0.6081 -0.04381 -0.8829 1.289
0.1255 -0.08983 -4.9248 -1.922
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.2299 0.17910 4.0935 -0.7352
0.2105 0.02314 -3.0570 0.6898
-0.2773 0.02620 -0.2515 0.9585
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.02749 -1.4445 -4.465 0.6673
0.28647 0.5232 4.546 -0.1254
-0.11100 -0.9408 -1.769 0.3203
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.6110 -11.3027 -8.487 -2.947
-0.1636 0.6509 -2.274 -7.964
-0.1360 0.5004 2.671 1.184
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.392 0.9954 1.149 8.690
-7.842 0.8183 0.866 1.685
-1.852 0.5419 1.138 -6.288
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3015 8.5358 1.1771 6.4353
-0.6413 0.8662 0.5956 5.3100
-0.7571 -1.9773 1.0426 -0.0725
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.2308 -0.2185 1.784 1.1096
5.6503 -0.3739 8.443 0.3087
0.4015 -0.3327 2.031 0.3332
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.288 0.003763 0.9119 -2.466
12.240 0.153607 -0.6622 1.437
2.640 -0.023261 0.1441 -0.513
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.29179 -2.3095 0.8156 -0.84859
-0.08365 0.5538 -0.4992 -0.06872
0.28557 -0.4256 -0.1206 -0.24353
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.3237 -0.00029564 -5.8120 -0.003824
-0.7840 -0.00005330 -1.0523 0.655127
0.6556 0.00001501 0.6763 -0.275221
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.4854 1.230 -2.691 -0.05701
-0.6972 1.623 -0.522 0.01021
-0.5666 1.022 1.159 -0.13512
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.012 0.12945 2.36202 1.7617
6.300 -0.01066 -0.09817 0.5171
1.071 0.01513 -0.37828 1.0777
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2131 -0.02132 -0.01144 1.34005
0.4879 1.10283 -0.49029 0.02866
0.7750 -0.11695 -0.73847 -0.48255
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.26150 0.09343 -2.870 242.2
0.09401 0.15439 -2.876 240.9
-1.70013 0.02694 -2.568 239.1
rnd_95776.volume rnd_95787.volume
5.530 3.38992
-1.200 -0.31228
-2.781 0.04158
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.130 1.459 5.437 2.629 5.768 0.8111 1.566 3.433 4.151 3.158 2.075
[2,] 3.131 1.484 5.497 3.805 5.935 0.8133 1.593 3.433 4.159 4.118 2.305
[3,] 3.197 1.499 5.580 4.336 6.543 0.8269 1.640 3.446 4.175 4.128 2.306
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.669 1.680 3.624 2.850 2.513 3.667 2.534 4.347 3.940 6.191 2.723
[2,] 6.301 1.685 3.924 3.316 2.612 3.982 3.711 4.788 3.985 6.276 2.745
[3,] 6.549 1.713 4.027 3.592 2.633 4.361 3.923 4.986 4.219 6.323 2.766
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.484 3.913 1.046 3.685 3.634 2.927 2.848 1.475 2.684 3.658 1.860
[2,] 11.820 5.165 1.047 4.180 4.194 2.940 4.368 1.479 3.394 3.716 1.874
[3,] 11.865 5.697 1.048 5.841 5.897 2.967 4.913 1.500 4.118 3.741 1.948
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.758 2.816 3.270 3.478 2.599 2.360 0.8828 1.854 0.7322 2.857 2.981
[2,] 4.085 3.575 3.987 3.516 3.002 2.398 0.8841 1.876 0.7334 2.960 3.582
[3,] 4.712 4.034 4.344 3.535 3.063 2.419 0.8946 1.902 0.7340 3.125 3.704
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.978 1.291 3.094 2.128 3.445 1.967 3.356 2.403 1.368 3.164 2.672
[2,] 2.095 1.292 3.503 2.129 3.468 2.035 3.968 2.439 1.371 4.309 3.409
[3,] 2.122 1.292 3.626 2.135 3.473 2.054 4.108 2.561 1.371 4.421 3.695
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.752 1.575 2.377 0.8633 2.108 1.289 2.340 2.009 2.306 2.646 1.234
[2,] 3.289 2.749 2.403 0.8771 2.747 1.320 2.397 2.114 2.840 3.346 1.237
[3,] 3.918 3.334 2.423 0.8858 3.404 1.354 2.702 2.176 3.044 3.499 1.241
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.543 2.047 3.417 1.207 2.921 2.631 3.419 3.855 3.200 3.146 2.448
[2,] 3.108 2.063 4.081 1.209 2.921 3.184 3.419 4.379 3.233 4.300 3.377
[3,] 3.198 2.069 4.340 1.212 2.982 3.198 3.420 4.381 3.311 4.309 3.934
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6221 2.183 1.561 2.341 1.714 1.896 0.8596 2.399 1.491 4.598 4.494
[2,] 0.6322 3.059 1.565 2.508 1.753 2.034 0.8643 3.002 1.509 4.654 4.513
[3,] 0.6330 3.909 1.565 3.904 1.805 2.087 0.8710 3.045 1.526 4.655 4.549
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8763 0.8223 1.214 1.235 2.178 0.9934 2.398 14.82 9.109 3.780
[2,] 1.0924 1.2363 1.283 1.368 2.196 0.9980 2.558 15.31 9.390 5.020
[3,] 1.2913 1.3144 1.368 1.408 2.277 1.0097 2.749 16.84 9.775 5.536
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.975 1.853 6.904 3.338 7.324 1.03 1.988 4.359
[2,] 35.810 142.232 422.167 1437.627 730.276 31.37 154.944 23.896
[3,] 337.753 109.178 501.508 1086.099 1440.056 78.06 203.621 158.069
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.271 4.011 2.634 7.198 2.133 4.602 3.62 3.191
[2,] 134.057 1381.158 524.467 1437.746 71.934 785.651 885.37 372.993
[3,] 191.797 146.460 42.338 932.599 160.504 473.332 721.90 172.025
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.656 3.218 5.52 5.004 7.861 3.458 8.234 4.969
[2,] 812.217 1416.904 1049.42 311.830 539.469 181.513 5164.441 1761.839
[3,] 928.215 663.884 725.68 722.858 401.952 179.150 537.349 1255.435
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.328 4.679 4.615 3.716 3.617 1.873 3.409 4.645
[2,] 24.136 1031.473 1094.419 144.801 1730.604 52.912 1085.176 341.634
[3,] 17.627 2132.039 2166.293 210.700 1175.062 132.436 1218.505 228.214
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.362 4.772 3.576 4.153 4.417 3.3 2.997 1.121
[2,] 120.155 837.118 1151.136 1191.683 270.270 785.1 221.758 25.408
[3,] 277.102 1227.417 976.411 901.060 190.492 318.5 167.218 71.330
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.354 0.9298 3.628 3.786 2.512 1.639 3.928 2.702
[2,] 149.841 21.6541 404.881 1037.739 361.035 29.206 859.233 37.739
[3,] 162.808 14.9997 522.965 493.542 175.799 22.060 489.035 80.426
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.375 2.498 4.261 3.052 1.737 4.018 3.393 3.495
[2,] 207.140 271.902 1107.074 216.460 47.001 1528.580 1106.688 941.372
[3,] 99.914 145.923 555.338 408.314 10.551 516.432 744.386 1112.018
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.001 3.019 1.096 2.677 1.637 2.972 2.55 2.928
[2,] 1177.257 183.059 80.872 920.518 147.055 270.500 345.22 866.166
[3,] 986.107 162.790 64.848 1050.057 156.958 651.327 268.92 573.672
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.36 1.567 3.229 2.60 4.339 1.533 3.709 3.341 4.342
[2,] 1070.60 44.922 933.991 131.99 1166.123 33.512 10.033 937.658 14.491
[3,] 534.35 48.962 393.313 85.84 771.532 48.151 313.096 153.837 41.560
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.895 4.064 3.994 3.108 0.79 2.772 1.983 2.973
[2,] 1085.084 238.275 1531.711 1215.780 58.62 1119.693 58.880 470.662
[3,] 66.888 373.425 152.313 1054.072 16.52 1272.103 1.565 1563.535
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.177 2.408 1.091 3.046 1.894 5.839 5.707 1.113
[2,] 190.192 384.661 47.461 942.931 118.979 377.867 216.961 340.874
[3,] 226.204 243.689 56.002 268.380 119.058 32.422 296.616 359.772
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.044 1.541 1.568 2.766 1.261 3.045 18.82 11.57 4.8
[2,] 482.447 217.162 307.714 144.586 50.110 465.672 2005.02 1191.39 1726.2
[3,] 233.186 249.065 174.822 314.746 80.302 525.111 3670.68 1419.91 1219.8
[1] "--- VAR model 2017-10-04 22:01:00 completed"
[1] "Completed training sample: 2017-10-04 22:01:00 - 2017-10-05 06:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 22:31:00 - 2017-10-05 06:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.9802 -0.067874 2.701 13.112
-0.6874 -0.028892 -1.580 -5.857
0.6264 -0.004887 -1.181 -3.825
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.30 0.18636 1.505 3.267
12.18 0.19800 2.422 1.413
-4.53 0.04047 1.695 2.329
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.0206 11.249 7.718 -20.52
1.1226 2.539 1.843 -18.11
0.1755 3.575 2.829 -16.13
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.941 11.445 8.68363 7.287
-2.252 4.131 3.06825 -3.308
1.617 1.958 0.06506 2.518
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
14.960 3.020 -0.5786 0.7987
13.059 12.869 15.0595 8.7652
4.653 4.459 14.6199 12.2662
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.1012 -0.7569 -17.198 -4.4470
1.0693 -1.0050 3.794 1.8974
-1.1765 -0.1580 -1.679 -0.0908
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.13694 -3.656 2.697 0.6779
0.05828 -6.285 -6.422 1.3396
0.01200 3.230 1.550 -0.2153
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
24.721 0.7571 14.524 -1.3419
-7.113 0.7661 0.473 -0.9960
-4.186 0.4261 -5.041 -0.6615
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.334 8.934 -5.293 -7.2386
2.411 7.834 14.626 13.4024
-1.290 -6.241 -2.201 0.9761
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.985 6.700 0.36505 -0.01384
4.294 -2.363 0.15316 -0.27786
4.224 3.208 0.05759 -0.16604
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.664 -0.18180 -2.479 -11.6697
1.747 -0.02884 -1.110 -6.1229
2.050 0.14855 5.639 -0.2928
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4459 -0.01535 -7.474 0.5187
-0.1054 0.12871 -6.568 -0.1555
2.4655 0.18375 -3.124 -0.0345
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.33873 -0.46490 -6.309 1.9152
0.25199 -0.20912 -4.166 1.9042
0.05777 -0.05175 -4.243 0.7006
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2688 -3.072 -2.357 5.837
-0.1383 -4.183 -3.977 -1.587
0.1715 -4.328 -2.745 -2.758
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.790 0.3120 1.0350624 -4.343
-1.286 0.2904 -0.6292703 5.904
-3.070 0.3058 0.0009689 -1.886
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.537 -1.6358 0.8548 -0.4585
-1.447 0.9688 0.2867 -1.4446
-1.023 0.5259 0.1253 3.4034
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.7201 0.1152 1.0040 0.6944
-1.6605 0.3287 -1.6265 0.1201
3.2843 0.1897 0.1998 0.8626
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.5647 -0.069712 -0.4334 -7.171
-0.1555 -0.103639 -0.4694 1.227
0.2457 -0.008926 -0.1327 -2.330
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.0395 2.6933 -0.5909 5.496
0.8123 0.2279 0.2449 -3.667
-0.9164 -1.8755 -0.2729 0.658
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.2836 -0.128081 -14.734 0.41833
-0.3853 0.041730 5.494 -0.04796
0.6351 0.007031 -2.172 0.15383
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-13.690 0.48745 -0.07105 0.03670
4.529 -0.01333 -0.11799 -0.18512
-2.713 1.27772 -0.72416 -0.06901
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
10.6051 0.4232 2.2864 -3.5506
0.4721 0.3402 -0.5281 -1.0358
1.9751 0.1454 0.6804 -0.9529
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2444 -1.7144 -2.4036 -1.8199
0.1227 1.5606 0.6003 -0.3123
-0.2264 -0.2882 0.2961 0.2264
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.0400 0.5677 -2.808 231.7
0.4989 0.8518 -2.131 226.8
0.4735 0.5676 -2.375 225.6
rnd_95776.volume rnd_95787.volume
-15.495 -0.919
-12.019 -5.318
-7.931 2.594
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.543 1.458 5.800 3.006 5.311 0.6988 1.660 4.748 5.494 3.491 2.249
[2,] 3.558 1.458 5.811 4.200 5.714 0.6991 1.710 4.874 5.574 5.144 2.659
[3,] 3.606 1.462 5.861 4.598 6.181 0.7113 1.742 4.878 5.583 5.161 2.683
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.853 1.791 4.180 3.651 2.764 4.061 2.949 4.044 3.885 6.571 2.673
[2,] 7.286 1.794 4.684 4.175 2.779 4.550 4.274 4.946 4.100 6.598 2.699
[3,] 7.631 1.802 4.843 4.630 2.828 5.255 4.653 5.510 4.378 6.614 2.737
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.311 4.996 0.9899 3.954 3.966 3.112 3.037 1.379 2.869 3.454 1.904
[2,] 11.980 5.853 0.9944 4.375 5.022 3.134 4.905 1.383 3.750 3.515 1.925
[3,] 11.980 5.872 0.9960 6.003 6.134 3.160 5.405 1.407 4.890 3.547 2.029
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.968 3.050 3.212 3.696 2.749 2.182 0.8362 1.869 0.7448 2.954 3.171
[2,] 4.303 3.774 4.257 3.772 3.014 2.214 0.8369 1.897 0.7448 3.179 3.832
[3,] 5.104 4.264 4.659 3.802 3.035 2.233 0.8436 1.934 0.7450 3.274 4.123
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.890 1.430 3.200 2.331 3.236 1.983 3.690 2.378 1.405 3.123 2.885
[2,] 1.923 1.434 3.681 2.331 3.264 1.985 3.926 2.438 1.407 3.848 3.415
[3,] 1.995 1.438 3.799 2.332 3.277 1.994 4.140 2.555 1.409 4.056 3.522
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.832 1.925 2.156 0.9890 2.859 1.346 2.335 2.003 2.223 2.662 1.333
[2,] 3.233 2.686 2.166 0.9950 3.270 1.374 2.383 2.003 2.944 3.458 1.334
[3,] 3.561 3.280 2.169 0.9982 3.691 1.413 2.707 2.024 3.052 3.559 1.338
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.544 2.015 5.012 1.214 3.471 3.003 3.277 3.997 3.214 3.501 3.022
[2,] 2.954 2.020 5.337 1.216 3.478 3.811 3.299 4.649 3.215 4.472 3.529
[3,] 3.058 2.025 5.616 1.217 3.551 3.857 3.303 4.674 3.261 4.658 4.452
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5889 2.397 1.572 2.576 1.702 1.763 0.8624 2.520 1.507 4.828 4.508
[2,] 0.6000 3.384 1.583 2.829 1.762 1.843 0.8624 3.098 1.508 4.872 4.521
[3,] 0.6005 4.145 1.584 4.081 1.820 1.881 0.8678 3.109 1.511 4.887 4.654
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.187 0.9872 1.069 1.056 2.168 0.9997 2.146 14.94 8.934 4.578
[2,] 1.188 1.1665 1.191 1.216 2.182 1.0087 2.295 15.48 9.484 4.784
[3,] 1.189 1.1766 1.199 1.224 2.330 1.0225 2.501 17.00 10.072 5.835
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.5 1.851 7.365 3.817 6.744 0.8874 2.109 6.029
[2,] 166.4 8.278 189.989 1541.807 1108.802 10.6788 213.838 580.201
[3,] 308.9 58.748 401.009 983.882 1237.992 68.7742 174.648 100.654
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.977 4.433 2.855 8.702 2.274 5.308 4.636 3.51
[2,] 494.427 1985.930 746.517 1300.743 57.491 1111.362 1063.978 148.07
[3,] 166.241 220.103 184.939 1193.104 89.956 645.131 1052.228 275.52
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.157 3.745 5.135 4.934 8.345 3.395 9.284 6.344
[2,] 1078.547 1625.638 1496.893 688.792 311.705 195.947 4988.362 1603.494
[3,] 1382.171 967.006 1276.498 806.759 239.510 237.999 46.515 246.639
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.257 5.021 5.036 3.951 3.856 1.75 3.643 4.386
[2,] 50.039 984.404 1619.384 196.937 2024.875 55.87 1269.402 343.613
[3,] 29.135 2160.853 1851.918 212.098 1193.709 136.10 1649.459 247.839
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.417 5.039 3.873 4.079 4.693 3.491 2.771 1.062
[2,] 148.629 874.625 1168.867 1468.944 397.428 649.575 195.598 18.435
[3,] 337.021 1443.262 1042.891 994.692 248.344 186.711 152.264 55.553
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.373 0.9457 3.751 4.026 2.4 1.816 4.063 2.96 4.109
[2,] 173.253 1.3167 617.148 1130.879 184.7 55.796 956.900 12.93 226.618
[3,] 198.060 9.2387 413.110 800.637 279.3 51.333 494.692 20.30 151.751
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.518 4.685 3.019 1.784 3.966 3.664 3.596 2.444
[2,] 47.717 705.979 283.167 41.605 1181.713 960.428 819.582 984.546
[3,] 96.796 690.200 402.175 35.473 674.162 453.522 785.531 989.716
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.738 1.256 3.63 1.709 2.965 2.544 2.822 3.381
[2,] 109.371 57.456 834.99 144.317 249.688 8.888 1015.023 1159.733
[3,] 57.606 41.772 899.18 173.848 674.702 151.493 423.046 443.428
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.693 3.231 2.559 6.365 1.542 4.408 3.814 4.162
[2,] 26.227 788.795 69.716 963.377 40.019 115.518 1233.088 197.201
[3,] 51.207 415.953 77.126 918.731 24.781 374.918 313.494 85.556
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.076 4.082 4.445 3.837 0.7478 3.043 1.996 3.271
[2,] 1247.791 24.548 1463.203 958.238 60.2949 1255.785 96.751 614.270
[3,] 254.688 288.616 684.546 1426.458 12.3348 1258.459 38.289 1546.155
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.162 2.238 1.095 3.2 1.914 6.131 5.724 1.507 1.254
[2,] 238.424 282.934 1.118 947.1 25.383 343.168 183.017 27.184 326.625
[3,] 239.717 197.041 50.632 138.4 55.080 199.953 581.402 26.792 81.045
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.357 1.341 2.753 1.269 2.725 18.98 11.35 5.814
[2,] 276.574 316.740 131.356 70.575 427.709 2122.48 1673.11 729.193
[3,] 70.377 71.985 428.632 88.159 523.334 3693.70 1781.34 1756.007
[1] "--- VAR model 2017-10-04 22:31:00 completed"
[1] "Completed training sample: 2017-10-04 22:31:00 - 2017-10-05 06:30:00"
[1] "SpVAR; CCF training sample: 2017-10-04 23:01:00 - 2017-10-05 07:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.7628 -0.41930 -1.211 -6.542
1.2884 0.33151 -2.000 -11.158
0.9203 -0.03777 1.195 -6.110
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-15.129 0.3641 2.022 8.248
-7.954 0.7862 5.863 5.984
-9.763 0.6276 2.989 3.238
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.576 13.202 6.340 -11.74
6.654 5.598 2.630 -11.19
6.436 5.569 2.591 -10.38
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.604 10.887 10.857 0.2017
2.609 7.206 10.408 0.4658
3.193 4.242 6.353 1.0377
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.675 9.135 18.27 13.60
15.763 10.712 22.04 19.48
8.628 12.328 18.64 12.02
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.9016 1.7018 -3.003 -2.5310
0.6030 0.4934 -2.908 -0.9722
-0.5021 0.1272 0.576 -0.5091
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.4399 -8.1493 -12.631 8.659
0.1681 -0.2299 -7.779 5.527
0.3710 -1.5894 -3.419 4.881
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.786 0.9323 -7.113 -4.956
-12.486 1.5124 -14.409 -4.077
-2.063 0.7800 -9.004 -2.788
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.307 -8.128 -15.083 -4.185
-2.770 -7.451 -5.189 -7.363
-1.732 -7.947 -10.507 -9.351
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.8381 -0.4332 0.114716 0.1807
0.5884 1.8863 -0.057605 -0.1569
0.5202 1.3204 -0.006258 -0.2450
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2359 -0.047972 -17.93 -23.71
0.1708 -0.006986 -13.50 -12.76
-0.2647 -0.073365 -10.83 -12.10
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.689 1.941 -10.041 2.3539
2.323 1.696 -13.191 1.5166
5.283 1.334 -8.818 0.4317
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.3635 0.3945 -3.026 2.176
1.3664 -0.5856 -4.176 2.022
0.5962 0.1582 -6.417 1.237
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.09856 -3.244 -5.254 3.9159
-0.30155 -1.001 1.968 -1.8507
-0.02046 -2.551 -3.356 -0.3445
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.269 0.8614 0.8235 0.4203
-5.758 -0.3189 -0.1514 3.5436
1.490 0.1497 0.2955 -4.8328
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.106 2.1873 0.4433 10.030
-1.607 0.6644 1.5745 1.132
-1.606 -0.6210 0.7470 2.659
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
16.303 0.051099 10.7483 0.6116
3.220 0.048769 4.3466 0.6238
2.224 -0.005127 0.3556 0.2901
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
15.020 0.17223 3.1198 -1.6564
12.906 0.21867 0.8362 2.9726
4.862 -0.08163 0.5362 0.2927
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.293 -0.4731 -2.7257 4.594
-2.451 2.2888 0.6835 -0.133
-4.415 0.4290 -0.6759 2.149
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.067 -0.7851 1.0953 1.7794
-2.663 0.1546 3.4509 -0.2161
2.301 0.1056 -0.2307 0.9068
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.3563 1.757 -0.4789 -0.12113
5.5990 2.554 -0.7812 -0.15993
-0.9104 1.186 -0.3134 -0.05908
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.0207 -0.1354177 0.4222 -17.28
2.2757 -0.0009488 -1.2638 3.29
0.1931 -0.0344549 2.0262 -10.37
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5084 -3.0899 -3.8778 -3.2686
-0.1007 1.0490 -0.8714 -0.3140
0.2977 0.4641 0.9073 0.1805
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5000 0.45498 -5.760 13.6131
0.7598 -0.10346 -5.653 11.4080
-1.6619 0.06452 -5.539 -0.6687
rnd_95776.volume rnd_95787.volume
-1.573 -6.577
4.807 1.586
3.205 -1.921
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.674 1.523 6.017 4.775 6.201 0.6869 1.754 5.707 6.608 4.339 2.534
[2,] 3.680 1.528 6.018 6.011 6.570 0.6878 1.793 5.990 6.910 6.206 2.974
[3,] 3.778 1.529 6.043 6.343 7.088 0.7112 1.860 6.143 6.959 6.245 3.040
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.243 2.142 4.366 4.055 2.964 4.176 3.171 4.287 3.956 7.445 2.817
[2,] 7.690 2.148 4.947 4.417 2.999 4.751 4.490 5.157 4.315 7.530 2.848
[3,] 7.942 2.279 5.158 4.857 3.015 5.491 4.878 5.733 4.688 7.544 2.872
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.507 5.172 1.063 4.629 5.392 3.108 4.881 1.370 4.120 4.159 2.112
[2,] 13.038 6.164 1.072 5.202 6.219 3.141 6.379 1.373 5.243 4.235 2.206
[3,] 13.047 6.189 1.073 6.953 6.867 3.267 6.800 1.414 6.043 4.431 2.290
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.901 4.162 4.548 4.139 2.970 2.155 0.8590 1.981 0.7776 3.524 3.412
[2,] 5.341 4.538 5.599 4.229 3.491 2.178 0.9249 2.019 0.7779 3.788 4.066
[3,] 6.175 5.211 5.974 4.236 3.520 2.191 0.9295 2.050 0.7779 3.880 4.373
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.966 1.526 3.408 2.837 3.287 1.945 4.352 2.418 1.517 3.340 3.309
[2,] 2.042 1.590 3.749 2.843 3.297 1.948 4.620 2.484 1.523 4.223 3.613
[3,] 2.068 1.599 3.875 2.873 3.382 1.963 4.674 2.582 1.532 4.408 3.965
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.978 2.347 2.442 1.151 2.944 1.343 2.429 2.226 2.781 2.722 1.435
[2,] 3.412 2.829 2.443 1.151 3.722 1.355 2.558 2.231 3.215 3.664 1.438
[3,] 3.978 3.459 2.452 1.152 3.947 1.376 2.859 2.269 3.274 3.819 1.440
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.013 1.954 5.172 1.398 4.197 4.103 3.549 4.411 4.002 3.813 2.824
[2,] 3.227 1.957 5.551 1.399 4.197 5.070 3.562 4.947 4.002 4.867 4.067
[3,] 3.418 1.967 5.700 1.408 4.315 5.085 3.692 4.964 4.117 5.017 5.025
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7221 2.666 1.985 2.984 1.895 1.866 0.9318 2.757 1.622 5.291 5.028
[2,] 0.7355 3.956 2.020 3.326 1.911 1.866 0.9341 3.598 1.624 5.356 5.212
[3,] 0.7393 4.701 2.021 4.555 1.961 1.881 0.9411 3.640 1.625 5.391 5.824
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.390 1.455 1.401 1.165 2.514 1.224 1.981 17.87 10.98 5.219
[2,] 1.490 1.683 1.776 1.520 2.555 1.224 2.168 19.96 11.68 5.360
[3,] 1.493 1.757 1.827 1.631 2.633 1.247 2.364 22.34 11.70 6.618
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.665 1.933 7.641 6.064 7.875 0.8722 2.227 7.247
[2,] 103.775 66.366 25.636 1821.105 1083.353 17.7387 185.843 907.412
[3,] 427.104 21.802 273.583 1010.736 1326.113 90.2446 247.414 679.918
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.391 5.509 3.218 9.197 2.719 5.544 5.149 3.763
[2,] 1008.901 2214.005 776.258 1288.342 84.097 1160.909 874.174 228.562
[3,] 409.689 347.483 315.153 990.500 379.878 729.156 1007.631 154.150
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.303 4.027 5.444 5.023 9.455 3.578 10.8 6.568
[2,] 1129.717 1585.670 1429.362 859.741 561.245 207.958 4929.2 1672.487
[3,] 1374.164 952.018 1249.447 914.546 227.640 182.988 245.9 281.833
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.35 5.878 6.847 3.947 6.198 1.74 5.232 5.282
[2,] 69.48 1184.462 1545.508 226.370 2048.973 46.04 1617.556 396.412
[3,] 15.65 2301.328 1452.771 447.415 1175.174 168.27 1499.414 651.269
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.682 6.224 5.285 5.775 5.256 3.772 2.737 1.091
[2,] 317.097 1058.129 902.168 1628.940 432.255 914.998 156.788 171.083
[3,] 307.690 1546.683 1278.093 1039.132 117.409 225.987 120.615 46.044
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.515 0.9875 4.475 4.332 2.496 1.937 4.327 3.603
[2,] 194.124 9.7975 693.884 1103.894 276.404 224.157 779.307 93.478
[3,] 179.374 3.5120 419.119 802.785 163.481 82.656 490.690 205.571
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.174 2.469 5.526 3.071 1.927 4.241 4.202 3.781
[2,] 131.927 56.020 773.483 282.534 65.895 1289.683 723.359 830.563
[3,] 374.552 122.648 354.147 352.130 84.818 629.572 814.911 1020.861
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.98 3.10 1.462 3.738 1.705 3.084 2.827 3.531
[2,] 788.23 40.51 6.098 1136.198 89.856 400.485 68.258 804.914
[3,] 992.98 107.64 27.956 656.161 119.033 637.287 206.464 308.883
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.457 1.822 3.826 2.481 6.568 1.775 5.329 5.21
[2,] 1223.890 48.097 575.601 53.634 1005.799 27.355 12.738 1486.09
[3,] 536.405 35.703 562.133 101.556 645.570 77.546 500.652 192.78
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.507 5.601 5.082 4.841 3.585 0.917 3.385 2.52
[2,] 150.339 1117.291 6.997 1509.189 1460.182 69.695 1458.370 186.75
[3,] 483.528 207.311 482.229 607.930 1472.680 37.469 1267.086 30.50
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.789 2.406 2.37 1.183 3.501 2.06 6.719 6.384
[2,] 733.231 123.051 10.57 32.733 1152.976 39.40 413.415 684.729
[3,] 1552.478 220.836 117.33 57.094 274.742 12.44 307.241 1297.006
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.766 1.847 1.78 1.479 3.192 1.554 2.515 22.7 13.94
[2,] 266.556 421.876 544.06 487.261 226.477 9.464 440.294 4435.8 1997.16
[3,] 48.965 251.766 215.19 294.507 317.325 117.940 469.529 5006.6 350.18
[,98]
[1,] 6.628
[2,] 608.421
[3,] 1936.665
[1] "--- VAR model 2017-10-04 23:01:00 completed"
[1] "Completed training sample: 2017-10-04 23:01:00 - 2017-10-05 07:00:00"
[1] "SpVAR; CCF training sample: 2017-10-04 23:31:00 - 2017-10-05 07:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6096 0.9975 -4.887 -12.99
3.0457 -0.3525 -5.138 -19.40
2.5211 0.3107 -6.341 -18.60
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.22 0.7166 2.806 2.687
-15.39 1.7800 4.340 11.624
-20.81 1.5060 1.262 -1.716
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.971 -3.0872 -4.200 -23.62
-2.581 -7.5596 2.339 -20.79
-3.577 0.6617 -4.446 -17.31
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.933 -8.831 -7.986 -8.417
-5.957 -6.182 -6.027 -6.365
-4.898 -7.754 -5.862 -4.571
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-31.44 -28.13 -10.253 -13.980
-21.29 -26.57 -21.541 -11.743
-17.64 -18.42 -9.887 -9.518
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3805 -1.0073 -19.471 -3.703
-0.3053 0.1917 -7.803 -10.158
-0.1477 -0.1821 -9.183 -4.731
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4864 -17.165 -12.42 -12.771
-0.5179 -10.614 -11.33 -11.001
-0.4682 -3.236 -10.52 -9.497
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.45 1.394 -12.76 -4.097
-15.62 1.519 -21.43 -4.866
-13.28 1.047 -12.49 -3.236
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.589 -9.772 -16.606 -17.77
-4.122 -5.850 -8.215 -11.17
-3.524 -11.764 -16.666 -13.15
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.5294 5.831 0.9691 -0.5170
3.4310 2.394 0.8072 0.9692
-0.4325 -3.280 0.5567 0.9384
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.838 -0.4258 -10.465 -8.268
-2.077 0.1565 -4.205 -11.002
-1.398 -0.3579 -5.371 -5.568
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.787 0.6960 -3.211 2.152
-1.948 0.3373 -4.962 -1.326
-4.241 0.7214 -4.810 1.572
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.8279 0.03814 -6.614 2.7374
0.2317 -0.51768 -3.196 -0.6375
0.1111 0.11980 -1.819 0.1781
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.53556 5.396 1.792 -16.598
-0.37337 -7.475 -6.290 4.321
0.06894 -3.400 -2.062 -7.029
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-16.169 -0.7402 -0.3597 0.1578
7.666 0.2480 -0.1499 -12.0845
-8.527 -0.4293 -0.4011 4.5654
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.327 3.937 1.25575 5.159
-4.612 -5.800 -0.24021 4.820
-3.798 3.122 0.05144 -7.431
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.289 -0.0328 3.952 1.41819
6.169 -0.1730 3.700 -0.01622
-9.035 -0.1078 -1.843 0.23167
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.220 0.2365 3.520 3.461
6.288 -0.2974 2.271 2.833
8.571 0.1495 1.281 1.522
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.5699 5.094 5.876 16.4397
1.6867 2.304 4.820 0.2149
2.9570 1.762 3.401 3.0116
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.9278 0.7007 5.8800 -1.844
6.4694 -0.1781 10.6896 -3.309
0.4216 0.3467 -0.2165 -3.186
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.016 1.933 0.87819 -0.0960
12.869 3.429 0.44530 0.2646
-0.457 1.971 0.01318 0.0511
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8961 -0.2322 1.5224 -19.292
3.5171 0.2532 -0.4003 -4.649
-0.4434 0.1246 -0.3656 -13.875
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.293 8.614 10.494 6.31882
0.850 2.375 4.015 3.30357
-1.158 2.964 1.691 0.07794
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.016 1.1879 -5.898 -5.997
-2.513 0.5354 -5.699 -6.397
1.638 -0.1535 -5.659 -8.491
rnd_95776.volume rnd_95787.volume
-9.3385 -4.312
0.4985 -12.581
-5.2483 -2.423
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.973 1.691 6.734 5.683 6.290 0.7381 1.921 6.073 6.834 5.190 2.837
[2,] 3.975 1.700 6.756 6.269 6.640 0.7417 1.971 6.362 7.013 6.740 3.129
[3,] 4.078 1.701 6.881 6.595 6.996 0.7585 2.040 6.542 7.235 6.805 3.310
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.730 2.815 5.170 4.926 3.836 5.160 3.822 5.169 4.612 9.247 3.413
[2,] 8.255 2.864 5.563 5.317 3.951 6.274 5.887 5.985 4.916 9.278 3.592
[3,] 8.583 2.935 5.718 5.509 4.072 6.659 6.331 6.641 5.377 9.279 3.787
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.36 5.697 1.083 5.865 5.982 3.511 5.743 1.487 5.122 4.669 2.157
[2,] 15.34 6.237 1.099 6.590 6.614 3.664 6.692 1.512 6.015 4.689 2.219
[3,] 15.37 6.935 1.104 8.176 7.264 3.840 7.138 1.555 6.743 4.955 2.277
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.587 4.753 5.106 4.515 3.329 2.166 0.9341 2.328 0.9484 4.017 3.786
[2,] 5.935 5.244 6.213 4.586 3.826 2.189 1.0310 2.381 0.9510 4.261 4.102
[3,] 6.478 5.611 6.542 4.598 3.845 2.199 1.0385 2.388 0.9510 4.366 4.336
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.124 1.648 4.046 2.872 3.433 2.083 4.100 2.486 1.660 3.426 3.558
[2,] 2.252 1.682 4.281 2.954 3.436 2.084 5.331 2.509 1.673 4.383 3.692
[3,] 2.339 1.687 4.336 3.026 3.552 2.101 5.548 2.630 1.679 5.170 4.304
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.061 2.576 2.890 1.317 3.204 1.429 2.754 2.382 3.358 3.028 1.563
[2,] 3.445 3.041 2.899 1.323 4.047 1.449 2.812 2.383 3.868 4.226 1.564
[3,] 4.013 3.684 2.899 1.326 4.171 1.477 3.101 2.436 3.931 4.346 1.566
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.129 2.237 5.338 1.545 4.886 4.274 3.922 4.641 4.618 4.251 3.548
[2,] 3.353 2.237 5.740 1.545 4.886 5.282 3.948 5.161 4.665 5.221 4.277
[3,] 3.567 2.288 5.931 1.548 5.083 5.297 3.992 5.177 4.995 5.470 5.104
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7921 3.258 2.389 3.779 2.041 1.904 1.001 2.988 1.799 5.895 5.868
[2,] 0.8201 4.454 2.421 4.171 2.060 1.904 1.003 3.782 1.800 5.908 5.871
[3,] 0.8227 5.086 2.437 5.099 2.133 1.915 1.009 3.842 1.800 5.924 6.961
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.076 1.998 1.945 1.903 2.751 1.528 1.868 17.85 11.42 5.726
[2,] 2.276 2.429 2.437 2.432 2.769 1.546 2.063 19.85 12.15 5.783
[3,] 2.279 2.680 2.546 2.527 2.918 1.552 2.260 22.31 12.23 7.520
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.045 2.148 8.551 7.216 7.987 0.9373 2.44 7.712
[2,] 64.983 86.289 285.332 1371.047 1102.226 37.8163 226.73 982.314
[3,] 471.962 34.203 675.008 1060.068 1140.284 82.3172 273.22 789.705
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.678 6.591 3.602 9.816 3.574 6.565 6.255 4.871
[2,] 815.401 2227.191 684.125 1500.986 274.313 1063.548 1036.956 488.798
[3,] 922.252 484.738 558.584 1217.040 333.359 686.116 746.998 511.604
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.553 4.853 6.563 5.856 11.74 4.334 14.43 7.234
[2,] 1848.571 2319.122 1562.361 882.043 394.40 580.690 5340.40 1315.289
[3,] 1155.339 1206.423 1491.542 1127.587 46.57 620.759 456.08 1570.101
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.376 7.447 7.596 4.458 7.293 1.889 6.504 5.929
[2,] 94.969 1556.656 1460.970 541.892 1779.512 142.090 1633.496 223.220
[3,] 57.264 2506.663 1555.629 595.458 1285.847 188.056 1578.201 829.868
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.739 7.095 6.036 6.484 5.734 4.227 2.751 1.186
[2,] 270.058 1036.466 1147.499 1833.551 415.233 977.156 162.021 226.008
[3,] 264.114 1344.496 1033.565 1060.196 169.162 198.943 107.491 64.600
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.956 1.204 5.101 4.808 2.697 2.093 5.138 3.647 4.36
[2,] 259.116 36.642 735.956 816.542 386.963 175.679 724.215 358.550 75.19
[3,] 94.946 1.461 492.781 728.953 328.142 60.588 357.977 340.268 466.20
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.645 5.206 3.157 2.107 4.351 4.518 3.886 3.272
[2,] 32.137 1765.033 173.782 110.166 1415.854 510.075 818.721 837.029
[3,] 137.930 795.552 408.932 72.159 1420.121 1145.690 1066.462 1076.885
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.67 1.673 4.068 1.814 3.498 3.025 4.264 3.845
[2,] 116.01 60.179 1280.590 123.589 292.131 39.119 994.632 1526.709
[3,] 16.33 45.642 522.796 149.309 677.626 260.859 362.942 525.310
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.985 3.973 2.841 6.778 1.961 6.204 5.427 4.98
[2,] 19.449 623.749 16.048 1093.073 21.397 17.775 1607.206 236.10
[3,] 37.806 630.942 248.586 773.099 48.056 725.705 209.469 305.91
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.893 5.864 5.398 4.506 1.006 4.137 3.033 4.799
[2,] 1169.493 344.182 1570.035 1237.171 109.961 1572.569 202.403 914.911
[3,] 209.796 923.826 844.196 1442.642 33.833 1271.660 145.448 1518.823
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.592 2.417 1.271 3.794 2.285 7.485 7.451 2.636
[2,] 144.730 21.092 35.243 1201.287 27.625 209.090 101.993 484.120
[3,] 286.739 106.062 56.707 349.314 15.547 221.204 1936.955 54.094
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.537 2.47 2.416 3.494 1.94 2.373 22.67 14.5 7.271
[2,] 715.531 760.59 784.344 159.055 120.83 452.532 4497.85 2141.0 421.818
[3,] 586.265 381.56 355.143 476.722 73.92 477.955 5272.99 727.4 2489.772
[1] "--- VAR model 2017-10-04 23:31:00 completed"
[1] "Completed training sample: 2017-10-04 23:31:00 - 2017-10-05 07:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 00:01:00 - 2017-10-05 08:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.462 1.0392 -4.448 -27.16
-1.611 1.1679 -3.684 -18.78
-1.995 0.5425 -7.373 -19.65
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.51 1.8249 3.014 -17.94
-32.71 0.9188 1.315 -12.93
-20.48 0.8123 1.102 -17.52
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.016 -14.92 -6.940 -20.56
-8.851 -13.37 -4.541 -19.74
-13.138 -10.17 -7.667 -17.91
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-7.737 -19.25 -12.73 -4.973
-5.118 -15.08 -13.74 -6.875
-4.321 -16.42 -13.24 -6.613
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-27.54 -22.28 -11.883 -10.105
-27.85 -28.35 -9.529 -8.775
-30.69 -25.82 -17.577 -14.175
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.1202 -5.7452 -20.904 -6.558
0.2634 -2.2352 -8.102 -9.212
0.1033 -0.8006 -4.455 -9.247
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.665 -1.865 -18.05 -3.321
2.022 -11.667 -15.42 -2.022
2.215 -7.267 -19.31 -1.239
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-29.75 -0.3440 -39.94 -0.7594
-12.61 -0.3711 -20.36 -0.3222
-19.09 -0.9283 -22.55 -0.2884
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.232 -19.119 -13.69 -21.54
-4.847 -19.018 -22.15 -20.30
-4.072 -6.915 -14.47 -13.75
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2885 -6.5732 1.0552 -0.484805
-0.3954 -5.5694 0.1536 -0.315723
-0.1513 -0.2426 0.9414 -0.002215
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-9.184 -0.2382 -6.588 -9.457
-5.043 -0.3675 -5.288 -13.022
-5.085 -0.4628 -7.568 -12.390
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4442 -0.5593 -7.290 -2.7974
-1.2580 -0.9621 -4.595 2.1772
-1.2593 -0.2452 -6.699 0.3471
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.3253 -0.2117 1.304 3.6330
0.9605 -0.3698 -3.476 3.5022
1.2181 0.2700 -3.286 0.4295
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.4923 -9.684 -9.218 0.3243
0.7851 1.736 -4.551 -9.9736
0.2700 -5.078 -2.355 2.7332
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.6301 0.2591 0.1112 -6.64756
-11.0697 0.1475 -0.9297 -0.09704
0.4026 0.3450 -0.7965 -9.48731
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.434 -6.792 -0.5278 3.745
-3.645 2.088 -0.3705 -8.147
-2.632 -4.976 -0.8300 2.781
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.211 1.4044 0.6488 1.9564
-10.261 0.5811 -5.8173 1.1629
2.293 -0.2011 -1.2117 0.6042
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.908 -0.69408 -14.560 -12.121
2.781 -0.18999 -11.465 -10.263
-7.123 0.07392 -8.119 -8.684
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.324 -4.186 -8.597 -14.15
-8.115 -5.507 -8.679 -10.33
-6.637 -4.680 -9.279 -10.89
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.789 1.3870 -17.65 -0.08678
-9.306 0.5262 -12.42 -0.31844
-10.256 1.3337 -13.80 0.19091
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.615 0.8929 -3.1199 0.21499
-12.979 0.9181 -0.6088 -0.18686
-11.622 0.3311 0.3884 0.04613
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.954 0.927228 2.1501 -3.393
-5.172 0.405390 -0.4426 -11.357
-3.592 0.002536 1.1753 -4.163
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.291 -3.423 -3.536 -1.2326
-2.687 -3.789 -2.495 -3.2686
-1.294 -2.642 -1.088 -0.6343
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.3050 0.39932 -8.095 -10.591
0.7174 0.10369 -8.168 -13.968
-3.9399 -0.03483 -8.165 -8.074
rnd_95776.volume rnd_95787.volume
5.494 1.325
-16.431 -17.917
-2.414 -6.916
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.518 1.962 7.048 6.162 7.616 0.8492 2.240 6.791 7.456 6.212 3.311
[2,] 4.541 1.962 7.049 6.806 8.539 0.8725 2.307 7.190 7.781 7.554 3.626
[3,] 4.925 1.964 7.286 7.081 8.928 0.9063 2.474 7.257 8.008 7.712 3.712
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.518 3.150 5.483 4.867 5.530 5.073 3.965 6.235 5.314 11.82 3.762
[2,] 7.991 3.218 6.018 5.561 5.678 6.288 5.795 6.618 5.440 11.84 4.045
[3,] 8.265 3.323 6.243 5.905 5.732 6.739 6.345 6.988 5.958 11.85 4.142
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.78 6.408 1.200 6.609 6.557 4.218 6.159 1.566 6.051 4.781 2.212
[2,] 15.68 6.784 1.233 7.342 7.190 4.739 7.053 1.590 6.917 4.796 2.271
[3,] 15.79 7.412 1.257 8.663 7.739 4.985 7.465 1.623 7.439 5.083 2.319
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.052 5.080 5.721 5.146 3.556 2.415 1.019 2.551 1.082 4.403 3.740
[2,] 6.336 5.756 6.479 5.184 4.414 2.417 1.128 2.631 1.083 4.542 4.186
[3,] 6.812 6.145 6.709 5.228 4.435 2.422 1.139 2.652 1.140 4.657 4.457
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.388 1.820 4.415 4.014 3.718 2.177 4.452 2.995 1.796 3.858 3.624
[2,] 2.564 1.884 4.636 4.059 3.718 2.179 5.870 3.008 1.819 4.858 3.791
[3,] 2.613 1.893 4.736 4.238 3.959 2.192 6.052 3.126 1.826 5.942 4.617
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.431 2.807 3.217 1.377 3.626 1.589 3.108 2.853 3.688 3.425 1.681
[2,] 3.768 3.345 3.242 1.423 4.375 1.604 3.159 2.854 4.128 4.729 1.788
[3,] 4.554 4.154 3.246 1.426 4.646 1.618 3.467 2.856 4.215 4.904 1.794
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.351 2.381 5.857 1.675 5.809 5.526 4.046 6.237 4.733 5.343 4.374
[2,] 3.851 2.383 6.314 1.675 5.861 6.412 4.117 6.461 4.806 6.396 5.202
[3,] 3.916 2.455 6.557 1.684 6.171 6.503 4.213 6.611 5.132 6.508 5.470
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9227 4.269 2.891 4.492 2.326 1.909 1.073 3.302 2.330 6.498 6.654
[2,] 0.9444 5.040 2.972 5.011 2.358 1.944 1.074 4.197 2.339 6.525 6.668
[3,] 0.9446 5.476 2.986 5.450 2.416 2.037 1.079 4.256 2.346 6.530 7.757
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.421 2.324 2.712 2.574 3.218 1.687 1.772 17.63 11.66 5.718
[2,] 2.593 2.879 3.081 2.928 3.244 1.707 1.956 19.55 13.84 6.118
[3,] 2.597 3.063 3.135 3.004 3.421 1.709 2.125 21.99 14.00 7.400
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.737 2.491 8.95 7.825 9.671 1.078 2.845 8.623
[2,] 237.623 23.482 48.95 1520.073 2032.275 105.413 289.687 1242.407
[3,] 1003.329 48.434 970.87 1028.778 1371.805 128.938 469.687 517.780
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.468 7.888 4.204 9.547 4.0 6.962 6.18 7.022
[2,] 1171.025 2261.844 778.591 1424.784 347.7 1304.811 1415.70 676.882
[3,] 995.670 815.467 415.889 1111.300 436.5 874.818 1044.80 413.714
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.442 5.035 7.917 6.749 15.01 4.777 14.96 8.138
[2,] 1954.782 2223.397 1167.201 611.579 389.79 781.340 5442.07 1171.542
[3,] 1274.805 1359.766 1180.408 1277.767 122.55 468.812 974.69 1571.267
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.523 8.392 8.326 5.356 7.821 1.989 7.684 6.071
[2,] 149.315 1682.485 1551.726 1136.394 1807.477 144.198 1763.250 203.089
[3,] 130.749 2419.465 1506.342 813.824 1287.579 171.901 1439.617 885.427
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.808 7.685 6.45 7.265 6.535 4.515 3.067 1.294
[2,] 271.483 987.321 1424.02 1599.694 328.538 1375.883 47.144 254.554
[3,] 248.090 1315.615 1132.82 916.204 357.332 228.884 82.947 84.315
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.239 1.374 5.592 4.749 3.033 2.311 5.606 5.097
[2,] 338.004 23.064 585.590 989.274 490.756 255.386 744.260 318.738
[3,] 178.438 187.539 541.814 804.409 263.657 95.649 510.514 640.464
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.721 2.764 5.653 3.803 2.281 4.899 4.601 4.356
[2,] 32.301 51.510 2013.179 146.769 149.317 1553.604 586.139 820.186
[3,] 715.634 127.662 773.861 448.098 86.021 1800.381 1386.460 1345.843
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.564 4.085 1.749 4.604 2.018 3.947 3.623 4.684
[2,] 957.253 213.187 188.214 1287.876 114.613 295.907 22.059 974.860
[3,] 1295.700 82.462 49.357 822.848 111.109 751.656 57.618 450.612
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.349 2.134 4.255 3.024 7.437 2.127 7.376 7.017
[2,] 1715.721 321.249 997.901 38.906 1240.558 9.047 410.180 1711.065
[3,] 682.531 77.504 375.862 310.537 930.844 89.153 1017.262 571.837
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.138 7.92 6.01 6.785 5.555 1.172 5.421 3.671
[2,] 402.207 888.77 440.26 1850.129 1480.926 105.778 1409.979 362.963
[3,] 469.540 734.39 947.15 631.231 891.147 9.907 1125.941 150.516
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.704 2.953 2.424 1.362 4.193 2.959 8.252 8.449
[2,] 1168.704 204.175 192.803 19.312 1363.372 103.489 308.959 226.144
[3,] 1127.686 277.801 321.323 58.956 370.718 97.477 142.030 2085.618
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.074 2.952 3.444 3.269 4.086 2.142 2.25 22.38 14.8
[2,] 488.647 893.480 769.185 733.562 216.198 138.385 436.08 4442.69 3926.2
[3,] 72.575 550.919 305.739 354.904 571.319 46.117 436.48 5303.24 1103.5
[,98]
[1,] 7.26
[2,] 1145.67
[3,] 2189.94
[1] "--- VAR model 2017-10-05 00:01:00 completed"
[1] "Completed training sample: 2017-10-05 00:01:00 - 2017-10-05 08:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 00:31:00 - 2017-10-05 08:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.7276 0.2765 -0.3776 -26.09
3.3930 0.4747 -1.6104 -21.86
0.6512 0.4037 -2.3509 -22.88
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.11 1.277 4.670 5.328
-30.79 1.722 5.620 -0.657
-18.20 1.686 4.273 1.872
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7916 -4.510 -4.1083 -26.38
4.7806 1.562 -1.1182 -22.75
0.4202 -1.362 0.6079 -23.71
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.59853 -0.4480 -7.094 2.1084
0.07368 0.4099 -6.200 0.5270
0.55492 1.1213 -5.962 -0.7255
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.612 4.832 11.421 9.9558
-3.547 -1.707 4.229 -0.4531
-1.619 -4.216 -2.539 -3.4085
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.8580 9.764 -21.25 -11.94
-0.5925 4.752 -10.12 -14.61
0.3667 1.615 -6.34 -8.81
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.432 -8.053 -17.34 -6.689
5.127 -13.827 -13.05 -5.287
4.550 -8.709 -17.27 -3.935
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.71 -0.6545 -16.06 -0.2755
-19.84 -0.9123 -17.26 -1.3863
-16.95 -0.4761 -15.41 -0.6060
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.261 -18.90 -17.59 -15.15
-4.825 -22.61 -16.70 -20.74
-4.763 -14.01 -14.84 -18.05
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.0130 4.093 1.01070 -0.61469
-0.9686 -1.721 -0.03805 0.07839
-0.7342 -3.703 -0.37460 0.19073
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.5748 -0.1624 -2.379 -8.676
-2.2205 0.5978 -2.100 -9.538
-0.5718 -0.2771 -2.549 -10.683
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.704 -0.2860746 -7.6866 -0.5146
2.892 0.1189387 -0.4938 0.4156
1.354 0.0007135 -2.1014 1.0038
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.05122 0.22068 11.7526 6.312
1.97949 -0.13222 -2.6083 2.452
0.75842 0.03678 0.7745 1.888
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5108 -1.712 -2.0271 -6.8647
0.3395 10.286 8.4538 -0.9142
0.5484 -5.927 -0.9912 9.0085
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.7339 -0.3278 -0.07922 -4.455
-0.5608 -0.2777 0.12600 -6.706
9.0751 -0.2736 -0.44386 -0.923
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.095 -3.107 -0.006775 -4.378
-4.141 -3.906 -0.323582 -3.122
-4.022 -0.758 -0.308981 -4.690
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.528 0.636329 -2.988 1.6873
-4.302 0.141657 -4.095 0.5017
-4.564 -0.002279 -3.996 0.4529
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.106 0.014891 -2.278 -2.967
-6.023 -0.031560 3.889 -1.190
-4.427 -0.002389 1.244 1.650
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.120 -1.651 -6.31859 4.688
4.183 -1.035 -0.07235 -5.692
2.092 -2.546 -2.90316 -1.298
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.02706 -0.6397 2.415 2.335
-2.50546 0.7814 4.249 2.003
-2.18636 -0.3425 -1.238 1.367
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.8109 1.768 -1.560830 -0.070311
8.8705 2.319 0.867192 0.122896
-0.2276 1.943 0.002405 0.001705
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.920 -0.04583254 1.0067 -13.54
-1.985 0.01137153 -0.2042 -20.02
-2.213 0.00001268 0.9445 -10.84
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2434 0.8371 1.9971 1.6885
-0.2753 1.8747 0.9972 0.5710
-0.2650 1.3533 2.4674 0.7799
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.2453 0.1938 -7.312 -5.119
-1.5068 -0.1299 -7.701 -12.676
-0.4614 -0.1047 -7.710 -11.260
rnd_95776.volume rnd_95787.volume
17.883 -5.84
-9.703 -15.51
1.438 -10.08
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.531 2.249 7.910 6.870 7.977 0.9506 2.465 7.386 8.298 6.771 3.738
[2,] 4.542 2.251 7.952 7.506 8.832 0.9836 2.566 7.774 8.664 8.186 4.036
[3,] 5.218 2.262 8.101 7.877 9.116 1.0206 2.767 7.830 8.859 8.389 4.127
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.607 3.208 5.864 5.236 5.946 5.713 4.889 7.386 5.839 13.04 4.427
[2,] 8.071 3.362 6.412 5.867 6.122 6.928 6.490 7.699 6.188 13.05 4.672
[3,] 8.359 3.448 6.696 6.198 6.199 7.436 7.125 8.217 6.897 13.06 4.827
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.31 7.676 1.449 7.451 6.357 4.214 6.669 1.591 6.801 4.886 2.297
[2,] 16.77 7.712 1.507 8.105 6.954 4.679 7.384 1.606 7.391 4.899 2.357
[3,] 16.96 8.271 1.542 9.324 7.248 4.875 7.640 1.657 7.729 5.225 2.435
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.285 5.509 6.083 5.411 3.969 2.760 1.187 2.869 1.230 4.604 3.791
[2,] 6.653 6.219 6.728 5.443 4.722 2.768 1.278 2.893 1.231 4.738 4.307
[3,] 7.062 6.542 6.906 5.484 4.774 2.780 1.287 2.935 1.297 4.876 4.505
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.666 2.067 4.767 4.286 4.054 2.211 4.883 3.522 2.041 4.315 4.034
[2,] 2.829 2.079 5.005 4.321 4.055 2.212 6.119 3.569 2.055 5.403 4.209
[3,] 2.895 2.082 5.083 4.507 4.367 2.225 6.553 3.718 2.061 6.314 5.001
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.752 3.022 3.510 1.572 3.810 1.611 3.184 3.005 3.798 3.717 1.960
[2,] 4.310 3.791 3.542 1.585 4.599 1.633 3.230 3.007 4.194 4.981 1.966
[3,] 5.060 4.626 3.543 1.586 4.946 1.656 3.620 3.010 4.256 5.133 1.966
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.612 2.528 6.008 1.761 5.839 6.117 5.127 6.884 5.107 5.495 5.479
[2,] 4.107 2.528 6.475 1.761 5.918 6.691 5.506 7.115 5.251 6.486 5.900
[3,] 4.180 2.603 6.676 1.772 6.457 6.800 5.603 7.205 5.637 6.957 6.158
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.057 4.839 3.093 5.351 2.531 2.039 1.126 3.638 2.928 6.778 7.254
[2,] 1.063 5.519 3.219 5.784 2.583 2.097 1.126 4.497 2.967 6.835 7.356
[3,] 1.063 5.916 3.277 6.015 2.628 2.223 1.130 4.632 2.971 6.838 8.338
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.839 3.002 3.063 3.150 3.449 1.863 1.638 17.32 12.40 6.620
[2,] 2.839 3.540 3.495 3.532 3.481 1.890 1.816 19.25 14.72 6.849
[3,] 2.842 3.545 3.498 3.535 3.698 1.890 1.992 21.73 14.86 7.997
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.754 2.856 10.04 8.724 10.13 1.207 3.131 9.379
[2,] 159.036 51.282 414.07 1537.229 1926.36 128.452 362.038 1233.408
[3,] 1305.411 110.620 785.95 1214.470 1147.39 138.357 526.593 474.308
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.54 8.599 4.747 9.66 4.073 7.447 6.649 7.551
[2,] 1266.33 2338.378 772.526 1370.72 512.503 1317.588 1344.975 739.308
[3,] 939.08 930.404 438.409 1106.29 387.395 981.392 1016.300 496.920
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.254 6.208 9.379 7.415 16.55 5.622 15.63 9.748
[2,] 1992.094 2169.719 1104.237 1042.050 256.47 757.615 5792.68 378.162
[3,] 1372.964 1494.184 1458.979 1547.373 286.94 618.315 1280.99 1519.013
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.84 9.461 8.072 5.351 8.468 2.02 8.636 6.205
[2,] 210.58 1621.588 1433.642 1033.188 1610.842 111.61 1471.068 178.876
[3,] 165.87 2343.138 1038.596 695.733 998.005 207.16 1147.953 924.164
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.916 7.981 6.996 7.724 6.871 5.04 3.504 1.507
[2,] 269.000 1109.483 1466.566 1460.821 300.949 1300.59 108.677 240.442
[3,] 312.000 1203.707 1031.238 792.887 338.879 356.65 129.718 80.162
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.643 1.562 5.846 4.813 3.385 2.625 6.053 5.442
[2,] 191.283 25.715 568.758 1039.854 481.490 115.212 776.291 282.175
[3,] 251.250 207.924 585.639 669.807 312.804 57.941 449.361 651.091
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.147 2.807 6.201 4.472 2.591 5.48 5.123 4.765
[2,] 51.643 34.544 1873.889 293.027 123.027 1652.36 610.911 1077.309
[3,] 823.739 122.441 1192.792 529.356 78.440 1660.43 1372.646 1347.756
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.837 4.457 1.996 4.839 2.046 4.043 3.816 4.823
[2,] 1163.099 239.335 103.439 1308.774 135.353 274.734 61.095 904.280
[3,] 1347.762 45.147 22.949 925.890 139.247 831.048 66.717 369.277
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.72 2.489 4.586 3.211 7.629 2.236 7.414 7.767
[2,] 1685.47 74.945 993.373 8.408 1227.383 21.110 491.492 1378.474
[3,] 630.76 14.745 397.370 313.607 825.898 98.520 1312.505 615.350
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.51 8.742 6.485 6.978 6.957 1.342 6.145 3.927
[2,] 1021.01 913.851 621.788 1751.584 1113.101 58.543 1349.204 454.553
[3,] 528.25 576.622 1041.520 1278.109 896.979 7.134 1081.916 310.317
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.794 3.214 2.59 1.430 4.62 3.718 8.607 9.211
[2,] 1116.062 260.829 247.80 4.132 1343.68 242.938 448.221 621.314
[3,] 839.520 247.001 375.44 48.848 564.90 85.512 99.574 1994.930
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.605 3.812 3.89 4.00 4.38 2.366 2.081 21.99 15.74
[2,] 8.846 953.473 855.48 811.41 239.73 161.198 398.474 4272.94 4031.68
[3,] 70.053 98.290 76.09 82.05 634.38 6.123 416.059 5125.08 1029.00
[,98]
[1,] 8.406
[2,] 893.647
[3,] 2097.815
[1] "--- VAR model 2017-10-05 00:31:00 completed"
[1] "Completed training sample: 2017-10-05 00:31:00 - 2017-10-05 08:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 01:01:00 - 2017-10-05 09:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.547 2.7986 0.2441 -13.73
7.160 1.4581 -3.7398 -17.96
5.020 0.8401 -3.4934 -10.23
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.1811 -0.7610 1.7171 11.54
0.1787 2.1928 0.2286 12.71
-1.1548 0.3838 2.3363 11.39
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.2366 8.504 1.021 -16.42
1.4167 6.311 2.234 -13.97
-0.7092 8.693 1.458 -11.25
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.705 -1.24914 -2.8124 -1.729
-1.187 0.07898 -1.5113 -0.962
-1.636 1.61801 -0.7997 -1.195
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.977 -0.6716 5.528 8.869
-5.252 -3.1557 3.002 10.143
-5.904 -3.5273 -1.039 7.911
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.8040 -1.1989 -14.30 -16.423
-0.9435 -0.6557 2.10 -2.155
-0.2676 -0.1140 -9.45 -3.249
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.168 -20.209 -16.233 2.3369
3.911 -9.910 -1.917 0.1702
2.957 -6.333 -5.108 0.7178
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.90 0.2335 -2.634 3.481
-17.71 0.1428 -8.662 7.281
-13.05 0.1582 -7.091 3.759
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8705 -3.257 0.6955 1.859
-1.4163 -18.579 -5.4662 -3.963
-1.9522 -6.358 -9.6109 -10.283
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.7960 -4.8590 0.02373 0.38401
0.8474 0.9106 -0.19977 -0.03248
0.4063 -2.8734 -0.32710 0.19431
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.1282 -0.1991 3.711 0.6812
-4.9134 -0.6223 2.212 0.2017
-0.1356 0.1872 2.135 -2.3327
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.389 -0.03199 -1.893 4.1043
3.820 0.01080 -2.542 1.3821
2.621 -0.35317 -0.804 0.8223
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.978357 -1.3240 1.7806 5.913
-1.530546 0.3983 -1.1540 5.476
-0.001235 -0.6882 0.8259 3.645
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.5231 1.190 1.7522 -2.2106
0.1008 1.096 0.9796 2.5368
-0.5871 -1.090 -1.1337 0.1775
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.6211 -0.09623 -0.39137 7.059
2.7904 -0.01614 0.05685 -3.260
0.7785 0.10458 -0.42744 2.074
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.378 -1.6876 -0.8527 -0.6794
-2.731 -0.5045 0.1126 0.6538
-1.586 1.0411 0.5565 -1.8578
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.0559 -0.03491 -3.333 -1.5504
-1.2183 -0.26847 -2.325 -1.4899
-0.3831 -0.08208 1.338 -0.5067
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.77817 0.2155 9.972 5.950
0.09858 0.0750 6.640 9.801
0.65298 -0.1018 5.655 6.601
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.8031 10.478 11.849 8.330
2.1199 9.015 10.923 8.836
0.9944 6.433 8.974 10.690
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.308 -0.07627 8.551 1.412
7.991 0.18949 6.270 1.545
6.027 0.02246 6.064 1.361
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.087 0.2434 0.5630 -0.49909
6.240 0.3430 0.5843 0.06901
8.816 0.4970 0.3935 0.19590
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.3921 -0.20580 3.7986 -12.915
-1.4263 -0.08083 0.5489 -4.110
0.7534 -0.02472 1.6007 -8.725
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.16449014 1.9366 -2.294 -0.3724
0.01868477 0.3507 2.966 0.0222
0.00001158 0.4682 1.650 -0.5731
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.0737 0.216606 -7.839 -6.486
-1.5661 -0.044787 -6.709 -8.255
0.7012 -0.002843 -7.080 -5.631
rnd_95776.volume rnd_95787.volume
-0.9933 2.183
4.1640 -4.929
-1.2816 1.008
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.057 2.352 8.077 7.283 9.703 1.064 2.650 7.900 8.844 7.276 4.017
[2,] 5.091 2.352 8.226 8.080 10.312 1.073 2.791 8.278 9.320 8.753 4.357
[3,] 5.557 2.424 8.285 8.409 10.645 1.095 2.939 8.373 9.544 8.941 4.458
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.825 3.477 6.257 5.567 6.094 6.119 5.450 8.058 6.746 13.61 4.492
[2,] 8.308 3.610 6.777 6.220 6.285 7.413 6.965 8.566 7.292 13.66 4.705
[3,] 8.554 3.676 7.110 6.545 6.366 7.883 7.650 8.990 7.813 13.70 4.839
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.21 7.855 1.808 7.838 6.660 4.437 7.383 1.758 7.126 5.076 2.330
[2,] 16.62 8.159 1.839 8.334 7.161 4.920 8.096 1.770 7.741 5.092 2.397
[3,] 16.84 8.718 1.972 9.367 7.431 5.143 8.539 1.822 8.271 5.455 2.445
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.722 6.053 6.462 5.732 4.209 2.910 1.301 3.062 1.442 4.796 4.058
[2,] 7.159 6.780 7.179 5.750 4.870 2.920 1.397 3.069 1.442 4.942 4.718
[3,] 7.559 7.063 7.361 5.785 4.958 2.926 1.398 3.156 1.511 5.069 4.882
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.919 2.290 5.039 4.662 4.198 2.337 5.627 3.729 2.324 4.606 4.276
[2,] 3.139 2.299 5.248 4.688 4.203 2.428 6.900 3.805 2.357 5.830 4.627
[3,] 3.248 2.306 5.314 4.888 4.539 2.449 7.262 3.968 2.357 6.793 5.497
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.006 3.219 3.763 1.658 4.107 1.795 3.436 3.266 4.073 3.843 2.083
[2,] 4.560 4.062 3.802 1.672 4.973 1.823 3.484 3.266 4.432 5.280 2.089
[3,] 5.410 5.198 3.804 1.672 5.297 1.854 3.864 3.273 4.485 5.415 2.089
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.089 2.699 6.190 1.879 5.983 6.027 5.196 6.843 5.286 6.494 5.979
[2,] 4.304 2.699 6.735 1.881 6.136 6.628 5.556 6.935 5.511 6.902 6.427
[3,] 4.424 2.740 6.945 1.893 6.693 6.981 5.665 7.456 6.037 7.300 6.602
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.149 5.366 3.400 5.785 2.640 2.163 1.247 3.866 3.077 7.387 7.608
[2,] 1.158 6.123 3.624 6.281 2.702 2.242 1.249 4.712 3.106 7.428 7.706
[3,] 1.159 6.375 3.753 6.430 2.750 2.390 1.251 4.835 3.113 7.428 8.724
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.190 3.214 3.203 3.392 3.460 1.987 1.478 16.98 12.98 7.129
[2,] 3.194 3.755 3.680 3.879 3.657 2.010 1.664 18.97 16.19 7.410
[3,] 3.202 3.828 3.684 3.891 3.834 2.011 1.843 21.47 16.38 8.454
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.422 2.986 10.26 9.248 12.32 1.351 3.365 10.03
[2,] 290.330 10.839 766.89 1719.261 1716.03 68.667 430.428 1215.19
[3,] 1093.924 289.572 483.69 1144.486 1297.83 107.323 453.190 619.30
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.23 9.239 5.101 9.936 4.415 7.946 7.069 7.738
[2,] 1444.04 2390.951 828.129 1371.153 477.919 1278.407 1363.536 755.314
[3,] 1009.83 896.419 464.894 1000.351 338.431 1056.413 1000.142 499.126
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.771 6.921 10.23 8.566 17.29 5.704 15.51 9.975
[2,] 2055.825 2131.054 1427.12 1360.044 554.32 686.900 5537.59 1083.269
[3,] 1317.486 1554.848 1340.47 1378.576 524.75 557.436 1328.69 1510.071
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.296 9.953 8.458 5.634 9.375 2.233 9.048 6.446
[2,] 164.663 1391.433 1291.955 1044.011 1632.496 100.996 1486.406 201.529
[3,] 349.745 2100.897 976.042 736.970 1333.710 211.385 1430.935 960.993
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.958 8.536 7.686 8.206 7.278 5.345 3.695 1.653
[2,] 278.375 1209.138 1500.893 1536.442 225.817 1203.204 117.787 248.829
[3,] 234.799 1193.178 972.496 799.124 313.506 456.411 92.140 33.341
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.888 1.832 6.09 5.153 3.707 2.909 6.399 5.92 5.331
[2,] 98.343 6.028 586.60 1182.706 566.372 99.221 720.101 244.79 100.444
[3,] 362.091 220.256 553.19 617.041 410.464 84.926 411.342 679.42 842.451
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.968 7.146 4.735 2.951 5.849 5.43 5.087 4.088
[2,] 322.818 1962.062 373.295 193.592 1755.678 868.10 1070.064 1216.592
[3,] 157.612 1112.217 552.933 2.357 1712.837 1458.93 1429.971 1593.640
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.779 2.105 5.215 2.279 4.364 4.147 5.172 4.88
[2,] 266.161 104.746 1378.262 158.080 281.760 15.790 858.360 1779.37
[3,] 54.135 4.558 895.375 166.418 820.539 104.420 340.089 589.43
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.645 5.192 3.427 7.86 2.386 7.598 7.653 6.598
[2,] 80.825 660.297 28.859 1304.80 41.940 668.281 1355.251 966.759
[3,] 4.195 502.249 232.449 833.16 104.284 1313.214 1075.770 541.439
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.69 6.712 8.247 7.593 1.459 6.814 4.318 7.346
[2,] 551.41 765.642 1148.626 1158.210 72.248 1448.455 616.109 1202.249
[3,] 1346.37 1211.383 1167.116 742.133 22.460 873.122 479.109 675.636
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 3.353 2.747 1.584 4.909 3.907 9.381 9.661 4.051
[2,] 283.314 289.351 33.917 1323.910 207.748 380.576 602.032 78.283
[3,] 249.898 406.828 34.731 532.316 102.712 8.401 2009.349 108.306
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.081 4.067 4.307 4.394 2.523 1.877 21.56 16.49
[2,] 953.784 890.508 924.089 581.752 151.728 375.311 4151.45 4755.21
[3,] 366.925 82.933 149.938 565.160 24.320 389.556 4941.50 1201.43
[,98]
[1,] 9.052
[2,] 993.219
[3,] 1999.270
[1] "--- VAR model 2017-10-05 01:01:00 completed"
[1] "Completed training sample: 2017-10-05 01:01:00 - 2017-10-05 09:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 01:31:00 - 2017-10-05 09:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8334 0.0005872 -0.6459 -1.830
-3.9920 0.3365624 -1.3437 2.830
-1.0859 0.5144013 -6.0606 -8.287
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.641 -0.5909 -0.03102 11.624
-7.560 0.3792 0.95245 1.559
-6.466 0.4304 0.42307 8.573
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.903 12.828 2.151 -15.56
3.093 6.198 1.563 -13.21
1.730 1.860 1.556 -12.91
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9537 -2.038 -5.2463 1.1793
-0.4230 2.574 0.3323 0.4057
-0.1227 2.550 -0.5081 -0.4655
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.3559 4.221 5.4762 12.717
-0.9344 1.706 4.2011 8.903
0.8191 2.159 0.5724 9.966
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.02171 -0.76349 -21.303 1.555
-0.14035 -0.34518 -6.298 -10.170
-0.07096 -0.02314 -5.692 -2.739
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9875 8.484 9.364 -1.6366
0.1641 -9.369 -7.066 -1.5082
0.2616 -5.193 -7.375 -0.9367
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.013 -0.2876 -2.875 -3.305
4.224 -0.5441 4.163 -0.434
-9.526 -0.1416 -7.494 -0.875
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.4415 -2.1376 -7.0180 -13.156
0.8312 3.2050 -2.7475 -3.956
-0.1560 0.4926 0.4594 -3.289
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.003225 0.03089 0.4845 -0.001924
0.017723 2.46448 0.7254 -0.011736
-0.077773 7.58678 1.3302 0.069951
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.8339 1.6680 -6.462 -2.063
-1.4763 0.2245 -5.537 -6.565
-0.5679 0.2690 -3.934 -7.314
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.128 3.570 -5.435 3.3478
4.577 1.776 -1.681 1.2633
4.301 1.536 -4.771 0.9339
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.498 -1.8203 2.027 0.04431
8.685 -0.5324 -5.667 0.94810
4.014 -0.6724 1.221 0.57837
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7144 -5.159 2.9043 14.3160
0.1006 -1.656 -0.1147 -2.9498
-0.2719 -3.318 -3.7272 0.2471
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
13.360 0.28510 -0.28290 1.396
-2.123 -0.19502 -0.02123 13.519
1.866 0.02621 -0.19102 -2.216
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.634 2.4348 0.003473 3.1919
-1.200 3.6031 0.427568 0.9832
-1.916 0.4754 0.383948 6.4196
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.3441 0.002545 -0.7362 0.8990
1.9228 -0.124454 4.3757 -0.4432
6.1502 0.059404 3.4664 -0.1706
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.9448 -0.09785 2.844 3.0117
4.2001 0.12124 4.973 0.9472
0.5931 -0.01019 3.310 3.1631
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.1997 -1.4637 12.052 -4.7766
0.9459 -0.2351 7.844 0.4121
0.5713 -1.2499 7.341 -0.7461
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.451 -0.49725 -0.8308 -1.954
-2.004 -0.04949 -1.9756 -1.335
2.219 -0.02128 1.7949 -1.731
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.537 1.335 0.6108 -0.068355
-2.110 2.151 0.8794 -0.003109
5.919 1.455 -0.8923 0.014576
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.005237 0.32914 1.14905 -4.7140
4.979647 0.16079 -0.26750 -0.7985
1.871309 0.00553 0.05178 -2.8124
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.28383 -3.80970 -4.1904 -2.8718
-0.29347 0.09723 -0.6139 -0.9293
0.01622 -0.54568 -1.2167 -0.6412
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.5794 -0.080798 -6.323 -2.095
4.5391 0.026679 -6.450 -4.267
0.1752 0.003976 -6.379 -1.512
rnd_95776.volume rnd_95787.volume
-14.73224 0.7737
-0.01322 -9.5291
-1.20092 -4.6863
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.426 2.698 8.803 8.428 10.27 1.167 3.017 8.332 9.146 7.488 4.269
[2,] 5.458 2.699 8.840 9.102 11.02 1.170 3.073 8.695 9.591 9.129 4.622
[3,] 5.893 2.707 8.893 9.619 11.32 1.193 3.305 8.840 9.846 9.291 4.710
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 8.039 3.703 6.505 5.822 6.187 6.538 5.627 9.947 7.414 13.89 4.532
[2,] 8.541 3.786 7.015 6.530 6.385 7.869 7.255 10.329 7.946 13.95 4.728
[3,] 8.800 3.861 7.343 6.894 6.458 8.386 7.949 10.719 8.449 14.00 4.860
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.22 8.439 1.957 8.198 7.398 4.747 7.615 1.887 8.087 5.399 2.496
[2,] 18.39 8.789 2.003 8.856 7.819 5.162 8.399 1.910 8.652 5.413 2.563
[3,] 18.48 9.508 2.134 9.999 8.154 5.413 8.749 1.955 9.059 5.712 2.637
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.355 6.560 6.685 6.006 4.526 3.093 1.405 3.275 1.524 4.899 4.464
[2,] 7.818 7.375 7.706 6.022 5.261 3.103 1.508 3.280 1.524 5.059 5.054
[3,] 8.274 7.704 7.952 6.041 5.314 3.103 1.512 3.380 1.599 5.208 5.264
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.232 2.407 5.208 5.060 4.509 2.508 5.810 3.865 2.515 4.873 4.439
[2,] 3.524 2.511 5.462 5.084 4.513 2.606 7.163 3.945 2.538 6.140 4.801
[3,] 3.628 2.532 5.533 5.304 4.835 2.618 7.558 4.140 2.539 7.173 5.685
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.145 3.346 3.956 1.782 4.432 1.938 3.529 3.404 3.985 4.133 2.157
[2,] 4.764 4.242 3.999 1.790 5.283 1.973 3.585 3.404 4.616 5.514 2.273
[3,] 5.622 5.395 4.004 1.790 5.668 2.008 3.982 3.409 4.671 5.663 2.279
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.340 2.834 6.257 1.976 6.779 6.544 5.608 7.387 5.686 6.584 5.859
[2,] 4.573 2.835 6.825 1.981 6.988 7.418 5.961 7.892 5.861 7.540 6.594
[3,] 4.710 2.872 7.171 1.996 7.293 7.553 6.039 7.984 6.332 7.726 7.089
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.223 5.505 3.592 6.077 2.708 2.280 1.381 4.118 3.231 8.016 7.882
[2,] 1.229 6.291 3.826 6.568 2.765 2.361 1.381 5.016 3.250 8.116 7.945
[3,] 1.230 6.675 3.952 6.781 2.803 2.515 1.381 5.117 3.253 8.121 8.966
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.378 3.402 3.418 3.539 3.868 2.157 1.376 16.69 13.54 7.508
[2,] 3.382 4.110 4.030 4.007 3.901 2.166 1.563 18.65 17.04 7.832
[3,] 3.389 4.125 4.044 4.017 4.075 2.166 1.701 21.15 17.22 9.104
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.89 3.425 11.18 10.7 13.04 1.482 3.831 10.58 11.61
[2,] 291.96 40.925 395.40 1682.8 1954.32 37.512 285.676 1218.18 1412.76
[3,] 1087.42 104.110 475.26 1522.4 1273.49 113.462 596.386 778.90 1091.29
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.508 5.42 10.21 4.702 8.26 7.394 7.856 8.302
[2,] 2557.067 867.73 1412.20 385.744 1285.26 1447.102 772.620 2143.776
[3,] 845.292 444.17 1039.02 371.264 1062.73 1082.646 473.627 1420.082
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.145 12.63 9.414 17.63 5.755 16.79 10.72 2.485
[2,] 2242.247 1363.31 1400.215 644.39 660.212 6258.45 1202.63 209.508
[3,] 1590.240 1401.50 1405.888 577.46 550.969 868.90 1775.40 359.309
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.41 9.394 6.028 9.669 2.396 10.27 6.855 3.169
[2,] 1639.44 1239.149 993.295 1735.182 145.351 1505.48 190.253 284.784
[3,] 2273.29 1132.322 796.452 1200.349 202.871 1313.90 894.062 305.065
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 9.34 8.33 8.489 7.626 5.747 3.928 1.784 4.159
[2,] 1297.95 1650.04 1876.550 212.976 1313.300 120.477 268.391 87.701
[3,] 1326.37 1090.06 960.975 240.287 366.362 13.043 54.874 400.554
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.935 6.221 5.669 4.104 3.057 6.613 6.425 5.726
[2,] 8.237 617.772 1160.507 688.112 349.852 805.547 243.018 88.870
[3,] 237.215 607.229 719.694 421.901 161.146 434.735 739.570 849.476
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.185 7.378 4.908 3.194 6.188 5.636 5.264 4.249
[2,] 346.977 2051.099 386.283 166.312 1828.914 895.519 1149.347 1276.606
[3,] 122.125 1181.104 615.101 35.911 1815.417 1490.880 1461.235 1631.700
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.024 2.263 5.628 2.461 4.481 4.322 5.06 5.248
[2,] 285.562 82.027 1407.779 181.632 308.925 10.100 1140.83 1786.983
[3,] 96.379 5.660 1005.529 183.556 848.698 91.141 349.86 631.975
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.739 5.512 3.599 7.945 2.51 8.609 8.31 7.121
[2,] 350.783 704.684 36.832 1335.001 64.89 830.676 1709.80 989.923
[3,] 85.113 552.866 223.010 1077.026 119.32 1021.091 696.69 473.771
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.38 7.22 8.36 7.44 1.553 6.99 4.561 7.716
[2,] 1360.64 695.05 1798.96 1481.34 59.618 1490.90 645.019 1220.111
[3,] 590.66 1173.81 826.19 1274.62 25.665 1092.47 484.416 826.905
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.438 2.895 1.753 5.23 4.103 10.18 10.01 4.289 4.32
[2,] 273.793 300.158 13.580 1401.60 170.604 620.78 490.58 80.848 1128.58
[3,] 224.730 423.940 2.010 494.93 69.315 135.02 2033.70 108.730 172.79
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.34 4.494 4.911 2.739 1.747 21.19 17.19 9.534
[2,] 1045.63 919.598 248.947 94.626 363.630 4071.35 5063.23 1090.865
[3,] 158.90 137.882 577.397 12.447 327.941 4884.08 1234.82 2271.972
[1] "--- VAR model 2017-10-05 01:31:00 completed"
[1] "Completed training sample: 2017-10-05 01:31:00 - 2017-10-05 09:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 02:01:00 - 2017-10-05 10:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.568 0.41691 1.252 10.410
-4.353 0.03525 1.638 6.016
-1.737 0.20166 -1.155 4.106
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.1854 0.06893 1.0056 -0.6733
2.9955 0.48357 -0.8969 2.9371
0.2656 -0.66574 0.1597 -3.1883
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.785 -3.869 2.472 -8.198
7.598 1.528 2.138 -8.141
3.981 1.944 2.596 -10.487
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6724 6.887 5.512 -0.1879
-0.3704 3.280 1.503 0.5662
-0.3145 3.015 1.170 0.6178
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.574 3.836 8.674 1.744
5.042 4.136 6.432 2.133
2.909 4.531 10.598 2.665
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.2305 0.6839 -9.122 -2.046
-0.2819 1.0133 1.985 -3.139
-0.2330 -0.1104 2.826 -3.563
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1308 4.5206 -1.414 -0.7342
-0.3056 -2.1472 -6.838 -1.5525
-1.3506 0.9728 5.107 -0.8129
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.9277 0.1844 0.3167 0.2237
4.0637 0.3046 0.6869 1.7783
-0.6314 0.5709 -4.9180 0.7481
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.9190 8.717 4.451 -7.4696
-1.0671 3.485 2.299 -0.4286
-0.6339 2.479 1.676 -1.4434
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.1088 6.965 0.20353 -0.3507
-0.7525 -2.938 0.03790 -0.0870
-0.2933 -4.348 0.06589 -0.1103
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.88153 -0.7652 -6.795 -9.610
-0.05127 1.3070 -2.734 -8.845
-0.20082 -0.5124 -4.787 -1.541
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.164 0.8229 -1.247 2.798
2.115 0.2671 -5.099 2.917
2.326 0.2681 -3.960 1.169
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.4581 -0.48881 -14.113 -0.7356
-0.8879 -0.40725 6.002 -0.7859
0.3704 -0.07453 -4.417 -0.2724
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.09459 5.289 5.047 -7.328
0.31324 -8.648 -9.090 5.846
-0.38342 4.907 3.160 -8.425
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.225 0.5589 0.2466 -3.121
9.273 0.1499 0.3409 -4.801
-11.956 0.1057 0.1137 4.094
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.103 -3.168 0.9232 -3.584
-2.081 -4.445 0.5335 -3.218
-2.793 3.203 0.1433 -4.562
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.728 -0.85776 0.1537 -0.1654
-2.733 -0.38337 -2.9041 0.3652
-4.303 0.05797 -3.8612 0.2185
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.8666 -0.02766 -3.107 -5.599
-2.0291 0.09370 -2.849 -2.311
-3.3208 -0.02388 -1.575 -2.157
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.106 -2.802 -2.981 -6.566
-1.080 -2.307 -4.169 -3.369
-0.643 -3.690 -3.579 -4.318
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-10.5189 0.23325 -7.092 -0.6011
-4.3705 0.28544 -2.809 -0.2272
-0.5365 0.02451 -2.406 -0.4372
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-9.260 -0.4049 2.5555 0.11061
-4.074 -1.6182 -2.3390 0.08355
-0.869 -0.1576 0.6098 0.18779
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.565 0.228052 -2.2369 -3.498
-4.308 0.056335 -0.6145 1.421
-1.117 0.006197 -0.7480 -3.604
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.07179 -0.39019 -0.2980 0.2667
-0.06309 -0.79173 -0.2906 -0.8556
-0.01308 0.05628 0.4175 0.8870
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.764 -0.41035 -7.145 -13.249
-2.272 0.07653 -6.928 -10.731
2.902 -0.07028 -6.829 -9.046
rnd_95776.volume rnd_95787.volume
5.3023 0.4181
0.2949 -4.6931
-0.3749 -1.5302
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.720 2.788 9.540 8.658 10.46 1.264 3.101 8.972 9.843 7.820 4.423
[2,] 5.763 2.790 9.625 9.470 11.33 1.266 3.159 9.400 10.312 9.736 4.849
[3,] 6.209 2.798 9.742 10.089 11.67 1.290 3.377 9.474 10.445 9.909 4.949
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 8.327 3.864 6.741 6.040 6.541 6.880 5.803 10.41 8.022 14.09 4.564
[2,] 8.787 3.955 7.228 6.784 6.736 8.247 7.605 10.77 8.665 14.14 4.755
[3,] 9.106 4.049 7.605 7.179 6.807 8.712 8.317 11.19 9.160 14.19 4.888
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.14 8.884 2.092 8.519 7.707 4.903 7.765 1.923 8.321 5.607 2.619
[2,] 20.80 9.210 2.127 9.358 8.220 5.302 8.747 1.944 8.935 5.617 2.696
[3,] 20.96 10.054 2.242 10.913 8.661 5.547 9.188 1.986 9.407 5.904 2.772
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.580 6.840 6.792 6.226 4.710 3.407 1.603 3.563 1.582 5.125 4.818
[2,] 8.072 7.723 7.910 6.247 5.490 3.430 1.611 3.586 1.583 5.311 5.426
[3,] 8.606 8.077 8.169 6.268 5.546 3.430 1.614 3.625 1.670 5.445 5.612
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.613 2.559 5.483 5.283 4.856 2.791 6.158 4.123 2.662 4.955 4.647
[2,] 3.940 2.674 5.734 5.319 4.857 2.791 7.611 4.225 2.693 6.145 5.146
[3,] 4.040 2.696 5.811 5.562 5.153 2.803 8.014 4.413 2.694 7.497 6.041
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.375 3.611 4.177 1.836 4.701 2.045 3.877 3.568 4.446 4.373 2.240
[2,] 4.946 4.549 4.211 1.845 5.522 2.069 3.927 3.568 4.798 5.862 2.383
[3,] 5.802 5.718 4.212 1.845 5.914 2.108 4.295 3.572 4.849 5.972 2.388
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.603 2.999 6.369 2.034 7.339 6.757 5.870 7.841 6.255 6.995 6.157
[2,] 4.864 3.000 7.044 2.037 7.498 7.792 6.183 8.349 6.485 8.110 7.132
[3,] 4.959 3.027 7.277 2.053 7.827 7.921 6.261 8.457 6.933 8.313 7.782
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.291 5.775 3.875 6.599 2.810 2.372 1.507 4.249 3.356 8.511 8.217
[2,] 1.293 6.774 4.098 7.176 2.865 2.485 1.508 5.146 3.376 8.609 8.260
[3,] 1.294 7.244 4.224 7.490 2.892 2.642 1.508 5.252 3.377 8.612 9.305
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.514 3.490 3.537 3.766 4.166 2.252 1.315 16.32 14.16 7.871
[2,] 3.519 4.140 4.162 3.784 4.193 2.260 1.487 18.33 17.83 8.273
[3,] 3.526 4.225 4.178 4.335 4.344 2.260 1.621 20.90 18.07 9.727
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.263 3.541 12.11 10.99 13.28 1.605 3.938 11.39 12.5
[2,] 298.042 37.037 536.29 1616.69 1828.25 31.720 252.943 1181.70 1295.3
[3,] 974.046 88.887 636.09 1466.62 1185.48 104.405 502.776 499.14 701.6
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.93 5.617 10.57 4.907 8.56 7.67 8.306 8.737
[2,] 2444.52 836.882 1182.04 354.035 1099.12 1302.34 677.042 1916.605
[3,] 776.94 418.447 1007.26 365.789 997.71 989.31 413.010 1183.378
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.369 13.22 10.19 17.89 5.796 17.96 11.28 2.656
[2,] 2071.543 1170.36 1380.62 506.92 561.851 6426.59 1022.44 161.806
[3,] 1418.909 1274.73 1252.38 486.75 477.087 1112.48 1700.14 299.148
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.82 9.787 6.227 9.86 2.441 10.57 7.12 3.326
[2,] 1632.71 1204.263 849.535 1697.12 121.113 1370.95 140.79 268.607
[3,] 2365.72 1149.521 687.132 1185.88 171.479 1240.37 766.68 272.902
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 9.626 8.685 8.625 7.905 5.981 4.327 2.036 4.525
[2,] 1169.376 1511.869 1708.508 219.200 1188.779 164.784 67.994 170.535
[3,] 1257.552 995.786 859.390 216.392 330.081 7.822 41.815 223.004
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.009 6.508 6.119 4.588 3.25 6.962 6.708 6.166
[2,] 18.115 586.009 1051.814 662.251 326.90 708.329 262.639 43.006
[3,] 225.136 506.073 602.880 377.580 145.26 395.610 685.583 725.623
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.544 7.82 5.235 3.381 6.293 5.901 5.555 4.585
[2,] 4.337 1885.04 388.891 172.109 1531.408 932.017 972.380 1165.845
[3,] 109.070 1057.54 536.684 26.688 1809.656 1333.041 1278.525 1460.224
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.305 2.331 5.969 2.597 4.924 4.531 5.646 5.553
[2,] 223.528 78.828 1221.465 132.646 263.266 5.568 760.570 1644.867
[3,] 43.170 5.444 891.535 168.088 732.674 74.093 294.523 482.797
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.845 5.844 3.808 8.087 2.582 9.32 8.58 7.454
[2,] 342.544 663.132 25.002 1268.793 49.197 647.28 1635.72 818.213
[3,] 64.427 407.490 169.717 769.382 106.975 945.70 600.52 415.002
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.957 7.943 8.883 7.818 1.639 7.334 4.92 8.38
[2,] 1208.831 720.785 1729.632 1516.674 31.354 1491.620 562.61 1187.93
[3,] 568.268 1033.918 768.366 1312.512 20.671 1082.452 431.79 904.65
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.568 3.013 1.914 5.395 4.262 10.81 10.43 4.462 4.432
[2,] 235.353 311.964 6.790 1223.535 153.654 545.33 353.07 82.758 938.077
[3,] 166.462 378.349 20.923 442.256 39.792 89.49 1806.01 92.169 354.904
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.492 4.782 5.29 2.86 1.67 20.72 17.98 9.995
[2,] 923.973 154.974 201.79 76.60 292.60 3522.00 4568.55 1073.677
[3,] 155.574 891.703 477.32 19.97 271.99 4228.78 1220.15 2156.100
[1] "--- VAR model 2017-10-05 02:01:00 completed"
[1] "Completed training sample: 2017-10-05 02:01:00 - 2017-10-05 10:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 02:31:00 - 2017-10-05 10:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.047 0.18207 -1.3950 -9.788
0.802 -0.02935 0.2902 -6.921
1.306 -0.03453 2.3865 -1.693
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.056 0.6004 0.28132 1.8648
-8.511 0.8507 0.01772 -0.6122
-9.173 0.7562 0.20413 3.7691
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.238 4.6304 -1.0289 -21.14
-2.619 0.4140 0.1964 -18.57
-2.061 -0.1088 -0.5915 -15.48
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.0340 -2.79809 -5.556 1.1585
-1.3082 -0.01274 -3.639 0.4578
0.4028 -0.09107 -4.306 0.9261
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.5596 -0.223 -3.211 -0.4679
-2.4165 -2.177 -4.974 -0.7453
-1.3744 -2.163 -5.311 -3.9911
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.3661 0.78182 14.6905 -6.4014
0.5930 0.19550 -0.5457 -0.5153
0.3484 0.08502 0.8967 -5.7254
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9098 -3.559 -9.609 3.808
-0.4644 1.995 5.771 2.617
-0.3676 -3.197 -3.875 1.923
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.614 0.7787 0.423 -2.411
-5.383 0.1075 -6.518 -2.378
2.542 0.2512 1.242 -1.322
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9771 -0.6258 -6.754 -3.941
-0.9329 -5.9979 -2.098 -2.392
-1.0018 -2.6753 -5.159 -4.995
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.17558 5.446 -0.1366 0.07285
0.10086 -1.635 -0.1918 0.04937
-0.02878 1.639 0.1197 -0.11348
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9182 -0.1131 -0.199 -3.706
-1.2858 0.8819 -1.543 -4.625
-1.7149 -0.1774 -1.027 -3.821
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.75099 0.5246 -0.9359 -0.08715
1.60789 0.3579 -2.0205 1.46766
0.07909 0.5802 -1.0863 0.44763
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.165 0.233240 8.0543 0.5498
2.430 0.003074 0.3783 0.1906
1.357 0.011210 -0.7078 0.3746
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.044328 -3.981 -2.1569 2.812
-0.043154 8.138 5.4958 -1.330
0.006692 -1.727 0.2636 5.850
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.195 0.03461 -0.22621 -0.8205
-1.902 -0.28265 -0.07616 3.9271
6.753 -0.11870 -0.07228 -1.3201
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.380 -1.7116 0.22208 -3.1566
-3.454 0.7048 0.05867 -0.7491
-3.256 -1.0720 -0.28973 1.4845
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.219 0.310941 1.2966 -0.8754
-1.303 0.047010 -2.0482 -0.3683
1.901 0.002364 0.2084 -0.2034
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.245 -0.01195 0.4115 3.2967
-1.844 0.09393 1.3965 0.8407
-1.113 -0.01865 0.6567 1.0469
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.9209 3.130 -1.1327 3.636
-0.5601 1.370 -2.1016 2.288
-0.2576 1.066 -0.9874 1.012
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.3484 -0.16379 -2.817 -0.5431
1.0800 0.05652 3.918 -0.1093
-0.1053 -0.31265 1.654 -0.1053
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.824 -0.3525 0.1149 0.07453
1.297 -0.9441 1.7161 -0.09639
2.324 -0.6325 0.4677 -0.02587
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.088 0.3640 0.263088 -7.9240
-1.554 -0.1062 0.007857 -0.2514
1.689 -0.1317 0.210287 -3.5437
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.22663 -1.9603 -1.5894 -1.4356
-0.14944 -0.1560 -0.2612 -1.2519
-0.02148 -0.3098 -0.4016 0.0797
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.2399 0.02251 -6.997 5.260
1.2484 -0.05309 -6.712 1.503
-0.3933 0.01431 -6.540 5.071
rnd_95776.volume rnd_95787.volume
13.6969 -3.1349
-1.0863 0.5068
0.7866 -4.2571
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.885 2.933 9.861 8.794 10.66 1.386 3.215 9.094 10.01 7.919 4.508
[2,] 5.928 2.933 9.955 9.610 11.56 1.386 3.274 9.510 10.47 9.876 4.949
[3,] 6.388 2.937 10.060 10.188 11.94 1.438 3.493 9.585 10.61 10.045 5.047
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 8.500 4.116 6.933 6.181 6.920 7.066 5.975 10.71 8.580 14.39 4.770
[2,] 8.998 4.151 7.435 6.947 7.044 8.468 7.912 11.12 9.260 14.44 4.964
[3,] 9.392 4.282 7.826 7.305 7.082 8.953 8.646 11.54 9.764 14.48 5.091
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.37 9.481 2.157 8.678 7.983 5.167 7.971 1.973 8.566 5.957 2.710
[2,] 21.23 9.504 2.192 9.428 8.650 5.560 9.070 1.996 9.266 5.984 2.792
[3,] 21.41 10.536 2.315 11.076 9.149 5.850 9.531 2.034 9.852 6.225 2.897
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.779 7.062 7.073 6.608 4.964 3.579 1.701 3.734 1.653 5.318 4.935
[2,] 8.327 8.035 8.280 6.636 5.770 3.600 1.705 3.781 1.654 5.548 5.742
[3,] 8.946 8.436 8.581 6.642 5.842 3.602 1.710 3.827 1.740 5.674 5.913
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.860 2.659 5.728 5.551 5.007 2.918 6.423 4.321 2.743 5.154 4.872
[2,] 4.211 2.803 5.963 5.581 5.009 2.918 7.933 4.435 2.770 6.434 5.473
[3,] 4.333 2.831 6.066 5.784 5.312 2.927 8.340 4.630 2.772 7.866 6.354
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.596 3.751 4.370 1.884 4.932 2.120 4.153 3.734 4.325 4.565 2.383
[2,] 5.128 4.738 4.399 1.895 5.770 2.150 4.215 3.734 5.113 6.267 2.531
[3,] 6.040 5.970 4.400 1.895 6.245 2.182 4.590 3.738 5.177 6.383 2.535
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.635 3.198 6.507 2.119 7.600 6.908 6.172 8.120 6.713 7.136 6.370
[2,] 5.103 3.200 7.177 2.120 7.732 7.944 6.426 8.615 6.998 8.387 7.500
[3,] 5.206 3.238 7.622 2.134 8.018 8.065 6.495 8.739 7.516 8.568 8.123
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.336 6.040 3.985 7.157 2.904 2.506 1.669 4.358 3.562 8.805 8.387
[2,] 1.339 7.145 4.210 7.754 2.963 2.641 1.669 5.334 3.585 8.931 8.446
[3,] 1.340 7.723 4.319 8.164 2.982 2.826 1.669 5.452 3.585 8.933 9.281
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.599 3.632 3.600 3.847 4.378 2.352 1.257 16.04 14.92 8.192
[2,] 3.603 4.425 4.255 3.865 4.421 2.360 1.416 18.13 18.95 8.623
[3,] 3.609 4.437 4.270 4.409 4.576 2.362 1.541 20.67 19.18 10.120
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.474 3.724 12.52 11.17 13.54 1.760 4.082 11.55 12.71
[2,] 273.232 4.816 527.36 1496.21 1721.84 9.958 238.960 1074.10 1193.87
[3,] 919.194 65.134 558.01 1306.09 1155.46 147.853 469.535 461.78 665.99
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.06 5.725 10.79 5.226 8.804 7.849 8.787 8.973
[2,] 2277.22 787.517 1139.69 207.692 1036.524 1223.996 507.123 1801.488
[3,] 709.13 382.719 1038.37 405.964 943.072 872.616 286.435 1122.141
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.588 13.6 10.9 18.27 6.057 18.24 12.04 2.739 11.02
[2,] 2001.852 1153.4 1344.0 470.11 530.490 6034.22 258.42 151.176 1422.61
[3,] 1345.267 1193.0 1194.8 406.36 437.548 1069.30 1755.08 286.668 2244.12
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 10.14 6.561 10.12 2.506 10.88 7.565 3.442 9.879
[2,] 1285.72 792.752 1670.33 116.301 1363.68 220.247 258.195 1145.902
[3,] 1150.57 702.185 1130.45 150.817 1291.20 662.041 298.710 1262.171
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 8.968 8.982 8.392 6.304 4.545 2.161 4.742 2.099
[2,] 1478.975 1661.665 234.634 1135.273 148.043 44.224 229.248 20.224
[3,] 991.741 869.276 109.787 353.374 52.657 48.412 226.326 207.906
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.754 6.267 4.902 3.376 7.274 7.048 6.357 3.705
[2,] 609.085 1132.540 649.809 342.646 639.210 225.314 59.982 17.980
[3,] 459.535 546.187 393.499 153.196 430.661 585.884 682.195 84.934
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 8.156 5.486 3.484 6.545 6.187 5.836 4.763 5.549
[2,] 1797.470 386.200 148.194 1486.070 962.254 878.576 1117.208 195.747
[3,] 992.615 513.170 36.461 1746.570 1245.693 1231.799 1401.895 36.217
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.392 6.262 2.692 5.274 4.742 5.492 5.797 3.026
[2,] 77.401 1155.901 139.395 277.834 20.125 1052.070 1657.094 328.902
[3,] 3.651 922.547 142.266 701.669 61.397 314.863 469.051 52.493
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.886 4.061 8.263 2.69 9.651 8.772 7.837 10.31
[2,] 824.103 42.893 1168.820 29.52 547.946 1514.470 690.214 1110.77
[3,] 397.610 191.062 990.023 95.29 819.779 536.385 364.954 566.18
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 8.525 9.061 8.089 1.696 7.67 5.061 9.089 3.687
[2,] 763.124 1701.477 1528.208 33.593 1472.92 523.975 1151.527 227.901
[3,] 1058.256 675.054 1203.654 24.756 1131.46 371.393 986.249 128.616
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.182 2.119 5.533 4.523 11.18 10.65 4.57 4.613 4.571
[2,] 322.701 2.878 1187.111 155.494 578.53 387.30 65.04 975.436 875.256
[3,] 387.400 7.242 436.010 16.510 57.33 1484.69 79.36 124.558 138.874
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.885 5.559 2.986 1.596 20.37 18.95 10.4
[2,] 144.873 236.798 74.715 251.541 3261.72 4508.40 1039.0
[3,] 818.578 457.000 43.790 234.929 3836.23 1135.45 2045.0
[1] "--- VAR model 2017-10-05 02:31:00 completed"
[1] "Completed training sample: 2017-10-05 02:31:00 - 2017-10-05 10:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 03:01:00 - 2017-10-05 11:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.3496 0.23117 -3.7520 -5.335
-3.1751 0.14574 -0.9402 -8.275
-0.9481 -0.09012 -0.7813 -8.250
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.193 -0.09344 3.345 6.106
-5.282 0.77460 3.126 5.533
-7.102 0.50661 2.053 3.837
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.286 5.021 1.134 -9.268
6.115 4.521 1.903 -7.239
1.858 3.923 2.241 -8.317
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.490 2.734 0.3063 -0.0333
-3.678 2.433 -0.8160 -0.1542
-2.290 3.839 0.4945 -0.4016
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.919 5.752 2.463 2.126
3.857 1.007 8.496 6.357
1.136 2.485 3.853 3.023
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.15152 0.21477 -3.938 -4.556
-0.39155 -0.01736 -7.704 -5.386
-0.05032 0.07144 -3.949 -5.281
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.3765 -12.361 -4.226 3.744
0.9361 -6.770 -6.629 1.918
0.8887 -5.487 -5.628 1.473
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.040 0.1698 -8.238 -3.369
-8.955 -0.1737 -8.715 -2.470
-6.488 -0.5689 -6.752 -1.603
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7473 -12.020 -6.344 -4.699
-2.2145 -5.211 -3.841 -5.901
-1.6439 -7.854 -7.426 -3.664
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.16885 7.046 0.4669 0.37023
-0.22960 3.811 0.3178 0.28162
-0.05616 -4.252 0.3841 0.04334
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.2609 0.4420 1.3928 -6.976
-1.1225 0.8807 0.1145 -3.769
-0.6799 0.2555 -1.0908 -3.943
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.029 1.7673 -1.9193 -3.148
2.757 0.6471 -2.7225 2.004
3.022 0.4996 -0.9517 0.627
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.89331 -0.41183 -3.162 3.164
-0.06595 0.04623 6.313 3.312
0.31797 -0.03425 -6.170 3.072
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.08147 -13.0013 -7.607 -8.225
-0.17420 7.4284 -1.789 -9.231
0.17359 -0.9888 3.794 2.769
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.9134 0.20782 -0.009752 3.308
-8.4492 0.04063 -0.089123 -6.856
-0.6594 -0.04025 0.057332 -7.613
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.391 5.648 0.04407 5.512
-2.867 -6.287 -0.03993 4.452
-2.325 -2.693 -0.14926 -6.159
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.821 2.4446 6.310 0.4875
5.563 0.2767 5.488 -0.9058
-6.486 0.1910 -1.967 -0.8249
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.319 0.06671 -2.1247 -1.2124
3.888 0.26668 -0.8412 -1.7686
5.560 -0.05025 -0.6802 -0.5357
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.13230 -0.4367 -0.9722 -3.772
0.07687 -1.9311 3.7275 -1.212
-0.24150 -2.2775 0.8008 -2.002
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.6881 0.45754 -4.491 -0.16033
-2.4197 0.08501 -1.489 -0.67953
-0.1679 0.44611 -1.696 0.08958
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.882 1.0335 -2.632 -0.066853
-1.366 0.6523 -1.399 0.208697
-1.492 0.8310 1.649 0.000769
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.1699 -0.63215 3.1791 -2.322
4.3338 -0.05064 0.4199 4.050
0.5592 0.09692 1.8067 -2.792
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.08818 1.2436 1.2069 -0.7813
0.00812 -0.5450 0.1350 0.7613
0.00599 -0.2441 0.1118 -0.3448
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.276 0.3956 -7.725 -7.7958
-2.442 -0.4049 -7.928 0.3754
-1.123 0.1977 -7.678 -2.9784
rnd_95776.volume rnd_95787.volume
29.693 -10.812
-13.946 -4.563
3.744 -5.051
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.028 3.028 10.26 8.751 10.75 1.501 3.284 9.380 10.26 8.112 4.575
[2,] 6.074 3.028 10.34 9.749 11.69 1.504 3.353 9.905 10.69 10.135 5.053
[3,] 6.497 3.034 10.42 10.398 12.20 1.559 3.575 10.045 10.84 10.344 5.158
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 8.854 4.169 7.092 6.401 6.943 7.226 6.139 10.91 8.798 14.69 5.000
[2,] 9.420 4.245 7.587 7.184 7.064 8.602 8.130 11.33 9.470 14.74 5.179
[3,] 9.949 4.377 7.990 7.548 7.102 9.093 8.833 11.77 10.023 14.77 5.299
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.74 9.620 2.242 9.006 8.857 5.390 8.120 2.060 8.738 6.193 2.865
[2,] 22.03 9.621 2.286 9.809 9.954 5.761 9.385 2.084 9.617 6.218 2.933
[3,] 22.21 10.801 2.396 11.521 10.659 6.027 9.937 2.118 10.332 6.444 3.059
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.948 7.289 7.235 6.856 5.141 3.849 1.785 3.873 1.697 5.455 5.107
[2,] 8.491 8.356 8.456 6.875 5.935 3.863 1.788 3.931 1.697 5.700 5.941
[3,] 9.327 8.860 8.818 6.876 6.005 3.864 1.794 3.951 1.784 5.834 6.127
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.948 2.761 6.081 5.717 5.268 3.008 6.729 4.537 2.813 5.343 5.031
[2,] 4.324 2.899 6.337 5.760 5.271 3.008 8.254 4.671 2.842 6.710 5.740
[3,] 4.450 2.927 6.492 5.956 5.585 3.018 8.695 4.875 2.843 8.176 6.672
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.865 3.914 4.606 1.935 5.071 2.190 4.278 3.877 4.857 4.757 2.503
[2,] 5.453 4.999 4.622 1.945 5.927 2.240 4.365 3.879 5.266 6.448 2.661
[3,] 6.467 6.340 4.622 1.945 6.478 2.269 4.778 3.881 5.343 6.596 2.664
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.831 3.340 6.612 2.215 7.739 7.021 6.846 8.422 6.979 7.286 6.500
[2,] 5.329 3.344 7.399 2.215 7.869 8.103 6.990 8.962 7.230 8.770 7.684
[3,] 5.400 3.380 7.672 2.234 8.164 8.215 7.035 9.066 7.756 8.918 8.373
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.435 6.122 4.197 7.390 2.952 2.654 1.777 4.572 3.773 9.170 8.709
[2,] 1.439 7.327 4.419 7.991 3.009 2.802 1.777 5.564 3.787 9.284 8.752
[3,] 1.440 7.957 4.503 8.449 3.028 2.965 1.779 5.706 3.787 9.286 9.617
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.657 3.681 3.649 3.887 4.521 2.516 1.229 15.77 15.58 9.245
[2,] 3.661 4.502 4.315 3.904 4.571 2.518 1.395 17.83 20.04 9.530
[3,] 3.664 4.513 4.331 4.449 4.725 2.520 1.517 20.32 20.32 11.402
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.654 3.845 13.03 11.11 13.65 1.906 4.17 11.91 13.03
[2,] 243.890 3.426 419.66 1405.35 1502.59 29.978 221.03 1039.56 977.51
[3,] 754.091 62.045 432.79 1181.95 1131.32 133.860 406.12 548.17 589.79
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.3 5.809 11.24 5.294 9.005 8.129 8.817 9.176
[2,] 1986.3 701.409 1051.58 260.903 881.704 1066.237 425.395 1525.814
[3,] 677.1 339.288 1047.38 348.702 819.016 757.103 238.468 963.868
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.796 13.86 11.17 18.65 6.349 18.72 12.22 2.848
[2,] 1742.364 996.21 1145.63 398.63 441.849 5352.72 42.06 144.536
[3,] 1129.324 1046.84 1073.66 328.46 365.995 908.90 1604.67 234.796
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.44 11.25 6.844 10.31 2.616 11.1 7.864 3.638
[2,] 1270.48 1485.05 665.190 1538.34 101.621 1313.5 182.458 204.608
[3,] 1975.78 1246.63 578.818 1068.22 124.098 1235.0 553.171 284.871
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 10.09 9.256 9.187 8.706 6.528 4.888 2.267 4.918
[2,] 976.44 1335.565 1430.994 165.356 969.559 106.510 33.056 220.593
[3,] 1261.95 963.520 817.397 46.148 299.829 23.478 45.125 128.060
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 2.154 6.926 6.485 5.013 3.506 7.722 7.26 6.69 3.819
[2,] 12.754 540.774 992.382 577.060 289.237 583.391 229.28 53.74 9.146
[3,] 180.005 406.619 490.360 342.874 132.312 460.470 495.26 603.90 80.770
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 8.545 5.761 3.572 6.785 6.389 6.178 4.97 5.849
[2,] 1562.554 363.319 132.780 1326.968 903.363 804.881 1016.42 124.692
[3,] 894.510 456.668 26.026 1527.482 1112.368 1136.700 1274.90 25.403
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.457 6.439 2.781 5.432 4.923 6.167 6.041 3.179
[2,] 63.451 1003.312 153.772 283.945 40.076 665.078 1423.049 294.880
[3,] 7.861 855.030 119.438 635.177 38.199 296.190 454.745 43.784
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 6.134 4.241 8.397 2.812 9.827 8.915 8.694 10.69
[2,] 735.586 52.443 1085.511 3.477 466.141 1322.508 461.858 1001.48
[3,] 284.289 160.238 663.524 96.474 711.310 443.143 257.552 449.47
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 8.862 9.253 8.254 1.822 7.774 5.33 9.384 3.748
[2,] 617.568 1595.763 1340.240 37.797 1315.982 451.93 994.678 190.080
[3,] 917.628 528.587 1087.561 10.670 1014.804 283.32 896.420 112.165
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.371 2.257 5.806 4.791 11.64 11.06 4.644 4.674 4.634
[2,] 293.417 6.406 1036.759 106.439 474.93 285.01 51.686 847.505 753.117
[3,] 316.925 25.894 413.281 18.870 57.50 1303.09 49.251 104.867 119.187
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.936 5.74 3.195 1.56 20.03 19.78 11.74
[2,] 119.303 222.12 30.443 215.81 2720.46 4121.85 755.98
[3,] 697.482 390.49 36.646 195.28 3185.16 1096.11 2046.34
[1] "--- VAR model 2017-10-05 03:01:00 completed"
[1] "Completed training sample: 2017-10-05 03:01:00 - 2017-10-05 11:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 03:31:00 - 2017-10-05 11:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.461 0.04379 -6.892 -6.826
-2.186 0.02273 -5.635 -9.967
-1.208 -0.59004 -1.537 -2.913
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.529 1.8449 -0.8446 5.289
-5.530 0.9827 -1.7090 3.980
-8.458 0.8344 -1.3754 5.391
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.5590 6.984 4.215 -11.65
0.7205 4.091 1.384 -12.33
3.7151 3.245 1.331 -13.07
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.296 6.341 2.39364 -1.0416
-2.059 3.359 1.22625 -0.6426
-1.844 3.801 0.04003 -1.1506
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.205 5.528 10.323 10.04
2.786 4.633 9.439 6.27
1.543 3.652 12.547 10.47
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.87943 0.023575 -0.01553 -4.534
-0.77406 -0.009875 -13.72970 -2.563
-0.09843 0.087407 -9.78942 -1.828
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.192 -11.9556 -11.054 2.517
-1.326 -0.2602 -5.370 3.157
-1.435 -6.1632 -6.897 1.642
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.759 -0.01998 -13.296 -1.768
-9.249 0.17070 -10.142 -3.650
-2.949 0.02093 -5.216 -1.979
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.6624 -1.593 6.827 -1.704
-1.3823 -8.774 -7.569 -4.719
-1.3329 -7.656 -6.718 -5.766
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6528 6.842 -0.05838 0.7315
-0.3559 -3.934 -0.24542 0.8931
-0.1838 1.858 0.16051 -0.1855
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.5462 0.17195 -5.124 -4.359
0.5153 0.02808 -2.737 -9.850
-0.2318 0.04690 -1.871 -5.217
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.311 2.510 -2.605 2.1289
4.500 1.529 -3.377 0.5725
4.716 1.081 -6.369 0.3007
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.03358 0.14986 -15.6913 1.1342
3.07966 0.01549 -6.3996 0.5743
1.20341 -0.06236 0.3038 0.4206
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4144 -4.3956 -2.659 -0.4413
-0.3841 -18.7816 -12.456 -2.9015
0.1196 0.5369 -4.130 -11.9694
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.022 0.06737 0.4173 -6.6123
-2.483 0.19321 -0.1061 -0.1453
-12.422 -0.26033 0.1526 -3.8183
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.282 -4.7302 0.10632 -1.9494
-3.547 0.9816 -0.02637 -4.5404
-4.042 -1.1963 -0.02036 0.7538
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.655 0.4441 4.925 -1.0404
-4.836 0.1102 -3.787 1.6657
1.039 0.1096 -1.838 0.8737
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.3113 0.249413 -1.1754 0.56874
-0.7897 -0.259368 -0.1874 -0.64655
-4.2242 -0.001992 -0.2670 -0.07777
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.41351 -2.931 -1.8522 -2.249
-0.03084 -2.142 1.5119 -2.488
-0.11691 -1.915 0.1275 -1.617
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.30020 0.3672 -3.728 -0.78540
1.92968 0.1738 -1.026 0.44578
0.07492 -0.3683 -1.329 0.05419
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.2313 -1.200 -0.3851 -0.01385
-1.7668 -1.495 -2.6754 0.33571
-0.3245 -1.035 -1.8892 0.07470
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.2335 -0.58172 0.9539 10.220
-1.8995 0.09233 1.0684 -3.075
0.6925 0.01404 0.3902 4.938
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.18637 -1.3688 -1.0539 -0.6494
-0.12424 -0.2703 -0.6721 -1.2445
-0.04421 -0.3024 -0.5859 -0.4536
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.821 -0.4203 -8.444 -1.235
1.657 0.6261 -8.454 -2.691
-0.698 -0.3661 -8.472 -1.462
rnd_95776.volume rnd_95787.volume
-39.913 -11.310
2.446 -3.507
-6.787 -7.881
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.215 3.149 10.64 8.952 10.95 1.587 3.360 9.52 10.56 8.299 4.662
[2,] 6.264 3.149 10.74 10.003 12.07 1.590 3.431 10.05 10.95 10.376 5.173
[3,] 6.674 3.157 10.80 10.724 12.61 1.659 3.649 10.20 11.11 10.574 5.282
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 9.278 4.245 7.248 6.535 7.378 7.481 6.262 11.11 9.127 14.92 5.06
[2,] 10.021 4.296 7.758 7.356 7.468 8.788 8.436 11.50 9.774 14.98 5.25
[3,] 10.587 4.411 8.147 7.742 7.510 9.257 9.083 11.95 10.297 15.01 5.37
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.06 10.11 2.346 9.356 9.089 5.671 8.353 2.159 8.849 6.442 3.016
[2,] 22.84 10.12 2.401 10.276 10.339 6.023 9.750 2.180 9.813 6.467 3.075
[3,] 23.00 11.56 2.509 12.196 11.079 6.280 10.350 2.212 10.606 6.663 3.239
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.150 7.515 7.404 7.026 5.395 4.205 1.754 4.056 1.86 5.694 5.605
[2,] 8.749 8.604 8.674 7.050 6.189 4.206 1.835 4.138 1.86 5.956 6.252
[3,] 9.618 9.166 9.115 7.050 6.255 4.206 1.866 4.165 1.86 6.105 6.499
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.197 2.879 6.287 5.934 5.476 3.191 7.023 4.724 2.945 5.516 5.154
[2,] 4.544 3.052 6.602 5.975 5.477 3.191 8.677 4.871 2.969 6.880 5.868
[3,] 4.713 3.080 6.752 6.155 5.778 3.197 9.157 5.082 2.971 8.518 6.849
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.028 4.016 4.799 1.986 5.202 2.240 4.353 3.985 5.078 4.917 2.627
[2,] 5.686 5.202 4.833 1.995 6.077 2.261 4.441 3.987 5.509 6.604 2.775
[3,] 6.645 6.506 4.833 1.995 6.681 2.282 4.865 3.989 5.594 6.765 2.776
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.074 3.512 6.715 2.334 7.887 7.194 7.239 8.627 7.410 7.460 6.699
[2,] 5.640 3.519 7.523 2.334 8.016 8.277 7.347 9.173 7.642 9.105 8.001
[3,] 5.718 3.564 7.815 2.357 8.297 8.381 7.389 9.276 8.100 9.263 8.723
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.521 6.337 4.382 7.590 3.060 2.775 1.966 4.743 3.857 9.509 8.968
[2,] 1.522 7.669 4.577 8.311 3.105 2.944 1.968 5.752 3.873 9.592 9.008
[3,] 1.523 8.355 4.656 8.836 3.116 3.127 1.968 5.884 3.873 9.601 9.902
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.699 3.718 3.691 3.924 4.654 2.676 1.146 15.43 16.46 9.627
[2,] 3.702 4.539 4.356 3.943 4.701 2.676 1.329 17.51 21.21 9.853
[3,] 3.706 4.551 4.370 4.493 4.823 2.682 1.466 20.02 21.53 11.858
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.892 3.999 13.51 11.37 13.91 2.016 4.267 12.09 13.41
[2,] 210.876 4.630 395.04 1207.53 1373.96 24.313 187.336 872.49 775.09
[3,] 623.520 59.996 323.50 1046.16 988.48 128.439 336.134 468.35 517.88
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.54 5.92 11.78 5.391 9.204 8.299 9.369 9.5
[2,] 1684.91 606.64 1024.58 178.647 748.149 913.575 313.551 1247.6
[3,] 550.85 287.90 924.36 271.006 673.161 653.170 213.952 787.3
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.952 14.11 11.59 18.95 6.425 19.12 12.84 2.979 11.88
[2,] 1529.208 797.58 946.34 358.31 379.092 4644.38 71.88 137.767 1149.81
[3,] 911.018 880.00 876.66 249.04 305.468 746.07 1514.11 196.897 1777.48
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 11.54 7.201 10.61 2.741 11.24 8.18 3.83 10.35
[2,] 1333.36 549.106 1360.95 82.139 1147.84 153.11 162.02 860.24
[3,] 1077.24 480.986 939.36 101.237 1088.73 434.13 275.51 1081.37
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 9.543 9.402 8.922 6.851 5.34 2.228 5.15 2.362 7.23
[2,] 1133.533 1222.525 157.990 820.339 18.45 145.771 222.29 2.612 472.25
[3,] 854.870 758.057 23.621 245.091 12.56 90.606 127.73 13.946 363.05
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 7.118 5.329 3.656 7.983 7.535 6.953 4.052 8.919
[2,] 749.139 471.610 274.021 545.139 188.686 33.059 18.287 1378.537
[3,] 479.896 338.389 113.510 382.963 399.335 498.274 52.211 791.290
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.999 3.739 7.004 6.544 6.385 5.099 6.094 2.521
[2,] 322.082 101.722 1112.661 759.092 718.531 894.424 154.010 52.197
[3,] 392.089 29.061 1358.594 955.520 929.976 1057.226 4.938 9.991
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 6.605 2.845 5.528 5.06 6.449 6.244 3.336 6.443 4.46
[2,] 850.080 83.187 236.811 32.54 577.540 1192.865 241.651 666.158 59.11
[3,] 750.854 82.802 537.745 33.07 263.274 396.837 23.872 255.586 153.17
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 8.527 2.963 10.02 9.136 9.192 10.95 9.41 9.473
[2,] 917.891 5.461 386.96 1107.432 340.125 843.23 505.50 1412.091
[3,] 571.791 90.003 579.06 355.096 211.908 373.93 726.73 461.730
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 8.506 1.932 8.047 5.564 9.638 3.886 3.524 2.496
[2,] 1183.740 10.793 1168.847 358.263 916.210 142.629 265.882 28.089
[3,] 939.948 12.948 896.811 229.832 811.655 70.660 285.346 7.635
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 6.023 4.897 12.07 11.39 4.697 4.721 4.687 4.983 5.91
[2,] 880.576 95.449 342.25 229.38 42.973 704.568 625.516 102.503 178.90
[3,] 335.444 20.097 113.49 1112.77 44.674 88.806 97.154 582.863 291.71
[,94] [,95] [,96] [,97] [,98]
[1,] 3.398 1.455 19.59 20.9 12.22
[2,] 10.436 181.952 2240.13 3621.3 568.06
[3,] 45.775 167.551 2624.71 1001.3 1784.79
[1] "--- VAR model 2017-10-05 03:31:00 completed"
[1] "Completed training sample: 2017-10-05 03:31:00 - 2017-10-05 11:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 04:01:00 - 2017-10-05 12:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.6147 -1.0320 -8.354 -14.22
2.4480 -0.3579 -6.296 -21.46
1.9625 0.2495 -5.591 -15.23
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.621 0.43253 6.008 5.0993
-10.038 0.02059 5.000 -0.1101
-14.640 0.13403 4.048 5.1671
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.06611 10.8099 1.6213 -17.95
0.57420 2.3722 1.0608 -16.56
1.64291 0.6032 0.3642 -16.32
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.498 -4.3564 -6.136 -0.743565
-3.181 -0.5807 -1.914 -0.899066
-2.676 -1.5344 -3.060 0.006145
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.859 -3.056 -1.925 -0.1972
-9.785 -10.720 -2.288 1.2571
-6.179 -7.483 -6.013 -2.6036
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.137 -1.44040 -30.71 -10.727
-2.016 -1.01254 -16.90 -11.749
-1.068 -0.09702 -13.27 -6.626
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.6484 -21.44 -20.14 4.686
1.1851 -14.80 -13.92 2.978
0.9674 -11.46 -14.18 1.771
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.09 0.2842 -13.98 -0.5840
-18.67 -0.1626 -19.12 -1.8941
-14.98 0.3476 -13.82 -0.9608
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.6144 -0.1136 4.77 1.863
-2.5703 -15.0331 -10.52 -4.837
-2.6362 -12.5836 -12.41 -11.278
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6540950 5.832 1.19816 0.2643
0.0006966 -3.057 -0.05196 0.4022
0.0314739 1.589 0.76836 -0.4017
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.2011 0.06688 0.9899 0.8482
0.7395 0.08780 1.7667 -0.6216
-1.4367 0.13551 -0.6509 -2.1855
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.4286 0.1104 -6.2671 -1.845
1.3589 0.6521 3.1408 3.516
0.3538 0.3137 0.4595 1.265
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.5660 0.0480105 -2.524 3.153
-0.9468 0.0005768 6.728 3.290
-0.1693 0.0031475 -4.904 2.174
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3793 -4.601 -1.919 -0.3941
-0.2491 7.988 -1.118 -3.0457
0.1574 -2.348 4.110 3.4016
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.6299 -0.6541 0.23125 -3.851
-2.8382 0.4692 0.05685 2.133
-0.2719 -0.3594 0.06497 -3.450
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.338 -1.4095 -0.07597 1.735
-3.405 1.9746 -0.17067 -0.734
-4.082 -0.8925 -0.13471 1.851
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.793 -0.82933 1.4173 -0.75770
-2.493 -0.01431 0.2478 -0.05286
1.619 0.05854 0.8575 -0.14321
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.05690 -0.7260 3.079 5.935
0.03452 0.1679 2.458 3.971
-0.63511 0.1009 1.463 1.406
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.1502 4.8025 -5.598 12.445
0.3816 0.8498 -4.082 1.459
1.1988 3.8042 -2.951 1.072
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.385 -0.06026 -3.057 -0.1084
5.946 -0.21410 5.170 -0.8016
-1.315 0.05105 -1.430 0.3386
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.4386 -0.8439 -0.5191 0.6287
5.6597 -1.0290 -0.7022 0.1957
0.3731 -0.1167 1.7192 -0.2360
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.9344 0.72776 -0.9008 8.8729
-0.9300 0.03882 0.6382 1.9376
0.5193 -0.02250 -0.6054 0.5976
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.02029 -2.1104 -1.5230 -1.3200
-0.10085 0.3742 1.2112 0.7449
-0.03590 -0.3031 0.5192 0.9882
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.71012 0.23379 -8.967 1.765
0.72140 -0.08868 -8.595 1.673
-0.06947 -0.06512 -8.695 2.216
rnd_95776.volume rnd_95787.volume
39.19 -10.813
-18.84 -11.063
16.09 -8.359
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.697 3.284 11.21 9.199 11.12 1.703 3.509 9.668 10.90 8.487 4.730
[2,] 6.810 3.284 11.28 10.405 12.29 1.705 3.585 10.173 11.23 10.612 5.280
[3,] 6.976 3.291 11.40 11.196 12.95 1.785 3.830 10.312 11.39 10.788 5.374
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 9.40 4.412 7.460 7.490 7.747 7.678 6.414 11.33 9.324 15.26 5.136
[2,] 10.17 4.457 7.989 8.326 7.850 9.031 8.630 11.76 10.038 15.30 5.326
[3,] 10.74 4.611 8.399 8.708 7.881 9.492 9.327 12.16 10.496 15.35 5.431
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.42 10.11 2.448 9.674 9.434 6.012 8.543 2.276 9.075 6.584 3.080
[2,] 24.09 10.32 2.504 10.611 10.557 6.349 10.065 2.297 10.171 6.606 3.144
[3,] 24.19 11.99 2.605 12.986 11.265 6.572 10.717 2.340 11.039 6.792 3.306
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.477 7.710 7.718 7.220 5.640 4.542 1.867 4.189 1.943 5.925 5.836
[2,] 9.125 8.850 9.142 7.243 6.384 4.542 1.956 4.271 1.943 6.189 6.527
[3,] 9.957 9.466 9.631 7.245 6.542 4.544 1.982 4.301 1.943 6.353 6.802
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.315 2.936 5.854 6.123 5.714 3.374 7.406 4.899 3.037 5.717 5.339
[2,] 4.648 3.115 6.830 6.159 5.714 3.374 8.866 5.042 3.057 7.160 6.184
[3,] 4.822 3.142 7.129 6.349 5.998 3.382 9.435 5.261 3.057 8.540 7.031
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.357 4.185 5.095 2.033 5.316 2.383 4.439 4.156 5.269 5.031 2.699
[2,] 5.973 5.435 5.128 2.043 6.250 2.415 4.555 4.158 5.716 6.782 2.843
[3,] 6.971 6.752 5.129 2.043 6.871 2.448 5.014 4.159 5.815 6.967 2.844
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.179 3.774 6.882 2.479 8.024 7.369 7.432 8.698 7.729 7.603 6.809
[2,] 5.767 3.780 7.759 2.479 8.158 8.501 7.542 9.432 7.927 9.437 8.173
[3,] 5.846 3.851 8.071 2.504 8.428 8.600 7.585 9.524 8.396 9.688 9.065
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.576 6.437 4.520 7.774 3.147 2.888 2.283 4.945 4.066 9.865 9.375
[2,] 1.576 7.840 4.701 8.603 3.191 3.095 2.288 5.929 4.075 9.951 9.397
[3,] 1.577 8.685 4.781 9.253 3.199 3.288 2.292 6.165 4.075 9.958 10.232
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.759 3.800 3.731 3.961 4.530 2.885 1.159 13.65 17.35 9.452
[2,] 3.763 4.629 4.432 4.457 4.788 2.886 1.341 16.51 22.07 9.924
[3,] 3.765 4.641 4.447 4.467 4.916 2.887 1.472 19.26 22.81 11.735
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.504 4.17 14.24 11.68 14.11 2.163 4.456 12.28 13.84
[2,] 299.937 12.98 303.41 1177.58 1268.81 19.714 178.003 766.86 656.14
[3,] 366.320 52.54 398.74 1001.07 989.63 127.827 326.557 408.64 463.30
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.78 6.007 11.94 5.603 9.473 9.511 9.837 9.75
[2,] 1542.76 568.249 940.31 151.532 692.309 880.513 308.023 1151.19
[3,] 469.63 241.652 837.96 286.391 628.194 617.890 169.501 707.85
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.145 14.38 11.84 19.38 6.521 19.58 12.83 3.108 12.28
[2,] 1397.997 761.45 900.06 277.96 342.039 4482.30 510.48 127.777 1055.77
[3,] 857.098 755.01 743.21 292.85 256.615 534.57 1477.40 173.740 1812.78
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 11.98 7.634 10.85 2.89 11.52 8.361 3.911 10.76 9.79
[2,] 1147.63 494.121 1288.69 74.73 1111.83 130.034 152.893 818.36 1052.47
[3,] 951.51 410.893 891.67 108.51 1039.12 382.571 248.228 964.38 813.31
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.801 9.168 7.162 5.768 2.371 5.319 2.467 7.523 7.411
[2,] 1186.332 141.218 724.312 6.875 141.292 201.792 3.241 433.000 707.783
[3,] 733.569 35.417 345.792 28.866 77.830 122.684 5.215 347.279 463.381
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.48 3.728 7.434 7.775 7.256 4.285 9.404 6.221 3.856
[2,] 418.22 252.274 851.860 162.709 14.310 10.380 1180.266 288.873 83.788
[3,] 311.06 99.444 495.254 372.932 441.700 53.672 781.283 363.581 16.151
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 7.26 6.78 6.803 5.314 6.47 2.582 6.751 3.026 5.636
[2,] 1043.60 755.54 639.661 839.723 140.90 47.390 795.775 95.634 248.422
[3,] 1127.44 810.34 870.291 970.178 18.86 11.567 691.065 96.193 507.097
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.277 6.691 6.388 3.427 6.577 4.793 8.739 3.148 10.19
[2,] 31.803 536.202 1101.354 216.268 614.388 49.945 867.708 8.392 356.08
[3,] 24.937 259.368 386.636 22.529 231.506 178.970 537.812 85.191 512.89
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.358 9.437 11.04 9.815 9.655 8.646 2.001 8.174
[2,] 1026.126 310.949 883.75 426.078 1353.540 1094.773 8.076 1083.865
[3,] 315.509 196.516 320.40 670.409 530.840 949.261 13.731 904.842
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.74 9.872 3.996 3.667 2.899 6.28 5.163 12.53 11.91
[2,] 312.72 892.172 128.324 269.716 34.814 792.20 65.792 314.60 153.05
[3,] 210.89 824.914 52.538 268.625 32.068 408.68 4.460 91.32 980.33
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.773 4.825 4.738 5.03 5.752 3.664 1.472 17.33 22.04
[2,] 40.890 640.269 579.151 494.90 375.907 9.429 163.397 2249.13 3302.47
[3,] 33.405 80.979 89.506 71.35 269.210 21.616 147.011 2404.75 1394.61
[,98]
[1,] 12.0
[2,] 732.4
[3,] 1516.5
[1] "--- VAR model 2017-10-05 04:01:00 completed"
[1] "Completed training sample: 2017-10-05 04:01:00 - 2017-10-05 12:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 04:31:00 - 2017-10-05 12:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.574 0.2146 2.4887 12.556
2.113 0.3090 0.1184 5.362
1.284 0.1736 -1.2275 5.043
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
19.184 0.0003049 4.550 0.4048
7.336 0.7389495 5.724 -0.2175
2.830 0.6969454 4.849 -0.2017
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.5145 -1.03906 -0.5188 -14.40
-4.1670 0.04918 -0.1112 -11.61
-0.1571 -0.25876 -1.2439 -15.37
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.353 -1.4102 7.901 0.7464
-2.867 0.1309 2.764 0.1009
-1.935 -1.8043 4.885 0.1125
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.454 9.723 6.224 7.879
-1.172 1.353 11.682 13.149
-1.774 1.211 7.267 9.889
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.5823 0.91422 -10.3288 4.526
-0.3731 1.18306 4.8820 -1.040
-0.4749 0.06062 -0.4902 2.357
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.294 1.507 1.3892 4.066
1.638 -1.878 4.0599 2.801
1.719 2.341 0.4401 1.655
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
7.492 -0.29558 8.297 -1.9359
5.032 -0.00576 2.249 -1.0517
3.601 0.22786 3.656 -0.6204
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.328 15.201 18.824 14.877
1.369 3.553 7.190 8.705
1.362 4.245 3.076 3.862
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4605 -1.484 0.8313 0.6835
-0.1789 1.998 -0.2523 -0.1835
0.3461 -2.652 -0.3448 0.2023
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.1572 0.48875 -1.396 -7.0231
0.4312 -0.07801 3.088 0.1201
-0.4743 -0.17460 1.768 0.4676
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.689 0.1220 -6.478 -0.4892
1.560 0.6160 -2.878 -1.8612
2.519 0.3419 1.625 -0.9941
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.589 0.06653 1.0416 7.479
2.707 0.04435 -8.9668 7.649
1.275 -0.07216 -0.8015 6.431
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.6246 0.4593 -5.3444 -12.6357
-0.2279 -4.9422 0.6513 -0.3007
0.2767 -6.0838 -6.4421 -2.0434
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.1869 0.2477 0.11886 7.90668
-4.4757 0.2581 -0.06313 -11.49480
0.9414 0.3551 0.04921 -0.03216
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.964 0.4225 0.1341 2.057
-2.869 -2.9730 0.2877 3.017
-3.637 -2.6494 0.1249 -5.103
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.1588 -0.04907 6.8508 -0.08802
-0.1836 -0.11899 0.3819 -0.20064
-4.4229 -0.01519 -0.6212 -0.08775
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
11.143 -0.11725 1.507 5.445
1.054 0.26516 2.266 1.205
1.780 -0.05393 1.182 1.638
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1530 4.900 1.0841 4.929
-0.6575 1.796 0.6686 3.195
-0.2818 2.227 0.5122 1.766
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.1647 0.3007 -4.232 -0.7492
6.1393 -0.1624 4.467 0.3485
2.6341 0.2291 2.081 -0.6870
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.860 -0.8504 -2.3468 -0.03802
2.330 -0.6311 0.9393 -0.31035
3.914 -1.0964 -2.0211 -0.07633
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.3106 0.28882 -1.3597 7.323
2.2022 0.01791 -0.6155 6.809
0.1938 0.01090 -0.4024 5.783
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.05119 -2.4300 -2.0147985 -1.8598
-0.07476 0.2839 0.0003897 -0.3703
-0.01350 -0.1661 0.0918597 -0.6325
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.961 0.18961 -8.773 -1.227
-1.885 -0.30559 -8.637 -1.675
-3.172 0.07796 -8.678 -1.800
rnd_95776.volume rnd_95787.volume
-25.306 3.050
-8.414 -3.945
-7.946 1.185
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.916 3.683 11.62 9.396 12.01 1.765 3.712 9.803 11.14 8.649 4.795
[2,] 7.024 3.683 11.67 10.619 13.26 1.766 3.822 10.302 11.43 10.740 5.353
[3,] 7.211 3.690 11.80 11.496 13.91 1.855 4.098 10.434 11.60 10.916 5.444
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 9.196 4.451 7.673 7.967 7.882 7.883 6.539 12.03 9.683 15.53 5.204
[2,] 10.261 4.500 8.201 8.776 7.982 9.298 8.799 12.45 10.320 15.56 5.398
[3,] 11.048 4.656 8.585 9.213 8.012 9.806 9.499 13.06 10.822 15.62 5.499
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.77 10.48 2.557 9.794 9.593 6.161 8.695 2.372 9.229 6.761 3.156
[2,] 24.74 10.48 2.604 10.771 10.882 6.501 10.270 2.397 10.389 6.782 3.227
[3,] 24.82 12.03 2.718 13.224 11.544 6.745 11.018 2.434 11.336 6.943 3.377
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.577 7.872 7.881 7.401 5.887 4.728 1.933 4.533 2.040 6.075 6.028
[2,] 9.240 9.107 9.378 7.421 6.639 4.728 2.030 4.591 2.040 6.457 6.770
[3,] 10.183 9.748 9.890 7.422 6.763 4.730 2.058 4.633 2.041 6.611 7.072
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.506 3.032 6.079 6.367 5.933 3.455 7.663 5.155 3.095 5.819 5.581
[2,] 4.905 3.199 7.061 6.412 5.936 3.455 9.141 5.315 3.112 7.294 6.534
[3,] 5.080 3.228 7.379 6.638 6.229 3.462 9.712 5.550 3.113 8.737 7.391
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.609 4.318 5.343 2.081 5.648 2.466 4.570 4.333 4.988 6.132 2.945
[2,] 6.209 5.660 5.382 2.091 6.533 2.496 4.694 4.334 5.886 7.496 2.946
[3,] 7.171 7.044 5.384 2.092 7.189 2.524 5.184 4.335 5.992 7.723 2.946
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.362 4.008 7.303 2.551 8.157 7.442 7.569 8.824 7.959 7.826 6.956
[2,] 5.975 4.011 8.178 2.552 8.287 8.594 7.662 9.621 8.146 9.587 8.376
[3,] 6.113 4.065 8.634 2.574 8.558 8.689 7.711 9.713 8.594 9.836 9.254
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.643 6.535 4.680 7.911 3.262 3.055 2.409 5.161 4.232 10.21 9.749
[2,] 1.643 8.045 4.841 8.809 3.305 3.269 2.413 6.183 4.236 10.28 9.769
[3,] 1.644 8.850 4.910 9.501 3.308 3.455 2.417 6.309 4.240 10.29 10.628
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.823 3.831 3.759 4.014 4.703 3.044 1.132 13.14 18.01 10.17
[2,] 3.825 4.673 4.478 4.522 4.825 3.044 1.299 16.20 22.91 10.35
[3,] 3.827 4.684 4.491 4.530 5.020 3.048 1.451 18.75 23.67 12.33
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.783 4.677 14.75 11.93 15.25 2.242 4.713 12.45 14.14
[2,] 256.330 10.204 229.16 1034.49 1174.44 12.075 191.133 662.17 537.29
[3,] 340.983 47.922 369.25 921.23 881.50 118.932 308.973 347.36 417.12
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.98 6.089 11.68 5.653 9.744 10.12 10.01 10.01 8.303
[2,] 1331.79 497.529 952.07 137.472 605.212 769.60 264.09 1031.00 1231.231
[3,] 407.56 207.417 856.21 250.340 531.572 586.58 145.34 651.42 748.874
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.28 12.3 19.72 6.608 20.03 13.31 3.248 12.44 12.18
[2,] 665.90 746.4 212.71 299.949 3985.75 52.17 102.271 937.58 1074.38
[3,] 828.01 681.7 280.34 219.200 418.72 1232.87 162.892 1604.22 805.89
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.824 11.04 3.012 11.72 8.585 4.007 10.89 9.996 10.01
[2,] 433.517 1143.01 72.315 997.93 112.414 141.304 718.78 957.705 1063.03
[3,] 376.379 834.54 87.986 948.32 310.161 208.073 895.06 727.493 657.07
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.399 7.475 6.004 2.455 5.757 2.590 7.714 7.654 5.722
[2,] 113.123 642.037 4.738 129.636 151.970 2.285 457.949 644.433 405.640
[3,] 23.988 269.566 24.427 70.759 129.505 16.514 295.924 427.809 276.108
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.85 7.72 8.085 7.534 4.387 9.731 6.546 3.93 7.389
[2,] 213.18 750.97 158.438 35.605 8.977 1042.051 270.988 67.42 919.713
[3,] 90.71 448.15 359.643 395.385 43.680 686.098 334.230 18.96 1005.840
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.087 7.122 5.483 6.785 2.642 7.172 3.131 5.804 5.503
[2,] 710.481 556.984 765.409 135.887 44.163 686.901 80.853 223.865 6.814
[3,] 722.827 750.404 876.850 24.237 3.772 627.569 78.180 460.088 24.447
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.334 7.787 3.740 6.809 5.09 9.273 3.24 10.36 9.45
[2,] 653.656 901.514 7.928 551.188 28.64 770.116 8.38 305.82 898.67
[3,] 235.064 389.197 9.112 270.214 138.11 578.841 70.20 446.69 268.15
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.612 11.21 10.11 9.938 8.833 2.086 8.299 5.943 10.05
[2,] 248.988 801.62 363.41 1157.878 975.763 4.354 981.269 259.362 810.26
[3,] 182.334 279.75 572.30 459.852 822.581 9.898 771.265 170.850 744.75
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.143 3.879 3.059 6.553 5.374 12.96 12.38 4.855 4.865
[2,] 110.473 243.428 27.950 712.204 39.786 248.61 132.09 27.697 559.628
[3,] 32.073 233.446 28.513 262.682 36.093 107.79 875.14 27.200 67.877
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.774 5.097 5.972 3.866 1.438 16.69 22.87 12.91
[2,] 508.847 435.782 225.516 3.247 133.288 1979.75 2959.97 410.33
[3,] 72.652 56.129 289.708 33.004 135.315 1975.97 1250.52 1398.65
[1] "--- VAR model 2017-10-05 04:31:00 completed"
[1] "Completed training sample: 2017-10-05 04:31:00 - 2017-10-05 12:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 05:01:00 - 2017-10-05 13:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.696 0.1569 8.510 -12.20
3.909 0.4174 -1.288 -14.21
3.179 0.4710 1.998 -7.08
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.131 1.2472 6.328 6.068
-8.648 1.3082 8.201 5.939
-13.708 0.8725 8.424 9.753
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.5689 12.855 5.8159 -12.06
-0.3393 3.770 1.5025 -14.29
5.4221 5.282 0.4588 -13.37
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.731 0.5913 -0.9976 0.9199
-1.463 0.2073 0.3903 0.4828
-2.074 -1.4104 -2.1730 0.3437
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.6045 -0.09498 2.788 -0.5267
-0.5399 -5.42597 2.222 4.0234
-1.3955 -0.55395 2.438 2.6049
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.8429 -0.6597 -3.326 -3.8897
-1.0873 -0.5717 2.401 -3.5328
-0.3613 -0.1574 -3.145 -0.6162
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.6134 -10.112 -14.839 1.4644
0.5076 -3.289 -6.390 0.4399
0.3851 -1.790 -1.995 -0.5141
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.537 -0.01521 -3.178 1.686
-12.276 0.14752 -12.709 3.413
-5.008 0.31921 -6.169 2.253
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.433 -4.511 -6.888 -11.600
-2.709 -11.256 -5.996 -3.387
-2.483 -8.615 -9.441 -10.815
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6494 -2.086 0.65145 -0.08725
-0.1366 -1.613 -0.04562 0.14090
0.1424 -2.331 0.32510 0.03207
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.1939 -0.1116 -4.453 -8.585
-1.1004 0.1603 -2.760 -10.578
-0.7504 0.1093 -2.336 -7.152
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.832 0.5024 -5.976 0.2811
2.275 0.8689 -3.117 -0.2915
1.637 0.4777 -5.326 -0.1673
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.9392 0.4717 -3.186 3.662
0.9827 -0.4829 -3.196 3.429
0.3197 0.2253 -1.960 4.334
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.15638 -0.4515 0.330 -0.5182
0.15561 -3.5719 -2.391 -0.1046
-0.07438 -3.1408 -2.571 -2.4393
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.7189 1.0420 -0.4693 -2.0679
0.6851 -0.6414 0.3998 -0.9493
-2.5971 0.2409 -0.1366 -0.3760
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.724 -0.8655 -0.23075 -6.086
-4.549 -2.0445 -0.27703 -1.955
-4.921 0.1093 -0.03347 -1.676
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.205 0.04429 -5.023 1.2746
-1.561 0.07840 -3.326 -0.8480
-1.489 -0.03649 -1.474 -0.3213
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.031 0.505096 1.846 8.506
-7.481 -0.512891 3.528 3.494
-1.161 0.008222 1.894 2.245
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.66092 12.720 -1.455 17.325
1.16655 3.696 -3.737 6.670
0.08273 4.537 -1.700 4.539
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.952 0.04675 7.577 -1.3173
11.806 -0.31519 12.194 -1.0456
2.815 -0.19987 3.689 -0.7397
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.9323 -0.8048 0.4262 -0.251780
9.2519 -0.1719 -0.6330 0.004003
7.3187 0.3530 -1.0716 0.011055
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.5676 0.4246 0.3864 5.400
-0.7898 0.2954 0.3192 -3.610
-2.4401 0.0763 0.1537 -3.786
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.110795 -0.3548 -0.24741 -0.2329
-0.041905 -0.3289 -0.07717 0.5833
-0.007602 -0.2388 -0.80080 -0.8080
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.495 0.03022 -9.881 -1.152
-2.346 0.08964 -9.832 -1.616
-0.129 -0.03692 -9.915 -2.527
rnd_95776.volume rnd_95787.volume
-8.478 -8.836
-7.331 -4.691
-4.727 -2.604
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.156 3.847 13.76 9.49 12.89 1.831 3.847 9.928 11.31 8.902 4.876
[2,] 7.238 3.848 13.80 10.74 14.20 1.834 3.960 10.415 11.58 10.970 5.450
[3,] 7.469 3.859 13.95 11.79 14.91 1.921 4.242 10.551 11.75 11.134 5.530
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 9.277 4.467 7.853 8.061 7.902 7.985 6.606 12.23 9.944 15.75 5.490
[2,] 10.348 4.548 8.389 8.859 8.009 9.393 8.917 12.64 10.623 15.78 5.662
[3,] 11.154 4.687 8.770 9.294 8.040 9.892 9.608 13.27 11.072 15.85 5.727
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.43 10.86 2.630 9.981 9.635 6.323 8.821 2.450 9.29 6.940 3.242
[2,] 25.27 10.87 2.678 11.293 11.177 6.674 10.451 2.474 10.47 6.964 3.330
[3,] 25.37 12.14 2.786 13.403 11.846 6.932 11.356 2.509 11.58 7.110 3.475
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.776 7.956 8.048 7.537 6.033 5.059 2.032 4.740 2.131 6.123 6.384
[2,] 9.459 9.189 9.713 7.558 6.772 5.060 2.135 4.802 2.132 6.510 7.144
[3,] 10.549 9.839 10.185 7.558 6.911 5.062 2.164 4.840 2.134 6.665 7.464
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.591 3.103 6.291 6.532 6.219 3.564 7.862 5.441 3.146 6.008 5.681
[2,] 5.049 3.269 7.447 6.575 6.221 3.564 9.313 5.624 3.160 7.588 6.702
[3,] 5.203 3.304 7.702 6.826 6.528 3.574 9.919 5.881 3.163 9.006 7.546
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.712 4.415 5.535 2.134 5.821 2.539 4.612 4.536 5.160 6.201 3.001
[2,] 6.312 5.791 5.572 2.142 6.747 2.573 4.801 4.537 6.058 7.528 3.002
[3,] 7.298 7.253 5.575 2.142 7.406 2.598 5.157 4.540 6.178 7.782 3.003
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.595 4.170 8.248 2.652 8.339 7.645 7.872 9.146 8.222 8.239 7.301
[2,] 6.324 4.172 9.132 2.652 8.469 8.817 7.974 9.952 8.402 9.815 8.899
[3,] 6.455 4.220 9.661 2.677 8.727 8.918 8.029 10.053 8.838 10.097 9.726
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.705 6.712 4.807 8.003 3.340 3.175 2.534 5.315 4.422 10.44 9.929
[2,] 1.705 8.375 4.971 8.993 3.382 3.386 2.539 6.363 4.433 10.50 9.947
[3,] 1.708 9.159 5.031 9.706 3.387 3.568 2.542 6.495 4.439 10.51 10.780
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.875 3.854 3.798 4.072 4.755 3.173 1.135 12.04 18.54 10.56
[2,] 3.877 4.715 4.549 4.594 4.903 3.174 1.292 15.58 23.55 10.97
[3,] 3.878 4.727 4.561 4.602 5.028 3.175 1.441 17.98 24.42 12.56
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.087 4.885 17.47 12.05 16.37 2.325 4.885 12.61 14.36
[2,] 208.902 15.587 206.50 969.80 1150.85 20.051 180.810 606.13 482.88
[3,] 355.189 56.309 389.58 933.70 874.90 110.205 293.313 325.61 383.34
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 11.3 6.192 11.78 5.672 9.973 10.24 10.03 10.14 8.388
[2,] 1235.1 468.896 883.57 164.556 568.158 708.10 251.59 953.10 1154.030
[3,] 367.0 181.123 802.06 218.505 492.676 541.43 136.14 597.71 689.399
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.52 12.63 20.0 6.971 22.14 13.80 3.339 12.67 12.23
[2,] 617.97 719.73 198.9 267.178 3525.67 86.47 97.444 1017.74 1091.60
[3,] 777.78 601.45 283.5 165.539 433.99 1041.90 148.020 1390.70 756.28
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.03 11.2 3.111 11.8 8.813 4.116 11.14 10.1 10.22
[2,] 411.57 1080.0 67.292 928.2 112.188 146.696 679.56 885.9 1047.66
[3,] 360.86 855.8 80.393 955.1 275.489 191.544 900.09 677.6 590.45
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.571 7.661 6.424 2.58 6.019 2.706 7.775 8.106 5.83
[2,] 109.770 592.345 13.206 126.17 147.600 13.013 426.283 617.902 404.65
[3,] 12.000 266.349 30.397 68.36 117.264 16.242 274.660 416.500 242.28
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.941 7.989 8.295 7.897 4.526 9.984 6.909 3.995 7.63
[2,] 198.337 767.689 144.048 35.264 4.177 961.670 274.633 57.092 892.75
[3,] 91.373 378.344 353.293 381.289 50.261 657.616 331.267 24.454 934.58
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.214 7.254 5.607 7.028 2.710 7.392 3.224 5.857 5.761
[2,] 685.067 517.415 721.986 122.985 35.564 657.234 80.500 257.092 9.660
[3,] 667.825 705.653 841.386 38.533 7.477 588.537 69.165 362.501 33.123
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.552 7.874 3.811 7.104 5.295 10.47 3.367 10.59 9.708
[2,] 611.386 822.376 9.049 567.870 26.755 755.28 5.980 285.14 846.024
[3,] 234.105 379.901 15.406 249.227 122.742 607.43 70.060 405.75 257.891
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.996 11.61 10.44 10.46 9.272 2.165 8.523 6.104 10.16
[2,] 245.270 756.02 333.35 1027.43 980.245 7.810 965.075 244.168 790.24
[3,] 181.238 273.31 528.41 456.65 756.125 17.419 714.154 149.450 703.54
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.241 4.032 3.218 6.749 5.615 13.25 12.61 4.92 4.893
[2,] 103.039 226.687 31.074 674.010 58.840 227.05 116.69 24.11 523.565
[3,] 35.247 216.718 23.584 251.305 47.847 89.24 800.45 22.97 64.728
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.823 5.17 6.038 4.029 1.441 15.28 23.54 13.41
[2,] 482.293 410.00 230.138 18.392 119.116 1906.92 2799.34 571.16
[3,] 63.442 50.36 214.747 17.072 122.825 1728.34 1243.78 1176.44
[1] "--- VAR model 2017-10-05 05:01:00 completed"
[1] "Completed training sample: 2017-10-05 05:01:00 - 2017-10-05 13:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 05:31:00 - 2017-10-05 13:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8979 0.3963 15.17 -12.998
1.4968 0.2218 18.34 -3.689
0.9717 0.2233 19.12 1.619
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.056 1.6375 9.140 4.243
-12.179 0.9921 6.796 3.518
-2.613 0.7372 5.852 1.564
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6754 1.395 -2.162 -18.10
-1.6752 2.756 1.047 -16.51
-3.4159 1.979 -0.259 -15.41
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.240 -1.3001 -2.519 0.22850
-1.464 2.2883 -2.258 0.08728
-1.199 0.7534 -1.602 -0.23015
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.17020 1.1244 10.778 10.73
-0.24328 0.5050 11.850 13.19
0.09938 0.7896 8.343 10.69
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.19252 0.002666 16.543 -2.6816
0.02277 0.605951 3.835 -0.1181
-0.21930 0.025535 8.862 -0.2275
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.2362 -3.9672 -2.6994 1.9009
0.4677 5.2719 1.0392 0.3518
-0.2807 0.5235 0.7274 1.4915
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.494 -0.2384 -12.727 -2.447
-3.115 -0.7801 -3.724 -2.584
3.055 -0.2884 1.804 -1.674
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2909 -4.558 -1.517 -3.895
-2.7838 -6.974 -9.462 -6.836
-0.9358 -3.228 -3.041 -3.706
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.209116 -2.433 0.4455 0.02376
0.013058 3.135 -0.4961 0.02260
-0.007679 -5.625 1.1003 0.58597
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.593428 0.1413 5.0577 -3.960
0.357944 0.2537 0.4657 -4.165
-0.005471 -0.1221 -1.3649 -4.818
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.926 0.3061 -7.4198 -0.2766
2.921 0.1691 0.1172 1.4720
3.375 0.1314 -2.3797 0.2142
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.946 0.5820 -6.085 0.3290
4.856 -0.4104 -2.723 -0.8197
2.773 0.2424 -1.352 -1.2118
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2225 7.871 5.445 -10.584
-0.2301 -6.292 -4.313 6.773
-0.3553 -3.160 -2.480 -4.676
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.662 1.0767 0.4354 5.102
8.490 -0.5441 -0.0773 -10.921
-5.636 0.1642 0.1017 6.427
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.71370 2.7912 0.0374577 0.6748
-0.93014 -5.9320 0.2479088 1.7543
0.02223 0.8367 -0.0004822 -7.0707
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.1083 -0.1620 -2.974 2.1804
2.3414 -0.3370 2.018 0.8598
-6.2533 0.3001 -1.620 0.3501
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.8822 0.41915 -0.2867 -5.6019
0.3893 -0.18535 -2.1961 0.1771
2.2072 -0.04451 -1.1002 -1.7065
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4706 -0.3427 0.59003 4.33918
0.3913 0.3645 0.04818 -0.08937
0.2242 0.2798 0.16720 0.77621
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.0500 0.03857 5.8685 1.444
0.1396 0.09319 3.2235 1.216
0.2275 0.06838 0.8569 0.710
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.2629 0.9441 1.3109 -0.08747
5.1572 -0.2432 -0.6987 0.16271
0.5922 0.9489 -0.6308 0.03849
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.551 0.29264 0.3306 1.9526
1.004 0.08833 0.5576 3.1162
-0.686 0.05218 -0.1764 0.6175
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.14310 -2.3889 -2.7038 -2.5444
-0.09955 -0.4500 -0.8697 -1.0391
-0.03860 -0.4272 -0.8120 -0.8546
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.2504 -0.41387 -8.038 2.929
-3.9026 0.20991 -7.914 2.744
-0.5186 0.05311 -7.668 2.786
rnd_95776.volume rnd_95787.volume
-6.373 -5.2203
-11.121 4.5491
4.018 -0.2567
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.258 3.986 16.42 9.82 12.93 1.922 3.960 10.09 11.39 9.018 4.962
[2,] 7.339 3.986 16.45 11.10 14.28 1.926 4.077 10.56 11.68 11.096 5.565
[3,] 7.584 3.993 17.05 12.25 14.99 2.007 4.344 10.70 11.83 11.248 5.639
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 9.50 4.637 7.955 8.154 7.895 8.144 6.705 12.42 10.11 16.26 5.855
[2,] 10.61 4.691 8.524 8.957 8.004 9.494 9.146 12.83 10.78 16.27 6.009
[3,] 11.46 4.862 8.896 9.365 8.036 10.040 9.818 13.46 11.31 16.34 6.113
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.90 11.78 2.699 10.20 9.706 6.452 8.927 2.527 9.401 7.077 3.358
[2,] 25.66 11.94 2.753 11.78 11.590 6.816 10.582 2.549 10.568 7.117 3.440
[3,] 25.78 12.37 2.848 13.43 12.130 7.081 11.663 2.586 11.890 7.290 3.599
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.903 8.179 8.108 7.648 6.131 5.283 2.106 4.825 2.161 6.244 6.534
[2,] 9.612 9.361 9.758 7.664 6.903 5.283 2.212 4.880 2.162 6.645 7.300
[3,] 10.788 9.974 10.255 7.664 7.040 5.287 2.242 4.917 2.164 6.796 7.634
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.720 3.426 6.407 6.682 6.599 3.627 8.081 5.589 3.056 6.185 5.887
[2,] 5.179 3.445 7.676 6.727 6.605 3.627 9.508 5.794 3.152 7.809 6.998
[3,] 5.328 3.447 7.947 6.974 6.953 3.643 10.124 6.081 3.208 9.236 7.860
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.826 4.501 5.683 2.149 6.269 2.802 4.739 4.644 5.395 6.378 3.126
[2,] 6.433 5.971 5.713 2.156 7.181 2.930 4.936 4.644 6.214 7.620 3.127
[3,] 7.444 7.511 5.717 2.157 7.696 3.083 5.287 4.653 6.329 7.916 3.128
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.796 4.332 8.668 2.705 8.479 7.768 7.955 9.283 8.419 8.386 7.357
[2,] 6.668 4.332 9.631 2.705 8.607 8.900 8.060 10.084 8.605 9.929 9.037
[3,] 6.795 4.390 10.108 2.732 8.868 8.999 8.123 10.188 9.052 10.202 9.873
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.784 6.830 4.870 8.054 3.434 3.258 2.651 5.108 4.559 10.91 10.33
[2,] 1.784 8.573 5.038 9.075 3.477 3.483 2.657 6.593 4.566 10.97 10.35
[3,] 1.785 9.336 5.095 9.810 3.481 3.658 2.658 6.703 4.569 10.98 11.28
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.903 3.869 3.820 4.104 4.971 3.280 1.114 11.65 18.90 10.91
[2,] 3.905 4.752 4.590 4.637 5.110 3.283 1.221 15.13 24.16 11.51
[3,] 3.906 4.763 4.603 4.646 5.222 3.285 1.341 17.66 25.12 12.70
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.217 5.061 20.85 12.47 16.42 2.441 5.028 12.81 14.46
[2,] 187.262 4.796 162.43 889.14 1044.14 19.748 167.346 537.08 442.87
[3,] 328.362 40.128 776.53 890.53 779.18 97.498 257.645 297.16 328.66
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 11.45 6.3 12.06 5.888 10.1 10.35 10.03 10.34 8.515
[2,] 1111.82 433.3 813.94 122.118 526.4 637.68 226.16 839.23 1069.610
[3,] 317.07 156.7 744.34 220.185 438.0 470.20 123.72 561.60 613.644
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.77 12.84 20.65 7.435 24.0 14.95 3.427 12.96 12.33
[2,] 555.99 642.28 93.05 232.561 2985.0 338.05 94.021 1011.61 1089.16
[3,] 698.29 587.70 259.42 192.736 421.8 555.62 125.505 1108.50 615.22
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.193 11.34 3.208 11.94 8.986 4.264 11.31 10.39 10.3
[2,] 377.933 977.15 57.444 830.36 130.485 128.426 623.01 783.14 933.7
[3,] 330.163 843.30 75.468 936.78 271.315 182.228 842.45 592.27 542.0
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.712 7.785 6.708 2.675 6.127 2.744 7.929 8.297 5.993
[2,] 85.054 545.529 9.907 116.308 126.401 11.043 390.700 559.924 366.492
[3,] 8.905 237.608 35.361 62.664 103.182 17.126 245.497 383.936 215.690
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.35 8.136 8.485 8.379 4.606 10.26 7.098 3.881 7.854
[2,] 61.93 727.148 133.983 51.344 4.653 861.50 262.519 132.535 819.647
[3,] 23.96 353.731 316.433 373.642 58.562 598.26 317.595 103.237 848.231
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.476 7.397 5.715 7.217 2.729 7.961 3.558 6.018 5.897
[2,] 650.760 469.175 674.849 101.179 31.192 602.372 147.634 237.328 10.278
[3,] 615.390 644.246 783.309 37.884 7.661 475.712 164.782 325.756 49.728
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.851 8.1 3.970 7.359 5.501 11.01 3.435 10.77 9.864
[2,] 530.180 717.0 9.304 567.025 7.568 721.97 3.763 254.45 747.189
[3,] 207.019 368.9 16.086 225.394 122.190 527.80 65.893 367.00 229.077
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.1 11.79 10.69 10.65 9.343 2.265 8.673 6.184 10.23
[2,] 222.7 677.58 306.16 914.31 902.442 4.112 891.074 222.154 719.15
[3,] 174.4 249.99 483.39 403.36 683.686 8.364 635.574 130.365 640.58
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.361 4.137 3.367 6.487 5.79 13.86 13.11 4.956 4.914
[2,] 94.057 211.547 29.980 716.770 42.06 197.33 130.05 22.332 474.258
[3,] 26.025 192.617 14.502 208.231 30.56 90.10 771.93 18.820 57.342
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.851 5.212 6.312 4.166 1.415 14.79 24 13.86
[2,] 437.555 371.143 203.586 24.317 86.121 1661.35 2587 629.60
[3,] 58.964 48.900 185.418 15.348 95.252 1565.16 1184 922.13
[1] "--- VAR model 2017-10-05 05:31:00 completed"
[1] "Completed training sample: 2017-10-05 05:31:00 - 2017-10-05 13:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 06:01:00 - 2017-10-05 14:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8695 0.08631 18.26 -5.925
-0.6271 0.23581 24.94 -5.375
-0.8081 0.07765 15.50 0.715
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.8857 1.1671 7.646 5.005
-4.3449 0.6618 6.729 7.405
-4.1912 0.7811 6.149 4.760
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.106 -0.5107 1.657 -6.103
5.020 2.2525 0.700 -6.232
5.265 3.0024 1.511 -5.614
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.327 5.033 0.86198 -2.732
-2.986 1.607 -1.53720 -1.642
-3.348 4.040 -0.02732 -1.307
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.3204 6.7687 4.329 2.609
2.6351 0.3999 6.005 4.550
0.9836 1.2021 5.720 4.130
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.1361 0.111456 12.885 -2.2934
-0.5181 -0.125260 1.612 -0.0481
-0.2166 0.007165 8.119 -3.1150
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.454 -6.6678 -5.9073 1.6963
1.645 2.3172 -0.2344 1.5566
2.196 -0.6218 0.5684 0.6167
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.740 -0.4907 -2.432 -5.159
-4.886 -0.8464 -5.765 -4.178
1.140 -0.9688 1.400 -2.112
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4557 -5.201 -0.04409 1.447
-0.3360 -6.578 -4.40552 -2.441
-0.9715 -4.297 -3.92029 -5.498
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.16839 -4.653 1.9370 0.2872
-0.08245 7.809 -0.6423 -0.5972
-0.34506 -6.256 -0.3763 0.7276
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.444 -0.308143 -0.9688 -7.898
-1.351 -0.122324 0.2018 -7.566
-2.023 -0.009998 -1.2463 -5.307
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.2901 -1.09279 -6.875 -2.5752
0.3028 0.68108 -5.948 2.3263
0.9437 0.09845 -6.628 0.7578
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.863 0.1930 -17.140 5.994
3.462 0.5387 1.534 6.959
2.040 -0.3459 -6.436 6.876
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.0450 -11.533 -0.4078 -2.902
0.2932 -8.054 -12.4939 -6.659
-0.4836 -1.839 0.7474 -5.965
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.959 -0.6107 -0.2294 6.475
1.487 0.2429 -0.1034 -8.402
-13.508 -0.1912 -0.1587 -2.791
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.844 9.0525 0.16112 -5.611
-3.864 -7.6989 -0.55411 7.424
-4.136 0.8768 -0.04848 -8.324
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.981 0.082506 -2.6845 0.8791
9.515 -0.007853 2.2363 1.1759
-7.734 0.013622 0.0116 0.4768
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.793 0.016634 -1.562 -3.592
-7.605 0.162167 -1.882 -1.019
9.891 -0.004472 -1.098 -1.335
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.4820 -3.760 -1.778 -2.988
-0.8693 -2.309 -1.895 -3.031
-0.7004 -1.170 -1.116 -1.773
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.105 0.08834 -2.873 0.4414
-3.355 0.26869 -2.742 0.1911
-2.098 0.17892 -3.506 0.2561
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.659 0.17901 0.22782 0.31562
-2.081 0.11257 -3.49420 -0.03257
-2.098 0.02155 0.06171 -0.04085
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.600465 0.24350 -0.60829 6.951
0.850424 0.16277 0.07823 5.039
0.005256 0.09849 -0.25741 1.495
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.03534 1.8757 2.1615 2.0647
0.11102 0.1046 0.8411 0.5123
0.04696 0.4386 0.9397 1.0736
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.2075 -0.66309 -9.835 1.637
-5.0299 0.02877 -9.604 1.559
0.4098 0.30704 -9.795 1.545
rnd_95776.volume rnd_95787.volume
1.499 -3.9104
-16.424 0.9659
-4.203 -1.2262
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.132 4.119 17.44 9.70 12.98 2.072 3.993 10.06 11.42 8.885 4.939
[2,] 7.218 4.119 17.48 10.93 14.28 2.080 4.115 10.51 11.72 11.226 5.544
[3,] 7.426 4.125 18.23 12.15 14.95 2.163 4.399 10.59 11.87 11.398 5.623
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 8.059 4.645 7.895 8.061 7.795 8.162 6.711 12.86 10.14 16.29 5.914
[2,] 9.198 4.697 8.461 8.830 7.918 9.442 9.187 13.25 10.78 16.30 6.068
[3,] 10.052 4.880 8.845 9.270 7.954 9.969 9.805 13.84 11.30 16.39 6.167
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.79 10.79 2.771 10.16 9.684 6.529 8.593 2.587 9.619 7.059 3.387
[2,] 25.77 11.60 2.826 11.78 11.547 6.882 10.232 2.615 10.655 7.111 3.475
[3,] 25.88 12.50 2.920 13.53 12.091 7.152 11.403 2.648 11.947 7.291 3.611
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.722 8.256 7.986 7.573 6.195 5.472 2.156 5.015 2.185 6.250 6.528
[2,] 9.363 9.384 9.612 7.578 7.017 5.475 2.254 5.076 2.186 6.605 7.311
[3,] 10.450 9.954 10.095 7.578 7.153 5.477 2.284 5.117 2.188 6.786 7.651
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.806 3.163 6.378 6.897 6.823 3.653 8.229 5.883 3.077 6.345 5.986
[2,] 5.175 3.346 7.683 6.974 6.833 3.653 9.616 6.096 3.174 7.952 7.167
[3,] 5.339 3.377 7.972 7.285 7.252 3.668 10.284 6.393 3.236 9.378 7.990
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.854 4.574 5.897 2.204 6.467 2.887 4.991 4.822 5.508 6.590 3.163
[2,] 6.547 6.202 5.943 2.211 7.336 3.040 5.178 4.822 6.423 8.030 3.164
[3,] 7.544 7.801 5.944 2.211 7.901 3.197 5.544 4.831 6.531 8.297 3.164
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.949 4.759 8.431 2.769 8.460 7.791 8.084 9.171 8.654 8.405 7.415
[2,] 6.971 4.760 9.433 2.770 8.580 8.818 8.193 10.020 8.858 9.812 9.225
[3,] 7.093 4.820 10.041 2.806 8.826 8.917 8.227 10.106 9.228 10.099 9.995
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.833 6.909 4.948 7.995 3.517 3.319 2.760 5.233 4.698 11.09 10.45
[2,] 1.833 8.718 5.123 9.049 3.560 3.552 2.768 6.759 4.704 11.13 10.49
[3,] 1.834 9.445 5.173 9.724 3.564 3.734 2.769 6.845 4.706 11.15 11.46
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.927 3.960 3.909 4.176 5.118 3.503 0.9917 11.22 19.12 10.84
[2,] 3.930 4.806 4.653 4.692 5.243 3.512 1.0525 14.54 24.75 11.46
[3,] 3.933 4.815 4.664 4.701 5.367 3.512 1.1407 16.91 25.76 12.67
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.057 5.23 22.15 12.32 16.48 2.631 5.071 12.78 14.5
[2,] 173.504 10.91 185.03 786.51 931.60 28.512 155.072 474.30 408.0
[3,] 272.635 34.08 808.67 829.40 692.99 93.069 243.106 204.11 300.0
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 11.28 6.271 10.23 5.898 10.03 10.24 9.898 10.36 8.522
[2,] 1072.48 393.788 693.07 109.309 475.68 563.28 217.787 742.00 980.522
[3,] 308.92 146.357 633.70 206.885 402.84 441.13 117.792 500.20 535.557
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.33 12.88 20.69 7.51 23.86 13.7 3.519 12.9 12.3
[2,] 501.08 572.95 82.83 212.06 2755.44 664.2 86.482 931.8 983.1
[3,] 622.39 529.46 269.59 172.59 384.44 729.7 115.120 1038.8 560.1
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.291 10.91 3.286 12.21 8.964 4.301 11.08 10.48 10.14
[2,] 340.355 868.11 59.229 716.51 134.569 121.916 532.10 697.08 836.07
[3,] 304.179 786.75 65.077 844.69 251.688 153.162 725.57 519.23 482.44
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.617 7.867 6.949 2.738 6.368 2.774 7.936 8.289 6.103
[2,] 40.515 515.228 29.835 102.985 122.626 10.688 334.034 514.518 299.611
[3,] 12.904 216.389 19.916 57.288 101.352 15.706 243.791 352.901 205.740
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.016 8.099 8.758 8.664 4.639 10.45 7.47 3.907 8.057
[2,] 170.720 669.676 161.919 57.988 5.017 777.55 249.82 121.830 749.141
[3,] 71.036 332.115 329.089 379.505 52.576 569.85 301.18 98.479 777.135
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.602 7.433 5.808 7.488 2.799 8.212 3.666 6.338 6.123
[2,] 615.973 458.116 654.640 114.923 27.662 541.429 149.028 215.722 7.219
[3,] 552.092 585.926 739.640 18.032 2.240 458.565 154.471 309.300 46.588
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.994 8.368 4.017 7.554 6.044 10.71 3.516 10.74 9.893
[2,] 516.498 717.127 6.347 568.143 13.183 661.40 7.714 223.57 645.689
[3,] 184.697 326.663 7.496 204.248 118.510 537.69 70.242 323.12 207.394
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.27 11.65 10.99 10.67 9.416 2.328 8.773 6.283 10.15
[2,] 208.30 630.87 295.62 791.36 857.817 2.805 831.006 207.764 662.31
[3,] 117.78 205.22 404.32 373.89 601.407 6.931 568.081 111.986 556.37
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.465 4.215 3.504 6.646 5.965 14.09 13.27 4.987 5.029
[2,] 86.968 197.744 33.848 668.479 39.981 149.73 136.19 23.026 425.671
[3,] 25.515 180.118 9.091 168.877 21.426 94.40 722.20 24.555 46.367
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.964 5.302 6.5 4.448 1.259 14.25 24.28 13.77
[2,] 394.407 334.430 177.6 40.419 55.102 1443.69 2456.27 580.86
[3,] 51.683 45.257 179.5 4.678 68.755 1350.10 1117.77 845.87
[1] "--- VAR model 2017-10-05 06:01:00 completed"
[1] "Completed training sample: 2017-10-05 06:01:00 - 2017-10-05 14:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 06:31:00 - 2017-10-05 14:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3020 -1.2066 2.6839 3.760
1.0237 -0.4266 0.9844 4.398
0.5407 0.4041 0.5169 -2.383
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.796 3.309 7.527 4.783
1.644 3.008 6.218 2.310
4.040 2.321 5.231 2.178
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.076 2.318 0.9057 -14.54
2.069 3.167 1.6216 -10.72
2.526 1.623 1.4458 -14.52
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.642 0.04517 -3.225 -1.8089
-2.383 1.44167 -1.973 -1.0225
-2.869 -1.27413 -1.317 -0.8814
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.844 -0.3355 -0.7894 -2.4857
-2.533 -7.4344 -6.6849 -0.7325
-1.709 -1.2525 -3.2467 -2.6412
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.1284 -1.1761 -8.9160 -3.654
-0.2414 -0.1492 2.1585 -2.643
-0.2315 -0.1721 0.7106 1.909
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9771 2.580 7.106 4.185
-0.6871 -4.473 -2.276 4.026
-0.3430 1.837 -0.963 2.997
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.482 -0.8572 -4.948 18.93
3.325 -0.7703 6.085 18.89
-3.998 -0.6254 -1.791 16.85
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4577 -15.2024 -6.1319 3.761
1.2270 5.7054 0.2433 -7.138
0.5274 -0.9853 3.4144 4.595
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.7152 0.1172 2.2908 1.3680
3.0455 -3.2486 1.3061 0.1293
0.9935 14.3598 0.4628 -0.2738
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.005 0.2271 3.1847 -0.6801
4.635 -0.1636 0.9952 -1.6119
3.756 -0.0501 0.6252 -2.2738
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.2965 0.008992 -2.897 -4.5242
-0.9824 0.027029 -2.013 2.6665
-0.4554 0.050155 -2.684 0.6219
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.518 -0.7891 -4.708 11.531
3.642 -1.1039 4.724 12.088
3.596 0.1476 -5.655 9.572
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2494 -10.991 -7.280 13.506
0.1492 1.853 -3.283 -9.026
-0.1282 -1.190 3.533 1.445
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
29.470 0.4785 -0.08802 8.720
-11.911 0.1245 0.07135 17.218
-1.022 0.4372 -0.01041 -9.588
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.679 -4.603 -0.15498 -6.1389
-3.550 13.970 0.01742 0.1042
-4.713 -2.858 0.05259 12.8477
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.046 -0.02069 -5.935 -0.16959
-4.354 -0.05616 -3.799 -0.07133
14.745 0.05503 7.247 -0.06705
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.962 -0.14261 2.809 6.097
-6.669 0.16266 2.991 2.306
-1.916 0.02288 1.769 2.136
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.049 5.641 10.658 5.884
3.743 2.215 9.155 3.125
2.860 2.424 5.868 2.044
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.813 -0.2217 -1.882 2.954
7.018 0.2625 3.137 2.184
3.791 0.3257 1.328 1.103
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.593 0.2672 -1.4466 -0.118515
3.501 0.4259 -0.8512 -0.007251
3.466 0.2226 1.1624 -0.012053
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
13.594 -0.28275 1.6494 1.6087
-3.675 -0.08407 1.2432 -0.7998
7.478 0.11575 0.4321 4.4766
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.01569 -2.21603 -1.56507 -1.2170
-0.11770 0.16265 0.09665 0.2694
-0.02216 0.02533 0.50620 0.3401
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.78565 -0.2484 -9.256 1.2225
10.79158 -0.2418 -9.069 0.9687
-0.01385 0.1645 -8.749 0.8969
rnd_95776.volume rnd_95787.volume
17.497 -4.033
-16.168 -2.777
5.198 1.895
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.117 4.217 18.60 9.465 12.93 2.273 4.061 9.808 10.78 8.823 4.920
[2,] 7.213 4.219 18.64 10.818 14.19 2.297 4.181 10.200 11.07 10.684 5.427
[3,] 7.430 4.223 19.35 12.175 14.96 2.384 4.498 10.353 11.18 10.834 5.495
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.681 4.579 7.709 7.918 7.779 8.049 6.558 13.69 10.27 16.28 6.156
[2,] 8.680 4.658 8.247 8.643 7.918 9.423 8.881 14.02 10.84 16.29 6.306
[3,] 9.418 4.838 8.579 8.964 7.958 9.790 9.552 14.63 11.37 16.38 6.403
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.01 10.79 2.877 10.13 9.71 6.622 8.562 2.661 9.718 7.547 3.400
[2,] 26.16 11.53 2.919 11.87 11.56 6.949 10.040 2.695 10.666 7.709 3.513
[3,] 26.28 12.76 3.013 13.71 12.12 7.190 11.220 2.723 11.822 8.092 3.629
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.789 8.405 7.832 7.945 6.247 5.714 2.217 5.217 2.219 6.104 6.856
[2,] 9.494 9.486 9.571 7.997 7.180 5.714 2.311 5.344 2.220 6.495 7.630
[3,] 10.660 10.077 10.074 8.028 7.371 5.715 2.342 5.423 2.223 6.672 8.019
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.963 3.398 6.431 7.041 7.101 3.576 8.492 6.282 3.307 6.577 6.160
[2,] 5.345 3.409 7.868 7.153 7.115 3.660 9.938 6.566 3.318 8.296 7.579
[3,] 5.491 3.411 8.170 7.491 7.589 3.701 10.743 6.876 3.319 9.636 8.357
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.853 4.517 6.091 2.211 6.601 2.970 5.219 5.032 5.605 6.654 3.16
[2,] 6.680 6.533 6.130 2.218 7.447 3.147 5.401 5.034 6.596 8.319 3.16
[3,] 7.741 8.294 6.131 2.218 8.179 3.312 5.736 5.035 6.707 8.567 3.16
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.072 5.031 8.080 2.802 8.284 7.746 8.395 9.231 8.785 8.234 7.365
[2,] 7.066 5.031 9.034 2.802 8.452 8.685 8.549 9.977 9.024 9.732 9.232
[3,] 7.197 5.083 10.097 2.839 8.680 8.790 8.607 10.082 9.473 10.008 9.918
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.925 6.863 5.027 7.870 3.592 3.411 2.880 5.150 4.757 11.23 10.50
[2,] 1.926 8.529 5.209 8.858 3.642 3.666 2.891 6.735 4.765 11.26 10.53
[3,] 1.927 9.246 5.267 9.562 3.644 3.848 2.891 6.875 4.767 11.29 11.35
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.938 4.030 3.966 4.233 5.302 3.560 1.029 9.74 19.35 11.09
[2,] 3.940 4.822 4.661 4.684 5.443 3.573 1.089 12.15 25.30 11.74
[3,] 3.945 4.829 4.671 4.693 5.628 3.574 1.179 13.53 26.41 13.06
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.037 5.355 23.62 12.02 16.42 2.886 5.157 12.45 13.69
[2,] 160.772 13.949 171.45 716.32 799.47 45.322 135.867 383.49 343.83
[3,] 243.810 28.089 709.10 764.02 645.79 87.299 227.078 242.28 219.49
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 11.2 6.248 9.754 5.814 9.789 10.05 9.878 10.22 8.328
[2,] 824.2 313.302 552.874 117.074 400.965 474.04 201.667 670.19 819.005
[3,] 245.6 117.652 499.886 179.174 323.300 325.25 109.952 363.31 480.976
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 17.38 13.04 20.67 7.817 24.14 13.71 3.653 12.87 12.33
[2,] 416.32 473.77 90.70 187.188 2458.53 554.85 68.076 844.83 857.71
[3,] 570.80 469.30 239.70 151.725 341.35 746.20 102.085 938.04 497.06
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.408 10.87 3.379 12.34 9.584 4.317 11.16 10.67 9.945
[2,] 288.217 717.23 58.166 601.18 215.244 121.256 491.30 601.36 752.394
[3,] 252.895 685.09 54.075 697.49 336.272 124.673 662.89 465.30 429.990
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.09 7.933 7.255 2.815 6.625 2.818 7.751 8.706 6.302
[2,] 124.52 484.170 11.193 89.144 158.257 8.532 303.469 457.946 271.499
[3,] 96.73 228.162 12.603 52.477 126.598 15.774 208.676 337.410 172.017
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.315 8.167 8.941 9.017 4.541 10.78 7.977 4.199 8.352
[2,] 37.611 620.027 172.558 61.337 106.286 705.95 261.487 36.179 691.446
[3,] 15.620 300.750 304.281 360.968 75.734 558.38 278.999 13.797 670.626
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.823 7.433 5.736 7.734 2.807 8.382 3.772 6.627 6.39
[2,] 603.893 440.243 645.435 94.472 25.197 471.395 142.069 190.359 20.01
[3,] 481.546 535.105 698.847 16.053 2.392 462.867 141.162 264.316 13.06
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.118 8.45 4.012 7.71 6.388 10.26 3.558 10.52 9.836
[2,] 475.594 682.93 3.503 494.23 5.794 552.65 7.708 229.29 537.175
[3,] 166.027 280.18 3.820 187.62 99.260 616.96 62.275 270.39 185.779
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.66 11.72 11.16 10.46 9.353 2.445 8.715 6.383 9.993
[2,] 221.27 517.86 281.91 709.55 761.209 2.952 692.629 186.955 556.063
[3,] 136.68 198.47 394.62 319.44 496.087 11.058 488.321 106.820 492.753
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.561 4.332 3.657 6.539 6.04 14.26 13.34 5.001 5.117
[2,] 82.586 183.727 33.659 593.745 38.84 112.75 103.80 18.966 362.191
[3,] 19.129 159.778 4.584 188.689 20.75 118.47 579.08 27.655 36.744
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.036 5.375 6.733 4.521 1.306 12.37 24.57 14.08
[2,] 334.986 274.436 168.509 42.158 48.805 993.55 2230.40 529.63
[3,] 41.862 39.348 195.642 13.634 61.813 814.60 1035.78 780.33
[1] "--- VAR model 2017-10-05 06:31:00 completed"
[1] "Completed training sample: 2017-10-05 06:31:00 - 2017-10-05 14:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 07:01:00 - 2017-10-05 15:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8033 -0.4260 7.2249 16.97
1.6990 -0.2076 -0.1952 13.42
1.6935 0.6606 1.3948 10.64
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
8.851 0.8292 7.514 0.6643
14.091 2.0657 5.569 -0.6846
13.163 1.2537 5.608 0.8562
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.2931 4.8989 2.7451 -15.25
-0.9955 0.1509 0.8121 -11.34
3.6082 0.2530 -0.2665 -15.69
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.745 -5.375 -4.784 -1.4077
-2.786 -3.128 -3.905 -0.6398
-3.729 -1.504 -2.682 -0.8347
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.699 -7.729 -11.438 -6.469
-9.781 -11.159 -9.471 -4.656
-7.401 -10.599 -11.222 -5.841
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.8766 -1.4440 7.254 5.916
0.4078 -0.6307 8.505 7.191
0.2477 -0.2382 2.878 5.455
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.5717 5.819 13.985 3.022
-1.3784 4.772 6.495 1.208
-0.9612 5.983 8.705 1.264
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
16.380 0.8695 10.45 21.27
9.828 0.2768 12.43 17.98
6.312 0.5832 6.18 14.32
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.7789 7.704 3.058 7.644
2.0961 14.360 10.508 7.249
2.2977 7.091 9.361 11.575
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.154 -4.678 3.769 -0.1846
9.717 -4.701 2.037 -0.7087
7.203 -2.298 2.435 -0.6749
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
8.674 0.03027 1.732 -2.668
8.925 -0.10634 1.725 -4.412
6.100 -0.25451 3.130 -4.190
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.663 0.085380 -14.127 -1.2465
-3.463 0.072707 -6.332 2.2535
-3.700 0.006362 -8.113 0.6287
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.0903 -0.33556 -15.852 14.71
1.3185 0.33911 -4.334 18.77
-0.1518 -0.01452 -6.290 15.21
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.04856 -3.537 2.403 0.3385
0.11300 -11.365 -11.284 -1.9898
0.03543 -6.322 -3.683 -8.1368
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.779 -1.1839 -0.29024 -4.0274
2.960 0.8367 0.04758 -1.7066
-12.475 0.2850 -0.03055 -0.2237
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.805 -5.904 -0.002976 -10.016
-2.705 -2.361 0.035272 -1.595
-1.554 1.575 0.025213 -2.055
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.646 -0.21245 6.919 2.909
-5.102 0.05207 -5.678 2.364
-2.510 -0.08652 0.418 1.163
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
19.986 0.21085 2.560 1.822
-8.029 -0.08430 1.795 1.508
-2.976 -0.03267 1.020 1.232
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.539 4.428 13.272 11.057
5.002 1.809 11.167 3.673
3.735 3.290 8.582 1.910
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.008 0.54991 -2.7619 3.422
7.565 0.86631 4.5353 3.067
3.814 0.03569 -0.7722 2.463
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.590 1.074 1.107 0.05986
5.637 1.373 -2.884 -0.04464
1.610 1.002 -1.133 -0.04173
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.9284 0.12808 10.325 0.3171
-3.3113 -0.07492 7.486 0.8866
-0.7300 0.39955 4.477 3.1715
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2480 -1.3730 -1.8014 -1.9663
-0.1163 -0.4443 -0.6155 -1.1510
-0.0251 -0.2558 -0.6946 -0.6427
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.0032 0.347236 -10.78 -0.2577
-2.6336 -0.284572 -10.78 -1.1049
0.6629 0.008813 -10.55 -2.1208
rnd_95776.volume rnd_95787.volume
-14.670 6.431
-22.569 8.372
-4.881 6.017
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.261 4.392 19.76 8.995 12.64 2.438 4.122 8.909 10.57 8.708 4.786
[2,] 7.346 4.392 19.79 10.177 14.03 2.455 4.253 9.348 10.71 10.231 5.272
[3,] 7.526 4.398 20.49 11.816 14.69 2.541 4.585 9.488 10.87 10.424 5.320
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.625 4.448 7.792 8.019 7.888 7.855 6.604 13.61 10.29 15.93 6.113
[2,] 8.613 4.518 8.326 8.700 8.020 9.129 8.824 13.92 10.81 15.93 6.237
[3,] 9.387 4.719 8.674 8.994 8.067 9.535 9.476 14.41 11.25 16.08 6.328
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.85 10.68 2.924 9.892 9.221 6.676 7.882 2.625 9.243 7.699 3.278
[2,] 25.76 11.39 2.972 11.573 11.363 6.960 9.569 2.651 10.042 7.949 3.330
[3,] 25.90 12.61 3.071 13.255 11.890 7.174 10.971 2.670 11.590 8.397 3.434
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.570 8.258 7.539 8.042 6.386 5.888 2.198 5.004 2.245 5.748 6.646
[2,] 9.222 9.441 9.274 8.239 7.163 5.899 2.287 5.123 2.245 6.125 7.499
[3,] 10.411 10.024 9.813 8.339 7.365 5.916 2.313 5.174 2.248 6.261 7.955
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.051 3.306 6.548 7.293 7.209 3.758 8.407 6.674 3.283 6.707 5.931
[2,] 5.370 3.316 7.973 7.400 7.227 3.758 10.060 7.023 3.292 8.317 7.749
[3,] 5.516 3.316 8.285 7.694 7.726 3.764 10.866 7.298 3.294 9.891 8.511
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.905 4.433 6.119 2.177 6.767 3.083 5.264 5.020 5.708 7.137 3.24
[2,] 6.831 6.760 6.166 2.188 7.503 3.240 5.504 5.023 6.661 8.699 3.24
[3,] 7.926 8.496 6.166 2.188 8.559 3.412 5.797 5.024 6.797 8.971 3.24
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.216 5.229 8.367 2.803 8.066 7.403 8.490 9.48 8.624 8.089 7.498
[2,] 7.265 5.231 9.662 2.803 8.259 8.242 8.715 10.23 9.006 9.740 9.344
[3,] 7.431 5.319 10.493 2.819 8.429 8.326 8.804 10.37 9.600 10.005 9.983
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.004 6.967 4.931 7.955 3.624 3.457 2.965 5.449 4.851 11.69 10.43
[2,] 2.004 8.384 5.125 8.917 3.683 3.701 2.975 6.867 4.855 11.84 10.48
[3,] 2.010 9.141 5.218 9.561 3.684 3.888 2.975 6.964 4.857 12.03 11.06
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.853 3.932 3.865 4.179 5.268 3.611 1.063 2.821 19.43 10.95
[2,] 3.858 4.666 4.472 4.181 5.422 3.628 1.125 3.040 25.62 11.67
[3,] 3.862 4.677 4.487 4.605 5.628 3.632 1.219 3.164 26.69 12.84
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.221 5.577 25.09 11.42 16.05 3.096 5.234 11.31 13.43
[2,] 156.563 6.721 167.08 670.12 856.21 39.913 147.404 398.92 240.82
[3,] 230.461 33.275 748.33 845.02 615.40 92.316 241.355 227.95 257.82
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 11.06 6.077 9.682 5.648 9.894 10.18 10.02 9.975 8.386
[2,] 755.98 311.376 563.794 111.923 413.020 474.76 204.39 654.820 823.816
[3,] 281.13 99.949 525.371 191.890 342.767 321.44 122.39 387.212 486.217
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 17.29 13.07 20.22 7.763 23.93 13.57 3.713 12.56 11.71
[2,] 407.10 464.32 25.99 173.835 2472.55 557.12 74.702 845.66 934.82
[3,] 527.65 437.22 311.65 150.556 368.54 762.19 109.148 909.44 492.79
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.477 10.01 3.333 11.74 9.776 4.163 10.88 10.49 9.574
[2,] 277.069 763.75 52.506 552.64 278.739 82.029 479.43 643.87 760.102
[3,] 244.948 755.51 44.396 814.41 380.843 118.290 680.07 474.51 451.451
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.21 8.109 7.476 2.792 6.355 2.850 7.299 8.439 6.413
[2,] 252.07 456.694 52.450 88.847 154.550 5.283 297.860 488.998 256.659
[3,] 181.35 241.531 61.993 48.402 102.245 16.947 182.698 373.841 177.720
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.198 8.314 9.261 9.155 4.772 10.68 8.475 4.169 8.517
[2,] 35.981 640.304 176.434 71.078 6.175 777.87 308.110 33.692 692.190
[3,] 7.674 317.259 296.904 384.829 28.141 578.14 279.394 17.048 753.582
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.532 7.499 5.629 7.770 2.765 8.593 3.915 6.684 6.375
[2,] 701.796 483.231 718.357 107.731 30.407 456.196 140.192 226.116 24.652
[3,] 495.568 565.839 724.340 7.001 4.031 579.778 150.563 256.231 14.560
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.249 9.063 4.115 7.893 6.64 10.62 3.559 10.24 9.401
[2,] 483.083 700.033 4.595 529.216 23.16 680.22 4.993 250.13 509.730
[3,] 191.167 308.580 3.774 220.231 135.20 575.84 41.456 236.86 166.309
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.78 12.04 10.95 10.27 9.522 2.545 8.847 6.261 10.1
[2,] 277.29 543.05 365.20 763.69 784.816 3.162 656.457 197.133 566.9
[3,] 176.43 233.19 467.99 321.61 494.502 22.268 512.774 138.006 485.9
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.602 4.39 3.765 6.919 6.16 14.84 13.25 4.893 4.993
[2,] 92.840 185.84 33.509 588.344 29.61 262.14 140.54 27.795 353.489
[3,] 13.339 167.89 6.882 162.772 20.53 303.74 496.79 25.951 46.693
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.908 5.307 6.689 4.585 1.35 3.582 24.68 13.9
[2,] 316.519 18.786 180.800 49.801 51.82 159.425 2348.90 568.5
[3,] 52.356 271.533 212.500 23.238 66.05 123.628 1055.11 754.6
[1] "--- VAR model 2017-10-05 07:01:00 completed"
[1] "Completed training sample: 2017-10-05 07:01:00 - 2017-10-05 15:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 07:31:00 - 2017-10-05 15:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.09804 0.4308 3.7697 16.807
0.68576 0.2032 0.4538 16.081
0.53800 0.4928 0.8033 8.449
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
8.367 -1.518 0.2013 -1.171
11.643 -2.940 1.1874 -2.477
14.650 -2.105 1.4279 -2.431
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.9317 -3.637 -3.9528 -25.49
-1.4439 -1.766 -0.1079 -23.21
-1.9987 -2.132 -0.8705 -24.22
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2153 -11.647 -12.728 -0.9704
0.6927 -4.892 -7.330 -0.3973
0.9128 -6.371 -6.317 -0.2427
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.840 -5.735 1.3464 -1.521
-10.872 -10.720 -0.4304 2.842
-8.698 -9.988 -2.6843 2.283
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.6866 -0.69153 9.951 8.817
1.6745 -0.37611 13.902 8.436
0.7902 -0.07338 8.089 7.904
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.06629 14.233 17.874 1.860
0.45471 4.963 8.082 1.241
0.79003 10.778 7.523 1.234
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
19.28 1.11131 7.89 22.76
14.89 0.01592 16.25 24.56
6.24 -0.00457 8.21 24.99
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.004 0.1554 9.847 10.646
1.533 15.8359 13.331 1.592
1.823 8.8035 15.013 15.596
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.514 4.263 3.017 -0.28371
-5.362 1.224 1.952 0.41285
-3.763 -8.342 1.697 0.09198
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.844 -0.14183 2.981 -0.9494
3.000 -0.08895 2.923 -1.6357
4.705 -0.06960 2.774 -0.7886
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.242 -0.04687 -0.5379 1.3998
2.542 -0.05699 -0.8518 1.1175
2.118 -0.06429 -1.0360 0.5263
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.340 -0.157293 -0.5872 7.319
3.828 0.037457 -2.5501 7.677
2.491 -0.004187 2.1927 6.728
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.0404 11.7695 12.4935 3.369
-0.5665 -5.0940 -0.5848 10.274
0.3508 0.3634 -1.8396 -4.526
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-16.500 0.1704 0.093439 -0.3603
13.519 -0.0941 0.055489 -4.7776
-1.011 0.1744 -0.001354 9.8373
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.361 -0.2146 -0.3660 17.901
-5.014 -10.2660 -0.4589 -2.645
-4.732 7.2976 -0.2674 -5.984
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
22.0750 0 -1.038 -0.6660
0.5393 0 4.912 0.2521
-9.9508 0 -5.787 0.4030
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-12.52 -0.14864 -2.6594 -3.75856
20.15 -0.01737 -0.2165 0.58935
-1.01 0.02076 -2.0970 -0.09473
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8040 -7.898 3.334 -3.478
-0.5360 -4.053 3.420 -3.213
-0.7007 -1.108 5.544 -2.147
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.524 -0.2721 -10.267 3.311
-2.711 0.3818 -3.664 3.352
-1.423 0.2711 -3.142 3.327
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.558 -0.2605 4.1457 -0.04904
-3.235 -0.1345 0.3620 -0.09517
-2.843 -0.1594 -0.6972 0.04484
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.9863 1.6028 3.950 -2.115
1.9331 1.9754 2.985 -2.660
-3.6520 0.5958 2.038 -1.271
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.28807 -0.6405 -0.9673 -1.2645
-0.32370 -0.1768 -0.3817 -0.4790
-0.08729 -0.1170 -0.2298 -0.6438
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.07517 0.73406 -11.60 0.5712
-8.01756 0.02658 -12.16 1.6140
4.96859 -0.23554 -12.29 -0.1703
rnd_95776.volume rnd_95787.volume
-11.3597 9.626
7.0899 6.760
0.3804 7.050
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.232 4.539 20.08 8.501 13.23 2.703 4.046 8.922 9.832 8.275 4.566
[2,] 7.323 4.539 20.10 10.019 14.58 2.704 4.160 8.983 9.834 10.201 4.994
[3,] 7.522 4.549 20.70 11.739 15.44 2.873 4.477 9.013 9.847 10.239 5.008
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.988 4.406 7.479 7.959 7.521 7.691 6.453 13.38 10.17 15.08 6.030
[2,] 8.563 4.440 8.218 8.631 7.601 8.697 8.330 13.71 10.69 15.08 6.082
[3,] 9.312 4.639 8.594 9.042 7.617 9.087 8.847 14.14 11.10 15.22 6.136
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.81 10.47 2.956 9.336 8.869 6.720 7.531 2.650 8.853 7.525 3.344
[2,] 25.49 11.19 3.001 11.115 11.238 6.921 9.504 2.663 9.836 7.871 3.450
[3,] 25.56 12.43 3.095 12.994 11.819 7.101 10.863 2.677 11.444 8.276 3.562
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.366 7.862 7.368 8.564 6.489 5.924 2.173 5.135 2.208 5.425 6.565
[2,] 9.090 9.118 9.015 8.982 7.265 5.945 2.261 5.244 2.209 5.981 7.600
[3,] 10.442 9.881 9.689 9.276 7.431 5.969 2.286 5.332 2.213 6.075 8.130
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.295 3.253 6.491 7.417 7.295 3.758 7.956 6.784 3.119 6.747 5.798
[2,] 5.416 3.265 7.822 7.518 7.319 3.758 9.862 7.154 3.222 8.218 7.709
[3,] 5.598 3.266 8.155 7.784 7.853 3.759 10.704 7.450 3.306 9.762 8.547
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.969 4.004 6.104 2.144 7.420 3.176 5.388 5.166 5.680 7.285 3.216
[2,] 6.890 6.919 6.151 2.147 7.512 3.338 5.535 5.167 6.699 8.748 3.216
[3,] 7.909 8.351 6.151 2.149 8.660 3.539 5.975 5.170 6.803 8.983 3.216
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.198 5.124 10.45 2.914 7.994 7.593 8.437 9.435 8.337 7.885 7.548
[2,] 8.026 5.133 11.45 2.916 8.200 8.321 8.654 10.188 8.714 9.637 9.487
[3,] 8.161 5.223 12.16 2.927 8.296 8.416 8.768 10.314 9.148 9.879 10.036
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.024 6.821 4.758 8.045 3.683 3.534 3.028 5.768 5.123 11.61 10.46
[2,] 2.024 8.467 5.015 8.989 3.736 3.781 3.041 6.992 5.136 11.80 10.59
[3,] 2.028 9.292 5.121 9.786 3.738 3.990 3.042 7.066 5.139 12.01 10.96
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.651 3.768 3.748 3.956 5.243 3.532 1.072 2.491 19.72 10.79
[2,] 3.651 4.300 4.275 3.957 5.370 3.567 1.131 2.626 26.64 11.52
[3,] 3.660 4.300 4.279 4.258 5.584 3.571 1.215 2.674 27.73 12.63
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 9.183 5.764 25.5 10.8 16.8 3.432 5.138 11.33 12.49 10.51
[2,] 164.229 7.409 132.7 755.7 874.3 10.136 137.845 148.98 25.29 850.29
[3,] 244.989 42.580 705.7 872.0 722.0 138.375 235.903 104.87 73.83 126.87
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19]
[1,] 5.798 8.874 5.595 9.498 10.11 9.55 9.766 8.194 17.0
[2,] 288.277 705.395 78.368 485.539 476.12 157.31 578.981 750.999 423.7
[3,] 54.511 521.715 191.457 358.272 384.23 70.33 375.376 424.898 492.6
[,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 12.91 19.15 7.657 22.61 13.29 3.754 11.86 11.26 8.533
[2,] 471.56 15.69 113.556 2599.31 563.78 73.561 859.89 983.89 236.002
[3,] 426.74 294.34 115.895 286.94 771.03 107.691 959.46 521.84 226.810
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 9.564 3.365 11.24 9.556 4.246 10.62 9.984 9.357 10.87
[2,] 826.256 37.264 610.91 328.893 120.930 506.54 658.183 740.436 386.19
[3,] 750.096 39.042 833.87 364.479 126.837 732.74 542.877 506.285 330.10
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 8.24 7.523 2.759 6.52 2.804 6.889 8.336 6.724 4.131
[2,] 465.61 71.500 89.131 151.72 10.079 358.965 545.806 161.982 39.333
[3,] 223.19 76.343 48.333 137.46 18.895 151.765 411.881 202.253 12.642
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 8.243 9.418 9.263 4.772 10.1 8.615 3.961 8.567 7.362
[2,] 622.105 175.018 84.401 6.018 830.8 323.843 115.192 668.938 724.245
[3,] 328.806 287.711 406.020 13.707 593.2 296.050 105.770 751.162 526.113
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 7.58 5.085 7.752 2.722 9.422 4.033 6.842 6.559 7.212
[2,] 490.56 804.363 107.383 16.721 167.168 146.401 180.897 17.496 506.289
[3,] 553.69 666.508 14.870 13.548 614.315 167.511 320.596 25.806 169.557
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 9.251 4.084 9.141 6.507 13.27 3.701 10.15 9.642 10.71
[2,] 690.379 4.842 506.019 43.351 668.96 12.547 260.53 485.288 275.21
[3,] 291.231 3.239 210.924 137.494 581.99 36.983 179.79 179.950 200.50
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 11.98 10.59 10.01 9.585 2.571 8.662 6.041 10.22 4.677
[2,] 548.12 361.81 789.90 819.264 2.296 714.953 225.979 571.68 89.533
[3,] 228.91 396.86 309.94 466.892 18.178 545.690 147.795 551.19 18.038
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.488 3.845 7.324 6.505 14.74 13.29 4.636 4.785 4.759
[2,] 191.617 39.961 563.346 54.043 302.92 231.58 8.603 295.177 293.020
[3,] 181.456 8.530 146.075 24.566 319.16 401.35 35.834 11.886 28.448
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.024 6.658 4.485 1.362 3.163 25.04 13.7
[2,] 11.352 165.098 71.372 51.167 118.396 2553.83 573.5
[3,] 224.038 218.452 23.951 63.345 72.338 1098.75 741.1
[1] "--- VAR model 2017-10-05 07:31:00 completed"
[1] "Completed training sample: 2017-10-05 07:31:00 - 2017-10-05 15:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 08:01:00 - 2017-10-05 16:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.75981 0.9039 0.1291 6.0384
-0.01509 0.7889 -1.7016 -7.6043
-0.08346 0.5169 -0.5698 0.2625
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.032 1.534 0.61533 0.5334
1.761 1.587 -0.08643 -0.2152
-6.070 1.019 -0.35161 0.2024
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.1949 1.4687 -0.3264 -19.01
0.4273 0.4597 0.6333 -17.35
0.0673 -0.1259 0.1590 -17.11
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8347 -1.4978 -2.306 -1.7898
1.3588 -0.4416 -1.734 -0.8792
-0.5501 -0.4681 -1.723 -0.8458
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.768 0.5547 24.125 8.908
-2.818 -3.7536 7.749 8.170
-2.233 -0.7900 5.373 4.508
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.01523 0.27014 6.472 -5.408
-0.02740 0.94343 0.441 2.761
0.36401 0.09336 -3.198 -1.236
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5521 -10.5596 -2.301 0.1439
0.8209 3.8321 -2.178 0.1222
0.6286 -0.1289 2.590 0.7093
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.6262 0.01296 5.835 25.24
-6.7338 -0.45589 -3.313 23.96
0.7732 -0.28899 -1.482 25.12
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7997 6.1492 0.429 -6.9947
1.3304 5.2306 8.207 4.4812
-0.8288 -0.8239 -0.301 0.8246
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.270 1.383 2.1850 -0.943969
-5.062 -3.903 -0.4398 0.002296
-4.138 -3.968 0.4075 -0.442310
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.757 0.278383 -3.800 -18.056
-3.366 0.143493 -1.198 -9.988
-1.168 0.008909 2.283 -8.748
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5826 -0.01213 -2.963 -1.0510
1.6779 0.01485 -11.783 1.3733
0.8970 0.00080 -5.287 0.3501
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.276 0.24124 -5.18 14.75
2.094 -0.17964 1.03 13.64
1.653 0.07431 -5.47 13.22
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5489 -3.1497 3.1570 7.233
0.4734 -1.6788 -3.6940 -2.748
-0.1992 -0.4795 0.2001 -1.179
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.100 -0.1058 -0.1590 -3.1869
4.241 -0.6230 0.0697 -1.3086
-4.404 -0.2863 0.1247 0.1031
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.868 -4.890 -0.252198 -2.264
-3.868 -3.960 -0.063827 -3.785
-4.391 3.462 -0.008741 -1.948
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.641 1.2887 -4.091 -0.6194
-3.590 0.7916 -0.850 -0.5297
-4.735 0.8334 -2.413 -0.3129
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.396 -0.02086 1.0589 -0.2331
-1.687 -0.16658 0.5511 0.7709
-3.125 0.03072 0.2937 0.3840
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.47439 0.2071 17.38 1.8316
0.35446 0.3352 13.20 0.6229
0.01002 0.2247 12.05 1.3463
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.073 -0.10788 10.932 -3.859
2.144 0.36591 2.101 -3.214
1.713 -0.09594 1.264 -2.337
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.882 1.2003 1.8114 0.028761
4.868 -0.3937 -1.1069 -0.046577
1.852 0.1730 0.2514 0.004646
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.933 1.106 -0.48619 -8.314
-1.822 0.777 -0.06819 -9.649
-3.771 0.814 -0.16276 -6.785
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7874 1.3674 1.3265 0.87086
-0.1998 -0.3787 -0.4243 -0.06271
0.1650 -0.2227 -0.3934 -0.13685
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.181 0.01201 -12.58 0.5073082
-3.018 -0.81781 -11.80 0.0006889
2.654 0.41076 -12.17 -0.3325611
rnd_95776.volume rnd_95787.volume
5.695 -5.5935
-5.863 4.9051
-13.682 -0.8918
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.043 4.599 20.61 8.259 12.64 2.839 3.925 8.824 9.840 8.023 4.286
[2,] 7.067 4.599 20.63 9.776 13.85 2.841 4.058 8.862 9.843 10.014 4.901
[3,] 7.212 4.613 21.10 11.205 14.62 3.025 4.338 8.902 9.858 10.071 4.909
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.821 4.291 6.871 7.539 6.137 7.479 6.555 13.81 10.06 14.19 5.877
[2,] 8.588 4.315 7.669 8.128 6.212 8.360 8.249 14.34 10.69 14.19 5.911
[3,] 9.350 4.486 7.923 8.701 6.233 8.540 8.586 14.91 11.29 14.38 5.986
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.57 10.35 2.998 9.009 8.729 6.332 7.356 2.675 8.406 7.775 3.440
[2,] 25.68 11.03 3.038 10.759 11.121 6.408 9.335 2.693 9.468 8.172 3.543
[3,] 25.70 12.28 3.091 12.875 11.624 6.586 10.645 2.707 11.057 8.652 3.657
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.037 7.989 7.669 8.306 6.674 5.959 2.134 5.023 2.124 5.519 6.581
[2,] 8.984 9.133 9.097 8.817 7.279 5.998 2.227 5.112 2.126 6.080 7.683
[3,] 10.252 9.917 9.677 9.135 7.435 6.030 2.250 5.204 2.128 6.165 8.209
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.312 3.192 6.462 7.234 7.420 3.753 7.815 6.754 3.070 6.526 5.899
[2,] 5.411 3.204 7.776 7.331 7.442 3.754 9.795 7.140 3.182 8.154 7.776
[3,] 5.625 3.207 8.125 7.616 8.001 3.755 10.596 7.391 3.268 9.681 8.651
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.069 4.121 6.186 2.115 7.434 3.151 5.500 5.181 6.132 8.838 3.408
[2,] 7.051 7.145 6.229 2.118 7.501 3.298 5.605 5.182 7.024 9.340 3.414
[3,] 8.076 8.540 6.232 2.118 8.708 3.506 6.100 5.184 7.093 9.550 3.426
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.234 5.306 11.94 2.887 7.527 7.140 8.511 8.797 8.432 7.431 7.183
[2,] 8.501 5.345 12.94 2.889 7.637 7.992 8.727 9.639 8.862 9.126 8.817
[3,] 8.594 5.444 13.33 2.900 7.704 8.028 8.805 9.711 9.308 9.311 9.492
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.100 7.050 4.737 8.131 3.698 3.696 3.107 6.072 5.246 11.38 10.82
[2,] 2.100 8.218 5.057 8.978 3.758 3.904 3.120 7.027 5.262 11.58 10.95
[3,] 2.101 9.080 5.236 9.605 3.760 4.094 3.121 7.116 5.270 11.79 11.41
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.663 3.689 3.648 3.742 5.258 3.657 1.151 2.581 20.16 10.87
[2,] 3.664 4.140 4.117 3.951 5.456 3.713 1.189 2.709 26.91 11.52
[3,] 3.678 4.143 4.118 3.958 5.663 3.713 1.307 2.755 27.99 12.78
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.944 5.840 26.18 10.49 16.06 3.605 4.984 11.21 12.50
[2,] 67.175 9.523 92.37 603.82 653.91 12.332 119.100 94.52 26.89
[3,] 166.272 40.741 511.50 631.92 539.60 120.082 177.009 97.81 64.68
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.19 5.443 8.661 5.449 8.725 9.574 7.793 9.497
[2,] 691.69 274.294 602.295 52.786 393.255 350.430 111.151 431.153
[3,] 123.86 31.581 426.844 141.796 229.816 358.577 59.208 201.488
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.324 17.54 12.77 18.02 7.463 22.31 13.14 3.807 11.44
[2,] 577.977 446.37 417.40 18.84 73.348 2161.10 441.12 56.608 678.84
[3,] 274.793 467.83 420.85 266.67 109.115 130.17 623.44 65.771 816.29
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 11.09 8.041 9.34 3.397 10.67 9.872 4.368 10.21 10.14
[2,] 795.17 113.493 663.47 35.825 502.85 290.595 97.897 463.37 510.78
[3,] 390.56 175.836 590.34 31.421 659.33 328.111 104.837 569.97 446.09
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.739 10.55 8.475 7.567 2.71 6.379 2.698 7.009 8.357
[2,] 564.652 341.52 335.286 79.015 73.28 109.528 8.454 294.400 457.531
[3,] 380.895 275.75 174.864 71.508 37.48 112.822 12.519 117.986 333.731
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.745 4.054 8.205 9.186 9.422 4.765 9.924 8.576 3.899
[2,] 119.139 31.835 499.303 137.780 66.857 11.506 681.608 267.305 96.421
[3,] 177.246 17.504 272.012 238.105 339.237 11.041 466.443 220.690 85.982
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.287 7.49 7.707 5.233 7.855 2.685 9.44 4.001 6.985
[2,] 564.268 584.75 414.338 673.650 84.859 13.107 115.65 112.719 124.704
[3,] 602.337 437.76 454.469 539.811 22.350 6.053 510.57 137.169 277.762
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.580 7.787 11.22 4.327 10.46 6.738 15.17 3.666 9.558
[2,] 9.041 395.285 348.71 24.921 243.86 73.756 574.40 14.599 149.426
[3,] 19.639 114.750 229.94 33.472 146.39 119.854 370.28 28.632 116.903
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.067 10.81 11.17 10.71 9.436 9.121 2.666 8.952 6.016
[2,] 414.457 222.62 454.74 314.76 611.476 590.218 3.520 487.423 204.387
[3,] 88.173 134.87 136.00 328.68 213.043 405.874 8.120 445.653 156.548
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.33 4.696 4.693 3.946 7.711 6.662 14.45 13.74 4.651
[2,] 439.22 77.588 145.202 32.550 408.225 47.490 249.13 199.37 11.769
[3,] 394.23 13.956 142.259 8.947 129.329 33.329 255.30 368.18 36.657
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.685 4.633 4.752 6.677 4.644 1.462 3.278 25.6 13.8
[2,] 216.704 220.141 146.437 167.920 73.910 34.336 94.927 2057.3 440.1
[3,] 21.061 13.537 25.533 175.332 10.152 62.690 58.119 891.2 639.6
[1] "--- VAR model 2017-10-05 08:01:00 completed"
[1] "Completed training sample: 2017-10-05 08:01:00 - 2017-10-05 16:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 08:31:00 - 2017-10-05 16:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9901 0.6121 -4.635 -15.05
1.1500 0.5466 -3.137 -14.99
0.5317 0.1208 -1.707 -10.04
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-22.73 -0.2699 0.05938 0.004989
-13.61 1.7184 -0.80770 -1.027072
-16.73 1.5754 -0.43792 -2.072852
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5898 -7.323 0.7143 -16.71
-0.1903 2.023 -0.4010 -16.70
0.4585 -1.730 -0.2723 -16.98
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.773 0.3491 -2.012 -0.5390
7.285 -2.0006 -5.930 -0.1725
9.251 0.5332 -1.646 -0.4493
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.9101 6.9841 14.282 13.797
-0.3512 -4.3171 11.437 14.286
-2.2293 -0.3853 8.197 8.443
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.135 -0.39217 -20.385 -3.661
-2.676 -0.28640 -9.529 -9.618
-1.328 -0.08877 -6.653 -4.251
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1338 -8.527 -20.100 4.654
-0.7850 -9.226 -6.051 4.244
-0.5482 -4.125 -8.738 4.262
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.247 -0.4519 -13.279 4.369
-12.747 -0.2789 -17.986 3.478
-7.916 -0.2156 -6.726 4.484
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.1246 -13.486 -18.13 -10.06
-0.9418 -16.032 -10.95 -11.84
-2.0051 -8.327 -12.77 -13.57
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.768 3.3641 3.4187 -0.55238
-6.091 -0.7073 1.9415 -0.01756
-5.141 -3.4070 0.6575 -0.22654
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.6936 0 -2.096 -6.230
-1.1238 0 -3.834 -7.556
-0.2911 0 -3.630 -10.433
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.657 0.4865 -10.149 -4.33114
2.898 0.2570 -1.154 2.15213
2.346 0.1558 -3.006 0.01274
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.0828 -0.36083 -6.188 12.820
1.4138 0.16373 7.200 12.990
0.9918 -0.05834 -6.633 9.984
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.128 -10.827 0.03565 1.381
2.051 10.110 -3.49974 -7.447
-1.258 -5.229 3.80002 7.347
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.047 -0.32260 -0.07245 -0.2359
1.079 0.08391 -0.02340 -4.5633
-4.129 0.08369 0.06747 -1.9426
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.687 1.8360 -0.2403 2.437
-4.536 -3.1737 0.2335 1.548
-3.280 -0.6225 0.1474 -3.379
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.6929 1.819 1.4816 0.6331
-0.1167 1.121 2.6535 0.6181
-2.6257 0.537 -0.5125 0.1914
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.287 0.4232 1.3757 0.1778
1.852 -0.2305 1.6941 1.0298
1.025 0.1483 0.6175 0.7862
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.6530 1.878 15.29 6.199
-2.4316 1.520 13.54 2.585
-0.2646 1.250 11.18 2.324
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.706 -0.2161 10.206 0.8262
4.240 0.4999 5.129 0.7963
3.089 -0.1891 2.684 1.0524
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.513 1.2278 0.9778 0.004087
8.148 -0.1371 -1.9105 0.093699
2.000 0.2089 2.2499 -0.027930
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.827 1.0611 1.0334 -8.130
-1.030 0.7592 0.6329 -4.797
-2.247 0.5297 0.4362 -4.306
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.52250 0.90082 0.7418 0.1848
0.27593 -0.22978 0.2652 1.1165
-0.02598 -0.06779 0.1400 -0.2649
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.5048 -0.20665 -10.73 0.7488
-3.4901 -0.06762 -10.26 -0.6034
0.5612 0.17464 -10.09 0.3100
rnd_95776.volume rnd_95787.volume
48.315 -3.681
-30.960 -11.879
6.592 -3.816
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.937 4.548 21.00 7.697 13.59 3.100 3.917 8.747 9.650 7.668 4.069
[2,] 6.952 4.548 21.01 9.308 14.70 3.101 4.049 8.783 9.659 9.804 4.693
[3,] 7.082 4.559 21.52 10.779 15.49 3.313 4.342 8.814 9.664 9.888 4.704
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.767 4.361 6.699 7.391 5.804 7.148 5.819 13.44 9.913 14.22 5.544
[2,] 8.642 4.386 7.582 7.878 5.881 8.023 7.611 13.92 10.636 14.22 5.566
[3,] 9.448 4.580 7.787 8.633 5.922 8.455 8.161 14.49 11.187 14.31 5.609
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 17.32 9.543 2.893 8.158 8.203 6.419 7.058 2.764 8.093 7.881
[2,] 25.87 10.314 2.901 10.234 10.300 6.510 9.042 2.782 9.159 8.313
[3,] 25.88 12.086 2.911 12.873 11.102 6.664 10.369 2.796 10.764 8.768
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.457 8.409 8.249 7.719 8.180 7.009 5.979 2.084 5.118 2.063 5.419
[2,] 3.542 9.238 9.298 9.274 8.751 7.518 6.029 2.168 5.294 2.064 6.128
[3,] 3.642 10.436 10.133 9.848 9.105 7.631 6.057 2.186 5.387 2.067 6.222
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.532 5.318 3.180 6.143 7.315 7.466 3.891 7.916 6.864 3.045 6.718
[2,] 7.631 5.430 3.191 7.634 7.426 7.488 3.895 9.772 7.253 3.155 8.338
[3,] 8.188 5.654 3.196 8.009 7.686 8.056 3.897 10.615 7.560 3.237 9.676
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.893 6.026 4.174 6.152 2.091 7.527 3.211 5.739 5.312 6.255 8.558
[2,] 7.739 7.011 7.090 6.181 2.094 7.612 3.356 5.825 5.312 7.155 9.579
[3,] 8.533 8.060 8.393 6.181 2.096 8.836 3.558 6.344 5.318 7.221 9.725
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.470 8.311 5.238 12.43 2.989 7.527 6.863 8.336 8.614 8.392 7.439
[2,] 3.487 8.775 5.271 13.36 2.993 7.659 7.699 8.500 9.248 8.859 8.872
[3,] 3.519 8.868 5.379 13.85 2.998 7.721 7.723 8.574 9.317 9.329 8.984
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.626 2.126 7.134 4.671 7.900 3.635 3.766 3.158 6.421 5.563 11.39
[2,] 8.690 2.126 8.564 5.014 8.730 3.661 3.966 3.168 7.170 5.571 11.60
[3,] 9.230 2.126 9.180 5.191 9.446 3.665 4.142 3.169 7.278 5.594 11.82
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.78 3.865 3.568 3.778 3.739 5.265 3.688 1.205 2.673 20.30 10.24
[2,] 10.99 3.879 3.997 4.093 3.741 5.467 3.748 1.231 2.802 26.92 11.03
[3,] 11.40 3.930 4.003 4.102 3.982 5.726 3.748 1.389 2.846 28.08 12.70
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.809 5.775 26.67 9.773 17.26 3.937 4.974 11.11 12.25
[2,] 51.445 6.818 65.13 588.628 630.19 9.397 115.464 89.67 48.42
[3,] 151.905 36.331 528.04 611.367 547.86 131.061 176.201 84.34 36.31
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.737 5.167 8.593 5.537 8.507 9.386 7.37 9.076 7.39
[2,] 686.959 263.085 604.610 53.365 399.428 306.774 107.06 409.917 551.58
[3,] 145.526 36.331 429.304 148.251 199.772 397.129 78.46 300.068 331.36
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 17.07 12.59 18.05 7.041 21.99 12.12 3.673 10.36 10.42
[2,] 407.97 433.58 14.54 55.012 2160.43 440.20 25.611 694.90 700.52
[3,] 452.53 389.80 186.83 78.043 115.32 708.50 26.362 878.09 465.84
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.151 8.962 3.51 10.28 10.01 4.389 10.68 10.47 9.802
[2,] 122.390 635.672 35.85 482.44 297.75 87.016 430.13 482.49 578.009
[3,] 160.027 570.694 31.36 635.96 313.74 95.550 545.90 453.20 372.817
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.39 8.901 7.592 2.646 6.499 2.62 6.882 8.294 6.752
[2,] 349.86 305.701 87.562 67.292 152.446 6.22 321.692 443.787 123.935
[3,] 282.87 147.508 65.270 31.390 112.392 13.03 121.312 334.017 177.170
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.039 7.8 9.288 9.481 4.941 10.05 8.717 3.867 8.53
[2,] 28.745 509.8 144.298 64.741 20.182 644.24 263.308 93.173 555.48
[3,] 22.093 272.5 223.019 334.318 14.604 466.49 240.083 81.412 552.19
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.483 7.652 5.301 7.812 2.655 9.558 4.078 7.287 6.745
[2,] 564.266 402.942 644.416 67.763 12.737 127.998 109.416 112.595 6.539
[3,] 404.257 447.254 505.144 10.428 9.494 504.630 133.166 282.582 28.930
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.942 10.87 4.406 10.55 6.651 15.78 3.795 9.559 8.715
[2,] 390.832 484.06 38.559 316.77 66.433 552.19 17.268 159.048 392.475
[3,] 109.626 189.04 53.215 144.24 120.928 408.40 20.982 110.624 69.322
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.59 10.94 10.66 9.446 8.414 2.699 9.059 5.931 10.03
[2,] 187.13 378.60 319.40 543.791 632.351 3.578 532.783 205.050 418.05
[3,] 126.61 127.42 328.92 159.249 349.903 5.171 372.037 151.195 405.72
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.616 4.782 4.010 8.153 7.064 14.47 13.68 4.908 4.531
[2,] 49.562 139.959 27.765 358.972 34.373 248.30 242.61 37.949 202.655
[3,] 19.601 134.407 9.527 140.765 56.791 254.91 342.60 70.611 24.421
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.797 4.748 6.686 4.683 1.53 3.394 25.78 13.0
[2,] 177.145 13.461 165.493 75.127 28.31 94.709 1989.21 462.1
[3,] 32.088 153.400 191.691 5.835 72.45 55.543 897.03 707.1
[1] "--- VAR model 2017-10-05 08:31:00 completed"
[1] "Completed training sample: 2017-10-05 08:31:00 - 2017-10-05 16:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 09:01:00 - 2017-10-05 17:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.4257 0.8253 -5.063 -7.032
0.9567 0.5074 -6.706 -11.955
0.3201 0.4239 -2.710 -12.448
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.470 1.381 0.6234 -0.48659
-7.554 1.800 0.8659 1.42099
-10.963 1.076 0.3190 0.02513
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.20645 -4.204 -1.7717 -14.45
1.63056 1.503 -0.9237 -13.83
-0.09739 1.379 0.1529 -13.43
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.059 6.4211 5.083 -0.4687
1.502 -0.1724 -2.680 -0.1194
1.547 1.8799 -1.134 -1.3910
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.2319 8.243 11.87 3.534
1.6970 -1.804 11.07 8.531
-0.7984 0.507 9.31 5.371
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.9458 -0.25407 -44.12 -9.916
-0.5872 -0.38487 -10.93 -14.562
-1.0734 -0.04486 -11.73 -1.941
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.32178 -13.555 -12.101 3.495
-0.06739 -16.922 -12.512 2.610
-0.01416 -3.363 -9.238 2.301
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.242 -1.461 -7.32 -2.2341
-11.724 -0.686 -10.20 0.8982
-12.926 -0.626 -11.34 -3.3145
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.6327 -3.955 1.219 -2.430
0.8492 -7.574 -5.001 -4.387
0.4218 -8.704 -8.442 -7.676
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.730 7.795 -0.2827 1.2675
-3.148 -4.740 0.1415 0.9070
-2.797 -2.308 0.1281 -0.1789
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.5095 0.101103 -1.8483 -15.489
2.3167 0.153785 -0.6677 -6.722
-0.1324 0.004831 -1.8718 -8.171
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.718 0.6122 -6.229 4.6311
3.414 -0.0254 -9.508 -4.1071
2.300 0.1569 -3.066 0.1497
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.2953 -0.0792781 1.1830 8.182
3.5333 -0.0217810 -12.0218 7.393
0.1957 -0.0003294 0.0563 10.834
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1370 0.9503 -0.8720 -8.747
-1.6739 -8.2657 -0.4177 1.633
0.2059 -3.6136 -8.3064 -7.006
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.1704 0.83278 -0.28991 -13.63200
-0.8175 -0.01806 -0.05351 -9.61632
-0.6544 0.34704 0.03662 -0.05338
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.636 -6.998 -0.0004305 3.022
-1.768 -6.062 0.0675300 -7.366
-1.702 -2.543 0.0530849 -5.613
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.963 -0.5326 3.926 -0.2083
-7.826 -0.2332 2.465 -0.6528
-4.893 -0.1061 -2.625 -0.5513
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.682 1.1445 -0.2347 1.452553
2.491 0.1728 -0.8341 0.009489
-5.956 0.6147 0.2637 -0.294879
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.498 -1.4008 13.282 2.26886
-1.771 -1.2648 11.425 0.03113
-1.892 -0.7069 9.453 0.48072
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.335 0.06596 -0.2744 -0.295193
2.084 -0.03789 1.2975 0.004637
1.074 -0.09903 0.1659 -0.665270
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.175 0.75803 -0.2153 0.13518
1.737 -0.09863 0.5892 -0.12099
3.840 -0.04007 -2.5859 -0.05486
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.019 1.5251 5.341 -9.408
3.120 0.9269 4.298 -5.948
-1.158 0.6419 2.529 -3.931
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1282 0.9026 0.58778 1.4122
0.6378 0.3397 -0.11338 0.8156
-0.1557 0.3094 0.07584 0.3543
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.976 -0.6424 -9.631 0.48962
-4.099 0.2663 -9.342 -0.03304
-2.140 0.2099 -9.522 0.12004
rnd_95776.volume rnd_95787.volume
-41.634 -10.456
4.737 -14.351
-25.520 -1.997
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.852 4.661 21.68 7.033 13.24 3.309 3.827 8.669 9.852 7.570 4.071
[2,] 6.873 4.664 21.68 8.333 14.08 3.310 3.922 8.713 9.855 9.882 4.559
[3,] 6.997 4.683 22.17 10.187 14.77 3.545 4.261 8.743 9.882 9.926 4.588
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.805 4.772 6.599 7.436 5.868 7.002 5.691 13.30 9.617 15.52 5.975
[2,] 8.339 4.816 7.446 7.898 5.927 7.841 7.350 13.71 10.276 15.52 5.998
[3,] 9.153 4.930 7.667 8.536 5.966 8.301 7.890 14.34 10.813 15.52 6.026
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.00 9.394 2.682 7.903 7.363 6.356 6.721 2.760 7.718 7.855
[2,] 25.76 10.345 2.682 10.637 10.060 6.422 8.475 2.790 8.808 8.318
[3,] 25.84 11.947 2.684 12.749 10.767 6.552 10.178 2.808 10.428 8.746
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.661 8.540 8.025 7.623 7.938 7.083 6.053 2.069 5.334 1.886 5.593
[2,] 3.666 9.297 9.080 9.219 8.603 7.587 6.118 2.155 5.564 1.887 5.993
[3,] 3.710 10.366 9.955 9.756 8.986 7.673 6.159 2.174 5.651 1.897 6.158
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.509 5.325 3.057 6.114 7.25 7.556 3.848 7.857 7.238 3.005 6.844
[2,] 7.625 5.442 3.086 7.641 7.41 7.588 3.851 9.659 7.591 3.115 8.615
[3,] 8.101 5.656 3.088 8.008 7.67 8.219 3.853 10.480 7.967 3.192 9.769
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.074 5.995 4.215 6.122 2.181 7.700 3.144 5.840 5.180 6.313 9.223
[2,] 7.802 7.091 7.336 6.149 2.194 7.771 3.302 5.914 5.180 7.231 9.747
[3,] 8.587 8.201 8.565 6.149 2.197 8.943 3.517 6.433 5.186 7.276 9.872
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.526 8.720 5.207 13.08 3.041 7.557 7.639 8.731 8.828 8.725 7.797
[2,] 3.544 9.164 5.242 14.16 3.058 7.665 8.326 9.061 9.405 9.345 8.994
[3,] 3.592 9.327 5.370 14.44 3.058 7.713 8.363 9.194 9.477 9.928 9.090
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.039 2.187 7.354 4.819 7.949 3.737 3.972 3.163 6.782 5.955 11.05
[2,] 8.896 2.188 8.901 5.186 8.507 3.753 4.148 3.172 7.275 6.012 11.29
[3,] 9.330 2.190 9.452 5.365 9.438 3.755 4.315 3.173 7.394 6.042 11.51
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.65 3.358 3.716 4.154 4.071 5.295 3.698 1.279 2.803 20.42 9.991
[2,] 10.77 3.927 4.188 4.155 4.071 5.436 3.748 1.292 2.938 26.73 10.928
[3,] 11.06 4.099 4.194 4.205 4.124 5.684 3.748 1.491 2.949 27.92 12.504
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.701 5.919 27.53 8.931 16.82 4.202 4.86 11.01 12.51
[2,] 54.796 15.639 44.06 451.793 482.87 7.822 86.74 89.29 23.25
[3,] 132.358 43.363 467.77 592.542 452.45 128.313 168.33 73.04 75.30
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.612 5.17 8.641 6.059 8.379 9.442 7.451 8.891 7.226
[2,] 642.290 207.39 487.374 66.165 348.874 269.275 84.942 356.824 470.243
[3,] 94.326 52.51 381.580 106.681 184.752 327.408 69.109 275.711 290.331
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.89 12.21 19.71 7.587 24.13 11.93 3.405 10.04 9.35
[2,] 339.57 365.93 16.15 53.617 1757.92 438.00 2.792 719.70 693.03
[3,] 423.65 340.55 25.79 59.284 211.76 604.14 12.385 710.55 388.03
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.071 8.534 3.505 9.801 9.975 4.648 10.84 10.19 9.68
[2,] 93.270 522.060 41.345 429.080 276.730 21.220 371.59 429.50 524.20
[3,] 131.078 569.819 32.235 564.362 273.119 57.526 463.52 412.67 322.66
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.08 8.994 7.687 2.627 6.774 2.395 7.102 8.266 6.762
[2,] 335.37 274.962 89.726 60.905 160.147 6.943 217.626 401.422 113.642
[3,] 262.55 116.291 72.278 29.053 99.744 19.599 143.575 276.650 155.899
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.881 7.763 9.207 9.594 4.887 9.977 9.191 3.816 8.691
[2,] 43.125 463.435 155.034 70.698 14.234 568.033 231.513 83.192 528.889
[3,] 12.279 242.273 200.289 319.538 12.587 411.117 244.736 70.162 465.876
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.713 7.613 5.352 7.773 2.769 9.777 3.992 7.415 6.577
[2,] 495.035 382.779 606.994 59.062 24.029 106.597 102.281 94.928 7.408
[3,] 362.743 416.689 446.909 6.561 12.892 447.590 122.391 255.940 25.136
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.017 11.71 4.477 11.07 6.612 16.61 3.862 9.597 9.70
[2,] 356.411 318.88 36.527 285.01 61.976 549.08 32.623 129.483 334.93
[3,] 82.419 158.74 58.892 176.05 117.609 287.80 3.670 87.248 79.66
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 11.09 11.21 11.08 9.901 8.938 2.777 9.339 6.12 10.09
[2,] 245.06 328.21 338.47 453.313 550.004 7.917 506.899 193.71 306.34
[3,] 158.07 117.58 339.14 133.296 284.534 9.397 321.649 138.90 413.27
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.746 5.044 4.017 8.611 7.562 14.03 13.53 4.265 4.719
[2,] 35.334 120.839 23.593 266.441 84.002 238.30 162.53 205.790 195.188
[3,] 12.698 120.263 9.362 133.698 60.441 223.67 254.68 118.943 23.267
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.275 5.170 6.724 4.696 1.624 3.559 25.93 12.69
[2,] 8.481 5.219 124.659 61.502 18.449 89.000 1743.66 447.66
[3,] 65.460 66.332 167.799 6.312 75.160 26.387 816.53 614.48
[1] "--- VAR model 2017-10-05 09:01:00 completed"
[1] "Completed training sample: 2017-10-05 09:01:00 - 2017-10-05 17:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 09:31:00 - 2017-10-05 17:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9766 1.1048 0.3261 -2.573
1.8034 0.8104 5.2495 -2.215
0.5304 0.6165 1.3880 6.176
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.2249 0.473 2.193 1.435
-0.2903 1.538 2.085 3.508
1.1668 1.120 2.017 2.155
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5538 5.2578 2.0094 -9.001
1.0996 0.4174 -0.9500 -14.009
1.8068 3.3329 0.5361 -12.301
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.3205 5.898 4.6614 1.2175
-0.6187 2.674 2.8784 0.6393
0.1678 1.444 -0.7376 0.7656
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.173 8.731 19.14 5.809
4.076 2.085 17.97 10.401
2.001 2.321 16.10 7.563
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.08882 0.6589 28.256 -5.489
0.20371 0.6680 -2.461 10.638
-0.01899 0.1671 2.677 -3.140
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.22885 -6.797 0.9493 -1.846
-0.01586 11.426 1.1038 -2.816
0.07223 -2.368 5.5622 -2.418
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.635 0.6135 -4.5758 -0.13936
-2.871 0.7969 0.2394 0.08946
6.185 0.4636 1.8935 -0.49914
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.26664 2.2306 8.40198 7.9072
-0.04967 0.7929 -1.42662 -1.0738
-0.00398 -1.4393 0.02362 0.7778
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.812 2.600 3.1905 -0.09095
2.523 1.098 0.6626 -0.19964
2.567 2.229 1.9782 -0.08827
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.984 -0.35196 2.3199 -5.593
2.706 0.01478 2.9177 -6.504
1.565 -0.03288 -0.3452 -5.081
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.531 -0.1461 -2.5147 -0.5830
7.917 -0.2225 1.5038 1.3936
6.809 -0.0631 -0.6117 0.5464
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.4705 -0.07500 3.1322 5.068
0.6077 0.37182 3.1305 7.226
1.6519 -0.04077 0.6627 5.571
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.6051 17.0804 16.016 9.773
0.7079 3.4838 2.094 11.345
-0.1151 0.4172 2.349 2.297
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.059 -0.1782 -0.19863 2.400
14.498 0.8799 0.05216 6.132
1.841 -0.1917 0.01258 11.478
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.280 -0.5795 0.20928 -0.04657
-4.742 4.1500 0.02518 2.31827
-4.944 5.8496 0.01325 4.87886
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.5706 -0.24303 1.5876 1.1945
-1.1985 -0.20136 0.1208 1.0985
4.4697 -0.06363 2.2708 0.8126
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.4410 4.322 0.637837 0.2840
-0.8147 3.560 1.119834 0.5499
1.2783 3.151 0.004134 0.4395
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.233 -0.7730 9.391 7.135
3.493 0.0224 7.523 3.174
2.501 0.3141 6.865 2.541
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.848 -0.43396 8.841 -11.041
3.074 -0.12856 6.706 -8.865
2.103 -0.01122 3.610 -7.375
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.644 -0.5804 5.047 0.07747
4.203 0.4299 1.283 -0.01975
3.277 -0.1682 1.023 -0.08603
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.986 5.118 -0.1777 -2.7861
2.458 4.624 0.3079 -0.2828
1.438 1.751 0.3177 1.4009
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.8337 -1.6732 1.16762 1.29689
-0.9704 0.6685 -0.22296 -0.01492
0.3982 0.1633 -0.01743 0.19993
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.046 -0.5786 -7.558 0.7104
2.432 -0.1601 -2.590 0.9989
4.281 0.2614 -4.157 0.3321
rnd_95776.volume rnd_95787.volume
19.3208 -7.729
-0.5937 11.008
8.7353 -4.058
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.778 4.684 21.69 7.141 13.40 3.513 3.695 8.666 9.968 7.624 4.191
[2,] 6.804 4.693 21.69 8.359 14.06 3.513 3.822 8.723 9.969 9.839 4.650
[3,] 6.920 4.718 22.19 9.906 14.69 3.763 4.116 8.734 9.985 9.876 4.699
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.750 4.908 6.846 7.514 5.774 7.510 6.377 12.22 9.611 16.12 6.011
[2,] 8.142 4.936 7.486 7.892 5.837 8.068 7.859 12.77 10.118 16.13 6.034
[3,] 8.939 5.061 7.677 8.477 5.881 8.236 8.052 13.39 10.662 16.13 6.061
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.18 9.237 2.893 7.778 7.198 6.330 6.776 2.936 7.526 7.796 3.627
[2,] 25.46 10.182 2.894 10.491 9.961 6.409 8.395 2.969 8.623 8.216 3.636
[3,] 25.56 11.663 2.895 12.339 10.569 6.548 9.942 2.990 10.146 8.658 3.679
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.386 8.071 7.816 7.905 7.408 6.214 2.153 5.389 1.887 5.654 6.478
[2,] 9.289 9.068 9.113 8.659 8.008 6.305 2.156 5.644 1.889 6.070 7.479
[3,] 10.359 9.821 9.672 9.076 8.057 6.391 2.159 5.700 1.897 6.221 7.987
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.187 2.963 6.336 7.285 7.564 3.884 7.976 7.448 3.086 7.033 6.174
[2,] 5.300 2.979 7.951 7.422 7.600 3.884 9.873 7.759 3.205 8.788 7.930
[3,] 5.563 2.980 8.233 7.677 8.201 3.892 10.725 8.204 3.288 9.955 8.711
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.209 4.294 6.087 2.178 7.855 3.071 6.111 5.182 6.432 9.078 3.519
[2,] 7.208 7.509 6.115 2.204 7.945 3.201 6.177 5.182 7.450 10.111 3.543
[3,] 8.295 8.794 6.115 2.209 9.083 3.430 6.577 5.192 7.503 10.181 3.598
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.562 5.227 13.14 3.225 7.485 7.747 8.765 8.759 8.680 7.889 7.571
[2,] 9.268 5.278 14.13 3.273 7.640 8.239 9.134 9.193 9.491 8.937 9.092
[3,] 9.446 5.429 14.66 3.279 7.669 8.283 9.269 9.265 10.140 9.021 9.319
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.318 7.783 4.966 8.185 3.856 4.116 3.210 7.012 6.161 10.72 10.86
[2,] 2.321 9.183 5.444 8.692 3.872 4.266 3.218 7.448 6.235 10.95 10.99
[3,] 2.321 9.641 5.680 9.363 3.881 4.437 3.220 7.583 6.280 11.20 11.35
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.244 3.776 4.569 4.489 5.356 3.693 1.418 2.876 21.07 9.825
[2,] 4.060 4.535 4.569 4.490 5.494 3.730 1.426 3.012 27.61 10.859
[3,] 4.380 4.543 4.605 4.554 5.750 3.730 1.651 3.025 28.74 12.285
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.607 5.948 27.55 9.068 17.02 4.461 4.692 11.00 12.66
[2,] 60.628 30.167 32.68 442.465 431.47 3.539 99.800 101.91 19.23
[3,] 128.753 48.905 476.35 541.486 436.42 137.539 155.642 45.49 57.91
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.681 5.322 8.571 6.232 8.693 9.541 7.332 9.537
[2,] 633.434 205.142 463.846 53.858 308.493 245.868 87.876 300.149
[3,] 87.738 69.410 375.678 113.814 173.678 315.376 73.117 169.082
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.098 15.51 12.2 20.47 7.633 24.35 11.73 3.674 9.876
[2,] 467.705 378.35 322.2 64.28 54.284 1705.57 436.41 7.526 717.078
[3,] 178.841 411.25 342.7 19.93 57.763 236.16 579.34 9.227 661.497
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.141 8.038 8.605 3.728 9.556 9.899 4.605 10.65 10.25
[2,] 701.154 102.327 504.666 45.434 428.666 264.218 27.050 406.91 421.10
[3,] 359.936 137.064 542.510 35.742 544.674 278.331 57.273 467.03 383.99
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.926 10.04 9.407 7.891 2.734 6.843 2.396 7.18 8.226
[2,] 477.275 359.97 309.945 109.239 12.980 170.834 8.287 224.98 380.811
[3,] 329.876 277.04 90.673 106.386 11.781 81.990 18.054 138.81 285.398
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.586 3.763 8.045 9.25 9.604 4.932 10.13 9.458 3.919
[2,] 110.991 30.891 489.259 144.97 75.824 7.283 592.53 221.664 88.120
[3,] 172.412 9.666 217.737 200.11 313.890 24.999 426.77 271.430 74.504
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 8.931 7.84 7.884 5.453 7.730 2.765 9.975 3.899 7.76
[2,] 536.700 506.74 372.960 627.364 59.682 34.516 121.771 91.962 92.14
[3,] 476.273 367.38 418.028 466.147 6.221 15.120 448.192 125.603 230.09
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.58 8.168 11.53 4.468 10.87 6.637 16.69 4.095 9.505
[2,] 11.33 382.824 453.37 42.126 361.41 75.008 529.28 57.006 155.994
[3,] 32.80 90.578 121.51 64.044 186.31 129.412 396.90 20.601 68.877
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.837 11.13 11.12 11.02 10.02 9.614 2.943 9.883 6.306
[2,] 285.706 262.02 284.35 391.13 427.69 512.790 12.542 496.457 227.309
[3,] 87.472 160.68 118.09 363.50 125.60 208.292 3.866 299.171 164.973
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.39 4.897 5.227 4.077 8.905 7.823 13.61 13.79 4.12
[2,] 297.85 35.630 114.400 22.707 255.652 97.755 229.48 168.76 248.55
[3,] 354.56 27.025 124.110 11.684 145.278 77.083 239.55 291.06 167.30
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.795 5.801 5.701 6.802 4.690 1.801 3.652 26.76 12.48
[2,] 255.813 6.235 6.846 124.375 53.229 15.216 91.058 1817.01 471.10
[3,] 27.374 58.797 77.782 173.110 7.959 84.796 28.612 812.71 584.97
[1] "--- VAR model 2017-10-05 09:31:00 completed"
[1] "Completed training sample: 2017-10-05 09:31:00 - 2017-10-05 17:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 10:01:00 - 2017-10-05 18:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.303 0.4015 1.963 -0.01999
2.869 -0.1648 2.994 -1.90827
1.501 -0.6663 1.131 4.85762
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
8.4205 -0.8204 2.537 -1.673
1.7277 1.2540 2.611 -0.470
-0.4746 0.6219 2.254 -1.559
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.157708 -8.3489 1.9564 -19.89
-0.302529 0.2764 1.0430 -22.48
-0.005195 -0.7160 0.8224 -21.55
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.945 2.0857 0.7561 1.8147
3.158 -0.7484 -3.9354 1.4819
3.962 0.9124 -2.1220 0.9557
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.5022 3.3445 13.663 7.508
1.9840 2.0252 12.272 4.397
-0.1004 -0.5266 9.497 7.121
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.0723 3.788 19.743 -0.3817
-0.4061 3.231 2.565 6.2205
-0.4186 1.584 2.052 -0.8189
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.03121 -3.261874 -2.224 -0.83477
0.49942 7.391292 2.987 -0.41083
-0.02398 -0.008333 4.014 -0.04636
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.680 0.9491 2.928 -16.07
-2.086 0.5607 -1.789 -15.13
4.901 0.3221 2.752 -15.21
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.13769 6.302 5.9665 4.138
0.09597 -1.709 0.8961 3.663
0.03379 0.803 -1.7499 -1.001
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.520 3.823 0.03514 -0.21493
-5.230 4.979 -1.62617 -0.12003
-4.553 4.745 -0.47284 -0.03539
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.003 0.28758 3.459 -4.4419
-3.603 -0.08459 2.003 -1.1871
-3.691 -0.15581 1.147 -0.9891
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.243 -0.034741 1.5879 -2.185
2.724 -0.004618 0.1866 3.421
3.397 -0.022921 0.5773 1.420
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.5462 0.07097 -4.191 15.46
0.8957 0.28336 12.042 17.14
-0.4707 -0.04582 -2.176 15.52
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6102 -4.411 0.9462 15.702
1.6709 5.087 -2.4383 -4.306
0.1477 5.669 8.4538 5.433
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
21.003 2.0047 0.0054314 4.198
1.704 0.9417 0.0007349 15.926
-3.303 0.9315 0.0002327 1.422
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.789 5.081 0.59278 1.106
-2.282 4.292 0.28698 3.104
-3.803 5.260 0.07697 9.878
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.672 0.9545 2.3299 -0.31770
4.629 0.9292 -0.5212 -0.04500
6.243 0.5246 2.0454 -0.08075
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.848 -0.3796 2.9845 2.804
-2.156 0.9822 0.9985 1.680
4.457 2.1865 2.2300 1.245
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.043 4.794 19.85 14.687
5.340 3.205 17.81 7.580
3.092 1.763 15.81 7.202
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.773 0.04903 10.605 0.7224
9.988 0.07828 12.138 0.3524
7.052 0.03626 7.704 0.1561
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.954 0.6070 0.8208 0.51359
12.723 -0.5649 -0.9972 -0.06853
8.774 0.4925 2.6750 -0.16520
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.08193 -0.2532 2.0391 -13.873
-0.53284 0.7603 1.2514 -11.799
-1.18907 -0.7985 0.6662 -7.812
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.9284 -1.378 -1.7248 -1.7612
-0.7420 -1.280 -0.6409 -0.6100
-0.8498 -0.474 -0.3301 -0.4068
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.002 -0.5244 -11.49 0.2983
3.358 0.3052 -10.95 -0.1917
6.430 0.2256 -10.97 -0.3219
rnd_95776.volume rnd_95787.volume
39.763 -1.2875
-3.240 6.7263
9.377 -0.9817
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.855 4.857 22.17 7.141 13.56 3.648 3.741 8.742 9.881 7.569 4.226
[2,] 6.900 4.867 22.17 8.259 14.27 3.648 3.882 8.792 9.883 9.705 4.687
[3,] 7.053 4.902 22.64 9.714 14.92 3.892 4.190 8.805 9.907 9.756 4.742
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.515 5.028 6.908 7.529 5.602 7.192 6.319 11.85 9.427 16.78 6.776
[2,] 7.878 5.064 7.407 7.852 5.679 8.098 7.383 12.46 9.780 16.80 6.846
[3,] 8.675 5.209 7.560 8.337 5.733 8.255 7.818 13.03 10.330 16.80 6.919
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.41 9.335 3.077 7.863 7.152 6.466 6.828 3.108 7.519 7.879 3.605
[2,] 25.32 10.304 3.093 10.599 9.978 6.511 8.399 3.157 8.569 8.366 3.612
[3,] 25.48 11.564 3.097 12.252 10.567 6.661 9.866 3.169 9.957 8.775 3.657
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.369 7.838 7.954 7.769 7.223 6.279 2.115 5.611 1.854 5.750 6.472
[2,] 9.308 9.025 9.150 8.529 7.625 6.413 2.117 5.971 1.855 6.116 7.414
[3,] 10.279 9.776 9.749 8.948 7.672 6.532 2.121 6.052 1.861 6.268 7.968
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.050 2.897 6.222 7.421 7.580 4.072 8.286 7.718 3.087 7.214 6.350
[2,] 5.166 2.916 7.904 7.576 7.621 4.073 9.857 8.011 3.214 9.002 8.182
[3,] 5.420 2.920 8.172 7.877 8.314 4.085 10.999 8.656 3.307 10.116 8.801
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.183 4.364 6.211 2.224 8.050 3.114 6.195 5.158 6.463 9.598 3.631
[2,] 7.392 7.641 6.257 2.244 8.161 3.240 6.268 5.159 7.501 10.249 3.661
[3,] 8.451 8.943 6.261 2.246 9.572 3.463 6.662 5.172 7.547 10.329 3.725
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.786 5.149 13.21 3.316 7.361 8.155 8.797 9.260 8.787 7.649 7.699
[2,] 9.220 5.200 14.22 3.366 7.530 8.284 9.270 9.378 9.759 8.659 9.140
[3,] 9.389 5.362 14.68 3.376 7.563 8.333 9.447 9.467 10.528 8.776 9.338
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.362 7.934 5.010 8.197 3.947 4.196 3.223 7.480 6.339 10.52 11.23
[2,] 2.365 9.141 5.514 8.763 3.962 4.355 3.230 7.772 6.396 10.78 11.39
[3,] 2.366 9.556 5.789 9.234 3.974 4.501 3.231 7.919 6.434 11.07 11.91
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.043 3.623 4.736 4.635 5.368 3.748 1.486 2.984 21.17 9.815
[2,] 4.076 4.630 4.738 4.638 5.503 3.792 1.499 3.146 28.12 10.888
[3,] 4.554 4.641 4.794 4.728 5.777 3.793 1.756 3.168 29.26 12.156
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.705 6.168 28.15 9.068 17.23 4.633 4.75 11.10 12.55
[2,] 82.684 32.769 24.85 437.370 468.60 3.853 109.54 99.01 22.42
[3,] 154.545 62.218 484.27 539.164 456.47 143.050 166.17 51.36 73.97
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.612 5.366 8.273 6.385 8.772 9.561 7.114 9.133
[2,] 640.272 213.829 466.994 63.034 282.004 235.070 97.982 392.495
[3,] 106.312 76.187 382.934 128.838 159.454 295.414 82.937 168.985
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.024 15.05 11.97 21.31 8.604 24.64 11.85 3.907 9.984
[2,] 402.509 404.19 274.45 83.29 103.273 1715.20 459.99 32.706 749.273
[3,] 271.351 401.72 350.84 29.23 105.693 299.45 553.33 17.550 648.144
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.082 8.211 8.67 3.947 9.548 10.0 4.578 10.63 9.953
[2,] 733.438 80.822 515.58 58.630 433.458 296.6 24.832 429.59 471.664
[3,] 366.906 148.133 545.73 29.297 534.660 279.3 60.070 459.83 396.364
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.1 9.865 9.172 7.974 2.685 7.126 2.355 7.302 8.218
[2,] 476.9 371.072 257.590 137.252 11.635 215.146 3.861 219.753 381.500
[3,] 354.9 285.341 89.699 131.039 14.117 104.450 15.730 144.526 307.607
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.413 3.679 7.901 9.424 9.626 5.171 10.52 9.801 3.92
[2,] 114.653 34.540 513.972 160.722 82.777 9.249 562.92 226.553 94.34
[3,] 172.808 17.322 218.671 227.584 350.501 33.975 514.61 345.685 82.16
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.161 8.063 7.851 5.542 7.887 2.824 10.22 3.954 7.867
[2,] 567.713 543.954 427.141 661.173 79.602 31.798 141.30 94.552 100.156
[3,] 486.552 341.993 431.906 490.010 23.970 10.294 527.38 128.908 238.099
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.550 8.207 12.19 4.61 11.16 6.538 16.78 4.211 9.348
[2,] 9.983 401.463 378.89 50.10 294.99 77.060 555.36 60.823 167.081
[3,] 40.247 87.569 136.11 72.12 187.19 138.063 382.77 27.326 74.719
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.36 11.17 11.76 11.16 9.713 9.777 3.000 10.08 6.362
[2,] 153.36 308.23 156.52 447.75 427.854 519.286 11.503 478.58 242.706
[3,] 95.90 192.08 136.82 416.50 150.858 202.102 7.473 293.85 186.111
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.41 5.013 5.329 4.093 9.499 8.05 13.36 14.26 3.864
[2,] 326.81 36.321 122.944 22.394 222.593 89.94 246.91 199.13 286.013
[3,] 306.98 33.074 119.877 9.315 159.925 74.07 266.03 367.33 214.039
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.601 6.014 5.886 6.817 4.759 1.887 3.789 26.89 12.46
[2,] 303.977 14.552 18.029 127.534 60.869 20.786 105.281 1950.07 497.07
[3,] 32.983 77.577 96.910 185.609 8.952 96.451 39.610 855.72 569.84
[1] "--- VAR model 2017-10-05 10:01:00 completed"
[1] "Completed training sample: 2017-10-05 10:01:00 - 2017-10-05 18:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 10:31:00 - 2017-10-05 18:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.351 1.7345 4.445 8.988
1.594 1.4858 6.643 7.831
1.009 0.8714 2.357 9.248
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.260 0.9187 -0.1257 2.829
7.144 2.2246 0.6769 2.638
6.680 0.9760 1.1378 2.174
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.1324 8.1881 -0.7907 -10.81
1.0323 0.6898 0.9948 -10.33
-0.3057 2.4168 0.5965 -10.47
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7472 0.2531 0.99721 0.04906
0.2403 2.3353 2.30791 0.05747
-1.0371 0.4378 -0.04565 -0.04174
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.1537 -0.5017 0.391 -1.085
-0.8565 -1.4270 -2.938 -1.977
0.1721 -0.4007 -1.881 -1.254
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.1582 -0.02776 37.65 5.276
-0.5926 0.27306 10.41 12.209
-0.6791 0.41011 11.11 1.784
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.03407 8.809 10.142 -0.9310
-0.08978 13.119 8.827 -0.2216
0.14815 2.770 8.586 -1.0608
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
9.308 -0.15183 10.093 3.098
7.798 -0.13671 8.429 5.411
8.760 0.07662 8.176 8.506
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.04086 4.759 5.874 4.186
0.60714 7.267 5.411 4.588
0.28455 5.902 6.535 5.777
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.255 -6.3237 7.723 0.2943
4.695 -0.5640 6.818 0.1704
2.880 -0.2878 7.136 0.1439
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
12.701 -0.8349 -2.577 -1.598
8.635 -0.3650 1.968 -2.346
5.764 0.3017 1.538 1.228
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.0914 -0.08576 4.785 0.6088
-0.1132 -0.04397 -2.620 -3.7885
1.0808 -0.04518 -1.767 -0.8011
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.206 -0.24491 -4.700 3.824
9.463 0.13993 -5.616 2.664
4.784 -0.02839 6.318 1.885
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.0967 7.2277 11.688 5.868
-2.0061 -10.4481 -2.808 3.228
0.5658 0.9858 -3.742 -8.234
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.191 -0.2688 -0.0390121 -0.9316
11.841 -0.7291 -0.0009179 -2.9368
-3.061 -0.5882 -0.0009657 5.9256
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.761 -3.967 0.34650 -7.5309
-7.964 -1.852 0.21700 -0.6142
-7.651 3.680 0.07676 -2.3423
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.5646 1.9441 2.321 0.3645
-0.5057 1.6459 -5.666 0.9781
-2.1720 0.9417 -1.527 0.4813
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.5704 0.4353 2.289 1.7412
-5.5886 0.5956 1.538 0.8224
-0.5204 0.9665 1.626 0.7789
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.2148 1.6728 -3.3208 1.8779
1.3280 0.6840 -0.9059 0.5997
0.8862 0.3081 -0.4532 0.7227
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.84508 -0.1623 3.063 2.336
0.07649 -0.4385 2.521 1.905
0.07869 -0.4772 1.348 1.512
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.0851 0.02685 3.2085 0.02114
-0.4116 0.27564 -0.8725 0.02108
-0.3563 -0.08191 -0.5576 -0.12914
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.3715 2.535 6.449 -11.577
1.0312 1.805 5.852 -5.925
1.1734 1.741 4.413 -5.188
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.3724 4.3492 0.33224 0.2246
3.9293 -0.2338 -0.01772 1.1826
-0.7705 0.5344 0.01565 0.2777
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.8881 0.8503 -11.04 105.9
-0.7941 -0.4926 -11.44 104.8
1.0688 -0.3531 -11.31 103.7
rnd_95776.volume rnd_95787.volume
-38.44 6.655
12.37 12.481
-15.62 1.712
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.876 4.920 22.62 7.219 13.61 3.799 3.745 8.832 10.01 7.649 4.318
[2,] 6.920 4.935 22.62 8.279 14.26 3.800 3.873 8.872 10.02 9.821 4.838
[3,] 7.106 4.985 23.15 9.694 14.75 4.056 4.189 8.888 10.03 9.876 4.892
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.504 5.076 6.935 7.675 5.545 7.172 6.459 11.79 9.252 16.86 6.801
[2,] 7.848 5.108 7.464 8.144 5.625 8.006 7.630 12.35 9.645 16.87 6.859
[3,] 8.621 5.274 7.628 8.453 5.697 8.154 7.854 12.91 10.269 16.87 6.914
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.70 9.45 3.177 7.896 7.099 6.611 6.830 3.192 7.480 7.977 3.652
[2,] 25.85 10.39 3.189 10.581 9.935 6.642 8.315 3.253 8.483 8.443 3.657
[3,] 26.01 11.64 3.191 12.250 10.578 6.777 9.793 3.266 9.828 8.930 3.696
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.432 7.841 7.880 7.830 7.051 6.318 2.111 6.067 1.873 5.854 6.459
[2,] 9.364 8.997 9.102 8.640 7.551 6.480 2.115 6.582 1.873 6.169 7.361
[3,] 10.415 9.732 9.731 9.047 7.621 6.642 2.118 6.841 1.880 6.311 7.905
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.099 2.832 6.195 7.576 7.789 4.133 8.297 7.895 3.121 7.307 6.393
[2,] 5.236 2.852 7.879 7.712 7.811 4.135 10.125 8.167 3.227 9.052 8.182
[3,] 5.477 2.861 8.145 8.029 8.532 4.148 11.311 8.793 3.347 10.205 8.919
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.240 4.405 6.210 2.233 8.259 3.185 6.187 5.272 6.921 9.638 3.590
[2,] 7.465 7.693 6.254 2.253 8.394 3.329 6.258 5.275 7.495 10.278 3.631
[3,] 8.527 9.027 6.262 2.255 9.771 3.585 6.654 5.298 7.580 10.361 3.691
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.077 5.318 13.28 3.472 7.329 8.202 8.889 9.446 8.825 7.331 7.772
[2,] 9.533 5.363 14.44 3.549 7.513 8.344 9.500 9.588 9.938 8.648 9.075
[3,] 9.660 5.549 14.83 3.597 7.561 8.395 9.762 9.660 10.758 8.758 9.259
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.475 7.980 5.030 8.373 4.023 4.249 3.218 7.476 6.326 10.57 11.46
[2,] 2.483 9.064 5.522 8.854 4.033 4.415 3.225 7.770 6.378 10.81 11.67
[3,] 2.487 9.601 5.839 9.273 4.043 4.571 3.226 7.907 6.433 11.11 12.26
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.976 3.652 4.864 4.850 5.356 3.769 1.516 6.149 21.27 9.977
[2,] 4.091 4.877 4.869 4.854 5.495 3.813 1.526 8.053 28.60 10.988
[3,] 4.673 4.888 4.926 4.933 5.841 3.815 1.795 9.568 29.66 12.270
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.731 6.248 28.73 9.167 17.28 4.824 4.756 11.22 12.71
[2,] 85.544 41.174 37.37 440.496 460.65 8.211 107.432 91.90 37.44
[3,] 175.382 76.877 531.35 548.008 413.03 154.375 173.300 57.87 52.45
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.713 5.483 8.259 6.446 8.807 9.746 7.042 9.107
[2,] 669.362 237.035 477.221 62.363 299.960 296.063 102.732 386.666
[3,] 114.052 78.954 387.790 142.604 171.027 246.164 98.480 168.437
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.202 14.97 11.75 21.41 8.636 25.02 12.0 4.034 10.03
[2,] 441.442 402.66 296.16 73.71 97.242 1818.52 469.8 30.141 765.48
[3,] 202.578 408.16 383.15 16.89 94.171 313.34 569.1 13.705 670.74
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.014 8.395 8.672 4.053 9.498 10.13 4.638 10.71 9.956
[2,] 755.247 70.159 515.517 68.034 434.849 300.65 21.727 442.53 479.471
[3,] 394.966 146.382 562.123 32.780 539.383 316.26 57.812 495.64 403.356
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.01 9.942 8.953 8.022 2.681 7.704 2.379 7.434 8.202
[2,] 495.06 397.051 293.816 156.631 14.947 277.366 4.127 211.401 383.670
[3,] 373.94 291.819 112.132 158.733 11.671 202.567 17.211 144.710 313.152
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.475 3.596 7.866 9.621 9.891 5.248 10.54 10.03 3.963
[2,] 129.472 36.870 529.033 156.915 63.537 14.801 630.59 227.51 89.232
[3,] 174.826 25.422 224.808 242.662 373.100 36.041 547.86 353.99 96.852
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.279 8.118 7.924 5.593 7.886 2.836 10.49 4.044 7.856
[2,] 580.504 554.864 445.234 685.399 81.101 32.262 163.65 105.341 102.791
[3,] 512.107 386.042 447.984 513.152 33.365 9.781 543.39 144.553 245.761
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.695 8.789 12.24 4.559 11.53 6.754 16.87 4.409 9.307
[2,] 20.155 312.521 388.05 59.020 316.69 74.781 614.91 79.977 179.439
[3,] 54.395 123.388 142.61 72.392 169.69 155.272 368.63 63.857 92.758
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.41 11.29 11.99 11.21 9.309 9.869 3.143 10.13 6.388
[2,] 167.03 364.10 179.05 496.52 498.561 509.114 20.992 467.19 247.472
[3,] 100.54 244.48 128.17 447.86 150.417 199.774 15.724 343.97 206.352
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.63 5.109 5.396 4.087 9.493 8.032 13.43 14.55 3.779
[2,] 313.03 30.719 130.560 22.707 230.158 89.239 244.20 238.32 304.994
[3,] 299.37 31.192 128.405 9.366 159.473 90.822 280.49 411.62 245.534
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.637 6.176 6.158 6.802 4.786 1.925 7.808 27.01 12.67
[2,] 351.266 24.702 22.266 133.222 62.939 19.105 565.084 2078.24 500.37
[3,] 35.335 81.380 96.144 215.284 13.563 102.823 561.419 852.35 593.32
[1] "--- VAR model 2017-10-05 10:31:00 completed"
[1] "Completed training sample: 2017-10-05 10:31:00 - 2017-10-05 18:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 11:01:00 - 2017-10-05 19:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.0775 -0.13443 2.191 3.105
0.3388 0.03970 12.697 3.739
0.0301 0.03143 2.930 -2.217
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.8068438 -0.1201 2.694 -0.4839
-0.0005967 1.4533 2.480 0.4047
5.2502323 0.7063 2.092 -0.9994
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.4104 -5.46652 -0.2479 -19.40
-0.2578 0.96429 1.0478 -16.96
-0.3259 -0.05647 0.4974 -17.94
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.206 2.02696 -0.04803 -2.3064
1.756 -1.26201 -2.22883 -1.3636
1.910 0.06999 -1.23608 -0.7688
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.574 0.5458 6.630 6.067
-0.150 -1.3148 1.615 6.396
-1.704 -1.4931 9.095 7.468
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.121963 -0.9785 1.658 -0.9432
0.003226 -0.7364 3.863 0.7195
0.375033 -0.4293 5.114 1.3557
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.16757 2.106 5.7078 2.6092
-0.05008 -2.058 -0.5221 0.4228
-0.10945 1.600 0.9654 -0.2316
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.358 -0.01357 1.172 7.780
3.643 0.25670 4.792 9.400
-1.697 -0.03336 -1.565 7.952
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2341 -2.8708 -12.9552 -5.071
-1.2118 4.2292 0.4096 -1.318
-0.7351 0.6865 3.7290 2.890
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.895 2.0002 2.642 0.2709
2.073 -0.9324 3.516 0.1265
1.564 -0.6853 5.938 0.0261
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.432 0.09286 1.28492 -2.740
-1.626 0.09389 -2.06014 -3.350
-1.076 -0.17977 0.08497 -4.889
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.8215 0.8034 -4.883 -2.2371
0.8353 0.5556 -2.609 0.8198
0.6755 0.1754 -2.450 -0.1387
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.499 -0.8633 0.06781 2.558
5.178 -0.4601 0.32480 3.921
4.233 -0.1365 -1.88602 5.510
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.40286 2.5681 3.14261 -7.1881
0.06811 0.6473 0.12134 2.4218
-0.70946 -2.7461 -0.03177 0.7509
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.7710 -0.7864 0.56451 -2.69004
1.5617 0.2982 0.18297 -2.04473
0.3444 -0.6290 0.02607 -0.07179
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.006 -4.640 0.89616 4.9986
-3.999 3.191 -0.13370 -0.6737
-3.816 -2.383 -0.06962 0.8725
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.348 -0.3334 4.321 1.786
-2.655 -0.3959 3.534 1.779
2.652 -0.2093 0.758 1.061
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.969 0.3285 -1.9710 0.7798
4.446 1.0821 0.4642 0.5076
-1.062 0.7755 -0.6858 0.5123
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.957 2.326 0.4391 4.0082
3.100 1.698 1.0444 0.6214
2.022 1.210 1.4860 1.2446
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.342 0.2922 1.662 -0.9898
1.968 -0.2038 3.202 -0.6836
1.051 -0.2224 1.257 -0.5106
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.871 -0.33214 0.4512 -0.09701
1.919 0.50717 0.4250 0.40290
1.511 -0.05654 -0.5514 0.23918
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.58633 0.11411 2.250 4.319
0.01588 -0.22268 2.104 4.394
0.41993 -0.01488 2.234 1.866
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.7997 1.97202 -0.19648 -0.70458
1.6686 -0.77399 0.08479 0.27846
-0.7493 0.08223 0.00345 -0.04462
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.9241 0.40501 -11.62 120.8
0.4856 0.03714 -11.61 121.5
-2.2198 -0.04625 -11.55 121.7
rnd_95776.volume rnd_95787.volume
1.1324 0.9810
-12.3604 0.7132
-0.2777 1.2579
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.029 4.949 23.14 7.147 13.67 3.834 3.755 8.925 10.05 7.710 4.397
[2,] 7.078 4.957 23.14 8.213 14.37 3.835 3.871 8.968 10.05 9.957 4.888
[3,] 7.276 5.011 23.67 9.603 15.03 4.106 4.183 8.989 10.07 9.995 4.947
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.530 5.191 7.013 7.697 5.577 7.255 6.446 11.76 9.387 17.04 6.840
[2,] 7.863 5.218 7.492 8.145 5.657 8.161 7.703 12.34 9.809 17.06 6.909
[3,] 8.661 5.371 7.654 8.449 5.726 8.307 7.960 12.98 10.447 17.06 6.959
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.72 9.343 3.318 7.902 7.214 6.687 6.833 3.234 7.420 8.054 3.586
[2,] 26.06 10.306 3.325 10.510 9.969 6.713 8.234 3.292 8.493 8.540 3.594
[3,] 26.23 11.652 3.329 12.310 10.633 6.881 9.681 3.303 9.816 9.006 3.626
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.476 8.116 7.898 7.779 7.035 6.475 2.180 6.082 1.942 5.807 6.400
[2,] 9.356 9.096 9.206 8.580 7.531 6.633 2.187 6.611 1.942 6.112 7.241
[3,] 10.344 9.814 9.742 8.949 7.597 6.776 2.192 6.847 1.951 6.238 7.774
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.164 2.836 6.070 7.756 7.818 4.234 8.454 7.991 3.206 7.436 6.445
[2,] 5.316 2.866 7.720 7.873 7.859 4.241 10.273 8.285 3.319 9.164 8.266
[3,] 5.565 2.890 7.957 8.160 8.606 4.268 11.424 8.922 3.432 10.243 8.962
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.005 4.337 6.323 2.218 8.382 3.182 6.247 5.318 7.137 9.883 3.602
[2,] 7.236 7.636 6.400 2.238 8.499 3.323 6.296 5.323 7.741 10.617 3.645
[3,] 8.293 8.941 6.406 2.240 9.880 3.567 6.738 5.361 7.812 10.698 3.697
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.913 5.445 13.34 3.464 7.403 8.229 8.530 9.387 8.918 7.812 7.764
[2,] 9.609 5.502 14.63 3.544 7.594 8.377 9.305 9.519 10.009 8.879 9.168
[3,] 9.755 5.683 15.08 3.597 7.642 8.448 9.566 9.609 10.848 8.977 9.351
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.493 7.994 4.998 8.436 4.033 4.262 3.214 7.490 6.264 10.61 11.55
[2,] 2.505 9.191 5.518 8.955 4.046 4.429 3.218 7.778 6.316 10.92 11.74
[3,] 2.511 9.685 5.889 9.416 4.052 4.613 3.222 7.924 6.374 11.21 12.35
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.870 3.591 4.903 4.916 5.369 3.867 1.520 6.607 21.22 9.914
[2,] 4.071 4.901 4.909 4.920 5.489 3.915 1.530 8.522 28.41 10.990
[3,] 4.671 4.911 4.969 5.000 5.863 3.922 1.796 9.914 29.37 12.413
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.926 6.284 29.39 9.076 17.36 4.869 4.768 11.33 12.77
[2,] 100.077 34.736 44.43 487.922 532.90 12.001 113.615 107.09 16.37
[3,] 203.397 88.411 598.01 600.197 533.17 177.026 191.058 74.74 64.45
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.79 5.583 8.292 6.592 8.905 9.774 7.082 9.212
[2,] 759.84 257.514 528.076 64.636 317.993 321.495 114.289 450.792
[3,] 104.86 91.959 438.000 153.205 188.785 270.852 106.988 186.893
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.186 14.93 11.92 21.64 8.685 25.04 11.86 4.213 10.03
[2,] 508.455 451.29 343.10 90.28 117.675 2054.70 524.72 27.406 835.57
[3,] 241.987 486.38 433.80 35.46 100.967 365.02 655.55 17.641 772.93
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.16 8.491 8.677 4.106 9.422 10.23 4.554 10.76 10.31
[2,] 829.64 71.267 554.128 74.804 498.476 342.55 28.089 477.88 495.08
[3,] 446.07 182.443 613.847 32.294 593.432 344.73 58.754 532.07 444.41
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.03 9.878 8.933 8.222 2.769 7.723 2.467 7.374 8.127
[2,] 570.45 436.501 324.310 174.026 20.583 312.561 2.014 229.910 408.323
[3,] 384.38 306.726 120.749 166.662 17.504 214.887 22.369 150.833 341.245
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.558 3.601 7.708 9.849 9.928 5.376 10.74 10.15 4.071
[2,] 152.034 50.413 575.241 163.117 97.329 30.464 703.82 263.68 103.291
[3,] 198.410 44.608 232.568 258.846 423.026 57.969 602.67 399.22 105.441
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.443 8.184 7.625 5.507 8.029 2.817 10.64 4.04 7.933
[2,] 645.899 624.046 487.027 757.853 119.626 35.965 170.08 115.48 94.383
[3,] 551.867 417.815 488.503 560.978 34.225 12.425 607.47 156.61 289.351
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.753 9.063 12.55 4.574 11.32 6.914 16.94 4.399 9.401
[2,] 28.793 361.628 467.77 67.335 433.27 95.643 723.60 90.268 203.930
[3,] 76.526 126.500 158.90 74.527 202.71 171.335 439.48 74.579 103.299
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.45 10.83 11.92 11.32 9.92 9.859 3.165 10.15 6.347
[2,] 189.23 448.43 191.30 547.87 508.89 587.853 29.730 546.82 281.955
[3,] 131.98 267.73 157.73 504.52 159.93 222.723 21.472 368.45 248.117
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.71 5.121 5.412 4.082 9.511 7.954 13.47 14.67 3.645
[2,] 362.33 38.466 145.620 20.137 253.086 97.499 312.94 252.34 348.056
[3,] 351.25 28.101 155.587 19.143 182.754 104.104 304.34 461.30 276.213
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.559 6.226 6.242 6.818 4.911 1.93 8.389 26.94 12.59
[2,] 402.209 31.033 26.196 138.058 74.010 20.97 649.169 2278.24 571.89
[3,] 39.060 92.370 107.531 248.403 27.734 113.56 610.870 897.24 696.08
[1] "--- VAR model 2017-10-05 11:01:00 completed"
[1] "Completed training sample: 2017-10-05 11:01:00 - 2017-10-05 19:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 11:31:00 - 2017-10-05 19:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.872 0.3871 2.2732 15.447
4.909 0.1156 1.0230 8.448
2.513 0.1018 0.6513 2.610
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.222 2.253 0.8265 1.4755
12.064 1.714 0.5683 0.8909
12.290 1.596 0.6696 0.6829
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.5786 0.7909 3.956 -8.040
1.6693 1.2106 1.731 -6.540
0.8825 0.8831 1.277 -5.296
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.922 3.204 3.5600 -1.780
2.734 1.494 0.2819 -1.771
2.114 1.625 0.1741 -1.585
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.229 -6.3618 0.8255 8.519
1.004 1.4779 4.3910 2.774
-0.422 -0.4306 3.1219 3.608
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.59672 -0.2512 11.024 3.574
-0.27766 -0.3361 9.165 4.766
-0.04459 -0.9334 5.011 3.375
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.32040 5.258 16.353 2.757
0.06918 4.936 2.518 3.010
-0.12297 3.458 5.074 1.993
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
17.823 1.0112 11.175 3.672
8.383 0.5909 12.737 5.562
1.989 0.4605 2.193 5.132
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2188 3.501 5.016 6.939
0.7894 15.174 10.270 5.210
0.4163 4.565 9.400 11.250
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.42504 4.7820 -0.1929 -0.28319
-1.73792 -0.9865 -1.8068 -0.20221
-0.05228 1.4835 -4.1227 -0.02843
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.6525 -0.3326 -0.3517 -9.254
-1.2570 0.3985 1.6243 -5.605
-0.8321 0.4165 1.5028 -3.833
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.52765 -0.5725 -1.709 2.8183
-0.06603 -0.4609 -4.644 1.3842
0.78656 -0.2627 -3.082 0.7248
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.339 0.7732 1.645 4.215
1.914 0.5365 6.073 6.670
4.104 0.2171 -2.410 7.590
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4734 6.339 5.4947 -4.749
0.5268 3.231 0.9689 4.180
0.2282 2.536 3.4167 2.522
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.123 0.3115 0.11766 6.981
4.593 -0.1446 0.04852 -8.671
1.450 0.2729 0.01859 3.236
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.782 1.6116 1.7534 2.441
-3.342 0.8133 0.9604 4.146
-3.403 -1.1847 0.1923 -1.332
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.369 0.05678 9.896 1.659
5.636 0.15846 4.165 1.911
1.503 0.08787 4.768 1.623
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
17.141 0.6396 3.254 3.375
3.529 0.2689 2.458 2.584
5.050 -0.1057 1.570 1.619
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.469 3.173 -0.04641 8.376
-1.495 1.905 -1.10048 5.382
-1.742 1.411 0.93227 4.670
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.5905 -0.39039 3.698 1.965
1.5342 -0.04157 5.864 1.610
0.9996 -0.03324 4.740 1.413
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.605 -0.5252 1.897 -0.04768
-1.404 0.8058 1.284 0.17054
1.221 -0.6132 1.642 0.05568
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.7299 1.1144 2.801 3.099
0.2851 0.1392 2.194 4.157
-0.2578 0.1523 1.165 3.547
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.94512 0.9904 -0.2082 -0.149615
0.29458 -0.2838 0.4886 0.141325
0.01262 0.1532 0.1210 0.004845
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.4996 -0.53231 -11.79 122.2
2.2727 0.41760 -11.11 122.5
-1.4440 0.08684 -11.30 123.0
rnd_95776.volume rnd_95787.volume
11.88 1.832
4.28 6.971
-1.89 2.478
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.059 5.061 23.23 7.004 13.65 3.860 3.757 8.966 10.02 7.634 4.407
[2,] 7.101 5.069 23.23 8.150 14.33 3.861 3.876 8.994 10.02 9.852 4.915
[3,] 7.331 5.118 23.81 9.492 14.99 4.122 4.189 9.028 10.04 9.888 4.969
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.473 5.202 7.092 7.278 5.131 7.456 6.288 11.89 9.360 16.99 6.850
[2,] 7.766 5.226 7.561 7.710 5.258 8.145 7.504 12.54 9.816 17.01 6.911
[3,] 8.546 5.363 7.711 8.032 5.329 8.316 7.784 13.16 10.433 17.01 6.959
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.71 9.333 3.340 7.866 7.184 6.807 6.768 3.278 7.476 7.974 3.615
[2,] 25.91 10.358 3.346 10.491 9.873 6.840 8.238 3.346 8.532 8.449 3.620
[3,] 26.09 11.674 3.347 12.273 10.571 7.023 9.638 3.356 9.812 8.943 3.656
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.508 7.880 7.882 7.904 7.070 6.431 2.218 6.091 1.956 5.740 6.291
[2,] 9.300 9.001 9.177 8.693 7.611 6.655 2.228 6.601 1.957 6.042 7.251
[3,] 10.282 9.702 9.648 9.047 7.667 6.773 2.230 6.849 1.964 6.179 7.751
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.096 2.769 5.978 7.870 7.910 4.210 8.378 8.130 3.247 7.650 6.502
[2,] 5.334 2.800 7.419 7.987 7.962 4.224 10.180 8.448 3.375 9.372 8.346
[3,] 5.525 2.816 7.748 8.314 8.776 4.267 10.922 9.103 3.461 10.358 9.032
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.086 4.409 6.285 2.216 8.440 3.185 6.299 5.499 7.112 9.436 3.528
[2,] 7.306 7.695 6.353 2.237 8.547 3.323 6.335 5.504 7.698 10.643 3.575
[3,] 8.381 9.004 6.356 2.240 9.944 3.556 6.795 5.525 7.770 10.718 3.628
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.248 5.459 13.34 3.432 7.481 8.254 8.342 9.154 8.964 7.886 7.735
[2,] 9.729 5.515 14.51 3.521 7.646 8.393 9.201 9.625 10.015 8.763 9.136
[3,] 9.875 5.665 14.99 3.574 7.699 8.481 9.457 9.726 10.869 8.894 9.362
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.498 7.948 4.917 8.344 4.074 4.306 3.233 7.525 6.369 10.72 11.63
[2,] 2.512 9.182 5.471 8.811 4.088 4.454 3.234 7.845 6.418 11.01 11.81
[3,] 2.521 9.593 5.843 9.259 4.090 4.631 3.234 7.993 6.477 11.27 12.40
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.827 3.561 4.902 4.920 5.508 3.910 1.539 7.133 21.26 9.919
[2,] 4.054 4.906 4.909 4.926 5.615 3.957 1.548 8.942 28.01 11.068
[3,] 4.680 4.916 4.965 5.000 5.967 3.967 1.809 10.176 28.82 12.430
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.963 6.427 29.49 8.894 17.34 4.902 4.771 11.39 12.72
[2,] 101.074 37.576 53.71 545.753 571.50 10.502 124.894 93.75 11.76
[3,] 238.929 92.600 682.08 637.270 577.30 189.162 208.142 101.52 80.43
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.694 5.596 8.22 6.606 9.006 9.241 6.516 9.468
[2,] 815.537 285.001 561.87 65.139 343.341 333.501 150.582 429.373
[3,] 110.078 96.135 467.13 158.111 198.169 294.697 113.518 220.253
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.984 15.1 11.89 21.58 8.699 25.03 11.85 4.242 9.989
[2,] 536.319 521.4 387.25 98.44 120.172 2201.82 588.31 25.143 909.064
[3,] 271.005 523.0 463.25 38.71 107.491 403.56 705.21 14.881 834.067
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 9.123 8.644 8.595 4.162 9.493 10.13 4.59 10.8 10.01
[2,] 886.883 87.249 615.069 87.681 538.517 365.57 26.10 491.8 569.69
[3,] 494.906 208.664 655.096 35.201 634.757 384.07 67.26 574.5 474.15
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.01 10.04 8.978 8.167 2.817 7.735 2.484 7.289 7.989
[2,] 615.42 473.96 369.243 223.946 27.566 333.246 5.891 247.230 472.246
[3,] 390.25 328.13 121.241 165.160 12.347 239.248 21.737 169.302 358.465
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.471 3.517 7.591 9.994 10.04 5.346 10.64 10.32 4.123
[2,] 206.369 54.174 575.578 178.206 119.06 45.051 757.34 300.94 120.579
[3,] 188.650 38.925 292.390 302.406 483.50 79.911 518.19 443.98 100.695
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.714 8.256 7.729 5.599 7.981 2.814 10.72 4.045 7.998
[2,] 709.033 685.253 529.317 825.942 121.225 40.384 177.13 124.125 88.959
[3,] 577.788 452.122 537.785 612.231 24.509 15.062 665.47 165.671 321.719
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.982 9.031 11.98 4.479 11.74 6.932 16.94 4.358 9.499
[2,] 33.148 386.054 644.90 75.706 395.66 102.873 749.92 103.206 207.263
[3,] 62.785 137.924 165.67 81.367 222.14 169.871 491.58 80.254 118.288
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.48 10.59 11.62 11.38 10.01 9.823 3.172 10.09 6.243
[2,] 198.97 508.30 389.78 584.99 500.44 636.760 34.918 602.02 314.364
[3,] 159.73 286.61 182.60 553.01 199.48 267.747 27.967 364.07 268.497
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.6 5.173 5.468 4.106 9.555 8.087 13.61 14.76 3.59
[2,] 370.7 44.746 148.978 10.549 290.680 104.348 330.27 273.37 380.53
[3,] 372.8 17.380 166.032 6.551 200.782 114.131 315.90 494.53 306.24
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.522 6.225 6.248 6.994 4.965 1.955 9.058 26.99 12.6
[2,] 441.925 33.415 30.522 143.053 80.005 22.000 706.194 2388.50 643.1
[3,] 41.426 97.232 112.560 264.434 35.796 122.518 636.204 887.80 740.9
[1] "--- VAR model 2017-10-05 11:31:00 completed"
[1] "Completed training sample: 2017-10-05 11:31:00 - 2017-10-05 19:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 12:01:00 - 2017-10-05 20:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.3604 -0.07629 1.477 16.168
-0.1679 0.38810 -3.311 5.596
-0.1595 0.13254 -0.408 -2.781
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.102 1.0843 -1.079 -0.002546
12.767 1.0020 -1.477 0.043979
8.049 0.6002 -1.304 -0.125032
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.15806 -3.6361 2.665 -15.30
0.06644 0.6235 1.922 -16.82
0.38679 0.3479 1.755 -17.26
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.102 2.8352 0.4875 -3.238
2.530 -2.0474 -3.0405 -2.063
2.816 -0.5234 -1.5422 -2.140
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.498 -2.225 -10.406 -5.551
-2.805 -4.341 -7.413 -5.110
-3.199 -2.860 -9.351 -8.372
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.06061 -0.6242 -7.8659 1.008
0.43508 -0.6269 6.1815 -1.501
0.49255 -0.5699 0.2214 2.947
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.21577 1.111 12.951 2.340
0.09986 -1.443 -2.905 2.845
-0.10752 2.462 1.105 1.933
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
20.301 1.2567 10.29 -2.1883
4.564 0.7381 10.42 -2.0439
-2.730 0.6025 -2.57 -0.9654
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5530 4.444 -0.1406 -2.571
-0.4973 12.662 11.7874 5.277
-0.2217 1.544 6.3201 9.751
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.9706 2.096 -2.160 0.4781
-0.2993 -7.042 -1.235 0.1250
-0.7351 2.089 -1.330 0.2582
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.6856 -0.5262 0.8964 -11.001
-0.4776 -0.3329 -1.1272 -6.887
-0.3363 -0.3828 1.9010 -8.740
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.5458 -0.12831 -7.699 4.9285
-2.4641 -0.12149 -6.543 -1.5822
-2.2608 -0.05924 -6.747 0.6532
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.21072 0.8079 2.769 8.624
-1.88124 0.6107 -7.224 7.981
-0.07693 0.2680 -3.366 8.199
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.2413 9.616 6.082 3.447
-0.9779 -4.947 1.500 6.242
0.1997 -2.161 -3.892 -4.459
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.926 0.27988 -0.0053820 0.09294
5.381 -0.04458 -0.0046530 2.36202
1.966 -0.04479 -0.0008199 4.72792
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.1997 -3.425 -0.3609 -3.6996
-1.6502 1.172 -0.2332 -1.7578
-0.9413 1.796 -0.1024 0.7579
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.9711 -0.8139 -0.8201 -2.145
-3.1179 -0.7356 -2.5984 -2.854
-0.1743 -0.4059 -1.0883 -1.682
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.246 -0.1494 -0.8500 0.6538
-4.087 -0.7644 0.9526 0.4114
-2.566 -0.2011 -1.3753 0.2708
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.841 -0.00494 1.775 -0.26586
-2.346 -0.12012 1.520 0.01469
-1.897 0.08063 1.297 0.44219
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.5992 -0.4546 3.1240 1.0335
3.4062 -0.2117 0.4348 0.7855
-0.4988 -0.1467 0.2251 0.7171
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.4525 0.1482 0.6694 0.01421
0.5745 -0.3810 0.7757 -0.02386
1.0343 0.6631 -1.7580 -0.04189
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.23212 -0.56361 -1.3080 -1.929
0.03524 0.05604 -1.9608 -4.145
-0.26964 0.18103 -0.7598 -3.202
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.13478 -0.8004 -0.48027 -0.3618
-0.67406 -0.3268 0.01706 -0.2475
-0.07718 -0.1877 -0.03499 -0.1117
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.793 -0.15110 -9.419 119.8
1.510 0.25476 -9.902 117.2
1.482 0.05534 -9.730 117.8
rnd_95776.volume rnd_95787.volume
-25.872 -1.2734
5.196 0.3512
-11.716 2.4293
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.763 5.049 23.15 6.961 13.65 3.852 3.674 8.930 9.835 7.556 4.461
[2,] 6.792 5.063 23.15 7.879 14.37 3.852 3.800 8.964 9.837 9.831 4.948
[3,] 7.229 5.103 23.68 9.412 14.97 4.102 4.082 9.002 9.857 9.858 5.005
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.416 5.255 7.028 6.905 4.590 7.532 6.409 11.84 9.409 16.83 6.952
[2,] 7.635 5.278 7.445 7.167 4.695 8.176 7.764 12.43 9.831 16.85 7.013
[3,] 8.435 5.408 7.591 7.706 4.811 8.344 7.947 13.11 10.533 16.86 7.058
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.55 9.251 3.325 7.735 6.948 6.677 6.738 3.305 7.395 7.901 3.633
[2,] 25.39 10.322 3.331 10.431 9.805 6.707 8.060 3.378 8.354 8.400 3.638
[3,] 25.53 11.604 3.333 12.076 10.601 6.934 9.544 3.387 9.681 8.896 3.680
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.509 8.092 7.769 7.816 6.906 6.497 2.184 6.081 1.901 5.729 6.378
[2,] 9.350 9.066 9.025 8.625 7.409 6.733 2.194 6.600 1.903 6.144 7.428
[3,] 10.347 9.671 9.523 8.966 7.461 6.892 2.201 6.837 1.911 6.245 7.986
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.124 2.754 6.104 7.909 8.020 4.177 8.128 8.204 3.200 7.664 6.502
[2,] 5.353 2.786 7.604 8.028 8.066 4.189 10.024 8.542 3.333 9.290 8.174
[3,] 5.525 2.798 7.945 8.338 8.824 4.240 10.816 9.192 3.428 10.341 8.862
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.011 4.395 6.150 2.192 8.426 3.117 6.322 5.469 6.668 9.945 3.498
[2,] 7.219 7.682 6.226 2.211 8.546 3.257 6.356 5.471 7.678 10.692 3.542
[3,] 8.253 8.902 6.230 2.215 9.970 3.500 6.786 5.506 7.718 10.793 3.606
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.252 5.409 13.34 3.361 7.448 8.204 8.291 9.512 8.968 8.015 7.304
[2,] 9.691 5.466 14.50 3.455 7.600 8.332 9.205 9.582 10.152 8.751 8.618
[3,] 9.877 5.603 15.03 3.512 7.656 8.421 9.438 9.685 11.171 8.880 8.715
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.503 8.005 4.886 8.327 4.058 4.343 3.111 7.418 6.325 10.76 11.44
[2,] 2.518 9.375 5.486 8.719 4.069 4.473 3.111 7.729 6.387 11.04 11.60
[3,] 2.527 9.751 5.848 9.116 4.071 4.648 3.111 7.881 6.428 11.36 12.19
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.686 3.418 4.881 4.893 5.458 3.835 1.553 7.806 20.83 9.685
[2,] 3.980 4.845 4.885 4.898 5.565 3.883 1.565 9.551 27.69 10.969
[3,] 4.628 4.857 4.948 4.974 5.908 3.891 1.830 10.687 28.50 12.314
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.588 6.412 29.40 8.84 17.33 4.891 4.666 11.34 12.49
[2,] 84.785 50.002 46.71 497.01 604.44 7.908 130.698 104.98 28.43
[3,] 333.447 86.554 669.11 693.32 566.42 189.882 200.673 111.00 86.26
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.594 5.665 8.147 6.673 8.925 8.768 5.829 9.564
[2,] 846.831 288.166 557.361 66.437 330.852 258.466 133.253 428.392
[3,] 98.816 101.779 482.856 158.860 199.633 381.211 141.245 224.881
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.138 15.03 11.95 21.37 8.827 24.83 11.75 4.222 9.822
[2,] 590.009 511.67 383.80 110.83 125.054 2181.48 616.58 26.689 942.418
[3,] 228.408 559.15 509.01 82.77 106.672 361.02 713.99 16.928 819.255
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.822 8.478 8.556 4.197 9.39 10.03 4.614 10.8 10.28
[2,] 931.631 85.322 595.750 94.375 523.30 383.98 25.885 521.9 550.35
[3,] 542.698 237.350 688.105 32.954 658.75 394.73 74.518 596.7 453.72
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.865 9.925 8.77 8.25 2.774 7.722 2.414 7.275 8.099
[2,] 618.617 491.104 361.46 237.98 27.997 345.646 11.624 298.985 512.790
[3,] 409.337 330.331 117.98 198.63 22.355 240.149 23.807 150.601 394.905
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.506 3.497 7.752 10.04 10.18 5.304 10.32 10.42 4.064
[2,] 208.677 56.816 610.559 185.83 116.99 44.328 789.91 320.20 125.259
[3,] 184.494 34.835 309.894 303.40 481.65 87.901 547.19 457.52 108.304
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.732 8.257 7.633 5.581 7.809 2.783 10.7 3.958 8.027
[2,] 707.141 667.090 538.333 848.297 130.724 39.632 191.7 127.422 88.535
[3,] 611.646 460.857 538.553 605.828 31.529 16.203 691.4 172.363 320.312
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.945 8.467 12.63 4.442 11.75 6.869 16.94 4.268 9.458
[2,] 19.242 512.650 528.90 75.012 388.27 106.377 765.24 107.575 204.209
[3,] 82.879 105.205 198.03 91.249 257.55 165.624 529.83 84.806 123.884
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.42 10.53 12.08 11.39 10.18 9.275 3.179 10.17 6.204
[2,] 196.15 538.50 156.48 640.78 472.88 615.910 37.126 657.08 336.132
[3,] 164.71 280.47 190.27 627.54 203.11 174.800 27.842 361.04 272.641
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.57 5.153 5.515 3.950 9.419 8.032 13.66 14.53 3.41
[2,] 348.31 40.461 144.197 6.518 292.793 119.168 332.17 261.08 395.53
[3,] 358.44 17.355 170.256 4.894 207.181 98.420 362.55 501.21 318.10
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.34 6.198 6.214 6.931 4.87 1.972 9.913 26.45 12.3
[2,] 462.35 27.113 27.781 145.929 82.41 26.241 740.958 2457.36 693.5
[3,] 47.18 106.290 116.977 267.125 33.47 127.767 645.810 909.75 753.5
[1] "--- VAR model 2017-10-05 12:01:00 completed"
[1] "Completed training sample: 2017-10-05 12:01:00 - 2017-10-05 20:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 12:31:00 - 2017-10-05 20:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8850 -1.1990 0.3497 -11.273
2.8669 -0.4812 -3.3554 -1.669
0.3398 -0.2299 -0.6784 -4.523
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.528 0.7815 1.324 -0.9051
-12.706 0.5697 1.843 -0.6377
-7.725 0.4924 1.387 0.2956
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.0590 2.5516 0.60654 -16.71
0.1711 -1.1104 -0.49972 -16.79
-0.1504 -0.3406 0.07828 -17.40
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1812 -1.3088 -3.542 -1.966
-0.4805 -0.7871 -1.536 -1.673
0.8966 -1.6291 -2.822 -1.086
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.455 -6.081 -3.543 -1.435
-4.778 -5.260 -4.719 -2.466
-3.773 -3.718 -5.349 -2.762
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.7731 -0.2794 -22.572 1.6287
0.3244 -0.5882 -3.819 -9.5152
0.5375 -0.1008 -3.413 -0.3677
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.91634 2.8691 -7.403 2.278
0.05293 -9.6256 -1.977 1.409
0.55983 -0.5557 -6.236 1.251
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.1502 -0.2832 -9.326 -4.697
-0.9063 -0.3565 -5.669 -2.965
-4.6181 -0.2177 -2.000 -2.128
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.5222 -8.480 -6.386 -6.765
0.5929 -10.963 -10.094 -7.263
0.2148 -1.786 -4.309 -7.267
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.28395 -2.435 0.8122 0.3335
-0.16748 -2.619 1.6050 -0.2722
-0.01891 -3.469 2.5153 0.2876
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4258 0.1650 -4.387 -15.05
-0.3582 0.2327 -2.891 -19.08
-0.2510 -0.1462 -3.152 -17.13
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.342 -0.07898 -8.778 0.79423
2.681 -0.14363 -9.567 0.04304
4.256 -0.06221 -13.531 0.11300
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.7296 -0.6393 -13.68 8.174
-3.2082 -0.8828 -5.32 8.672
-0.7528 -0.4279 -5.03 8.006
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.3417 -2.759 3.374 3.376
-1.3215 -9.205 -7.728 -4.211
-0.9712 -2.962 -3.425 -5.305
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.978 -0.5498 -0.022750 4.132
4.437 0.0892 -0.011510 -3.497
-7.649 -0.1439 -0.002011 1.385
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.93087 1.880 0.1944 -2.661
-1.03087 -1.831 0.7545 4.475
-0.06055 1.832 0.6199 -2.206
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.10790 -0.18254 3.76623 -0.1577
2.70396 -0.06815 -0.01673 1.0488
0.06932 -0.04451 3.76691 0.7507
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.3805 0.9903 0.5320 0.5772
0.8383 0.9728 0.2967 0.5075
4.5834 0.8330 0.1055 0.5253
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.2381 0.3528 12.156 2.9920
1.2361 1.0578 11.905 0.2452
0.9115 0.7130 9.802 2.1101
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.399 0.07607 0.314 -4.168
3.971 0.20518 2.585 -3.346
4.140 0.02881 1.046 -2.657
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.902 0.3315 0.4298 0.02008
4.262 -0.4056 -2.7170 -0.10976
3.070 -0.1299 -0.1689 -0.03767
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.5161 -1.5925 4.827 5.653
-1.0607 -1.2330 3.325 7.246
-0.1097 -0.5386 1.856 5.046
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1787 -3.0483 0.28156 0.4609
-2.0782 1.0670 -0.22759 -0.5894
0.9026 -0.5218 -0.04596 -0.0801
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.8120 0.73147 -9.290 120.3
-1.5924 -0.27427 -9.330 119.1
0.7893 -0.09954 -9.438 120.5
rnd_95776.volume rnd_95787.volume
-16.07 2.571
-10.55 -10.794
-14.41 1.090
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.634 4.956 22.96 6.865 12.59 3.851 3.615 8.845 9.730 7.491 4.502
[2,] 6.666 4.965 22.97 7.818 13.22 3.851 3.727 8.879 9.735 9.796 4.965
[3,] 7.103 5.011 23.51 9.314 13.78 4.098 3.998 8.917 9.755 9.819 5.027
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.329 5.330 6.966 6.425 5.043 7.483 6.299 11.84 9.231 16.89 6.948
[2,] 7.520 5.348 7.328 6.739 5.193 8.139 7.668 12.34 9.656 16.90 7.001
[3,] 8.307 5.475 7.472 7.271 5.270 8.305 7.849 13.01 10.348 16.91 7.047
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.43 9.343 3.323 7.841 6.931 6.757 6.689 3.339 7.276 7.894 3.592
[2,] 25.40 10.469 3.332 10.535 9.762 6.779 8.070 3.404 8.225 8.375 3.598
[3,] 25.55 11.827 3.334 12.263 10.586 7.016 9.510 3.417 9.528 8.910 3.636
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.504 8.084 7.694 7.683 6.798 6.499 2.143 6.068 1.855 5.835 6.471
[2,] 9.352 9.053 8.922 8.482 7.317 6.747 2.151 6.595 1.855 6.167 7.621
[3,] 10.360 9.692 9.443 8.862 7.376 6.906 2.156 6.822 1.860 6.281 8.158
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.013 2.736 5.954 7.786 8.094 4.163 8.006 8.233 3.199 7.790 6.455
[2,] 5.216 2.767 7.685 7.892 8.128 4.176 9.851 8.567 3.319 9.476 8.089
[3,] 5.381 2.785 8.052 8.171 8.838 4.227 10.823 9.221 3.435 10.438 8.726
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.990 4.355 6.060 2.179 8.527 3.081 6.338 5.442 7.014 9.003 3.418
[2,] 7.190 7.710 6.115 2.200 8.694 3.209 6.369 5.444 7.613 10.511 3.464
[3,] 8.269 8.878 6.120 2.201 9.907 3.432 6.744 5.473 7.687 10.561 3.537
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.166 5.445 13.00 3.354 7.339 8.184 8.380 9.589 8.917 7.869 7.792
[2,] 9.640 5.496 14.17 3.454 7.509 8.314 9.294 9.654 10.109 8.658 9.254
[3,] 9.782 5.613 14.72 3.515 7.564 8.394 9.508 9.746 11.198 8.797 9.411
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.480 7.983 4.836 8.297 4.122 4.352 3.068 7.337 6.339 10.79 11.39
[2,] 2.497 9.252 5.461 8.762 4.134 4.471 3.068 7.676 6.409 11.08 11.53
[3,] 2.504 9.641 5.859 9.221 4.135 4.663 3.068 7.846 6.445 11.37 12.13
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.579 3.331 4.876 4.884 5.451 3.844 1.576 8.346 20.80 9.75
[2,] 3.907 4.844 4.880 4.888 5.563 3.893 1.592 10.044 27.74 11.11
[3,] 4.584 4.857 4.943 4.967 5.932 3.900 1.862 11.158 28.60 12.56
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.424 6.293 29.16 8.718 15.99 4.890 4.591 11.23 12.36
[2,] 91.454 42.035 69.92 521.661 563.25 6.731 126.785 108.53 46.98
[3,] 342.303 95.185 702.85 706.165 541.36 195.387 201.842 115.42 87.07
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.513 5.716 8.037 6.768 8.846 8.159 6.403 9.502
[2,] 880.407 292.024 566.519 62.675 317.426 283.625 173.380 446.574
[3,] 94.834 110.543 492.142 163.652 203.582 380.989 124.816 230.805
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.998 15.04 11.72 21.45 8.823 24.67 11.86 4.219 9.957
[2,] 610.082 485.58 395.31 77.29 120.184 2282.33 658.77 35.625 981.301
[3,] 233.491 572.91 519.26 69.30 112.148 383.19 767.58 13.603 875.571
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.802 8.58 8.494 4.24 9.239 10.02 4.561 10.8 10.26
[2,] 958.763 77.38 629.656 92.38 535.070 390.29 30.829 542.6 568.49
[3,] 571.299 252.27 701.724 42.05 670.897 424.42 72.995 621.7 482.84
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.771 9.756 8.632 8.253 2.721 7.705 2.355 7.409 8.217
[2,] 630.057 501.430 377.540 252.740 25.673 360.510 4.249 278.533 561.443
[3,] 431.375 357.834 130.114 205.788 22.093 243.404 19.571 166.538 406.047
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.365 3.474 7.56 9.887 10.28 5.287 10.17 10.45 4.062
[2,] 201.419 57.609 677.76 179.625 104.41 44.969 800.63 330.44 123.174
[3,] 184.515 43.450 335.04 295.364 483.90 91.542 625.11 475.82 123.581
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.892 8.197 7.607 5.53 7.696 2.767 10.83 3.912 8.049
[2,] 752.430 679.910 554.599 887.37 114.453 42.000 237.16 125.347 87.045
[3,] 610.774 456.723 569.695 613.98 32.840 11.641 662.54 169.650 309.497
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.911 8.906 11.43 4.34 11.64 6.915 16.51 4.259 9.32
[2,] 22.005 413.189 756.61 78.32 416.16 104.382 787.00 115.006 221.31
[3,] 78.719 147.687 143.84 99.92 232.36 159.233 553.53 91.076 127.64
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.39 10.64 12.18 11.32 9.993 9.894 3.149 10.14 6.141
[2,] 204.46 560.58 156.23 664.24 503.773 696.333 40.608 652.39 353.755
[3,] 160.82 279.76 187.21 671.93 216.939 238.935 26.507 378.40 296.016
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.54 5.235 5.526 3.895 9.317 8.05 13.7 14.46 3.274
[2,] 393.10 42.629 142.981 3.860 314.644 131.83 355.1 256.20 409.305
[3,] 400.87 12.686 184.638 3.701 226.720 94.44 356.1 524.40 334.379
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.229 6.192 6.202 6.922 4.882 2.002 10.6 26.41 12.38
[2,] 490.576 27.747 30.228 154.978 85.424 30.633 779.4 2560.56 743.16
[3,] 48.767 110.317 122.608 287.529 34.403 134.836 677.8 973.41 816.65
[1] "--- VAR model 2017-10-05 12:31:00 completed"
[1] "Completed training sample: 2017-10-05 12:31:00 - 2017-10-05 20:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 13:01:00 - 2017-10-05 21:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.4322 -0.31781 -0.8764 -2.601
0.7298 0.24800 1.1031 -4.781
0.2755 -0.01197 -0.1491 1.712
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.6739 1.4686 1.510 0.20638
-6.2731 1.4681 1.191 0.09706
-7.6992 0.9504 1.254 0.15306
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.56923 1.73067 -0.372861 -11.70
-0.08352 -0.47177 0.992834 -10.56
-0.28791 0.06803 0.001786 -12.15
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6372 -1.1852 -2.117 -1.6912
0.8791 -0.2095 -1.614 -0.9814
1.4479 -0.9849 -1.130 -0.9375
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.015 -3.895 -23.16 -24.57
-2.659 -4.520 -21.33 -20.06
-1.159 -2.546 -19.30 -18.49
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.09082 -0.1397 5.6084 -0.862
-0.13895 -0.3214 -0.8575 1.311
-0.17448 -0.4103 -0.4860 -1.389
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.3174 -4.3502 -7.1458 1.0690
0.5258 2.5123 1.1643 0.9319
0.1664 -0.7782 0.3251 0.5845
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.757 0.7148 -2.8696 -5.872
-4.491 0.2643 -5.3871 -7.747
1.844 0.1946 0.9082 -6.269
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.02296 -2.171 0.4395 -0.8413
-0.08619 -6.003 -4.1331 -2.9575
0.07086 -1.823 -4.9168 -5.3766
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.009758 0.4389 -3.037 -0.1723
-0.122404 -9.0233 -4.045 -0.4139
0.375333 -3.0114 -2.145 -0.2657
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.428 -0.1490 -6.5081 -16.22
1.674 -0.3557 -0.8659 -16.76
1.171 -0.2522 -1.6574 -12.88
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-7.770 -0.6107 -14.47 0.1353
-6.616 -0.4641 -17.95 -1.5184
-6.897 -0.2090 -17.43 -0.2856
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.652 -1.1900 -12.984 6.267
1.155 -0.7968 -9.117 5.292
1.823 -0.4263 -7.612 5.586
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.693 -5.861 0.0939 2.913
-1.873 -10.878 -7.2781 -5.347
-1.532 -6.108 -5.2965 -6.749
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.2569 -0.4469 0.45712 -0.2531
0.7919 0.2683 0.13623 -0.7884
-7.8692 -0.2396 0.07087 -2.3916
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.110 -5.5094 0.6870 -3.1104
-2.042 0.5733 0.3822 -1.6912
-1.524 0.5922 0.1692 -0.2027
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.8527 0.06853 5.5745 0.005096
-2.1901 0.01175 -0.8152 0.518730
0.9353 0.01474 -0.9561 -0.524030
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.474 -0.2638 2.781 0.4473
-1.321 -0.2991 1.095 0.6244
-1.797 -0.1107 2.101 0.1491
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.257 2.341 2.745 3.968
3.134 2.202 2.765 2.350
3.590 1.530 2.283 1.848
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.639 -0.42441 5.629 -2.334
2.763 -0.09814 4.042 -1.956
2.317 -0.33567 2.838 -1.589
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.1914 0.3580 -0.1537 0.18217
3.0142 -0.2204 -2.6467 0.05709
1.8258 0.2100 -2.3701 -0.07148
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.2453 0.04058 4.679 -2.2954
-1.2531 0.02325 4.240 -1.7889
-0.4473 0.31318 3.768 0.2013
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.9127 -0.61772 0.23725 0.05568
-0.7483 -0.02451 0.17434 0.06767
0.2213 0.44438 0.06742 0.01290
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.38171 -0.8163 -9.220 119.3
0.02468 0.2632 -9.584 118.7
-0.18030 0.1539 -9.424 118.8
rnd_95776.volume rnd_95787.volume
-30.02 -0.1778
-20.68 0.3235
-30.20 -0.8941
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.762 4.950 21.65 6.873 12.06 3.862 3.512 8.737 9.712 7.307 4.517
[2,] 6.812 4.957 21.65 7.799 12.71 3.862 3.614 8.763 9.716 9.649 5.010
[3,] 6.966 4.990 22.21 9.277 13.31 4.111 3.901 8.796 9.732 9.681 5.057
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.310 5.291 6.923 6.346 5.111 7.589 6.603 11.89 9.295 16.86 6.792
[2,] 7.474 5.304 7.159 6.583 5.270 8.233 8.004 12.45 9.762 16.86 6.850
[3,] 8.261 5.423 7.318 7.074 5.362 8.395 8.178 13.13 10.510 16.87 6.909
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.21 9.299 3.339 7.619 6.878 6.713 6.674 3.374 7.231 7.790 3.591
[2,] 25.20 10.468 3.348 10.369 9.684 6.738 7.923 3.435 8.202 8.247 3.595
[3,] 25.34 11.862 3.351 12.127 10.563 6.980 9.380 3.451 9.491 8.806 3.626
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.353 8.095 7.579 7.604 6.857 6.403 2.118 6.009 1.819 5.874 6.392
[2,] 9.213 9.066 8.680 8.401 7.364 6.662 2.123 6.546 1.820 6.229 7.534
[3,] 10.156 9.723 9.207 8.806 7.421 6.816 2.127 6.765 1.823 6.343 8.067
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.900 2.689 5.924 7.790 8.047 4.168 7.924 8.116 3.234 7.736 6.455
[2,] 5.198 2.715 7.750 7.905 8.082 4.190 9.884 8.411 3.345 9.355 8.084
[3,] 5.340 2.741 8.123 8.158 8.766 4.245 10.864 9.030 3.458 10.366 8.747
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.035 4.353 6.025 2.135 8.551 3.037 6.154 5.325 6.932 9.067 3.378
[2,] 7.248 7.748 6.076 2.160 8.739 3.155 6.287 5.327 7.552 10.562 3.427
[3,] 8.315 8.849 6.084 2.162 9.903 3.375 6.689 5.357 7.648 10.636 3.503
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.113 5.476 12.72 3.302 7.241 8.040 8.362 9.437 8.791 7.212 7.804
[2,] 9.612 5.526 13.95 3.397 7.407 8.169 9.312 9.533 10.052 8.573 9.149
[3,] 9.755 5.638 14.47 3.464 7.459 8.221 9.513 9.599 11.107 8.684 9.322
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.493 7.906 4.760 8.342 4.097 4.342 3.013 7.375 6.305 10.90 11.46
[2,] 2.512 9.010 5.388 8.827 4.105 4.460 3.013 7.716 6.373 11.20 11.61
[3,] 2.517 9.550 5.809 9.254 4.106 4.661 3.013 7.872 6.402 11.52 12.22
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.404 3.221 4.851 4.871 5.442 3.813 1.554 8.508 20.66 9.641
[2,] 3.847 4.834 4.856 4.875 5.535 3.855 1.568 10.180 27.60 11.034
[3,] 4.551 4.849 4.925 4.957 5.872 3.859 1.840 11.253 28.57 12.509
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.586 6.285 27.49 8.727 15.32 4.904 4.459 11.09 12.33
[2,] 117.892 37.988 43.79 525.924 573.25 7.359 121.656 97.07 42.29
[3,] 207.867 81.794 707.41 716.648 562.16 200.832 209.717 108.86 79.20
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.279 5.736 8.013 6.719 8.791 8.058 6.49 9.636
[2,] 898.804 309.030 571.455 54.097 260.089 250.179 183.25 455.418
[3,] 112.003 97.943 501.787 161.287 216.766 369.389 140.99 234.120
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.385 15.1 11.8 21.41 8.625 24.39 11.81 4.24 9.675
[2,] 645.376 526.5 425.6 67.88 126.511 2325.98 685.88 35.13 1003.112
[3,] 239.406 596.4 555.4 78.15 128.430 389.04 795.79 17.92 897.240
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.734 8.524 8.475 4.284 9.183 9.892 4.56 10.61 10.28
[2,] 972.427 83.280 609.045 92.431 552.007 386.361 25.70 554.27 582.50
[3,] 601.560 259.775 716.253 46.243 681.460 440.440 67.53 609.68 501.00
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.624 9.655 8.708 8.131 2.689 7.63 2.310 7.459 8.117
[2,] 603.769 509.647 382.926 262.301 20.933 370.52 4.704 295.968 568.860
[3,] 438.034 376.733 131.774 205.955 19.420 243.47 15.176 170.597 411.538
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.222 3.415 7.523 9.892 10.22 5.293 10.06 10.31 4.107
[2,] 247.472 53.855 712.659 191.882 108.18 61.434 842.89 315.40 121.998
[3,] 174.505 52.936 347.196 287.768 484.18 96.933 643.18 468.63 125.237
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.824 8.197 7.664 5.527 7.65 2.711 10.86 3.857 7.815
[2,] 750.285 694.081 572.490 914.249 112.92 46.555 257.18 121.874 183.209
[3,] 637.058 476.632 581.502 609.759 45.34 15.285 664.48 171.017 326.097
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.761 8.803 11.51 4.289 11.57 6.954 16.15 4.194 9.195
[2,] 23.622 427.549 772.83 82.675 436.04 105.477 818.96 113.716 222.456
[3,] 80.568 172.024 178.15 103.664 237.76 160.010 549.31 96.306 126.103
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.21 10.62 11.98 11.16 9.158 9.909 3.165 10.04 6.045
[2,] 206.98 584.46 192.90 695.48 661.352 681.293 44.191 616.37 360.130
[3,] 131.22 277.92 160.18 673.95 197.703 255.047 22.964 451.77 309.829
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.59 5.203 5.513 3.826 9.365 8.006 13.84 14.55 3.052
[2,] 411.37 35.979 145.819 3.085 323.714 133.243 371.30 264.21 428.451
[3,] 396.82 15.216 192.972 4.284 222.734 86.397 384.96 544.18 346.782
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.091 6.16 6.185 6.911 4.842 1.973 10.8 26.24 12.24
[2,] 514.030 30.37 28.520 143.749 80.501 30.279 797.4 2610.75 765.67
[3,] 55.020 117.56 128.029 279.933 25.104 137.165 684.2 1051.86 840.48
[1] "--- VAR model 2017-10-05 13:01:00 completed"
[1] "Completed training sample: 2017-10-05 13:01:00 - 2017-10-05 21:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 13:31:00 - 2017-10-05 21:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.3514 -0.8441 -1.8857 -4.681
-1.1022 -0.8865 -1.1091 -13.956
-0.2737 -0.0855 0.2482 -6.944
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.208 1.8889 1.1839 -0.8697
-7.841 0.6632 0.8272 -0.8164
-14.037 0.4822 0.6253 -1.2460
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.4839 -5.0619 -0.7073 -19.29
-2.1105 -0.4293 0.6607 -15.20
-1.1311 -1.0286 -1.4683 -16.73
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.3108 -3.813 -4.084 -5.056
0.2218 -4.535 -4.771 -4.783
-0.9540 -1.613 -3.700 -4.240
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.720 -5.955 -7.397 0.2605
-2.835 -4.144 -7.008 -1.0252
-3.109 -4.278 -8.381 -0.5870
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.4964 0.3191 -25.566 -10.693
0.7834 -0.1457 -9.721 -8.816
0.3216 -0.1005 -7.722 -2.919
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.26945 -15.125 -19.039 3.842
-0.06215 -9.290 -8.623 4.031
-0.12377 -3.339 -6.289 2.428
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.581 0.3658 -3.399 -9.784
-13.385 0.2161 -14.232 -9.766
-6.751 0.1023 -7.566 -9.151
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.5180 -6.792 -7.118 -8.540
0.6821 -10.233 -4.885 -3.525
0.3633 -9.351 -11.418 -9.538
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7255 3.3532 -2.137 0.45814
-0.6336 -0.9368 -1.508 -0.02548
-1.1371 0.7416 -1.150 0.14684
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.2174 0.01894 -3.690 -18.91
-0.8506 0.09546 -4.942 -15.66
-0.5972 0.22576 -3.138 -17.24
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.5301 1.1923 -11.33 -1.0471
-0.8920 0.2408 -14.02 1.7747
-0.1595 -0.1655 -12.24 0.2889
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.508 -1.7529 -9.072 9.996
0.346 -1.1726 -3.019 9.910
-0.651 -0.7006 -10.453 10.999
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.1047 -7.149 -3.903 -3.7714
-0.9986 -2.425 -4.759 -4.8975
-1.6526 -3.765 -1.555 -0.5108
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.326 0.9092 -0.149907 0.9245
-3.686 0.6652 -0.054638 -5.8432
-4.781 0.7999 -0.009113 -4.0024
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.731 -0.8019 -0.05885 -4.259
-2.045 -2.3307 -0.63497 1.333
-2.123 -2.4689 -0.60576 -3.128
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.5362 0.5552 3.9248 1.852
0.1304 0.6669 -0.6898 2.270
-2.4360 0.2828 0.8460 1.259
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.149 0.3361 -1.086 0.27657
-4.315 0.6894 -0.142 -0.06712
1.778 0.4468 -1.186 -0.37399
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.675 0.03256 -3.924 -3.2696
-2.170 -0.62498 -3.092 -0.4963
-1.518 -0.44132 -2.691 -1.5005
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.553 0.01269 2.1621 -2.157
-1.497 -0.06256 -2.1176 -1.786
-1.276 -0.12289 -0.7401 -1.435
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.370 0.1950 -1.1430 0.03072
-1.669 -0.2706 -2.1770 0.17553
-1.445 0.1060 -0.6621 0.11050
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.4029 -1.9394 0.33351 7.286
0.2406 -1.2216 1.17516 6.994
-0.2350 -0.9606 0.08174 9.034
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8473 -1.2407 0.12682 -0.4258
-0.6888 -0.3082 -0.24190 -0.3479
-0.1723 -0.3090 -0.05984 -0.1423
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.928 0.28293 -8.566 110.9
-1.693 -0.03985 -8.285 110.0
-2.226 -0.02127 -8.342 109.0
rnd_95776.volume rnd_95787.volume
0.9044 -11.336
-21.7802 -9.498
-15.9493 -3.006
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.514 4.890 20.11 6.729 12.21 3.830 3.375 8.586 9.669 7.224 4.624
[2,] 6.554 4.905 20.11 7.642 12.83 3.831 3.467 8.615 9.678 9.606 5.112
[3,] 6.908 4.953 20.31 9.092 13.37 4.091 3.744 8.649 9.695 9.630 5.187
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.179 5.256 7.177 6.451 5.318 7.753 7.079 12.21 9.315 16.64 6.512
[2,] 7.210 5.265 7.484 6.760 5.596 8.696 8.321 12.73 9.785 16.64 6.570
[3,] 7.976 5.357 7.724 7.234 5.785 9.011 8.635 13.35 10.399 16.65 6.602
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.88 9.074 3.353 7.282 6.996 6.721 6.623 3.366 7.021 7.792 3.540
[2,] 25.41 10.410 3.358 10.226 9.622 6.742 7.815 3.427 8.055 8.263 3.544
[3,] 25.57 12.077 3.362 12.348 10.591 6.977 9.234 3.444 9.333 8.829 3.560
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.407 8.317 7.720 7.460 6.794 6.344 2.075 5.959 1.814 5.884 6.398
[2,] 9.217 9.218 8.747 8.264 7.286 6.607 2.078 6.544 1.814 6.330 7.370
[3,] 10.105 9.828 9.204 8.698 7.346 6.765 2.083 6.769 1.816 6.493 7.912
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.786 2.454 5.739 7.786 7.963 4.197 7.789 8.154 3.219 7.593 6.281
[2,] 5.019 2.545 7.595 7.893 8.000 4.231 9.437 8.436 3.301 9.070 7.846
[3,] 5.179 2.561 7.893 8.156 8.667 4.297 10.597 9.082 3.396 10.003 8.407
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.027 4.321 5.871 2.083 8.291 2.972 6.118 5.318 6.834 9.032 3.276
[2,] 7.166 7.632 5.924 2.108 8.475 3.081 6.256 5.324 7.500 10.523 3.331
[3,] 8.113 8.632 5.932 2.111 9.819 3.304 6.675 5.339 7.598 10.610 3.410
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.175 5.422 12.62 3.269 7.092 8.014 8.379 9.341 8.621 7.128 7.720
[2,] 9.824 5.466 13.76 3.366 7.285 8.115 9.275 9.447 9.931 8.487 9.060
[3,] 10.018 5.596 14.26 3.441 7.328 8.175 9.488 9.496 10.994 8.603 9.248
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.457 7.747 4.730 8.420 4.115 4.342 2.931 7.233 6.272 10.65 11.38
[2,] 2.471 8.686 5.356 8.958 4.123 4.465 2.931 7.552 6.352 10.99 11.51
[3,] 2.478 9.400 5.790 9.395 4.123 4.631 2.931 7.736 6.392 11.30 12.11
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.375 3.180 4.834 4.863 5.331 3.816 1.532 8.71 19.00 9.336
[2,] 3.841 4.817 4.837 4.865 5.439 3.846 1.547 10.32 25.78 10.890
[3,] 4.529 4.837 4.898 4.936 5.777 3.852 1.821 11.40 27.34 12.617
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.272 6.209 25.54 8.544 15.51 4.864 4.286 10.9 12.28
[2,] 107.844 58.444 25.75 538.957 583.29 10.314 117.879 106.3 63.33
[3,] 324.473 101.455 419.43 732.597 562.49 213.487 210.462 114.7 85.53
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.173 5.872 7.847 6.674 9.114 8.191 6.753 9.845
[2,] 941.757 324.280 552.495 46.452 315.640 300.518 259.120 585.826
[3,] 102.055 130.307 507.231 147.188 284.520 383.115 218.269 351.525
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.989 15.51 11.83 21.13 8.269 23.98 11.52 4.258 9.247
[2,] 650.502 532.84 445.95 50.27 130.157 2530.34 758.93 27.273 1067.819
[3,] 343.476 599.66 523.65 62.13 96.653 416.17 910.71 25.391 1029.332
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.883 8.535 8.411 4.274 8.916 9.895 4.495 10.68 10.56
[2,] 982.687 78.314 617.095 96.059 587.219 408.986 25.377 561.87 591.05
[3,] 658.329 267.535 731.375 50.573 701.260 462.625 50.658 616.07 507.27
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.803 9.474 8.627 8.056 2.635 7.567 2.303 7.472 8.124
[2,] 611.958 528.690 391.687 274.208 17.055 402.272 3.132 347.280 544.216
[3,] 425.702 403.617 139.703 216.709 21.694 257.664 13.002 214.798 428.165
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.078 3.116 7.288 9.887 10.11 5.33 9.891 10.35 4.087
[2,] 224.709 100.722 739.848 192.737 113.46 79.49 792.572 322.07 108.675
[3,] 190.134 42.796 319.580 305.487 496.12 111.63 716.815 500.34 119.106
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.642 7.976 7.654 5.487 7.456 2.645 10.53 3.774 7.768
[2,] 737.812 699.493 576.463 935.744 117.699 47.738 261.55 120.700 194.581
[3,] 627.287 448.925 565.775 599.839 45.757 17.250 737.57 177.601 346.304
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.753 8.678 11.47 4.16 11.65 6.885 16.02 4.151 9.006
[2,] 38.844 459.713 803.13 90.22 522.09 103.776 816.68 119.336 247.978
[3,] 60.362 181.071 202.18 108.35 292.38 177.814 557.18 106.002 118.453
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.18 10.64 11.86 10.95 9.052 9.803 3.121 9.837 6.007
[2,] 190.21 591.84 209.45 733.32 685.237 705.400 38.265 584.385 373.671
[3,] 146.90 297.15 144.29 701.42 209.544 275.993 27.451 534.486 327.178
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.69 5.225 5.514 3.722 9.185 7.964 13.52 14.45 3.015
[2,] 454.88 38.679 154.611 4.126 322.720 149.795 402.12 260.74 448.988
[3,] 421.42 10.359 182.785 3.883 249.514 105.901 397.18 558.13 356.915
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.039 6.139 6.175 6.77 4.846 1.946 11.06 24.13 11.86
[2,] 538.008 23.900 22.020 160.09 70.996 32.110 823.87 2591.09 833.75
[3,] 66.321 115.243 124.327 289.67 33.418 142.847 719.25 1354.71 947.82
[1] "--- VAR model 2017-10-05 13:31:00 completed"
[1] "Completed training sample: 2017-10-05 13:31:00 - 2017-10-05 21:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 14:01:00 - 2017-10-05 22:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.658 2.3649 -1.552 -10.566
6.279 0.5621 5.338 -7.237
2.442 0.2620 -2.015 -2.346
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-15.079 0 1.673 -0.9415
-13.542 0 1.367 -1.8900
-9.161 0 1.188 -1.0586
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5061 -3.46117 0.7026 -14.95
-1.4350 -0.01894 1.0469 -14.80
-0.5285 -1.92439 -0.2182 -16.41
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1985 -6.750 -6.204 1.101
0.1168 -4.582 -4.498 1.560
-0.6058 -2.966 -3.226 1.656
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.879 -2.227 0.08394 -2.991
-4.970 -4.023 -2.72616 -3.131
-3.994 -3.847 -3.67902 -3.899
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.067533 -0.5114 6.317 -12.207
-0.141100 -0.3920 -6.968 1.996
-0.007609 -0.1535 -2.047 -3.207
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.01378 -13.813 -4.791 1.3653
0.09535 1.497 -6.497 1.3469
-0.20148 -3.456 1.432 0.5984
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.651 0.6473 -15.155 -2.035
-7.564 0.4891 -4.645 -2.201
-1.279 0.2285 -5.830 -1.485
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9490 -14.811 -15.257 -13.832
-0.4272 -7.291 -11.322 -11.545
-0.2155 -8.666 -7.338 -6.887
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.013 -0.09817 1.1887 0.1082
1.364 -2.17111 3.1056 0.4364
2.000 -1.91945 0.8312 0.6642
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8466 0.147134 -6.509 -15.38
-0.5026 0.096038 -7.195 -13.42
-0.3667 0.009163 -5.931 -14.67
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.1243 -0.68257 -10.230 -0.08595
0.7674 -0.25112 -11.938 1.67390
-0.3346 0.08753 -9.866 0.75285
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.65037 -1.623 -6.706 4.551
-0.04237 -3.165 -3.766 3.656
-1.18242 -2.465 -7.563 3.218
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.7617 -8.447 -6.002 -3.43780
-0.3278 -1.377 -3.787 -5.13498
-1.1102 -3.915 -2.268 -0.09663
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.855 2.0078 -0.15524 -7.156
-5.095 0.9358 -0.02664 -4.283
-4.091 1.7231 -0.02226 -4.824
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0599 -1.557 -0.15435 2.439
-0.6877 -4.876 -0.08861 -2.927
-0.5418 -1.600 -0.01672 -3.253
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.9412 1.3102 1.929 -0.5078
0.2694 1.2228 2.137 -0.5887
-2.5115 0.5916 -1.302 -0.6531
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.411 -0.8789 0.42780 0.4945
4.579 -0.4361 0.64357 0.4340
1.643 -0.2607 0.07927 0.3782
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
12.468 6.706 -0.9274 9.017
8.414 4.739 -1.0088 3.433
6.799 4.205 -0.8133 4.412
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.441 0.5473 8.780 -0.11340
4.610 0.5468 7.460 -0.06890
3.049 0.3297 4.527 -0.05938
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.797 0.2213 -2.1121 0.06510
4.922 0.1201 -2.0257 -0.06682
2.444 -0.3298 -0.9477 -0.12026
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.0964 2.778 12.275 4.691
0.4846 1.942 9.258 5.567
0.4251 1.039 6.672 4.980
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.4308 -1.6570 -0.5998 -0.3356
-1.1259 -0.3653 -0.4272 -0.3997
-0.1477 -0.4788 -0.1939 -0.1473
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.160 -0.147165 -6.218 122.4
-4.266 -0.004760 -5.993 124.2
-2.231 -0.005775 -6.092 122.9
rnd_95776.volume rnd_95787.volume
0.7871 -15.106
-18.3277 4.347
-14.9218 -4.795
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.425 4.882 19.64 6.723 12.23 3.774 3.258 8.404 9.601 7.146 4.613
[2,] 6.478 4.902 19.64 7.662 12.86 3.775 3.332 8.415 9.606 9.469 5.091
[3,] 6.845 4.963 19.75 9.191 13.33 4.035 3.570 8.482 9.635 9.502 5.168
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.062 5.232 7.057 6.363 5.292 7.705 7.126 11.45 9.421 16.71 6.485
[2,] 6.978 5.239 7.344 6.768 5.572 8.589 8.254 11.93 9.952 16.73 6.543
[3,] 7.687 5.328 7.580 7.067 5.750 8.937 8.571 12.55 10.554 16.73 6.579
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.54 9.154 3.342 7.31 6.923 6.615 6.666 3.383 6.779 7.599 3.506
[2,] 25.26 10.477 3.349 10.19 9.593 6.635 7.893 3.426 7.980 8.005 3.513
[3,] 25.46 12.216 3.355 12.34 10.649 6.876 9.359 3.443 9.344 8.541 3.534
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.394 8.327 7.817 7.311 6.630 6.171 2.043 5.825 1.770 5.774 6.245
[2,] 9.222 9.257 8.746 8.198 7.082 6.507 2.047 6.420 1.770 6.258 7.091
[3,] 10.174 9.802 9.169 8.579 7.148 6.677 2.053 6.654 1.773 6.424 7.626
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.787 2.478 5.654 7.656 8.000 3.956 7.712 8.186 3.148 7.557 6.238
[2,] 5.024 2.576 7.510 7.727 8.027 4.038 9.405 8.493 3.235 8.987 7.787
[3,] 5.183 2.596 7.754 7.942 8.645 4.182 10.503 9.164 3.336 9.878 8.341
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.028 4.278 5.812 1.987 8.148 2.910 5.932 5.238 6.709 8.924 3.253
[2,] 7.174 7.502 5.858 2.016 8.323 3.008 6.067 5.247 7.450 10.246 3.309
[3,] 8.107 8.456 5.864 2.018 9.658 3.236 6.516 5.263 7.577 10.337 3.387
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.044 5.070 12.69 3.200 7.020 7.972 8.208 9.232 8.339 7.088 7.646
[2,] 9.521 5.132 13.78 3.285 7.211 8.090 9.174 9.374 9.619 8.419 8.869
[3,] 9.675 5.259 14.26 3.370 7.252 8.144 9.465 9.462 10.732 8.536 9.059
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.439 7.624 4.625 8.203 4.111 4.308 2.828 7.192 6.250 10.39 11.35
[2,] 2.454 8.506 5.255 8.721 4.121 4.419 2.829 7.500 6.335 10.77 11.45
[3,] 2.462 9.225 5.717 9.172 4.122 4.585 2.829 7.695 6.391 11.19 12.01
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.363 3.162 4.802 4.840 5.181 3.643 1.538 9.096 19.12 9.384
[2,] 3.825 4.794 4.805 4.843 5.321 3.665 1.553 10.834 25.39 10.980
[3,] 4.525 4.814 4.869 4.918 5.629 3.670 1.821 12.000 26.89 12.859
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.158 6.199 24.94 8.537 15.53 4.793 4.137 10.67 12.19
[2,] 127.117 68.991 54.75 563.455 607.94 13.776 107.422 68.28 47.19
[3,] 339.051 119.172 312.23 778.085 541.98 218.362 196.256 162.96 115.09
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.075 5.858 7.698 6.644 8.962 8.08 6.72 9.784 9.048
[2,] 952.310 329.967 529.551 43.545 311.423 353.71 267.39 581.934 638.464
[3,] 121.645 136.813 494.400 147.981 287.522 311.96 218.15 378.549 354.206
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.54 11.96 21.22 8.235 23.54 11.62 4.244 9.283 8.792
[2,] 513.39 491.79 121.40 132.950 2630.68 781.32 31.995 1087.369 1017.817
[3,] 597.12 538.44 35.90 105.814 489.01 962.86 30.451 1067.926 708.623
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.40 8.465 4.296 8.608 9.649 4.452 10.66 10.57 9.927
[2,] 78.47 647.773 82.214 645.482 385.953 33.816 585.51 620.09 601.132
[3,] 276.89 770.981 52.409 745.062 456.723 59.967 658.75 493.76 422.059
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.284 8.419 7.836 2.594 7.397 2.248 7.332 7.93 6.079
[2,] 568.392 381.525 316.440 20.319 413.615 4.185 370.224 514.94 233.949
[3,] 387.605 148.658 229.622 24.353 268.291 14.583 222.380 430.09 195.084
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.146 7.18 9.723 10.16 5.023 9.793 10.4 3.998 9.596
[2,] 108.121 757.58 159.567 100.73 124.552 825.216 346.6 113.789 745.491
[3,] 49.649 296.22 281.855 492.14 166.915 716.876 527.9 125.377 628.775
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.921 7.655 5.432 7.38 2.523 10.35 3.695 7.533 6.651
[2,] 714.524 596.253 944.656 112.69 52.029 260.63 116.629 194.957 47.195
[3,] 458.321 578.665 598.200 40.76 13.730 751.06 182.853 364.705 62.981
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.519 11.33 4.13 11.48 6.438 16.11 4.064 8.914 10.12
[2,] 496.526 771.61 93.62 456.29 121.847 823.74 113.737 252.423 210.85
[3,] 211.989 211.01 110.29 263.40 175.836 564.81 115.469 118.423 143.09
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.42 11.72 10.59 9.0 9.709 3.097 9.681 5.873 10.42
[2,] 628.02 249.25 734.78 696.5 688.847 41.581 578.221 382.434 453.90
[3,] 357.16 197.65 729.77 216.3 282.969 30.854 547.629 345.151 435.63
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 5.220 5.47 3.591 9.132 7.936 13.2 14.41 3.0 4.015
[2,] 45.812 151.34 11.057 326.381 159.079 432.1 240.70 461.1 552.420
[3,] 7.972 187.24 3.590 263.793 129.994 464.1 551.55 370.4 66.746
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.098 6.146 6.579 4.626 1.953 11.55 24.28 11.92
[2,] 27.228 24.997 185.758 61.577 32.625 902.10 2560.92 873.95
[3,] 120.394 131.098 281.685 30.884 145.865 790.92 1359.16 1025.87
[1] "--- VAR model 2017-10-05 14:01:00 completed"
[1] "Completed training sample: 2017-10-05 14:01:00 - 2017-10-05 22:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 14:31:00 - 2017-10-05 22:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.0139 0.53843 -0.2996 1.041
-1.4070 -0.04402 -0.4186 -7.958
-0.7975 0.07412 0.0424 -2.601
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.7571 0.1963 -0.002323 -0.3942
0.2236 1.9230 -0.321850 -1.1138
-9.1406 1.1126 -0.279391 -0.3110
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1727 -0.30804 0.5780 -8.570
-0.3493 -0.01738 0.3726 -9.705
-0.1465 -1.05693 0.1518 -10.393
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6954 -1.0588 0.1259 -3.833
0.3966 0.1344 0.3686 -3.637
0.1336 1.2258 0.8444 -3.401
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.2792 -0.4101 6.342 7.764
-0.8950 -0.1030 6.623 5.862
-0.4125 -0.7950 4.261 6.518
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.26624 -1.4826 -9.722 -6.150
-0.13443 -0.9371 -4.084 -2.334
-0.08108 -0.9920 -4.184 -1.862
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04045 -8.362 -9.433 0.5318
0.17119 -3.239 -3.932 1.7625
0.15444 -1.750 -2.098 0.9561
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.1592 -0.018209 3.493 -0.5084
-7.3627 -0.003005 -8.009 -0.8611
-2.5518 -0.001976 -4.210 -2.0565
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.28078 0.1204 -9.3947 -14.1520
-0.03504 -5.3342 0.5528 -0.1788
-0.02521 -5.9437 -7.0080 -5.5489
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.103 6.429 -0.08085 -0.057439
-2.175 -1.800 0.55039 0.131122
-2.288 1.513 0.40059 0.002818
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0.06580 -4.0564 -2.455
0 -0.06357 -3.3844 -7.189
0 -0.13860 -0.7686 -5.628
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.771 0.6908 -2.041 1.05682
2.649 0.6542 -1.093 -0.22985
2.385 0.5007 -3.833 0.03913
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.4006 0.4737 -0.167 6.489
0.6428 0.7028 -4.731 5.647
0.3351 0.3686 4.615 5.680
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4745 6.6925 4.0074 -1.240
-0.4236 -2.5245 0.2943 4.069
0.2463 -0.3627 -2.6858 -2.193
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.727 0.09057 0.35822 4.756
3.284 -0.52899 0.13042 -3.120
1.199 0.13042 0.06632 4.490
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2611 2.9541 -0.51325 -0.740
-0.8756 -0.4236 -0.10013 3.786
-0.6444 -0.2032 0.07869 -1.488
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.23802 0.3790 3.0265 0.7583
2.39840 0.2844 0.7816 0.8207
0.04434 0.1505 3.3117 0.5572
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.9477 1.627 -1.926 -1.7986
-0.1655 1.504 -1.923 -1.2876
2.9094 1.332 -1.320 -0.6636
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.017 -4.857 4.924 -3.6300
-3.524 -3.619 4.537 -1.4252
-2.917 -2.460 3.867 -0.8576
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.4743 -0.3695 -6.120 -0.9314
-1.9565 -0.1650 -4.475 -0.7059
-0.9935 -0.2557 -2.708 -0.5669
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.519 0.21582 0.2952 -0.03740
-3.281 0.04862 0.3154 -0.05753
-1.632 -0.30903 -0.7020 0.03070
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.36805 -0.0263 6.035 2.060
0.62241 0.2390 6.414 2.198
0.01834 0.0382 4.343 1.084
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.4236 -2.8170 -0.04837 -0.2321
-1.7665 0.5612 -0.66384 -0.8473
0.3373 -1.0185 -0.18536 -0.2539
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.64348 0.28088 -6.477 108.5
0.58627 -0.07493 -6.626 108.0
-0.08687 -0.03003 -6.589 109.2
rnd_95776.volume rnd_95787.volume
-11.8990 -5.761
7.3830 -3.084
-0.8884 -2.110
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.522 4.838 18.83 6.722 12.05 3.647 3.177 8.152 9.392 7.031 4.545
[2,] 6.596 4.866 18.83 7.668 12.78 3.652 3.245 8.167 9.395 9.317 5.055
[3,] 6.747 4.920 18.94 9.263 13.25 3.918 3.432 8.235 9.442 9.343 5.132
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.935 5.172 6.835 6.278 5.468 7.720 7.200 10.95 9.330 16.83 6.225
[2,] 6.752 5.178 7.121 6.669 5.721 8.538 8.325 11.55 9.892 16.85 6.283
[3,] 7.438 5.250 7.321 6.936 5.919 8.899 8.619 12.17 10.450 16.85 6.314
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.39 9.003 3.303 7.179 6.755 6.449 6.664 3.398 6.522 7.390 3.523
[2,] 25.31 10.382 3.311 10.007 9.506 6.473 7.910 3.444 7.863 7.815 3.527
[3,] 25.55 12.136 3.316 12.176 10.651 6.733 9.440 3.464 9.391 8.393 3.545
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.088 8.044 7.572 7.186 6.472 6.087 1.976 5.665 1.743 5.710 6.118
[2,] 8.907 9.126 8.409 8.060 6.868 6.425 1.979 6.131 1.744 6.161 7.006
[3,] 9.785 9.680 8.810 8.371 6.933 6.592 1.986 6.304 1.745 6.344 7.460
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.765 2.452 5.377 7.354 7.892 3.928 7.398 7.946 3.076 7.330 6.049
[2,] 5.113 2.537 7.377 7.398 7.910 4.006 8.983 8.212 3.163 8.690 7.477
[3,] 5.262 2.562 7.632 7.598 8.488 4.156 9.904 8.896 3.256 9.606 7.937
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.938 4.147 5.620 1.934 7.920 2.793 5.788 5.024 6.557 9.321 3.194
[2,] 6.969 7.245 5.685 1.963 8.109 2.873 5.908 5.036 7.258 10.089 3.253
[3,] 7.839 8.119 5.690 1.964 9.293 3.084 6.332 5.069 7.399 10.207 3.330
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.832 4.793 12.34 3.183 6.998 7.853 8.084 9.238 8.211 6.904 7.474
[2,] 9.341 4.853 13.58 3.273 7.186 7.983 8.931 9.370 9.521 8.240 8.760
[3,] 9.524 4.994 13.92 3.362 7.237 8.049 9.190 9.468 10.528 8.369 8.954
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.369 7.549 4.479 8.176 4.031 4.276 2.684 7.231 6.226 10.18 11.41
[2,] 2.389 8.441 5.127 8.728 4.039 4.385 2.686 7.495 6.316 10.62 11.50
[3,] 2.396 9.160 5.588 9.178 4.039 4.557 2.687 7.687 6.367 10.96 12.09
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.377 3.140 4.773 4.817 5.000 3.573 1.513 9.476 18.60 9.193
[2,] 3.824 4.771 4.777 4.821 5.131 3.592 1.525 11.142 24.33 10.850
[3,] 4.520 4.789 4.843 4.894 5.410 3.599 1.792 12.313 25.94 12.714
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.282 6.143 23.91 8.536 15.3 4.631 4.035 10.35 11.93
[2,] 158.186 83.294 45.45 591.776 683.3 30.408 105.642 80.67 41.68
[3,] 227.881 116.822 325.92 833.552 559.8 227.733 179.116 169.71 150.47
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.928 5.772 7.537 6.568 8.68 7.972 6.944 9.803
[2,] 980.608 354.782 516.194 39.011 320.42 360.949 270.090 585.188
[3,] 112.628 142.262 500.727 139.289 272.81 305.350 243.071 402.691
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.143 13.9 11.85 21.37 7.905 23.35 11.43 4.195 9.116
[2,] 670.550 591.7 527.29 157.67 137.472 2790.50 829.27 35.939 1118.212
[3,] 357.804 616.9 540.61 17.82 99.863 556.36 1008.02 29.898 1112.585
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.577 8.19 8.462 4.315 8.282 9.384 4.474 10.27 10.21
[2,] 1072.800 89.23 683.405 90.016 704.492 407.860 27.658 598.23 691.40
[3,] 770.552 297.00 826.371 59.234 823.703 491.272 56.449 649.94 517.93
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.616 9.125 8.218 7.729 2.51 7.194 2.214 7.25 7.769
[2,] 586.382 585.560 368.731 330.053 17.59 375.966 5.452 371.36 547.512
[3,] 421.896 362.415 152.905 236.517 25.40 235.411 12.297 243.01 411.334
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.051 3.114 6.828 9.338 10.02 4.988 9.394 10.09 3.906
[2,] 297.447 104.521 810.101 130.381 86.91 126.218 817.234 332.52 117.949
[3,] 199.520 56.298 314.116 277.698 493.66 177.382 669.255 548.75 124.159
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.308 7.681 7.54 5.266 7.137 2.455 10.06 3.547 7.35
[2,] 748.571 704.819 585.21 952.808 137.834 53.921 279.70 107.666 190.09
[3,] 656.983 427.464 575.76 587.954 37.399 14.132 728.12 180.084 365.73
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.38 8.327 11.84 4.056 11.22 6.086 15.67 4.042 8.886
[2,] 56.35 498.946 619.36 98.836 487.88 122.243 909.66 121.928 262.434
[3,] 92.59 230.719 249.27 114.484 298.22 188.810 487.49 123.800 136.732
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.972 10.26 11.73 10.43 8.767 9.491 3.008 9.586 5.687
[2,] 230.550 609.11 251.65 773.04 721.599 732.943 50.060 605.794 400.236
[3,] 165.123 347.48 218.59 720.72 234.467 296.813 28.796 570.749 356.468
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.38 5.119 5.43 3.408 9.182 7.906 12.92 14.49 3.018
[2,] 489.83 40.287 156.08 16.852 316.867 170.689 485.04 221.76 480.410
[3,] 455.77 7.764 198.88 10.859 273.766 128.589 438.21 599.59 386.566
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.988 6.061 6.117 6.349 4.537 1.921 12.03 23.62 11.67
[2,] 576.135 31.239 30.252 185.098 60.172 30.189 939.92 2516.33 924.40
[3,] 66.135 128.013 134.821 275.229 34.276 151.094 840.83 1440.27 1062.85
[1] "--- VAR model 2017-10-05 14:31:00 completed"
[1] "Completed training sample: 2017-10-05 14:31:00 - 2017-10-05 22:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 15:01:00 - 2017-10-05 23:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.764 1.1831 -1.2981 -2.138
2.232 0.2701 0.1258 -8.653
1.113 0.2102 -0.1401 -2.759
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.925 -0.197958 -0.2776 0.2882
-4.044 0.008781 -0.2971 -0.1253
-8.551 -0.076078 -0.2554 -0.3363
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.07466 -2.1224 0.13604 -6.174
0.31098 0.5792 0.19065 -5.809
-0.09054 -0.2800 -0.05529 -5.075
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.08525 -0.6732 -2.302 -0.1707
-0.03821 -1.0635 -2.220 0.4978
-0.26194 -0.3599 -1.230 0.4051
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.593 -4.215 2.300 -0.2403
-1.360 -1.361 3.503 0.9135
-2.231 -1.664 4.353 2.2010
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.07274 -0.09975 -3.919 -10.5492
-0.46770 0.14360 -6.208 -0.5935
-0.00250 -0.10803 -5.003 -2.8926
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.03666 -12.5008 -8.0903 -0.0216
-0.13864 -0.6032 -6.4676 0.5167
-0.10250 -3.0182 -0.2792 0.3820
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.186 -0.5255 -2.382 -5.127
-8.917 -0.3294 -7.204 -4.676
-2.147 -0.1936 -4.738 -4.929
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.49376 -8.155 -5.089 -3.111
0.03676 -4.559 -3.046 -5.843
-0.14696 -7.859 -7.513 -5.976
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7384 0.3221 0.7914 0.2751
-0.8527 -0.2629 1.5271 0.2130
-0.8826 -1.7242 1.2144 -0.1106
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.88539 0.1598 -6.223 -8.776
0.18116 0.1476 -4.416 -10.191
0.01559 0.3833 -3.523 -10.073
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.845 0.51711 -5.737 1.0098
2.154 0.05001 -4.770 -0.3450
1.898 0.34549 -6.309 -0.1413
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.3962 -1.319 -0.4264 2.107
1.2546 -1.323 -4.3902 3.981
0.9594 -1.039 -1.3056 3.695
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3299 1.523 0.02385 -0.9923
-0.6836 -2.725 -0.63123 1.5802
-0.3232 -1.740 -2.39001 -2.2301
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.5869 -0.01441 -0.05855 -6.37925
0.4686 -0.09356 -0.03858 -2.97923
-0.4511 -0.11177 -0.00852 0.04046
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5547 -3.1936 0.7012 1.996
0.2254 -2.5511 0.6895 -3.937
-0.2750 -0.4549 0.4000 -2.561
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.8779 0.49141 -1.6422 -0.25947
-1.4976 -0.04945 0.8041 0.07974
-0.8736 0.09664 -1.6299 0.22425
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.550 -0.5924 0.4876 2.015
2.055 -0.0573 0.6197 2.460
-2.677 -0.3561 0.7333 1.193
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.794 2.512 2.238 4.696
2.841 2.234 1.938 2.832
1.901 1.613 1.618 2.716
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.023 0 5.565 -1.1784
2.989 0 5.083 -1.0924
1.929 0 3.334 -0.8038
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.025 0.0005488 -0.7390 -0.020116
2.575 -0.1349077 0.1942 -0.052687
2.306 -0.1319119 -0.9751 -0.003128
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3402 1.3726 1.8389 0.4794
-0.4452 1.1329 0.5583 1.1331
-0.1093 0.5947 0.7417 1.3415
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5504 -0.99399 0.37613 0.23826
-0.5816 0.61133 -0.14600 -0.12090
0.4320 -0.06935 -0.01333 -0.01025
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.7588 0.01805 -4.686 108.1
-2.3720 0.15657 -3.879 109.7
-0.9213 0.01263 -4.417 105.8
rnd_95776.volume rnd_95787.volume
-13.382 -11.8564
-3.845 0.2368
-8.206 -3.7013
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.015 4.692 17.65 6.621 11.81 3.579 2.969 7.862 8.963 6.830 4.519
[2,] 6.094 4.734 17.65 7.565 12.51 3.583 2.995 7.872 8.984 8.925 5.013
[3,] 6.516 4.801 17.76 9.102 12.96 3.838 3.107 7.939 9.003 8.944 5.101
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.148 5.106 6.737 6.058 5.454 7.682 7.097 10.87 8.923 16.64 6.139
[2,] 6.433 5.111 6.965 6.392 5.718 8.434 8.226 11.45 9.422 16.70 6.204
[3,] 7.066 5.168 7.080 6.615 5.891 8.809 8.489 12.10 9.831 16.70 6.236
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.86 8.687 3.264 7.069 6.558 6.338 6.545 3.387 6.454 7.080 3.481
[2,] 24.66 10.178 3.270 9.923 9.211 6.364 7.785 3.434 7.718 7.536 3.482
[3,] 24.94 11.923 3.274 12.041 10.422 6.633 9.349 3.451 9.154 7.991 3.493
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.911 7.908 7.357 6.877 6.537 6.026 1.963 5.498 1.685 5.578 6.018
[2,] 8.729 8.945 8.203 7.488 6.846 6.373 1.965 5.845 1.685 6.030 6.892
[3,] 9.654 9.453 8.596 7.683 6.894 6.535 1.972 5.943 1.686 6.216 7.350
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.608 2.455 5.084 6.965 7.777 3.927 7.074 7.614 3.041 6.991 5.981
[2,] 4.897 2.531 7.077 7.026 7.791 3.996 8.594 7.848 3.138 8.290 7.222
[3,] 5.067 2.553 7.337 7.244 8.340 4.088 9.397 8.563 3.239 9.099 7.657
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.823 3.941 5.402 1.882 7.398 2.640 5.641 4.849 6.159 8.431 3.057
[2,] 6.723 7.025 5.475 1.911 7.563 2.722 5.746 4.864 6.859 9.487 3.126
[3,] 7.479 7.796 5.476 1.914 8.839 2.937 6.165 4.906 7.004 9.564 3.215
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.641 4.592 11.98 3.115 6.808 7.289 7.948 8.937 8.146 6.928 7.289
[2,] 9.217 4.627 12.99 3.212 6.966 7.417 8.689 9.102 9.416 8.064 8.515
[3,] 9.411 4.720 13.32 3.285 7.048 7.804 8.906 9.227 10.351 8.244 8.742
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.255 7.352 4.531 7.955 3.948 4.166 2.548 7.116 6.139 9.639 11.25
[2,] 2.275 8.137 5.157 8.411 3.954 4.290 2.552 7.339 6.242 9.930 11.32
[3,] 2.280 8.902 5.589 9.078 3.954 4.461 2.552 7.517 6.301 10.106 11.97
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.326 3.088 4.716 4.782 4.845 3.454 1.499 9.88 17.95 8.876
[2,] 3.745 4.725 4.720 4.785 4.944 3.462 1.507 11.57 23.46 10.655
[3,] 4.460 4.742 4.791 4.861 5.217 3.471 1.747 12.71 25.10 12.531
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.638 5.958 22.41 8.407 15.0 4.545 3.77 9.984 11.38
[2,] 155.542 100.845 29.63 582.546 657.2 25.523 63.49 63.716 97.65
[3,] 367.328 127.078 314.97 805.838 537.7 218.985 131.33 163.754 91.89
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.673 5.738 7.806 6.484 8.555 7.693 6.926 9.755
[2,] 914.530 345.561 301.869 35.047 281.512 324.844 273.115 554.142
[3,] 93.553 150.016 465.137 122.885 202.608 271.086 225.997 404.698
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.013 13.8 11.33 21.13 7.796 22.69 11.03 4.145 8.977
[2,] 662.008 576.9 481.57 223.47 142.216 2705.54 844.32 32.132 1108.336
[3,] 333.629 619.8 446.97 19.05 102.084 599.23 988.58 25.692 1085.833
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.328 8.049 8.311 4.302 8.195 8.99 4.42 10.05 10.04
[2,] 1029.517 90.727 670.919 89.912 673.853 410.90 12.37 587.51 665.51
[3,] 776.384 297.561 823.968 54.219 783.579 423.11 45.11 656.58 486.74
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.342 8.732 8.301 7.652 2.492 6.982 2.139 7.083 7.642
[2,] 577.813 471.995 324.008 330.048 14.034 315.800 2.094 364.630 534.790
[3,] 408.710 273.735 129.442 230.694 28.077 170.855 9.992 240.832 406.684
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 5.851 3.118 6.456 8.845 9.875 4.987 8.982 9.669
[2,] 263.850 98.079 783.703 147.054 75.768 118.046 776.981 302.536
[3,] 207.308 53.460 307.798 280.855 473.768 136.857 605.008 545.441
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.862 8.878 7.596 7.394 5.004 6.86 2.39 9.394 3.352
[2,] 122.957 709.048 644.318 535.071 925.667 141.45 52.46 250.190 106.198
[3,] 128.256 597.412 405.057 521.672 538.167 19.49 18.33 728.247 175.313
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 7.164 6.157 7.821 10.71 3.881 10.97 5.831 15.21 3.955
[2,] 173.400 61.680 480.611 692.21 104.413 510.37 90.337 798.47 124.877
[3,] 356.036 101.880 225.995 193.25 119.520 303.00 148.195 471.28 109.266
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 8.646 9.256 10.09 11.35 10.34 8.797 9.256 2.863 9.336
[2,] 234.670 218.766 558.82 274.88 751.78 657.027 700.593 47.887 555.053
[3,] 171.006 386.137 311.46 241.57 684.45 272.895 315.509 24.395 574.882
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.754 10.1 5.014 5.291 3.235 9.036 7.796 12.24 14.29
[2,] 391.823 435.0 32.849 162.712 25.071 286.101 179.513 379.90 186.22
[3,] 343.078 543.6 8.914 194.630 2.658 259.029 136.586 299.33 620.20
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.953 3.922 5.989 6.072 6.152 4.386 1.904 12.55 22.79
[2,] 467.211 569.320 31.795 27.765 156.913 38.577 24.724 957.15 2403.93
[3,] 385.473 63.929 130.249 136.326 265.145 40.076 140.671 840.74 1420.98
[,98]
[1,] 11.27
[2,] 938.27
[3,] 1049.84
[1] "--- VAR model 2017-10-05 15:01:00 completed"
[1] "Completed training sample: 2017-10-05 15:01:00 - 2017-10-05 23:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 15:31:00 - 2017-10-05 23:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.23280 0.21354 -1.1608 -3.653
0.09606 0.50708 -0.3268 -6.281
-0.29703 0.09824 -0.1617 -4.931
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.884 -0.03605 0 1.1934
-4.895 0.53665 0 0.5315
-7.891 0.29536 0 0.1849
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1742 -0.1805 -1.7521 -1.6933
-0.1124 0.9817 -0.7841 -0.9292
-0.4051 0.3538 -0.8412 -0.6870
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.33503 -0.9696 -0.6169 -4.468
0.59874 0.1010 -0.3908 -3.811
0.08736 -0.1808 -0.6175 -2.738
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.618 -4.299 -6.100 -3.467
-2.337 -3.662 -5.087 -4.847
-1.413 -2.345 -3.638 -3.082
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.0101 -0.1173 -13.494 -7.618
-0.2919 -0.2624 -7.133 -4.593
-0.4282 -0.3374 -5.672 -2.514
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2707 -8.434 -6.485 0.9893
-0.1869 -5.401 -6.552 1.9897
-0.1969 -2.921 -3.096 1.2582
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.981 0.37099 -3.062 -2.056
-6.284 0.18807 -5.397 -1.926
-4.718 0.07745 -5.942 -1.451
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.10736 -4.228 -7.108 -7.186
0.07400 -4.606 -4.344 -4.304
0.07668 -6.430 -6.232 -4.366
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.002846 -0.324 1.916 -0.11036
-0.888057 -2.431 1.466 -0.14481
0.324479 -1.429 1.562 -0.01881
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4160 0.1082614 -4.153 -4.543
-0.4266 0.0007897 -3.623 -8.306
-0.1020 0.0039115 -2.255 -7.817
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.3609 -0.2557 -9.213 -0.3390
-0.3973 -0.2224 -4.704 0.9748
-0.3421 -0.2268 -7.466 0.4429
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.1762 -1.4781 -1.863 -0.3592
0.4804 -1.4860 -6.213 0.3975
0.4747 -0.9884 -3.206 0.5428
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2741 -2.780 -2.725 -0.391
-0.6901 -2.550 -1.190 -1.204
-1.0226 -4.809 -3.350 -1.763
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.159 0.2006 0.016601 -3.2165
-2.593 -0.2178 0.003290 0.9731
-1.210 -0.1648 0.001126 -2.5035
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8907 -3.6871 -0.23871 -0.8377
-0.5132 0.8334 -0.11143 -3.1089
-0.4208 -0.5812 -0.03759 -0.1203
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.0805 -0.02304 -2.321 -0.061087
-3.1893 -0.23641 -1.037 -0.007787
0.5395 -0.03010 -1.836 -0.012124
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.27340 -0.42819 0.22618 -0.07044
-0.09874 0.01894 -0.07787 -0.25789
-3.50088 -0.06323 0.71379 -0.44902
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.09405 -1.3916 6.381 3.6752
-0.17383 -0.8343 5.536 0.3998
-0.08218 -0.5897 4.552 1.3968
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.172 0.09262 -4.3114 0.1530
1.334 0.07645 2.8755 0.2137
1.358 0.10108 0.6635 0.1531
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.516 0.5086 -0.9330 -0.116835
1.390 0.7276 -0.5665 -0.008951
1.071 0.2556 -1.1576 -0.035147
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.4020 0.4748 -0.22381 5.373
-0.2316 0.2521 -0.38876 5.573
-0.1441 0.2211 0.04743 6.330
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.7436 -0.4525 -0.17721 -0.3646
-0.1232 -0.1971 -0.22326 -0.3133
-0.2586 -0.4082 -0.08083 -0.1254
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.18659 0.014898 -4.141 99.53
0.05723 -0.095222 -4.537 99.55
-0.18285 -0.001021 -4.241 98.61
rnd_95776.volume rnd_95787.volume
-10.512 -8.536
-14.253 -4.076
-7.107 -2.587
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.818 4.499 16.97 6.510 10.65 3.354 2.878 7.193 8.520 6.506 4.348
[2,] 5.900 4.533 16.97 7.469 11.43 3.355 2.892 7.207 8.544 8.272 4.844
[3,] 6.287 4.602 17.10 9.010 11.92 3.563 2.962 7.268 8.577 8.276 4.942
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.684 4.912 6.462 5.569 5.459 7.498 6.946 11.64 8.642 16.50 5.860
[2,] 5.975 4.921 6.663 5.880 5.739 8.260 8.087 12.14 9.157 16.57 5.950
[3,] 6.573 4.962 6.765 6.085 5.945 8.642 8.344 12.80 9.532 16.57 5.969
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.52 8.442 3.184 6.934 6.348 6.184 6.388 3.319 6.385 6.725 3.430
[2,] 24.06 9.991 3.187 9.746 8.999 6.223 7.613 3.366 7.542 7.123 3.431
[3,] 24.35 11.703 3.191 11.740 10.198 6.487 9.215 3.387 9.024 7.480 3.441
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.842 7.731 7.114 6.455 6.427 5.931 1.952 5.364 1.643 5.501 5.898
[2,] 8.517 8.737 7.980 6.880 6.724 6.275 1.954 5.720 1.643 5.971 6.658
[3,] 9.391 9.215 8.309 7.050 6.773 6.430 1.967 5.805 1.644 6.169 7.104
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.443 2.403 4.939 6.637 7.573 3.877 7.147 7.457 2.931 6.787 5.748
[2,] 4.710 2.478 6.962 6.687 7.586 3.945 8.182 7.692 3.031 8.058 7.043
[3,] 4.867 2.495 7.221 6.848 8.082 4.049 8.982 8.377 3.110 8.675 7.317
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.611 3.817 5.276 1.796 7.141 2.503 5.387 4.649 5.756 7.535 2.971
[2,] 6.415 6.751 5.338 1.831 7.308 2.585 5.485 4.653 6.472 8.885 3.046
[3,] 7.114 7.570 5.344 1.835 8.602 2.763 5.851 4.698 6.612 8.972 3.139
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.855 4.589 10.10 2.996 6.488 7.043 7.914 8.873 8.055 6.845 7.034
[2,] 8.490 4.627 11.15 3.089 6.676 7.162 8.669 9.013 9.315 7.981 8.326
[3,] 8.711 4.715 11.60 3.160 6.755 7.525 8.887 9.132 10.264 8.158 8.556
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.200 7.089 4.397 7.636 3.886 4.075 2.441 6.713 5.881 9.571 10.18
[2,] 2.220 7.831 4.899 8.132 3.904 4.210 2.449 7.043 5.968 9.808 10.32
[3,] 2.227 8.725 5.237 8.876 3.914 4.356 2.449 7.200 6.029 9.985 10.72
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.230 2.945 4.592 4.690 4.699 3.374 1.481 10.31 16.91 8.655
[2,] 3.538 4.633 4.596 4.694 4.796 3.385 1.489 11.94 22.01 10.454
[3,] 4.275 4.649 4.668 4.763 5.065 3.398 1.733 13.06 23.73 12.290
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.388 5.713 21.55 8.266 13.52 4.259 3.654 9.134 10.82
[2,] 155.310 88.837 54.39 581.737 658.73 13.238 45.299 71.921 101.73
[3,] 345.052 125.663 331.68 800.604 541.01 190.642 102.058 149.823 119.90
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.261 5.521 7.218 6.237 8.206 7.072 6.932 9.521
[2,] 811.710 339.188 292.349 48.000 258.337 299.771 281.625 550.512
[3,] 38.935 155.595 435.423 100.935 185.966 249.025 246.312 403.912
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.82 14.78 10.97 20.96 7.441 22.24 10.72 4.043 8.805
[2,] 658.21 552.78 481.22 228.61 164.414 2621.15 848.78 24.381 1088.001
[3,] 326.55 643.15 420.36 16.57 75.336 594.07 968.31 23.069 1039.951
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.061 7.852 8.112 4.215 8.108 8.54 4.356 9.959 9.817
[2,] 1013.215 110.847 657.959 88.756 637.701 373.02 10.338 527.748 646.609
[3,] 762.202 291.214 824.710 60.605 787.011 362.85 41.684 628.554 465.087
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.033 8.197 8.161 7.531 2.479 6.812 2.087 6.985 7.49
[2,] 574.393 378.287 314.516 325.754 14.331 315.411 2.515 369.165 490.70
[3,] 367.999 244.130 128.090 223.077 34.928 157.178 9.573 246.235 393.30
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 5.642 3.051 6.272 8.429 9.617 4.924 9.075 9.469
[2,] 248.089 95.931 779.354 129.003 69.799 115.797 632.887 300.287
[3,] 194.692 47.007 304.709 234.547 443.144 144.864 588.530 526.991
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.722 8.618 7.299 7.125 4.847 6.70 2.281 9.068 3.178
[2,] 122.762 690.092 646.709 494.265 884.485 129.40 56.574 246.831 102.587
[3,] 110.599 510.590 314.944 488.300 544.143 39.24 19.430 720.656 155.184
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 6.841 5.904 7.31 9.568 3.773 9.974 5.828 12.83 3.804
[2,] 163.819 31.938 470.12 747.958 106.798 511.785 93.049 748.91 120.017
[3,] 323.587 103.000 214.60 198.531 120.066 310.308 144.772 506.97 105.870
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 8.239 8.944 10.05 11.27 10.23 8.692 8.932 2.794 9.001
[2,] 249.990 206.287 562.42 251.68 743.32 651.969 707.789 47.246 528.754
[3,] 163.758 367.034 310.81 233.78 684.84 269.121 312.910 28.807 611.276
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.583 9.697 4.935 5.174 3.100 8.525 7.468 12.15 12.93
[2,] 343.358 444.219 58.643 168.518 32.027 338.289 161.374 340.53 268.42
[3,] 294.237 565.067 45.883 177.708 3.408 237.324 136.077 297.32 457.90
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.832 3.739 5.831 5.956 5.967 4.285 1.881 13.09 21.47
[2,] 436.297 568.117 31.048 28.013 152.330 42.703 24.657 958.27 2237.22
[3,] 381.179 62.323 129.371 129.209 259.042 48.630 140.644 840.23 1408.77
[,98]
[1,] 10.99
[2,] 931.39
[3,] 1026.59
[1] "--- VAR model 2017-10-05 15:31:00 completed"
[1] "Completed training sample: 2017-10-05 15:31:00 - 2017-10-05 23:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 16:01:00 - 2017-10-06 00:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6133 -0.19525 -0.19045 -6.3334
-0.6127 -0.17801 0.50977 -2.2561
-0.3305 -0.05948 -0.08996 -0.5559
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.523 0.4891 -0.4093 -0.2828
-5.013 0.6496 -0.3551 -0.1260
-4.198 0.3635 -0.2255 0.1350
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.2446 1.4014 1.0379 -4.636
0.1351 -0.6065 0.9861 -5.651
0.1708 -0.1025 0.5654 -5.224
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.08353 -1.441 -0.7031 -2.608
0.18860 -1.709 -0.9180 -3.013
0.26458 -1.476 -1.5003 -1.730
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.976 -5.683 3.426 -2.3434
-3.997 -3.392 7.870 -3.0487
-3.988 -3.630 7.096 -0.4903
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.08932 -0.16239 -1.0393 -1.2071
-0.10457 0.36904 -2.4650 -0.6145
0.07215 0.05115 -0.8563 -1.6777
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.10899 -0.9912 -4.86155 -0.6017
-0.09522 -1.0346 -0.01765 -0.2891
-0.01120 -1.5575 -0.94564 -0.2109
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.000 0.4572 -5.4724 -1.569
-1.804 0.2948 -3.0977 -1.083
-0.620 0.1604 -0.7314 -1.210
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.35154 -2.122 -5.473 -4.193
-0.26225 -5.558 -4.884 -3.212
-0.02591 -1.975 -2.851 -3.073
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.1638 -0.7499 1.2300 0.3628
0.2098 0.3571 0.7825 0.4682
-0.1373 -1.6304 1.1416 0.4761
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.41666 -0.08457 -1.826 -4.313
0.16402 0.11150 -2.748 -6.071
0.03838 -0.00168 -2.602 -5.293
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.454 0.48625 -1.230 0.60977
1.722 0.49085 -3.432 0.14150
2.069 0.06568 -4.427 0.03269
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.4069 -0.01637 -3.141 3.898
-0.5963 0.04550 -1.660 4.101
-0.1315 -0.46638 1.953 4.019
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.39987 -0.1658 0.9855 -0.0983
-0.06056 -2.5910 -1.4819 -0.1416
0.21540 -0.1513 -0.1147 -1.1937
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1474 0.03049 -0.022883 -2.10820
0.6930 0.15782 -0.004390 -0.09263
-1.4892 0.21427 -0.001273 0.44972
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9934 0.3371 -0.2983 2.1176
-0.6493 -0.5391 0.1718 -1.4734
-0.8549 0.1216 0.1748 -0.4496
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.3401 0.33172 -3.7474 0.1617
-1.1430 0.20706 0.1805 0.1784
-0.2093 0.05106 -1.4100 0.1450
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.0272 0.1990 1.06098 -1.4569
0.8611 0.1471 -0.06829 -0.3757
-1.5021 -0.1999 0.79840 0.2944
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.26772 1.7208 -1.820 -0.9583
0.04653 0.3201 1.683 -1.5362
0.06848 0.2088 0.799 -0.2240
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.2138 0.5076 -4.856 2.377
-0.5342 0.3656 -1.065 2.006
0.5458 0.1939 -1.382 1.338
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.959 0.2888 -0.03049 0.098346
-1.543 0.4232 -0.63348 0.009154
-1.583 0.9532 -0.64906 -0.001507
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.46539 -0.3083 1.814 7.833
-0.49213 -0.2676 1.334 7.426
0.01482 -0.1599 1.186 7.292
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4587 -0.85568 0.08083 0.1198
-0.6580 0.24631 -0.09111 -0.1016
0.2538 -0.03611 -0.04829 -0.0410
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4853 0.13220 -3.223 120.0
-1.3618 -0.10021 -2.890 120.8
-0.2187 0.02696 -2.976 119.7
rnd_95776.volume rnd_95787.volume
-7.926 -0.9620
4.554 -0.8125
-4.303 -1.3801
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.727 4.364 16.27 6.224 10.11 3.233 2.832 6.897 8.072 6.162 4.263
[2,] 5.808 4.398 16.27 7.123 10.97 3.234 2.844 6.908 8.091 7.934 4.760
[3,] 5.954 4.456 16.46 8.542 11.44 3.420 2.911 6.962 8.119 7.946 4.849
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.448 4.814 6.000 5.483 5.306 7.219 6.695 11.33 8.502 15.55 5.715
[2,] 5.790 4.823 6.341 5.718 5.547 7.905 7.842 11.80 8.941 15.61 5.793
[3,] 6.226 4.865 6.504 6.009 5.705 8.380 8.081 12.52 9.340 15.61 5.815
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.49 8.108 3.102 6.705 6.155 6.052 6.115 3.261 6.141 6.212 3.313
[2,] 23.27 9.467 3.105 9.250 8.800 6.085 7.215 3.305 7.156 6.439 3.313
[3,] 23.59 11.262 3.112 11.312 9.826 6.370 8.737 3.328 8.617 6.547 3.319
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.594 7.238 6.391 6.295 6.169 5.860 1.942 5.101 1.607 5.087 5.756
[2,] 8.204 8.207 7.517 6.660 6.477 6.198 1.943 5.413 1.607 5.537 6.387
[3,] 9.111 8.609 7.981 6.764 6.524 6.344 1.954 5.497 1.608 5.767 6.783
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.340 2.366 4.713 6.472 7.380 3.845 7.039 7.193 2.885 6.562 5.254
[2,] 4.592 2.443 6.789 6.506 7.389 3.910 8.027 7.399 2.991 7.746 6.511
[3,] 4.721 2.462 7.003 6.651 7.774 4.015 8.875 8.028 3.073 8.351 6.834
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.997 3.566 5.022 1.736 6.952 2.412 5.116 4.448 5.162 6.687 2.707
[2,] 6.040 6.192 5.074 1.768 7.124 2.483 5.212 4.450 6.132 8.232 2.754
[3,] 6.530 6.922 5.080 1.770 8.278 2.618 5.508 4.488 6.207 8.335 2.825
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.686 4.290 7.632 2.920 6.344 6.510 7.637 8.233 7.745 6.576 6.658
[2,] 7.507 4.296 9.036 3.002 6.511 6.632 8.302 8.614 8.729 7.684 8.038
[3,] 7.788 4.359 9.757 3.074 6.583 6.928 8.541 8.719 9.557 7.872 8.248
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.092 6.393 4.301 7.052 3.751 3.925 2.341 6.489 5.525 9.482 9.729
[2,] 2.115 7.363 4.765 7.471 3.765 4.078 2.352 6.792 5.605 9.685 9.835
[3,] 2.128 8.339 5.069 8.321 3.785 4.220 2.352 6.911 5.655 9.863 10.325
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.089 2.804 4.376 4.520 4.392 3.168 1.435 10.65 15.91 8.317
[2,] 3.316 4.508 4.386 4.525 4.470 3.170 1.445 12.27 21.14 9.840
[3,] 4.095 4.525 4.439 4.586 4.705 3.181 1.666 13.43 22.71 11.745
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.272 5.542 20.66 7.903 12.84 4.105 3.596 8.758 10.25
[2,] 172.280 96.877 75.01 617.407 758.41 15.564 46.400 68.751 98.50
[3,] 234.083 128.484 439.69 839.788 578.30 198.372 110.658 155.026 120.50
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.825 5.413 6.918 6.113 7.619 6.963 6.738 9.167
[2,] 890.367 377.237 349.491 52.997 365.443 288.813 287.678 573.747
[3,] 79.525 164.863 407.871 114.123 258.241 329.427 237.684 495.821
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.502 14.39 10.8 19.74 7.257 20.94 10.3 3.939 8.514
[2,] 727.642 582.72 492.6 257.60 168.873 2926.11 870.8 24.841 1135.207
[3,] 347.667 745.10 481.5 36.27 91.033 690.25 1086.8 36.498 1160.136
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 7.816 7.686 7.766 4.14 7.798 7.888 4.207 9.643 9.191
[2,] 1120.680 111.708 682.073 95.96 654.599 302.208 11.115 552.996 689.479
[3,] 778.732 335.993 877.822 69.50 855.301 211.377 35.938 706.392 463.097
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.116 7.994 7.834 7.441 2.466 6.477 2.041 6.459 7.309
[2,] 705.096 387.618 351.425 359.723 13.766 322.704 2.296 389.653 493.166
[3,] 477.913 209.907 139.510 241.557 36.798 170.643 8.021 287.428 407.246
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 5.511 3.005 5.985 8.218 9.372 4.882 8.939 9.135
[2,] 267.339 108.677 870.704 118.754 64.883 127.251 687.240 308.968
[3,] 195.638 53.882 305.913 246.082 430.307 162.107 674.750 555.091
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.664 8.333 6.672 6.345 4.529 6.377 2.204 8.827
[2,] 140.508 733.230 685.117 604.607 901.827 128.715 59.359 278.077
[3,] 125.287 556.256 369.801 442.070 551.526 44.762 17.298 750.980
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 3.063 6.496 5.648 6.555 8.491 3.437 8.49 5.447
[2,] 104.864 178.196 24.392 589.656 855.484 90.002 608.35 41.307
[3,] 148.010 316.970 103.595 171.977 233.020 112.619 368.90 132.015
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 9.692 3.708 8.056 8.266 9.698 10.46 9.836 8.351
[2,] 861.709 124.227 261.383 225.856 580.301 451.06 717.151 708.041
[3,] 656.132 117.619 172.339 356.854 357.480 241.10 693.430 305.244
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 8.455 2.656 8.118 5.462 8.954 4.763 4.984 2.973 8.24
[2,] 802.209 55.722 650.689 365.302 439.559 57.116 197.499 38.900 357.31
[3,] 330.177 41.245 697.483 308.012 652.776 70.116 193.514 6.811 227.88
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 7.016 12.04 12.35 2.653 3.56 5.556 5.74 5.577 4.023
[2,] 167.540 351.97 257.17 458.846 628.89 54.784 35.05 148.311 21.048
[3,] 134.257 331.96 560.01 428.022 71.15 121.529 132.79 261.692 47.748
[,95] [,96] [,97] [,98]
[1,] 1.822 13.53 20.21 10.56
[2,] 30.960 1084.55 2480.28 937.09
[3,] 147.756 972.49 1476.48 1142.40
[1] "--- VAR model 2017-10-05 16:01:00 completed"
[1] "Completed training sample: 2017-10-05 16:01:00 - 2017-10-06 00:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 16:31:00 - 2017-10-06 00:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.05792 0.030031 -1.4626 -1.20130
0.11002 -0.123708 0.0417 -4.09025
0.07295 -0.009327 -0.1767 0.07208
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.8982 0.5608 0.3369 0.08122
-0.4871 0.3011 0.4709 -0.26485
-3.5442 0.3621 0.2357 -0.37144
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6018 -2.16772 0.79733 -1.1036
0.3306 0.24736 0.09128 -0.9698
0.3269 0.01916 0.21535 -2.0484
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2423 2.08521 1.5301 -1.995
0.1478 -0.01122 -0.4371 -2.289
0.2189 1.02619 0.2941 -2.002
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.4678 -1.905 -3.018 -2.567
-0.2258 -1.143 -2.586 -2.763
-1.0274 -1.345 -2.215 -2.410
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.22794 1.6625 -1.687 -2.6831
-0.13909 1.2578 -1.264 0.3169
-0.05233 0.5512 -2.009 -1.1126
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -4.1765 -6.6271 1.1731
0 0.1872 -0.7112 0.9805
0 -0.7866 -0.4130 0.7078
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.18265 0.6396 1.552 -1.0908
-3.76722 0.3908 -5.516 -0.4682
0.02074 0.1895 -0.300 -0.4567
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.24661 4.798 3.092 -2.0065
0.14136 -4.637 -0.074 0.8849
-0.07271 -1.915 -3.558 -3.7258
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5025 -2.3215 1.7538 0
0.4742 -0.6861 1.0244 0
0.1856 -1.3148 0.9457 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9012 0 -1.627 -3.856
0.3571 0 0.271 -4.105
0.1389 0 -1.051 -2.247
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9086 -0.6058 -5.680 -0.41797
-1.1457 -0.2896 -2.508 0.04609
-1.2678 -0.1800 -3.726 0.04502
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.6452 0.2689 -3.089 -0.9871
-1.0521 -1.0985 -1.643 -0.3088
-0.1572 -0.5668 -3.830 -0.2270
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4217 -0.1666 0.8314 -0.4247
0.2437 -2.2086 -1.8295 -0.8205
-0.4426 -3.0445 -1.3449 -0.9185
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.399 0.7570 0 -2.0880
1.274 0.2000 0 -2.5018
-1.992 0.1476 0 0.6883
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.06779 -0.5478 -0.008392 2.9093
-0.60269 -2.2774 0.106486 -0.7356
-0.14647 -0.1375 0.061430 -1.5604
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.56591 -0.06155 2.474 0.3262
-0.04544 -0.06938 1.237 0.7515
-1.24579 0.02523 -1.118 0.6272
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.4611 0.2513 0.15807 0
2.7781 -0.1136 -0.00825 0
-0.2125 -0.2372 -0.33428 0
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4321 -1.22356 -0.2100 0.772652
0.2159 -0.03168 -0.6734 -0.350049
0.2937 -0.12771 0.1711 -0.005165
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.6479 0.09011 -2.6271 -0.4484
-0.6031 0.07500 0.6538 -0.3640
-0.1450 0.01977 -0.3959 -0.2468
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.3685 0.3650 0.6291 0
0.2519 -0.2906 -0.9726 0
-0.8739 0.2045 -0.1580 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.6272 -0.12515 -0.2275 0.08903
-0.2779 -0.04285 -0.2204 0.58810
-0.1158 -0.06598 0.0308 1.12602
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.909940 0.66749 0.1074 0.08653
0.395094 -0.01041 0.1424 0.15654
0.009396 0.23104 0.1169 0.10845
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2735 -0.12394 -1.797 107.6
-1.9270 0.08117 -2.254 106.0
-1.1825 -0.00772 -1.840 106.3
rnd_95776.volume rnd_95787.volume
-1.146 -2.0183
-11.750 -0.3481
-5.206 -0.9640
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.550 4.217 15.53 5.766 8.361 2.958 2.731 6.658 7.794 5.918 4.183
[2,] 5.596 4.237 15.54 6.691 8.941 2.958 2.744 6.669 7.828 7.607 4.653
[3,] 5.709 4.276 15.70 8.119 9.339 3.099 2.794 6.728 7.867 7.618 4.735
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.386 4.546 5.907 5.237 5.300 7.064 6.645 11.78 8.221 14.64 5.611
[2,] 5.703 4.556 6.245 5.521 5.536 7.723 7.797 12.31 8.622 14.73 5.703
[3,] 6.129 4.598 6.420 5.863 5.704 8.170 8.037 13.03 9.119 14.73 5.729
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.72 7.938 3.034 6.510 5.984 5.850 5.684 3.169 5.447 6.000 3.242
[2,] 22.41 9.139 3.038 8.655 8.562 5.863 6.891 3.215 6.538 6.219 3.245
[3,] 22.72 10.802 3.048 10.696 9.523 6.152 8.333 3.239 8.049 6.320 3.250
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.071 6.917 6.073 6.184 6.201 5.727 1.919 4.866 1.590 4.951 5.680
[2,] 7.693 7.843 7.134 6.508 6.547 6.032 1.920 5.163 1.590 5.368 6.273
[3,] 8.742 8.248 7.555 6.590 6.597 6.180 1.930 5.246 1.591 5.728 6.663
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.213 2.309 4.529 6.209 7.186 3.578 6.607 6.856 2.745 5.994 5.017
[2,] 4.430 2.391 6.541 6.238 7.195 3.669 7.914 7.052 2.846 7.320 6.391
[3,] 4.545 2.407 6.741 6.391 7.536 3.819 8.629 7.681 2.938 8.018 6.857
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.796 3.320 4.849 1.643 6.852 2.294 4.784 4.211 4.961 6.406 2.492
[2,] 5.743 5.943 4.918 1.674 7.080 2.367 4.875 4.216 5.905 7.878 2.511
[3,] 6.316 6.772 4.925 1.674 7.941 2.506 5.213 4.241 6.011 7.979 2.535
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.597 4.286 6.783 2.754 5.758 6.582 7.192 7.668 7.337 6.135 6.078
[2,] 7.039 4.293 8.327 2.841 5.820 6.669 7.666 8.270 8.071 7.477 7.643
[3,] 7.243 4.355 9.122 2.919 5.864 6.726 7.870 8.343 8.669 7.609 7.840
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.995 5.786 4.199 6.721 3.681 3.796 2.242 5.927 4.909 9.337 9.971
[2,] 2.019 6.832 4.601 7.213 3.705 3.931 2.251 6.395 5.000 9.526 10.041
[3,] 2.032 8.043 4.848 8.151 3.722 4.100 2.252 6.485 5.026 9.711 10.580
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.883 2.554 4.090 4.222 4.188 3.016 1.394 10.99 15.32 8.133
[2,] 2.989 4.281 4.113 4.237 4.297 3.020 1.409 12.56 20.15 9.453
[3,] 3.779 4.289 4.154 4.289 4.542 3.030 1.600 13.71 21.65 11.291
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.048 5.354 19.72 7.322 10.62 3.756 3.467 8.454 9.898
[2,] 127.824 73.502 111.30 604.944 564.21 10.064 48.406 68.200 130.079
[3,] 201.540 103.196 389.75 819.145 480.82 164.266 93.623 158.923 139.337
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.515 5.311 6.84 5.773 7.501 6.65 6.731 8.97 8.438
[2,] 851.616 363.158 334.18 52.805 361.264 311.07 284.568 556.24 726.656
[3,] 70.698 156.843 399.78 110.474 264.984 351.72 244.944 475.28 347.492
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.95 10.44 18.59 7.125 19.96 10.08 3.853 8.267 7.598
[2,] 636.76 462.89 290.14 182.101 2846.08 806.76 27.978 1016.181 1091.052
[3,] 761.40 528.96 15.17 98.022 669.50 1025.92 42.400 1119.544 742.601
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.428 7.218 4.024 6.917 7.619 4.116 8.979 8.783 7.712
[2,] 71.020 694.132 96.862 644.086 291.144 25.069 539.883 658.713 666.704
[3,] 331.961 834.847 69.560 836.660 201.365 31.826 739.828 454.740 443.399
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 7.853 7.875 7.272 2.437 6.179 2.019 6.287 7.212 5.349
[2,] 361.211 373.822 337.431 11.800 307.294 2.207 369.303 474.525 244.394
[3,] 184.485 145.615 239.742 34.284 165.890 8.773 356.501 399.843 180.782
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 2.932 5.751 7.885 9.125 4.543 8.39 8.706 3.485
[2,] 110.929 840.823 106.980 64.846 144.501 775.96 294.574 133.970
[3,] 49.884 290.652 247.432 399.527 188.731 612.90 542.234 130.511
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 7.612 6.37 6.09 4.216 6.157 2.086 8.701 2.913 6.075
[2,] 748.463 705.29 562.83 878.066 146.828 56.812 317.669 104.028 167.063
[3,] 583.084 442.80 468.21 578.343 45.482 1.975 640.736 146.306 329.037
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.348 6.3 8.134 3.165 7.108 5.443 8.613 3.497 7.311
[2,] 36.812 570.6 816.854 54.716 760.525 43.272 860.615 124.866 151.092
[3,] 82.089 200.5 225.970 61.665 304.162 130.634 663.670 118.895 128.108
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.358 9.133 9.737 9.316 7.79 7.718 2.533 7.347 5.331
[2,] 191.292 472.602 551.642 599.124 761.66 825.622 55.262 647.188 335.388
[3,] 155.133 316.911 197.435 564.118 251.11 310.579 40.656 756.247 272.323
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 8.534 4.674 4.82 2.848 7.527 6.234 11.86 12.66 2.391
[2,] 466.686 75.629 182.18 35.221 427.540 168.910 335.83 211.12 413.630
[3,] 676.315 63.145 207.18 8.814 192.455 92.118 337.00 594.12 411.949
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.243 5.193 5.361 5.319 3.83 1.77 13.95 19.45 10.33
[2,] 612.022 78.320 65.214 171.391 26.40 36.40 1083.86 2332.72 858.33
[3,] 49.189 103.836 117.805 262.037 45.15 135.02 980.70 1407.97 1100.06
[1] "--- VAR model 2017-10-05 16:31:00 completed"
[1] "Completed training sample: 2017-10-05 16:31:00 - 2017-10-06 00:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 17:01:00 - 2017-10-06 01:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.09597 0.126840 -0.4630 -2.740
-0.16709 0.007897 -0.5165 -2.158
-0.11691 0.016995 -0.2251 -1.354
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.7182 0.4779 0.06102 0.7448
-1.8260 0.3641 0.01116 1.0903
-2.1770 0.1348 -0.16507 0.5920
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.3534 1.9944 0.7381 -0.7236
0.1377 0.1790 0.2178 -1.6848
0.2379 0.8799 0.1665 -2.0575
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6939 0.985 1.2054 -1.706
0.7769 2.085 1.9821 -1.429
0.5173 1.223 0.6491 -1.128
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.0487 1.1255 -0.8930 -0.2964
-0.2360 -0.2398 -0.2790 0.6266
0.3742 0.4134 -0.2931 0.4414
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.7837 -0.07367 -4.596 -1.7435
-0.5201 -0.19873 -2.012 -1.2610
-0.2557 -0.04538 -1.925 -0.8105
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.17023 -2.0756 -3.138 1.2851
-0.04148 -1.8021 -1.574 0.3953
-0.09855 -0.9677 -1.015 0.4989
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.388 -0.04862 -0.1338 -0.4777
-1.929 -0.06977 -2.5489 -0.3916
-1.418 -0.03110 -1.4955 -0.1716
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.04089 1.378 0.4019 -1.6846
0.08138 -3.283 -1.2140 0.3101
0.03729 -1.654 -2.1757 -2.3449
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.62587 -2.0906 0 0.3142
-0.03645 -0.5895 0 0.0136
-0.22178 -1.0742 0 0.0279
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3257 0.005663 -0.1334 0.09822
0.2033 0.025382 0.6543 -0.32016
0.1070 0.121105 -0.5156 -0.07189
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.87108 0.4636 3.04291 0.3276
-0.02325 -0.1410 -0.03246 0.6030
-0.28736 0.1296 0.10805 0.2943
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.6106 0.3398 3.281 1.038
1.5236 1.2002 0.731 1.652
0.8225 0.3004 2.224 1.759
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.7597 5.2339 1.8236 -1.1143
0.7120 0.7719 1.7331 3.5668
0.4799 1.4911 0.9854 0.7691
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.401 0.08311 0.034734 -2.697
2.011 0.37121 0.004050 -2.745
2.234 0.11221 -0.002867 2.977
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0572 -0.6239 -0.3047 -0.5819
-0.6908 -1.7474 -0.3490 -1.2602
-1.2590 -0.2344 -0.1667 -2.0557
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.3979 -0.17159 -1.6901 -0.33084
-1.5160 -0.06030 -0.7792 -0.17976
-1.7596 0.03325 -1.4705 -0.05646
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.5270 0.1970 0.2677 -0.05905
-0.4888 0.4746 0.3234 -0.06934
-1.4750 0.3919 0.2465 -0.04529
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.43318 0.59255 -0.4304 -0.5933
0.07838 -0.02925 -0.2554 0.2621
0.06978 0.16166 -0.2082 -0.1164
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.3842 0 0.2032 0.021064
0.1909 0 -0.4180 0.008592
-0.1146 0 0.2245 0.006641
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.68169 0.1145 0.11482 0.163393
-0.68916 0.4091 1.17419 -0.008477
0.08934 0.5095 -0.07657 0.050256
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.24305 0.2947 -0.06131 2.752
-0.16786 0.1237 -0.05696 3.212
-0.05622 0.1391 0.04122 2.008
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.0142576 0 0 0
0.0015468 0 0 0
-0.0001431 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4888 0 -1.490 124.1
-1.8482 0 -1.347 124.0
-1.1524 0 -1.270 124.1
rnd_95776.volume rnd_95787.volume
1.9327 -1.9260
6.3280 -1.4105
0.3447 -0.7478
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.399 4.041 14.30 5.223 7.140 2.571 2.595 6.144 7.194 5.599 4.016
[2,] 5.435 4.057 14.34 6.306 8.031 2.577 2.611 6.147 7.213 7.001 4.518
[3,] 5.550 4.094 14.49 7.472 8.486 2.747 2.655 6.228 7.227 7.012 4.582
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.768 4.037 5.741 5.036 5.070 6.932 6.410 11.60 8.040 12.77 5.033
[2,] 5.651 4.045 6.070 5.331 5.353 7.528 7.643 12.07 8.434 12.83 5.133
[3,] 6.023 4.130 6.226 5.672 5.582 8.017 7.880 12.76 8.920 12.87 5.165
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.02 7.708 2.917 6.243 5.728 5.795 5.317 3.049 4.910 5.810 3.166
[2,] 21.62 8.690 2.920 7.941 8.004 5.812 6.685 3.081 5.966 6.064 3.167
[3,] 21.81 10.367 2.923 10.324 9.130 6.091 7.871 3.096 7.540 6.178 3.168
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.653 6.592 5.897 6.055 5.953 5.547 1.881 4.660 1.556 4.732 4.528
[2,] 7.223 7.519 6.952 6.309 6.281 5.822 1.883 4.901 1.556 5.108 5.927
[3,] 8.390 7.940 7.354 6.354 6.303 5.946 1.890 4.992 1.556 5.467 6.241
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.014 2.235 4.416 5.854 6.963 3.544 6.401 6.478 2.630 5.653 4.671
[2,] 4.252 2.304 5.923 5.865 6.965 3.635 7.728 6.693 2.733 7.005 6.065
[3,] 4.390 2.321 6.376 6.001 7.228 3.722 8.395 7.208 2.817 7.782 6.530
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.683 3.102 4.734 1.468 6.430 2.181 4.478 4.177 4.683 5.854 2.265
[2,] 5.239 5.453 4.810 1.478 6.688 2.224 4.565 4.181 5.511 7.415 2.283
[3,] 5.905 6.339 4.822 1.483 7.534 2.299 4.978 4.206 5.643 7.528 2.293
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.263 4.265 5.548 2.676 5.492 5.644 6.925 7.182 7.071 5.684 5.144
[2,] 6.656 4.270 7.225 2.756 5.555 5.659 7.273 7.929 7.749 7.223 6.787
[3,] 6.855 4.316 7.948 2.835 5.607 5.764 7.412 8.006 8.296 7.345 7.162
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.884 5.066 3.909 6.047 3.516 3.498 2.144 5.833 4.423 9.157 9.678
[2,] 1.898 6.129 4.222 6.645 3.544 3.665 2.156 6.180 4.443 9.295 9.743
[3,] 1.908 7.453 4.398 7.745 3.562 3.819 2.157 6.264 4.467 9.437 10.202
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.719 2.161 3.648 3.786 3.943 2.945 1.316 11.38 15.13 7.972
[2,] 2.646 3.761 3.663 3.798 4.016 2.950 1.341 13.01 19.58 9.105
[3,] 3.333 3.777 3.703 3.827 4.324 2.956 1.506 14.21 20.77 10.946
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.856 5.131 18.16 6.633 9.067 3.265 3.295 7.802 9.136
[2,] 118.035 68.012 191.59 672.332 699.608 32.216 55.092 38.851 99.662
[3,] 214.475 104.857 396.56 762.652 521.269 181.328 91.329 190.222 84.184
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 7.109 5.1 6.055 5.126 7.29 6.395 6.438 8.803 8.14
[2,] 799.750 393.6 577.165 47.895 375.37 332.596 326.865 558.683 791.89
[3,] 75.999 145.4 396.139 158.678 263.74 368.768 301.177 524.302 365.06
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.73 10.21 16.22 6.391 17.8 9.788 3.704 7.927 7.274
[2,] 639.23 485.09 226.44 192.547 3131.4 763.711 22.383 933.707 1063.674
[3,] 785.99 552.37 204.18 109.352 549.8 1075.397 27.841 1255.178 835.778
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.359 6.752 3.872 6.235 7.378 4.02 8.448 8.371 7.488
[2,] 82.911 770.797 84.432 644.819 330.161 19.01 534.972 688.170 700.455
[3,] 346.920 790.722 58.627 877.261 225.076 16.15 812.354 485.308 456.470
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 7.688 7.56 7.044 2.389 5.917 1.975 6.008 5.749 5.098
[2,] 337.268 380.83 336.818 15.602 288.811 2.286 366.328 727.843 266.910
[3,] 144.434 101.34 229.873 31.835 180.325 7.671 370.365 371.784 207.450
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.838 5.607 7.434 8.842 4.5 8.129 8.227 3.34 7.178
[2,] 106.728 751.070 68.988 28.062 154.0 823.658 320.001 141.63 787.031
[3,] 51.818 448.871 242.086 367.696 152.7 624.025 509.161 129.93 645.192
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.931 5.946 3.94 6.011 1.864 8.165 2.77 5.686 5.304
[2,] 736.187 447.019 853.24 162.245 32.594 350.058 82.60 169.402 34.999
[3,] 460.132 518.166 614.77 65.656 23.095 659.906 111.25 377.492 87.936
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.947 7.434 2.876 6.684 5.416 7.045 3.398 6.974
[2,] 552.889 865.826 54.631 775.282 38.689 880.477 125.563 158.055
[3,] 230.378 247.268 40.220 312.106 119.485 630.267 126.798 145.741
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 7.167 8.794 9.121 8.979 7.218 6.532 2.392 6.433
[2,] 79.228 422.743 639.137 603.455 848.079 842.440 44.158 656.233
[3,] 207.922 271.456 211.209 563.446 253.038 434.768 37.249 806.920
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.964 7.679 4.465 4.442 2.722 7.408 5.616 11.63 12.29
[2,] 303.411 524.103 84.713 207.737 44.085 388.480 81.200 303.19 214.04
[3,] 234.525 756.961 67.882 204.540 6.281 194.102 88.092 311.19 575.33
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.183 2.744 4.633 4.808 5.007 3.739 1.671 14.45 19.21
[2,] 382.834 585.773 63.191 57.087 144.579 34.305 49.797 1198.64 2363.16
[3,] 385.510 65.953 102.658 90.002 305.219 35.194 130.330 1090.62 1318.01
[,98]
[1,] 10.12
[2,] 836.88
[3,] 1155.92
[1] "--- VAR model 2017-10-05 17:01:00 completed"
[1] "Completed training sample: 2017-10-05 17:01:00 - 2017-10-06 01:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 17:31:00 - 2017-10-06 01:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6086 0 -0.3983 4.1261
-0.6082 0 -0.5689 -1.4726
-0.3836 0 -0.2455 -0.7227
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.5534 0.76788 0.09766 -0.092237
2.7641 0.07255 0.19254 0.003111
-0.3711 0.08987 0.22058 -0.013532
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.15087 -0.41948 -0.6809 -2.913
-0.03411 -0.03872 0.1370 -1.993
-0.21124 0.02999 0.1000 -2.068
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.20533 -0.6367 -1.2625 -1.342
-0.20054 -1.0950 -1.3053 -1.449
-0.06112 -0.3462 -0.7376 -1.256
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.912 -3.036 -5.654 -2.996
-2.273 -2.174 -4.935 -2.601
-2.164 -2.480 -4.528 -2.934
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.08676 0.73826 -3.082 -0.8626
-0.43839 0.10296 0.317 -0.3630
-0.44709 -0.02168 -1.227 0.1189
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.30332 -1.8986 -0.8791 0.3196
0.06078 -0.6391 -1.4582 1.6952
0.22441 0.2618 -0.1966 1.0785
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
3.7789 -0.14881 4.4394 -0.2189286
-1.5258 -0.09433 -0.7228 -0.0005451
-0.5777 -0.03958 -1.1295 -0.0229686
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.5407 4.3979 3.3914 3.26237
0.3496 0.8578 2.6901 3.25243
-0.1678 -0.4261 -0.6271 -0.04759
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1225 0.3427 0.8863 0
0.5381 0.4844 0.2384 0
-0.1910 -0.6674 0.1497 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.45323 0 -0.3602 -1.1969
0.10834 0 1.6028 -1.7405
0.08462 0 1.2356 0.9399
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.8926 -0.22765 -1.937 0.2368
-0.5017 -0.20878 -1.630 0.2956
-0.6607 -0.08637 -1.694 0.1356
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.5023 -0.3119 -0.3878 0.4272
-0.4141 -0.3387 -1.5294 0.3739
-0.3994 -0.3207 -1.2054 0.2385
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2238 0.4067 0.17630 -2.0894
-0.1498 -0.3551 -0.07281 0.6817
-0.2149 -1.6558 -0.94864 -0.2817
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.6193 -0.03562 0.03696 -1.6867
-0.2597 0.37989 0.14711 -2.7357
0.1377 -0.07915 0.10796 0.4428
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1539 0.5625 0.1768 2.7674
-0.2133 -1.4161 0.2622 -0.2873
-0.3374 -0.7873 0.1790 -1.5968
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.1710 0.050692 1.7321 0
0.1530 -0.092671 1.2467 0
-0.4999 -0.006764 -0.7133 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.9929 -0.03895 -0.9302 -0.4656
2.5654 -0.07945 -0.3438 -0.5143
-0.4884 -0.03863 -0.3467 -0.2761
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2843 -0.9214 -0.4289 -1.3759
0.3768 -0.9545 -0.2487 -0.9245
0.1496 -0.5599 -0.1795 -0.5346
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.2367 0 -2.5079 0.7051
-0.7555 0 -1.2787 0.4863
-0.6424 0 -0.8155 0.3893
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.0304 -0.2650 -0.267932 0
-1.2596 -0.1571 -0.001954 0
-0.9151 0.2020 -0.482395 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5061 0.10875 -0.2435 -1.1454
0.2481 0.02936 -0.3734 -1.2011
-0.4645 0.01169 -0.4663 -0.5082
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.34837 0.09238 0.17330 0
0.04365 -0.01542 0.20927 0
0.05799 0.00816 0.07545 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5562 -0.022553 -1.493 113.7
-0.7899 0.001846 -1.379 114.8
-1.2009 -0.001344 -1.318 116.3
rnd_95776.volume rnd_95787.volume
-0.9109 -1.1885
-3.6877 -0.5300
-2.6368 0.1786
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.149 3.869 13.96 4.795 6.398 2.293 2.487 5.547 6.515 5.171 3.681
[2,] 5.178 3.879 13.99 5.865 7.619 2.294 2.499 5.550 6.515 6.508 4.209
[3,] 5.289 3.908 14.12 7.098 8.112 2.388 2.545 5.609 6.519 6.532 4.246
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.443 3.786 5.458 4.748 4.953 6.523 5.782 11.39 7.899 11.47 4.786
[2,] 5.507 3.803 5.880 5.060 5.264 7.100 7.135 11.80 8.415 11.62 4.878
[3,] 5.839 3.889 6.075 5.433 5.492 7.686 7.353 12.44 8.975 11.64 4.914
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.60 7.490 2.726 6.020 5.478 5.605 4.904 2.857 4.744 5.634 2.936
[2,] 20.53 8.419 2.730 7.502 7.539 5.623 6.224 2.882 5.758 5.902 2.981
[3,] 20.83 10.075 2.730 10.072 8.715 5.882 7.365 2.894 7.333 6.010 3.009
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.173 6.074 5.270 5.742 5.275 5.198 1.826 4.452 1.523 4.458 3.738
[2,] 6.786 6.984 6.508 5.939 5.593 5.382 1.829 4.657 1.523 4.826 5.279
[3,] 7.887 7.464 6.882 5.983 5.608 5.453 1.835 4.748 1.523 5.125 5.517
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.972 2.101 4.099 5.587 6.753 3.434 6.131 6.072 2.348 5.254 4.391
[2,] 4.207 2.166 5.397 5.604 6.754 3.509 7.376 6.326 2.450 6.520 5.788
[3,] 4.334 2.186 5.849 5.725 7.018 3.587 8.013 6.750 2.517 7.174 6.240
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.448 2.820 4.537 1.331 6.054 1.996 4.151 4.062 4.293 5.365 2.103
[2,] 4.920 4.943 4.622 1.333 6.300 2.020 4.263 4.066 5.088 6.912 2.114
[3,] 5.569 5.863 4.628 1.335 7.036 2.024 4.618 4.083 5.251 7.009 2.118
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.000 4.122 5.355 2.270 4.871 5.291 6.568 6.684 6.651 5.408 4.527
[2,] 6.351 4.122 7.010 2.276 5.030 5.299 6.838 7.677 7.087 7.064 6.247
[3,] 6.536 4.145 7.719 2.283 5.067 5.390 6.998 7.780 7.440 7.150 6.669
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.671 4.162 3.479 5.528 3.334 3.254 2.030 4.834 3.956 9.122 9.131
[2,] 1.683 5.426 3.688 6.201 3.358 3.453 2.040 5.433 3.967 9.256 9.187
[3,] 1.711 7.030 3.784 7.329 3.393 3.613 2.041 5.473 3.984 9.402 9.536
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.519 1.762 2.856 3.116 3.727 2.861 1.125 11.54 13.98 7.736
[2,] 2.244 3.139 2.898 3.141 3.770 2.871 1.149 13.16 18.18 8.669
[3,] 2.724 3.144 2.959 3.155 4.034 2.876 1.302 14.34 19.21 10.640
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.539 4.913 17.73 6.089 8.125 2.912 3.158 7.044 8.272
[2,] 111.198 54.798 203.00 682.241 835.520 15.629 49.116 38.181 21.695
[3,] 216.846 96.785 378.49 807.209 562.115 133.754 96.743 164.426 44.779
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.567 4.674 5.642 4.808 6.93 6.029 6.289 8.283
[2,] 798.081 412.363 656.916 72.375 442.14 353.683 360.000 566.321
[3,] 111.461 111.628 392.129 163.879 308.20 399.656 316.758 594.637
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.343 14.47 10.03 14.56 6.078 16.01 9.511 3.462 7.645
[2,] 844.166 620.28 585.84 377.24 190.404 3271.95 776.660 29.283 903.870
[3,] 358.697 795.56 630.10 149.78 119.589 709.60 1117.401 10.125 1357.193
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.956 7.117 6.227 3.628 6.024 7.154 3.728 7.839
[2,] 1046.129 90.786 773.848 76.705 659.206 354.959 104.629 568.975
[3,] 882.955 348.863 795.417 53.277 917.099 229.271 82.135 811.673
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 7.713 6.692 7.291 6.698 6.6 2.319 5.654 1.934 5.661
[2,] 696.147 770.999 307.048 375.729 282.3 20.822 276.104 3.045 373.194
[3,] 531.623 452.011 145.465 82.927 177.4 28.275 186.699 8.834 348.480
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 4.747 5.044 2.668 5.205 7.095 8.575 4.36 7.785 7.71
[2,] 752.812 279.664 106.015 708.940 87.131 26.640 146.59 828.167 358.16
[3,] 323.270 210.474 59.214 455.741 236.657 385.634 150.34 632.544 475.77
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.982 6.672 5.576 5.648 3.581 5.761 1.691 7.687 2.534
[2,] 140.993 779.502 761.453 424.745 819.681 177.842 14.457 352.375 62.981
[3,] 116.883 604.448 471.194 526.989 637.042 46.692 15.267 632.640 27.399
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 5.271 5.159 5.452 6.813 2.671 6.349 5.234 6.8 2.883
[2,] 195.751 36.118 551.556 879.972 42.831 790.899 6.484 913.5 31.763
[3,] 358.648 74.948 262.158 235.219 25.927 311.555 89.053 652.6 37.449
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.185 6.719 8.34 8.488 8.446 6.868 5.748 2.122 5.286
[2,] 253.191 58.535 384.55 762.399 494.311 917.630 869.366 39.997 702.929
[3,] 124.436 199.264 300.05 255.021 457.488 224.024 471.864 62.544 902.676
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.417 7.02 4.234 4.132 2.577 6.138 5.024 11.58 11.6
[2,] 247.684 567.55 81.789 233.287 42.182 501.116 59.379 317.20 205.3
[3,] 170.854 788.98 97.968 214.762 8.971 132.402 74.367 333.03 515.7
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.929 2.238 3.627 3.957 4.733 3.633 1.429 14.66 17.75
[2,] 333.483 524.662 99.986 79.554 113.711 47.373 47.395 1278.43 2347.12
[3,] 311.859 33.935 120.725 60.574 289.816 34.548 123.592 1147.68 1254.78
[,98]
[1,] 9.824
[2,] 789.817
[3,] 1245.989
[1] "--- VAR model 2017-10-05 17:31:00 completed"
[1] "Completed training sample: 2017-10-05 17:31:00 - 2017-10-06 01:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 18:01:00 - 2017-10-06 02:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2107 -0.170016 0.06386 -0.2427
-0.3598 -0.081324 0.17315 -1.8732
-0.1660 0.007609 0.06262 -0.5495
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.0935 0.31150 0.3162 0
0.7112 0.10428 0.4325 0
-1.6684 0.09315 0.4929 0
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.11926 -0.1331 0.4194 -0.7039
0.04417 0.6546 0.2744 -0.8169
0.09243 -0.4156 0.1091 -0.6968
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2591 0.3476 -1.2423 -1.646
0.4287 0.5370 -0.4234 -1.205
0.3803 0.9409 -0.3260 -1.514
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.2327 -0.8454 1.143 -0.9059
-0.3454 -1.1035 3.490 -0.9896
-0.2354 -0.7680 2.739 -1.2606
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.4673 0.02081 -3.1265 -0.1797
-0.2599 0.29856 -1.0311 -1.2254
-0.4404 0.04438 -0.7288 -0.7688
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04132372 -0.8277 -3.4342 0.9011
0.00103564 -1.3018 0.1621 0.5087
0.00003941 -0.4112 -1.2959 0.3808
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.7360 0.09736 1.78215 0.8288
-1.4440 -0.03779 -3.13301 0.3881
-0.6935 -0.01099 0.04252 0.2588
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.3729 3.7223 1.261 1.059
-0.1251 -1.9001 1.209 2.451
-0.1863 -0.1506 -1.996 -1.429
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3577 0.1008 0.38509 0.20675
-0.3539 0.4725 0.09281 0.01347
-0.0713 1.4921 0.05426 0.01174
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -0.7481 0.5082
0 0 0.9919 -0.9508
0 0 0.4644 0.8481
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.03541 0.07505 -0.5544 0.8277
-0.41642 -0.13979 -0.2928 0.6566
-0.20511 -0.07649 -0.6337 0.2336
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.496 -0.8464 -1.4493 0.92240
1.966 -0.1117 -0.8611 -0.23943
1.009 -0.1160 1.6307 -0.09076
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.12073 -2.1923 -0.08058 3.540
-0.37446 -2.2292 -1.16194 -1.242
0.04257 0.3077 -0.49772 -1.383
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.2561 -0.18664 0.094773 4.153
0.3524 0.11500 0.009084 1.801
-1.3959 -0.04217 -0.001328 -0.619
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.18171 0.9095 -0.057864 -1.0034
-0.06845 1.5615 -0.053755 1.8512
-0.23857 0.8638 -0.005523 0.7269
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.9587 0 -0.4760 -0.008222
1.1291 0 -0.1851 0.203536
1.0055 0 1.3683 0.137590
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.3797 -0.007689 -0.30514 -0.1598
-1.0376 -0.007474 -0.44063 -0.4004
1.3658 0.098430 -0.07043 -0.1691
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.2798 -0.1801 -0.6541 -1.6500
-0.3852 -0.6630 -0.5485 -0.5490
-0.1342 -0.6649 -0.4201 -0.7031
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.25795 0 -2.1225 0.23444
-0.01005 0 -1.5984 0.07004
-0.69453 0 -0.4543 0.04644
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.3801 0.91115 0.5849 0
-2.7428 0.68000 -0.2893 0
-0.3064 0.03349 -0.5020 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.78046 -0.191045 -0.2007 -0.8282
0.04829 -0.077799 -0.7268 -0.6041
1.20336 0.005188 -0.4230 0.1576
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.07194 0 -1.140 110.4
1.96350 0 -1.002 111.6
1.08968 0 -1.048 110.7
rnd_95776.volume rnd_95787.volume
-6.1974 0.5035
2.0665 -1.7209
-0.3754 -0.3832
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.772 3.596 12.72 4.453 5.754 2.040 2.313 5.038 6.233 4.816 3.497
[2,] 4.782 3.610 12.78 5.521 6.766 2.041 2.317 5.040 6.236 6.055 3.959
[3,] 4.856 3.630 12.98 6.732 7.232 2.139 2.368 5.126 6.242 6.076 4.008
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.223 3.435 5.270 4.518 4.788 6.299 5.415 11.32 7.590 10.09 3.981
[2,] 5.356 3.435 5.746 4.866 5.105 6.692 6.929 11.73 8.131 10.27 4.025
[3,] 5.650 3.470 5.960 5.227 5.352 7.235 7.120 12.27 8.670 10.35 4.026
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.36 7.076 2.401 5.503 5.347 5.351 4.566 2.608 4.191 5.215 2.839
[2,] 19.83 7.611 2.402 6.529 7.030 5.380 5.858 2.622 5.272 5.383 2.883
[3,] 20.11 9.897 2.402 9.700 8.366 5.614 6.906 2.650 6.834 5.449 2.910
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.710 5.569 4.881 5.638 4.503 5.017 1.768 3.980 1.485 4.223 4.239
[2,] 6.486 6.542 6.132 5.803 5.085 5.161 1.772 4.107 1.485 4.633 5.560
[3,] 7.482 6.944 6.595 5.831 5.112 5.209 1.774 4.179 1.486 4.908 5.878
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.933 2.002 3.894 5.153 6.549 3.084 5.657 5.812 2.197 4.924 4.145
[2,] 4.156 2.076 5.220 5.154 6.549 3.146 6.969 6.071 2.292 6.162 5.352
[3,] 4.260 2.101 5.755 5.224 6.751 3.222 7.583 6.404 2.361 6.808 5.819
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.263 2.611 4.271 1.212 5.290 1.887 3.902 3.921 4.102 5.044 1.789
[2,] 4.695 4.695 4.320 1.218 5.503 1.913 3.995 3.924 4.861 6.528 1.795
[3,] 5.363 5.539 4.320 1.218 6.207 1.919 4.337 3.931 5.015 6.614 1.795
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.667 4.092 5.066 1.995 4.655 4.821 6.283 6.010 5.983 5.234 3.786
[2,] 5.950 4.092 6.699 1.995 4.662 4.824 6.472 7.186 6.165 6.863 5.855
[3,] 6.065 4.113 7.365 1.995 4.718 4.918 6.594 7.218 6.350 6.915 6.291
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.570 3.832 3.122 4.943 2.959 3.063 1.877 3.840 3.577 8.877 8.481
[2,] 1.586 5.244 3.259 5.662 3.021 3.232 1.884 4.757 3.603 8.969 8.499
[3,] 1.605 6.758 3.317 6.965 3.110 3.426 1.884 4.841 3.621 9.082 8.707
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.320 1.438 2.396 2.599 3.588 2.711 1.046 11.85 13.39 7.394
[2,] 1.814 2.657 2.411 2.610 3.618 2.715 1.084 13.48 16.99 7.998
[3,] 2.242 2.663 2.427 2.610 3.887 2.720 1.194 14.62 18.07 10.523
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.06 4.566 16.15 5.655 7.306 2.59 2.937 6.398 7.915
[2,] 64.23 64.804 257.25 667.734 728.327 15.64 27.276 24.371 42.650
[3,] 173.12 77.684 459.74 787.965 522.283 130.56 99.627 191.606 53.055
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.115 4.441 5.363 4.362 6.692 5.737 6.081 7.999
[2,] 751.029 379.899 673.948 8.526 468.328 369.510 362.006 461.930
[3,] 101.926 126.885 367.870 99.889 323.728 390.533 328.774 562.868
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 6.877 14.38 9.638 12.82 5.056 13.15 8.985 3.049
[2,] 884.413 624.66 596.417 391.95 120.730 3459.23 573.548 12.543
[3,] 334.945 741.58 615.717 251.35 23.870 689.60 1294.280 2.447
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.988 6.79 6.795 5.798 3.311 5.322 6.623 3.605
[2,] 718.923 933.67 113.030 750.557 55.893 654.199 272.824 102.694
[3,] 1467.559 927.53 328.240 748.481 78.778 889.469 173.036 81.605
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 7.251 7.072 6.198 7.16 5.718 6.371 2.245 5.054 1.886
[2,] 629.097 702.037 759.227 281.03 483.513 247.403 23.634 206.848 1.806
[3,] 763.163 476.747 496.902 116.67 106.196 144.711 20.621 158.017 11.904
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 5.362 5.383 4.995 2.542 4.945 6.543 8.316 3.916
[2,] 389.769 736.065 274.887 112.714 711.072 26.414 6.789 127.829
[3,] 331.327 390.384 190.915 65.176 495.522 173.658 335.164 141.716
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 7.184 7.381 2.79 6.252 5.263 5.413 3.316 5.424 1.540
[2,] 832.670 358.847 133.69 758.023 692.593 402.645 798.215 132.497 23.804
[3,] 611.255 417.118 116.00 592.310 467.328 530.059 601.067 6.420 3.682
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 6.717 2.396 4.955 4.979 5.209 6.405 2.272 5.926 5.196
[2,] 310.572 64.020 174.969 32.683 533.716 847.682 29.202 755.004 5.347
[3,] 587.407 32.559 345.307 47.885 252.270 217.226 3.634 240.517 85.287
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.434 2.534 5.911 6.122 7.979 7.632 7.598 6.647 4.808
[2,] 896.491 3.719 51.808 33.196 317.145 805.853 303.917 907.997 913.709
[3,] 626.121 3.645 148.158 195.953 258.116 139.599 311.787 173.623 470.821
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.993 4.866 3.965 6.277 3.758 3.89 2.383 4.876 4.543
[2,] 46.066 732.423 190.837 564.967 124.584 211.01 34.944 574.443 88.515
[3,] 50.724 872.038 126.561 829.790 151.204 232.37 5.215 184.324 73.468
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 11.27 10.77 1.676 1.827 3.042 3.301 4.556 3.442 1.328
[2,] 262.34 116.06 254.410 456.951 54.884 47.034 96.323 31.050 57.969
[3,] 292.06 386.73 269.751 36.350 58.336 7.251 290.446 34.732 102.384
[,96] [,97] [,98]
[1,] 15.05 17 9.389
[2,] 1313.56 2139 623.615
[3,] 1161.99 1261 1399.028
[1] "--- VAR model 2017-10-05 18:01:00 completed"
[1] "Completed training sample: 2017-10-05 18:01:00 - 2017-10-06 02:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 18:31:00 - 2017-10-06 02:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.08292 0.03776 -1.0947 -1.721
-0.21586 0.02751 -0.7096 -3.190
-0.03073 0.00504 -0.3412 -1.015
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.5232 0.06107 0.7027 0.23016
-0.6108 0.27961 0.2553 0.22530
-2.2497 0.18396 0.3701 0.03356
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.3883 -0.2179 0.9287 1.103
0.3567 -0.0983 0.7427 0.802
0.1347 0.7532 0.7403 1.235
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2226 1.7588 0.6753 -1.7477
0.2184 -0.1283 -0.2885 -0.8967
0.1425 0.1853 -0.1949 -1.3149
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.9166 -3.8669 -5.374 -2.831
-0.5485 -0.9412 -3.853 -2.094
-0.6884 -1.0980 -3.503 -1.890
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.3524 0.7532 -3.743 -2.3500
-1.4095 0.4765 -3.143 -0.7118
-0.7858 0.1542 -2.807 -1.7218
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.006441 -3.2981 -4.590 0.862
0.064743 -0.9941 -1.641 1.029
-0.001859 -1.6151 -1.064 0.718
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.677 0.14167 1.511 0.2379
-2.655 0.14089 -4.358 0.4593
-1.122 0.06141 -1.298 0.1460
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.7840 2.923 3.1995 2.212
-0.3693 -2.494 -0.1825 1.238
-0.3269 -1.236 -2.7691 -2.501
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.10532 -0.1125 0 0
-0.17895 -0.1589 0 0
0.04787 0.3470 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -2.0269 0.8845
0 0 2.2211 -1.2551
0 0 -0.2156 2.4595
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4764 -0.02243 0.09455 -0.30460
-0.6201 -0.28803 -0.60732 -0.12128
-0.4288 -0.04385 -0.50424 -0.04526
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.1191 -0.6334 -0.68528 0.4102
0.4137 -0.2222 0.07312 0.6984
0.6341 -0.2573 -0.03409 0.1043
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.075083 -0.7029 -0.6773 -0.4929
-0.067134 -0.6036 -0.3219 -0.3464
0.008374 0.1077 -0.1359 -0.3032
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.0398 0.2774 0.097361 0.2170
-1.2139 -0.1592 0.006938 1.4722
-0.2242 0.1696 0.114798 -0.9366
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5017 0.05123 -0.05676 1.7924
0.6683 0.75058 0.01818 -0.2379
0.5881 -0.20132 0.15495 1.1495
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.6093 0 0.4312 -0.05519
-0.8413 0 0.3911 -0.03717
1.6193 0 0.1301 -0.15277
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.8859 -0.31978 -0.3261 -0.03090
2.1012 0.02014 -0.2883 -0.45116
-0.5769 0.06286 -0.3161 -0.06974
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.10120 -1.6228 0.21133 -2.0538
0.44344 -0.2026 -0.01166 -0.1052
0.07136 -0.5298 0.01828 -0.4141
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.8559 0 -0.575942 0.06651
-0.8021 0 -2.289100 -0.05151
-0.3082 0 -0.009941 -0.17823
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.6426 -0.00441 -0.52951 0.0374027
-1.8551 0.02286 -0.17580 0.0038760
-0.4618 -0.25107 -0.05583 0.0001249
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.9059 0.034254 0.06171 -1.355
0.1675 0.027189 0.12921 -1.508
0.1078 0.005291 0.10255 -1.232
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2157 -0.048872 -0.3036 113.3
0.1081 0.002713 -0.4638 109.4
0.3021 -0.003374 -0.2435 109.5
rnd_95776.volume rnd_95787.volume
-2.5503 -2.7343
-0.1695 -0.7662
-3.0792 -1.5498
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.499 3.388 11.75 4.140 5.526 1.748 2.173 4.625 5.702 4.470 3.265
[2,] 4.503 3.405 11.80 5.139 6.436 1.752 2.179 4.626 5.709 5.601 3.651
[3,] 4.529 3.413 11.94 6.362 6.887 1.819 2.225 4.696 5.731 5.613 3.709
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.042 3.191 4.996 4.219 4.724 6.051 5.195 10.42 6.578 9.424 3.665
[2,] 5.093 3.191 5.436 4.464 5.024 6.428 6.590 11.53 7.629 9.635 3.733
[3,] 5.389 3.206 5.596 4.769 5.269 6.938 6.774 12.00 8.075 9.693 3.742
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.574 6.438 2.211 5.105 5.082 5.000 4.262 2.463 3.976 4.694 2.703
[2,] 18.688 7.062 2.212 6.168 6.519 5.047 5.445 2.470 5.049 4.860 2.744
[3,] 19.020 9.419 2.212 9.399 7.968 5.283 6.527 2.493 6.474 4.923 2.771
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.372 5.294 4.635 4.705 4.218 4.596 1.622 3.266 1.382 3.859 4.072
[2,] 6.124 6.133 5.710 4.717 4.728 4.627 1.627 3.312 1.382 4.282 5.266
[3,] 6.883 6.503 6.135 4.717 4.752 4.627 1.629 3.329 1.382 4.596 5.580
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.630 1.933 3.626 4.656 6.161 2.892 5.052 5.442 2.080 5.088 4.163
[2,] 3.800 1.989 4.679 4.662 6.165 2.951 6.070 5.739 2.140 6.014 5.040
[3,] 3.897 2.015 5.114 4.729 6.321 3.013 6.545 6.061 2.198 6.523 5.394
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.819 2.422 3.951 1.133 4.671 1.868 3.611 3.599 3.872 4.748 1.590
[2,] 4.351 4.611 4.005 1.138 4.853 1.928 3.694 3.599 4.496 5.950 1.594
[3,] 5.019 5.168 4.006 1.138 5.717 2.013 4.015 3.604 4.614 6.029 1.594
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.194 3.645 4.691 1.729 4.338 4.571 5.768 5.703 5.221 4.936 3.262
[2,] 5.375 3.651 6.300 1.787 4.342 4.572 5.830 6.770 5.239 6.774 5.621
[3,] 5.487 3.653 6.888 1.825 4.369 4.623 5.850 6.793 5.264 6.815 5.997
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.363 3.341 2.879 3.950 2.745 2.842 1.778 3.371 3.380 8.504 7.711
[2,] 1.368 4.879 2.983 4.747 2.831 2.978 1.787 4.553 3.405 8.588 7.712
[3,] 1.372 6.329 3.011 6.357 2.943 3.150 1.787 4.640 3.414 8.720 7.857
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.168 1.131 1.977 2.068 3.361 2.575 0.9398 10.63 12.41 6.705
[2,] 1.536 2.030 1.979 2.075 3.397 2.579 0.9801 11.52 15.38 7.444
[3,] 1.792 2.036 1.990 2.077 3.583 2.586 1.0483 12.23 16.25 9.949
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.713 4.302 14.91 5.257 7.017 2.22 2.759 5.873 7.241
[2,] 36.971 65.876 231.17 599.115 648.940 21.08 32.650 25.715 55.289
[3,] 95.631 47.637 350.79 737.694 482.040 96.19 88.750 158.165 98.204
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.676 4.146 5.132 4.052 6.344 5.357 5.999 7.684
[2,] 663.978 321.173 609.503 4.657 421.617 287.303 336.429 426.523
[3,] 72.827 128.798 346.545 61.312 261.307 329.936 312.808 513.934
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 6.596 13.23 8.353 11.97 4.653 12.16 8.176 2.807
[2,] 797.762 970.09 760.119 395.32 139.747 3157.13 571.013 12.954
[3,] 308.276 655.46 520.821 208.07 50.777 697.05 1225.847 3.870
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.482 6.453 6.349 5.412 3.127 5.048 5.961 3.433
[2,] 681.050 803.130 135.563 666.638 37.621 612.217 248.076 93.007
[3,] 1395.182 901.418 307.151 708.069 65.894 797.159 154.571 75.058
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.822 6.722 5.886 5.975 5.356 5.836 2.06 4.147 1.755
[2,] 578.280 609.021 655.967 65.873 420.427 105.213 23.95 107.806 7.457
[3,] 618.342 425.556 441.112 4.765 93.626 4.768 17.96 66.836 2.764
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.901 5.171 4.61 2.455 4.604 5.912 7.824 3.672 6.415
[2,] 364.868 656.925 221.06 92.430 581.885 45.509 41.240 116.337 661.936
[3,] 328.843 362.745 170.03 62.974 405.805 156.424 274.949 118.882 481.778
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 6.91 2.641 6.461 5.286 4.85 3.076 5.017 1.438 5.931
[2,] 358.64 98.745 630.622 558.923 410.08 771.844 129.172 21.725 259.050
[3,] 383.34 98.853 497.203 377.836 492.03 458.986 17.992 1.920 594.673
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.372 4.586 4.571 4.917 6.029 2.019 5.326 4.629 5.957
[2,] 93.867 153.263 4.657 449.480 705.434 22.410 661.094 39.740 827.350
[3,] 114.470 309.386 34.483 203.727 191.451 4.585 217.928 26.901 547.739
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.195 5.508 5.805 7.325 7.242 6.63 6.268 4.143 1.731
[2,] 88.799 38.521 10.329 166.152 717.823 85.35 912.778 900.569 23.822
[3,] 73.244 95.239 135.313 96.986 108.755 100.74 146.408 410.911 21.193
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.242 3.655 5.015 3.485 3.608 2.258 4.281 4.291 10.8
[2,] 699.516 153.631 517.901 136.592 175.495 36.285 602.021 81.506 235.4
[3,] 793.041 81.106 831.838 158.062 201.639 2.135 175.303 48.155 297.3
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 9.792 1.483 1.436 2.511 2.626 4.268 3.27 1.193 13.49
[2,] 24.698 196.279 331.635 14.646 34.454 97.535 28.24 54.727 873.64
[3,] 295.636 181.454 31.604 42.012 15.025 224.392 35.08 73.127 810.66
[,97] [,98]
[1,] 15.76 8.514
[2,] 1786.72 636.072
[3,] 1031.71 1298.634
[1] "--- VAR model 2017-10-05 18:31:00 completed"
[1] "Completed training sample: 2017-10-05 18:31:00 - 2017-10-06 02:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 19:01:00 - 2017-10-06 03:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1048 0 0.08680 2.2006
0.1422 0 -0.07107 -0.4351
0.0859 0 -0.19861 -1.2951
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.0851 0 0.5871 0.4635
1.3332 0 0.4236 0.5871
-0.3043 0 0.1488 0.2263
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1300 0.946405 2.4544 1.0532
0.7415 0.009334 0.6592 -0.3963
0.6136 1.721837 0.5081 0.7606
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2234 3.680 2.4094 -1.3424
0.3577 1.208 0.7379 -0.9604
0.1481 1.539 0.3228 -0.2025
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.2272 -0.4247 -2.760 -2.595
1.1276 0.3502 -2.379 -1.707
0.1195 0.1243 -1.667 -1.012
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.2118 0.22467 -4.587 0.59041
-0.4642 0.11223 -0.161 -1.84519
-0.6284 0.06665 -1.006 0.06734
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -0.4152 -0.1786 1.660
0 -1.6838 -1.2031 1.332
0 0.2725 -0.9084 1.013
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.1882 0.25079 1.9677 -0.2193
-0.4409 0.22170 -0.3437 -0.5592
-1.3593 0.08622 -0.8862 -0.1928
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.07895 0.28837 1.3059 2.6773
0.21849 0.01759 1.7048 1.0193
0.02101 -0.25371 -0.3482 0.1494
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.11484 0.47351 0 0
0.01487 -0.03202 0 0
0.03998 0.20543 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 0.5682 -2.3216
0 0 0.9233 1.4243
0 0 1.3973 -0.7024
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4190 -0.08903 0.2829 0.05558
-0.2288 -0.08574 -1.3596 -0.22675
-0.1158 -0.20997 1.0055 -0.14047
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.4195 -0.28479 2.76745 0.9909
0.8154 -0.08597 0.04362 1.4253
0.8681 -0.29928 -1.25142 1.6624
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.27365 0.9903 -0.56790 0.4376
0.14157 1.0521 1.49267 1.6950
0.06464 -0.3036 -0.04403 0.5815
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.4036 0.09969 0.160512 -0.68690
-0.4143 0.20534 0.017747 0.46573
1.6194 0.02177 -0.001553 0.02355
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.03031 0.03734 -0.071086 1.2826
-0.08437 -0.05370 0.062056 -0.9003
-0.02164 0.05735 -0.002436 0.3484
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.3229 0.04562 -0.08566 0.1619
-0.3871 0.04425 0.56061 0.2600
0.2124 -0.02744 -0.42164 0.2690
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.6549 0.00000 -0.05708 -0.20138
1.1619 -0.01016 0.14407 0.18096
-0.7001 0.06554 0.23198 0.06636
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2773 1.47758 -0.103604 2.2917
0.2572 -0.03887 -0.112348 -0.3141
0.2840 0.46498 -0.003144 0.5386
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.5861 0 -0.7018 -0.01875
0.6431 0 2.3506 -0.10231
0.1186 0 -0.4330 -0.04724
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.13992 0.3851 -0.23516 0.054426
1.73947 0.4101 0.84300 0.004217
0.03402 0.9582 0.05125 -0.002753
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.5678 0 -0.3670 -1.0762
0.5713 0 -0.3099 -0.9412
-0.1311 0 -0.1397 -0.7398
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3607 0 -0.26478 129.4
0.2181 0 -0.03321 129.7
0.1635 0 -0.08688 125.2
rnd_95776.volume rnd_95787.volume
0.7089 0.5621
-0.9771 -1.9211
-1.4750 0.2835
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.077 3.269 10.29 3.940 5.141 1.566 2.046 4.273 5.351 4.182 3.070
[2,] 4.077 3.296 10.33 4.943 6.006 1.573 2.052 4.282 5.352 5.136 3.441
[3,] 4.096 3.304 10.41 6.120 6.410 1.619 2.094 4.346 5.370 5.150 3.497
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.722 2.963 4.633 3.886 4.547 5.816 5.016 10.31 6.220 8.469 3.407
[2,] 4.700 2.963 5.072 4.104 4.864 6.073 6.232 11.34 7.244 8.654 3.452
[3,] 4.936 2.981 5.218 4.414 5.121 6.611 6.372 11.82 7.652 8.793 3.469
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.952 6.194 1.948 4.711 4.785 4.579 4.001 2.330 3.678 4.162 2.597
[2,] 17.036 6.766 1.948 5.817 6.228 4.633 5.182 2.336 4.703 4.238 2.617
[3,] 17.306 8.752 1.948 8.636 7.516 4.832 6.200 2.375 6.102 4.242 2.656
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.055 5.130 4.483 4.262 3.899 4.128 1.509 3.046 1.207 3.604 3.797
[2,] 5.791 5.967 5.290 4.266 4.469 4.166 1.510 3.077 1.210 4.072 4.896
[3,] 6.501 6.314 5.763 4.266 4.494 4.166 1.512 3.103 1.212 4.365 5.185
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.404 1.782 3.286 4.162 5.844 2.697 4.579 5.029 1.928 4.528 3.941
[2,] 3.547 1.821 4.387 4.168 5.846 2.740 5.607 5.220 1.998 5.540 4.746
[3,] 3.626 1.837 4.741 4.274 5.949 2.797 6.003 5.533 2.032 5.840 5.061
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.566 2.327 3.601 1.077 4.329 1.620 3.327 3.422 3.471 4.304 1.442
[2,] 4.051 4.342 3.631 1.083 4.484 1.634 3.402 3.427 4.009 5.323 1.443
[3,] 4.847 4.886 3.632 1.083 5.195 1.635 3.681 3.427 4.121 5.375 1.445
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.452 3.319 4.491 1.621 3.952 4.218 5.436 5.379 4.704 4.502 2.870
[2,] 4.927 3.321 5.856 1.708 3.954 4.219 5.488 6.334 4.742 6.383 5.226
[3,] 5.020 3.327 6.322 1.729 3.965 4.245 5.532 6.358 4.768 6.424 5.560
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.204 3.071 2.621 3.443 2.682 2.744 1.640 3.371 3.264 7.928 7.413
[2,] 1.204 4.395 2.676 4.053 2.788 2.867 1.645 4.191 3.296 7.979 7.413
[3,] 1.207 5.944 2.678 5.764 2.884 3.014 1.647 4.231 3.307 8.089 7.585
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.083 1.012 1.756 1.835 3.059 2.266 0.9063 10.69 13.00 6.375
[2,] 1.399 1.815 1.756 1.837 3.096 2.266 0.9486 11.58 14.08 7.034
[3,] 1.624 1.823 1.765 1.837 3.265 2.267 1.0152 12.33 15.01 9.141
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.177 4.152 13.06 5.003 6.529 1.989 2.599 5.426 6.795
[2,] 15.844 83.879 194.66 602.749 626.762 30.456 31.416 58.469 21.521
[3,] 78.918 47.687 257.94 728.390 452.295 77.169 84.526 149.144 88.650
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.311 3.898 4.726 3.763 5.883 4.934 5.774 7.386 6.37
[2,] 601.985 314.033 579.444 2.969 416.621 266.762 348.508 352.714 746.55
[3,] 75.639 125.608 304.330 66.795 247.725 328.136 323.723 527.587 268.55
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 13.09 7.898 10.75 4.327 11.37 7.865 2.474 5.983 6.076
[2,] 954.58 749.889 358.96 111.334 2926.08 549.897 4.359 688.809 804.902
[3,] 671.95 497.213 314.66 70.283 615.92 1120.712 2.133 1288.566 849.457
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 5.814 5.08 2.959 4.67 5.285 3.298 6.42 6.515 5.693
[2,] 143.212 664.98 34.313 591.92 161.946 64.511 570.47 615.172 567.126
[3,] 276.899 687.17 86.259 784.92 39.065 91.082 596.44 416.519 461.296
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 5.412 4.951 5.241 1.916 3.868 1.533 4.576 4.822 4.323
[2,] 37.135 441.180 113.273 14.123 88.272 17.370 382.753 623.880 201.514
[3,] 7.248 94.458 10.415 12.970 80.785 13.185 317.335 344.855 151.765
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.263 4.173 5.285 7.422 3.424 5.815 6.386 2.448 5.75
[2,] 75.395 586.872 46.883 23.137 98.046 653.345 282.669 106.054 644.18
[3,] 49.413 362.536 190.557 223.512 113.118 432.766 370.463 74.802 373.47
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.004 4.528 2.954 4.573 1.367 5.498 2.057 4.225 4.346
[2,] 534.064 388.255 740.202 93.523 24.056 235.970 43.545 143.903 37.466
[3,] 354.559 537.188 452.245 22.039 2.366 529.364 14.383 283.380 7.683
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.408 5.466 1.831 5.653 4.215 5.703 2.059 5.019 5.356
[2,] 404.794 632.321 13.359 426.122 23.674 758.675 108.496 23.817 19.008
[3,] 192.609 150.448 12.961 194.930 39.116 481.145 54.451 58.969 95.422
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 6.903 6.83 5.973 5.717 3.644 1.529 3.899 3.329 4.372
[2,] 152.273 675.37 121.323 913.437 881.733 5.404 634.971 109.216 431.547
[3,] 141.248 111.56 100.032 146.951 383.369 17.798 807.863 17.210 827.397
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.406 3.484 2.082 4.281 4.145 10.07 9.413 1.375 1.285
[2,] 153.265 167.502 25.703 502.570 92.835 181.38 19.255 178.915 304.020
[3,] 149.017 187.716 16.827 117.119 54.385 269.07 323.951 166.290 34.447
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.230 2.330 3.884 2.878 1.151 13.57 16.5 8.095
[2,] 2.129 15.497 96.676 2.584 56.534 897.29 1093.7 600.276
[3,] 35.183 4.985 209.553 11.559 73.034 856.25 1049.9 1178.715
[1] "--- VAR model 2017-10-05 19:01:00 completed"
[1] "Completed training sample: 2017-10-05 19:01:00 - 2017-10-06 03:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 19:31:00 - 2017-10-06 03:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.0196738 0 -0.05282 1.7703
0.0009817 0 -0.42848 -3.5157
0.0014265 0 -0.13164 -0.8252
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.2267 0 0.4259 -0.009354
1.0594 0 0.2288 0.166873
-1.9249 0 0.2795 -0.008386
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6415 1.0857 1.04145 -0.4574
-0.2139 -0.8226 0.18254 0.4020
0.2996 0.8216 -0.09643 -0.4105
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.14240 0.5981 1.0092 1.08317
-0.16196 0.9341 -0.0626 0.06648
-0.05939 -0.2985 -0.1346 0.14398
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.0397 -2.2847 -3.010 -1.530
-0.9577 0.3771 -2.504 -2.721
-0.6702 -0.4573 -1.971 -1.468
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.2750 1.0000 -2.7639 -4.41650
-0.1738 0.6433 -0.5828 -0.24142
-0.2977 0.3428 -0.5559 -0.01618
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -4.8698 -1.4687 0.4549
0 -0.3302 -2.7768 0.6691
0 -0.4246 0.2315 0.5920
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.9463 0.00079712 1.948 -0.31360
-4.0536 0.00003064 -1.718 -0.21374
-0.3695 0.00012685 -2.380 0.02421
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2774 1.0632 -0.602 -2.403
0.3545 0.6536 1.114 1.776
-0.6034 -2.9353 -2.040 -1.267
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.09117 0.7920 0.86982 0
-0.05991 0.5226 0.07186 0
0.05902 0.4108 0.34351 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -0.9671 0.5614
0 0 -0.1174 -1.8189
0 0 0.4212 0.5712
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.025231 0.2055 -1.05507 -0.06303
0.004571 0.3335 -0.08155 0.24321
-0.126267 0.0472 -1.33038 0.07982
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.002334 0.4017 -0.85654 1.067
-0.344516 -0.2875 0.03432 1.292
-0.107189 0.0414 0.28266 1.134
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.47320 -3.2321 -2.31432 -0.2937
0.07121 0.2892 -0.35020 -2.0712
-0.09153 -0.2066 0.05932 0.3407
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.2888 0.45136 -0.118569 0.5095
-2.1600 -0.07849 0.001909 1.4658
-0.4318 0.22221 -0.041269 -2.1870
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.17054 -0.07494 0.094793 -0.3623
-0.06463 -0.04421 -0.033140 0.5557
0.17977 -0.19398 -0.006918 0.3089
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.09393 0 3.5928 0.01676
0.11080 0 -0.1659 -0.05593
-0.03987 0 0.3540 0.04819
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.9020 -0.05631 0.106237 0.0585189
0.6206 0.40026 -0.028428 -0.0002836
0.2813 0.01328 0.005677 0.0049138
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.15203 1.22654 0.06538 0.97255
0.02103 0.59584 0.08550 0.11141
0.02177 0.01975 -0.02828 0.03272
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.2221 0 -2.1256 -0.03371
0.4041 0 1.0542 -0.10062
0.1585 0 0.1086 -0.02010
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.0711 2.730 -0.87758 0.05520
0.6322 1.899 -0.41579 0.04468
1.1121 1.969 0.09492 0.06336
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.2550 0 -0.32919 -1.0158
-0.3063 0 -0.10825 -1.0034
0.3655 0 -0.06173 -0.7768
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3677 0 -0.4353 109.2
0.3378 0 -0.2163 109.3
0.5291 0 -0.1644 108.0
rnd_95776.volume rnd_95787.volume
1.0539 -4.69398
-0.8304 -0.06576
-1.1935 -0.13580
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.651 2.991 9.651 3.702 4.766 1.433 1.914 3.931 4.921 3.991 2.948
[2,] 3.656 3.029 9.701 4.763 5.526 1.438 1.918 3.935 4.922 4.858 3.238
[3,] 3.665 3.038 9.751 5.806 5.877 1.490 1.958 3.948 4.924 4.866 3.287
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.556 2.769 4.172 3.615 4.433 5.537 4.782 10.07 6.032 7.608 3.331
[2,] 4.437 2.769 4.437 3.831 4.735 5.821 5.912 10.88 7.016 7.610 3.380
[3,] 4.766 2.780 4.547 4.051 4.985 6.077 6.135 11.34 7.243 7.784 3.399
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.344 5.598 1.800 4.293 4.588 4.152 3.775 2.174 3.422 3.871 2.383
[2,] 14.953 6.100 1.800 5.293 5.871 4.191 4.939 2.175 4.421 3.921 2.394
[3,] 14.967 7.478 1.802 7.462 6.841 4.399 5.888 2.203 5.722 3.935 2.459
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.602 4.758 4.236 3.655 3.561 3.800 1.308 2.872 1.106 3.476 3.473
[2,] 5.357 5.466 4.914 3.659 4.049 3.817 1.309 2.912 1.106 3.898 4.661
[3,] 6.212 5.816 5.396 3.660 4.084 3.817 1.314 2.932 1.107 4.147 4.986
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.185 1.734 3.263 3.631 5.474 2.563 4.057 4.704 1.740 4.193 3.723
[2,] 3.283 1.739 4.300 3.631 5.474 2.611 5.015 4.901 1.820 5.048 4.413
[3,] 3.368 1.749 4.806 3.659 5.529 2.665 5.362 5.136 1.845 5.341 4.693
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.409 2.097 3.384 1.008 4.053 1.703 3.165 2.979 3.230 4.102 1.368
[2,] 3.858 4.065 3.404 1.010 4.197 1.771 3.245 2.987 3.718 4.991 1.373
[3,] 4.643 4.519 3.404 1.011 4.788 1.843 3.511 2.992 3.815 5.037 1.373
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.034 3.056 4.364 1.543 3.540 3.839 5.175 5.109 4.276 4.192 2.754
[2,] 4.516 3.058 5.620 1.609 3.547 3.839 5.224 5.878 4.330 5.973 5.025
[3,] 4.573 3.059 6.018 1.626 3.558 3.853 5.277 5.920 4.351 6.010 5.262
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.107 2.771 2.440 3.119 2.562 2.513 1.373 2.844 2.997 7.411 6.988
[2,] 1.108 3.948 2.490 3.712 2.655 2.635 1.375 3.861 3.040 7.457 6.989
[3,] 1.108 5.482 2.491 5.490 2.742 2.781 1.377 3.961 3.051 7.555 7.171
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9926 0.9151 1.595 1.688 2.763 2.004 0.8834 11.17 12.40 5.644
[2,] 1.2742 1.6871 1.597 1.690 2.791 2.006 0.9322 12.29 13.54 6.203
[3,] 1.4818 1.7000 1.604 1.690 2.965 2.007 1.0107 13.27 14.39 7.660
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.636 3.798 12.25 4.701 6.052 1.82 2.43 4.992 6.250
[2,] 35.598 93.742 192.31 582.536 543.751 22.81 25.44 35.252 5.711
[3,] 51.584 45.434 191.15 645.196 388.867 76.14 76.05 61.744 30.989
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.068 3.743 4.516 3.516 5.298 4.591 5.629 7.031
[2,] 538.246 260.404 515.693 5.845 293.536 246.161 323.364 349.485
[3,] 55.823 110.355 338.487 47.083 193.115 256.103 303.439 338.970
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 6.072 12.78 7.659 9.661 4.23 10.6 7.108 2.286 5.452
[2,] 675.576 801.90 696.602 37.387 110.74 2411.8 471.111 2.617 601.622
[3,] 319.280 623.05 349.690 318.004 69.98 129.4 840.627 12.934 1022.479
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.826 5.272 4.794 2.76 4.346 4.915 3.026 5.844 6.041
[2,] 712.068 110.510 619.070 16.39 543.942 121.542 43.310 532.904 523.247
[3,] 682.401 259.990 622.801 67.26 706.132 65.322 109.624 611.307 386.299
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.379 4.642 4.522 4.825 1.661 3.647 1.404 4.414 4.41
[2,] 484.337 34.328 374.508 70.773 9.603 93.286 5.986 342.786 604.22
[3,] 433.406 12.095 104.646 5.351 22.393 66.647 5.957 275.308 344.01
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 4.045 2.202 4.143 4.611 6.95 3.254 5.152 5.973 2.21
[2,] 154.162 23.157 544.229 8.853 19.85 97.394 573.120 267.703 103.68
[3,] 146.737 37.519 417.483 87.293 151.38 103.589 368.710 298.306 59.02
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 5.324 4.727 4.329 2.663 4.298 1.281 5.146 2.163 4.019
[2,] 546.437 460.725 351.025 676.909 70.259 12.335 212.452 94.216 139.164
[3,] 339.055 310.142 502.228 383.584 5.353 3.064 447.614 99.483 260.389
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.782 4.102 5.21 1.737 5.122 3.880 5.542 1.959 4.495
[2,] 43.462 358.054 552.60 22.955 394.466 25.770 688.126 88.717 45.894
[3,] 33.532 165.780 131.85 4.390 140.904 6.138 418.509 45.601 52.170
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.875 6.571 6.488 5.43 5.323 3.497 1.406 3.518 3.098
[2,] 5.274 139.196 564.978 132.16 827.016 816.953 5.425 546.640 96.095
[3,] 62.780 144.138 136.564 83.53 129.374 303.641 6.443 739.203 15.736
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 3.961 3.253 3.191 1.744 3.612 3.806 9.411 8.874 1.26
[2,] 391.204 135.195 154.045 14.799 507.454 98.915 161.457 18.542 155.28
[3,] 786.165 133.155 173.118 12.005 171.746 50.669 235.257 312.738 147.03
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.162 2.026 2.143 3.508 2.544 1.122 14.19 15.75 7.167
[2,] 275.495 12.212 13.963 77.485 19.978 57.868 997.90 1053.45 500.207
[3,] 40.613 29.522 9.116 194.656 6.925 75.935 969.79 950.95 873.751
[1] "--- VAR model 2017-10-05 19:31:00 completed"
[1] "Completed training sample: 2017-10-05 19:31:00 - 2017-10-06 03:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 20:01:00 - 2017-10-06 04:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.099831 0 -0.9819 -1.3022
-0.056354 0 -0.7628 -1.3331
-0.003119 0 -0.3867 -0.7227
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.1845 0 0.2142 0.06459
-0.8349 0 0.7653 -0.26225
-0.8832 0 0.7696 -0.16960
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.3223 -0.72689 1.4953 0.25927
-0.1701 0.06466 1.0073 0.90045
0.2817 -0.37348 0.6143 -0.01877
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.001013 0.5284 -0.1122 0.35425
0.058359 0.3799 -0.3996 -0.28825
0.018395 0.7811 0.7182 0.09113
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.4711 -0.2318 -0.9305 0.3346
0.6979 0.4095 -0.6103 -0.3457
0.2960 0.1806 -0.6488 0.1793
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.3078 0 -2.5764 0.8793
-0.3947 0 0.2242 -1.2184
0.5486 0 -0.5857 -0.2255
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0 -0.89806 -2.7088 0.56961
0 -1.16361 -0.5064 0.08328
0 -0.05851 -0.5142 0.17509
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.3433 0.1637991 -0.3794 -0.53771
-0.8621 0.1209751 -2.0448 -0.45762
-1.3672 0.0001893 -0.6105 -0.07516
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.04496 -1.4875 -0.4169 0.1339
-0.39714 -2.3916 -0.5444 -0.7855
0.03845 0.2163 -0.8553 -1.7854
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.002256 1.00178 0 0.23793
0.060817 -0.05371 0 0.06661
-0.065307 0.92304 0 0.21411
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 -0.06972 2.2586 0.9207
0 0.06900 0.6200 2.2506
0 0.00145 0.2389 0.3467
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.06362 0 2.601 -0.19094
-0.05561 0 1.458 -0.02528
-0.05361 0 1.053 0.15949
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.04796 0.06762 0.6240 0.5320
1.34482 0.35692 1.8107 0.6532
0.51673 0.37786 0.7393 0.5613
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.11589 0.4462 1.0615 1.3042
0.04573 0.6892 0.4293 1.0461
0.11071 1.1420 0.8583 0.5269
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1971 0.07897 0.05468 2.33441
1.2238 0.19603 -0.05671 -0.07457
0.4402 0.01947 -0.03791 1.06579
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.3346 -0.01951 -0.02836 -0.7405
0.2615 1.45185 -0.01908 1.1519
0.6077 0.13800 0.05681 0.2573
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.20040 0.122865 1.1006 0.069524
0.09887 -0.024361 -0.2817 0.052794
1.17089 0.003002 1.1080 0.006406
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.7353 0.13441 -0.07074 -0.120562
0.1739 0.16423 0.04937 -0.005356
0.5482 -0.02079 0.00735 -0.009974
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1341 0.5935 0.871946 0.16630
-0.1811 -0.3683 0.364524 0.03484
-0.1375 -0.2445 -0.002393 -0.12534
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.79289 0 -1.58607 0.41915
0.62976 0 0.78010 -0.07935
0.02773 0 -0.09682 -0.11425
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.1150 0.1541 0.44408 0
0.6335 -0.4266 -0.01161 0
0.7892 0.3537 0.24516 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3114 0.2946 -0.29858 -1.4207
0.4024 0.2074 0.05775 -1.3816
0.9744 0.1083 0.08550 -0.7675
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5620 0 0.08461 117.2
1.3415 0 -0.03553 119.3
0.1798 0 -0.14060 120.0
rnd_95776.volume rnd_95787.volume
1.424 0.1193
2.133 -1.0445
2.741 -0.2024
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.490 2.748 9.302 3.476 4.631 1.334 1.830 3.679 4.775 3.743 2.743
[2,] 3.493 2.794 9.372 4.444 5.246 1.336 1.833 3.688 4.775 4.460 3.046
[3,] 3.499 2.811 9.438 5.366 5.555 1.396 1.866 3.702 4.781 4.468 3.096
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.195 2.512 3.965 3.393 3.708 4.914 4.498 9.81 5.491 6.962 3.000
[2,] 4.112 2.514 4.246 3.586 3.964 5.211 5.377 10.66 6.424 6.963 3.052
[3,] 4.403 2.516 4.339 3.800 4.264 5.502 5.615 11.13 6.612 7.029 3.098
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.803 5.293 1.714 3.915 4.228 3.959 3.420 2.008 3.164 3.818 2.262
[2,] 13.695 5.744 1.714 4.835 5.515 4.001 4.563 2.008 4.091 3.877 2.268
[3,] 13.726 6.917 1.716 6.763 6.484 4.182 5.358 2.029 5.281 3.926 2.339
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.250 4.577 4.057 3.440 3.356 3.352 1.203 2.622 0.9567 3.171 3.123
[2,] 4.844 5.126 4.665 3.442 3.766 3.378 1.204 2.668 0.9852 3.533 4.161
[3,] 5.802 5.426 5.028 3.442 3.805 3.378 1.206 2.696 0.9941 3.725 4.465
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.943 1.626 2.962 3.252 5.099 2.352 3.801 4.400 1.686 3.952 3.450
[2,] 3.034 1.634 3.913 3.254 5.099 2.396 4.437 4.554 1.737 4.823 4.248
[3,] 3.144 1.649 4.361 3.294 5.192 2.452 4.867 4.788 1.765 5.058 4.465
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.143 1.939 3.228 0.9155 3.850 1.660 3.028 2.799 3.288 3.880 1.296
[2,] 3.560 3.799 3.245 0.9169 3.968 1.719 3.105 2.800 3.513 4.746 1.301
[3,] 4.378 4.359 3.245 0.9170 4.502 1.779 3.316 2.800 3.580 4.778 1.302
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.768 2.775 4.146 1.436 3.286 3.571 4.765 4.810 4.085 3.865 2.607
[2,] 4.233 2.783 5.334 1.526 3.295 3.571 4.807 5.473 4.135 5.545 4.785
[3,] 4.261 2.786 5.599 1.550 3.305 3.583 4.884 5.514 4.157 5.580 4.995
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.018 2.607 2.169 2.760 2.445 2.316 1.211 2.676 2.750 6.884 6.709
[2,] 1.019 3.710 2.212 3.406 2.537 2.441 1.214 3.685 2.793 6.962 6.710
[3,] 1.019 5.002 2.236 5.180 2.613 2.558 1.215 3.797 2.823 7.052 6.907
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9238 0.842 1.496 1.606 2.586 1.776 0.8074 11.22 11.63 5.358
[2,] 1.1738 1.587 1.505 1.609 2.623 1.779 0.8418 12.40 12.68 5.825
[3,] 1.3949 1.599 1.508 1.610 2.782 1.779 0.9069 13.40 13.35 7.059
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.432 3.49 11.81 4.414 5.881 1.694 2.324 4.671 6.064
[2,] 25.874 97.97 221.82 538.306 478.934 14.222 19.142 51.951 8.753
[3,] 40.009 61.02 216.55 584.551 355.351 78.658 68.088 61.319 44.474
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.753 3.483 4.057 3.19 5.035 4.308 4.708 6.24 5.712
[2,] 471.588 257.573 503.251 19.04 295.291 226.063 272.666 336.87 572.652
[3,] 53.145 107.532 305.867 19.27 173.051 244.288 305.542 343.60 314.184
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 12.46 6.973 8.84 3.81 9.908 6.721 2.176 4.971 5.369
[2,] 811.96 648.005 23.64 108.48 2187.892 433.488 2.892 551.670 688.403
[3,] 622.95 304.462 187.20 103.93 181.239 749.436 18.451 919.182 662.969
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.027 4.343 2.549 4.018 4.848 2.872 5.396 5.812
[2,] 112.591 587.233 8.210 504.032 130.767 32.180 451.859 448.587
[3,] 236.597 545.866 56.167 649.334 121.012 111.160 621.053 346.009
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.151 4.369 4.261 4.256 1.528 3.329 1.215 4.026 3.966
[2,] 447.770 21.395 332.094 82.181 9.449 96.460 45.726 303.150 534.467
[3,] 364.728 3.756 106.208 3.662 13.777 74.352 25.853 229.455 314.870
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.738 2.065 3.761 4.13 6.475 2.986 4.826 5.587 2.141
[2,] 143.031 30.485 496.996 21.87 8.493 88.803 445.057 228.095 81.309
[3,] 160.435 43.972 374.565 99.89 190.506 102.067 388.848 287.866 61.116
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 5.018 4.381 3.992 2.462 4.099 1.162 4.889 2.108 3.845
[2,] 537.360 481.633 324.784 635.127 64.309 10.201 186.233 86.800 134.076
[3,] 296.618 267.795 495.527 415.575 3.744 2.379 413.404 88.912 226.112
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.555 4.176 4.927 1.645 4.785 3.524 5.264 1.823 4.173
[2,] 13.405 240.379 531.363 24.080 374.931 40.864 652.433 100.484 47.197
[3,] 5.696 133.784 107.988 4.785 94.852 22.012 331.305 53.173 49.717
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.534 6.051 6.107 5.187 4.908 3.311 1.293 3.311 2.755
[2,] 3.996 124.262 507.625 124.685 772.878 780.052 4.872 513.141 83.897
[3,] 57.464 167.775 130.805 84.301 121.176 278.403 7.206 652.238 63.737
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 3.505 3.105 2.941 1.538 3.398 3.493 8.742 8.519 1.173
[2,] 388.046 131.433 149.777 16.772 492.385 94.013 201.246 24.647 140.777
[3,] 758.613 121.757 148.605 9.445 178.649 80.083 218.175 318.160 146.487
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.069 1.90 2.04 3.284 2.255 1.025 14.25 14.76 6.804
[2,] 261.587 31.54 18.78 85.602 18.299 46.351 1029.36 982.88 443.990
[3,] 37.367 17.31 12.49 179.823 8.497 65.602 986.97 812.41 775.208
[1] "--- VAR model 2017-10-05 20:01:00 completed"
[1] "Completed training sample: 2017-10-05 20:01:00 - 2017-10-06 04:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 20:31:00 - 2017-10-06 04:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.238855 -0.047737 0.49851 3.6471
-0.011557 -0.011345 0.13845 -0.8989
0.006374 -0.006282 0.09202 -0.2959
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.155 0 0.6248 -0.68090
2.721 0 1.1351 -0.06236
-1.393 0 0.5606 0.40429
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.09009 3.1892 2.7059 0.9825
0.03103 -0.8296 1.3864 -0.9830
0.86009 0.6754 0.6808 -0.6768
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.007227 1.12153 0.2531 -1.666
0.009587 0.60745 0.2668 -2.383
0.093098 0.08087 -0.1658 -1.573
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.768 -2.860 1.755 2.0661
-1.502 -2.124 1.014 0.2662
-2.036 -1.229 2.026 0.8813
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.2534 0.10213 -0.5745 -0.9118
-0.8073 0.10994 0.4447 -0.8660
-0.6413 0.07714 -1.9081 -0.7020
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.066315 -0.87482 -0.7817 1.089
0.002273 -0.01819 -0.5703 1.382
-0.002074 -0.27224 -0.4492 1.204
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.1244 -0.09845 5.2751 -1.3084
-1.0779 -0.08748 -0.9646 -1.2732
-0.3032 -0.02327 -0.6856 -0.1248
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.20142 4.2466 1.572 2.7562
-0.18511 -0.3379 2.396 2.0824
-0.07593 -1.0570 -1.225 -0.2374
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.352580 4.1918 0.10335777 0
0.001546 -0.1325 0.01819833 0
-0.261494 1.9201 0.00001907 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 0.5803 3.7301
0 0 1.6600 -0.8772
0 0 1.6128 1.0075
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3804 -0.07998 2.3610 -0.06352
0.3787 0.21513 2.5411 0.03174
0.1886 0.02497 -0.0897 0.12603
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.6645 0.5563 1.565 0.5286
0.5547 0.6730 1.497 0.5806
0.3096 0.4818 1.298 0.2872
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.06225 0.1264 -0.6352 -1.0559
0.19795 1.7263 1.0488 0.7378
0.19565 1.1884 0.8259 0.9506
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.1968 -0.16843 0 3.7541
-0.8613 -0.03079 0 0.9939
1.2117 -0.05061 0 -0.3115
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3120 -0.3702 0.003274 1.0573
-0.3372 2.1338 -0.013546 1.3963
-0.2492 -0.7470 -0.024744 0.9613
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.3136 0.020705 2.7342 0.4346
0.7597 -0.004512 0.1071 0.3112
1.5758 0.000153 1.6852 0.1125
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.0711 -0.129851 -0.3597 -0.31558
0.9513 0.264081 -0.2977 -0.13102
1.0927 -0.001704 -0.1062 -0.04218
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.5400 -2.4810 0.7543 -2.4195
-0.5638 -1.5209 0.4236 -0.8268
-0.4451 -0.7962 0.2313 -0.8354
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.009552 0 -1.8236 0.29455
-1.105569 0 -1.8419 -0.05179
-0.275571 0 -0.6343 0.15114
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.5890 1.775 -0.3898 0.050289
0.3141 2.152 0.4765 -0.001866
-1.2264 1.336 0.4780 0.113280
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.240 0.04022 1.2547 3.687
1.279 0.02605 0.9303 3.469
1.177 0.01108 0.4027 2.528
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4455 0.05456 -0.9065 100.7
2.2428 -0.07713 -0.7297 102.7
0.1105 -0.06395 -0.7769 100.7
rnd_95776.volume rnd_95787.volume
4.613 -1.010
5.724 -1.212
3.092 -1.034
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.298 2.453 8.882 3.244 4.337 1.268 1.727 3.532 4.546 3.577 2.533
[2,] 3.303 2.522 8.955 4.210 4.930 1.269 1.731 3.543 4.548 4.288 2.872
[3,] 3.311 2.542 9.008 5.158 5.177 1.329 1.757 3.571 4.555 4.295 2.927
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.057 2.329 3.750 3.286 3.651 4.654 4.403 9.294 5.320 6.587 2.867
[2,] 3.915 2.329 4.118 3.505 3.839 4.872 5.237 10.068 6.163 6.609 2.951
[3,] 4.125 2.329 4.237 3.722 4.139 5.265 5.470 10.483 6.388 6.625 2.997
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.706 4.953 1.561 3.683 4.031 3.562 3.186 1.860 3.005 3.540 2.128
[2,] 12.894 5.384 1.562 4.622 5.416 3.623 4.304 1.861 3.868 3.627 2.137
[3,] 12.940 6.494 1.563 6.348 6.245 3.743 5.128 1.885 5.124 3.676 2.203
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.953 4.381 3.748 3.318 3.147 3.009 1.125 2.400 0.9263 2.828 2.779
[2,] 4.512 4.889 4.234 3.318 3.515 3.056 1.125 2.431 0.9265 3.211 3.607
[3,] 5.518 5.112 4.545 3.321 3.540 3.056 1.129 2.459 0.9282 3.388 3.857
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.839 1.422 2.718 3.049 4.857 2.272 3.691 4.055 1.525 3.429 3.182
[2,] 2.916 1.423 3.693 3.050 4.858 2.322 4.177 4.184 1.584 4.183 3.996
[3,] 3.052 1.430 4.017 3.093 4.967 2.377 4.540 4.391 1.604 4.420 4.176
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.954 1.804 2.931 0.8935 3.581 1.455 2.823 2.607 2.860 3.623 1.207
[2,] 3.372 3.425 2.973 0.8941 3.729 1.469 2.861 2.607 3.289 4.441 1.217
[3,] 4.073 4.018 2.974 0.8941 4.111 1.476 3.131 2.607 3.378 4.468 1.219
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.584 2.514 4.035 1.350 3.093 3.334 4.390 4.420 3.712 3.554 2.376
[2,] 4.024 2.522 5.046 1.430 3.098 3.334 4.439 5.028 3.783 5.040 4.271
[3,] 4.087 2.542 5.372 1.451 3.119 3.350 4.522 5.075 3.802 5.077 4.459
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9299 2.387 2.011 2.556 2.240 2.116 1.038 2.454 2.468 6.290 6.374
[2,] 0.9323 3.345 2.044 3.246 2.319 2.244 1.039 3.469 2.511 6.369 6.376
[3,] 0.9348 4.483 2.087 4.799 2.394 2.318 1.039 3.579 2.554 6.450 6.566
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8574 0.7611 1.367 1.402 2.433 1.527 0.7362 11.33 10.52 5.034
[2,] 1.0905 1.4099 1.385 1.416 2.497 1.533 0.7718 12.64 11.50 5.532
[3,] 1.2898 1.4167 1.388 1.416 2.619 1.535 0.8309 13.73 12.19 6.629
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.188 3.115 11.28 4.119 5.507 1.610 2.193 4.485 5.772
[2,] 36.455 119.762 234.64 551.015 481.544 8.246 24.420 56.848 27.922
[3,] 49.209 66.346 200.64 612.024 324.343 81.533 61.650 92.871 54.895
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.542 3.216 3.882 2.957 4.761 4.173 4.636 5.91 5.591
[2,] 485.521 278.043 502.328 4.168 349.804 250.420 243.939 295.88 582.279
[3,] 53.181 116.723 266.615 5.143 204.669 257.129 317.866 409.88 324.212
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 11.8 6.755 8.364 3.641 9.785 6.29 1.983 4.677 5.119
[2,] 795.2 638.841 112.135 143.620 2123.089 433.20 11.098 573.500 742.923
[3,] 599.9 345.816 93.183 107.380 222.532 745.82 10.151 893.727 638.284
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 4.523 4.046 2.362 3.816 4.496 2.703 5.02 5.563 4.76
[2,] 136.166 594.237 14.643 500.041 162.137 39.861 446.79 445.651 404.33
[3,] 193.277 572.405 61.253 690.361 122.079 109.753 652.16 306.678 339.38
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 4.213 3.997 3.822 1.428 3.047 1.176 3.592 3.529 3.605
[2,] 3.943 321.330 108.857 6.313 80.205 4.092 312.129 472.147 136.601
[3,] 27.781 86.774 3.058 18.631 75.951 11.475 222.095 280.703 185.104
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.806 3.451 3.871 6.168 2.885 4.687 5.149 1.936 4.354
[2,] 11.404 513.542 21.459 11.051 98.702 401.871 211.582 88.095 492.084
[3,] 29.166 324.346 105.518 212.743 104.582 365.161 273.839 52.248 293.073
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.04 3.751 2.291 3.722 1.135 4.547 1.847 3.584 3.310
[2,] 496.37 334.061 597.843 101.431 6.940 213.746 42.089 95.913 3.141
[3,] 249.68 468.931 431.492 18.771 1.360 355.501 28.915 261.273 7.706
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.632 4.601 1.533 4.551 3.192 5.124 1.715 3.928 4.233
[2,] 333.593 527.499 31.410 375.850 40.769 622.268 96.826 33.692 7.581
[3,] 158.131 100.518 12.703 146.699 65.581 378.752 50.297 74.731 67.667
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.575 5.612 4.714 4.513 3.017 1.181 3.031 2.554 3.245
[2,] 134.566 492.264 149.859 733.836 728.884 13.749 481.422 74.947 411.091
[3,] 177.866 142.394 76.921 125.356 263.402 14.034 612.837 86.765 725.758
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.844 2.687 1.318 3.116 3.134 7.987 8.094 1.089
[2,] 123.565 153.522 10.766 503.547 94.641 205.812 34.198 138.397
[3,] 121.856 118.834 1.112 181.292 96.067 208.589 322.462 141.436
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9665 1.736 1.781 3.09 1.94 0.9349 14.39 13.36 6.392
[2,] 243.7101 45.599 40.229 114.84 26.93 47.5207 1149.49 950.49 471.422
[3,] 28.6771 17.741 5.166 162.26 16.22 63.2053 1102.56 830.06 749.867
[1] "--- VAR model 2017-10-05 20:31:00 completed"
[1] "Completed training sample: 2017-10-05 20:31:00 - 2017-10-06 04:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 21:01:00 - 2017-10-06 05:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.35601 0.1329 -0.13446 2.643
0.05426 0.1450 -0.22586 3.235
0.04807 0.1415 -0.09882 -6.161
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.847 0 1.5922 0.09892
-2.131 0 1.1827 0.90885
2.120 0 0.9557 0.50320
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1938 2.3558 2.454 -0.6551
1.0631 0.3069 1.268 -2.2104
0.6495 0.7174 1.199 -0.3156
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.4339 1.0233 0.8226 -2.114
0.5886 0.5776 1.3055 -1.979
0.3255 0.6239 0.1264 -1.607
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.637 -0.5125 1.603 -0.5851
-1.581 -2.1840 1.966 2.2262
-1.466 -1.0763 2.897 1.7616
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.8540 -0.3590 -15.7627 0.8231
-0.8321 -0.2713 -0.9883 -5.8661
-0.9187 -0.1592 -2.1682 0.9744
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1605 2.5529 3.271 1.615
0.1235 -6.7438 -5.227 2.423
-0.1031 0.6588 -3.114 2.735
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.7916 0.40139 4.815 -3.3170
3.1471 -0.06522 3.308 -1.1444
-6.3631 -0.01312 -5.327 -0.3881
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.17266 -1.093 -0.5421 -0.4171
0.80473 1.181 -1.2292 0.6261
-0.05327 -1.087 1.0334 -0.2194
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.13258 -1.07858 0.33120 0
-0.24969 0.84694 0.10145 0
0.09652 -0.06352 0.01892 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.07617 -0.020158 -1.51331 0.1566
0.01316 0.005531 0.08238 -0.6847
0.01694 0.112947 -0.02718 -0.9167
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.04751 -0.22092 -0.8542 -0.12504
0.06509 0.15870 -0.7677 -0.03108
0.08970 -0.08345 -0.1169 0.32381
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.2657 0.38354 0.8729 -0.15991
0.8199 -0.07355 -0.3078 -0.04015
0.4183 -0.14783 -0.6800 -0.05275
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2431 -1.7985 -2.4590 -1.7376
0.3174 0.8538 0.3631 -0.8764
-0.1279 -0.6468 -0.2267 0.1015
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.0632 -0.15214 0.04766 0.3557
-2.2608 0.06947 0.03280 -1.7738
0.1714 -0.01751 0.02278 -1.2986
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3451 0.7918 0.080963 0.2118
-0.3724 0.1272 -0.020146 0.6458
-0.2595 -0.8522 -0.002385 -0.9503
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.0313 0.096609 -0.7051 0.077548
0.6729 -0.071992 0.9747 -0.156456
-0.2223 -0.002478 0.2059 0.008812
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.1172 0.3143 -0.2712 -0.33999
0.5710 -0.0285 -0.2385 0.01693
0.5342 0.1798 -0.1322 -0.02635
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.0785 -3.0268 0.1443 -3.144
-1.1836 -1.3698 0.1804 -1.786
-0.8273 -0.7684 0.2131 -1.086
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.4792 0 -2.593 -0.712267
-1.8595 0 -2.031 0.368450
-0.4420 0 -1.117 0.006294
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.37779 1.0781 -1.0484 0.072233
0.05316 0.7407 0.1347 -0.051126
-2.23022 0.5674 0.0622 -0.006883
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.9899 -0.001147 0.25952 7.470
0.4148 0.091960 -0.10782 7.011
0.3573 0.060005 0.02576 4.751
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.00000 0.173618 0 0
0.07687 0.078238 0 0
0.02701 -0.008287 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.07251 -0.3015 -0.3231 116.5
0.06247 -0.1042 -0.4589 115.1
-0.78966 0.6002 -0.3686 115.0
rnd_95776.volume rnd_95787.volume
2.5033 -0.736
-0.9211 -6.268
-1.7652 1.046
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.061 2.238 8.276 2.951 4.082 1.126 1.634 3.425 4.084 3.260 2.372
[2,] 3.067 2.294 8.299 3.941 4.676 1.126 1.652 3.431 4.115 3.896 2.662
[3,] 3.077 2.324 8.318 4.844 4.943 1.176 1.668 3.477 4.139 3.911 2.736
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.988 2.277 3.468 3.145 3.597 4.403 3.974 9.148 4.696 6.351 2.774
[2,] 3.729 2.278 3.913 3.430 3.697 4.584 4.987 9.774 5.300 6.488 2.872
[3,] 3.936 2.286 4.050 3.638 4.019 4.893 5.084 10.195 5.447 6.549 2.920
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.687 4.505 1.415 3.468 3.842 3.358 2.929 1.729 2.936 3.344 2.028
[2,] 12.568 5.000 1.416 4.394 5.139 3.395 4.109 1.730 3.732 3.480 2.033
[3,] 12.806 5.987 1.417 5.958 5.873 3.498 4.882 1.751 4.936 3.485 2.095
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.632 4.081 3.598 3.210 2.835 2.565 0.9883 2.176 0.8384 2.661 2.423
[2,] 4.152 4.591 4.068 3.211 3.140 2.593 0.9895 2.209 0.8385 2.914 3.114
[3,] 5.136 4.810 4.330 3.215 3.159 2.596 0.9952 2.261 0.8385 3.026 3.432
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.520 1.377 2.726 2.598 4.569 2.178 3.455 3.811 1.404 3.217 2.972
[2,] 2.578 1.377 3.261 2.598 4.570 2.227 3.959 3.929 1.450 3.972 3.707
[3,] 2.638 1.388 3.497 2.630 4.664 2.259 4.154 4.125 1.463 4.232 3.890
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.685 1.602 2.730 0.8689 3.270 1.485 2.619 2.431 2.619 3.284 1.175
[2,] 3.060 3.112 2.770 0.8699 3.344 1.537 2.666 2.431 3.053 3.991 1.185
[3,] 3.721 3.661 2.774 0.8703 3.753 1.593 2.950 2.432 3.177 4.057 1.189
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.235 2.125 2.920 1.252 2.970 3.136 3.821 3.965 3.426 3.259 2.172
[2,] 3.626 2.152 3.967 1.334 2.972 3.137 3.867 4.713 3.467 4.733 3.899
[3,] 3.693 2.178 4.384 1.354 2.984 3.159 3.962 4.772 3.480 4.759 4.077
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7913 2.168 1.799 2.214 2.172 1.974 0.9089 2.292 2.258 5.461 6.119
[2,] 0.7975 2.956 1.820 2.718 2.250 2.116 0.9129 3.185 2.292 5.478 6.121
[3,] 0.8080 4.092 1.849 4.354 2.337 2.189 0.9131 3.245 2.343 5.518 6.340
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7779 0.659 1.204 1.242 2.282 1.294 0.7127 11.85 10.28 4.660
[2,] 0.9641 1.287 1.221 1.261 2.324 1.294 0.7462 13.18 10.92 5.146
[3,] 1.1321 1.289 1.227 1.264 2.507 1.295 0.7978 14.37 11.30 6.140
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.887 2.841 10.51 3.747 5.184 1.430 2.074 4.35 5.187
[2,] 42.632 113.302 138.22 584.506 510.226 1.339 55.264 42.67 111.762
[3,] 55.991 83.206 124.74 630.121 358.790 76.005 51.227 126.07 100.874
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.14 3.012 3.794 2.892 4.403 3.993 4.568 5.591 5.047
[2,] 477.38 270.422 498.989 12.622 405.760 306.624 190.276 285.906 674.050
[3,] 76.80 141.291 282.379 42.394 233.115 271.038 353.079 382.625 221.426
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 11.62 5.963 8.065 3.522 9.761 5.721 1.797 4.404
[2,] 769.88 549.900 297.011 166.900 2224.496 484.820 13.997 603.576
[3,] 649.05 280.760 198.663 117.218 550.436 737.113 7.830 900.093
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.879 4.264 3.72 2.196 3.728 4.246 2.575 4.612 5.182
[2,] 763.412 111.057 644.79 15.310 515.435 215.724 33.207 450.234 470.593
[3,] 636.037 189.146 589.58 59.786 722.659 44.203 112.842 676.208 321.305
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.569 4.077 3.60 3.257 1.255 2.764 1.065 3.379 3.077
[2,] 424.604 19.175 302.08 85.715 10.547 84.141 3.873 265.881 437.419
[3,] 332.234 31.855 76.71 28.585 23.925 108.300 1.334 182.608 322.733
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.2 1.749 3.462 3.299 5.801 2.765 4.387 4.839 1.783
[2,] 121.4 1.725 400.196 5.522 24.224 104.089 432.434 214.107 80.890
[3,] 125.1 39.427 282.700 91.239 208.517 84.583 281.660 281.255 44.067
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.085 3.774 3.41 2.034 3.466 1.103 4.153 1.886 3.326
[2,] 521.033 495.746 328.45 596.909 105.767 9.305 156.713 88.240 111.531
[3,] 326.944 263.285 473.67 431.532 30.738 6.435 381.128 94.015 282.598
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.087 3.325 4.17 1.492 4.108 2.699 3.708 1.59 3.771
[2,] 3.481 351.166 507.18 33.553 366.267 75.225 600.719 102.61 28.129
[3,] 16.805 196.761 163.94 22.551 157.101 75.618 417.553 52.16 60.385
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.982 4.852 5.035 4.35 4.139 2.758 1.005 2.753 2.284
[2,] 14.139 132.368 569.808 119.78 767.846 724.506 22.339 449.644 61.703
[3,] 84.040 193.315 167.658 66.61 111.395 266.125 28.997 632.974 73.098
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.811 2.758 2.507 1.154 2.911 2.867 6.935 7.77
[2,] 352.611 131.613 170.731 19.180 494.673 88.138 95.491 36.30
[3,] 761.178 140.688 125.570 4.114 138.923 108.504 148.467 369.51
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.9878 0.8368 1.529 1.577 2.897 1.643 0.9051 15.05 13.05
[2,] 127.4113 247.4303 45.209 48.979 99.324 5.686 49.4640 1290.93 823.83
[3,] 132.7881 13.2310 26.349 21.208 210.301 7.039 63.1282 1279.32 646.68
[,98]
[1,] 5.918
[2,] 488.409
[3,] 749.480
[1] "--- VAR model 2017-10-05 21:01:00 completed"
[1] "Completed training sample: 2017-10-05 21:01:00 - 2017-10-06 05:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 21:31:00 - 2017-10-06 05:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.5887 0.2641 -0.7538 7.245
0.2168 0.3775 1.4976 -4.345
-0.0478 -0.0104 0.3650 -10.554
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
6.536 0 -0.13385 0.0604
3.061 0 -0.21209 0.6265
-3.934 0 -0.05141 0.1832
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.2558 1.3696 3.0503 -3.756
0.8588 -0.1058 0.7168 -8.241
0.3396 1.1736 0.8535 -5.452
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5989 5.4681 3.0811 -1.5059
-0.3278 0.5127 -0.1926 -0.9916
-0.0562 0.6970 -0.3185 -0.7035
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.322 -6.666 0.89051 2.019
-1.555 1.225 -0.68937 -1.872
-3.696 -1.626 0.02128 1.387
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.523 -0.3239 -27.743 -2.933
-2.508 -0.1273 -6.346 -10.798
-1.916 -0.1253 -4.736 -2.164
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.146995 -4.115 -2.173 0.1888
-0.004484 -11.036 -10.532 0.7683
0.081271 -1.900 -5.380 0.9496
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.137 0 11.628 -2.414
-3.989 0 -2.767 -2.391
-10.667 0 -10.767 -1.250
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.307 11.199452 7.981 7.069
1.475 0.006735 4.506 7.803
-1.141 -4.876743 -4.247 -2.734
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.05468 -0.5089 0.3605 -0.3974
0.10756 1.3902 0.1788 -0.3116
0.05259 0.1900 0.1252 -0.1880
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.0568447 0.03429 -0.9664 4.0908
-0.1287097 0.01697 3.6477 -0.7797
-0.0002258 0.13650 0.7444 3.1133
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.8788 0.01605 -2.646094 0.1609
0.4993 0.13939 1.527417 0.1725
0.6233 0.01621 0.009454 0.2280
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.358128 -0.1026 -1.3710 -0.4095
0.063118 -0.4539 -0.8269 -0.2448
0.004894 0.3655 -0.2877 -0.2997
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.36316 7.0002 7.951 1.5347
-0.01768 -1.2777 -1.342 3.9208
-0.03193 -0.4819 0.159 -0.8924
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.022 0.47313 0.08875 5.413
8.053 0.19983 0.09714 -3.290
-2.022 0.05795 0.12433 5.138
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4563 1.268 -0.06099 1.369
-0.4082 1.360 0.01600 2.660
-0.3453 1.410 -0.02016 -1.421
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.158 -0.14066 2.658 0.5253
3.415 0.10591 1.371 0.3127
-1.068 -0.04289 2.970 0.1279
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.944 0.8723 0.3490 0.20691
1.410 0.2703 0.1889 -0.26778
2.422 0.1114 0.2196 0.06385
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.530 2.44904 0.0286147 1.1686
-1.267 0.53406 0.0036580 0.7550
-1.080 0.08713 0.0001721 0.4242
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.4779 -0.21718 0.1624 0.26108
0.7184 -0.04273 0.8360 -0.05402
-0.2781 -0.03898 0.1140 -0.12104
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.5418 1.3959 2.8057 -0.033003
-1.0903 0.1825 -0.1148 -0.003392
0.8009 1.0745 -0.3428 -0.001007
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.2205 0.5226 0.6319 -0.60823
0.3192 0.6744 0.5073 0.59180
1.9663 0.4240 0.1522 0.05982
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7907 -0.7755 -0.4432 -0.4051
-0.5850 -0.3074 -0.3125 -0.2448
-0.2727 -0.2540 -0.2483 -0.1709
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.6994 0.23920 -1.177 71.63
1.8721 -0.04203 -1.146 71.44
0.4671 0.22480 -1.445 71.84
rnd_95776.volume rnd_95787.volume
-1.267 -4.615
-2.233 -10.478
1.224 -1.822
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.912 2.104 7.046 2.710 3.489 1.050 1.604 3.543 4.068 3.255 2.041
[2,] 2.927 2.140 7.057 3.684 4.236 1.051 1.624 3.546 4.068 3.896 2.319
[3,] 2.929 2.162 7.156 4.580 4.636 1.077 1.644 3.572 4.090 3.902 2.344
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.967 2.241 3.065 2.950 3.520 3.707 3.257 8.680 3.999 6.165 2.829
[2,] 3.791 2.242 3.642 3.289 3.581 4.000 4.246 9.072 4.824 6.359 2.983
[3,] 3.946 2.249 3.707 3.503 3.821 4.330 4.373 9.333 5.020 6.421 3.015
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.075 4.441 1.263 3.556 3.493 3.063 2.717 1.611 2.888 3.210 1.881
[2,] 11.436 4.871 1.263 4.352 4.764 3.099 3.978 1.612 3.525 3.285 1.894
[3,] 11.640 5.808 1.263 5.696 5.477 3.198 4.731 1.627 4.726 3.331 1.991
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.421 3.225 3.143 3.186 2.638 2.385 0.9272 2.007 0.7778 2.603 2.256
[2,] 3.843 4.000 3.742 3.196 2.933 2.423 0.9304 2.015 0.7782 2.768 2.954
[3,] 4.917 4.333 4.031 3.208 2.951 2.432 0.9423 2.053 0.7783 2.881 3.304
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.371 1.345 2.841 2.355 4.076 2.043 3.183 3.435 1.339 3.069 2.836
[2,] 2.397 1.345 3.127 2.355 4.089 2.096 3.906 3.609 1.384 3.812 3.427
[3,] 2.447 1.351 3.291 2.370 4.174 2.111 4.011 3.685 1.393 4.006 3.695
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.605 1.511 2.557 0.9113 2.977 1.343 2.425 2.146 2.450 2.938 1.144
[2,] 2.934 2.930 2.594 0.9127 3.039 1.363 2.462 2.150 2.863 3.580 1.169
[3,] 3.666 3.383 2.600 0.9127 3.366 1.372 2.703 2.150 2.950 3.661 1.178
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.823 1.910 2.669 1.172 2.856 2.951 3.693 3.924 3.310 3.073 2.011
[2,] 3.340 1.935 3.837 1.231 2.858 2.960 3.730 4.553 3.337 4.397 3.809
[3,] 3.424 1.951 4.206 1.254 2.869 2.974 3.824 4.611 3.337 4.421 3.917
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7188 2.021 1.750 2.102 2.030 1.865 0.8583 2.211 2.092 5.124 5.616
[2,] 0.7326 2.704 1.765 2.617 2.109 1.987 0.8629 3.021 2.111 5.136 5.630
[3,] 0.7439 3.786 1.766 4.110 2.194 2.049 0.8633 3.076 2.153 5.169 5.810
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7092 0.588 1.089 1.092 2.163 1.136 0.6948 12.23 10.05 4.654
[2,] 0.8525 1.162 1.119 1.131 2.209 1.142 0.7184 13.60 10.56 5.108
[3,] 1.0534 1.164 1.126 1.139 2.379 1.142 0.7617 14.81 10.83 6.052
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.697 2.672 8.948 3.441 4.43 1.333 2.037 4.499 5.166
[2,] 60.554 80.172 79.257 511.561 492.72 11.340 51.956 34.067 5.955
[3,] 23.370 63.446 243.735 557.992 386.05 48.366 52.245 87.737 87.210
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.134 2.592 3.767 2.845 3.892 3.746 4.47 4.707 4.136
[2,] 438.641 225.890 483.786 18.679 403.145 298.339 134.90 308.419 558.458
[3,] 44.898 69.933 224.920 33.781 142.391 247.064 273.57 339.737 214.563
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 11.02 5.078 7.829 3.592 8.985 5.64 1.604 4.515 4.436
[2,] 541.31 553.161 319.666 193.898 1842.153 409.97 6.528 514.509 664.198
[3,] 449.48 284.582 182.056 90.251 444.705 648.63 1.319 753.244 554.067
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 3.889 3.45 2.045 3.667 4.077 2.389 4.344 4.095 3.991
[2,] 97.276 595.81 12.568 414.595 142.527 45.626 359.037 485.135 416.482
[3,] 161.980 524.93 45.378 645.352 113.287 125.814 628.822 341.692 307.271
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 4.045 3.35 3.028 1.177 2.549 0.9876 3.306 2.865 3.011
[2,] 53.560 262.75 88.163 15.838 35.057 5.5224 193.000 390.821 72.552
[3,] 55.967 66.93 43.771 30.696 80.614 2.8161 163.632 303.755 100.354
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.707 3.608 2.990 5.176 2.594 4.042 4.362 1.701 3.897
[2,] 4.674 267.708 7.708 67.622 96.514 464.101 226.954 71.259 463.711
[3,] 25.677 210.106 54.890 171.154 50.727 186.412 152.605 33.040 252.337
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.601 3.308 1.919 3.247 1.1572 3.781 1.706 3.079 2.726
[2,] 394.595 277.077 514.763 89.724 10.4121 125.062 47.033 86.700 23.836
[3,] 283.160 450.600 346.622 36.486 0.9775 296.552 32.999 229.020 2.272
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.112 3.731 1.453 3.585 2.425 3.389 1.488 3.627 3.748
[2,] 303.548 419.274 48.902 365.767 64.174 565.294 77.367 22.537 46.508
[3,] 146.256 157.634 29.394 154.483 50.372 352.842 49.057 52.327 59.884
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.69 4.983 4.204 3.903 2.554 0.9128 2.566 2.223 2.669
[2,] 106.25 473.453 86.825 644.724 663.137 29.0046 368.432 46.879 319.814
[3,] 172.75 149.149 5.273 94.803 187.033 26.4632 543.313 9.852 649.676
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.578 2.368 1.09 2.808 2.656 6.507 7.131 0.9006
[2,] 116.973 140.350 18.11 422.003 58.702 72.598 82.439 97.0004
[3,] 124.431 102.770 5.44 119.264 86.736 118.881 294.495 126.8537
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7466 1.383 1.387 2.747 1.442 0.8823 15.53 12.76 5.91
[2,] 205.4683 52.428 60.368 92.234 24.210 37.4380 1221.16 667.08 431.67
[3,] 13.3917 25.803 27.814 181.112 1.184 51.8835 1201.19 490.77 665.42
[1] "--- VAR model 2017-10-05 21:31:00 completed"
[1] "Completed training sample: 2017-10-05 21:31:00 - 2017-10-06 05:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 22:01:00 - 2017-10-06 06:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.3127 0 -3.7367 11.100
0.7178 0 4.2061 -7.319
0.7518 0 -0.3401 3.674
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
12.855 0.01793 2.675 -1.245
7.836 0.25076 2.273 3.261
-5.701 0.26640 2.309 1.421
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6556 2.9829 4.9913 -5.279
-0.4925 -0.7148 0.5274 -14.918
1.4594 2.7048 0.8060 -10.608
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.16519 9.6855 9.42297 0.6552
0.25707 0.1044 3.05158 -0.3424
0.03149 0.2245 0.01367 -0.1457
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.9396 -10.609 2.010 2.357
5.8701 7.650 1.379 -5.880
-7.7641 1.334 1.755 5.678
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.72975 0.9289 6.130 -4.2347
0.04153 0.4544 -1.625 3.4209
0.51790 0.2775 2.935 -0.2263
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.015523 -6.577 -3.8559 1.0658
0.044200 4.166 1.6689 1.7147
0.004407 -1.105 0.1136 0.9817
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
11.124 0.04739 16.765 0.9618
-7.185 -0.02393 -5.076 0.6856
4.754 -0.06944 2.282 0.5717
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.3416 13.54986 12.595 4.062
1.5685 4.25306 8.246 15.930
-0.1513 0.06987 -5.806 -4.070
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8414 -0.3561 -0.09702 -0.2091
0.5940 3.3167 0.18435 -0.1543
0.7269 1.2258 -0.12745 -0.2369
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.087853 -0.15184 1.127 11.888
0.008373 -0.04499 5.382 0.226
-0.092693 0.29948 3.522 8.235
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.3416 0.490780 -2.049 1.2256
-0.1480 -0.095795 6.079 1.4792
0.1742 0.005676 1.369 0.6637
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.5452 -0.27271 -2.790 2.056
-0.6963 -0.16851 -3.265 1.521
-0.4380 -0.03158 5.794 1.468
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.39012 5.0935 4.9073 1.175
-0.05475 -2.6179 -0.8721 3.778
-0.08906 0.1121 -1.6323 -2.204
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.4039 0.43498 0.0231814 3.368
4.4523 0.47137 0.0279371 1.556
-0.7022 0.03496 -0.0007307 4.014
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7503 1.570 -0.036756 1.189
-0.5474 1.924 -0.005354 2.055
-0.6556 1.021 -0.002283 2.175
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.3818 0.385293 3.090 -0.27830
0.6823 -0.120916 2.015 -0.23150
2.1735 -0.001933 2.373 -0.08812
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.957 -1.3077 1.3299 1.68461
1.328 0.3564 0.1860 0.67885
1.359 0.8177 0.5804 0.07354
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.3892 2.3972 -0.04448 5.2536
0.0204 2.0936 0.16921 3.1938
-0.1878 0.9666 -0.25061 0.7885
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.9150 0.07920 1.490 0.80477
2.1655 0.08786 2.976 0.02569
0.7661 -0.02256 1.982 -0.04834
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.484 2.241 1.9971 0.1681
2.664 1.587 -0.7453 0.2066
2.395 1.479 -0.7240 0.1369
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.82123 0.2588 -1.14533 -1.56497
-0.01458 -0.1153 0.02785 0.33847
2.38751 0.1256 -0.05571 -0.09987
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.64459 2.19987 0.07158 0.3087
1.11641 -0.09845 0.04536 0.1990
-0.03662 0.28624 0.14634 0.4069
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.286 -0.05005 -2.020 92.98
2.003 -0.12447 -1.615 94.43
1.488 0.73152 -1.963 92.11
rnd_95776.volume rnd_95787.volume
-10.019 3.278
2.724 1.879
6.785 2.311
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.176 1.859 6.392 2.671 2.839 0.9195 1.716 3.849 4.105 3.201 1.876
[2,] 3.204 1.877 6.438 3.552 3.926 0.9197 1.749 3.852 4.105 4.014 2.215
[3,] 3.223 1.883 6.497 4.485 4.447 0.9481 1.782 3.855 4.105 4.037 2.229
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.505 2.264 2.939 4.493 3.433 3.490 3.011 8.554 3.503 6.732 2.776
[2,] 4.175 2.272 3.524 4.900 3.546 4.132 4.106 8.896 4.487 6.832 2.916
[3,] 4.421 2.272 3.549 5.101 3.748 4.706 4.398 9.149 4.790 6.878 2.951
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.09 3.974 1.171 3.733 3.480 3.115 2.746 1.445 2.741 3.365 1.865
[2,] 12.18 5.131 1.176 4.468 4.689 3.165 4.028 1.457 3.260 3.420 1.890
[3,] 12.25 5.742 1.176 6.073 6.296 3.248 4.753 1.466 4.541 3.436 2.013
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.616 2.571 2.797 3.408 2.680 2.225 0.8958 1.870 0.7769 2.682 2.647
[2,] 3.845 3.663 3.833 3.419 2.966 2.270 0.9015 1.876 0.7770 2.855 3.226
[3,] 4.941 4.151 4.136 3.419 2.984 2.281 0.9106 1.925 0.7770 3.010 3.645
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.283 1.321 2.798 2.249 3.737 2.104 3.082 2.973 1.454 2.866 2.757
[2,] 2.304 1.321 3.090 2.249 3.750 2.105 3.708 3.056 1.455 3.568 3.230
[3,] 2.335 1.328 3.238 2.271 3.820 2.115 3.815 3.137 1.461 3.804 3.519
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.511 1.573 2.434 0.9797 2.823 1.383 2.234 1.971 2.261 2.818 1.078
[2,] 2.662 2.723 2.442 0.9815 2.919 1.419 2.275 1.971 2.683 3.411 1.144
[3,] 3.344 3.153 2.450 0.9831 3.125 1.457 2.478 1.974 2.760 3.509 1.147
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.654 1.896 2.174 1.182 3.042 2.606 3.352 3.703 3.197 3.099 2.332
[2,] 3.035 1.918 3.270 1.240 3.048 3.290 3.354 4.584 3.224 4.433 3.617
[3,] 3.118 1.928 3.609 1.256 3.058 3.322 3.383 4.599 3.224 4.471 3.916
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6891 2.178 1.809 2.424 2.024 1.821 0.8234 2.220 1.876 5.233 5.385
[2,] 0.6977 2.782 1.823 2.755 2.092 1.951 0.8302 3.065 1.884 5.248 5.398
[3,] 0.7082 3.843 1.823 4.023 2.196 2.007 0.8310 3.098 1.893 5.251 5.619
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7174 0.635 0.9732 0.9710 2.165 0.9772 0.6708 12.55 9.574 5.052
[2,] 0.8201 1.060 0.9898 0.9866 2.188 0.9786 0.6950 13.91 10.094 5.898
[3,] 0.9520 1.061 0.9981 0.9904 2.316 0.9812 0.7346 15.04 10.365 5.951
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.033 2.361 8.116 3.391 3.605 1.168 2.179 4.888 5.212
[2,] 95.022 58.006 174.981 530.645 614.458 3.847 76.151 32.227 17.617
[3,] 79.983 34.372 197.878 620.312 473.017 52.250 78.044 38.346 11.019
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.064 2.382 4.451 2.876 3.732 5.706 4.359 4.431
[2,] 548.874 267.100 514.031 40.565 440.334 443.100 201.798 501.249
[3,] 96.770 55.677 329.203 8.439 95.881 321.200 274.521 510.345
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 3.823 10.86 4.448 8.549 3.526 9.003 5.046 1.487 4.74
[2,] 632.595 553.46 635.222 263.199 202.178 2242.570 735.546 23.678 556.51
[3,] 356.740 484.04 379.845 179.720 102.975 297.536 583.684 5.983 931.80
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.42 3.956 3.487 1.835 3.48 4.273 2.368 4.591 3.265
[2,] 711.79 126.774 667.609 40.937 400.14 139.160 70.045 296.566 590.998
[3,] 952.09 165.613 571.733 38.242 716.05 73.294 156.618 703.207 442.406
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.551 4.328 3.403 2.825 1.138 2.375 0.9865 3.405 3.362
[2,] 593.787 59.632 288.193 102.304 22.959 33.487 2.8560 222.238 417.576
[3,] 352.001 15.249 72.791 49.678 29.128 97.879 2.5777 215.534 384.410
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 2.899 1.678 3.553 2.856 4.745 2.672 3.914 3.775 1.846
[2,] 71.773 6.352 297.249 2.928 72.981 12.463 467.084 160.641 14.104
[3,] 85.034 29.736 219.039 70.731 164.214 47.974 203.082 159.676 28.209
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.639 3.5 3.188 1.998 3.091 1.244 3.585 1.756 2.837
[2,] 481.652 381.3 200.178 503.569 45.520 13.580 168.214 71.801 98.293
[3,] 299.145 316.4 458.475 360.240 43.576 12.638 252.661 75.273 222.098
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.502 2.871 3.578 1.368 3.37 2.408 2.76 1.50 3.863
[2,] 2.269 326.976 435.342 87.202 333.73 65.829 553.52 85.22 43.994
[3,] 27.640 147.364 186.698 17.211 161.92 44.658 345.70 45.58 56.448
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.309 4.257 4.703 4.059 3.935 2.961 0.8751 2.765 2.298
[2,] 455.040 26.779 611.945 94.501 718.049 626.406 24.7414 392.091 51.134
[3,] 104.167 100.286 85.506 11.203 131.893 339.900 27.4455 600.707 2.612
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 3.078 2.57 2.312 1.046 2.819 2.382 6.645 6.838 0.9109
[2,] 296.838 119.78 158.772 24.077 478.895 39.782 89.742 84.564 90.0540
[3,] 664.104 151.41 106.825 8.018 102.044 41.068 41.053 353.836 109.5204
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8064 1.236 1.233 2.749 1.241 0.8519 15.93 12.16 6.415
[2,] 192.3579 40.982 39.612 72.436 11.657 41.1251 1359.36 724.69 689.625
[3,] 11.5293 29.133 19.776 171.805 16.325 53.9689 1295.80 533.98 179.907
[1] "--- VAR model 2017-10-05 22:01:00 completed"
[1] "Completed training sample: 2017-10-05 22:01:00 - 2017-10-06 06:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 22:31:00 - 2017-10-06 06:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.7122 0.003219 -0.9229 -14.75
0.6942 -0.046889 0.6320 -19.03
0.8998 -0.556608 0.9381 -12.04
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
13.14 0.2618 1.912 1.578
-14.83 0.4344 2.203 3.981
-13.77 0.2400 2.259 3.293
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1113 10.207 4.119 -13.266
5.1278 1.347 0.120 -12.662
1.6674 4.356 3.363 -7.806
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.8246 7.752 11.948 2.824
-1.7633 2.892 8.251 2.828
-1.3151 2.349 2.613 2.384
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.001 7.219 4.063 3.208
10.872 5.915 1.873 10.609
8.398 6.970 1.143 4.453
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.7023 -1.1146 -32.649 -10.997
0.2711 -0.4830 -2.125 -4.875
0.8082 -0.1937 -3.466 -4.360
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.089668 -17.3112 -21.7262 1.702
0.026252 -12.7377 -16.6915 2.761
0.004081 -0.7507 0.7885 1.619
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.43 -0.001909 -1.943 0.4043
-20.22 0.368741 -20.868 0.1709
-10.94 0.317569 -15.207 0.4592
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.201 -2.904 11.33 2.635
-4.317 -12.593 -12.79 -3.714
-3.089 -18.614 -13.34 -13.303
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.0355 2.9836 -0.6654 1.2199
-0.2631 0.8037 -0.4102 0.6325
0.3127 3.4048 -0.3073 0.5213
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.7740 -0.25670 -5.672 -10.232
-0.5241 -0.21816 2.716 -1.897
-1.3990 -0.01923 -8.523 -1.614
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7954 -0.0570 -0.4128 0.8843
0.1759 0.3906 -4.2016 -0.3266
1.7691 0.8461 3.0849 -0.1543
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.45619 -0.71766 -9.816 3.808
0.09905 -0.39038 2.898 2.195
0.01222 -0.09207 -5.709 3.032
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.35092 -7.8044 -1.352 0.9539
-0.12688 -0.1058 -7.533 -8.0217
0.02975 -0.4619 2.636 2.0077
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.862 -0.3256 0.42845 1.181
-2.551 -0.5565 -0.30879 3.253
-5.839 -0.1689 0.08032 -5.472
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0233 0.9931 -0.02808 5.2110
-1.0409 2.9516 0.09348 0.7137
-0.7124 -0.7147 0.02394 3.5165
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.7322 0.14858 -1.022 1.0105
0.5291 0.18349 3.632 0.6864
3.3580 0.05972 1.851 0.2658
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.30136 -0.2678 1.431 6.5520
3.94677 0.2592 1.984 0.4161
0.06587 0.5469 1.976 1.8301
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7720 10.20036 1.5817 6.5025
-1.3946 0.06138 -0.1078 0.8701
-0.6534 1.78359 0.8108 2.5132
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.2106 0.36189 1.330 -0.19839
4.3386 0.27263 6.315 0.01150
0.2942 -0.06479 2.105 -0.02302
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.460 -1.442 0.4869 0.15525
12.711 -1.648 -2.1777 0.10719
1.021 -1.671 0.6307 0.02038
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.5691 0.96641 -0.2709 -3.014
0.8342 0.65549 0.1092 -9.193
1.0261 0.07122 -0.1652 -4.516
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7668 0.8341 2.5341 1.05867
-0.3351 0.5166 0.9816 -0.06136
0.1158 -0.1949 -0.1310 -0.01940
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.105 0.1653 -2.886 97.51
2.773 -0.7832 -3.504 99.63
0.175 0.1230 -2.699 98.26
rnd_95776.volume rnd_95787.volume
7.946 -21.97683
-7.665 -6.74596
-8.150 0.09026
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.314 1.672 6.659 2.938 2.932 0.8091 1.726 5.086 5.070 3.335 1.924
[2,] 3.322 1.686 6.681 4.010 4.130 0.8091 1.762 5.138 5.138 4.657 2.274
[3,] 3.326 1.697 6.681 4.862 4.831 0.8366 1.822 5.138 5.140 4.664 2.311
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.736 2.384 3.144 4.732 3.294 4.193 2.973 9.077 3.970 7.345 3.101
[2,] 4.933 2.388 3.975 5.083 3.473 4.597 4.397 9.223 4.254 7.361 3.176
[3,] 5.098 2.394 4.098 5.587 3.605 5.297 4.803 9.583 4.693 7.362 3.202
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.839 5.065 1.058 4.377 4.085 3.160 3.202 1.349 3.098 3.251 1.999
[2,] 12.121 5.965 1.064 4.945 5.052 3.203 4.802 1.351 3.422 3.274 2.017
[3,] 12.166 5.998 1.064 6.481 6.616 3.264 5.657 1.358 4.955 3.283 2.126
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.748 3.028 3.307 3.289 2.698 2.133 0.8536 1.937 0.7216 2.789 2.719
[2,] 4.224 3.935 4.070 3.308 2.981 2.171 0.9018 1.942 0.7219 2.974 3.343
[3,] 5.056 4.543 4.356 3.321 2.991 2.178 0.9144 1.978 0.7228 3.176 3.550
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.183 1.286 2.921 2.296 3.290 2.119 3.100 2.786 1.525 2.929 2.744
[2,] 2.184 1.323 3.154 2.296 3.301 2.120 3.586 2.886 1.526 3.362 3.135
[3,] 2.192 1.335 3.337 2.327 3.310 2.133 3.759 2.941 1.528 3.612 3.400
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.490 1.896 2.431 1.085 2.829 1.396 2.197 1.911 2.243 2.782 1.268
[2,] 2.661 2.603 2.443 1.087 2.969 1.421 2.258 1.912 2.670 3.343 1.335
[3,] 3.089 3.015 2.483 1.095 3.104 1.446 2.402 1.921 2.755 3.459 1.346
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.614 1.950 2.452 1.282 3.203 2.852 3.596 4.169 3.462 3.655 2.611
[2,] 2.965 1.973 3.017 1.284 3.216 3.588 3.606 4.921 3.493 4.806 3.962
[3,] 3.021 1.990 3.309 1.289 3.216 3.607 3.607 4.924 3.493 4.888 4.379
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6657 2.490 1.789 2.541 2.003 1.674 0.8300 2.382 1.75 5.784 5.133
[2,] 0.6782 3.052 1.801 2.782 2.073 1.789 0.8340 2.964 1.76 5.787 5.143
[3,] 0.6888 4.244 1.801 4.398 2.174 1.840 0.8362 2.969 1.77 5.787 5.431
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8711 0.9322 0.9845 0.8764 2.296 1.001 0.6454 12.55 8.584 4.354
[2,] 0.9418 1.0686 0.9847 0.9309 2.297 1.002 0.6812 13.91 10.024 5.453
[3,] 0.9638 1.0846 1.0536 0.9482 2.385 1.002 0.7196 15.07 10.233 5.845
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.208 2.123 8.456 3.731 3.723 1.0274 2.192 6.459 6.438
[2,] 55.072 51.365 128.156 645.863 688.275 0.8445 83.935 172.167 197.124
[3,] 40.471 46.135 7.648 650.729 593.171 50.3810 109.301 16.048 30.875
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.235 2.443 6.013 3.027 3.993 6.009 4.183 5.325
[2,] 769.145 287.070 327.034 35.343 575.443 439.254 260.412 445.903
[3,] 64.098 97.716 304.340 37.040 236.236 548.566 228.818 622.749
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.775 11.53 5.041 9.327 3.938 9.955 6.431 1.344
[2,] 766.889 387.45 361.719 116.867 162.696 2187.973 745.703 24.679
[3,] 457.198 615.67 469.206 19.756 95.306 245.003 148.871 6.867
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.558 5.187 4.012 4.066 1.713 3.934 4.129 2.539 4.76
[2,] 544.675 703.439 124.072 846.948 15.518 344.131 91.956 63.557 460.91
[3,] 991.571 1011.240 149.168 707.788 34.420 847.973 55.710 158.598 657.67
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.845 4.199 4.176 3.426 2.708 1.084 2.46 0.9163 3.541
[2,] 594.703 561.618 84.853 300.109 96.545 68.787 31.82 5.1692 244.484
[3,] 537.350 367.067 67.972 59.249 38.948 35.905 89.40 8.6238 263.486
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.452 2.773 1.633 3.71 2.915 4.177 2.69 3.937 3.537
[2,] 460.253 15.251 73.162 281.27 4.219 64.731 16.45 426.787 178.449
[3,] 283.241 42.840 41.912 258.29 90.325 57.872 56.02 266.441 134.238
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.937 3.719 3.484 3.162 2.407 3.088 1.378 3.593 1.773
[2,] 7.282 390.802 358.885 222.166 422.010 54.984 12.962 212.992 61.818
[3,] 19.701 312.614 311.529 371.325 360.214 106.056 31.820 214.407 63.427
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 2.789 2.427 2.849 3.533 1.61 3.319 2.476 3.114 1.627
[2,] 124.239 12.845 342.555 438.771 99.23 331.384 70.616 415.769 18.586
[3,] 193.538 42.328 161.193 210.295 40.01 136.872 62.042 322.175 26.758
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.068 3.621 4.567 5.294 4.396 4.641 3.316 0.8454 3.162
[2,] 66.214 515.498 62.467 618.649 110.445 738.686 705.092 30.5649 417.802
[3,] 10.672 86.831 14.329 45.722 4.726 211.310 441.594 28.5649 697.667
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.271 3.227 2.544 2.125 1.054 3.024 2.223 7.345 6.518
[2,] 50.552 267.858 126.839 149.728 19.346 417.715 43.285 47.203 77.297
[3,] 4.294 806.183 154.938 101.232 14.367 38.872 45.795 11.759 413.104
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.106 1.184 1.25 1.113 2.915 1.271 0.8196 15.94 10.9
[2,] 84.687 123.647 5.16 74.313 16.219 11.656 51.5460 1416.65 1224.9
[3,] 48.521 43.934 88.66 42.683 152.442 2.826 54.8879 1376.02 487.9
[,98]
[1,] 5.529
[2,] 776.943
[3,] 497.621
[1] "--- VAR model 2017-10-05 22:31:00 completed"
[1] "Completed training sample: 2017-10-05 22:31:00 - 2017-10-06 06:30:00"
[1] "SpVAR; CCF training sample: 2017-10-05 23:01:00 - 2017-10-06 07:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.42392 0.06371 -0.6508 -17.638
0.08584 0.13896 -0.3986 -6.346
-0.37797 0.12248 0.2399 5.639
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.505 0.04884 5.326 15.333
-14.593 0.01186 5.324 9.211
-3.194 0.28687 3.778 7.035
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
15.020 17.750 7.352 -13.170
10.624 11.218 4.407 -9.639
8.445 7.645 4.028 -9.739
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.60174 7.487 8.189 3.056
0.06792 8.081 9.946 3.643
-2.07331 4.415 7.943 2.617
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
14.65 25.763 18.06 7.337
12.21 8.362 25.75 19.620
15.83 12.053 21.60 9.802
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.5854 1.0433 9.194 1.8161
0.3204 0.8249 -4.862 -1.6080
-0.1894 0.5279 -2.088 -0.5811
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.10396 -6.520 -9.943 7.874
0.18476 6.010 3.639 7.836
0.06203 -4.867 -1.484 6.354
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.695 0.07917 -14.979 0.35233
-5.446 0.27953 -9.800 0.51961
6.653 0.50576 2.632 0.06893
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.1580 -10.105 3.07 5.277
-3.9715 -9.806 -14.83 -12.757
-0.4408 -1.377 -2.75 -6.342
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.23045 4.409 0.05644 0.4646
0.30007 5.342 -0.19674 0.4386
-0.06331 2.711 -0.04421 0.5162
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4495 1.270 1.1963 -1.9406
-0.2592 1.195 -0.7566 -0.4645
-0.2314 0.741 -7.7922 -6.0238
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.030 1.096 -3.0903 1.001
1.751 1.744 -0.5707 6.292
2.436 2.401 0.2750 1.302
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.0581 0.5055 1.44 1.352
-0.3873 0.4194 -4.00 1.910
0.3114 0.2050 1.65 1.286
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.363148 1.929 1.9736 -2.2689
0.398558 1.182 0.5628 1.5154
0.000338 -2.825 -2.0262 0.4097
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.1694 -0.02134 -0.5474 8.8211
2.1006 0.44982 0.3964 -2.9462
0.6539 0.08937 -0.2382 0.9523
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4099 1.28009 0.6803 -4.154
-0.2968 0.59483 -0.1474 3.962
-0.1398 0.07796 -0.2099 -1.427
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.606 0.1959 8.084 1.1911
3.049 0.1402 -3.646 0.5292
-1.173 1.6808 4.711 0.4581
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.134 0.3570 -0.1966 -0.57535
-5.066 -0.5656 -0.2404 -0.58995
4.864 -0.6550 -0.2810 0.04413
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2269 -0.38940 0.19150 -6.869
0.3493 -0.03225 -0.09184 2.285
-0.2294 0.15615 0.02784 1.390
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.695 0.21744 7.636 -0.44592
-4.005 0.18390 -6.114 -0.23220
1.607 0.06701 1.401 -0.03658
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.9685 -0.8898 0.3423 0.095732
-2.3165 -1.3609 0.6007 -0.053688
-1.0712 -0.5242 -0.8660 -0.008862
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.658 0.35509 0.8227 -3.833
2.001 -0.07580 15.2348 -4.678
2.486 -0.02639 3.7504 -3.933
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.39838 -0.9499 -4.7994 1.439
-0.02975 1.0136 0.5154 -2.837
1.06987 -0.6951 0.6796 1.001
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.030 0.29702 -5.274 11.099
1.646 0.06466 -5.215 9.613
-0.287 -0.16077 -5.099 10.232
rnd_95776.volume rnd_95787.volume
-5.503 -2.888
1.615 3.230
9.085 -2.529
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.639 1.711 7.073 3.596 3.426 0.7693 1.843 5.507 5.742 4.117 2.379
[2,] 3.640 1.714 7.074 4.516 5.015 0.7713 1.908 5.592 5.900 5.921 2.781
[3,] 3.644 1.714 7.078 5.484 5.548 0.8038 1.960 5.688 6.195 5.980 2.834
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.089 2.613 3.410 4.944 2.761 4.355 3.213 8.512 4.383 9.380 3.346
[2,] 5.336 2.638 4.234 5.262 2.949 4.681 4.718 8.645 4.758 9.385 3.402
[3,] 5.612 2.670 4.431 5.776 3.061 5.494 5.104 9.182 5.121 9.420 3.432
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.835 5.977 1.083 4.885 4.377 3.353 4.031 1.391 3.815 3.633 2.153
[2,] 12.661 6.655 1.089 5.689 5.681 3.423 5.371 1.392 4.190 3.642 2.169
[3,] 12.676 6.673 1.090 7.340 6.648 3.567 6.196 1.399 5.531 3.658 2.280
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.519 3.190 3.391 3.512 2.988 2.126 0.9167 2.026 0.7575 3.207 3.261
[2,] 5.194 4.770 4.507 3.523 3.412 2.177 0.9727 2.043 0.7755 3.325 3.840
[3,] 5.725 5.206 4.747 3.552 3.449 2.178 0.9774 2.057 0.8121 3.535 4.028
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.238 1.458 3.213 2.495 3.369 2.114 3.523 2.665 1.558 3.349 2.957
[2,] 2.305 1.503 3.571 2.508 3.417 2.117 3.973 2.752 1.614 3.846 3.312
[3,] 2.337 1.511 3.783 2.587 3.417 2.139 4.286 2.807 1.641 4.099 3.554
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.788 2.098 2.613 1.166 2.969 1.434 2.395 1.950 2.740 2.946 1.483
[2,] 3.041 2.619 2.613 1.166 3.206 1.463 2.451 1.952 3.145 3.665 1.575
[3,] 3.490 3.257 2.709 1.178 3.478 1.501 2.559 1.979 3.232 3.746 1.582
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.060 1.997 2.765 1.373 4.132 3.163 3.775 4.339 3.881 3.594 3.014
[2,] 3.458 2.035 3.420 1.378 4.155 3.882 3.777 5.461 3.924 4.910 4.042
[3,] 3.553 2.046 3.765 1.378 4.178 3.904 3.778 5.531 3.925 4.992 4.874
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7115 2.922 1.948 3.132 2.177 1.765 0.8945 2.732 1.872 6.002 5.461
[2,] 0.7281 3.618 1.954 3.762 2.228 1.873 0.8997 3.344 1.878 6.006 5.476
[3,] 0.7398 4.937 1.956 4.880 2.324 1.942 0.8999 3.357 1.878 6.006 5.948
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.487 1.560 1.554 1.444 2.395 1.029 0.6099 12.89 9.274 5.381
[2,] 1.488 1.896 1.817 1.460 2.432 1.030 0.6351 14.58 10.712 5.660
[3,] 1.488 1.899 1.826 1.683 2.512 1.032 0.6826 15.96 10.907 6.447
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.621 2.173 8.982 4.566 4.351 0.9768 2.341 6.993 7.292
[2,] 15.823 24.430 18.371 645.798 865.722 13.2183 116.228 229.607 320.214
[3,] 42.034 6.421 60.016 735.737 561.247 53.5231 106.184 246.095 446.364
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.228 3.021 6.463 3.318 4.33 6.278 3.506 5.53 4.08
[2,] 1006.113 340.505 379.513 85.051 593.24 425.826 244.579 405.61 816.65
[3,] 197.879 129.527 410.986 98.161 308.95 563.015 194.332 679.89 460.74
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 10.81 5.565 11.91 4.249 11.22 7.59 1.375 6.203 5.558
[2,] 357.26 437.788 73.98 145.246 2144.10 691.82 26.450 689.186 856.425
[3,] 731.25 447.937 191.24 107.017 147.98 114.03 9.493 1096.505 816.318
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 4.258 5.118 1.766 4.844 4.613 2.735 5.738 4.051 4.306
[2,] 162.434 839.054 14.741 410.063 62.184 61.613 605.490 838.399 701.994
[3,] 237.574 730.332 33.350 853.381 81.723 166.386 569.247 492.766 352.072
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 4.46 3.795 2.70 1.164 2.573 0.9619 4.073 4.141 2.842
[2,] 66.21 389.565 110.27 76.931 62.629 39.3220 207.611 479.431 130.158
[3,] 106.22 119.060 14.88 22.650 55.985 56.9849 283.647 287.419 91.788
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.852 4.08 3.168 4.278 2.684 4.474 3.385 1.978 4.253
[2,] 86.496 368.50 60.764 135.102 28.893 434.166 161.478 100.150 446.832
[3,] 37.011 295.22 150.179 3.418 71.721 380.535 131.058 69.659 335.628
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.755 3.54 2.665 3.318 1.481 3.77 1.821 3.041 2.477
[2,] 352.723 287.23 370.509 3.021 6.654 286.28 68.185 123.537 19.411
[3,] 305.029 404.79 457.896 168.692 38.972 318.88 80.001 173.885 76.285
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.479 3.741 1.883 3.885 2.536 3.511 1.744 5.247 4.017
[2,] 365.010 515.232 125.202 380.964 92.811 475.860 25.527 102.855 531.957
[3,] 176.457 184.288 34.850 192.769 49.234 372.363 4.315 103.300 98.612
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.793 5.51 4.929 4.564 3.827 0.9035 3.71 2.473 3.977
[2,] 32.498 784.05 136.688 790.649 636.754 36.5819 504.49 35.690 492.978
[3,] 17.626 206.70 21.417 214.180 643.980 30.9416 794.26 22.064 734.840
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.764 2.242 1.136 3.47 2.377 7.622 6.935 1.889 1.981
[2,] 112.332 147.983 22.990 455.89 35.127 53.323 93.238 9.298 254.608
[3,] 155.933 121.224 4.291 69.02 6.001 7.064 549.381 10.877 26.362
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.974 1.833 3.042 1.307 0.7744 16.37 11.78 6.833
[2,] 222.567 51.681 98.852 6.658 41.8999 1609.91 1267.33 414.782
[3,] 43.048 197.773 149.462 15.473 59.1635 1536.32 484.92 729.970
[1] "--- VAR model 2017-10-05 23:01:00 completed"
[1] "Completed training sample: 2017-10-05 23:01:00 - 2017-10-06 07:00:00"
[1] "SpVAR; CCF training sample: 2017-10-05 23:31:00 - 2017-10-06 07:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.0631 -0.6318 -3.945 -13.947
-0.7196 0.4477 -1.893 -3.661
-0.2898 0.2082 -3.565 -11.246
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.509 0.5062 3.555 4.483
-13.805 0.1599 3.155 1.287
-6.013 0.1548 2.698 1.278
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
10.057 9.6233 -4.1882 -7.753
1.401 0.5439 1.6033 -5.974
7.309 1.3008 -0.1011 -7.403
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.612 -8.9975 -3.471 -4.974
-4.399 4.8425 3.463 -1.851
-6.119 0.6914 1.505 -2.855
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.330 0.6564 19.525 22.300
-3.221 -7.6161 12.910 8.220
1.535 4.9586 1.702 2.098
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.3329 0.20706 -33.257 1.6452
1.3675 0.11731 -11.421 -13.8359
0.9647 0.08839 -2.554 -0.7843
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.12772 -3.186 -8.655 -4.853
0.04755 -17.028 -9.438 -1.490
0.11497 -5.489 -8.575 -1.579
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.013 0.02483 -11.314 0.9352
-2.907 0.09774 -6.358 0.5655
-12.507 0.24462 -9.532 -0.2878
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.5635 -6.603 -12.109 -18.976
-3.7555 -8.674 -10.528 -10.793
-0.3989 -5.565 -4.719 -5.051
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.09427 0.09655 -1.1270 0.5507
0.68811 7.35372 -0.7663 0.7872
0.52830 4.83057 -0.5210 0.3553
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5356 -0.001644 -11.293 -6.831
-0.4617 0.530446 -3.134 -16.405
0.1367 0.436090 -4.768 -7.755
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.238 1.630 -5.814 6.487
4.775 2.690 -6.821 6.161
5.195 1.494 -7.007 -1.248
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.06171 0.11094 7.052 4.711
0.90814 -0.52285 6.727 4.635
-0.09065 -0.03587 1.938 2.988
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.2596 4.532 6.070 8.082
2.4882 9.942 4.267 4.298
0.6679 4.492 4.714 6.607
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.349 5.459 0.56061 15.345
5.657 2.859 -0.08692 9.095
4.029 1.861 -0.06657 3.691
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.283 3.719 1.0537 -5.328
-2.002 5.757 -0.2702 10.042
-1.390 3.122 1.0265 3.897
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.937 0.4271 -4.1959 -0.12350
8.019 -0.7697 0.2876 -0.19646
4.160 -0.1567 8.6529 -0.04177
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.194 -0.31239 2.843 6.155
-5.262 -0.23728 2.522 1.176
7.875 -0.01979 2.125 1.996
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.0675 6.9756 12.857 -2.447
2.4162 -0.3445 12.918 5.360
0.9704 1.5303 9.795 1.599
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.120 -0.4367 3.8845 -0.23357
4.032 -0.4349 0.4087 -0.00441
4.379 -0.1869 5.5565 -0.09160
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.9123 3.670 1.228 0.11859
0.2419 4.014 2.079 0.04458
3.0667 4.321 1.735 0.01847
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.796 -0.8236 -1.38799 -5.841
1.759 0.5241 -0.75347 -5.002
6.433 0.3924 0.07765 -3.601
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3219 6.723 10.5037 7.7602
-2.4837 -1.700 0.3528 -0.1742
-1.3287 -2.323 -2.5607 -3.2419
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.647 0.07792 -5.641 -9.083
3.447 0.07770 -5.609 -8.825
3.432 0.06651 -5.463 -10.129
rnd_95776.volume rnd_95787.volume
39.631 -3.272
4.813 -17.719
6.638 -4.561
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.049 1.967 7.877 3.944 4.213 0.8000 1.997 6.634 6.709 4.492 2.641
[2,] 4.064 1.982 7.909 4.899 5.518 0.8010 2.115 6.829 6.804 6.584 3.073
[3,] 4.088 1.986 7.937 5.549 6.051 0.8418 2.204 7.026 7.226 6.638 3.118
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.485 2.869 3.699 5.219 3.274 4.725 3.783 7.601 4.311 11.24 3.504
[2,] 5.706 2.902 4.481 5.497 3.390 5.136 5.155 7.780 4.719 11.25 3.561
[3,] 6.058 2.934 4.622 5.864 3.437 5.580 5.427 8.243 5.465 11.29 3.573
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.411 6.336 1.199 5.355 4.703 3.810 4.317 1.374 4.347 3.842 2.247
[2,] 14.298 6.444 1.206 6.110 5.779 3.854 5.517 1.375 5.029 3.857 2.264
[3,] 14.392 7.640 1.209 8.344 6.622 4.022 6.158 1.379 5.960 3.865 2.361
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.054 4.242 4.109 3.766 3.246 2.203 0.9245 2.243 0.8367 3.316 3.253
[2,] 5.748 5.055 4.942 3.773 3.518 2.253 0.9787 2.262 0.8471 3.448 3.849
[3,] 6.253 5.485 5.200 3.805 3.562 2.270 0.9845 2.265 0.9020 3.608 4.056
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.374 1.638 3.646 3.011 3.776 2.185 3.928 2.823 1.748 3.541 3.293
[2,] 2.442 1.700 3.940 3.029 3.824 2.193 4.266 2.940 1.817 4.160 3.683
[3,] 2.515 1.706 4.075 3.127 3.828 2.207 5.106 2.999 1.879 4.535 3.932
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.409 2.627 2.930 1.309 2.799 1.510 2.496 2.098 3.241 3.161 1.632
[2,] 3.724 3.075 2.931 1.313 3.558 1.533 2.553 2.099 3.637 3.898 1.751
[3,] 4.073 3.801 3.062 1.318 3.824 1.566 2.646 2.113 3.815 4.018 1.757
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.337 2.169 2.928 1.520 4.596 3.424 4.013 4.580 4.272 4.230 3.605
[2,] 3.736 2.197 3.681 1.524 4.602 4.189 4.063 5.801 4.694 5.286 4.408
[3,] 3.863 2.209 3.958 1.524 4.682 4.191 4.178 5.820 4.799 5.433 5.343
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7282 3.453 2.113 3.385 2.343 1.907 1.075 2.877 2.042 6.779 5.788
[2,] 0.7343 4.180 2.117 4.105 2.425 1.983 1.076 3.455 2.060 6.781 5.793
[3,] 0.7476 5.324 2.120 4.941 2.502 2.050 1.076 3.494 2.065 6.790 6.191
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.884 1.951 2.033 2.018 2.654 1.175 0.6037 12.61 9.265 5.420
[2,] 1.911 2.657 2.574 2.320 2.664 1.175 0.6355 14.32 12.018 5.743
[3,] 1.924 2.661 2.606 2.335 2.735 1.176 0.6785 15.70 12.271 6.975
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.141 2.498 10.0 5.009 5.35 1.016 2.535 8.424 8.519
[2,] 95.493 65.095 195.1 798.018 978.76 10.813 191.332 445.540 311.919
[3,] 122.908 37.096 182.8 716.095 682.35 71.149 170.715 453.243 667.733
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.704 3.354 6.966 3.643 4.697 6.628 4.157 6.0
[2,] 1321.870 431.749 431.391 119.754 694.894 473.886 242.145 553.0
[3,] 232.521 144.128 558.706 117.854 310.450 560.739 155.459 599.2
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.804 9.652 5.474 14.27 4.449 11.95 8.045 1.523 6.8
[2,] 961.818 455.664 527.161 119.88 174.492 2956.44 322.643 35.480 807.9
[3,] 466.269 748.462 756.968 260.51 81.309 450.65 1127.587 24.039 1560.6
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.972 4.838 5.482 1.744 5.52 4.879 2.854 6.418 5.386
[2,] 922.414 159.332 943.407 15.412 694.58 92.644 74.530 752.108 755.136
[3,] 887.759 315.742 751.410 29.664 878.39 70.021 183.769 676.015 584.608
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.218 4.782 4.122 2.798 1.174 2.848 1.063 4.21 4.13
[2,] 754.253 65.184 372.765 128.926 88.223 80.570 36.355 260.03 565.03
[3,] 444.209 135.470 152.783 77.456 29.299 34.077 85.073 291.63 351.85
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.015 2.08 4.63 3.824 4.795 2.775 4.987 3.585 2.22
[2,] 156.709 124.97 409.74 89.912 165.674 51.421 457.073 225.361 136.07
[3,] 165.691 40.35 285.81 213.318 52.933 68.692 770.826 162.088 131.97
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.497 4.181 4.329 3.336 3.72 1.663 3.554 1.917 3.17
[2,] 599.368 452.929 411.752 439.131 25.29 27.567 603.190 73.596 146.47
[3,] 496.056 378.193 452.826 613.369 243.25 31.853 385.362 87.319 191.33
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.664 4.115 4.014 2.072 4.238 2.754 3.718 1.930 5.837
[2,] 13.997 453.313 626.350 174.886 461.276 95.820 612.797 33.064 63.244
[3,] 67.488 316.080 267.672 38.173 270.164 64.485 399.191 4.243 237.119
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.348 5.097 5.815 5.424 5.371 4.577 0.9246 4.384
[2,] 662.987 172.896 977.908 534.478 870.729 696.812 26.1245 647.087
[3,] 36.865 267.445 130.544 273.928 344.417 829.234 38.5327 905.529
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.684 4.299 2.975 2.422 1.365 3.654 2.593 8.608 7.35
[2,] 34.922 637.620 172.408 149.107 12.400 525.451 74.667 47.406 64.01
[3,] 29.533 755.528 168.862 143.064 6.881 143.255 39.522 95.921 599.75
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.392 2.478 2.582 2.563 3.37 1.492 0.7666 16.01 11.76
[2,] 88.117 495.098 433.733 314.181 64.48 7.682 54.5579 1863.21 2102.71
[3,] 60.753 40.135 110.556 72.794 170.22 12.475 65.2794 1769.24 680.52
[,98]
[1,] 6.882
[2,] 521.792
[3,] 1087.367
[1] "--- VAR model 2017-10-05 23:31:00 completed"
[1] "Completed training sample: 2017-10-05 23:31:00 - 2017-10-06 07:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 00:01:00 - 2017-10-06 08:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.266 0.933189 -1.49998 5.098
1.119 -0.396267 -0.05891 -5.266
0.813 -0.006809 1.06277 5.814
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-21.86 0.3727 3.254 0.6403
-10.94 0.3543 1.785 0.6894
-14.99 0.2317 1.860 1.2483
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.5146 4.4591 -2.1788 -16.36
-1.1047 -0.1219 -0.3889 -17.42
0.9365 1.7069 -0.4266 -17.61
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.010 -2.8525 -2.1210 -4.304
-5.519 0.1192 1.2853 -3.998
-5.428 -0.1572 0.1997 -2.317
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.2759 -0.6793 3.9619 11.901
-0.9764 -2.1941 2.6134 6.024
-0.2671 -1.2360 0.3154 6.844
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.5273 -0.53564 17.383 -1.843
-0.4885 -0.02464 -1.582 6.066
-0.7339 -0.15961 -1.851 -1.279
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.440 -6.348 -1.404 2.3469
1.186 10.485 3.342 0.8430
1.296 -1.605 1.683 0.8096
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.410 2.247 1.4243 -0.9692
-4.514 2.007 -0.8100 0.9708
4.831 1.205 0.3163 -0.2768
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.22450 -7.743 -14.5866 -8.783
0.65653 -1.372 -0.5491 -4.663
-0.09658 -6.173 -5.8072 -6.385
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.1018 2.058 0.8897 1.5570
-0.8237 2.758 0.3708 0.4458
-0.3322 4.571 0.3650 0.2580
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.554 0.2633 -4.8727 -15.401
-8.376 0.4051 2.0082 -9.955
-3.909 0.5242 0.5371 -5.852
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.275 0.09182 -7.809 3.3782
3.872 1.14179 -11.893 2.0436
1.129 1.20195 -7.210 0.2543
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.4359 -0.1866 1.782 6.837
1.4123 0.6062 -1.010 6.938
0.2887 0.1197 -5.763 3.381
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5672 -8.0277 -5.3678 8.304
0.1492 3.9599 -0.2119 -7.144
0.2937 0.2002 -1.1272 2.063
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
10.412 -1.4674 -0.1507 -0.1855
-8.452 3.4784 -0.5146 9.7931
1.859 -0.7417 0.3045 -8.2751
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.239 2.638 2.838 4.517
-4.670 4.397 2.011 2.589
-4.669 -3.892 -0.664 5.583
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.852 -0.37785 11.015 0.06380
3.882 -0.08371 3.529 -0.01341
6.411 0.02738 3.053 -0.31060
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
16.572 -0.1295 5.174 1.493
4.297 -0.4762 4.966 2.500
2.755 0.1462 1.966 2.375
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.863 3.956 5.293 4.990
-4.788 1.335 5.004 2.531
-4.262 2.109 3.932 2.444
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.09679 0.4512 4.914 0.5514
6.36086 0.3976 4.345 0.2483
1.20811 0.3012 2.973 0.1098
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.643 2.177 -0.80801 -0.05224
3.028 1.993 -0.06142 0.21008
3.512 2.093 0.05409 0.06645
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4902 1.1899 -0.1089 -8.065
1.7186 -1.0023 -0.3554 -8.026
2.8748 -0.2413 0.7216 -9.128
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2589 17.8173 13.3608 -2.177
0.8591 0.4247 0.8223 12.597
1.7635 -1.2072 -0.7438 -1.866
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.7289 0.1107 -8.137 -1.1899
2.9738 -0.3467 -8.225 -0.5005
-1.8028 -0.1735 -8.243 -1.5481
rnd_95776.volume rnd_95787.volume
5.102 -4.392
7.379 5.494
4.696 -2.809
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.258 2.186 8.304 5.267 5.468 1.002 2.273 7.193 7.325 4.913 2.894
[2,] 4.279 2.193 8.332 6.118 6.373 1.003 2.456 7.452 7.384 7.069 3.389
[3,] 4.315 2.194 8.386 6.624 6.735 1.022 2.539 7.629 7.714 7.111 3.431
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.524 2.990 4.034 5.497 4.206 5.286 4.333 6.556 4.806 11.65 3.644
[2,] 5.852 3.014 4.561 5.725 4.270 5.660 5.252 6.924 5.304 11.65 3.698
[3,] 6.159 3.034 4.689 5.996 4.328 5.903 5.576 7.356 5.860 11.67 3.704
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.06 6.614 1.233 5.634 4.919 3.942 5.135 1.542 5.233 3.949 2.342
[2,] 15.02 6.684 1.306 6.417 6.059 4.018 6.192 1.553 5.860 3.956 2.378
[3,] 15.08 7.815 1.310 8.716 6.857 4.196 6.809 1.568 6.688 3.976 2.489
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.696 4.903 4.582 4.185 3.695 2.385 1.078 2.539 1.107 3.604 3.142
[2,] 6.350 5.616 5.165 4.190 4.169 2.428 1.081 2.562 1.108 3.676 3.845
[3,] 6.787 5.969 5.393 4.203 4.291 2.450 1.083 2.642 1.155 3.749 3.990
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.565 1.806 3.938 3.473 4.087 2.416 4.663 3.099 1.835 3.924 3.654
[2,] 2.664 1.880 4.143 3.600 4.101 2.417 5.177 3.162 1.914 4.657 4.202
[3,] 2.712 1.916 4.277 3.710 4.121 2.425 5.675 3.284 1.943 4.808 4.637
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.892 3.093 3.289 1.440 3.475 1.583 2.841 2.409 3.745 3.418 1.959
[2,] 4.264 3.608 3.291 1.440 3.806 1.602 2.923 2.474 4.268 4.365 1.974
[3,] 4.779 4.584 3.408 1.441 4.151 1.615 3.005 2.508 4.546 4.536 1.991
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.923 2.304 3.108 1.689 5.146 3.732 4.244 5.043 4.546 4.465 3.891
[2,] 4.365 2.344 4.083 1.697 5.154 4.382 4.321 5.881 5.000 5.540 4.821
[3,] 4.515 2.358 4.456 1.698 5.308 4.392 4.449 5.895 5.141 5.650 5.680
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8482 4.274 2.217 4.053 2.505 1.970 1.130 3.095 2.325 7.098 5.757
[2,] 0.8601 4.779 2.225 4.637 2.561 2.045 1.130 3.769 2.336 7.098 5.783
[3,] 0.8687 5.770 2.238 5.280 2.625 2.139 1.136 3.885 2.342 7.109 6.220
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.601 2.520 2.521 2.384 3.009 1.410 0.5899 12.38 11.59 5.715
[2,] 2.797 3.236 2.913 2.431 3.057 1.411 0.6222 14.07 12.57 6.098
[3,] 2.798 3.614 3.190 3.098 3.135 1.412 0.6753 15.41 12.67 7.200
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.407 2.776 10.55 6.689 6.944 1.273 2.887 9.133 9.301
[2,] 125.160 51.175 203.00 922.461 970.079 8.759 275.127 578.025 278.160
[3,] 163.783 19.363 279.84 752.109 645.363 58.057 191.091 484.303 661.568
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.238 3.674 7.015 3.796 5.123 6.981 5.341 6.712
[2,] 1506.349 522.640 572.431 112.557 630.977 473.463 218.177 599.910
[3,] 230.586 159.567 568.787 103.569 322.509 528.895 208.814 496.479
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.502 8.325 6.103 14.79 4.628 12.77 8.398 1.566
[2,] 879.532 660.563 664.980 46.74 185.807 3305.17 286.284 127.508
[3,] 555.239 736.093 738.817 218.84 65.385 419.35 1200.285 30.693
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.155 6.246 5.006 6.52 1.958 6.645 5.015 2.974
[2,] 910.251 1048.451 230.723 1025.87 55.840 781.477 70.654 121.777
[3,] 1748.300 951.775 358.341 839.25 63.766 955.639 118.268 218.134
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 7.234 6.226 5.819 5.314 4.692 3.029 1.368 3.225 1.406
[2,] 831.417 811.621 706.180 62.746 572.447 133.627 26.342 100.912 14.713
[3,] 710.573 599.236 460.415 99.152 301.191 96.935 17.473 191.360 96.835
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.577 3.989 3.257 2.293 5.001 4.41 5.189 3.068 5.922
[2,] 215.209 657.116 214.098 154.730 381.439 280.82 99.895 12.175 666.327
[3,] 217.892 316.269 150.376 109.676 314.417 265.62 121.770 60.036 689.074
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.935 2.33 4.983 4.64 4.942 3.927 4.177 1.828 4.412
[2,] 186.180 161.56 743.253 615.12 516.660 550.835 32.321 11.176 460.701
[3,] 263.430 99.10 353.881 581.20 639.245 837.743 262.750 12.156 490.439
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.01 3.607 3.059 4.755 4.34 2.488 4.982 2.925 3.947
[2,] 73.74 203.972 167.414 606.604 804.59 70.388 567.217 127.891 784.557
[3,] 59.41 206.580 122.075 464.018 365.32 77.303 341.548 77.257 528.995
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.144 6.535 4.74 5.39 6.404 5.772 5.67 4.942 1.077
[2,] 47.954 83.249 680.45 240.33 896.461 616.979 971.86 843.358 42.221
[3,] 21.990 376.579 86.38 314.14 122.508 354.519 329.21 890.103 36.093
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.427 2.815 5.146 3.181 2.501 1.435 3.931 2.952 9.013
[2,] 633.722 57.874 667.589 158.437 162.550 1.986 637.069 67.674 13.705
[3,] 958.559 69.458 748.688 170.707 185.984 35.149 280.156 48.067 116.455
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 7.31 3.302 3.2 3.201 3.027 3.822 1.791 0.7491 15.73
[2,] 165.12 305.218 601.5 432.478 141.320 159.331 4.775 58.6348 1977.12
[3,] 678.42 15.648 477.1 385.600 569.238 205.610 18.119 77.7793 1864.46
[,97] [,98]
[1,] 14.72 7.257
[2,] 1440.40 631.133
[3,] 472.87 1134.082
[1] "--- VAR model 2017-10-06 00:01:00 completed"
[1] "Completed training sample: 2017-10-06 00:01:00 - 2017-10-06 08:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 00:31:00 - 2017-10-06 08:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7122 -0.059558 -1.502 -6.913
-1.4828 -0.023007 -3.139 -11.609
-1.1387 -0.001429 -1.905 -8.826
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.144 0.1183 2.507 1.918
-10.194 0.7137 4.414 4.027
-12.843 0.8901 5.399 1.460
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
8.002 1.635 -0.0749 -5.691
4.666 1.398 3.3726 -12.035
5.375 2.967 0.2444 -11.573
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.034 -2.0762 0.0355 -2.000
-3.327 0.8925 0.4341 -1.476
-2.676 0.8335 0.5419 -1.972
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.205 2.481 10.683 8.624
1.365 2.090 7.729 5.232
1.072 2.760 6.399 3.833
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.11398 2.5883 -16.05 -7.331
-0.12810 0.3723 -11.62 -6.054
-0.02505 1.6876 -11.29 -1.315
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1328 -11.359 -9.718 10.648
0.2336 -8.911 -8.566 5.075
0.1313 -4.543 -5.914 2.575
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.232 0.6062 -9.655 -1.77760
-9.946 -0.1249 -13.628 0.17416
-10.213 0.0265 -11.592 -0.01908
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.312 -4.914 -3.685 -8.569
-1.714 -6.638 -6.616 -5.645
-1.513 -8.540 -8.879 -10.623
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.682 17.487 2.299 0.2823
1.538 7.264 1.435 1.0584
1.423 7.321 1.486 0.9914
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.502 0.1705 -2.718 -5.682
-1.825 2.8234 -1.718 -5.232
-2.164 0.9231 -1.294 -7.893
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.741 1.25994 2.002 6.845
1.821 1.03309 -2.947 -1.973
2.608 0.02692 -3.061 2.192
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.0507 0.5863 -6.004 6.112
0.5365 -1.1741 9.909 2.698
0.1827 -0.3288 1.060 3.234
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.915 4.496 5.211 8.7381
1.924 1.404 -6.040 0.1012
2.065 6.905 5.042 -1.6685
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
12.299 1.2127 0.3477 17.4774
3.079 2.7692 -0.3819 6.8035
-4.674 0.5258 -0.1007 0.4507
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.442 7.785 4.307 7.723
-2.972 6.638 3.041 11.431
-3.927 2.506 1.556 6.650
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.337 0.5611 4.390 0.9623
11.186 -0.2508 8.739 0.5275
7.222 -0.1760 8.954 0.2608
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.113 -0.12062 3.629 0.6997
4.413 0.07096 2.408 0.6601
10.838 -0.02787 2.183 0.4219
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.424 -4.072 6.497 -3.930
4.674 1.726 7.931 0.244
2.545 0.020 4.981 -1.082
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.100 -0.06581 -2.4741 -5.359
-5.542 -0.21004 -2.7223 -5.154
1.775 -0.04323 0.3623 -3.449
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.4387 -1.4008 2.064 0.198588
-6.4261 -0.5429 -1.765 -0.009793
-1.4282 -0.7166 1.565 -0.240623
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
14.328 -0.55364 1.971 -28.46
9.315 -0.27301 1.300 -10.80
6.671 0.04209 -1.050 -18.21
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.3949 -3.903 -2.5796 -0.5184
0.5218 1.146 0.3459 -2.9878
-0.1888 1.372 1.2248 2.2344
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.765 0.27974 -6.363 -2.120
5.791 0.09664 -6.628 -1.822
4.865 -0.54134 -6.812 -1.818
rnd_95776.volume rnd_95787.volume
13.368 -12.115
8.519 -6.198
-4.801 -2.156
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.633 2.408 8.959 6.181 6.206 0.9939 2.449 7.834 7.694 5.585 3.145
[2,] 4.639 2.414 8.994 7.005 7.512 0.9958 2.568 8.154 7.786 7.818 3.737
[3,] 4.669 2.414 9.079 7.423 7.781 1.0035 2.735 8.365 8.282 7.883 3.782
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.803 3.034 4.272 5.719 4.484 5.469 4.684 5.900 5.571 12.24 4.230
[2,] 6.026 3.056 4.889 5.990 4.520 5.785 5.638 6.435 6.081 12.25 4.308
[3,] 6.356 3.072 5.040 6.310 4.583 6.058 5.955 6.886 6.460 12.25 4.309
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.75 6.737 1.377 6.004 5.912 4.787 6.078 1.681 5.918 4.493 2.508
[2,] 15.66 6.781 1.388 6.806 7.138 5.145 6.992 1.706 6.384 4.514 2.552
[3,] 15.71 8.127 1.403 9.233 7.623 5.453 7.597 1.715 6.917 4.563 2.663
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.597 5.202 5.102 4.758 4.124 2.571 1.142 2.720 1.188 3.995 3.339
[2,] 7.275 6.438 5.731 4.759 4.739 2.616 1.190 2.755 1.219 4.044 4.171
[3,] 7.657 6.734 5.943 4.795 4.892 2.640 1.203 2.799 1.278 4.117 4.304
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.758 2.030 4.172 4.201 4.482 2.717 5.097 3.396 1.984 4.396 4.217
[2,] 2.869 2.142 4.423 4.337 4.483 2.734 5.776 3.446 2.103 5.246 4.652
[3,] 2.907 2.153 4.672 4.514 4.523 2.754 6.271 3.599 2.157 5.456 5.213
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.183 3.419 3.503 1.556 3.596 1.695 2.948 2.523 3.902 3.687 2.107
[2,] 4.595 3.863 3.506 1.556 4.334 1.711 3.016 2.602 4.478 4.691 2.126
[3,] 5.201 4.791 3.644 1.556 4.616 1.728 3.131 2.642 4.808 4.864 2.139
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.264 2.371 3.378 1.761 5.322 4.104 4.399 5.328 4.827 4.813 4.214
[2,] 4.791 2.409 4.334 1.767 5.441 4.600 4.483 6.105 5.310 5.936 5.075
[3,] 4.916 2.423 4.671 1.770 5.526 4.625 4.610 6.130 5.476 6.031 6.187
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8990 4.631 2.872 4.601 2.522 2.145 1.225 3.399 2.573 7.443 6.480
[2,] 0.9134 5.126 2.974 5.139 2.560 2.183 1.227 4.053 2.601 7.443 6.527
[3,] 0.9192 6.106 3.010 5.791 2.625 2.304 1.234 4.207 2.626 7.446 7.215
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.026 2.936 2.928 2.792 3.307 1.566 0.6274 12.04 12.85 5.985
[2,] 3.268 3.637 3.346 2.844 3.368 1.567 0.6532 13.77 14.39 6.309
[3,] 3.281 4.100 3.689 3.542 3.493 1.567 0.6980 15.12 14.61 7.798
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.883 3.058 11.38 7.849 7.881 1.262 3.109 9.948 9.77
[2,] 67.855 46.995 220.23 918.090 1178.708 17.427 215.341 630.096 332.64
[3,] 148.734 2.716 345.72 683.774 564.925 34.421 262.104 519.511 786.57
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.092 3.994 7.369 3.853 5.425 7.262 5.694 6.945
[2,] 1523.233 561.910 451.737 102.631 661.769 495.586 158.132 524.744
[3,] 282.366 163.451 562.945 87.667 341.001 552.985 211.187 501.490
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.948 7.493 7.074 15.54 5.372 13.64 8.555 1.749
[2,] 873.746 715.467 678.779 105.04 227.233 3170.34 215.712 48.444
[3,] 534.200 682.193 607.572 123.06 29.187 357.38 1247.406 57.046
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.624 7.507 6.079 7.718 2.135 7.514 5.705 3.185
[2,] 892.647 1113.686 525.183 962.595 79.889 666.956 123.407 130.977
[3,] 1737.395 745.479 503.090 827.341 50.582 741.807 184.283 211.690
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 8.377 6.606 6.479 6.042 5.236 3.265 1.451 3.453
[2,] 854.269 1056.256 726.812 31.299 650.283 133.443 92.296 123.189
[3,] 664.989 549.585 437.620 162.776 338.060 100.494 49.464 137.813
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.509 5.073 4.24 3.502 2.578 5.297 5.335 5.691 3.451
[2,] 75.740 174.299 695.93 220.991 190.684 408.850 299.387 28.931 82.754
[3,] 106.566 215.596 295.55 129.602 60.254 419.190 348.846 167.745 94.204
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.472 4.312 2.519 5.582 5.355 5.312 4.342 4.448 1.976
[2,] 756.398 162.965 194.953 797.384 546.999 529.222 500.386 41.797 5.904
[3,] 679.897 289.034 132.893 417.181 654.984 678.516 789.149 276.751 4.435
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 4.567 2.152 3.743 3.203 4.955 4.682 2.675 5.414 3.01
[2,] 673.571 66.028 177.438 177.274 611.800 807.573 79.968 608.405 120.01
[3,] 442.183 67.729 233.964 127.900 487.504 357.787 65.341 307.181 71.64
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.29 2.237 6.758 5.211 5.586 6.766 6.129 6.112 5.351
[2,] 756.16 40.435 315.301 579.052 240.867 829.890 616.260 967.610 787.806
[3,] 484.67 28.917 268.943 133.874 299.406 152.712 373.014 297.102 985.273
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.142 5.881 3.646 5.842 3.203 2.724 1.555 4.316 3.268
[2,] 45.060 611.792 215.957 637.672 121.769 113.136 21.873 615.022 104.916
[3,] 28.762 923.780 128.507 743.411 161.642 204.790 35.590 314.090 100.626
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.452 8.229 3.842 3.729 3.718 3.545 4.2 1.989 0.7967
[2,] 7.803 217.621 344.100 597.573 450.605 151.341 177.3 11.754 50.6197
[3,] 54.654 855.887 80.190 527.352 433.098 587.901 257.5 7.885 68.5530
[,96] [,97] [,98]
[1,] 15.28 16.31 7.601
[2,] 1861.67 1806.16 555.171
[3,] 1742.51 701.38 1276.256
[1] "--- VAR model 2017-10-06 00:31:00 completed"
[1] "Completed training sample: 2017-10-06 00:31:00 - 2017-10-06 08:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 01:01:00 - 2017-10-06 09:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.88589 -0.36556 -1.495 -5.043
0.01495 -0.03345 -2.973 3.216
-0.07328 0.04620 -4.670 -14.886
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.06981 0.7772 3.207 3.276
-9.04937 0.8244 3.962 4.139
-4.75413 0.2183 3.763 2.404
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.436 -0.7753 2.867 -29.83
8.275 4.7995 1.789 -26.97
6.182 2.8698 1.712 -25.37
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.207 1.3773 6.5606 -7.609
-4.112 -0.5046 1.3265 -8.107
-4.795 0.7412 0.6991 -4.981
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.856 -13.617 -17.69 -10.513
-4.393 -6.686 -10.60 -1.425
-3.791 -4.491 -3.51 -4.018
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.02662 -0.3786 -36.559 5.442
0.21929 -0.2116 -11.249 -16.379
-0.02453 -0.1090 -4.189 2.589
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.02348 7.626 3.607 1.0849
-0.37937 -19.628 -5.776 0.4208
-0.06369 -3.246 -10.544 0.2250
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.515 -0.2009 -7.681 -0.36220
1.777 0.6994 -3.952 1.28012
-14.623 0.5592 -11.479 -0.07843
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.4295 4.844 -0.02582 -7.8612
0.6531 -5.377 -2.78465 0.8714
0.4957 -2.461 -1.89696 -3.1524
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2577 1.407 -0.39232 0.8325
-0.7674 3.028 -0.23093 0.5677
-0.3243 -4.568 -0.02307 -0.1336
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6827 -0.5956 -1.9587 -7.118
0.3111 0.5441 -0.6938 -6.113
-1.8970 0.5090 0.5428 -4.927
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9796 -0.4309 -1.565 2.3545
-1.5294 0.1317 -6.827 -1.3742
-0.6507 -1.0973 -3.904 -0.1119
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.9840 -0.283284 -5.1638 3.696
-0.5270 -0.176753 -0.8983 1.830
-0.1651 -0.003568 -3.6933 3.382
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.36429 -5.651 -4.0577 -8.240
-0.01915 -1.076 -4.4444 -3.871
-0.01051 -2.225 -0.5362 -2.244
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.735 -1.559 -0.3467 9.777
-4.642 -1.419 0.1040 -9.487
-3.159 -0.431 0.1298 -3.937
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.607 5.814 0.2210 1.916
-5.065 -4.305 0.6484 6.361
-4.898 -1.779 0.9911 -4.316
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.273 0.3500 -2.9370 0.3034
6.588 0.0640 5.3311 -0.1580
-3.483 0.8537 0.5397 -0.2287
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.475 -0.18717 4.083 -2.469
1.877 -0.41381 2.884 2.098
5.798 0.08488 -0.373 1.875
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.9459 -5.6790 -4.539 4.4914
1.3369 4.0581 -5.749 0.4854
-0.1219 0.7118 -2.589 2.3410
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.19054 0.5224 8.0544 -2.491
-0.08523 0.2658 4.3147 1.599
1.64763 0.1348 0.1025 0.108
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.6632 4.743 -1.4632 0.27741
5.8718 4.267 -0.8023 0.29005
-0.5148 3.649 -0.2675 0.04263
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.3033 -0.51125 2.390 -23.70
1.0299 -0.01970 1.562 -14.13
0.2579 0.06892 3.567 -17.74
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.5813 2.316 2.041 4.1796
0.3517 -2.482 -1.884 -4.1224
0.2442 1.024 0.486 0.5095
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.7633 0.1221 -6.089 -2.566
-3.6258 -0.3275 -5.743 -3.900
-0.9168 0.1811 -6.236 -4.218
rnd_95776.volume rnd_95787.volume
-4.610 3.426
1.910 -15.697
-3.404 -3.349
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.028 2.470 9.312 6.785 6.493 1.154 2.758 8.153 8.172 5.949 3.237
[2,] 5.044 2.479 9.350 7.537 7.850 1.158 2.918 8.459 8.299 8.230 3.864
[3,] 5.118 2.480 9.466 7.902 8.089 1.181 3.088 8.664 8.843 8.312 3.916
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.041 3.101 5.311 6.410 4.766 7.018 6.485 7.734 6.392 12.68 4.344
[2,] 6.217 3.117 5.621 6.739 4.801 7.448 7.436 8.327 7.007 12.68 4.408
[3,] 6.398 3.139 5.817 6.980 5.070 7.705 7.690 8.733 7.501 12.69 4.410
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.35 7.105 1.474 6.158 6.177 5.143 6.332 1.783 6.446 4.970 2.647
[2,] 16.53 7.169 1.487 6.986 7.549 5.614 7.189 1.811 7.022 4.972 2.709
[3,] 16.58 8.515 1.509 9.697 8.000 5.968 7.674 1.815 7.668 5.085 2.820
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.022 5.456 5.514 5.052 4.278 2.777 1.333 2.974 1.288 4.361 3.588
[2,] 7.633 6.707 6.113 5.054 4.890 2.819 1.347 2.978 1.288 4.447 4.501
[3,] 8.052 6.963 6.284 5.082 4.997 2.838 1.348 2.992 1.359 4.465 4.624
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.057 2.185 4.582 4.915 4.727 2.838 5.607 3.460 2.159 4.551 4.548
[2,] 3.164 2.280 4.832 5.030 4.732 2.863 6.597 3.493 2.243 5.458 4.918
[3,] 3.220 2.306 5.042 5.455 4.816 2.880 6.950 3.593 2.289 5.801 5.596
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.335 3.660 3.808 1.715 3.865 1.804 3.171 2.964 3.984 3.911 2.197
[2,] 4.739 4.116 3.813 1.716 4.627 1.823 3.243 2.970 4.759 5.248 2.273
[3,] 5.384 5.143 3.899 1.718 4.964 1.864 3.409 3.002 4.983 5.351 2.325
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.583 2.503 3.579 1.879 6.144 4.514 4.832 5.611 5.276 5.227 4.623
[2,] 5.039 2.511 4.628 1.880 6.183 5.190 4.994 6.603 5.761 6.454 5.430
[3,] 5.144 2.535 5.012 1.885 6.344 5.206 5.189 6.611 6.004 6.597 6.703
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9521 4.905 3.666 4.921 2.695 2.334 1.394 4.263 2.686 8.061 6.680
[2,] 0.9723 5.492 3.739 5.617 2.760 2.374 1.394 4.592 2.707 8.066 6.691
[3,] 0.9757 6.589 3.797 6.338 2.815 2.519 1.400 4.670 2.725 8.070 7.406
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.272 3.209 3.227 3.038 3.557 1.662 0.6598 11.74 13.85 6.192
[2,] 3.525 3.889 3.739 3.104 3.596 1.662 0.6972 13.42 15.51 6.498
[3,] 3.529 4.389 4.114 3.945 3.738 1.662 0.7468 14.75 15.65 8.250
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.385 3.137 11.82 8.616 8.245 1.466 3.503 10.35 10.38
[2,] 107.048 57.301 228.34 884.158 1188.298 25.418 256.726 607.02 388.51
[3,] 234.576 8.336 397.03 639.246 525.466 62.491 271.997 505.48 823.29
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.555 4.11 7.671 3.938 6.744 8.139 6.052 8.912
[2,] 1531.916 568.71 396.155 84.038 496.186 560.780 155.877 671.525
[3,] 313.396 170.44 406.792 101.375 402.729 490.188 439.007 531.818
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.236 9.821 8.117 16.10 5.516 14.41 9.022 1.872 7.82
[2,] 979.845 831.623 772.886 52.22 202.596 3238.87 257.247 53.107 888.85
[3,] 528.199 708.962 721.302 53.86 29.840 325.38 1237.966 68.065 1811.72
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.843 6.531 8.041 2.264 8.185 6.311 3.361 8.917
[2,] 1169.404 606.003 917.221 85.260 750.418 44.423 155.407 806.335
[3,] 713.202 545.648 723.102 32.391 829.922 286.547 210.707 690.587
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.928 7.002 6.415 5.433 3.526 1.692 3.776 1.636
[2,] 1050.896 710.676 36.459 637.950 131.347 52.268 43.894 1.451
[3,] 503.884 392.315 142.879 277.706 87.570 15.292 76.804 116.789
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 5.538 4.557 3.882 2.774 5.819 6.241 6.003 3.604
[2,] 234.511 731.826 220.289 176.015 412.911 288.315 58.513 100.595
[3,] 106.801 286.012 160.118 93.654 388.611 568.531 241.688 85.643
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 7.12 4.394 2.741 5.779 5.776 5.504 4.648 4.836 2.178
[2,] 936.22 128.539 163.560 811.806 503.784 515.742 507.330 54.920 7.380
[3,] 589.71 226.471 123.008 529.358 719.313 688.747 830.541 219.121 26.049
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 4.908 2.291 4.026 3.764 5.059 4.967 2.79 5.82 3.178
[2,] 685.174 70.413 183.167 48.088 701.021 942.814 157.13 564.07 53.942
[3,] 484.433 104.680 283.555 118.079 398.774 281.204 131.64 279.38 93.268
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.545 2.386 7.802 5.732 6.136 7.125 6.7 6.637
[2,] 790.501 22.172 186.405 689.641 339.320 938.002 623.1 1019.987
[3,] 518.217 34.211 382.468 110.392 379.724 85.749 455.9 368.413
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.871 1.209 6.229 4.655 6.249 3.422 2.964 1.770
[2,] 767.299 53.172 665.582 198.428 729.427 160.741 116.539 4.341
[3,] 1058.592 21.961 980.691 178.390 791.013 149.872 226.994 35.393
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 5.414 3.411 10.24 8.482 4.155 4.075 4.097 3.858 4.517
[2,] 459.354 90.935 77.13 107.109 352.910 591.730 508.870 170.994 141.545
[3,] 229.473 84.540 72.12 855.200 45.339 548.010 462.107 655.711 274.477
[,94] [,95] [,96] [,97] [,98]
[1,] 2.110 0.8378 14.91 17.59 7.863
[2,] 9.297 60.7406 1749.97 1877.28 530.915
[3,] 4.166 72.0778 1651.76 577.61 1369.129
[1] "--- VAR model 2017-10-06 01:01:00 completed"
[1] "Completed training sample: 2017-10-06 01:01:00 - 2017-10-06 09:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 01:31:00 - 2017-10-06 09:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.117 -0.50428 -1.684 -12.771
2.392 -0.04449 -1.303 5.507
1.489 -0.07884 -2.331 -10.666
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.4607 1.485 2.823 -0.7704
-12.4835 1.502 3.076 -0.3430
0.9931 1.290 2.692 -1.8829
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7559 -7.5676 -3.9063 -17.58
-2.8703 1.6416 0.6564 -18.95
-2.8075 -0.7021 -2.0902 -17.66
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.671 -1.314 1.1903 1.2960
-5.169 -2.970 -2.2524 -1.8799
-2.983 -1.258 -0.7745 -0.4697
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.015 -5.772 11.417 4.547
-2.540 -2.848 2.086 2.548
-2.080 -2.601 2.350 3.045
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.83325 -0.1245 -18.510 2.175
0.48675 0.8283 -14.262 -11.054
-0.06797 -0.0936 4.257 2.495
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.0487 13.18 0.8305 4.431
-0.7863 -14.65 -1.2274 2.029
-0.3121 -6.79 -11.8314 1.212
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.441 1.998 -16.034 -0.4747
5.651 2.123 1.712 -2.2070
-7.909 2.121 -1.665 -0.1071
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.8657 -7.500 0.1423 2.738
-1.7107 -9.973 -12.1004 -11.676
0.3396 4.879 0.4526 -4.094
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4105 6.6688 3.834 0.6177
-0.4544 0.3539 2.754 -0.6982
1.0678 -1.5022 1.642 0.1930
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.38834 0.07013 0.2395 -4.745
-0.05571 1.13542 0.5996 -4.996
-0.01775 0.21611 -1.9529 -6.385
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.740 1.4746 2.537 -7.4958
2.022 0.9386 -1.410 3.7261
1.100 1.0542 -0.732 0.5699
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.4004 0.1927 1.351 4.454
-1.0164 0.5733 5.269 4.162
-0.1066 0.1414 -4.172 3.692
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2440 4.1898 -4.800 -8.875
-0.3579 3.8460 1.562 1.297
0.3078 -0.8199 4.390 3.685
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.9251 2.6489 0.09776 2.965
0.2735 0.3431 -0.15560 -6.549
2.8537 0.4196 0.14045 2.220
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.082 0.8303 -0.4022 14.891
-3.924 -1.3449 -1.3289 -1.560
-3.790 -1.3247 0.3078 -2.764
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.1204 -3.4435 0.773 0.44879
0.2779 2.4978 7.547 -0.08206
-3.3370 -0.1385 -3.152 -0.37722
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-12.355 -0.3771 3.931 1.930
9.711 -0.0553 2.841 2.620
-2.375 0.2082 1.485 1.975
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.0060 5.483 4.0807 10.658
-0.6406 2.085 1.6398 -1.500
1.4808 2.160 0.5486 3.774
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.20659 0.7270 5.1641 0.42367
8.84390 0.2112 9.3801 0.06908
-0.09838 0.2444 0.8405 0.51308
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.331 -0.4381 -1.975 0.2627
10.845 -0.9290 1.055 0.1730
2.361 -0.7256 1.091 -0.0162
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.184 0.09090 0.4603 -6.847
5.515 0.34651 1.0957 12.973
1.806 -0.01643 0.3655 -2.001
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5495 2.5647 1.739 1.6538
1.3591 0.3984 0.801 0.4558
0.7646 1.4777 1.073 1.2109
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.7073 -0.06169 -6.085 -0.2945
-1.0457 -0.48610 -6.329 -1.4508
0.4857 -0.07459 -6.099 -0.7068
rnd_95776.volume rnd_95787.volume
23.54 9.958
-21.06 -14.869
10.32 -5.128
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.322 2.641 10.15 7.173 6.870 1.229 2.995 8.416 8.642 6.128 3.359
[2,] 5.338 2.658 10.16 8.052 8.344 1.241 3.102 8.711 8.756 8.464 4.007
[3,] 5.414 2.658 10.27 8.401 8.687 1.262 3.316 8.919 9.244 8.540 4.061
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.251 3.294 5.571 6.768 4.915 7.147 6.736 9.063 6.795 13.27 4.561
[2,] 6.395 3.300 5.999 7.168 4.971 7.620 7.626 9.444 7.392 13.27 4.607
[3,] 6.605 3.326 6.207 7.419 5.249 7.911 7.866 10.063 7.975 13.28 4.615
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.34 7.785 1.576 6.308 6.417 5.473 6.619 1.923 6.774 5.440 2.828
[2,] 18.29 7.909 1.589 7.352 7.950 5.917 7.596 1.973 7.512 5.441 2.914
[3,] 18.31 9.314 1.603 10.084 8.341 6.177 8.208 1.979 8.350 5.622 2.966
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.403 6.029 5.674 5.401 4.525 3.012 1.447 3.253 1.353 4.643 3.960
[2,] 8.255 7.130 6.509 5.401 5.144 3.069 1.456 3.277 1.353 4.747 4.868
[3,] 8.690 7.425 6.863 5.422 5.231 3.093 1.460 3.314 1.418 4.785 5.018
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.242 2.322 4.785 5.404 5.167 2.944 6.026 3.681 2.286 4.865 4.823
[2,] 3.436 2.400 5.075 5.523 5.183 2.963 6.873 3.746 2.386 5.699 5.282
[3,] 3.506 2.436 5.324 5.807 5.283 2.982 7.191 3.910 2.430 6.216 5.956
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.539 3.932 4.120 1.755 4.056 1.932 3.296 2.898 4.121 4.193 2.311
[2,] 5.078 4.455 4.123 1.755 4.878 1.944 3.390 2.976 4.919 5.506 2.400
[3,] 5.887 5.654 4.177 1.756 5.382 1.989 3.649 3.032 5.230 5.670 2.454
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.549 2.747 4.053 1.917 6.353 4.671 5.215 5.792 6.037 5.829 5.108
[2,] 5.164 2.757 4.961 1.920 6.396 5.449 5.335 6.904 6.461 7.056 5.794
[3,] 5.250 2.779 5.326 1.924 6.569 5.468 5.517 6.912 6.636 7.206 7.107
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.041 5.103 4.096 5.171 2.850 2.429 1.530 4.520 2.920 8.474 7.512
[2,] 1.061 5.806 4.231 5.907 2.906 2.470 1.530 4.835 2.951 8.487 7.575
[3,] 1.062 6.913 4.282 6.696 2.980 2.604 1.533 4.935 2.970 8.488 8.607
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.449 3.345 3.416 3.556 3.732 1.829 0.6790 11.50 16.04 6.421
[2,] 3.712 4.036 3.964 3.846 3.782 1.830 0.7183 13.25 17.77 6.780
[3,] 3.717 4.502 4.286 4.110 3.963 1.830 0.7604 14.60 17.96 8.885
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.758 3.354 12.88 9.108 8.724 1.56 3.803 10.69 10.97
[2,] 101.054 73.432 122.75 913.153 1181.926 43.67 201.918 561.70 351.41
[3,] 226.923 12.379 386.13 598.641 603.184 57.54 292.425 477.87 739.86
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.782 4.265 7.938 4.183 7.074 8.594 6.241 9.076
[2,] 1457.071 545.437 337.496 48.790 555.953 589.808 186.498 659.722
[3,] 283.821 165.133 412.309 104.144 397.374 477.022 420.265 529.897
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.554 11.51 8.629 16.85 5.792 16.93 9.886 2.001 8.01
[2,] 891.973 662.93 726.280 67.49 161.519 3123.69 347.692 51.419 942.71
[3,] 481.223 866.98 746.913 73.14 69.239 216.72 1228.071 53.086 1722.68
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.148 6.95 8.405 2.442 8.602 6.908 3.591 9.4 7.656
[2,] 1171.295 561.09 930.343 110.011 810.274 28.988 176.217 911.8 950.283
[3,] 630.693 442.44 776.063 37.161 909.828 353.350 137.744 677.9 516.737
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.205 6.859 5.746 3.825 1.837 4.13 1.718 5.896 5.028
[2,] 796.052 6.285 610.288 146.279 42.069 100.40 6.396 246.391 706.678
[3,] 543.214 119.068 237.828 97.555 26.634 122.40 105.571 150.688 304.442
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 4.117 2.949 6.076 6.862 6.562 3.739 7.651 4.675
[2,] 283.924 151.014 422.302 284.955 101.019 82.487 825.033 173.460
[3,] 174.644 105.304 401.408 447.837 255.240 84.424 527.790 279.162
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.903 6.178 6.124 5.764 4.994 5.231 2.228 5.151
[2,] 170.272 740.947 537.564 568.105 522.373 42.089 3.671 676.368
[3,] 115.005 619.334 687.229 743.344 869.196 167.260 19.299 567.737
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.453 4.185 3.68 5.233 5.324 2.934 5.776 3.488 5.147
[2,] 54.481 198.314 169.51 670.460 890.738 161.998 610.013 58.440 713.875
[3,] 104.924 336.861 144.92 443.205 338.226 128.153 236.308 87.282 484.084
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.434 8.068 5.931 6.622 7.354 7.666 7.402 6.486
[2,] 27.420 183.422 700.147 281.548 938.096 574.356 992.372 682.708
[3,] 32.028 374.732 114.650 350.651 81.955 378.382 364.808 1027.342
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.322 6.48 5.201 6.567 3.619 3.084 1.943 5.739 3.707
[2,] 51.252 691.63 264.454 712.667 140.900 112.276 4.318 428.695 107.431
[3,] 10.185 936.44 164.171 787.127 164.849 205.997 26.214 246.985 83.002
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 10.76 9.539 4.38 4.248 4.337 4.516 4.739 2.322 0.8622
[2,] 117.05 241.976 342.18 563.623 502.222 365.467 152.237 15.220 58.4980
[3,] 22.62 1020.212 48.73 498.154 406.924 361.988 295.942 7.089 62.2991
[,96] [,97] [,98]
[1,] 14.6 20.37 8.154
[2,] 1642.8 1908.50 543.245
[3,] 1531.8 655.23 1433.237
[1] "--- VAR model 2017-10-06 01:31:00 completed"
[1] "Completed training sample: 2017-10-06 01:31:00 - 2017-10-06 09:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 02:01:00 - 2017-10-06 10:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2084 -0.28536 -2.376 -0.9762
-0.2217 -0.10587 -1.288 -2.1051
-0.0416 -0.09972 -0.163 1.5593
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
5.703 1.4929 1.5849 1.470
-2.562 0.9596 0.9854 3.716
-4.590 0.8161 1.2602 1.155
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.040 0.9750 -0.2612 -13.84
2.390 0.4569 1.1039 -17.67
1.924 2.5291 0.6627 -16.43
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.410 -0.1069 -0.6804 3.1138
-5.745 -0.6630 1.1659 0.7381
-5.078 -0.4787 0.2495 1.2654
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.6647 -3.0974 10.404 11.662
-0.4295 1.0632 8.886 5.656
1.7287 0.4332 7.955 8.926
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.4815 0.69719 4.328 -3.7083
0.5258 0.24580 -1.074 0.9299
-0.2082 -0.03436 -1.895 -1.7927
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.2117 -3.460 -3.6359 -0.3643
0.9474 3.120 -0.4622 -0.7941
0.1346 -2.194 1.6047 -0.2170
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.3783 -0.6110 8.3206 0.05524
-1.9454 -0.4799 -1.7711 -3.15133
1.4258 -0.4627 -0.3432 0.03646
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.7052 9.4027 4.157 5.088
0.7831 -0.6396 1.368 8.275
-0.4780 -1.4641 -4.257 -1.252
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.4888 0.2717 0.21982 0.9995
0.2365 -1.6809 0.16902 1.5077
-0.2034 -5.2712 0.04548 0.4639
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.002533 -0.2338 1.049 -6.952
-0.042263 -0.4729 1.702 -4.353
-0.471259 -0.2949 1.332 -3.244
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.596 -0.1074 -2.2562 3.6050
2.956 1.4286 -2.4759 1.1371
2.046 1.2590 -0.7203 0.8575
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.6110 -0.1154 0.5128 0.5840
-0.7845 0.1941 -2.6798 -1.3337
-0.2675 0.1524 3.8716 -0.9434
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.4805 15.629 7.766 -8.90
-0.4329 -2.227 4.706 13.68
0.1853 -2.462 -2.087 -1.18
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.8583 -2.3652 0.05797 -8.589
14.0757 -0.7375 0.09773 -11.016
-0.9251 -0.4808 -0.21803 13.428
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.907 -4.632 -0.14990 5.332
-4.491 -6.286 0.05787 -4.729
-4.443 6.592 0.03995 -5.463
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.878 -0.4344 0.1334 -0.05241
-4.981 1.6135 -0.2996 -0.55279
-6.303 -1.2787 -6.2663 -0.26250
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.320 -0.4044 -0.54429 0.2057
3.141 -0.3604 -0.35890 -0.3808
-4.445 0.3434 -0.04018 -0.2630
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.317 0.7743 5.7992 -2.5790
3.565 -0.5242 0.4633 0.5695
2.324 -0.2183 6.1938 0.3607
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.19592 0.6279 2.5795 0.2022
-0.39794 0.0603 -2.5895 0.1901
0.03189 0.1718 0.5376 0.3492
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.5021 -2.796 0.2229 0.1295
-2.1917 -1.981 1.8851 -0.1802
0.8564 -1.696 -0.6538 -0.3625
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.805 -1.1124 -1.7361 -1.897
1.838 0.5929 1.1102 1.737
-3.595 0.1191 0.6195 -3.243
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2499 4.0283 3.2774 2.5097
-0.3707 0.1009 0.4124 0.2989
0.5984 -0.4270 -0.4522 -0.4383
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.907 0.07754 -7.275 0.06929
-4.838 0.11437 -7.586 0.78740
3.052 -0.07608 -7.382 -0.96074
rnd_95776.volume rnd_95787.volume
-7.019 -2.763
9.167 2.852
2.924 -2.348
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.552 2.768 10.70 7.276 6.995 1.312 3.064 8.619 8.914 6.390 3.487
[2,] 5.563 2.782 10.70 8.213 8.542 1.322 3.172 8.885 9.015 8.794 4.113
[3,] 5.615 2.782 10.81 8.600 8.957 1.340 3.405 9.077 9.471 8.870 4.174
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.440 3.441 5.794 6.978 5.104 7.493 6.996 10.85 7.413 14.14 4.952
[2,] 6.564 3.441 6.248 7.369 5.173 7.985 8.005 11.44 8.037 14.15 5.013
[3,] 6.760 3.465 6.420 7.610 5.438 8.234 8.240 12.19 8.576 14.17 5.038
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.73 7.837 1.729 6.758 6.749 5.632 6.853 2.008 6.942 5.740 2.937
[2,] 19.93 8.399 1.738 7.991 8.628 6.051 7.951 2.039 7.806 5.740 2.998
[3,] 19.95 9.644 1.745 11.156 9.157 6.307 8.819 2.047 8.741 5.935 3.034
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.463 6.412 5.928 5.777 4.772 3.252 1.597 3.599 1.413 4.894 4.159
[2,] 8.299 7.571 6.863 5.777 5.448 3.292 1.606 3.623 1.413 4.997 5.223
[3,] 8.844 7.916 7.303 5.819 5.502 3.311 1.621 3.669 1.481 5.071 5.411
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.463 2.447 5.238 5.557 5.518 3.127 6.726 3.79 2.322 5.004 5.048
[2,] 3.647 2.534 5.608 5.675 5.568 3.134 7.056 3.84 2.454 5.982 5.575
[3,] 3.724 2.586 5.885 5.993 5.660 3.158 7.592 4.01 2.510 6.521 5.903
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.736 4.275 4.564 1.809 4.331 1.996 3.554 3.363 4.394 4.612 2.375
[2,] 5.295 4.922 4.573 1.810 5.127 2.010 3.639 3.366 5.202 6.113 2.460
[3,] 5.993 6.146 4.665 1.813 5.739 2.048 3.992 3.394 5.432 6.191 2.549
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.090 2.892 4.310 2.014 6.681 4.796 5.713 6.162 6.601 6.106 5.383
[2,] 5.599 2.903 5.358 2.024 6.712 5.713 5.837 7.425 6.965 7.310 6.226
[3,] 5.677 2.925 5.753 2.032 6.850 5.723 6.011 7.433 7.177 7.501 7.552
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.128 5.345 4.325 5.574 2.973 2.691 1.670 4.708 3.107 8.927 8.056
[2,] 1.146 6.198 4.468 6.363 3.024 2.701 1.670 5.005 3.137 8.948 8.093
[3,] 1.146 7.316 4.521 7.236 3.097 2.795 1.672 5.131 3.164 8.953 9.186
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.541 3.447 3.498 3.616 3.852 1.999 0.7227 11.23 14.52 7.116
[2,] 3.807 4.176 4.067 3.947 3.879 2.000 0.7617 12.94 18.99 7.448
[3,] 3.812 4.614 4.391 4.206 4.070 2.002 0.8071 14.29 19.73 9.984
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.05 3.516 13.59 9.239 8.882 1.666 3.891 10.95 11.32
[2,] 74.57 58.282 51.96 820.367 1055.301 35.286 177.058 464.53 289.14
[3,] 164.17 3.011 332.68 548.743 579.914 47.239 266.042 399.73 624.91
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.114 4.428 8.178 4.370 7.357 8.861 6.481 9.514
[2,] 1300.361 469.320 273.578 5.645 503.686 510.042 180.806 594.385
[3,] 250.693 152.904 347.653 87.505 317.350 408.964 361.224 432.399
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.883 13.78 9.414 17.96 6.288 18.71 9.952 2.195
[2,] 837.499 780.00 668.431 89.02 168.365 2887.68 650.436 38.424
[3,] 420.556 903.19 643.545 181.97 107.064 195.13 1020.166 35.078
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.581 8.57 7.152 8.703 2.55 8.816 7.289 3.729
[2,] 918.035 1157.03 475.951 867.858 76.42 768.351 7.063 130.286
[3,] 1675.418 659.90 383.250 820.966 38.36 846.215 324.476 99.857
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 9.476 8.142 7.528 7.336 6.059 4.129 2.029 4.57 1.794
[2,] 781.329 866.563 744.193 10.760 565.673 110.534 34.958 90.35 6.956
[3,] 657.906 497.340 537.512 150.035 166.250 77.357 47.680 124.74 95.720
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.214 5.281 4.397 3.108 6.651 7.056 7.007 3.971
[2,] 217.631 680.078 246.374 141.914 431.372 248.327 160.163 44.460
[3,] 186.354 304.381 162.134 110.460 383.823 414.351 218.853 85.032
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 8.541 4.813 2.949 6.354 6.41 6.014 5.428 5.795 2.298
[2,] 458.717 132.878 170.691 705.690 509.38 509.427 525.277 61.551 5.255
[3,] 603.364 249.010 113.835 558.749 417.80 604.198 791.964 199.036 22.359
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 5.5 2.535 4.513 4.27 5.58 5.857 3.016 6.463 3.673
[2,] 590.4 51.330 168.062 29.76 599.15 863.636 137.819 502.184 55.171
[3,] 555.3 84.766 353.378 93.91 336.46 209.891 143.863 201.746 75.590
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.473 2.557 8.484 6.09 7.255 7.825 8.382 7.753 6.836
[2,] 685.168 43.866 139.529 668.18 257.746 891.518 478.668 865.096 673.135
[3,] 451.115 39.113 294.583 75.70 309.126 73.667 372.544 361.824 920.028
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.432 6.787 5.492 7.078 3.775 3.417 2.121 5.978 3.945
[2,] 43.875 675.571 241.901 660.672 119.409 49.965 4.889 365.426 93.353
[3,] 1.867 836.626 148.285 741.609 143.360 155.075 18.006 243.487 89.361
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 11.34 10.23 4.497 4.377 4.441 4.592 4.892 2.539 0.9178
[2,] 131.69 167.36 300.885 507.280 446.873 340.300 96.884 8.833 51.7983
[3,] 65.16 935.40 42.465 422.473 356.028 312.983 265.278 19.753 57.4266
[,96] [,97] [,98]
[1,] 14.26 18.44 9.036
[2,] 1384.21 2632.17 473.322
[3,] 1305.06 1152.66 1430.929
[1] "--- VAR model 2017-10-06 02:01:00 completed"
[1] "Completed training sample: 2017-10-06 02:01:00 - 2017-10-06 10:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 02:31:00 - 2017-10-06 10:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.1436 0.3627 0.2068 -0.3062
0.9521 0.1705 -2.0533 8.0748
0.6007 0.1814 -2.3749 -6.0541
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.4631 0.27649 2.415 0.5242
-1.0015 -0.05090 2.120 -0.8545
5.2309 -0.07037 1.650 0.3770
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6976 4.1487 -1.343 -16.05
-1.1256 -1.4486 -0.505 -17.79
-1.1125 -0.2327 -0.202 -19.81
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.774 -1.257 -0.6165 0.2041
-3.643 2.325 2.5228 2.8300
-3.087 -0.387 0.7249 1.9618
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.907 4.589 8.770 9.71
3.448 1.899 7.642 13.82
6.765 2.494 6.499 12.50
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.12864 -0.23128 -12.552 -1.108
0.03712 -0.07866 -3.650 -8.115
0.09384 -0.03858 4.211 4.156
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.19804 12.4340 11.450 -1.4292
-0.12248 -11.0145 0.321 -1.6238
0.01397 -0.6288 -5.556 -0.6757
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.872 0.9501 -1.6877 -1.5405
9.775 0.6240 9.2513 -2.5614
-4.487 0.4903 -0.6253 -0.4208
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1547 1.4980 -3.702 -2.638
-0.5880 0.7099 -3.217 -2.502
1.4584 6.4272 4.402 4.211
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7483 1.4690 -0.2153 0.4439
-1.1068 -0.1907 -0.7251 0.1150
-1.5901 0.2579 -0.1166 0.3348
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.7873 -0.63896 2.0474 3.103
0.5455 0.34120 -0.7299 -5.859
0.4104 -0.05194 -0.3227 -8.916
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.857 1.073 3.800 -2.75512
3.005 1.208 1.635 1.69095
3.507 1.061 -2.553 0.07561
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.7191 0.9227 -2.581 3.624
-0.6406 -0.6164 4.762 5.577
0.3857 -0.2664 4.133 5.540
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.9177 2.926 1.997 2.2540
0.5981 -1.558 -3.548 0.4216
0.9067 2.614 3.161 -1.0542
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.278 0.6590 -0.05981 1.3542
2.873 1.3282 0.37583 0.7075
-3.400 0.3372 -0.28520 2.0724
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.511 0.3794 -0.5699 -1.541
-1.702 0.8497 0.3634 2.042
-1.888 1.9165 0.6754 0.747
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.3861 0.32918 -2.6008 -0.6682
0.1366 0.19521 3.6563 -0.4992
1.0034 0.04129 -0.5279 -0.3203
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.255964 0.55288 1.814 3.434
1.785282 -0.16012 3.653 1.117
0.002903 -0.06078 2.042 1.996
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.718 3.3691 -0.2455 6.329
-1.813 0.8725 -1.8434 2.568
1.117 1.7536 -3.8969 1.401
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.859 0.61334 3.343 4.834
4.172 0.09342 6.658 3.417
1.308 0.27933 2.282 2.705
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.164 2.786 0.2674 -0.1356
7.245 2.458 -0.9056 0.2333
2.346 2.411 0.5146 0.2077
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.0154 0.53715 1.6882 -3.0920
0.5478 -0.30382 -1.2427 9.3834
0.6282 0.01434 -0.2819 0.9098
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6679 -0.936406 -0.9500 -0.63592
-0.2282 1.604705 1.0329 1.11418
0.3282 0.004512 0.1164 0.04318
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2172 0.09036 -7.715 2.270
0.1578 -0.11817 -7.808 2.220
1.2574 0.02057 -8.126 3.161
rnd_95776.volume rnd_95787.volume
9.105 6.4530
5.181 -9.9307
6.238 0.9125
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.722 2.960 10.90 7.602 7.213 1.394 3.304 8.929 9.335 6.628 3.725
[2,] 5.728 2.968 10.91 8.568 8.841 1.400 3.465 9.188 9.454 9.080 4.380
[3,] 5.793 2.969 11.03 8.990 9.326 1.419 3.615 9.365 9.844 9.149 4.437
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.663 3.604 6.042 7.162 5.607 7.783 7.181 11.12 7.654 14.52 5.146
[2,] 6.828 3.605 6.552 7.585 5.680 8.319 8.291 11.70 8.295 14.52 5.233
[3,] 7.010 3.625 6.738 7.861 5.925 8.598 8.542 12.44 8.862 14.53 5.245
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.51 8.052 1.846 6.859 6.960 5.889 7.003 2.046 7.113 6.079 3.013
[2,] 20.73 8.657 1.853 8.162 8.912 6.310 8.179 2.072 8.010 6.080 3.081
[3,] 20.74 9.970 1.857 11.463 9.418 6.552 9.044 2.083 9.038 6.237 3.125
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.736 6.654 6.071 6.012 4.879 3.395 1.696 3.733 1.461 5.046 4.346
[2,] 8.725 7.859 7.058 6.012 5.567 3.428 1.703 3.754 1.462 5.163 5.427
[3,] 9.320 8.264 7.575 6.048 5.613 3.442 1.715 3.797 1.537 5.249 5.604
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.692 2.507 5.415 5.710 5.806 3.361 7.224 3.910 2.396 5.326 5.460
[2,] 3.884 2.590 5.786 5.820 5.910 3.371 7.684 3.967 2.531 6.364 5.928
[3,] 3.969 2.653 6.076 6.112 6.031 3.394 8.031 4.169 2.598 6.977 6.319
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.917 4.666 4.811 1.899 4.925 2.135 3.756 3.541 4.579 4.774 2.526
[2,] 5.485 5.545 4.818 1.899 5.340 2.164 3.847 3.548 5.459 6.359 2.635
[3,] 6.262 6.612 4.928 1.902 5.967 2.310 4.172 3.568 5.667 6.444 2.708
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.619 3.204 4.594 2.131 6.867 5.040 6.038 6.433 7.112 6.443 5.551
[2,] 5.861 3.208 5.614 2.136 6.905 6.039 6.145 7.763 7.426 7.693 6.460
[3,] 5.911 3.220 6.081 2.142 7.034 6.052 6.343 7.773 7.739 7.875 7.853
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.208 5.497 4.526 6.048 3.114 2.843 1.802 4.792 3.407 9.335 8.681
[2,] 1.228 6.539 4.653 6.875 3.168 2.849 1.803 5.085 3.436 9.356 8.717
[3,] 1.228 7.701 4.720 7.782 3.244 2.957 1.803 5.265 3.446 9.360 9.996
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.645 3.506 3.554 3.721 4.020 2.099 0.7477 11.00 15.12 7.337
[2,] 3.904 4.289 4.148 4.067 4.039 2.102 0.7881 12.68 19.70 7.648
[3,] 3.910 4.719 4.461 4.316 4.205 2.103 0.8382 14.05 20.46 10.319
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.266 3.759 13.85 9.653 9.159 1.77 4.196 11.34 11.85
[2,] 50.666 42.266 62.72 769.440 995.126 26.70 202.949 421.60 290.61
[3,] 168.472 18.086 323.80 529.813 578.365 45.00 201.189 353.81 534.23
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.417 4.731 8.461 4.577 7.672 9.095 7.12 9.883
[2,] 1207.943 448.513 289.990 15.351 493.688 486.274 176.63 572.019
[3,] 218.862 137.337 308.881 73.518 306.239 401.973 327.93 423.345
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.119 14.13 9.72 18.44 6.535 19.7 10.22 2.344 8.71
[2,] 806.579 703.54 622.31 26.32 184.410 2676.8 619.03 32.454 861.39
[3,] 400.605 825.11 607.21 117.49 70.277 131.4 962.79 21.798 1566.85
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 8.838 7.478 8.893 2.599 9.032 7.720 3.826 9.824
[2,] 1083.663 441.280 822.568 63.629 716.909 9.451 125.163 785.100
[3,] 592.858 343.378 751.273 41.179 815.092 271.355 101.521 638.078
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 8.449 7.71 7.634 6.195 4.312 2.154 4.74 1.856 6.408
[2,] 814.244 700.43 10.493 522.080 92.408 29.313 78.29 6.529 212.974
[3,] 497.475 535.55 129.076 139.331 59.837 39.481 110.07 92.643 184.098
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 5.518 4.688 3.184 6.876 7.25 7.373 4.269 9.173 4.965
[2,] 632.971 234.516 126.206 397.086 219.33 215.423 50.047 509.671 131.099
[3,] 272.003 159.559 112.495 361.060 363.58 233.672 77.183 454.566 249.710
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.043 6.763 6.933 6.244 5.925 6.11 2.412 6.254 2.711
[2,] 158.397 678.186 449.345 473.085 583.284 50.26 1.924 402.080 69.166
[3,] 114.568 556.713 426.037 588.115 701.126 201.27 20.352 518.094 157.134
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.769 4.497 5.814 6.062 3.208 7.135 4.069 5.833 2.706
[2,] 162.265 42.633 578.638 817.714 145.439 324.670 31.854 628.119 28.044
[3,] 314.357 74.005 296.375 202.766 121.696 150.012 53.384 455.232 31.831
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 8.72 6.40 7.668 8.168 9.031 8.181 7.049 1.534 6.98
[2,] 141.08 647.52 221.990 846.130 416.069 818.418 643.242 42.717 689.42
[3,] 260.85 78.48 306.339 74.366 424.367 327.288 869.362 4.934 791.75
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.747 7.68 3.955 3.61 2.288 6.085 4.326 11.85 11.02
[2,] 210.904 636.33 112.682 38.62 8.212 331.326 86.436 122.86 155.14
[3,] 154.162 709.64 136.170 153.72 1.809 266.045 51.216 52.04 952.50
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.629 4.453 4.513 4.725 5.105 2.666 0.9494 13.97
[2,] 271.860 480.756 416.302 319.557 76.164 21.365 48.5418 1224.49
[3,] 43.502 383.410 319.794 281.076 228.042 10.739 55.5711 1182.12
[,97] [,98]
[1,] 19.21 9.317
[2,] 2458.57 419.947
[3,] 1070.77 1348.610
[1] "--- VAR model 2017-10-06 02:31:00 completed"
[1] "Completed training sample: 2017-10-06 02:31:00 - 2017-10-06 10:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 03:01:00 - 2017-10-06 11:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3571 -0.18104 -0.4722 -9.618
-0.2316 -0.06429 -1.9308 -3.428
-0.3837 -0.03090 -1.6323 -9.917
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-20.510 -0.35476 3.139 1.3770
-12.019 0.05652 3.095 5.2392
-7.099 0.65484 3.574 0.8314
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.428 -5.086 0.2125 -17.02
3.467 3.494 0.9366 -14.03
1.585 2.832 0.8025 -13.14
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.000 1.7584 0.8184 1.623
-3.699 -1.6058 -5.0780 1.125
-5.118 0.3771 -3.2721 1.530
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.7200 -3.333 2.4703 2.888
-0.6912 -1.761 -1.5701 -2.355
-1.3752 -1.326 -0.5653 -1.143
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.4033 1.1810 -19.9403 -2.98020
0.1560 0.2971 -1.4729 -7.02848
-0.1436 0.1902 -0.3973 0.08255
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.61552 1.88304 -2.026 3.596
-0.08331 -12.09431 -4.396 2.730
0.10657 0.05241 -6.524 1.352
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.626 1.0788 -14.059 -0.6058
-1.504 0.8501 -2.540 0.2155
-7.754 1.0175 -5.887 -0.1261
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.186 -17.209 -20.932 -11.014
-2.139 -6.816 -9.946 -14.695
-1.205 -2.362 -3.310 -4.341
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.1289 8.4908 0.5846 -0.11064
-1.4200 0.3108 2.1983 -0.28044
-1.4668 -3.4575 1.1369 -0.02912
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.0057 0.42764 -1.328 -11.259
0.9082 0.61711 -4.396 -8.373
-0.3532 -0.01897 -3.972 -10.609
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.06386 1.6698 -9.105 -2.8251
2.02625 0.2835 -5.439 1.0748
1.06786 0.1011 -6.486 0.0436
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.430 0.2324 -1.5572 9.152
3.846 -0.6787 -3.0554 8.492
1.346 -0.1928 -0.8944 7.662
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.10556 5.55789 -2.2732 -14.2724
-0.09651 -0.01051 0.6889 5.6012
-0.80293 -6.28768 -1.9221 -0.6697
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.4710 -1.65263 -0.15597 5.348
4.1036 0.61071 -0.02584 -12.616
-0.4303 0.02229 0.07930 6.280
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.030 3.557 0.17928 2.928
-3.622 -5.841 -0.09880 2.527
-3.950 2.566 0.06986 -6.528
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.9454 -0.99773 -0.2541 -1.4386
4.0153 0.07694 -0.2619 -1.6647
-6.4884 0.48165 -4.4719 -0.7744
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.7735 -0.0204 0.48354 0.003946
0.7015 -0.2331 -1.57390 0.478201
1.1994 0.1579 -0.08475 -0.809857
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.6012 -4.4354 -2.1070 -1.7115
0.6894 1.1645 -1.4912 -0.6556
2.0369 -0.7955 -0.8148 1.6113
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.547 -0.37885 5.4225 -2.192
-5.103 0.16171 -0.1454 -1.876
1.028 -0.04438 -0.5950 -1.130
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.208 -0.2284 -2.2851 -0.51734
1.494 -0.7026 0.7140 -0.15746
-2.246 -0.1753 -0.1491 -0.06375
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.0934 -0.6158 3.1467 -11.5687
2.4275 0.1782 1.8801 -0.4848
-0.3474 -0.1055 0.5819 -6.2842
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1924 -2.7938 -2.2348 -1.76200
0.2238 0.3410 0.1237 0.34194
-0.5295 0.2086 0.1580 -0.03745
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.267 -0.18156 -8.286 -1.571
-3.755 0.11781 -8.275 -3.380
1.647 -0.00338 -7.879 -3.869
rnd_95776.volume rnd_95787.volume
2.356 -0.1680
-22.034 -10.7285
2.091 -0.3339
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.810 3.116 11.80 7.919 7.595 1.472 3.400 9.389 9.786 6.826 3.812
[2,] 5.816 3.121 11.80 8.915 9.342 1.478 3.561 9.615 9.882 9.299 4.529
[3,] 5.876 3.122 11.88 9.373 9.850 1.506 3.704 9.782 10.274 9.372 4.575
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.274 3.671 6.157 7.057 6.261 8.057 7.383 11.37 7.857 15.10 5.235
[2,] 7.714 3.674 6.735 7.555 6.348 8.647 8.518 11.92 8.506 15.10 5.325
[3,] 8.192 3.697 6.931 7.994 6.521 9.021 8.782 12.67 9.071 15.12 5.332
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.41 8.492 1.926 7.037 7.143 6.122 7.246 2.112 6.844 6.334 3.105
[2,] 21.64 9.118 1.933 8.507 9.206 6.513 8.415 2.143 8.223 6.336 3.174
[3,] 21.65 10.354 1.935 11.739 9.749 6.737 9.419 2.151 9.344 6.464 3.223
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.966 6.847 6.240 6.184 5.247 3.844 1.869 3.863 1.721 5.264 4.510
[2,] 9.019 8.093 7.355 6.185 5.872 3.856 1.872 3.873 1.724 5.412 5.674
[3,] 9.640 8.531 8.054 6.216 5.929 3.881 1.887 3.920 1.725 5.504 5.837
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.825 2.666 5.574 5.945 6.194 3.502 7.571 4.115 2.528 5.568 5.629
[2,] 4.012 2.819 5.975 6.084 6.358 3.513 8.033 4.193 2.671 6.580 6.127
[3,] 4.128 2.835 6.280 6.404 6.520 3.532 8.405 4.417 2.734 7.273 6.632
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.008 4.831 4.988 1.953 5.034 2.196 3.852 3.702 4.690 4.912 2.616
[2,] 5.634 5.868 4.991 1.953 5.460 2.235 3.947 3.705 5.620 6.575 2.727
[3,] 6.611 6.950 5.082 1.956 6.191 2.378 4.313 3.729 5.823 6.662 2.803
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.936 3.418 4.857 2.193 7.047 5.312 6.434 6.697 7.452 6.694 5.744
[2,] 6.179 3.424 5.759 2.197 7.086 6.360 6.508 8.073 7.698 8.023 6.723
[3,] 6.223 3.433 6.299 2.202 7.197 6.369 6.708 8.085 8.062 8.222 8.157
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.347 5.669 4.635 6.237 3.179 3.004 1.922 4.992 3.868 9.637 9.271
[2,] 1.362 6.796 4.778 7.054 3.238 3.013 1.923 5.311 3.883 9.664 9.309
[3,] 1.362 7.983 4.838 7.961 3.306 3.130 1.924 5.500 3.887 9.669 10.737
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.715 3.568 3.642 3.840 4.177 2.368 0.7728 10.73 17.50 7.696
[2,] 3.980 4.376 4.272 4.211 4.203 2.386 0.8047 12.36 20.84 8.034
[3,] 3.988 4.802 4.576 4.441 4.420 2.388 0.8589 13.66 21.42 10.732
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.378 3.956 14.98 10.06 9.644 1.87 4.318 11.92 12.43
[2,] 41.389 29.927 70.88 668.07 887.439 20.95 172.389 338.19 224.46
[3,] 137.279 15.186 221.46 472.14 509.728 47.10 166.378 294.01 458.62
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.668 4.84 9.237 4.662 7.818 8.961 7.951 10.23 9.375
[2,] 1030.131 398.92 418.661 23.343 445.427 440.247 170.370 512.01 692.893
[3,] 191.357 105.49 450.106 67.277 266.859 426.491 243.794 419.46 348.713
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.44 9.978 19.18 6.648 20.84 10.78 2.446 8.936 9.07
[2,] 582.77 531.347 26.75 158.719 2302.38 541.72 27.634 779.679 947.53
[3,] 700.22 514.337 105.35 45.208 87.02 800.55 12.752 1319.809 523.23
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.774 9.201 2.682 8.691 8.043 3.943 10.12 8.695 7.923
[2,] 362.322 698.171 59.227 743.509 29.691 107.449 690.02 703.935 635.280
[3,] 281.365 690.226 28.730 724.232 208.255 91.261 555.54 440.348 535.377
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 7.852 6.662 4.881 2.374 4.905 2.185 6.685 5.728 4.857
[2,] 16.564 430.331 51.162 16.863 45.088 15.938 204.956 561.454 197.276
[3,] 102.906 134.074 70.784 38.752 99.618 11.746 163.759 223.769 158.914
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.386 7.078 7.55 7.865 4.448 9.614 5.225 3.21 7.071
[2,] 149.536 350.956 211.01 234.587 44.930 438.091 131.305 140.85 571.812
[3,] 48.986 315.449 326.15 235.388 60.109 403.298 226.711 94.86 505.732
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.148 6.359 6.135 6.334 2.480 6.393 2.789 4.892 4.701
[2,] 394.813 421.097 543.344 30.311 1.987 344.666 68.195 140.573 26.631
[3,] 414.010 564.340 607.629 156.288 18.292 476.109 132.108 283.392 68.677
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.956 6.237 3.321 7.538 4.341 6.168 2.785 8.948 6.745
[2,] 505.180 713.034 125.684 279.580 31.911 504.683 22.259 121.438 570.562
[3,] 248.642 175.682 106.185 121.535 41.139 416.416 24.701 206.044 55.204
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.17 8.504 9.463 8.5 7.294 1.710 7.199 5.886 7.921
[2,] 159.57 735.689 315.004 721.6 569.867 32.729 611.362 189.155 537.376
[3,] 265.92 70.900 390.732 293.3 753.628 3.809 683.270 124.162 602.166
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.037 3.814 2.440 6.339 4.912 12.24 11.77 4.718 4.53
[2,] 100.366 38.598 11.697 295.638 56.530 117.96 138.00 232.813 413.41
[3,] 109.036 138.141 8.876 233.327 28.975 49.28 872.95 40.483 322.70
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.625 4.876 5.304 3.008 0.9813 13.62 22.22 9.773
[2,] 364.300 282.179 76.902 46.694 36.6364 1000.87 1847.83 376.406
[3,] 267.548 230.059 223.201 17.601 49.0037 951.48 805.38 1160.854
[1] "--- VAR model 2017-10-06 03:01:00 completed"
[1] "Completed training sample: 2017-10-06 03:01:00 - 2017-10-06 11:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 03:31:00 - 2017-10-06 11:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.9174 -0.22013 1.33724 13.1798
0.1760 0.19747 -0.20804 2.5304
-0.3207 0.06106 -0.03374 -0.7362
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.467 0.5544 -1.1053 8.857
10.326 0.6141 -0.7454 6.678
2.953 0.7386 -0.9453 6.115
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.5234 9.460 0.5176 -15.97
0.5918 5.756 1.7414 -14.58
0.1875 4.942 0.8328 -18.97
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.541 2.590 3.631 1.2941
-3.178 4.031 2.873 0.1590
-6.252 2.852 2.421 -0.6941
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.263 8.249 11.35 10.59
8.029 5.734 12.41 13.85
6.237 5.861 10.97 13.56
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3812 -0.7707 -5.202 -4.211
-0.0890 -0.2071 5.880 4.081
0.1099 -0.1455 3.470 2.064
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.151487 3.250 12.601 0.2194
-0.024069 -3.633 -1.836 -0.5377
0.008701 4.445 1.473 -0.1534
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
17.014 0.1806 12.176 -0.9241
5.829 -0.1592 10.793 -0.8143
-1.721 0.3115 -1.784 -0.1383
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.838 -2.607 -13.074 -6.9463
1.347 11.620 10.550 0.3461
1.175 2.139 6.406 10.3632
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5950 5.279 0.1423 -0.8442
1.4138 -1.172 1.0625 -1.0147
-0.2046 6.484 0.2413 -0.4583
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.0402 0.1641 -1.547 -8.039
-0.3508 0.2626 -3.090 -10.245
-0.6147 -0.0383 1.619 -7.775
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.390 0.7943 -0.2513 4.1691
5.215 1.6065 -2.2887 0.2042
4.858 1.2265 -4.1070 0.5464
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.118 -0.1284 15.4274 2.581
1.263 -0.9177 -0.5902 4.584
1.017 -0.3794 2.2889 4.610
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2288 10.6439 -4.163 -1.928
0.9707 7.3897 14.770 9.906
-0.2793 -0.1502 -1.341 5.362
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.785 -0.13288 -0.0300 -1.424
-2.097 -0.17889 0.1206 1.610
12.627 -0.08331 -0.0548 5.655
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.024 -1.8791 -0.6422 4.722
-6.511 4.1558 -0.2776 -1.574
-5.918 0.7576 -0.2567 3.964
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.1896 -0.4058 4.475 2.3573
-0.9706 0.3443 1.452 1.4453
2.2566 -0.1567 4.059 0.2771
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.6795 0.04622 -3.0063 -2.875445
2.7817 0.11078 -0.2466 -1.627689
-0.4517 -0.02903 -1.6352 -0.003244
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.226 -3.1891 -1.119 3.382
-1.433 -1.1644 -3.098 -3.779
-1.980 0.1445 -1.684 -2.008
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.018 0.4092 -11.767 0.38363
-1.929 -0.2161 2.410 -0.08602
-2.549 0.2710 -3.359 0.31882
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-16.946 -0.4886 -2.4719 -0.05691
4.450 -0.7526 3.7797 -0.00517
-5.004 0.6454 -0.4106 0.01396
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.473 0.10069 -1.7897 12.795
4.036 0.07074 -0.1065 1.781
1.333 0.09341 0.5378 6.852
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.1376 -1.7285 -1.7759 -1.4294
-1.1208 -1.3497 -1.2768 -0.8361
-0.5469 -0.9864 -0.9704 -0.7486
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.089 0.057658 -8.715 -2.287
4.892 0.001861 -9.287 -2.564
1.137 0.091407 -8.822 -2.471
rnd_95776.volume rnd_95787.volume
0.3745 0.7965
10.9504 -2.2263
8.7758 3.6382
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.103 3.439 12.13 8.396 7.883 1.587 3.466 9.523 9.98 6.988 3.931
[2,] 6.103 3.441 12.15 9.217 9.783 1.593 3.626 9.754 10.05 9.450 4.637
[3,] 6.177 3.446 12.22 9.734 10.275 1.621 3.769 9.926 10.48 9.526 4.683
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.893 3.753 6.301 7.158 6.278 8.166 7.590 11.62 8.098 15.45 5.408
[2,] 7.873 3.761 6.897 7.631 6.371 8.793 8.747 12.20 8.779 15.45 5.494
[3,] 8.468 3.785 7.091 8.151 6.549 9.143 9.008 12.95 9.342 15.47 5.502
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.10 9.043 2.026 7.389 7.383 6.304 7.529 2.213 7.154 6.513 3.230
[2,] 22.36 9.777 2.032 8.971 9.671 6.695 8.716 2.240 8.492 6.515 3.311
[3,] 22.36 10.904 2.033 12.050 10.173 6.920 9.834 2.250 9.737 6.665 3.376
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.122 7.259 6.522 6.451 5.416 4.048 1.978 4.104 1.846 5.453 4.658
[2,] 9.249 8.569 7.773 6.451 6.053 4.050 1.983 4.110 1.849 5.667 5.867
[3,] 9.862 9.023 8.557 6.495 6.105 4.073 1.996 4.145 1.850 5.774 6.061
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.128 2.720 5.847 6.128 6.650 3.728 7.882 4.362 2.666 5.859 5.950
[2,] 4.318 2.866 6.245 6.271 6.851 3.729 8.757 4.428 2.777 6.885 6.512
[3,] 4.479 2.881 6.487 6.629 7.062 3.791 9.000 4.691 2.827 7.784 7.170
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.391 5.038 5.195 2.003 5.348 2.264 4.122 3.995 4.885 5.061 2.715
[2,] 6.028 6.158 5.204 2.003 5.800 2.309 4.233 4.001 5.877 6.924 2.825
[3,] 6.953 7.271 5.282 2.004 6.600 2.460 4.632 4.022 6.090 7.032 2.909
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.976 3.663 5.077 2.235 7.273 5.499 6.611 6.851 7.649 6.946 5.986
[2,] 6.237 3.677 6.033 2.239 7.301 6.614 6.670 8.334 7.889 8.226 6.971
[3,] 6.392 3.711 6.709 2.244 7.407 6.619 6.883 8.352 8.269 8.499 8.495
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.460 5.847 4.716 6.489 3.290 3.140 2.142 5.555 4.136 10.07 9.671
[2,] 1.471 6.994 4.851 7.365 3.341 3.146 2.145 5.555 4.144 10.08 9.709
[3,] 1.471 8.176 4.907 8.218 3.407 3.260 2.145 5.938 4.145 10.08 11.071
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.797 3.622 3.688 3.939 4.337 2.678 0.7816 9.929 17.64 7.983
[2,] 4.048 4.458 4.342 4.335 4.372 2.698 0.8119 11.299 22.68 8.337
[3,] 4.055 4.865 4.622 4.521 4.586 2.698 0.8685 12.394 23.58 11.077
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.750 4.367 15.41 10.66 10.01 2.015 4.402 12.09 12.67
[2,] 6.104 15.294 77.38 532.95 811.98 20.700 148.969 295.53 168.04
[3,] 133.590 27.123 194.68 438.61 440.25 41.613 144.434 258.05 415.22
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 8.874 4.992 8.753 4.766 8.001 9.09 7.973 10.37 9.639
[2,] 891.345 344.624 533.202 33.798 393.143 370.70 151.564 456.98 609.299
[3,] 168.854 91.776 436.765 59.575 230.823 401.51 212.577 351.35 301.382
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.76 10.28 19.62 6.868 21.71 11.48 2.573 9.383 9.375
[2,] 518.50 475.06 28.25 135.859 2018.74 521.18 20.647 712.969 875.391
[3,] 608.88 447.84 93.20 40.973 52.84 676.43 9.160 1127.380 442.383
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.005 9.56 2.81 9.085 8.27 4.101 10.31 9.218 8.282
[2,] 316.008 615.32 49.23 641.284 25.51 102.222 620.02 638.096 592.522
[3,] 245.476 638.30 29.06 667.492 197.37 92.503 479.67 396.192 501.623
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.192 6.878 5.14 2.512 5.212 2.344 6.925 5.915 5.242
[2,] 8.915 378.761 18.34 19.531 30.777 13.575 216.295 499.995 177.536
[3,] 105.456 111.160 60.48 32.335 75.623 9.109 154.883 213.223 166.762
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.454 7.425 7.781 8.445 4.735 10.01 5.539 3.385 7.44
[2,] 126.859 307.560 186.964 231.088 8.092 534.47 107.487 108.979 506.91
[3,] 40.556 246.158 301.211 239.820 96.200 291.78 216.956 74.261 508.87
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.555 6.846 6.398 6.597 2.544 6.791 2.876 5.234 5.074
[2,] 371.117 377.887 496.177 42.171 2.947 314.500 62.926 135.418 28.815
[3,] 420.301 485.587 541.817 127.185 9.694 441.386 119.228 263.315 57.656
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.203 6.427 3.447 7.588 4.651 6.446 2.838 9.236 6.983
[2,] 458.006 662.167 109.625 250.468 45.160 456.779 19.197 89.532 515.064
[3,] 223.487 172.351 96.951 195.767 69.863 411.411 20.531 174.886 35.046
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.395 8.699 9.713 8.821 7.602 1.854 7.425 5.989
[2,] 125.012 665.182 270.813 617.391 500.472 25.117 537.747 159.025
[3,] 237.681 76.343 347.179 299.738 680.498 1.881 593.386 103.938
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 8.239 4.178 3.987 2.721 7.054 5.252 12.78 12.28 4.822
[2,] 488.394 81.628 28.418 15.084 12.135 37.803 79.26 120.75 196.538
[3,] 510.882 93.458 119.380 2.586 293.849 12.323 29.06 745.51 34.540
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.6 4.683 5.002 5.507 3.400 0.9925 12.61 22.39 10.14
[2,] 364.3 321.082 253.623 77.851 46.635 30.8242 755.61 1999.53 337.19
[3,] 273.0 222.108 180.028 194.012 2.965 43.1988 713.96 902.67 1021.91
[1] "--- VAR model 2017-10-06 03:31:00 completed"
[1] "Completed training sample: 2017-10-06 03:31:00 - 2017-10-06 11:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 04:01:00 - 2017-10-06 12:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.58345 0.20941 0.2334 4.131
0.15260 0.08672 -1.2210 10.150
-0.05908 0.01302 -1.7964 -5.229
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
8.153 1.491 2.605 1.454
4.787 1.372 1.652 1.261
8.481 2.013 2.003 1.249
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.9934 2.1408 0.96523 -21.51
-0.1302 -0.5746 -0.04508 -21.14
-0.5123 1.0319 0.47739 -23.42
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.402 -1.8444 -4.530 1.888
-3.433 -1.1268 -2.056 2.132
-5.378 -0.8346 -3.872 2.124
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.4709 -1.0408 10.404 12.73
-2.0526 0.3263 9.389 10.10
-2.2079 -0.9080 6.980 10.19
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.02244 -0.8357 -15.577 4.940
-0.24065 -0.1608 4.424 -7.692
0.15245 -0.1411 3.684 2.779
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.005042 12.557 6.117 1.0458
-0.284756 -12.555 2.741 0.7144
0.185435 2.635 -3.509 0.4835
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
10.519 0.27170 10.575 0.44900
8.704 -0.01616 7.298 -0.11384
-4.348 0.17323 1.582 0.09449
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.9784 10.217 4.640 6.442
1.2192 4.099 7.756 9.290
0.7191 7.488 6.356 4.750
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.430 -1.722 -0.5247 0.03996
-2.008 -2.258 0.8955 0.63539
-1.241 -4.971 -0.3496 0.37039
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.4622 0.005117 3.4731 -4.527
0.5461 -0.160139 -0.7953 -3.096
0.1715 -0.229233 2.2017 -8.120
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.229 0.3024 -6.851 -3.32580
3.579 -0.3848 -2.117 4.34572
3.764 -0.1869 -2.905 0.09364
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.393 0.5995 -0.731 5.725
-3.811 1.0518 -6.947 5.727
1.988 0.3917 -3.324 5.995
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.02885 1.434 -5.220 -11.2680
-0.68002 -3.131 2.107 4.6982
-0.92369 -7.582 -4.860 -0.9332
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.152 0.5088 0.28225 -0.3824
-3.458 -0.6110 -0.20084 -12.5100
2.274 -0.2304 0.05753 0.7481
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.249 -1.2180 -0.1381 -3.127
-4.647 -6.7330 -0.6039 -1.217
-4.596 -0.9355 -0.4038 -6.379
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.312 0.5835 1.6081 -1.4142
-1.272 -0.9264 0.1603 -1.1780
-6.587 -0.3270 -3.5970 -0.6134
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.3599 0.04726 2.437 -12.1140
-4.5010 0.25214 1.508 2.2297
-0.4258 0.01920 -3.478 0.8624
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.91024 -8.569 0.2451 5.542
0.02749 3.008 -2.7877 -6.547
-1.17025 -0.125 -1.4011 2.482
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.500 0.2406 -1.063 0.20376
-7.853 0.2126 5.265 0.09145
1.579 0.1729 -5.984 0.47603
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.249 -1.991 -1.2953 -0.006702
4.758 -1.445 2.2134 -0.068557
-6.037 -1.070 -0.8627 -0.018269
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3361 0.01142 1.888 -3.15160
-2.3723 0.08399 2.139 5.59865
-1.1951 -0.02512 2.565 -0.04374
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.0014 6.607 4.7798 3.9396
0.4166 -6.174 -4.3971 -3.9523
0.5085 1.139 0.2921 0.5935
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.569 0.02278 -9.497 1.2745
-4.497 -0.14281 -9.450 -0.3271
-1.924 0.06400 -10.038 -0.2295
rnd_95776.volume rnd_95787.volume
-16.05 9.992
-12.85 -9.392
15.02 1.637
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.323 3.636 12.32 8.579 8.095 1.755 3.545 9.600 10.20 7.131 4.074
[2,] 6.324 3.637 12.32 9.423 10.030 1.769 3.700 9.826 10.27 9.579 4.761
[3,] 6.397 3.642 12.41 9.891 10.534 1.789 3.857 9.999 10.69 9.653 4.807
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.679 3.893 6.495 7.227 6.363 8.414 7.726 11.79 8.325 15.75 5.491
[2,] 7.481 3.904 7.117 7.697 6.452 9.078 8.938 12.42 9.234 15.75 5.567
[3,] 7.839 3.939 7.300 8.244 6.639 9.445 9.204 13.18 9.777 15.76 5.575
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.52 9.186 2.124 7.527 7.625 6.772 7.628 2.288 7.309 6.802 3.331
[2,] 22.96 9.948 2.127 9.168 9.907 7.166 8.847 2.311 8.763 6.811 3.400
[3,] 22.97 11.077 2.127 12.308 10.412 7.339 10.032 2.326 9.976 6.940 3.474
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.341 7.575 6.649 6.705 5.636 4.344 2.080 4.433 1.949 5.617 4.873
[2,] 9.545 8.898 8.062 6.705 6.309 4.344 2.084 4.446 1.954 5.885 6.099
[3,] 10.168 9.422 8.924 6.757 6.364 4.353 2.094 4.466 1.955 6.010 6.282
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.307 3.019 6.117 6.469 7.226 3.873 8.101 4.549 2.664 6.124 6.222
[2,] 4.501 3.050 6.599 6.639 7.520 3.873 9.052 4.619 2.800 7.224 6.873
[3,] 4.660 3.073 6.894 7.011 7.808 3.924 9.283 4.907 2.867 8.268 7.635
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.654 5.195 5.424 2.085 5.684 2.338 4.402 4.203 5.056 5.300 2.795
[2,] 6.297 6.456 5.431 2.086 6.222 2.398 4.532 4.214 6.158 7.282 2.910
[3,] 7.356 7.672 5.503 2.087 7.068 2.549 4.963 4.223 6.387 7.405 2.999
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.428 4.011 5.263 2.303 7.592 5.724 7.195 7.200 7.945 7.083 6.261
[2,] 6.645 4.022 6.231 2.308 7.608 6.967 7.270 8.785 8.148 8.392 7.211
[3,] 6.691 4.053 6.929 2.311 7.723 6.969 7.376 8.818 8.536 8.681 8.770
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.532 5.958 4.886 6.719 3.341 3.352 2.259 5.782 4.325 10.51 9.897
[2,] 1.540 7.106 5.017 7.610 3.394 3.355 2.262 5.782 4.337 10.53 9.934
[3,] 1.540 8.351 5.064 8.448 3.458 3.484 2.262 6.140 4.340 10.53 11.300
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.834 3.659 3.718 3.988 4.495 2.856 0.8160 9.422 19.63 8.224
[2,] 4.089 4.498 4.398 4.396 4.526 2.872 0.8530 10.667 23.48 8.556
[3,] 4.096 4.929 4.682 4.593 4.758 2.872 0.9125 11.693 24.30 11.440
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.03 4.618 15.64 10.89 10.28 2.228 4.502 12.19 12.95
[2,] 12.37 12.142 60.73 491.98 747.46 28.154 133.666 264.82 151.41
[3,] 122.28 24.296 181.35 379.58 406.37 33.640 137.717 233.89 375.17
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.055 5.173 8.481 4.943 8.247 9.177 8.08 10.68 9.811
[2,] 807.138 311.023 425.452 36.630 367.445 334.535 134.84 430.08 567.003
[3,] 151.348 83.492 295.464 66.643 204.846 372.604 197.63 329.11 277.382
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 14.97 10.57 19.99 6.972 22.25 11.66 2.697 9.558 9.682
[2,] 493.17 504.17 39.54 116.213 1872.88 482.07 13.900 660.540 798.430
[3,] 558.94 405.65 84.17 37.467 47.96 615.04 6.749 1036.393 404.135
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.599 9.687 2.905 9.281 8.638 4.23 10.59 9.619 8.444
[2,] 296.011 565.608 41.082 610.152 43.247 85.67 585.71 589.275 575.290
[3,] 199.773 596.928 33.324 601.791 168.748 90.42 442.34 391.079 482.941
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.514 7.157 5.516 2.642 5.63 2.475 7.132 6.188 5.469
[2,] 7.097 357.764 4.347 15.732 42.90 16.611 221.683 463.004 165.336
[3,] 105.792 105.526 35.745 26.047 53.14 11.148 153.792 189.963 152.238
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.834 7.767 8.214 9.175 4.918 10.29 5.776 3.383 7.777
[2,] 54.711 312.494 188.786 263.195 4.911 509.64 101.399 108.824 483.507
[3,] 47.032 251.870 284.349 265.036 79.908 260.07 209.185 77.809 507.591
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 7.901 7.179 6.597 6.888 2.648 7.217 2.969 5.59 5.338
[2,] 368.606 350.046 483.719 35.424 5.243 319.643 67.351 135.98 38.033
[3,] 419.530 479.789 523.084 112.220 8.142 423.259 109.144 255.41 34.690
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.42 6.73 3.55 8.163 5.093 6.684 2.924 9.641 7.268
[2,] 443.56 630.16 101.88 212.762 37.480 420.983 20.103 61.610 501.251
[3,] 214.41 169.73 91.55 99.121 63.279 382.451 13.074 167.792 24.004
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.137 9.143 10.09 8.995 7.95 1.945 7.566 6.204 8.532
[2,] 130.924 635.110 228.16 568.051 451.59 19.255 488.856 143.758 451.123
[3,] 157.881 96.872 321.05 280.467 629.94 6.163 553.485 87.557 463.021
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.243 4.256 2.868 7.342 5.492 13.34 12.57 4.868 4.646
[2,] 74.909 18.714 15.949 6.985 40.827 89.96 107.60 179.602 330.172
[3,] 84.099 118.494 3.647 261.046 21.897 11.82 679.73 30.620 254.577
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.722 5.064 5.708 3.627 1.036 11.96 24.93 10.44
[2,] 296.418 233.377 67.405 38.333 31.385 631.07 1624.80 297.92
[3,] 202.615 168.231 185.062 6.776 40.902 604.68 789.01 958.39
[1] "--- VAR model 2017-10-06 04:01:00 completed"
[1] "Completed training sample: 2017-10-06 04:01:00 - 2017-10-06 12:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 04:31:00 - 2017-10-06 12:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.010543 0.36162 0.1603 -1.834
-0.140181 0.03519 0.4460 1.542
0.001919 0.01843 0.1080 -1.103
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.8551 1.128 2.615 6.025
0.8874 1.157 2.574 2.209
1.4033 1.181 2.776 2.187
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.7104 6.114 -0.05903 -20.87
-0.9725 2.924 0.86301 -16.58
-0.5748 1.719 -0.40221 -19.74
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.116 -1.8142 -1.13512 0.03035
-5.283 -0.7158 -1.38526 -0.32719
-6.254 0.6715 -0.01783 -0.33880
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.5713 4.20220 5.161 8.419
-0.5146 0.68678 9.490 7.860
-0.6162 -0.01656 6.192 8.800
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.003032 0.64960 -2.816 3.0072
-0.084822 0.14984 1.539 0.2231
0.005878 0.06032 1.590 -0.9903
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1699 3.3593 -1.6033 2.0836
0.0476 -0.9265 1.4323 1.0144
-0.1652 0.6049 0.3587 0.6112
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.34017 1.6785 -0.03922 0.9183
0.69281 1.4165 -0.32633 -1.2877
0.03042 0.9131 0.93397 0.2747
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1704 -4.3002 -3.8956 5.4765
-0.1451 -0.3883 0.9817 -2.8457
-0.2532 1.4131 0.3306 0.8505
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.459 -0.1683 -1.377 0.10953
2.315 -2.3363 1.011 0.16945
1.564 9.2578 1.747 0.02969
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2238 0.3825 5.3005 -7.356
-0.3369 0.3945 0.1357 -2.443
-0.6193 0.2103 -0.8716 -7.158
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.428 -0.66383 -10.6406 1.5943
3.769 -0.10182 0.1694 -0.8172
3.856 0.04462 -1.3283 0.1105
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1694 1.0014 5.142 11.75
-1.7421 -0.7050 -1.076 13.80
3.2344 -0.2507 1.433 12.46
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.4741 2.125 1.830 13.77444
0.8183 1.801 4.716 3.21800
0.1093 -2.344 -1.854 0.01837
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
22.4818 2.10685 0.0465401 -9.8602
0.4464 0.35116 0.0006763 20.0777
2.8703 -0.09714 -0.0210768 -0.1512
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.792 -9.167 -0.1697 22.908
-3.143 13.369 0.8102 -8.275
-4.045 -1.090 0.6324 12.292
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
29.839 -1.784 9.995 -0.8711
-6.663 4.324 -5.083 -0.9279
11.524 -1.250 9.157 -0.7629
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.060 0.08262 -0.1275 6.4134
19.036 0.06482 0.3875 -0.5446
-6.064 0.08479 2.0482 0.3560
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.964 3.9954 7.708 -6.4652
1.175 -0.6705 7.503 6.5571
2.486 0.1647 5.887 -0.9423
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.219 -0.7370 7.108 -1.5428
3.672 -0.4296 -5.234 -0.8831
1.483 -0.2847 4.878 -1.1339
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.825 -0.9562 0.05068 0.20061
-5.173 -0.9060 1.46625 0.06681
5.274 -0.3027 -0.25210 -0.01833
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.5942 0.40786 0.7016 33.54
2.5501 -0.14348 -1.0174 26.18
-0.7812 0.04218 -0.5039 23.92
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.63175 -2.3374 -2.1659 -1.2561
-0.23174 2.7351 1.7528 0.7481
-0.05134 -0.3706 -0.1483 -0.1972
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.6051 -0.6679 -9.335 -3.289
8.9386 -0.6536 -8.896 -1.641
0.6325 0.4113 -8.635 -3.387
rnd_95776.volume rnd_95787.volume
-2.518 3.3811
-7.473 -0.2739
5.495 -0.1128
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.457 3.928 12.74 8.822 8.49 1.903 3.634 9.774 10.44 7.382 4.178
[2,] 6.457 3.928 12.75 9.675 10.41 1.927 3.773 9.970 10.49 9.872 4.883
[3,] 6.531 3.933 12.81 10.165 10.89 1.944 3.931 10.165 10.91 9.947 4.918
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.004 4.016 6.763 7.408 6.315 8.622 7.873 11.94 8.555 16.12 5.718
[2,] 7.788 4.030 7.374 7.896 6.408 9.316 9.145 12.58 9.520 16.12 5.789
[3,] 8.179 4.072 7.593 8.507 6.602 9.702 9.410 13.36 10.075 16.14 5.798
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 18.50 9.544 2.232 7.613 7.787 6.987 7.791 2.410 7.714 6.926
[2,] 23.95 10.379 2.234 9.419 10.329 7.329 9.008 2.453 9.038 6.935
[3,] 23.96 11.501 2.234 12.625 10.831 7.508 10.261 2.480 10.203 7.062
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.478 8.649 7.854 6.757 6.923 5.900 4.654 2.180 4.624 2.024 5.772
[2,] 3.576 9.833 9.213 8.376 6.923 6.542 4.655 2.191 4.636 2.030 6.100
[3,] 3.623 10.421 9.733 9.226 6.984 6.603 4.660 2.207 4.658 2.033 6.232
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.014 4.48 3.148 6.319 6.749 7.596 4.083 8.515 4.907 2.747 6.554
[2,] 6.303 4.71 3.173 6.832 6.901 8.034 4.083 9.695 4.999 2.888 7.667
[3,] 6.523 4.86 3.200 7.134 7.222 8.472 4.129 9.948 5.314 2.959 8.882
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.352 5.918 5.321 5.737 2.117 5.884 2.536 4.625 4.465 5.265 5.508
[2,] 7.062 6.551 6.616 5.745 2.117 6.426 2.623 4.776 4.469 6.397 7.535
[3,] 7.943 7.559 7.868 5.792 2.117 7.345 2.770 5.299 4.486 6.630 7.668
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.864 6.598 4.238 5.482 2.396 7.755 5.786 7.473 7.546 8.139 7.370
[2,] 2.980 6.786 4.247 6.471 2.400 7.764 7.123 7.919 9.124 8.336 8.716
[3,] 3.070 6.833 4.270 7.247 2.401 7.904 7.126 7.984 9.151 8.741 9.076
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.471 1.618 6.148 4.967 7.024 3.430 3.605 2.444 5.733 4.474 10.85
[2,] 7.468 1.627 7.426 5.100 7.948 3.484 3.614 2.449 6.102 4.491 10.89
[3,] 9.098 1.635 8.722 5.145 8.759 3.538 3.732 2.449 6.461 4.492 10.89
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.33 3.905 3.693 3.770 4.093 4.715 3.095 0.8431 8.77 20.48 8.434
[2,] 10.39 4.134 4.569 4.485 4.597 4.745 3.129 0.8854 9.99 24.57 8.780
[3,] 11.83 4.141 4.958 4.728 4.654 5.009 3.129 0.9391 10.85 25.39 11.760
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.199 4.988 16.17 11.2 10.78 2.416 4.615 12.41 13.26
[2,] 6.670 4.239 54.86 462.5 700.47 35.507 118.066 229.28 119.58
[3,] 114.755 23.485 144.38 363.4 374.38 29.588 128.565 231.04 348.99
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.374 5.305 8.894 5.10 8.588 9.407 8.019 10.95 9.997
[2,] 763.147 294.342 396.645 39.43 342.073 318.214 126.982 410.85 541.837
[3,] 142.002 68.487 291.016 67.55 210.959 368.806 184.932 315.32 258.260
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.16 10.86 20.47 7.261 23.5 12.12 2.834 9.667 9.888
[2,] 460.22 486.14 33.94 105.637 1771.1 474.92 10.078 645.893 790.123
[3,] 525.89 384.06 79.63 36.803 48.9 576.97 4.528 978.711 379.480
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 8.872 9.893 3.06 9.796 8.795 4.416 10.98 9.973 8.58
[2,] 257.928 526.543 53.18 548.289 41.348 97.324 544.65 560.673 576.37
[3,] 189.601 572.021 43.16 551.255 155.612 67.734 401.84 365.743 450.47
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 8.791 7.492 5.91 2.768 5.872 2.57 7.33 6.367 5.689
[2,] 8.701 329.021 12.09 26.590 38.358 18.54 229.56 444.722 169.362
[3,] 107.844 104.098 24.48 30.640 52.974 13.46 148.60 195.836 139.359
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.997 8.024 8.57 9.646 5.184 10.81 6.231 3.488 8.322
[2,] 46.208 302.486 167.96 304.549 4.363 539.85 111.059 103.878 463.305
[3,] 48.539 239.138 247.87 313.193 72.071 259.54 209.920 75.322 522.124
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.065 7.515 6.757 7.286 2.688 7.472 3.221 5.873 5.669
[2,] 359.512 327.153 457.750 34.207 4.663 300.850 77.923 138.778 22.252
[3,] 423.239 439.042 495.745 85.957 2.160 414.158 103.488 267.295 46.109
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.685 6.994 3.636 8.379 5.382 6.961 3.043 9.847 7.347
[2,] 423.086 598.617 96.221 184.531 32.209 400.345 16.078 45.196 483.779
[3,] 202.943 165.596 85.940 93.872 51.819 379.878 6.755 172.567 25.189
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.489 9.583 10.34 9.358 8.217 2.055 7.806 6.307 8.92
[2,] 305.095 597.023 210.10 541.780 434.200 20.025 485.054 135.012 433.03
[3,] 119.183 82.502 306.24 295.116 605.010 18.952 532.591 78.983 428.61
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.355 4.578 3.103 7.279 5.681 13.78 13.12 4.958 4.689
[2,] 71.446 30.747 19.349 243.572 45.112 103.09 126.51 158.140 313.278
[3,] 71.605 108.367 2.826 247.261 14.818 24.47 660.55 29.123 224.089
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.787 5.198 5.987 3.931 1.071 11.14 26.01 10.71
[2,] 282.981 243.646 62.044 53.111 31.480 557.20 1580.24 284.08
[3,] 174.278 84.801 186.835 4.799 36.463 494.28 746.69 911.02
[1] "--- VAR model 2017-10-06 04:31:00 completed"
[1] "Completed training sample: 2017-10-06 04:31:00 - 2017-10-06 12:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 05:01:00 - 2017-10-06 13:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.64854 0.22255 0.1489 12.053
0.18752 0.19688 -1.2215 1.568
-0.00608 0.03305 -1.0077 -5.143
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.079 0.9118 2.745 0.8549
11.034 0.3193 3.135 -1.3312
3.324 0.1621 2.209 -0.9010
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.586 -1.1122 -2.1041 -17.77
-5.382 0.1772 -0.5635 -16.08
-3.057 -1.1832 -0.9461 -21.50
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.475 -3.789 -3.883 0.4712
1.574 -1.494 -3.420 1.3901
-1.650 -2.704 -2.176 1.4313
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.89406 3.0238 8.493 6.584
-0.07275 -1.8474 5.441 3.830
-1.09320 -0.5045 5.711 4.877
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.1785 0.35290 -18.102 -6.015
0.4668 0.26377 3.674 -2.868
-0.1135 0.04957 2.783 1.553
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.17375 4.156 14.456 1.5120
0.01984 -10.448 -4.649 0.8601
-0.11054 3.100 -3.121 0.5088
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
13.973 0.20094 6.898 -1.7090
6.138 0.31521 10.739 0.4312
-6.379 0.01874 -4.483 -0.3267
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.3689 -3.536 -13.160 -4.31262
0.9522 11.343 8.737 0.02796
0.8416 2.147 6.912 11.71839
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.1875 3.5355 0.0528398 0.4194
1.5584 -0.4108 0.0001645 0.4325
0.1023 1.0168 -0.4667817 0.2360
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.3887 -0.12198 3.491 -5.886
-1.3388 -0.21005 -2.263 -5.336
-0.7378 -0.04327 1.231 -10.904
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.680 0.07056 1.861 2.0177
3.601 0.51582 -1.972 -0.5948
2.602 0.31510 -1.791 0.6054
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.419 1.1991 -7.5521 11.74
-6.749 1.0168 5.3286 11.02
2.045 0.5768 -0.5992 11.87
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.42801 -0.09052 1.688 3.356
-0.02485 -4.78961 -5.463 -1.497
0.84540 4.95129 2.900 -2.280
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.926 -0.5504 -0.01078 -1.0312
2.429 -0.9886 0.06073 5.7793
-5.980 -0.4646 -0.12097 -0.1271
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.247 -1.0879 0.70601 -1.5977
-4.391 2.6474 -0.09336 -0.7572
-4.412 0.8437 0.12906 2.0910
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.844 -0.2440 -0.3178 -2.6547
-0.505 -0.6127 0.3268 -1.1365
2.493 -0.2694 0.8165 0.1078
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.0244 0.7493 0.89052 -0.08868
-0.8415 0.1941 -0.22297 0.52322
-0.3318 -0.2459 0.05582 -0.14428
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.05153 -2.8101 1.671 -0.6716
-2.04248 1.6283 3.407 1.1323
0.09427 -0.2102 2.696 0.6206
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.650 -0.9206 2.10575 -2.901
-2.710 -0.6170 -0.03994 -2.448
1.986 -0.4380 0.48356 -2.048
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.8844 1.0427 -1.1288 0.09524
3.0436 1.1165 -0.6904 -0.20011
-0.8762 -0.1588 0.1892 -0.06712
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.579 0.62167 -1.0731 18.27
2.204 -0.16111 3.8325 16.55
0.421 0.04423 0.1695 15.03
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.354593 0.08599 0.03854 0.151408
0.070362 -0.31893 -0.43355 -0.360896
-0.004082 0.17842 0.14399 -0.008386
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5963 1.2246 -10.031 4.224
0.9096 -0.1673 -9.904 4.953
0.9149 -0.2373 -10.350 3.815
rnd_95776.volume rnd_95787.volume
5.570 -0.7985
1.676 -8.5560
-6.983 4.3394
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.591 4.061 13.14 9.009 8.695 2.040 3.689 9.96 10.69 7.663 4.231
[2,] 6.591 4.061 13.15 9.924 10.554 2.058 3.809 10.15 10.74 10.155 4.957
[3,] 6.666 4.071 13.22 10.415 11.045 2.081 3.981 10.33 11.16 10.226 4.990
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.496 4.322 6.942 7.556 6.348 8.785 8.006 12.16 8.718 16.34 5.781
[2,] 8.481 4.322 7.601 8.021 6.442 9.479 9.250 12.84 9.701 16.35 5.849
[3,] 9.279 4.453 7.819 8.694 6.635 9.860 9.507 13.62 10.286 16.36 5.856
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.08 9.67 2.282 7.754 7.931 7.096 7.960 2.562 7.878 7.131 3.586
[2,] 24.48 10.58 2.285 9.631 10.486 7.445 9.187 2.610 9.162 7.140 3.673
[3,] 24.49 11.71 2.286 12.890 10.989 7.626 10.418 2.642 10.313 7.263 3.720
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.867 8.117 6.834 7.192 6.150 5.016 2.282 4.835 2.128 5.872 5.165
[2,] 10.002 9.427 8.603 7.193 6.803 5.018 2.297 4.842 2.133 6.227 6.460
[3,] 10.559 9.974 9.417 7.256 6.864 5.031 2.306 4.853 2.138 6.360 6.706
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.583 3.228 6.426 7.002 8.090 4.193 8.777 5.137 2.902 6.818 6.557
[2,] 4.845 3.251 6.964 7.178 8.594 4.193 9.926 5.228 3.004 7.859 7.280
[3,] 5.002 3.284 7.229 7.544 9.035 4.245 10.194 5.587 3.059 9.113 8.084
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.053 5.399 6.081 2.158 6.135 2.601 4.896 4.706 5.456 5.923 2.953
[2,] 6.744 6.819 6.096 2.158 6.662 2.691 5.033 4.707 6.507 7.840 3.081
[3,] 7.720 8.062 6.130 2.158 7.654 2.854 5.586 4.719 6.726 7.966 3.169
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.000 4.487 5.761 2.469 7.872 5.843 8.190 7.704 8.316 7.589 6.588
[2,] 7.191 4.497 6.797 2.473 7.885 7.251 8.262 9.319 8.491 8.916 7.637
[3,] 7.242 4.523 7.509 2.474 8.014 7.254 8.315 9.344 8.864 9.309 9.358
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.738 6.348 5.059 7.246 3.553 3.706 2.648 5.891 4.650 11.19 10.51
[2,] 1.749 7.719 5.194 8.263 3.592 3.715 2.652 6.270 4.662 11.24 10.60
[3,] 1.767 9.025 5.246 9.029 3.629 3.839 2.653 6.626 4.662 11.25 12.30
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.952 3.724 3.812 4.150 4.938 3.409 0.8687 7.859 20.84 8.593
[2,] 4.184 4.638 4.545 4.653 4.971 3.484 0.9101 8.894 25.05 8.975
[3,] 4.191 5.017 4.778 4.710 5.248 3.492 0.9686 9.702 25.97 12.034
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.37 5.157 16.69 11.44 11.04 2.59 4.684 12.65 13.57
[2,] 10.57 5.110 56.93 465.23 668.54 31.04 106.245 217.81 125.87
[3,] 111.26 31.594 147.90 353.40 364.07 33.94 129.386 215.89 338.83
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.731 5.373 9.519 5.488 8.815 9.594 8.06 11.16 10.17
[2,] 744.684 288.679 443.404 5.714 346.135 301.056 123.21 397.93 517.99
[3,] 134.611 63.967 420.860 120.168 205.123 374.898 177.47 303.61 245.55
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.44 11.07 20.76 7.341 24.23 12.28 2.898 9.847 10.07
[2,] 462.78 475.75 32.03 99.487 1715.00 478.96 13.759 638.491 766.68
[3,] 507.86 382.27 67.96 32.321 80.89 561.63 6.177 957.415 367.51
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 9.011 10.11 3.253 10.0 9.055 4.553 11.26 10.31 8.678
[2,] 251.553 512.68 56.213 522.8 39.905 89.268 517.27 535.80 584.127
[3,] 185.165 549.06 45.331 529.2 149.211 65.554 378.27 364.40 428.122
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.133 7.81 6.369 2.898 6.139 2.703 7.457 6.559 5.82
[2,] 10.882 325.14 17.749 29.565 30.360 16.232 231.491 433.686 175.63
[3,] 107.020 102.29 39.885 22.534 36.614 16.553 144.651 201.280 139.11
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.099 8.16 8.892 10.27 5.324 11.15 6.523 3.685 8.658
[2,] 42.774 300.20 176.376 324.18 4.831 518.08 109.126 86.691 436.848
[3,] 52.520 216.76 259.583 311.53 73.907 259.72 220.239 64.541 515.589
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.327 7.686 6.855 7.722 2.740 7.791 3.303 6.217 5.975
[2,] 353.470 332.350 465.541 48.898 2.656 290.172 77.013 130.358 14.143
[3,] 392.989 420.115 480.755 71.324 2.158 421.152 106.090 270.829 37.820
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.928 7.522 3.749 8.889 5.698 7.316 3.135 9.997 7.419
[2,] 396.317 574.103 98.484 183.981 33.345 403.218 16.657 49.717 479.873
[3,] 190.647 157.880 82.911 96.301 54.684 356.708 6.840 160.756 27.701
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.4 9.783 10.56 9.637 8.365 2.207 8.061 6.424 9.202
[2,] 122.2 586.066 192.06 523.013 431.790 21.521 490.805 131.706 443.783
[3,] 104.5 76.959 284.17 299.402 604.476 28.596 522.762 82.201 406.810
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.512 4.706 3.363 7.481 5.905 14.21 13.35 5.019 4.728
[2,] 59.127 29.476 16.244 239.908 36.252 116.50 158.66 153.393 309.119
[3,] 58.188 108.421 8.813 239.426 7.644 56.98 696.46 28.413 213.788
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.841 5.27 6.271 4.329 1.103 9.98 26.46 10.91
[2,] 276.555 235.17 64.131 80.338 30.338 465.52 1553.99 289.46
[3,] 164.997 81.60 187.898 26.032 37.046 433.10 764.69 896.11
[1] "--- VAR model 2017-10-06 05:01:00 completed"
[1] "Completed training sample: 2017-10-06 05:01:00 - 2017-10-06 13:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 05:31:00 - 2017-10-06 13:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.04382 -0.36534 -1.973 -4.932
0.01917 -0.22388 -2.460 -4.199
0.07579 0.01122 -2.268 -8.723
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.189 0.6725 2.498 2.6418
-2.261 0.4777 2.380 3.6138
-2.611 0.4196 2.375 -0.6032
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.3182 -4.318 -2.118 -16.176
1.7052 2.848 1.179 -13.600
0.4135 1.610 0.467 -9.427
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.2129 -2.1785 1.077 -4.268
0.7748 -1.8643 -3.861 -3.039
-4.2603 0.8565 -1.065 -2.813
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.1247 -1.0401 2.198 7.069
-1.9137 -0.9056 3.159 5.212
-1.7435 -1.8156 1.042 3.606
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.10156 -0.31797 -12.144 3.2745
0.06407 -0.24568 -7.263 -11.0493
-0.06833 -0.09924 -6.804 -0.1263
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.02339 -8.210 -9.009 1.4319
-0.08896 -10.142 -2.010 0.8912
0.01304 -2.902 -8.470 0.5327
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.634 1.258 -2.629 1.9349
-7.199 1.015 -7.812 0.6065
-5.485 1.003 -2.711 0.3341
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.34959 3.416 5.748 11.1450
0.09855 -5.265 -2.334 0.9871
-0.64767 -4.253 -6.103 -6.4161
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.1944 9.0063 0.4084 0.05052
3.4735 -3.4747 1.7611 0.04558
2.0108 0.3187 1.6905 0.09164
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.211 -0.09157 -0.7752 -4.530
2.808 -0.08865 1.6522 -4.142
1.017 -0.04516 0.5174 -2.062
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.332 0.3808 -2.858 0.8142
3.945 0.2226 -4.835 -0.1150
2.555 0.5427 -1.183 0.4288
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.745 -0.4403 -5.638 4.267
-3.240 -0.6395 -2.250 4.634
5.123 -0.3369 -2.157 5.398
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3151 1.624 -2.356 -6.070
-1.0735 -8.184 -2.884 2.634
-0.3034 -1.004 -2.173 -4.271
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.01346 0.68744 0.009073 -12.195
0.04024 0.40643 -0.027587 -2.658
-3.47959 0.06843 -0.083291 1.217
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.165 -8.23921 0.5752 16.0218
-5.444 0.05124 0.5054 -5.9602
-4.449 -0.86232 0.4632 0.1744
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
16.7665 1.038 10.50688 1.7649
-7.2908 2.206 -5.61398 1.4390
-0.1797 -1.173 -0.05335 0.7781
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.391 0.46506 3.3754 2.7950
11.450 0.12399 0.4631 1.6189
-5.960 0.06001 1.3546 0.2152
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.6929 1.84106 -1.047 -2.8118
-0.8373 0.64099 -2.581 0.6567
-0.1711 0.07542 -1.132 0.2540
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.0218 -0.29365 0.4948 -1.4667
0.2107 0.02217 -3.3970 -1.1451
0.9697 -0.11607 1.2025 -0.8465
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.6704 1.388 -1.8755 0.275227
0.5055 2.290 0.7022 -0.039495
0.5798 1.007 -0.9413 -0.005306
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.320 -0.63881 3.2603 7.956
5.642 0.05074 1.1837 9.150
-1.536 -0.01341 0.3091 7.216
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.279 0.6068 1.385 1.1720
1.695 1.2778 1.108 0.7477
0.385 1.4968 1.417 0.8310
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.0214 -1.2265 -9.112 0.7123
-0.8508 0.5398 -9.168 0.5008
0.8263 0.1060 -9.305 0.5233
rnd_95776.volume rnd_95787.volume
-18.657 -3.143
-3.649 -12.063
-3.152 -0.706
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.665 4.296 13.20 9.172 9.012 2.183 3.771 10.14 10.95 7.792 4.415
[2,] 6.665 4.298 13.21 10.165 10.776 2.197 3.900 10.33 11.01 10.335 5.139
[3,] 6.733 4.304 13.28 10.654 11.238 2.225 4.089 10.54 11.46 10.397 5.164
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.673 4.537 6.933 7.644 6.442 8.935 8.056 12.36 8.941 16.47 5.942
[2,] 8.727 4.537 7.861 8.099 6.542 9.616 9.331 12.96 9.962 16.48 5.988
[3,] 9.545 4.702 7.979 8.769 6.752 10.054 9.616 13.79 10.533 16.49 5.997
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.46 9.804 2.458 7.777 8.043 7.280 8.023 2.638 7.959 7.278
[2,] 24.78 10.752 2.459 9.677 10.691 7.600 9.263 2.691 9.335 7.290
[3,] 24.79 11.875 2.459 12.874 11.161 7.798 10.561 2.727 10.613 7.411
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.663 9.031 8.286 6.830 7.363 6.347 5.352 2.322 5.115 2.165 5.933
[2,] 3.750 10.169 9.591 8.751 7.366 7.004 5.353 2.334 5.124 2.169 6.292
[3,] 3.796 10.765 10.172 9.620 7.427 7.064 5.373 2.344 5.137 2.177 6.420
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.382 4.684 3.298 6.763 7.237 8.418 4.258 8.965 5.426 2.942 7.074
[2,] 7.277 4.963 3.322 7.389 7.434 9.039 4.258 10.202 5.548 3.039 8.175
[3,] 7.749 5.122 3.356 7.661 7.782 9.584 4.308 10.440 5.901 3.103 9.463
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.797 6.185 5.605 6.365 2.156 6.438 2.711 5.094 4.933 5.558 6.057
[2,] 7.588 6.997 7.119 6.386 2.157 7.006 2.814 5.264 4.937 6.717 8.038
[3,] 8.398 7.953 8.368 6.426 2.157 8.089 2.987 5.875 4.943 6.969 8.179
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.030 7.209 4.801 5.990 2.574 8.053 5.953 8.186 7.908 8.428 7.691
[2,] 3.154 7.414 4.808 7.006 2.578 8.063 7.365 8.687 9.491 8.594 8.964
[3,] 3.242 7.457 4.849 7.745 2.578 8.181 7.367 8.755 9.511 8.942 9.359
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.439 1.830 6.454 5.155 7.561 3.649 3.857 2.809 6.007 4.931 11.77
[2,] 7.684 1.839 7.840 5.284 8.558 3.683 3.863 2.818 6.431 4.956 11.80
[3,] 9.504 1.869 9.118 5.341 9.160 3.723 3.990 2.818 6.815 4.956 11.80
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.86 3.986 3.752 3.880 4.192 5.114 3.621 0.9047 6.976 21.54 8.708
[2,] 10.98 4.235 4.672 4.620 4.687 5.146 3.722 0.9417 8.052 25.80 9.085
[3,] 12.72 4.243 5.070 4.851 4.747 5.437 3.734 1.0066 8.811 26.85 12.179
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.464 5.456 16.76 11.65 11.44 2.772 4.788 12.88 13.91
[2,] 7.755 14.285 48.12 449.86 606.38 25.402 102.495 204.78 111.76
[3,] 97.578 22.111 142.50 327.48 327.21 36.571 125.884 210.13 328.67
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.895 5.606 9.744 5.761 8.804 9.707 8.18 11.35 10.23
[2,] 696.751 269.953 426.620 7.053 380.169 274.819 117.35 364.75 483.27
[3,] 116.763 51.981 397.013 126.993 140.849 345.127 171.44 301.55 238.58
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.69 11.35 20.92 7.545 24.71 12.45 3.121 9.875 10.21
[2,] 401.63 450.84 51.17 76.114 1574.64 453.09 6.706 591.008 722.86
[3,] 482.49 351.19 55.80 34.471 70.00 517.31 2.478 871.419 329.17
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 9.245 10.19 3.35 10.11 9.242 4.652 11.47 10.52 8.674
[2,] 223.989 475.12 54.40 500.64 42.546 82.199 479.63 495.73 561.460
[3,] 179.325 520.79 45.33 518.12 137.545 61.006 362.76 347.93 410.137
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 9.35 8.06 6.796 2.949 6.496 2.749 7.535 8.104 5.948
[2,] 22.86 303.77 11.391 24.192 30.191 13.349 214.785 358.713 168.449
[3,] 98.31 94.84 48.721 21.847 38.696 19.391 131.287 273.418 130.161
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.187 8.588 9.19 10.69 5.407 11.38 6.89 3.736 8.983
[2,] 41.087 305.457 174.31 337.96 4.261 499.73 118.88 77.928 420.423
[3,] 49.548 207.695 236.52 327.02 67.124 227.71 206.36 64.760 489.313
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.631 7.853 7.117 8.083 2.738 8.175 3.443 6.469 6.265
[2,] 346.251 335.974 450.426 52.770 5.946 283.648 77.314 136.236 19.482
[3,] 369.457 387.978 451.389 73.435 2.165 415.009 102.848 267.785 25.221
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.057 7.691 3.847 9.154 6.097 7.606 3.269 10.23 7.559
[2,] 387.198 542.330 89.976 177.572 26.534 373.006 15.541 41.50 445.000
[3,] 190.684 155.611 77.019 82.772 64.896 338.765 3.578 142.12 20.962
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.4 10.04 10.7 9.766 8.177 2.323 8.196 6.546 9.602
[2,] 298.3 538.57 172.7 472.676 430.321 19.448 456.712 119.380 411.364
[3,] 112.6 64.46 253.7 276.117 573.976 33.865 477.885 79.605 335.319
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.634 4.898 3.568 7.628 6.262 14.95 13.79 5.061 4.764
[2,] 51.229 22.556 22.604 235.705 51.287 84.89 168.42 146.878 285.843
[3,] 56.491 102.453 4.816 231.698 6.457 27.66 659.39 27.833 201.945
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.927 5.324 6.494 4.599 1.149 8.859 27.35 11.06
[2,] 257.527 215.213 59.529 88.104 26.831 412.710 1457.61 265.98
[3,] 151.557 77.199 180.213 31.734 36.511 367.194 762.53 832.45
[1] "--- VAR model 2017-10-06 05:31:00 completed"
[1] "Completed training sample: 2017-10-06 05:31:00 - 2017-10-06 13:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 06:01:00 - 2017-10-06 14:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2976 0.42603 -0.5520 -3.083
0.9181 0.24954 -0.3153 2.586
0.5023 -0.08536 -0.2678 3.027
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
15.4069 -0.06387 3.296 5.101
-1.4058 0.67536 3.496 5.500
-0.8465 0.24747 3.126 3.469
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.038 1.464 -0.1268 -7.500
2.074 2.580 1.4326 -3.365
2.409 1.456 0.7441 -2.028
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.299 0.3451 3.941 -1.526
-3.494 1.6660 0.566 -2.330
-2.528 0.6072 1.025 -1.600
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.965 -6.960 5.2683 4.4890
-4.898 -2.400 0.8047 -1.5783
-2.596 -2.419 1.1114 0.2812
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.188260 0.38136 1.199 2.0881
0.009146 0.11087 1.001 -0.1878
-0.038813 0.08326 -2.193 -1.8249
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1005207 -3.67143 -10.712 -0.5412
0.0368092 0.90615 1.638 -0.9502
0.0006577 -0.07058 0.872 -0.5775
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
7.720 0.7645 18.562 0.19395
-5.066 0.3054 -5.494 0.08854
1.661 0.4818 1.616 0.03400
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2633 19.68740 5.248 -12.811
-0.0441 -1.31259 10.700 15.124
-0.4639 -0.06417 -5.124 -2.554
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.343 7.45414 1.0617 0.063274
3.956 -0.06591 1.6062 -0.139800
2.522 0.99572 0.1246 -0.008683
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.0496 -0.22962 -5.6430 -12.217
-0.1315 -0.10678 -0.8018 -13.426
-0.1889 -0.02397 2.9103 -8.175
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.2599 0.3436 -8.139 1.515220
2.4425 0.7136 -6.765 1.509772
0.7989 0.2495 -8.199 -0.001365
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.9638 -0.8999 -0.2817 5.474
-0.5808 -0.1181 -3.4888 5.121
3.2960 -0.1780 -0.8191 4.518
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1433 11.111 1.281 -5.534
0.3677 -5.752 1.473 8.335
0.3011 -3.301 -3.039 -3.345
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.3563 0.3596 -0.093492 -2.586
3.1694 0.9796 -0.102165 -1.420
-0.1551 1.1049 -0.009816 5.947
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.743 -2.327 1.0098 15.0470
-1.756 1.902 0.4201 -0.4582
-2.600 2.044 0.3980 2.4207
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
21.355 1.1900 6.8556 -0.2725
-1.002 2.5158 0.7093 -0.1702
1.330 -0.2656 3.5407 -0.1224
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.006 0.3621 -0.1755 3.237
17.276 0.4474 2.1701 -0.109
-0.662 0.1497 1.2555 1.241
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.060 4.9073 -0.1803 9.038
2.607 -0.4709 0.4837 1.764
2.292 1.1319 -1.1194 1.106
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.6884 -0.26257 4.374 -1.226
7.8345 -0.55525 8.854 -1.225
-0.2754 -0.08637 2.073 -1.409
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.178 0.6071 -0.109262 -0.13873
6.646 0.6380 -0.008283 0.01113
4.132 0.1641 -0.002614 0.02589
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.38367 0.49780 -0.6634 16.91
9.16784 -0.02674 -2.4431 11.69
0.09385 0.04101 2.1991 12.58
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.0697 0.5707 0.6398 0.09011
0.4246 1.4921 0.9384 0.47139
0.4829 0.1602 0.2978 0.24992
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5718 0.5547 -9.701 1.574
1.0368 -0.2575 -9.782 1.535
2.6073 -0.2796 -10.141 1.417
rnd_95776.volume rnd_95787.volume
-17.104 1.0101
-6.631 0.7626
2.098 -1.7768
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.660 4.421 13.13 9.286 9.36 2.288 3.816 10.11 11.00 7.798 4.463
[2,] 6.660 4.423 13.13 10.344 10.95 2.300 3.953 10.32 11.03 10.722 5.128
[3,] 6.711 4.429 13.23 10.836 11.36 2.322 4.132 10.54 11.42 10.792 5.159
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.651 4.684 7.033 6.820 6.548 8.861 7.952 12.45 9.178 16.54 6.032
[2,] 8.710 4.684 7.814 7.180 6.650 9.548 9.229 13.01 10.137 16.55 6.081
[3,] 9.563 4.859 7.971 7.984 6.859 9.968 9.492 13.85 10.716 16.56 6.086
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.65 9.781 2.523 7.734 7.983 7.414 8.074 2.699 7.866 7.264
[2,] 24.65 10.711 2.523 9.869 10.667 7.714 9.264 2.748 9.256 7.277
[3,] 24.66 11.885 2.524 12.946 11.113 7.939 10.672 2.780 10.575 7.391
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.848 9.118 8.538 6.869 8.017 6.699 5.599 2.404 5.403 2.173 5.810
[2,] 3.863 10.413 9.673 8.809 8.039 7.297 5.599 2.416 5.408 2.177 6.212
[3,] 3.897 10.911 10.224 9.762 8.179 7.368 5.637 2.426 5.428 2.184 6.323
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.502 4.722 3.296 6.538 7.417 8.710 4.317 9.126 5.655 3.095 7.268
[2,] 7.345 5.026 3.318 7.863 7.641 9.373 4.317 10.220 5.788 3.095 8.473
[3,] 7.912 5.189 3.352 8.167 7.973 9.970 4.360 10.553 6.137 3.134 9.683
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.950 6.229 5.783 6.528 2.160 6.602 2.733 5.273 5.229 5.762 6.328
[2,] 7.879 7.154 7.418 6.558 2.161 7.188 2.831 5.446 5.238 7.009 8.253
[3,] 8.556 8.163 8.704 6.592 2.161 8.358 3.005 6.162 5.240 7.296 8.409
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.078 7.481 5.084 6.067 2.594 8.085 5.990 8.331 8.022 8.453 7.709
[2,] 3.207 7.722 5.090 7.196 2.597 8.093 7.359 8.906 9.638 8.599 9.023
[3,] 3.291 7.777 5.125 7.949 2.597 8.206 7.361 8.980 9.657 8.972 9.414
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.480 1.934 6.378 5.251 7.763 3.704 4.082 2.964 6.314 5.053 11.78
[2,] 7.778 1.940 7.849 5.389 8.775 3.738 4.087 2.972 6.709 5.071 11.79
[3,] 9.655 1.967 9.154 5.440 9.312 3.777 4.089 2.972 7.053 5.072 11.80
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 11.07 4.068 3.793 3.967 4.282 5.367 3.831 0.9337 5.903 21.79 8.480
[2,] 11.20 4.313 4.752 4.736 4.802 5.419 3.964 0.9668 6.943 26.33 8.891
[3,] 12.93 4.328 5.157 4.955 4.863 5.754 3.997 1.0397 7.817 27.66 12.224
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.457 5.614 16.67 11.79 11.89 2.905 4.845 12.84 13.96
[2,] 6.677 15.386 50.23 448.29 558.90 23.771 101.741 203.21 80.19
[3,] 80.923 22.127 154.41 317.41 298.61 31.418 118.399 212.58 293.83
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 9.902 5.667 9.715 5.948 8.931 8.66 8.314 11.25 10.1
[2,] 723.567 248.384 409.241 7.102 334.859 220.73 114.510 349.82 460.6
[3,] 121.287 56.235 388.322 127.139 154.674 343.51 165.246 281.52 218.3
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.81 11.65 21.00 7.659 24.95 12.42 3.203 9.821 10.14
[2,] 369.54 423.27 69.18 76.027 1463.54 429.49 5.903 602.832 695.60
[3,] 469.46 341.81 47.45 24.702 75.46 506.44 5.034 823.756 306.72
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 9.415 10.25 3.427 9.988 9.225 4.886 11.58 10.84 8.722
[2,] 209.365 446.61 51.089 479.825 43.278 34.076 494.41 447.00 542.268
[3,] 184.724 520.88 40.894 502.791 127.205 50.359 320.68 325.76 413.672
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.18 8.507 7.110 3.053 6.86 2.759 7.378 8.256 5.996
[2,] 60.13 284.590 5.602 23.666 25.05 12.976 216.245 336.023 169.445
[3,] 148.13 100.417 64.539 22.057 45.62 17.254 115.644 289.201 126.913
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.185 8.302 9.419 11.06 5.482 11.59 7.181 3.930 9.23
[2,] 38.297 429.614 180.682 340.67 4.768 452.37 121.741 3.463 428.10
[3,] 46.919 217.049 224.045 334.12 59.883 258.84 200.479 48.358 461.08
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.825 7.91 7.343 8.29 2.743 8.384 3.471 6.696 6.64
[2,] 364.970 345.86 456.775 61.10 6.683 279.549 72.583 133.730 29.51
[3,] 328.131 386.54 447.711 66.77 5.793 419.367 98.907 283.581 17.23
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.316 8.035 3.909 9.50 6.456 7.704 3.294 10.27 7.606
[2,] 392.444 520.923 88.463 188.16 25.346 380.619 11.986 36.25 420.402
[3,] 199.300 159.013 72.683 91.58 59.111 331.945 2.649 134.02 18.515
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.58 10.19 10.73 9.79 8.229 2.456 8.099 6.669 9.858
[2,] 309.68 525.32 155.13 460.99 422.983 15.110 449.853 118.890 402.186
[3,] 113.21 60.55 251.86 264.23 562.405 32.101 463.135 73.771 306.548
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.704 5.183 3.763 8.018 6.417 14.96 14.05 5.166 4.817
[2,] 49.393 20.645 22.521 222.978 42.720 60.14 173.33 140.907 281.505
[3,] 53.443 12.824 3.534 214.041 5.548 43.05 634.61 35.699 197.033
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.038 5.437 6.815 4.865 1.186 7.496 27.67 10.77
[2,] 254.348 213.821 74.321 100.124 24.670 359.283 1454.50 262.76
[3,] 143.486 75.248 190.102 50.181 37.621 353.215 831.50 824.85
[1] "--- VAR model 2017-10-06 06:01:00 completed"
[1] "Completed training sample: 2017-10-06 06:01:00 - 2017-10-06 14:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 06:31:00 - 2017-10-06 14:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.3934 -0.1393 -1.573 -6.5285
-0.6214 0.6424 -3.888 0.3695
-0.2520 -0.1949 -2.529 -14.3628
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.805 0.7205 1.289 0.7358
-10.680 1.5593 1.258 3.0982
-4.094 0.8632 1.314 0.4820
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.1386 -7.193 -0.9980 -29.23
0.7942 -2.039 0.7663 -26.61
1.4710 -1.431 0.1189 -26.23
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.03447 -4.196 -4.040 -2.021
-3.27491 -4.631 -7.808 -1.804
1.96966 -2.804 -6.219 -1.529
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.048 -12.321 -5.421 -1.9817
-10.120 -8.547 -4.718 -0.7322
-9.118 -8.664 -5.646 -2.8254
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.8743 0.4072 -32.435934 -10.066
0.1678 0.1997 -5.011118 -10.241
-1.3670 0.1039 0.002611 1.891
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.09389 5.1173 -2.514 2.798
-0.04786 -19.5765 -5.891 2.139
-0.03412 -0.1406 -11.654 1.445
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.8981 -0.6243 -8.976 11.994
0.6585 -0.8720 -1.472 11.352
-12.3802 -0.6366 -5.834 7.945
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.8035 -5.3169 -11.1077 -10.646
-0.7560 -6.7640 -6.7446 -8.333
-0.8641 0.3114 -0.6615 -3.993
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9753 -8.0126 0.4320 -0.8275
-0.8560 -6.0358 1.2072 -0.7895
0.0335 0.5957 0.9472 -0.9038
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.357 -0.4065 -4.703 -10.71
-1.665 -0.4337 -3.284 -10.20
-1.349 -0.1796 -2.797 -10.32
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.1481 -0.5898 -3.249 -2.879
1.0091 -0.3655 -8.167 3.107
1.0345 -0.2309 -6.562 1.686
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.061 -1.06636 -4.257 4.274
-3.340 -0.28824 3.368 6.976
8.363 0.09114 -3.176 4.664
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1250 0.8771 3.067 6.6353
0.3436 -3.0169 -1.442 5.2215
0.1907 0.5529 1.813 -0.9753
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.287 -0.5121 0.022321 -18.581
3.511 -1.2175 0.024226 9.429
-2.889 -0.6236 -0.001802 2.052
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.190 -10.0483 0.04436 5.853
-6.797 5.7600 0.13838 -6.279
-7.462 0.2959 0.02060 5.391
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.417 1.2326 2.352 1.3721
-7.570 0.9372 -6.317 0.9901
5.406 -0.7499 2.439 0.6265
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.224 0.04144 0.5156 -7.3814
3.538 -0.10029 -2.0534 0.6600
-7.324 0.05587 -2.2924 -0.3902
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.11515 -7.013 2.466 -1.590
-0.77935 -1.721 2.887 -7.722
0.09603 -1.754 3.336 -1.073
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.597 0.5505 -11.579 -1.0426
-6.415 1.0458 2.246 -0.2797
-2.457 1.1441 -6.801 -0.3285
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-10.149 -2.350 -0.0920574 -0.3546
-5.671 -1.817 -0.0528600 -1.0237
-6.758 -1.297 -0.0005067 -0.7104
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.425 1.9085 6.170 1.002
2.411 0.2883 4.701 4.531
-3.971 0.2067 3.038 2.220
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.9697 5.561 5.795 5.12008
1.9742 -2.595 -0.854 -0.08004
0.8875 1.412 1.218 1.17860
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.826 3.1551 -10.97 -0.05876
3.082 -1.6328 -11.25 -0.57761
1.080 -0.2608 -10.86 -1.16201
rnd_95776.volume rnd_95787.volume
4.060 1.7471
-8.752 -18.6665
3.944 0.6744
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.670 4.595 13.20 9.142 9.436 2.464 3.849 9.593 10.69 7.909 4.446
[2,] 6.674 4.605 13.22 10.147 10.845 2.488 3.997 9.751 10.70 10.508 5.096
[3,] 6.727 4.613 13.33 10.666 11.230 2.526 4.164 10.052 11.13 10.589 5.120
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.390 4.736 6.975 6.678 6.732 8.737 7.930 12.50 9.23 16.22 6.014
[2,] 8.332 4.737 7.457 7.087 6.884 9.366 9.133 12.99 10.05 16.22 6.066
[3,] 9.170 4.899 7.696 7.658 7.091 9.765 9.390 13.78 10.60 16.22 6.071
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.73 9.754 2.641 7.483 7.683 7.379 7.887 2.733 8.180 7.796
[2,] 25.09 10.695 2.643 9.773 10.520 7.721 9.058 2.777 9.434 7.938
[3,] 25.10 11.867 2.644 13.033 10.905 8.007 10.442 2.807 10.668 8.357
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.761 9.028 8.211 6.932 8.672 7.412 5.756 2.443 5.716 2.209 5.787
[2,] 3.770 10.239 9.605 8.950 8.867 8.036 5.759 2.456 5.747 2.213 6.083
[3,] 3.815 10.731 10.196 9.886 9.165 8.069 5.826 2.466 5.773 2.222 6.251
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.301 4.775 3.274 6.312 7.574 8.884 4.392 9.343 5.885 3.120 7.520
[2,] 7.178 5.081 3.293 7.776 7.811 9.663 4.393 10.434 6.062 3.120 8.838
[3,] 7.693 5.237 3.325 8.057 8.189 10.397 4.425 10.762 6.441 3.166 9.980
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 7.067 6.341 5.929 6.605 2.125 6.918 2.802 5.540 5.367 6.118 6.729
[2,] 8.144 7.411 7.682 6.640 2.126 7.540 2.912 5.754 5.379 7.445 8.755
[3,] 8.808 8.544 9.026 6.684 2.128 8.786 3.100 6.528 5.380 7.790 8.979
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.111 8.132 5.431 6.449 2.657 8.273 6.224 8.300 8.258 8.460 7.721
[2,] 3.232 8.564 5.440 7.829 2.658 8.307 7.390 8.897 9.675 8.603 8.980
[3,] 3.311 8.675 5.547 8.711 2.661 8.425 7.395 9.028 9.691 8.946 9.349
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.843 2.071 6.527 5.373 7.840 3.783 4.174 2.931 7.135 5.230 12.45
[2,] 8.172 2.082 8.056 5.532 8.877 3.825 4.180 3.057 7.202 5.255 12.62
[3,] 9.600 2.112 9.146 5.600 9.465 3.869 4.184 3.079 7.467 5.255 12.65
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.92 4.109 3.987 4.064 4.390 5.502 3.904 0.9537 3.316 22.18 8.417
[2,] 11.07 4.366 4.871 4.805 4.881 5.558 4.049 0.9910 3.444 26.56 8.943
[3,] 12.72 4.382 5.247 5.002 4.941 5.894 4.078 1.0578 3.688 27.84 12.569
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.469 5.834 16.77 11.61 11.98 3.128 4.888 12.18 13.58
[2,] 23.815 29.436 63.04 405.09 491.86 31.801 99.284 160.99 44.91
[3,] 77.807 25.024 156.48 302.53 268.18 40.558 107.327 224.87 280.09
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.04 5.646 9.384 6.014 8.857 8.48 8.548 11.09 10.07
[2,] 636.52 229.137 354.092 8.597 242.790 218.32 132.829 310.64 416.83
[3,] 121.08 45.956 352.511 115.185 175.364 267.13 156.550 254.34 200.92
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.87 11.72 20.59 7.636 25.05 12.39 3.354 9.502 9.756
[2,] 324.59 365.76 34.80 73.821 1426.36 403.59 9.953 578.348 661.260
[3,] 424.55 310.32 23.30 22.731 64.40 473.37 6.453 793.338 264.327
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 9.37 10.02 3.47 10.39 9.899 4.776 11.46 10.43 8.802
[2,] 209.42 409.87 45.42 432.44 137.989 24.625 444.44 458.50 520.974
[3,] 195.08 478.00 37.92 458.20 240.602 53.605 295.79 315.03 386.372
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 11.01 9.412 7.309 3.102 7.259 2.806 7.348 8.001 6.063
[2,] 170.56 285.666 18.400 23.305 55.229 12.496 172.581 316.380 159.789
[3,] 213.46 67.781 81.303 20.601 50.085 18.394 132.793 254.618 117.147
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.157 8.015 9.618 11.28 5.577 11.86 7.473 3.962 9.549
[2,] 33.184 417.812 175.918 349.86 6.406 427.45 133.812 4.005 427.279
[3,] 42.175 194.224 226.233 353.03 49.404 242.57 200.482 49.284 426.475
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 8.974 8.052 7.529 8.387 2.698 8.785 3.559 7.034 6.815
[2,] 372.364 352.865 449.427 63.138 6.399 276.039 72.913 143.372 33.509
[3,] 308.897 391.262 436.094 70.822 9.294 414.997 97.847 283.622 12.175
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.768 8.544 3.95 10.33 6.897 8.19 3.374 10.51 7.904
[2,] 390.452 515.390 80.59 247.07 29.712 408.36 8.160 68.99 366.589
[3,] 210.810 183.572 66.29 127.74 99.983 351.56 11.413 129.37 24.555
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 10.54 10.49 10.74 9.805 8.689 2.63 8.288 6.823 9.956
[2,] 294.86 463.96 144.12 421.929 411.095 19.47 434.464 121.174 383.133
[3,] 141.13 51.59 226.02 239.240 463.576 32.67 398.582 80.005 302.158
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.804 5.30 3.721 9.06 6.642 15.81 13.87 5.217 5.063
[2,] 52.430 21.63 80.028 90.22 46.746 190.09 169.18 135.830 257.517
[3,] 53.262 16.66 33.706 181.74 9.137 81.12 576.33 34.687 179.488
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.161 5.574 6.986 4.958 1.211 4.211 28.16 10.69
[2,] 235.787 196.368 72.856 98.592 24.784 85.711 1344.44 278.21
[3,] 128.044 70.985 180.480 45.409 34.060 121.473 770.16 812.53
[1] "--- VAR model 2017-10-06 06:31:00 completed"
[1] "Completed training sample: 2017-10-06 06:31:00 - 2017-10-06 14:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 07:01:00 - 2017-10-06 15:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.1028 -0.31186 -7.617 -22.98
0.4493 0.46846 -5.332 -16.70
0.1868 -0.09239 -3.069 -15.98
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-19.53 -0.70690 0.6140 -3.7701
-23.09 0.21397 0.8144 -4.3040
-21.96 0.03528 1.4930 -0.5349
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.172 2.628 -1.2932 -23.89
-4.726 -3.196 -1.4225 -23.99
-3.249 -2.136 -0.9266 -23.59
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.2306 -8.406 -10.991 -7.446
-0.4561 -5.943 -7.192 -5.230
-4.5505 -6.262 -8.655 -5.708
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-13.576 -12.01 -12.371 -3.482
-11.039 -11.32 -9.367 -1.345
-9.964 -9.28 -9.551 -2.046
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.079 0.8123 -31.13 -11.813
-4.136 0.2843 -16.89 -9.429
-1.650 0.1207 -15.14 -7.913
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.06654 -22.183 -32.34 -1.8474
0.01171 -13.581 -13.72 -1.3381
0.02579 -7.172 -12.36 -0.8815
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.74 0.1576 -16.20 17.50
-24.95 0.4726 -24.56 18.25
-14.43 -0.1929 -14.23 15.44
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.157 -15.49 -8.888 -12.82
-1.791 -20.02 -14.970 -14.09
-1.344 -15.61 -20.437 -19.97
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.549 -7.57840 3.812 -0.5729
-3.455 -4.01586 3.472 -0.8106
-2.786 -0.04265 2.463 -0.3502
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.12431 -0.6723 -2.914 -11.83
-0.02648 -0.4219 -4.828 -13.57
-0.05137 -0.1867 -4.321 -13.46
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.6327 -0.7510 -8.436 3.227
0.1479 0.3039 -8.895 1.635
0.6291 -0.8118 -9.733 1.250
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.584 -0.3585 -1.464 23.35
-1.362 0.8016 3.975 22.83
5.324 0.6646 -2.995 21.70
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.2546 2.980 4.4231 16.2682
0.2179 1.203 0.7046 0.2749
0.7373 2.283 4.4838 1.0416
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
26.92020 -0.341987 -0.199632 19.679
-0.14076 0.007357 -0.213138 21.669
-0.02072 -0.486555 0.001934 -1.927
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.458 10.48 -0.6793 -3.798
-6.388 14.93 -0.2636 10.186
-6.795 0.77 -0.1917 11.598
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.841 -1.1535 -3.651 1.4329
8.828 -0.3335 1.071 0.9482
10.650 0.8876 5.929 0.7932
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.965 0.15147 -4.992 -9.605
-3.604 -0.35064 -5.385 -2.269
6.998 0.07776 -4.816 -2.597
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.9766 -2.900 9.928 -2.099
-1.1624 -1.794 8.782 -4.992
0.2352 -1.771 6.856 -1.095
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.353 -0.04968 -1.617 0.99919
-4.344 -0.69225 -2.310 -0.01962
-1.883 -0.32478 -4.488 0.54317
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.015 -0.8302 0.479256 -2.8805
-2.532 -0.4935 0.055788 -1.3674
-2.457 -0.4820 0.005058 -0.6293
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.903 -0.09463 3.639 11.68
-9.347 -0.25325 2.530 12.50
-7.397 -0.07484 1.337 10.31
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1786 -2.4182 -1.6110890 -1.5376
-0.8015 -1.6304 0.0001337 0.1970
-0.4896 -0.9105 -0.3558914 -0.2026
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.9229 -0.12965 -11.24 2.055
10.3133 0.07235 -11.07 1.496
0.8342 -0.02506 -10.92 1.207
rnd_95776.volume rnd_95787.volume
10.174 -13.25
-6.444 -14.37
-5.583 -6.97
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.579 4.641 13.61 9.256 9.566 2.612 3.778 9.477 10.45 8.310 4.399
[2,] 6.597 4.653 13.64 10.170 10.887 2.637 3.902 9.580 10.46 9.771 4.992
[3,] 6.681 4.663 13.86 10.703 11.307 2.677 4.052 9.846 10.83 9.841 5.017
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 7.317 4.863 6.963 6.697 6.479 8.772 7.827 12.45 9.262 15.88 5.954
[2,] 8.275 4.864 7.441 7.064 6.559 9.414 9.000 12.98 10.007 15.89 6.000
[3,] 9.087 5.026 7.616 7.500 6.883 9.841 9.295 13.68 10.499 15.91 6.006
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.81 9.565 2.640 7.473 7.693 7.254 8.072 2.783 8.375 7.832
[2,] 25.51 10.784 2.641 9.614 10.502 7.586 9.085 2.837 9.664 8.057
[3,] 25.54 11.897 2.641 12.908 11.041 7.835 10.329 2.872 10.607 8.703
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.701 9.012 8.213 7.102 8.902 7.782 6.035 2.454 5.889 2.210 5.644
[2,] 3.719 10.343 9.548 9.076 9.197 8.289 6.067 2.470 5.935 2.213 6.079
[3,] 3.777 10.840 10.145 10.033 9.521 8.380 6.221 2.487 5.970 2.223 6.215
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.094 4.771 2.993 6.098 7.715 9.011 4.398 9.529 6.135 2.938 7.710
[2,] 7.073 5.137 2.995 7.400 7.889 9.816 4.399 10.403 6.345 3.057 9.253
[3,] 7.600 5.250 3.119 7.753 8.232 10.781 4.432 10.795 6.759 3.098 10.228
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 7.268 6.245 6.304 6.791 2.107 7.114 2.891 5.600 5.456 6.130 6.879
[2,] 8.393 7.507 8.203 6.813 2.108 7.907 3.008 5.834 5.479 7.421 8.916
[3,] 9.010 8.808 9.385 6.853 2.110 9.228 3.220 6.632 5.484 7.813 9.162
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.074 8.202 5.443 6.528 2.669 8.118 6.316 8.801 8.298 8.494 7.626
[2,] 3.199 8.649 5.456 7.822 2.671 8.221 7.431 9.026 9.579 8.683 8.865
[3,] 3.282 8.750 5.577 8.538 2.672 8.363 7.451 9.127 9.651 9.069 9.306
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 7.200 2.205 6.381 5.317 7.740 3.783 4.237 2.997 7.844 5.287 12.33
[2,] 8.225 2.208 7.824 5.485 8.620 3.836 4.240 3.180 8.010 5.308 12.60
[3,] 9.482 2.247 8.700 5.559 9.393 3.890 4.245 3.209 8.199 5.308 12.64
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 10.87 4.359 4.064 4.141 4.331 5.623 4.042 0.9772 2.834 22.91 8.554
[2,] 11.01 4.367 4.940 4.935 4.856 5.707 4.180 1.0124 2.866 27.48 9.270
[3,] 12.58 4.392 5.007 4.940 4.860 6.030 4.206 1.0833 2.973 28.63 12.818
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.354 5.894 17.28 11.75 12.15 3.317 4.797 12.03 13.27
[2,] 52.241 34.981 105.14 440.89 543.66 37.854 101.952 146.91 47.40
[3,] 110.615 31.279 253.77 348.91 319.71 48.159 114.421 238.06 292.81
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.55 5.586 9.291 6.176 8.842 8.504 8.227 11.14 9.938
[2,] 537.71 246.952 404.437 6.548 274.416 235.160 107.136 357.70 464.946
[3,] 122.78 52.092 392.630 132.856 169.988 263.507 218.410 299.81 242.823
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 15.81 11.76 20.17 7.56 25.15 12.15 3.352 9.49 9.769 9.212
[2,] 381.36 396.50 43.06 78.15 1681.62 521.05 6.447 632.72 747.783 232.275
[3,] 452.86 332.44 93.51 29.22 133.06 525.70 6.415 900.99 356.861 204.822
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 10.25 3.535 10.63 9.945 4.70 11.44 10.43 9.019 11.3
[2,] 436.13 57.271 504.44 198.047 38.30 530.91 509.39 591.097 242.1
[3,] 514.13 46.946 457.49 344.295 69.09 339.59 358.88 447.379 257.8
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 9.882 7.664 3.116 7.478 2.807 7.167 7.739 6.058 3.80
[2,] 298.822 64.845 30.134 77.339 12.952 236.456 375.582 199.277 12.50
[3,] 128.887 144.367 30.012 68.096 21.291 135.340 291.059 113.343 91.17
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 7.744 9.796 11.44 5.585 12.1 7.79 3.731 9.791 9.229
[2,] 438.494 172.507 407.20 10.546 436.7 169.75 88.387 535.061 439.045
[3,] 242.244 246.068 466.60 56.574 301.7 243.56 52.737 456.067 343.044
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 7.931 8.005 8.623 2.676 9.033 3.672 7.111 6.928 7.784
[2,] 435.803 548.958 58.391 4.348 361.257 86.811 171.140 52.930 437.528
[3,] 481.900 477.143 77.153 11.642 497.586 120.256 329.935 24.771 255.786
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 8.735 3.904 10.42 6.912 8.29 3.390 10.31 8.021 11.18
[2,] 593.346 92.700 287.12 39.682 450.71 9.110 136.04 409.436 209.74
[3,] 220.935 76.944 138.66 120.993 358.08 9.199 160.28 57.597 141.70
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.54 10.79 9.684 9.143 2.80 8.102 6.752 9.829 4.804
[2,] 500.56 188.59 472.947 415.836 11.86 473.643 140.800 396.844 66.922
[3,] 123.75 274.15 295.972 493.633 43.58 398.048 94.611 390.577 67.381
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 5.38 3.806 9.961 6.714 15.66 13.81 5.535 5.161 5.258
[2,] 17.64 111.417 169.761 48.972 273.17 178.09 28.026 293.761 280.837
[3,] 21.72 44.453 182.966 5.919 103.55 638.10 49.439 85.414 24.572
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.50 7.141 5.132 1.241 3.598 29.09 10.86
[2,] 229.69 101.880 111.392 27.702 45.032 1587.30 373.78
[3,] 22.08 203.703 49.102 40.321 82.730 840.45 926.01
[1] "--- VAR model 2017-10-06 07:01:00 completed"
[1] "Completed training sample: 2017-10-06 07:01:00 - 2017-10-06 15:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 07:31:00 - 2017-10-06 15:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.0564 0.083557 -9.090 -15.39
-1.5363 0.133026 -7.459 -20.11
-0.7539 -0.004603 -4.268 -14.77
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.13 0.08158 2.337 3.909
-24.47 0.48159 1.592 4.806
-25.63 0.03917 1.820 1.786
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.36759 1.825 1.1497 -21.73
0.25590 1.188 -0.9020 -20.74
-0.06306 2.416 0.4504 -20.61
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.985 -5.694 -6.699 -4.007
1.180 -2.634 -4.896 -3.631
3.356 -2.040 -4.480 -3.507
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.661 -9.830 -8.038 -2.721
-8.799 -9.484 -7.474 -1.292
-7.276 -8.253 -7.616 -1.208
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.339 -0.0337514 -29.18 -16.692
-6.830 0.0092511 -15.39 -10.289
-4.186 -0.0002053 -16.29 -6.163
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.27947 -20.450 -15.71 -1.272
-0.08692 -14.216 -19.46 -1.257
-0.19075 -7.222 -12.38 -1.007
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.14 -0.1597 -12.14 12.86
-19.57 0.1300 -15.47 14.40
-17.59 -0.6515 -17.40 12.54
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.133 -13.89 -19.86 -21.11
-2.006 -12.59 -10.99 -15.23
-2.449 -16.65 -14.39 -13.75
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.518 -20.86 2.866 0.6296
-7.970 -14.59 2.708 0.8386
-6.152 -15.65 2.187 0.6114
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.3596 -0.2026 -2.547 -12.18
-1.1938 -0.4041 -6.142 -13.82
-0.6725 -0.1827 -4.069 -17.94
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.8550 -0.8896 -10.78 0.4559
0.4400 -0.5913 -8.74 -0.4903
0.5155 -0.6443 -11.50 0.6438
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-8.263 -0.3658 -2.835 11.98
9.865 -0.1091 -13.294 13.11
-5.133 -0.4139 -4.329 10.53
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8171 -7.471 -10.241 -13.299
0.2243 -7.142 -1.726 -2.648
0.2122 -9.873 -10.216 -4.520
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-19.9925 -0.2686 0.03241 -3.584
-9.2152 -0.5449 0.23835 -18.090
-0.7133 -1.0164 0.15910 -6.539
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.506 -0.5597 -4.204 -20.403
-4.548 -10.5418 -3.132 -9.995
-4.129 -3.5847 -1.834 -15.523
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-21.79 -3.473 -23.41 4.757
-11.26 -2.333 -15.49 3.439
-15.70 -1.170 -19.21 2.316
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-29.10 1.4130 -13.19 -12.680
-22.09 1.0123 -16.79 -3.777
-14.29 0.4548 -13.31 -4.486
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.472 -12.271 0.7489 -1.899
3.153 -5.529 2.1044 -11.887
2.683 -7.454 1.9315 -5.294
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-8.502 -0.1217 -4.184 -2.162
-13.617 -0.2411 0.424 -1.187
-5.628 -0.1861 -9.900 -1.256
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.366 -0.2084 0.1810 -3.527
-2.432 -0.3018 -0.1814 -3.260
-9.796 -0.5972 -0.1280 -2.163
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-20.75 1.2367 -6.340 -5.887
-20.90 -0.8632 -3.780 -6.623
-15.83 1.9148 -3.115 -5.348
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.588 3.9464 3.697 -1.153
1.882 1.8589 1.419 2.890
1.578 0.5933 1.081 1.070
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.892 -1.05204 -13.44 -0.3765
-9.317 0.02368 -12.92 0.4979
-6.092 0.15419 -13.66 0.2316
rnd_95776.volume rnd_95787.volume
-26.52 -20.873
-6.19 -13.659
-7.80 -6.154
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.513 4.696 13.62 9.062 9.948 2.915 3.657 8.901 9.681 8.236 4.386
[2,] 6.535 4.707 13.66 10.069 11.316 2.918 3.749 8.924 9.686 9.235 4.884
[3,] 6.611 4.711 13.96 10.613 11.761 2.991 3.864 9.062 9.793 9.289 4.898
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.895 4.824 6.911 6.852 6.448 8.594 7.565 12.53 9.109 15.35 6.076
[2,] 8.067 4.824 7.509 7.321 6.599 9.226 8.753 13.06 9.786 15.35 6.109
[3,] 8.776 5.009 7.705 7.551 6.861 9.701 9.080 13.69 10.320 15.48 6.115
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.82 9.35 2.682 7.214 7.708 7.207 8.184 2.823 8.550 7.814 3.576
[2,] 25.63 10.83 2.682 9.355 10.392 7.587 9.051 2.875 9.771 8.030 3.684
[3,] 25.66 11.92 2.683 12.781 11.068 7.841 10.259 2.903 10.575 8.768 3.748
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.185 8.384 7.250 8.978 7.641 6.137 2.473 5.865 2.213 5.721 4.913
[2,] 10.366 9.731 8.985 9.383 8.532 6.181 2.493 5.925 2.216 6.188 6.376
[3,] 10.856 10.305 10.005 9.810 8.715 6.340 2.511 5.976 2.230 6.320 6.631
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.819 2.933 5.937 7.761 9.132 4.419 9.712 6.416 2.990 7.965 7.363
[2,] 5.093 2.934 7.000 7.942 10.036 4.420 10.648 6.561 2.991 9.552 8.449
[3,] 5.250 3.048 7.370 8.238 11.094 4.453 11.036 7.067 3.022 10.474 9.133
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.183 6.357 6.770 2.108 7.641 2.994 5.717 5.551 6.117 7.339 3.156
[2,] 7.633 8.461 6.795 2.108 8.366 3.101 5.930 5.634 7.501 9.397 3.277
[3,] 8.985 9.539 6.838 2.108 9.795 3.357 6.669 5.677 7.929 9.702 3.350
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.245 5.456 6.953 2.841 8.157 7.287 8.912 8.240 8.307 8.037 7.000
[2,] 9.017 5.478 8.055 2.861 8.242 7.978 9.122 9.588 8.415 8.636 8.078
[3,] 9.252 5.606 8.917 2.885 8.507 7.995 9.192 9.684 8.619 9.038 9.173
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.302 6.369 5.590 7.856 3.668 4.223 3.027 7.436 5.653 12.26 10.91
[2,] 2.310 7.930 5.874 8.725 3.710 4.225 3.210 7.659 5.659 12.62 11.05
[3,] 2.345 8.482 5.994 9.163 3.753 4.229 3.255 8.125 5.660 12.69 12.75
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.384 4.197 4.097 3.817 6.006 4.124 1.011 2.545 23.57 8.481
[2,] 4.385 4.931 4.754 4.679 6.140 4.269 1.039 2.701 27.99 9.241
[3,] 4.430 4.933 4.756 4.791 6.473 4.288 1.118 2.727 29.05 12.986
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.271 5.963 17.29 11.51 12.63 3.701 4.643 11.30 12.29
[2,] 80.054 49.376 165.55 651.50 800.86 19.006 122.813 96.39 49.56
[3,] 148.309 27.853 428.50 498.23 475.48 97.719 138.766 233.53 214.53
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.46 5.569 8.756 6.125 8.775 8.701 8.187 10.91 9.606
[2,] 620.29 319.084 621.472 11.128 436.204 383.094 208.914 498.01 653.765
[3,] 147.99 55.189 513.156 200.359 256.578 274.138 278.526 445.24 358.498
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.91 11.57 19.49 7.715 23.9 11.87 3.406 9.161 9.788
[2,] 544.84 531.03 68.13 93.839 2582.6 811.77 3.348 884.198 1034.598
[3,] 612.75 486.29 287.88 41.329 164.8 738.58 9.977 1292.746 565.576
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 9.152 10.39 3.585 10.86 9.923 4.541 11.66 10.65 9.206
[2,] 352.177 573.61 80.911 702.14 274.177 131.202 713.23 733.27 787.867
[3,] 293.801 717.05 59.326 600.35 522.720 103.011 478.94 503.65 653.515
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 11.4 9.703 7.793 3.14 7.448 2.811 7.265 6.238 6.119
[2,] 404.9 563.430 109.564 46.73 124.898 15.655 350.224 603.466 244.583
[3,] 425.0 264.060 209.593 45.30 115.921 37.838 190.412 270.054 189.198
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.724 7.539 9.856 11.6 5.611 12.33 8.148 3.797 10.11
[2,] 15.559 550.470 250.250 618.0 16.376 648.08 203.438 11.155 782.64
[3,] 122.573 342.282 324.821 701.9 80.494 431.03 389.871 64.469 638.00
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 9.35 7.852 8.073 8.597 2.677 9.703 3.802 7.26 7.049
[2,] 615.15 664.331 828.762 87.111 3.251 505.827 119.840 233.75 143.511
[3,] 514.70 703.744 654.011 113.398 2.709 756.356 191.003 452.88 103.449
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.768 9.319 4.008 10.47 6.928 8.829 3.608 10.36 9.253
[2,] 644.520 871.296 130.700 542.03 73.127 603.774 49.268 175.24 482.120
[3,] 381.367 358.342 103.746 307.55 177.176 567.694 55.724 312.94 77.277
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 11.32 10.46 10.55 10.21 8.889 2.924 8.088 7.099 9.976
[2,] 288.85 727.74 199.29 469.39 598.589 27.131 701.328 268.087 563.347
[3,] 168.98 201.80 276.86 395.81 645.070 60.490 446.888 176.833 415.777
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 4.658 5.362 3.844 9.442 7.179 15.57 13.85 5.567 5.33
[2,] 82.494 17.908 158.483 272.484 39.228 445.08 262.87 13.256 384.17
[3,] 84.992 27.845 80.809 402.828 10.160 189.88 943.35 93.104 20.92
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.203 4.847 7.627 5.237 1.283 3.231 29.93 10.77
[2,] 357.812 401.655 189.152 164.065 35.798 134.397 2240.03 544.85
[3,] 23.155 153.175 304.190 59.915 61.378 55.528 1157.85 1354.40
[1] "--- VAR model 2017-10-06 07:31:00 completed"
[1] "Completed training sample: 2017-10-06 07:31:00 - 2017-10-06 15:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 08:01:00 - 2017-10-06 16:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.476 -0.112983 -12.930 -22.37
-2.443 -0.103602 -10.297 -23.57
-1.305 -0.001963 -6.625 -22.11
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-36.19 0.6544 0.002474 -4.351
-33.30 2.9679 -0.231949 -3.778
-34.34 1.2326 -0.049257 -1.410
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.8801 -2.271 -1.22578 -34.78
-1.3683 -4.100 -0.09994 -34.28
-0.2955 -2.124 -0.31386 -35.66
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.693 -15.31 -17.98 -6.801
-6.049 -10.36 -13.19 -6.219
-4.465 -10.23 -12.49 -6.601
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-25.73 -19.26 -8.342 -14.02
-23.16 -20.29 -11.536 -16.61
-21.86 -18.60 -13.036 -16.85
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.234 -0.9190 -46.23 -26.68
-12.471 -0.1976 -30.49 -15.29
-9.562 -0.3333 -26.14 -11.80
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04350 -19.05 -19.56 1.791
-0.04501 -21.41 -25.21 1.526
-0.24536 -12.87 -18.08 1.168
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-27.77 -1.0836 -25.90 16.62
-21.60 -0.8555 -21.96 14.47
-24.45 -0.1755 -23.18 13.89
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.088 -25.47 -20.49 -20.47
-3.037 -22.83 -23.98 -23.83
-2.790 -23.07 -20.41 -20.40
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.1034 -17.80 8.256 -0.0140
0.8332 -18.70 8.127 -0.2463
-0.3577 -16.14 6.178 -0.2843
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.3432 -1.300 -7.784 -12.65
1.4112 -1.043 -6.792 -15.91
0.5707 -1.118 -7.314 -15.79
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.804 -0.4213 -13.78 2.0302
-1.464 -0.3387 -11.06 1.4374
-2.192 -0.6345 -13.06 -0.0017
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.32099 -1.5996 1.404 8.078
0.09483 -0.2829 -5.115 5.620
0.90499 0.1457 -5.233 6.290
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.36969 -8.818 -11.484 -1.871
-0.10939 -1.245 -4.435 -6.772
-0.05493 -6.497 -6.915 -2.439
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1407 -3.815 3.408 -13.041
-11.0738 -3.217 1.938 -8.137
-3.2893 -2.254 1.446 -15.311
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.719 -1.1916 -6.397 -6.426
-5.308 0.5899 -5.410 -7.034
-5.298 -5.1683 -5.467 -5.524
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.135 0.4593 -9.731 0.06377
-6.297 -0.4350 -8.305 -0.93039
-4.313 -0.8284 -6.759 -0.65120
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.425 1.672 -3.472 1.625
-10.255 1.750 -4.486 -1.834
-8.651 1.311 -4.122 -2.341
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.6507 -13.755 -3.235 -10.761
-1.5356 -8.786 -2.535 -2.038
-0.7774 -9.109 -2.370 -4.618
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-9.277 0.39194 -6.363 -2.873
-7.502 -0.08625 -9.890 -1.713
-5.883 -0.01453 -2.797 -1.305
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.061 -1.2910 -0.08691 -3.343
-6.390 -1.0474 -0.07499 -2.471
-4.854 -0.5367 -0.13885 -2.682
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-18.09 -0.13092 -5.691 -23.50
-16.00 0.06812 -4.185 -29.18
-14.79 -0.41972 -4.087 -24.75
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4991 -2.2987 -0.4580 0.6002
0.6772 0.2989 0.6332 -1.2152
-0.4482 0.4237 0.4970 0.3299
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.602 -0.29118 -10.38 0.6436
-4.763 0.29903 -10.02 -0.2825
-7.600 -0.06312 -10.42 -0.1620
rnd_95776.volume rnd_95787.volume
-11.570 -22.01
-13.255 -17.76
-9.165 -11.57
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.596 4.673 13.82 8.534 9.116 3.207 3.464 8.606 9.463 8.239 4.335
[2,] 6.638 4.684 13.94 9.532 10.417 3.207 3.543 8.607 9.480 9.208 4.772
[3,] 6.735 4.688 14.38 10.115 10.843 3.379 3.670 8.762 9.529 9.256 4.781
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.754 4.933 6.808 6.698 6.094 8.398 7.569 12.31 8.938 15.73 6.115
[2,] 8.015 4.934 7.576 7.115 6.226 9.071 8.731 12.85 9.641 15.78 6.150
[3,] 8.692 5.112 7.827 7.578 6.440 9.586 9.046 13.45 10.099 16.07 6.154
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.01 9.323 2.705 7.113 7.599 7.167 7.875 2.853 8.337 8.043 3.614
[2,] 26.02 10.901 2.705 9.399 10.353 7.508 8.727 2.906 9.518 8.319 3.706
[3,] 26.17 12.175 2.705 12.925 11.003 7.770 9.968 2.923 10.253 9.133 3.769
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.688 8.494 7.015 8.735 7.346 6.361 2.448 6.101 2.034 5.571 4.857
[2,] 9.931 9.486 8.673 9.228 8.032 6.430 2.469 6.170 2.070 6.217 6.188
[3,] 10.445 9.961 9.702 9.636 8.258 6.631 2.493 6.196 2.086 6.407 6.532
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.835 2.871 5.967 7.618 9.332 4.391 9.916 6.702 3.089 8.116 7.338
[2,] 5.212 2.872 7.020 7.808 10.307 4.392 10.775 6.885 3.090 9.858 8.357
[3,] 5.301 2.973 7.398 8.062 11.462 4.433 11.133 7.395 3.135 10.722 9.034
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.109 6.312 6.830 2.456 7.452 2.765 6.196 5.298 6.294 7.846 3.152
[2,] 7.916 8.525 6.917 2.494 8.841 2.776 6.356 5.431 7.489 9.409 3.283
[3,] 9.048 9.389 6.988 2.541 10.414 2.848 7.098 5.476 7.845 9.687 3.372
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.147 5.434 7.127 2.924 7.980 7.413 8.589 8.053 8.337 7.938 6.954
[2,] 8.807 5.450 8.118 2.951 8.083 8.039 9.170 9.427 8.459 8.497 7.957
[3,] 9.033 5.576 8.800 2.993 8.283 8.060 9.248 9.488 8.680 8.980 9.006
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.344 6.089 5.662 7.882 3.644 4.333 3.046 7.003 5.756 12.23 11.00
[2,] 2.351 7.734 5.979 8.724 3.696 4.335 3.207 7.352 5.756 12.64 11.13
[3,] 2.401 8.262 6.109 9.111 3.742 4.342 3.240 7.802 5.756 12.71 12.83
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.351 4.175 4.192 4.008 5.634 4.163 1.079 2.649 23.89 8.422
[2,] 4.368 4.716 4.659 4.763 5.987 4.315 1.102 2.812 28.50 9.263
[3,] 4.396 4.717 4.675 4.856 6.405 4.335 1.222 2.862 29.61 13.315
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.376 5.933 17.55 10.84 11.58 4.072 4.399 10.93 12.02
[2,] 151.906 66.725 373.28 866.53 1028.55 13.645 151.877 27.86 114.60
[3,] 232.626 39.294 719.35 690.71 613.89 217.047 195.225 335.52 197.80
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.46 5.505 8.576 6.265 8.645 8.505 7.738 10.66 9.611
[2,] 839.24 407.161 880.608 5.307 678.348 489.949 260.304 699.54 888.398
[3,] 192.01 59.493 686.704 273.388 400.630 532.047 336.636 632.64 483.120
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 15.63 11.35 19.98 7.766 24.14 11.84 3.435 9.032 9.649
[2,] 754.62 737.73 236.75 132.734 3625.62 1152.85 2.755 1253.868 1434.931
[3,] 807.81 613.18 619.46 46.165 573.96 1106.33 2.742 1810.258 759.866
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 9.102 10.0 3.623 10.59 10.21 4.589 11.03 10.79 8.907
[2,] 456.121 767.3 112.591 936.98 434.24 167.342 981.78 861.97 1040.870
[3,] 408.415 982.9 63.935 777.72 769.18 140.491 660.59 620.35 887.172
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 11.09 9.328 8.077 3.108 7.747 2.583 7.075 6.168 6.139
[2,] 607.42 662.681 192.325 66.002 188.822 77.846 563.087 782.350 397.449
[3,] 566.12 391.999 330.723 69.797 115.006 53.109 316.145 426.912 197.480
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.645 7.578 9.674 11.85 5.576 12.59 8.511 3.923
[2,] 14.905 754.399 349.612 893.30 15.543 860.27 321.225 6.637
[3,] 156.883 476.805 409.917 1023.05 123.797 571.82 550.709 108.207
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.31 9.318 7.758 8.015 8.673 3.118 9.463 3.511
[2,] 1141.94 815.932 1027.292 1169.329 223.611 88.651 970.656 49.307
[3,] 860.37 700.667 894.083 803.004 202.455 99.521 1123.141 130.030
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 7.868 6.728 7.993 9.963 4.002 10.35 6.90 9.05 3.713
[2,] 289.580 243.613 827.922 1059.945 187.847 682.78 85.39 793.03 81.591
[3,] 644.565 142.402 476.950 470.051 156.978 409.71 240.33 693.08 102.037
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 10.13 9.414 10.91 10.23 10.59 10.08 8.83 2.977 7.732
[2,] 263.26 634.643 656.00 1000.05 292.09 618.75 789.27 35.685 972.938
[3,] 369.21 116.919 243.88 218.08 397.65 592.50 860.88 99.861 593.096
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.189 10.01 4.628 5.502 3.868 8.893 7.309 15.53 13.97
[2,] 392.357 763.28 125.963 24.847 204.986 457.131 16.329 651.45 347.27
[3,] 255.784 535.68 119.271 50.121 93.833 532.446 7.608 272.10 1303.14
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 5.525 5.302 5.323 5.089 7.154 5.287 1.37 3.364
[2,] 79.928 447.493 415.239 525.170 413.418 231.385 46.17 192.274
[3,] 100.606 22.363 79.302 193.084 464.298 85.088 107.88 109.107
[,97] [,98]
[1,] 30.34 10.69
[2,] 3169.41 787.03
[3,] 1643.57 1951.75
[1] "--- VAR model 2017-10-06 08:01:00 completed"
[1] "Completed training sample: 2017-10-06 08:01:00 - 2017-10-06 16:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 08:31:00 - 2017-10-06 16:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.1298 -0.19067 -13.34 -18.94
-1.6600 -0.02756 -17.29 -10.76
-0.9321 -0.03841 -11.51 -25.67
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-29.43 0.5385 1.074 -1.9185
-25.15 2.9191 1.364 -1.6648
-21.09 0.7967 1.771 0.2164
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.4929 0.6464 -3.7405 -21.10
-1.0106 -1.5218 0.5326 -16.02
-0.2743 -0.7414 -0.2860 -16.89
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.217 -10.768 -8.713 -4.071
-5.815 -7.204 -8.038 -5.079
-2.493 -5.931 -6.558 -3.283
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.505 -9.652 -6.298 1.3434
-8.764 -11.087 -5.556 0.6402
-9.520 -10.199 -5.388 -0.2549
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.094 -1.189 -59.82 -25.29
-12.920 -0.271 -17.71 -15.07
-11.902 0.257 -24.62 -11.44
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1520 -5.872 -15.15 -4.116
-1.8145 -29.793 -18.70 -3.319
-0.4937 -7.203 -21.78 -2.877
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-23.63 -1.2672 -19.18 -6.282
-11.33 -1.0102 -15.67 -8.187
-24.61 -0.4439 -17.23 -6.973
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.965 -15.32 -14.86 -13.05
-3.134 -16.90 -17.06 -14.45
-2.655 -12.78 -11.58 -14.51
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.248 -9.407 8.427 -0.5862
-5.542 -11.060 10.952 -0.4439
-6.320 -13.723 9.394 -0.3548
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.36697 -0.3081 -3.590 -14.51
0.16112 -0.2438 -4.308 -15.34
0.02562 -0.1341 -4.570 -13.78
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.608 -0.5325 -13.914 -0.3739
2.876 0.3377 -7.609 -2.2403
2.172 -0.3831 -9.644 -0.8186
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.187 -1.1149 1.059 14.75
3.002 -1.1120 -8.282 16.95
2.754 -0.5392 -3.649 13.89
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4829 -6.140 -12.053 -10.356
0.7601 -4.364 -2.811 -5.235
0.3443 -9.483 -11.619 -5.970
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.413 -3.413 2.026 -15.75
-9.731 -2.254 1.979 -15.57
-1.994 -2.748 1.396 -12.84
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.887 -8.723 -6.186 -3.121
-4.992 -6.987 -6.992 -9.884
-6.010 -5.787 -5.796 -10.271
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.575 -0.3542 -12.14 -0.3721
-11.989 0.1137 -13.20 -0.5260
-10.226 -0.9843 -13.10 -0.3595
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.970 1.0823 -7.058 -12.337
-5.477 0.5729 -8.295 -4.857
-11.512 0.3459 -7.764 -4.758
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.802 -9.567 -3.334 -8.687
-1.404 -5.815 -2.580 -13.222
-1.198 -8.053 -1.472 -7.054
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-11.406 0.5533 -6.819 -1.9806
-11.091 0.8345 -7.384 -1.3646
-5.816 0.4715 -9.959 -0.9177
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.652 -0.66190 0.8606 0.1822
-7.513 -0.49806 0.5365 -1.2883
-9.637 -0.07553 0.2686 -1.5340
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.907 -0.4162 -2.2144 -23.87
-9.496 -0.2761 -0.6031 -19.85
-11.868 -0.2495 -2.9948 -20.51
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.620 -3.67554 2.101 2.59122
-3.877 1.93333 2.957 -0.23400
1.116 0.07356 -1.730 0.08112
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.765 -0.68178 -11.69 1.3976
-5.829 -0.25889 -10.94 1.1747
-5.367 0.09652 -10.85 0.9939
rnd_95776.volume rnd_95787.volume
-20.293 -9.765
-16.542 -30.044
-8.007 -7.202
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.445 4.701 12.60 7.976 8.912 3.505 3.266 8.527 9.575 8.272 4.266
[2,] 6.544 4.719 12.71 8.896 9.954 3.517 3.320 8.528 9.602 9.276 4.723
[3,] 6.693 4.724 12.88 9.422 10.315 3.838 3.430 8.621 9.628 9.332 4.727
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.556 5.163 6.152 6.550 5.832 8.256 7.584 12.71 8.796 14.97 5.770
[2,] 7.721 5.165 6.741 6.856 6.014 8.536 8.592 13.18 9.288 15.36 5.792
[3,] 8.366 5.327 7.076 7.245 6.230 9.035 8.770 13.83 9.711 15.60 5.796
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.23 9.214 2.659 6.894 6.979 6.600 7.331 2.894 8.114 7.929 3.467
[2,] 25.20 10.937 2.713 9.127 9.716 6.750 8.249 2.942 9.189 8.173 3.517
[3,] 25.87 11.997 2.762 12.305 10.399 6.982 9.382 2.958 9.857 9.111 3.567
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.551 8.341 6.989 8.466 7.434 6.649 2.400 6.336 2.025 5.564 4.804
[2,] 9.731 9.134 8.562 9.032 7.984 6.767 2.416 6.415 2.033 6.200 6.052
[3,] 10.077 9.606 9.583 9.438 8.201 7.025 2.441 6.430 2.058 6.333 6.394
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.733 2.816 5.862 7.391 9.394 4.282 9.74 6.749 3.086 8.319 7.467
[2,] 5.127 2.817 6.947 7.535 10.428 4.284 10.53 6.939 3.088 10.273 8.435
[3,] 5.215 2.918 7.329 7.735 11.795 4.303 10.84 7.485 3.147 10.874 9.104
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.083 6.247 6.848 2.499 7.430 2.721 6.349 5.218 6.416 7.983 3.388
[2,] 8.137 8.890 6.900 2.555 8.572 2.733 6.471 5.323 7.540 9.377 3.496
[3,] 9.329 9.703 6.983 2.629 10.514 2.814 7.172 5.359 7.822 9.614 3.554
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.221 5.398 7.222 3.069 8.015 8.123 9.000 7.755 8.388 7.872 7.028
[2,] 8.813 5.412 8.017 3.083 8.169 8.671 9.242 9.288 8.531 8.390 7.984
[3,] 9.120 5.546 8.594 3.131 8.397 8.704 9.291 9.376 8.735 8.782 8.843
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.412 6.268 5.923 7.970 3.718 4.366 3.043 6.774 6.125 12.16 10.29
[2,] 2.420 7.800 6.399 8.688 3.772 4.368 3.215 7.113 6.127 12.59 10.45
[3,] 2.470 8.170 6.633 8.999 3.827 4.388 3.245 7.501 6.127 12.68 11.68
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.474 4.076 4.267 4.669 5.711 4.206 1.228 2.843 24.01 8.276
[2,] 3.952 4.591 4.494 4.671 6.037 4.336 1.236 3.030 28.41 9.150
[3,] 4.463 4.595 4.571 4.761 6.449 4.357 1.436 3.105 29.44 12.463
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.184 5.969 16.0 10.13 11.32 4.451 4.148 10.83 12.16
[2,] 265.338 95.971 381.7 917.80 1032.67 67.438 138.426 25.86 165.02
[3,] 327.129 51.701 494.7 722.59 629.77 357.992 200.388 295.26 165.46
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.5 5.417 8.325 6.556 7.812 8.317 7.406 10.48 9.631
[2,] 977.8 472.317 949.942 35.408 642.044 471.806 341.566 504.84 940.179
[3,] 239.0 47.495 750.478 303.918 501.294 545.460 378.796 689.86 409.610
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 16.14 11.17 19.01 7.327 23.15 11.7 3.376 8.754 8.862
[2,] 812.48 694.62 804.20 116.831 4051.76 1372.4 124.994 1392.980 1574.494
[3,] 974.00 659.94 629.46 51.272 1367.15 1148.5 121.206 1922.247 862.944
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.381 9.309 3.675 10.3 10.07 4.403 10.86 10.59
[2,] 328.942 881.199 123.255 1004.5 461.01 137.894 1081.67 866.86
[3,] 416.296 1041.005 71.429 830.8 938.15 138.561 610.03 692.96
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.875 10.75 9.44 8.443 3.048 8.045 2.571 7.065 6.1
[2,] 1152.008 732.60 678.01 292.631 63.550 235.011 43.846 637.250 857.2
[3,] 1002.458 638.11 436.86 439.599 80.983 99.659 74.833 300.874 481.2
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.01 3.576 7.443 9.385 11.93 5.438 12.37 8.571 3.919
[2,] 458.78 16.005 868.600 341.885 1054.80 26.919 933.56 375.791 22.947
[3,] 222.81 177.253 543.877 407.211 1283.30 95.643 601.89 653.124 141.172
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.56 9.482 7.725 7.933 8.695 3.173 9.435 3.455
[2,] 1403.99 913.998 1258.545 1473.295 198.203 124.559 995.636 59.958
[3,] 830.32 797.373 1062.766 905.240 249.041 144.018 1417.938 156.371
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 8.063 6.626 8.147 10.14 4.302 10.44 6.855 9.17 3.897
[2,] 291.044 245.823 922.753 1145.95 200.995 739.56 89.456 810.65 68.468
[3,] 720.440 144.259 484.782 493.46 149.733 546.87 282.641 721.04 127.982
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 10.18 10.32 11.43 9.847 10.65 9.996 8.925 3.062 7.959
[2,] 367.66 706.30 489.06 1190.666 363.33 676.063 882.211 47.763 1081.401
[3,] 452.55 177.59 221.67 298.781 436.26 604.414 885.542 115.169 565.898
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.522 10.12 4.721 5.544 3.864 8.601 7.777 15.44 13.06
[2,] 564.076 805.50 148.339 27.351 242.030 505.596 41.109 756.86 422.20
[3,] 406.409 546.38 151.366 97.495 101.353 554.627 8.443 352.56 1216.38
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.411 5.175 5.418 5.929 7.252 5.341 1.559 3.61
[2,] 438.953 492.201 328.580 28.035 456.255 245.010 33.121 244.16
[3,] 482.969 42.646 194.753 214.911 528.317 99.871 170.100 158.10
[,97] [,98]
[1,] 30.48 10.51
[2,] 3539.78 909.35
[3,] 1797.64 1970.62
[1] "--- VAR model 2017-10-06 08:31:00 completed"
[1] "Completed training sample: 2017-10-06 08:31:00 - 2017-10-06 16:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 09:01:00 - 2017-10-06 17:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.800 -0.6908 -10.187 -10.340
-3.063 -0.4175 -14.064 -16.411
-2.228 -0.1986 -9.602 -4.825
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.27 -1.9461 -1.2156 1.327
-11.40 1.4664 -1.1028 1.023
-17.25 -0.1109 -0.9021 1.238
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.269955 3.4350 0.61427 -12.89
0.125981 1.1888 -0.04673 -12.47
0.001396 0.9738 0.01500 -10.68
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.0033 -0.3599 -0.3158 0.2848
0.8745 1.2999 -1.2858 0.8082
2.8368 -1.2979 -2.5777 -0.3742
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.144 -7.047 3.053 9.389
-5.053 -2.170 6.117 8.692
-3.000 -3.945 3.702 8.868
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.261 -0.17314 -5.949 -3.949
-9.781 -0.09306 -21.470 -9.709
-4.619 -0.03194 -20.742 -8.185
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.9509 -20.610 -20.687 -0.8177
-0.2106 -2.547 -11.586 -1.0262
-0.5582 -10.514 -7.786 -0.7184
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.355 -0.8441 -10.08 -1.3770
-18.759 -0.3904 -15.90 0.1652
-5.833 -0.6596 -11.92 0.1205
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.368 -10.36 -15.984 -14.295
-2.501 -10.52 -5.541 -9.800
-2.468 -13.34 -14.119 -9.063
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.944 -11.624 5.129 -0.05269
-6.203 -9.799 5.280 -0.38493
-5.660 -6.304 4.323 -0.29012
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.6036 -0.26836 -3.261 -7.517
-0.6047 -0.14723 -5.145 -11.186
-0.2150 -0.05786 -2.573 -11.623
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.989 0.6625 -9.490 1.408
3.969 0.6384 -2.703 2.129
3.881 0.3597 -6.498 1.380
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.2446 0.63067 -6.3540 14.61
-3.4403 1.42352 -0.2644 13.42
-1.9727 0.03485 -3.2041 12.75
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.79497 -10.2340 -1.952 9.5522
0.27882 0.4695 -6.784 -8.8949
0.00796 -3.6602 -3.046 -0.2696
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.0253 -3.104 1.695 2.41296
-0.8701 -4.081 1.791 0.04009
-7.0789 -2.898 1.708 -7.56010
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.430 0.3055 -1.993 -1.444
-4.432 1.8274 -2.977 -1.374
-4.557 -1.1607 -2.678 -1.491
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.610 2.049 -4.720 -0.2558
-2.648 1.398 -5.167 -0.5707
-3.180 0.791 -4.326 -0.3442
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-12.719 2.1434 -8.802 -3.124
-3.828 1.2485 -10.274 -4.763
-5.374 0.8368 -5.607 -5.462
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.225 -8.940 0.2121 -8.199
2.383 -7.141 1.0544 -5.102
1.052 -6.332 0.9373 -5.962
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.199 0.3846 -1.536 12.135
-3.571 -0.2697 -4.769 7.498
-5.110 -0.1566 -3.677 3.559
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.278 1.5666 0.6376 -2.829
-1.274 0.9982 0.9014 -1.770
-3.298 0.5881 0.4613 -1.353
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-10.987 0.3567 -0.30828 -11.203
-8.633 -0.9570 -0.01884 -9.587
-7.260 -0.3754 -0.11177 -7.538
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.4874 3.1231 -0.3092 -1.2372
1.9862 -1.1058 -1.4129 0.1337
-0.1716 -0.1746 -0.6026 -0.0739
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.9486 -0.01244 -9.378 0.9763
0.2499 0.08036 -9.337 1.2150
-3.8231 0.15171 -9.414 1.1072
rnd_95776.volume rnd_95787.volume
11.446 -17.808
-12.358 -4.819
-2.188 -11.607
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.447 4.791 12.49 8.007 9.384 3.797 3.137 8.500 9.507 8.204 4.349
[2,] 6.567 4.807 12.65 8.709 10.179 3.821 3.169 8.500 9.533 9.266 4.819
[3,] 6.751 4.815 12.82 9.150 10.570 4.183 3.269 8.625 9.558 9.323 4.825
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.372 5.197 6.328 5.970 5.714 7.123 6.633 11.71 8.577 14.09 5.891
[2,] 7.541 5.201 6.962 6.260 5.877 7.789 7.604 12.33 9.083 14.41 5.910
[3,] 8.152 5.374 7.095 6.687 6.073 8.251 7.807 12.79 9.491 14.68 5.913
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.13 8.86 2.771 6.653 6.929 6.359 7.523 2.898 8.340 7.651 3.413
[2,] 22.57 10.46 2.826 8.806 9.611 6.439 8.365 2.944 9.289 7.928 3.485
[3,] 23.81 11.41 2.867 11.331 10.223 6.665 9.453 2.974 9.815 8.791 3.535
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.581 8.232 6.959 8.263 7.406 7.084 2.381 6.480 2.012 5.408 4.607
[2,] 9.434 8.990 8.592 8.796 7.842 7.296 2.395 6.608 2.021 5.990 5.879
[3,] 9.646 9.438 9.500 9.180 8.129 7.588 2.419 6.624 2.051 6.134 6.232
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.834 2.822 5.760 7.161 9.523 4.304 9.577 6.772 3.141 8.419 7.382
[2,] 5.127 2.829 6.794 7.271 10.605 4.305 10.384 6.964 3.150 10.280 8.394
[3,] 5.281 2.856 7.220 7.445 12.087 4.325 10.623 7.519 3.207 10.880 9.048
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.084 5.851 6.740 2.473 7.712 2.661 6.486 5.095 6.613 7.991 3.544
[2,] 8.248 8.740 6.804 2.543 8.702 2.668 6.623 5.184 7.622 9.323 3.601
[3,] 9.301 9.451 6.866 2.622 10.664 2.746 7.282 5.234 7.824 9.600 3.654
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.229 5.349 7.372 3.134 7.794 8.430 9.119 7.924 8.641 7.670 7.015
[2,] 8.684 5.366 8.052 3.156 7.931 8.885 9.418 9.312 8.907 8.050 7.996
[3,] 8.958 5.495 8.528 3.205 8.186 8.923 9.458 9.439 9.140 8.391 8.709
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.450 6.493 5.668 8.049 3.560 4.339 3.063 6.668 6.397 12.08 10.12
[2,] 2.456 7.752 6.282 8.647 3.691 4.343 3.218 6.998 6.400 12.58 10.28
[3,] 2.508 8.030 6.542 8.902 3.743 4.362 3.241 7.342 6.400 12.68 11.33
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.233 4.042 4.398 4.521 5.552 4.248 1.273 2.904 21.99 8.184
[2,] 3.899 4.626 4.407 4.522 5.858 4.371 1.277 3.119 26.28 8.969
[3,] 4.405 4.633 4.485 4.643 6.209 4.400 1.523 3.204 28.28 11.778
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.186 6.083 15.86 10.17 11.92 4.822 3.983 10.79 12.07
[2,] 303.794 97.412 485.48 831.61 957.48 103.920 109.590 12.39 172.93
[3,] 379.824 66.539 514.47 681.30 691.03 412.999 194.819 353.91 168.70
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.42 5.522 8.092 6.599 8.035 7.581 7.256 9.045
[2,] 1045.43 504.237 978.857 50.561 704.670 456.962 334.168 764.965
[3,] 250.54 57.432 751.471 329.034 332.644 570.521 371.330 660.919
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.422 14.87 10.89 17.9 7.481 21.76 11.25 3.519 8.448
[2,] 902.778 938.49 725.82 731.6 113.818 3567.55 1347.60 134.845 1400.315
[3,] 429.503 820.86 668.18 674.5 48.715 1840.71 1110.95 116.791 1730.586
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.798 8.075 9.553 3.68 10.59 9.716 4.334 10.9 10.45
[2,] 1616.509 246.304 888.025 125.20 993.05 504.546 170.931 951.7 876.69
[3,] 846.149 417.259 1068.750 102.73 769.46 921.457 143.037 487.4 697.14
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.837 10.49 9.404 8.996 3.023 8.228 2.555 6.867 5.85
[2,] 1223.197 732.41 626.237 423.998 64.637 314.594 45.291 625.191 886.51
[3,] 984.025 637.67 519.556 505.583 82.054 112.540 84.696 320.775 501.84
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.138 3.583 7.315 9.093 12.09 5.466 12.16 8.6 3.988
[2,] 414.552 48.843 874.342 305.380 1132.58 26.885 974.54 393.6 58.485
[3,] 307.941 95.673 593.194 388.722 1407.72 98.985 544.20 688.6 146.875
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.69 9.374 7.726 7.43 8.559 3.14 9.793 3.379
[2,] 1431.48 969.719 1351.689 1575.83 225.439 143.67 978.298 48.872
[3,] 865.21 819.876 1043.216 872.66 223.417 155.74 1496.213 157.734
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 8.237 6.47 8.397 10.15 4.501 10.45 6.792 9.362 3.979
[2,] 325.210 231.28 920.101 1165.47 154.490 673.37 105.938 785.902 91.786
[3,] 734.860 175.31 428.943 555.99 149.930 533.86 286.784 681.885 135.539
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.897 10.71 11.58 10.06 10.97 9.74 8.908 3.111 8.246
[2,] 355.489 680.99 571.71 1187.34 524.74 593.00 931.193 41.919 1027.499
[3,] 492.548 198.58 212.44 374.69 498.13 574.73 837.690 123.233 509.100
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.198 10.22 4.52 5.51 3.89 8.467 8.123 15.35 12.85
[2,] 657.321 767.19 237.26 44.47 239.07 515.501 47.918 850.83 441.93
[3,] 443.527 513.18 151.03 100.55 94.05 539.514 20.432 376.62 1157.46
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.106 5.133 5.585 5.741 7.05 5.394 1.616 3.687
[2,] 528.869 545.895 67.290 23.095 453.59 250.539 24.765 276.399
[3,] 497.717 62.629 202.252 255.575 499.82 121.207 201.302 177.879
[,97] [,98]
[1,] 27.92 10.39
[2,] 3493.30 890.66
[3,] 2538.94 1852.98
[1] "--- VAR model 2017-10-06 09:01:00 completed"
[1] "Completed training sample: 2017-10-06 09:01:00 - 2017-10-06 17:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 09:31:00 - 2017-10-06 17:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6133 0.2735 -7.478 -14.73
-0.7758 0.2331 -12.983 -13.47
-0.5313 0.1282 -7.036 -17.43
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-25.16 3.453 2.0251 3.999
-21.46 1.193 1.5374 4.875
-24.25 1.557 0.4034 3.205
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6808 8.804 6.0305 -9.01
1.7427 3.830 -0.6197 -16.65
-0.4370 3.507 0.4976 -13.19
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.9444 1.5337 -0.9101 -1.4213
0.7024 -0.7597 0.4510 -1.1608
-0.4181 -3.5932 -3.4868 -0.6256
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.490 -7.527 -16.922 -17.262
-1.780 -6.805 -12.687 -5.682
-6.126 -3.439 -8.901 -7.821
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.972 -0.3995 -46.73 -18.827
-11.332 -0.0790 -28.66 -15.961
-10.119 -0.1407 -21.00 -7.885
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.7772 -10.46 -17.49 1.520
-1.3511 -24.64 -16.00 2.163
-0.8664 -10.20 -19.18 1.505
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.78 0.09456 -10.90 3.305
-13.76 0.05035 -13.81 3.002
-16.28 0.20566 -16.27 2.690
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.485 -8.337 -11.13 -12.29
-2.103 -13.756 -10.93 -13.54
-2.398 -15.364 -11.89 -15.06
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.548 -15.34 4.638 0.06902
-4.966 -15.07 3.713 0.08101
-5.029 -14.45 2.671 0.49299
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8749 -0.4129 -3.301 -5.867
-0.3578 -0.3021 -2.942 -16.077
-0.1593 -0.1614 -3.365 -8.885
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.2531 -0.0854 -10.604 -3.18567
-2.4324 0.1459 -4.904 -0.07958
-0.9799 0.1276 -12.459 0.11783
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.091 -0.4790 -3.661 14.44
-1.372 0.3977 -5.274 14.85
3.373 0.1014 -2.664 14.67
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.566 -6.053 -10.991 -11.065
2.116 -5.250 -5.432 -7.055
1.685 -7.356 -6.655 -5.245
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.983 -3.514 1.31177 -14.33
-9.281 -1.995 0.46164 -9.27
-4.936 -3.290 -0.00497 -11.72
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.530 -2.29333 -2.873 6.379
-3.085 -0.04133 -4.019 -3.537
-5.324 -3.47782 -4.997 -3.163
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.149 1.6241 -0.9978 0.12411
-4.122 0.9792 -3.8145 0.02156
-4.706 0.5831 -6.7197 -0.03266
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.6606 5.018 -9.060 -5.417
-0.2888 3.975 -8.023 -5.602
-5.4740 3.003 -6.451 -3.397
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.9823 -5.525 -1.1222 -6.329
-0.8409 -5.701 -1.0075 -7.149
-0.1471 -5.162 -0.6224 -6.214
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.731 -0.528799 -4.243 -0.06899
-5.483 -0.052578 -4.133 0.12328
-5.191 -0.004289 -5.543 0.06010
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.540 -0.1193 0.985251 -0.9714
-3.161 -0.1846 -0.002030 -1.8097
-3.880 -0.2357 -0.003801 -1.9734
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-12.60 0.3768 -3.857 -8.077
-12.41 0.1538 -2.451 -8.392
-11.90 -0.3760 -2.466 -7.337
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
11.637 1.932 3.720 3.773
1.393 2.092 3.386 1.858
1.526 1.970 1.992 1.238
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.899 0.3342 -11.290 0.9157
-6.021 0.1281 -7.946 1.2798
-6.351 -0.1451 -9.571 0.8030
rnd_95776.volume rnd_95787.volume
-9.848 -12.349
-9.946 -23.215
-10.044 -8.342
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.333 4.799 12.21 8.018 9.463 4.004 3.140 8.723 9.675 8.283 4.419
[2,] 6.487 4.808 12.24 8.656 10.093 4.027 3.175 8.724 9.689 9.479 4.885
[3,] 6.680 4.814 12.39 9.103 10.443 4.384 3.253 8.825 9.714 9.526 4.893
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.476 5.497 6.045 5.957 5.787 7.238 6.910 11.89 8.898 14.09 5.791
[2,] 7.535 5.508 6.636 6.238 5.988 7.816 7.840 12.32 9.375 14.34 5.808
[3,] 8.151 5.644 6.702 6.663 6.153 8.300 8.063 12.66 9.675 14.61 5.809
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.90 8.875 2.835 6.615 6.841 6.213 7.466 2.946 8.304 7.456 3.430
[2,] 22.03 10.262 2.887 8.797 9.448 6.282 8.251 2.983 9.214 7.866 3.487
[3,] 23.33 11.324 2.926 11.165 9.966 6.558 9.284 3.010 9.630 8.630 3.543
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.542 8.626 7.127 8.065 7.411 7.364 2.358 6.585 1.996 5.346 4.506
[2,] 9.316 9.277 8.517 8.684 7.716 7.688 2.369 6.722 2.006 5.984 5.784
[3,] 9.538 9.677 9.278 9.120 7.893 8.003 2.385 6.742 2.037 6.105 6.135
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.791 2.848 5.716 7.203 9.495 4.442 9.798 6.881 3.187 8.409 7.412
[2,] 5.112 2.855 6.779 7.306 10.671 4.442 10.484 7.074 3.207 10.256 8.407
[3,] 5.278 2.884 7.174 7.515 12.291 4.446 10.753 7.648 3.283 10.816 9.023
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.156 5.677 6.683 2.568 7.881 2.638 6.546 5.115 6.745 8.014 3.681
[2,] 8.242 8.744 6.747 2.635 8.746 2.651 6.650 5.207 7.744 9.276 3.737
[3,] 9.254 9.573 6.801 2.719 10.770 2.739 7.291 5.254 7.870 9.489 3.790
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.268 5.240 7.275 3.290 7.772 8.600 9.197 7.994 8.434 7.341 7.094
[2,] 8.592 5.255 8.009 3.344 7.930 8.854 9.661 9.167 8.822 7.615 7.841
[3,] 8.913 5.391 8.516 3.450 8.193 8.872 9.740 9.281 9.169 7.979 8.394
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.468 6.431 5.818 8.015 3.614 4.376 3.107 6.912 6.436 11.85 9.768
[2,] 2.476 7.584 6.572 8.610 3.730 4.381 3.246 7.380 6.445 12.36 9.970
[3,] 2.536 7.759 6.867 8.846 3.777 4.404 3.261 7.671 6.446 12.48 10.833
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.101 3.951 4.580 4.712 5.593 4.240 1.392 2.933 21.19 8.000
[2,] 3.885 5.007 4.605 4.723 5.834 4.357 1.396 3.156 25.43 8.837
[3,] 4.631 5.021 4.693 4.865 6.202 4.389 1.688 3.251 27.35 11.674
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.042 6.093 15.5 10.18 12.02 5.084 3.987 11.08 12.29
[2,] 340.853 74.402 232.2 791.54 851.48 105.071 114.678 27.79 126.55
[3,] 386.518 54.887 465.4 683.77 650.89 420.011 171.953 323.89 170.32
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.52 5.611 8.224 6.981 7.677 7.565 7.349 9.191
[2,] 1118.30 505.484 934.257 85.280 664.088 448.735 373.158 715.603
[3,] 228.85 65.216 754.271 298.177 226.349 568.131 343.724 677.620
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.775 15.09 11.3 17.89 7.354 21.47 11.27 3.6 8.401
[2,] 898.221 782.01 716.8 655.84 106.261 3426.96 1249.54 132.7 1406.510
[3,] 456.680 714.43 579.9 675.33 25.825 1859.48 1161.78 115.3 1667.810
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.687 7.889 9.48 3.741 10.54 9.468 4.356 10.85 10.95
[2,] 1581.036 225.044 852.30 113.338 968.41 608.373 152.450 901.70 828.18
[3,] 768.836 456.587 1032.59 97.520 679.11 860.934 151.623 496.81 668.04
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.05 10.24 9.411 9.352 2.994 8.362 2.535 6.788 5.722
[2,] 1131.29 781.11 520.868 535.044 56.293 327.198 47.769 652.293 879.674
[3,] 892.70 675.50 403.707 540.055 67.403 126.509 86.133 294.300 496.448
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.084 3.617 7.259 9.146 12.06 5.641 12.44 8.738 4.047
[2,] 432.117 45.401 883.994 296.942 1181.63 4.717 904.90 397.820 86.154
[3,] 318.537 100.295 569.764 427.049 1479.38 42.592 579.61 705.527 170.901
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.68 9.412 7.817 7.209 8.486 3.261 10.01 3.35
[2,] 1424.28 962.412 1329.518 1613.342 224.940 143.280 919.67 65.02
[3,] 833.50 795.130 1020.680 944.916 207.549 162.161 1524.78 166.81
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 8.312 6.496 8.565 10.18 4.674 10.5 6.653 9.238 4.178
[2,] 284.301 236.316 922.962 1133.00 157.496 566.8 96.243 812.986 145.775
[3,] 725.068 170.029 339.295 485.75 152.270 575.0 292.031 702.035 205.718
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.87 10.92 11.68 10.15 10.71 9.322 9.009 3.134 8.166
[2,] 382.26 510.99 717.92 1088.48 628.26 490.712 810.275 46.028 975.293
[3,] 499.34 135.89 299.22 351.58 605.61 578.236 726.441 133.448 397.414
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.388 10.18 4.589 5.557 3.946 8.777 8.173 15.04 12.4
[2,] 741.057 763.05 224.167 51.351 227.582 627.342 85.702 853.03 485.5
[3,] 483.796 491.78 143.667 110.029 76.526 507.691 28.018 425.16 1028.0
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.938 5.017 5.816 5.983 7.102 5.384 1.768 3.725
[2,] 567.592 746.422 116.376 80.091 402.781 244.315 25.325 282.698
[3,] 611.624 89.208 219.721 283.246 510.087 128.068 230.002 188.589
[,97] [,98]
[1,] 26.9 10.16
[2,] 3409.8 910.72
[3,] 2445.9 1850.31
[1] "--- VAR model 2017-10-06 09:31:00 completed"
[1] "Completed training sample: 2017-10-06 09:31:00 - 2017-10-06 17:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 10:01:00 - 2017-10-06 18:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.133 0.9209 -9.420 0.9654
2.699 0.4680 -2.607 -0.4275
2.134 0.1673 -3.603 -2.9984
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.628 -0.01841 3.599 2.58203
-6.360 -2.15070 2.213 1.72409
-4.477 -0.39598 1.637 0.02295
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.07921 -1.8122 2.06177 -15.24
0.80478 2.5410 0.01089 -15.72
-0.30207 0.8316 0.28310 -15.03
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5447 -0.4204 0.09849 -5.214
0.3893 -2.4686 -2.06991 -4.935
0.5744 -2.2683 -1.28154 -3.650
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.414 -8.424 -0.1066 2.102
-7.650 -7.365 -0.3525 2.160
-6.902 -5.233 -0.8310 1.310
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.303 -0.3015 12.18 0.1402
-5.447 -0.2815 -15.42 -6.0851
-6.223 -0.3866 -13.99 -7.5305
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.7629 5.032 11.059 1.727
0.2735 3.003 -1.263 1.876
-0.5305 -7.988 -2.106 1.326
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.300 -0.7117 -6.141 -6.960
2.047 -0.6528 -0.613 -6.235
-0.855 0.2001 -1.532 -5.499
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.3039 -13.41 -6.395 -1.184
-1.8393 -3.06 -3.432 -7.515
-0.5192 -1.47 -1.988 -3.913
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.328 -12.953 -0.9231 0.1278
-6.690 -6.527 -0.3334 -0.5063
-5.297 -3.378 -0.3089 -0.2801
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.3376 0.4497 0.6426 -5.963
-2.0792 0.5790 -2.0746 -6.286
-0.7823 0.3404 -1.5771 -8.176
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.751 -0.01957 -6.7697 -3.775
3.905 -0.07165 -0.7422 2.002
2.684 -0.06206 -2.4684 1.448
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
16.4759 1.3536 -2.117 12.19
-0.5168 -0.6199 6.471 13.21
4.1017 0.1787 -4.586 14.99
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3163 0.3018 0.4565 5.788
-0.3662 7.3292 -1.9464 -1.271
0.2236 -0.8958 3.7341 7.399
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.76333 -0.4358 0.02983 15.0025
0.38990 1.0452 -0.19425 2.0839
-0.06231 1.5848 0.16217 -0.6164
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.834 5.1243 -4.327 -8.942
-2.003 0.5149 -2.812 -1.943
-1.602 0.9010 -2.216 -1.585
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.245 2.072 -7.9422 0.01226
1.223 1.945 -4.1443 -0.64675
-1.128 1.617 -0.5742 -0.37599
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.1825 0.9659 -1.7664 0.5168
-7.0701 1.3818 1.1665 0.2188
0.1571 1.3251 -0.3182 -1.7241
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.9291 2.7960 4.426 -3.905
2.3086 -0.7716 3.434 -4.187
0.1144 1.3028 2.296 -2.662
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.768 1.0895 -7.593 6.374
-0.866 0.3623 -2.444 4.213
-1.590 0.1717 -2.758 2.788
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.643 1.33115 1.393 -1.4788
-4.190 0.33389 2.361 -1.6417
-1.317 -0.02186 1.341 -0.8925
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.837 0.4375 1.4468 0.4767
-6.551 0.3475 0.3656 -4.8525
-2.458 0.9328 1.9044 -1.6583
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2016 -3.0089 -0.05587 0.73382
-1.4651 0.9576 -0.94862 0.01592
0.4229 -0.4257 -0.63335 0.12368
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.3116 1.34443 -11.94 3.1975
-0.4487 -0.49567 -11.11 0.8224
-1.7629 -0.08849 -11.64 1.3119
rnd_95776.volume rnd_95787.volume
45.02 -5.483
-23.41 1.211
15.25 -8.757
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.235 4.867 12.23 8.070 9.801 4.185 3.175 8.842 9.685 8.200 4.402
[2,] 6.431 4.877 12.29 8.782 10.328 4.199 3.214 8.845 9.690 9.494 4.878
[3,] 6.659 4.886 12.41 9.223 10.642 4.508 3.271 8.955 9.723 9.531 4.886
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.452 5.579 6.039 6.084 5.748 7.435 7.053 13.24 9.025 14.01 5.888
[2,] 7.496 5.589 6.692 6.360 5.973 7.916 7.809 13.64 9.403 14.37 5.922
[3,] 8.106 5.717 6.799 6.701 6.149 8.317 8.039 14.22 9.767 14.75 5.930
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.07 8.691 2.890 6.641 6.732 6.196 7.444 3.079 8.341 7.429 3.412
[2,] 21.98 9.989 2.946 8.789 9.261 6.269 8.331 3.127 9.256 7.833 3.463
[3,] 23.36 11.135 2.982 11.073 9.816 6.596 9.283 3.181 9.639 8.572 3.485
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.842 8.608 7.318 8.079 7.261 7.330 2.328 6.695 1.973 5.365 5.443
[2,] 9.579 9.134 8.693 8.827 7.557 7.659 2.341 6.863 1.984 5.997 6.387
[3,] 9.865 9.516 9.359 9.337 7.742 8.003 2.352 6.889 2.018 6.109 6.998
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.809 2.753 5.782 7.373 9.763 4.447 9.577 6.987 3.136 8.493 7.541
[2,] 5.145 2.764 6.932 7.496 10.913 4.448 10.308 7.167 3.173 10.374 8.530
[3,] 5.329 2.787 7.222 7.690 12.442 4.449 10.612 7.787 3.234 10.937 9.120
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.158 5.639 6.545 2.583 7.858 2.893 6.552 5.116 6.885 7.936 3.719
[2,] 8.230 8.713 6.610 2.651 8.745 2.998 6.632 5.231 7.867 9.204 3.784
[3,] 9.291 9.544 6.676 2.731 10.753 3.315 7.249 5.275 8.000 9.410 3.856
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.377 5.320 7.205 3.370 7.746 8.571 9.331 7.954 8.197 7.426 7.316
[2,] 8.531 5.345 7.994 3.442 7.956 8.766 9.989 8.930 8.720 7.675 7.928
[3,] 8.903 5.520 8.508 3.601 8.243 8.785 10.092 9.077 9.053 8.056 8.313
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.487 6.718 5.882 8.099 3.606 4.495 3.193 6.946 6.508 11.67 9.584
[2,] 2.493 7.658 6.753 8.709 3.740 4.498 3.303 7.489 6.516 12.23 9.786
[3,] 2.560 7.867 7.112 8.940 3.789 4.521 3.318 7.755 6.516 12.34 10.555
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.139 3.930 4.719 4.807 5.587 4.296 1.413 2.946 20.89 7.903
[2,] 3.891 5.155 4.728 4.820 5.778 4.400 1.413 3.169 25.17 8.739
[3,] 4.641 5.181 4.845 4.955 6.138 4.434 1.736 3.269 27.12 11.499
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.917 6.18 15.53 10.25 12.45 5.315 4.032 11.23 12.30
[2,] 374.408 76.31 292.97 821.48 772.28 81.921 118.349 51.82 70.17
[3,] 409.357 67.72 409.96 668.24 608.91 389.012 144.430 332.70 190.47
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.41 5.59 8.193 7.085 7.668 7.726 7.299 9.441
[2,] 1134.75 498.15 904.729 80.281 683.712 439.730 384.933 644.230
[3,] 200.92 66.88 731.511 284.218 285.000 500.465 346.449 604.992
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.957 16.81 11.46 17.8 7.476 21.68 11.04 3.67 8.433
[2,] 794.594 772.94 625.42 757.1 151.118 3283.30 1167.45 134.39 1365.091
[3,] 453.090 955.23 626.41 790.9 73.453 1876.43 1167.06 110.15 1597.260
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.548 7.868 9.453 3.91 10.59 9.434 4.333 11.23 10.93
[2,] 1508.344 225.464 887.029 129.63 951.55 588.768 140.265 873.87 724.04
[3,] 771.049 486.637 971.011 137.94 637.90 825.964 92.320 559.43 633.51
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.292 10.26 9.22 9.308 2.956 8.502 2.505 6.812 6.912
[2,] 1112.705 843.62 496.58 526.200 59.305 358.230 49.413 635.526 792.092
[3,] 822.213 721.80 399.08 551.019 52.119 141.132 88.121 275.969 678.528
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.107 3.495 7.342 9.363 12.4 5.646 12.16 8.872 3.983
[2,] 433.564 58.466 907.006 320.127 1155.9 29.666 904.09 378.880 113.475
[3,] 329.435 85.652 480.702 407.564 1417.2 22.713 598.16 722.291 148.448
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.78 9.576 7.82 7.16 8.311 3.28 9.979 3.673
[2,] 1412.64 945.698 1294.80 1575.10 219.976 141.17 910.167 186.888
[3,] 821.85 765.203 1022.57 923.48 222.146 155.53 1483.723 335.672
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 8.32 6.497 8.743 10.08 4.723 10.64 6.755 9.149 4.279
[2,] 242.87 258.391 902.635 1105.34 165.174 383.72 122.979 821.236 165.925
[3,] 693.98 162.510 344.515 464.84 176.362 603.23 326.901 690.466 251.081
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.837 10.88 11.85 10.1 10.41 9.429 9.29 3.158 8.53
[2,] 430.153 435.78 845.44 962.4 705.05 460.630 724.14 39.242 871.68
[3,] 511.736 136.17 341.49 386.6 577.45 580.026 593.00 138.962 427.57
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.469 10.28 4.579 5.708 4.055 8.821 8.265 14.82 12.17
[2,] 786.784 759.46 235.019 42.732 200.303 663.671 73.344 862.41 469.35
[3,] 529.024 479.04 143.715 107.126 74.834 477.433 6.747 390.21 938.15
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.985 4.991 5.992 6.104 7.095 5.455 1.794 3.741
[2,] 545.446 790.974 69.868 86.720 349.680 225.900 6.318 276.571
[3,] 599.832 122.550 250.537 271.691 491.193 129.409 239.345 190.849
[,97] [,98]
[1,] 26.53 10.04
[2,] 3329.88 884.66
[3,] 2394.49 1772.34
[1] "--- VAR model 2017-10-06 10:01:00 completed"
[1] "Completed training sample: 2017-10-06 10:01:00 - 2017-10-06 18:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 10:31:00 - 2017-10-06 18:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.305 -0.06890 2.445 -13.232
1.742 0.03970 2.219 1.828
1.482 0.05459 -3.741 1.081
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.359 1.9281 2.2448 2.0563
-5.807 0.3898 0.8703 0.3956
-1.393 0.6958 0.9044 0.5020
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.736182 0.6305 0.49257 -18.27
0.115302 1.6586 0.13985 -17.32
0.004245 0.3862 0.04135 -16.39
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8464 -3.087 -1.395 -2.728
-0.5885 -3.504 -2.199 -2.016
0.4397 -1.105 -2.764 -1.914
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.545 -3.164 4.253 9.601
-3.213 -4.248 2.534 7.506
-3.379 -1.404 1.733 6.657
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.0057 0.8327 11.643 6.045
3.2924 1.1106 -3.494 1.713
-0.7675 0.5509 7.206 1.258
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.18054 0.3311 -18.436 1.592
0.43823 8.0602 6.555 3.190
-0.09503 -0.7261 2.921 1.760
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.566 0.1670 -6.662 3.633
-7.006 -0.1175 -9.942 5.410
3.884 -0.5733 2.153 4.631
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.694801 -8.8644 -7.563 -2.367
0.542010 -6.7564 -4.308 -1.207
-0.007734 -0.7551 -4.238 -5.034
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7273 9.416 2.664 0.2626
-0.2375 3.619 2.816 0.2928
-0.1113 1.276 2.420 0.3262
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.85068 0.62290 0.3629 -5.954
-0.19568 0.06034 -1.2049 -4.804
0.04632 -0.01891 -0.5373 -4.484
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.320 0.4536 -4.0852 1.1041
4.601 0.5812 -0.8825 -0.1943
3.445 0.2888 -0.9491 -0.5407
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.890 -0.2093 1.864 12.097
-8.292 -1.1468 -1.576 9.707
5.357 -1.3028 -1.804 9.776
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.17164 -5.289 -5.358 5.211
0.32351 3.775 2.152 -3.852
0.07745 -3.318 2.087 2.498
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
23.304 4.7314 0.1042 3.735
-6.745 2.9503 0.0420 22.497
1.880 0.9762 -0.3710 -3.415
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.186 1.396 -1.1305 2.1847
-2.569 9.685 -0.7667 0.4953
-2.320 -1.349 -1.8508 8.3334
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.6127 0.53866 4.929 0.008110
0.8908 0.12482 1.242 -0.195391
5.2953 0.01003 3.530 0.006183
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.768 0.29671 5.303 3.1243
2.725 0.37447 1.652 0.5593
2.945 -0.03282 2.129 -2.2051
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.6639 -0.950 11.030 -1.4571
-0.9509 -2.809 8.049 0.2243
-0.3212 1.344 6.404 -0.1609
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.3971 0.7865 -6.3008 5.396
-0.6611 0.1729 -3.7750 3.726
-1.3098 0.2044 -0.9224 2.647
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.871 -1.828 0.67484 -0.7764
-4.816 -1.466 0.38504 0.9810
-1.483 -1.058 -0.04725 0.4216
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.9797 0.08082 -2.2907 -0.02602
1.8784 -0.22763 2.1965 2.97094
0.7061 0.11292 -0.1318 3.30794
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.7651 2.5123 0.8456 2.136
2.0166 0.6682 1.5489 1.565
0.5923 1.3842 0.8293 0.814
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.079 0.6200 -10.18 1.572
8.766 -0.6441 -11.24 2.296
-0.957 -0.1420 -10.69 1.337
rnd_95776.volume rnd_95787.volume
2.868 4.951
-9.162 4.708
6.487 -0.226
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.293 4.815 12.26 8.113 9.779 4.263 3.240 8.751 9.592 8.145 4.252
[2,] 6.481 4.825 12.31 8.858 10.421 4.274 3.283 8.759 9.596 9.430 4.747
[3,] 6.704 4.831 12.43 9.381 10.692 4.571 3.328 8.882 9.658 9.470 4.757
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.412 5.692 5.749 5.918 5.367 7.157 6.918 13.24 9.084 14.39 6.027
[2,] 7.374 5.698 6.243 6.127 5.619 7.677 7.555 13.60 9.457 14.79 6.049
[3,] 7.975 5.820 6.316 6.406 5.814 8.006 7.898 14.24 9.753 15.12 6.058
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.16 8.773 2.910 6.797 6.620 6.227 7.693 3.183 8.459 7.420 3.451
[2,] 21.92 9.941 2.963 8.930 9.268 6.285 8.471 3.242 9.335 7.825 3.505
[3,] 23.38 11.120 2.998 11.122 9.830 6.650 9.392 3.295 9.692 8.716 3.538
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.927 8.351 7.427 8.063 7.350 7.452 2.313 7.029 1.980 5.359 5.387
[2,] 9.751 9.026 8.626 8.840 7.734 7.797 2.336 7.261 1.994 5.928 6.265
[3,] 10.001 9.391 9.247 9.386 7.893 8.167 2.351 7.284 2.023 6.033 6.844
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.807 2.736 5.798 7.466 9.994 4.460 9.535 7.123 3.235 8.536 7.530
[2,] 5.141 2.747 6.994 7.582 11.062 4.460 10.333 7.294 3.274 10.440 8.464
[3,] 5.316 2.775 7.277 7.773 12.554 4.461 10.661 7.962 3.327 11.010 9.059
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.081 6.298 6.682 2.570 7.931 2.928 6.630 5.152 7.017 8.009 3.675
[2,] 8.315 8.908 6.729 2.644 8.827 3.026 6.691 5.269 8.043 9.343 3.725
[3,] 9.425 9.673 6.834 2.720 11.053 3.356 7.356 5.311 8.159 9.502 3.806
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.394 5.531 7.200 3.369 7.773 8.510 9.268 8.068 8.091 7.346 7.318
[2,] 8.684 5.532 7.984 3.446 7.962 8.687 10.031 8.768 8.844 7.695 7.940
[3,] 8.980 5.911 8.512 3.604 8.256 8.706 10.184 9.001 9.190 8.030 8.304
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.560 6.653 5.831 8.033 3.580 4.595 3.189 7.032 6.475 11.56 9.875
[2,] 2.566 7.572 6.725 8.612 3.727 4.596 3.302 7.574 6.488 12.15 10.078
[3,] 2.644 7.777 7.091 8.824 3.784 4.614 3.318 7.858 6.489 12.26 10.825
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.021 3.818 4.749 4.801 5.689 4.363 1.430 2.969 20.98 7.964
[2,] 3.813 5.152 4.759 4.816 5.916 4.468 1.430 3.192 25.31 8.886
[3,] 4.607 5.176 4.874 4.957 6.357 4.495 1.757 3.297 27.22 11.486
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.991 6.114 15.57 10.3 12.42 5.413 4.115 11.11 12.18
[2,] 347.140 69.980 261.19 794.3 804.95 67.240 117.525 82.84 63.44
[3,] 382.741 53.552 382.92 690.6 534.84 362.131 121.877 330.07 242.94
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.34 5.399 8.142 7.228 7.3 7.515 6.815 9.088 8.785
[2,] 1062.31 472.058 813.822 58.650 544.1 354.520 371.846 621.142 678.810
[3,] 194.56 66.591 678.974 264.658 213.8 417.833 333.457 507.346 514.701
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 16.81 11.54 18.27 7.653 21.79 11.14 3.695 8.631
[2,] 696.05 588.01 761.74 117.412 3046.21 1044.83 125.115 1294.369
[3,] 941.23 532.99 706.34 71.349 1821.74 1113.82 100.928 1481.664
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.406 7.907 9.769 4.042 10.74 9.423 4.382 11.34 10.6
[2,] 1449.783 191.569 792.646 137.250 882.63 555.030 137.432 877.20 765.2
[3,] 732.122 485.676 906.251 131.001 582.01 858.237 107.642 496.28 579.5
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.431 10.24 9.333 9.462 2.938 8.926 2.514 6.806 6.841
[2,] 980.649 809.87 537.974 513.344 72.383 406.896 53.061 566.290 714.829
[3,] 744.772 705.11 351.785 542.564 59.548 129.816 76.744 250.173 615.740
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 6.104 3.474 7.362 9.48 12.69 5.663 12.11 9.045 4.108
[2,] 407.574 56.068 874.238 295.59 1059.67 5.604 889.74 350.546 111.729
[3,] 302.108 87.662 449.274 383.00 1326.94 27.248 586.65 713.298 133.023
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.84 9.562 7.722 7.997 8.485 3.264 10.07 3.717
[2,] 1343.21 863.711 1267.456 1407.856 178.409 138.020 866.40 170.778
[3,] 781.70 722.052 991.560 842.930 266.570 143.490 1486.54 324.458
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 8.419 6.543 8.91 10.17 4.666 10.66 7.023 9.143 4.279
[2,] 201.777 246.854 878.54 1075.00 135.993 497.26 29.084 771.109 161.932
[3,] 683.321 149.236 306.36 387.52 175.228 511.39 465.256 659.460 235.748
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.871 10.81 11.77 10.24 10.27 9.328 9.293 3.251 8.448
[2,] 385.851 389.22 857.37 767.60 798.05 511.705 688.590 38.338 808.251
[3,] 487.712 128.53 393.44 454.51 558.80 512.946 543.680 142.904 396.443
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.405 10.2 4.546 5.835 4.049 8.929 8.223 14.68 12.54
[2,] 748.692 693.9 231.895 22.084 191.679 629.199 91.990 838.29 450.21
[3,] 502.648 429.9 145.884 90.881 71.373 467.710 26.796 361.59 883.10
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.836 4.848 6.031 6.097 7.225 5.54 1.816 3.77 26.64
[2,] 520.013 773.165 66.263 82.295 362.286 215.45 7.371 261.83 3162.87
[3,] 577.910 109.918 235.132 263.049 520.155 110.70 227.863 184.55 2238.45
[,98]
[1,] 10.11
[2,] 881.14
[3,] 1626.46
[1] "--- VAR model 2017-10-06 10:31:00 completed"
[1] "Completed training sample: 2017-10-06 10:31:00 - 2017-10-06 18:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 11:01:00 - 2017-10-06 19:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.4482 0.2106 5.113 -0.0008156
-1.0837 -0.0287 -5.515 -7.5408347
-0.7546 0.1107 -2.049 -5.6779903
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.180 1.7825 0.7971 2.624
-1.306 -0.2686 0.7815 4.542
-5.616 0.5232 0.6168 2.445
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.8598 7.606 1.8787 -9.174
0.8183 2.905 0.3100 -9.739
0.1088 3.646 0.2729 -5.954
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.0336 3.261 1.19949 2.2982
-1.7529 -2.713 -0.91852 -1.9691
0.9696 -1.126 -0.07196 -0.4271
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8557 -10.799 0.3768 4.188
-3.4195 -2.283 2.9250 3.398
-3.7171 -3.691 2.3619 4.452
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
4.335 0.0957 -24.542 -4.365
-12.653 -0.3048 1.901 -1.726
-1.144 0.1264 -14.256 -4.621
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.60719 -9.992 -4.181 1.4432
-0.76453 -7.956 -5.597 0.7026
0.04296 1.424 -4.994 0.6394
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
7.777 0.42409 7.380 -0.6494
-6.006 -0.05515 -2.395 3.5633
-5.345 0.18875 -6.512 2.0613
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.3665 2.368 -2.967 -2.979
0.3390 -0.477 6.491 2.019
-0.2922 -5.698 -5.875 -1.036
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.183 -4.459 2.592 1.0957
2.759 -4.108 2.316 0.6504
2.236 -0.113 1.945 0.8931
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.12076 -0.34180 -3.2826 -4.793
-0.10818 0.02144 -0.9461 -8.977
-0.01173 -0.04116 0.9789 -5.382
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0776 -0.14494 -5.802 -0.4642
0.4188 -0.01034 -5.771 1.4602
0.6899 -0.01384 -5.641 0.3638
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.2082 0.34522 -7.4876 7.483
2.2759 0.14956 -0.4576 4.341
-0.3924 0.01022 -4.3611 4.807
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4286 -10.899 -7.816 -5.359
0.4923 -5.212 -7.945 -9.166
1.0566 -3.798 -1.774 -3.779
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.407 2.1036 0.2487 -0.8407
-8.154 -0.6116 0.2604 8.0789
-6.439 -0.4069 0.3022 -8.3225
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.708 -1.696 0.04919 0.4404
-3.766 2.764 -0.97124 -1.4592
-3.577 -4.164 1.36124 1.6131
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.586 0.3728 0.4987 -0.5848
-2.857 0.2303 -2.9600 -1.0921
1.470 0.3399 1.6081 -0.1946
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.3788 2.0644 2.262 -1.7441
-2.3152 1.2445 2.464 -3.1572
-0.7631 0.4342 1.963 -0.2142
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4267 -3.1014 -5.596 -5.856
0.3775 -3.0194 -4.115 -8.591
0.1582 -0.8107 -2.985 -5.671
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.304 0.79618 -8.806 0.9539
-5.619 -0.05843 -3.965 0.6200
-2.090 -0.08762 -5.840 0.4458
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.794 0.1764 -0.66662 0.3304
-3.038 -0.5368 -0.30041 -0.5482
-4.386 -0.3030 0.07615 -0.5076
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.571 0.9588 7.289 6.690
-1.173 -0.3688 5.456 8.343
-1.185 -0.2844 5.720 5.017
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.07908 -1.7041 -1.3271 -0.1218
-1.59784 -0.2029 -0.7711 -0.6399
-0.20350 -0.5800 -0.4317 -0.1977
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.593 0.5145 -11.17 116.4
1.892 -0.1705 -11.12 115.8
-2.983 -0.0498 -11.09 116.3
rnd_95776.volume rnd_95787.volume
1.769 -8.480
-11.038 -8.337
-3.572 5.128
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.284 4.814 11.78 8.127 9.843 4.284 3.227 8.604 9.486 8.097 4.290
[2,] 6.506 4.831 11.79 8.791 10.602 4.294 3.273 8.618 9.487 9.446 4.762
[3,] 6.757 4.833 11.92 9.393 10.904 4.583 3.315 8.753 9.547 9.485 4.771
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.316 5.851 5.548 5.911 4.513 7.155 6.836 13.66 9.160 13.98 5.946
[2,] 7.176 5.858 5.721 6.203 4.706 7.491 7.479 14.04 9.557 14.18 5.965
[3,] 7.714 5.965 6.087 6.356 4.918 7.685 7.714 14.69 9.890 14.50 5.975
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.05 8.580 2.928 6.650 6.706 6.282 7.504 3.262 8.496 7.555 3.504
[2,] 22.01 9.764 2.985 8.721 9.271 6.328 8.203 3.308 9.429 7.870 3.578
[3,] 23.19 10.975 3.024 10.935 9.813 6.751 9.117 3.357 9.778 8.827 3.632
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.964 7.459 7.541 8.139 7.321 7.487 2.261 7.168 1.902 5.364 5.354
[2,] 9.786 9.072 8.740 8.878 7.721 7.861 2.289 7.383 1.917 5.929 6.232
[3,] 9.997 9.452 9.369 9.432 7.889 8.181 2.309 7.405 1.939 6.054 6.860
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.844 2.756 5.788 7.548 10.08 4.450 9.323 7.093 3.194 8.528 7.732
[2,] 5.198 2.763 6.981 7.660 11.12 4.451 10.279 7.262 3.240 10.521 8.621
[3,] 5.341 2.775 7.276 7.886 12.66 4.453 10.696 7.909 3.288 11.022 9.300
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 6.091 6.486 6.600 2.548 7.939 2.924 6.660 5.127 7.046 8.049 3.633
[2,] 8.301 8.747 6.631 2.625 8.821 3.013 6.704 5.241 8.077 9.386 3.678
[3,] 9.499 9.548 6.716 2.708 11.034 3.332 7.330 5.295 8.188 9.533 3.768
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.552 5.562 7.290 3.403 8.122 8.479 9.231 7.983 8.277 7.458 7.300
[2,] 8.838 5.562 8.078 3.483 8.445 8.678 10.069 8.633 9.016 7.642 7.893
[3,] 9.121 5.926 8.645 3.639 8.788 8.707 10.198 8.820 9.381 8.055 8.154
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.576 6.730 5.867 8.100 3.610 4.681 3.252 6.965 6.406 11.65 9.995
[2,] 2.585 7.506 6.738 8.689 3.769 4.681 3.362 7.591 6.420 12.33 10.129
[3,] 2.654 7.729 7.110 8.886 3.823 4.691 3.378 7.865 6.425 12.43 11.032
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.945 3.680 4.708 4.729 5.634 4.332 1.440 5.784 22.94 7.961
[2,] 3.736 5.145 4.720 4.748 5.857 4.415 1.441 7.481 27.52 9.026
[3,] 4.616 5.173 4.832 4.872 6.247 4.437 1.767 9.037 28.45 11.845
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.98 6.113 14.95 10.32 12.5 5.44 4.097 10.93 12.05
[2,] 349.80 84.100 137.02 696.42 818.6 61.50 113.793 104.38 21.80
[3,] 379.09 29.748 353.98 688.07 529.7 332.68 109.725 317.77 221.76
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.28 5.447 8.021 7.43 7.045 7.506 5.731 9.085 8.68
[2,] 1011.10 429.533 707.811 61.68 290.211 390.812 276.864 461.248 630.98
[3,] 178.90 61.520 588.704 234.02 432.175 288.270 296.902 356.914 392.64
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 17.35 11.63 17.76 7.551 21.65 10.89 3.718 8.445 8.515
[2,] 667.20 566.72 485.68 98.084 2892.61 968.88 120.421 1172.522 1330.524
[3,] 904.44 528.92 627.14 71.829 1518.68 1041.62 100.719 1371.264 668.897
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.977 9.528 4.142 10.79 9.593 4.45 11.38 9.471 9.576
[2,] 159.204 688.684 115.143 850.03 458.442 150.50 815.78 1073.466 918.304
[3,] 489.072 827.158 118.282 538.57 830.962 129.40 424.83 551.283 701.490
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.34 9.296 9.507 2.871 9.102 2.415 6.812 6.798 6.151
[2,] 736.97 509.871 498.020 75.390 368.224 51.231 524.789 662.863 391.802
[3,] 662.02 337.312 470.892 61.690 118.994 60.030 255.022 595.969 255.252
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.499 7.349 9.585 12.8 5.651 11.84 9.007 4.056 10.83
[2,] 40.965 811.343 271.881 979.4 14.291 900.19 323.803 112.669 1280.41
[3,] 54.771 426.098 389.706 1257.1 33.764 614.19 651.098 115.967 682.86
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.818 7.735 8.236 8.381 3.235 10.08 3.713 8.457
[2,] 792.585 1172.210 1219.813 132.205 131.700 799.06 150.692 159.720
[3,] 725.141 959.759 795.578 222.556 137.924 1378.00 295.988 616.001
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.511 8.948 10.22 4.614 10.86 7.062 9.258 4.322 10.31
[2,] 226.088 820.835 1003.32 119.155 463.19 16.284 723.241 153.489 481.19
[3,] 156.964 278.571 346.64 170.020 468.76 424.766 640.219 218.999 505.10
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.77 11.72 10.14 10.51 9.47 9.269 3.272 8.546 7.451
[2,] 383.71 835.99 683.45 742.90 347.20 624.011 44.337 690.571 688.619
[3,] 149.13 336.20 374.76 539.16 528.76 425.558 125.054 383.860 471.559
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.29 4.584 5.945 4.13 8.845 8.134 14.8 12.69 3.74
[2,] 653.55 225.071 6.950 176.77 627.086 89.011 834.7 341.91 477.83
[3,] 386.56 132.980 62.186 68.82 427.738 55.287 339.7 908.56 563.47
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.673 5.979 6.006 7.154 5.501 1.829 7.345 29.13
[2,] 747.524 69.971 88.103 332.873 176.826 6.172 985.890 3158.61
[3,] 111.612 214.625 226.410 451.799 92.237 212.645 1053.901 1498.26
[,98]
[1,] 10.11
[2,] 884.15
[3,] 1594.23
[1] "--- VAR model 2017-10-06 11:01:00 completed"
[1] "Completed training sample: 2017-10-06 11:01:00 - 2017-10-06 19:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 11:31:00 - 2017-10-06 19:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.461 -0.061949 -7.043 -8.301
-1.918 0.001582 -1.672 -8.390
-1.319 -0.065871 -3.654 -5.087
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.578 1.4545 1.2717 -0.51458
-6.987 1.0733 0.3980 0.06818
-9.993 0.6815 0.2194 0.34901
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.5162 1.79286 -1.2690 -10.310
-0.6851 0.04222 0.2783 -8.609
0.1032 0.26835 -0.2218 -7.635
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.4538 -0.7195 -0.5688 -2.199
0.9574 -4.7358 -4.9381 -2.392
0.6801 -2.2961 -1.4845 -1.909
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.131 -6.363 -6.056 -3.255
-4.841 -4.398 -5.116 -6.447
-5.157 -5.445 -4.059 -5.918
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.458 -1.0318 -27.470 -15.0631
-6.303 -1.5529 -1.888 0.8364
-4.039 -0.8019 -12.381 -6.4244
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9152 -15.709 -8.277 3.556
-0.5870 -8.058 -13.504 1.450
-0.3064 -2.255 -3.041 1.566
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.102 1.046 6.770 -4.487
-11.479 0.973 -4.488 -4.179
-7.066 0.377 -8.756 -3.849
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.823 3.303 -5.082 -6.211
-1.822 -3.341 4.298 2.318
-1.481 -6.818 -3.803 -1.634
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.806 -1.336 2.205 0.2333
5.015 -3.876 1.752 0.1529
3.258 -4.308 1.825 0.2028
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.38622 -0.42110 -4.9379 -8.382
-0.42625 0.05317 -2.1239 -11.294
0.02766 -0.18865 0.6244 -8.717
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.915 -0.5920 -8.664 -1.096
-1.355 -0.3768 -9.274 3.043
-1.655 -0.2457 -8.707 1.464
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.860 -0.6855 -0.4336 4.6230
-8.239 -0.3239 -1.5474 2.9799
5.331 -0.2939 -5.2856 0.6692
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1106 -11.438 -10.530 2.905
0.3793 1.797 -2.538 -7.455
0.3703 -4.374 -2.156 1.165
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
6.491 -0.6030 0.5939 -1.450
-10.356 -1.6154 0.5079 6.981
-1.297 -0.7591 0.2495 -10.760
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.852 -2.709 0.1811 4.442
-1.816 4.913 -0.2605 -3.749
-1.745 -3.685 -1.0905 3.547
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.511 0.8619 2.1161 0.20355
-1.876 0.6732 -0.5582 1.90370
2.055 0.3922 1.3695 0.08489
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.8988 0.5692 -4.965 -7.401
5.2065 0.4369 -3.985 -2.395
1.4775 0.6297 -2.554 -2.110
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.565 -2.455 -2.926 -4.930
1.140 -2.419 -1.643 -3.497
0.430 -2.759 -1.576 -3.757
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.673 0.6867 -3.350 3.267
-2.816 0.6027 -4.222 2.363
-2.333 0.3395 -2.566 1.555
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.468 -0.6415 -0.37253 -0.1499
-2.964 0.2374 0.07513 -0.1009
-2.183 -0.3081 -0.17318 -0.4299
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.297 -0.029107 11.336 -4.4115
-1.089 0.047942 6.075 -3.6039
-1.952 -0.001669 5.571 0.2804
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.5308 -1.0043 -1.3123 -0.7209
-0.9865 -0.6046 -0.5861 -0.5753
-0.4047 -0.5026 -0.5470 -0.2840
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.158 -0.26504 -9.703 114.4
1.056 0.32382 -10.131 114.4
-3.602 0.06197 -9.755 114.5
rnd_95776.volume rnd_95787.volume
9.259 -12.326
-14.410 -4.502
-2.541 -4.456
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.354 4.746 11.76 8.167 9.858 4.285 3.268 8.476 9.378 8.081 4.315
[2,] 6.621 4.755 11.93 8.776 10.616 4.295 3.311 8.489 9.379 9.412 4.790
[3,] 6.862 4.757 12.04 9.293 10.891 4.586 3.346 8.626 9.431 9.449 4.797
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.285 5.874 5.570 5.802 4.560 7.196 7.013 13.59 9.197 14.03 5.945
[2,] 7.109 5.878 5.726 5.963 4.686 7.546 7.739 13.97 9.550 14.25 5.961
[3,] 7.664 5.986 6.083 6.270 4.836 7.775 7.898 14.62 9.893 14.49 5.971
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.39 8.467 2.930 6.701 6.968 6.248 7.546 3.269 8.341 7.654 3.703
[2,] 22.22 9.500 2.994 8.684 9.131 6.299 8.193 3.315 9.284 8.003 3.725
[3,] 23.43 10.750 3.035 10.882 9.681 6.733 8.930 3.357 9.564 8.914 3.865
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.924 8.403 7.502 8.145 7.300 7.578 2.265 7.097 1.867 5.415 5.448
[2,] 9.836 8.958 8.769 8.928 7.691 7.965 2.293 7.322 1.881 5.853 6.336
[3,] 9.997 9.404 9.394 9.538 7.833 8.273 2.315 7.346 1.915 5.956 6.914
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.659 2.784 5.784 7.446 10.04 4.454 9.167 7.228 3.227 8.555 7.669
[2,] 5.018 2.792 7.150 7.558 11.06 4.458 10.135 7.427 3.271 10.436 8.457
[3,] 5.130 2.806 7.490 7.757 12.56 4.458 10.543 8.062 3.317 10.918 9.131
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.960 6.520 6.687 2.523 7.775 2.919 6.575 4.984 7.049 8.177 3.590
[2,] 8.216 8.644 6.722 2.600 8.629 3.004 6.610 5.094 8.042 9.453 3.642
[3,] 9.338 9.404 6.780 2.687 10.845 3.317 7.276 5.196 8.142 9.556 3.728
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.602 5.577 7.367 3.416 7.801 8.485 9.463 8.264 8.285 7.363 7.062
[2,] 8.817 5.577 8.085 3.495 8.033 8.700 10.229 8.918 9.038 7.633 7.979
[3,] 9.142 5.901 8.681 3.643 8.335 8.731 10.366 9.145 9.378 7.937 8.207
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.568 6.743 5.980 8.236 3.559 4.631 3.227 6.905 6.327 11.54 9.998
[2,] 2.578 7.529 6.823 8.763 3.730 4.631 3.334 7.499 6.343 12.32 10.144
[3,] 2.655 7.813 7.225 9.026 3.782 4.642 3.348 7.779 6.352 12.46 11.216
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.881 3.629 4.008 4.759 5.553 4.286 1.429 6.342 22.51 7.960
[2,] 3.633 5.053 4.742 4.776 5.767 4.366 1.430 7.971 26.72 8.913
[3,] 4.856 5.090 4.780 4.895 6.154 4.392 1.754 9.384 27.59 11.820
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 8.069 6.026 14.93 10.37 12.52 5.441 4.15 10.76 11.91
[2,] 375.502 60.990 408.22 648.38 795.17 59.438 107.13 93.95 24.30
[3,] 364.330 29.868 330.54 617.45 490.91 324.996 97.76 309.31 200.72
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.26 5.479 7.98 7.459 7.073 7.367 5.79 9.138 8.906
[2,] 974.48 419.967 670.88 42.930 268.123 278.010 218.37 458.374 660.705
[3,] 169.93 52.739 578.41 228.223 414.325 391.632 241.02 378.329 318.234
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 17.26 11.68 17.82 7.549 22.09 10.75 3.721 8.51 8.849
[2,] 656.33 520.02 497.12 88.617 2790.96 870.00 123.629 1115.16 1191.480
[3,] 871.22 520.99 532.82 69.863 1505.04 1015.73 100.954 1324.19 649.423
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.934 9.582 4.151 10.59 9.719 4.703 11.33 10.67 9.526
[2,] 161.755 644.524 111.158 822.96 472.353 81.266 835.10 626.83 916.920
[3,] 480.558 717.627 107.222 464.33 792.437 208.444 361.80 578.01 680.177
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.34 9.27 9.623 2.876 9.012 2.371 6.876 6.918 5.916
[2,] 738.31 488.79 494.903 72.050 363.988 46.192 448.482 653.291 376.233
[3,] 677.63 300.74 451.907 64.491 119.653 71.726 223.227 558.914 215.480
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.536 7.345 9.455 12.75 5.656 11.64 9.179 4.098 10.86
[2,] 43.042 848.709 261.321 935.66 36.307 872.69 344.347 107.652 1206.97
[3,] 55.348 450.458 352.772 1204.01 8.810 586.81 633.317 111.677 647.23
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.739 7.569 8.279 8.492 3.204 9.872 3.707 8.349
[2,] 719.628 1141.842 1145.985 137.859 126.992 756.138 142.978 137.659
[3,] 695.333 896.182 747.799 179.342 137.112 1326.208 284.102 614.053
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.329 8.951 10.38 4.559 10.92 7.082 9.355 4.337 9.906
[2,] 212.224 781.753 957.70 122.797 390.85 8.076 672.917 149.433 387.215
[3,] 207.565 256.853 282.01 161.320 487.51 389.545 638.217 207.809 449.200
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.78 12.02 10.49 10.52 9.349 8.967 3.26 8.563 7.594
[2,] 387.47 784.19 677.08 728.86 406.316 750.110 47.77 675.956 663.397
[3,] 149.39 339.29 408.22 505.40 439.538 387.659 127.74 422.211 479.661
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.46 4.519 5.880 4.098 8.768 8.035 14.66 12.7 3.659
[2,] 604.63 225.463 5.204 169.103 590.721 89.858 868.77 346.1 446.914
[3,] 436.65 125.958 66.447 61.125 417.429 68.376 382.67 966.0 650.607
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.609 5.089 6.044 7.051 5.443 1.815 8.054 28.58
[2,] 709.860 511.766 79.968 314.556 167.542 6.997 974.988 2905.99
[3,] 124.009 122.304 216.424 433.989 97.238 205.068 999.967 1392.57
[,98]
[1,] 10.11
[2,] 809.70
[3,] 1567.62
[1] "--- VAR model 2017-10-06 11:31:00 completed"
[1] "Completed training sample: 2017-10-06 11:31:00 - 2017-10-06 19:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 12:01:00 - 2017-10-06 20:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3762 -0.34166 -1.9699 -9.700
-0.0929 -0.12206 -2.1318 -2.781
-0.2050 -0.09943 -0.5632 -7.030
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.438 0.4781 0.8101 1.0819
-10.420 1.1097 1.0604 1.2942
-7.721 0.4358 -0.1341 -0.6431
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.84477 -4.1384 -0.27148 -16.54
-0.13613 0.1929 0.56753 -15.71
0.08257 0.4591 0.07429 -13.71
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.04734 -1.170 -1.517 -1.578
1.67028 -5.088 -6.422 -1.962
0.05390 -2.570 -2.187 -1.837
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.184 -7.926 -3.3672 3.919
-5.588 -3.460 -1.6846 1.475
-5.541 -6.008 -0.8219 3.950
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.147 -0.9551 -27.066 -8.470
-9.115 -0.1750 -7.803 -5.875
-4.002 0.5736 -12.564 -4.636
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2846 -9.395 -13.122 -0.4951
-0.9363 -9.500 -6.032 -1.3315
-0.3973 -3.151 -6.702 -0.5137
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.439 0.2473 1.661 -1.813
-7.982 0.4770 -7.804 -5.253
-8.742 0.2711 -6.285 -3.999
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.32520 2.075 1.720 3.5293
0.88226 -8.393 -1.568 0.5311
0.02159 -6.742 -7.171 -7.2439
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.7085 -6.450 -0.6771 0.2764
-1.0767 -3.448 -0.7239 0.2298
0.4689 -3.261 -0.4756 0.8707
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.87494 0.05171 -1.7955 -10.779
-0.45567 -0.58695 0.2143 -11.911
-0.02578 -0.21520 -0.3883 -9.485
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.3292 -0.13170 -15.819 1.001847
-0.1055 -0.20039 -6.535 0.059716
-0.7921 -0.07867 -8.697 -0.009001
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.6524 -0.9685 -6.543 3.005
6.0298 -0.1878 -4.705 1.882
0.1125 0.6124 -3.475 2.017
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.961 8.846 3.500 -8.207
1.256 -10.830 -4.372 4.427
1.363 -9.565 -6.101 -8.063
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.946 0.9506 -0.03795 -1.189
4.895 0.3291 -0.06514 -12.105
-6.181 0.4317 -0.19393 4.643
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.60364 -1.0829 0.1242 2.4927
0.22316 -2.7600 -1.1868 0.8211
-0.03044 0.8969 -2.1101 -1.7321
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.1759 0.12653 2.4735 -1.59475
0.0636 0.02119 2.5594 5.16218
-2.1583 0.02800 0.1367 -0.05897
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.3845 -0.5268 0.25315 0.6631
4.3562 -0.7630 -0.01386 1.5805
0.9008 -0.4927 -1.09776 2.0269
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.0746 -2.3918 -3.639 -1.0928
0.5724 -0.4164 -2.391 0.5106
0.1744 -1.2279 -1.792 0.1941
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.7607 -0.5705 -0.23218 -0.7852
-0.8971 -0.5689 1.60381 -0.5771
0.3630 -0.4438 0.02112 -0.3852
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.521 0.1900 0.2525 0.36771
1.830 -0.2433 -0.1320 0.26642
-0.163 0.2286 -0.8847 0.05592
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.201 1.7034 5.811 -3.0719
-4.002 -0.5442 2.139 5.3722
-3.174 -0.8496 1.804 0.1934
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6384 2.3667 0.78815 0.1614
2.1352 -0.2667 -0.03069 0.6728
-0.2550 0.4036 0.70418 0.1981
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.824 0.8816 -8.499 115.2
-4.259 -0.5333 -8.509 115.2
0.164 -0.1122 -8.609 115.2
rnd_95776.volume rnd_95787.volume
-12.413 -5.217
-14.041 -8.241
-4.798 -3.125
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.248 4.666 11.93 8.185 9.565 4.244 3.252 8.580 9.335 8.060 4.278
[2,] 6.550 4.680 12.05 8.790 10.279 4.255 3.291 8.590 9.336 9.437 4.772
[3,] 6.776 4.682 12.14 9.298 10.528 4.561 3.313 8.704 9.376 9.470 4.783
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.336 5.866 5.390 6.077 5.036 7.236 7.151 13.63 9.375 14.16 6.041
[2,] 7.171 5.870 5.574 6.310 5.228 7.586 7.960 14.01 9.736 14.29 6.053
[3,] 7.741 5.964 5.874 6.486 5.423 7.807 8.186 14.66 10.067 14.66 6.062
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.46 8.458 2.914 6.780 6.963 6.071 7.733 3.297 8.454 7.582 3.597
[2,] 22.14 9.443 2.984 8.691 9.103 6.104 8.332 3.347 9.380 7.869 3.678
[3,] 23.47 10.908 3.032 10.918 9.613 6.587 9.087 3.382 9.688 8.796 3.751
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.806 8.229 7.505 8.050 7.342 7.489 2.278 7.013 1.811 5.446 5.426
[2,] 9.729 8.705 8.630 8.822 7.661 7.895 2.307 7.222 1.832 5.864 6.289
[3,] 9.880 9.108 9.214 9.412 7.803 8.228 2.325 7.252 1.862 5.951 6.879
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.645 2.767 5.731 7.263 9.819 4.504 9.103 7.249 3.235 8.039 7.662
[2,] 5.027 2.777 6.994 7.347 10.788 4.509 10.092 7.468 3.276 9.831 8.353
[3,] 5.148 2.787 7.333 7.543 12.257 4.510 10.493 8.098 3.329 10.303 9.007
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.875 6.625 6.389 2.452 7.707 2.856 6.481 4.955 7.086 8.219 3.555
[2,] 7.934 8.574 6.424 2.534 8.444 2.931 6.513 5.085 8.037 9.438 3.604
[3,] 8.845 9.261 6.488 2.633 10.491 3.249 7.122 5.169 8.132 9.557 3.689
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.657 5.466 7.411 3.428 7.654 8.416 9.361 8.042 8.196 7.357 6.908
[2,] 8.864 5.466 8.090 3.502 7.927 8.626 10.178 8.695 9.051 7.734 7.868
[3,] 9.262 5.823 8.673 3.651 8.227 8.656 10.327 8.929 9.357 8.159 8.136
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.571 6.698 5.959 8.288 3.540 4.512 3.513 7.020 6.309 11.37 10.01
[2,] 2.583 7.470 6.787 8.778 3.742 4.514 3.566 7.368 6.327 12.03 10.12
[3,] 2.652 7.806 7.187 9.042 3.797 4.536 3.610 7.608 6.332 12.33 11.25
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.843 3.549 3.973 4.744 5.535 4.223 1.460 6.873 22.43 7.740
[2,] 3.576 5.028 4.732 4.760 5.741 4.308 1.460 8.340 26.47 8.669
[3,] 4.838 5.069 4.771 4.880 6.102 4.328 1.792 9.661 27.19 11.572
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.934 5.926 15.15 10.39 12.15 5.389 4.13 10.89 11.85
[2,] 401.348 72.348 338.83 653.37 768.08 62.846 102.76 88.07 33.24
[3,] 353.799 28.939 305.52 618.73 463.78 334.794 77.78 285.84 177.66
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 10.24 5.433 8.046 7.449 6.844 7.717 6.395 9.188
[2,] 1001.12 431.268 685.074 45.032 290.156 346.416 285.994 464.531
[3,] 160.48 65.888 594.701 214.609 377.595 306.384 294.630 376.598
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.08 17.31 11.91 17.98 7.671 22.17 10.74 3.7 8.609
[2,] 713.32 658.62 535.89 383.83 78.290 2777.25 856.70 131.3 1109.210
[3,] 389.58 880.07 521.85 675.69 67.421 1589.75 1114.07 109.0 1347.974
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.841 7.709 9.82 4.187 10.73 9.628 4.568 11.18 10.45
[2,] 1196.126 129.875 632.72 117.718 829.08 429.977 156.058 843.61 579.36
[3,] 630.337 505.159 739.96 98.459 494.84 801.809 150.983 351.34 546.68
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.53 10.22 9.324 9.51 2.893 8.906 2.30 6.915 6.891
[2,] 869.21 735.97 445.885 509.81 74.555 351.272 56.83 443.632 648.375
[3,] 658.69 669.15 302.482 472.42 59.188 136.110 67.92 206.318 568.884
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.899 3.513 7.277 9.222 12.47 5.719 11.56 9.205 4.107
[2,] 391.888 49.606 817.950 226.333 911.23 44.737 888.65 366.156 106.184
[3,] 226.194 46.385 449.575 348.907 1187.13 19.947 586.73 638.936 120.553
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.21 9.73 7.461 8.413 8.113 3.113 9.787 3.626
[2,] 1154.41 678.52 1087.513 1110.056 136.833 130.829 703.876 135.218
[3,] 628.80 687.57 797.951 714.266 185.259 146.062 1269.833 285.683
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 8.23 6.292 8.998 10.44 4.514 10.99 6.941 9.411 4.353
[2,] 130.44 233.435 773.599 946.62 121.474 389.31 5.592 661.760 146.082
[3,] 588.28 189.642 253.353 305.96 160.518 547.73 409.559 637.776 210.760
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.719 10.69 11.89 10.21 10.41 9.343 8.772 3.264 8.505
[2,] 420.820 385.83 815.05 674.32 783.65 486.654 768.114 52.275 674.754
[3,] 448.837 148.15 356.86 414.60 484.44 529.852 422.778 122.472 461.871
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.567 10.52 4.495 5.729 4.461 8.914 8.011 14.43 12.71
[2,] 662.604 589.60 247.412 27.594 124.726 456.564 97.543 804.23 307.98
[3,] 482.072 443.21 131.936 91.099 114.849 386.585 56.037 552.53 1003.05
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.61 4.506 5.045 6.024 7.028 5.363 1.854 8.728
[2,] 442.64 726.637 524.355 80.834 311.275 173.677 6.226 963.726
[3,] 664.77 130.508 124.414 219.444 421.555 83.155 211.795 994.472
[,97] [,98]
[1,] 28.48 9.828
[2,] 2868.34 796.364
[3,] 1267.04 1563.850
[1] "--- VAR model 2017-10-06 12:01:00 completed"
[1] "Completed training sample: 2017-10-06 12:01:00 - 2017-10-06 20:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 12:31:00 - 2017-10-06 20:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.07356 0.49061 -3.570 -4.015
0.68649 0.08382 -4.228 -14.932
0.72403 0.18640 -2.893 -7.073
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.655 -0.3137 0.6291 1.582
-9.831 -0.4791 0.1752 1.881
-13.668 -0.1983 0.6362 1.356
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.5520 4.499 2.8877 -13.62
1.0135 1.419 0.5483 -14.72
-0.1085 1.523 0.5768 -13.06
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.630 -2.652 -5.533 -3.613
-1.034 -6.530 -2.944 -1.699
-1.348 -4.805 -2.582 -2.801
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.326 -15.427 -3.142 -2.5242
-8.888 -10.724 -1.379 -0.2045
-8.141 -6.624 -2.634 0.2186
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.736 3.7294 -12.251 -8.246
-5.862 0.6976 -7.212 -5.552
-4.982 0.9059 -12.309 -5.881
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.4971 -18.950 -9.074 2.7247
-0.2376 -4.882 -13.275 -0.9337
-0.2652 -4.136 -5.262 0.7949
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.226 0.045750 -10.154 -7.358
-13.314 0.006911 -9.873 -6.118
-8.647 -0.228259 -11.160 -5.929
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.792 -10.827 -3.546 0.3589
-1.955 -9.067 -8.855 -9.1607
-1.676 -11.663 -11.222 -5.8455
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.929 -6.740 -3.896 -0.224051
-5.321 -5.335 -3.476 0.008728
-3.329 -7.205 -3.033 -0.512563
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.478368 -0.2338 -0.1951 -11.435
-0.069988 -0.3059 -1.0361 -9.036
-0.006638 -0.3266 -2.3436 -9.147
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1682 0.009247 -6.373 3.1541
-1.4539 0.031882 -7.812 -0.5063
0.2849 0.034210 -6.831 0.7682
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.418 -0.6930 -0.01629 8.589
-2.376 0.5837 -4.66382 7.680
0.780 0.8279 -1.21896 9.372
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.85903 -4.289 -5.403 -9.927
-0.55686 -3.354 -2.488 -3.439
0.02558 -5.568 -5.940 -4.560
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.551 -0.07445 -0.16363 -6.088
-4.936 0.37859 -0.04314 -8.192
-2.274 -1.52674 -0.04980 -5.655
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.263 -5.295 -2.051 -6.175
-3.461 -5.516 -1.679 -6.061
-3.932 -4.782 -1.864 -6.455
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.952 -0.3810 -2.455 2.445
-4.439 -0.5820 -3.966 2.830
-5.917 -0.4439 -5.136 1.124
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.1748 -0.4316 0.02669 0.07866
-4.7199 -0.5699 -0.24029 -0.30047
-5.3074 -1.0298 0.29321 -3.15086
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.125 -1.670 -4.487 -4.452
-1.050 -2.292 -3.229 -6.665
-0.248 -1.765 -2.808 -5.486
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-10.880 -0.08647 -5.244 -0.2660
-3.104 -0.12861 -4.779 -0.2785
-4.308 -0.03179 -4.308 -0.1688
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.984 -0.9720 2.36586 1.1516
-4.991 -0.9649 -0.46694 1.0128
-3.134 -0.9680 0.01492 0.7397
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.321 -0.8374 0.7875 -0.4446
-6.782 -0.3388 -0.2913 1.2256
-7.348 0.6398 1.0208 -3.5579
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5118 -0.5661 -1.0924 -0.22413
-0.8085 -0.5052 0.1821 -0.25711
-0.2290 0.0722 -0.2953 -0.09897
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.041 0.61973 -8.504 119.9
-4.540 -0.28029 -10.391 119.3
-4.246 0.06724 -9.174 119.8
rnd_95776.volume rnd_95787.volume
-15.4757 -15.165
0.9203 -5.358
-10.7665 -3.542
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.244 4.512 11.82 8.312 9.466 4.194 3.210 8.463 9.211 7.913 4.248
[2,] 6.505 4.531 11.92 8.987 10.237 4.207 3.259 8.479 9.216 9.260 4.735
[3,] 6.738 4.532 12.00 9.586 10.537 4.523 3.280 8.570 9.255 9.292 4.750
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.202 5.888 5.185 6.175 5.528 7.080 7.117 13.61 9.230 14.53 6.161
[2,] 6.956 5.894 5.456 6.428 5.911 7.458 8.009 13.97 9.587 14.57 6.184
[3,] 7.526 5.987 5.759 6.593 6.048 7.618 8.212 14.58 9.890 14.85 6.195
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.86 8.409 2.921 6.833 6.880 5.953 7.709 3.264 8.458 7.588 3.574
[2,] 22.32 9.552 2.982 8.701 8.834 5.999 8.237 3.298 9.484 7.878 3.668
[3,] 23.65 11.052 3.033 11.075 9.429 6.473 9.001 3.322 9.828 8.803 3.747
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.768 8.167 7.420 7.972 7.379 7.426 2.265 7.022 1.762 5.454 5.348
[2,] 9.622 8.580 8.495 8.758 7.665 7.837 2.281 7.220 1.786 5.812 6.189
[3,] 9.815 8.909 9.129 9.319 7.841 8.157 2.292 7.248 1.808 5.882 6.699
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.618 2.699 5.628 7.151 9.716 4.490 8.865 7.292 3.271 8.498 7.516
[2,] 4.944 2.713 6.928 7.243 10.603 4.493 9.772 7.517 3.307 10.096 8.077
[3,] 5.057 2.719 7.271 7.449 11.977 4.497 10.148 8.121 3.368 10.570 8.753
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.691 6.732 6.199 2.419 7.615 2.715 6.283 4.855 7.039 8.181 3.525
[2,] 8.158 8.654 6.239 2.502 8.358 2.773 6.324 5.016 8.037 9.361 3.572
[3,] 8.987 9.303 6.326 2.608 10.341 3.049 6.903 5.084 8.169 9.524 3.654
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.581 5.551 7.400 3.370 7.879 8.395 9.009 7.875 8.414 7.345 6.846
[2,] 8.736 5.551 8.105 3.444 8.358 8.592 9.873 8.602 9.234 7.611 7.711
[3,] 9.161 5.866 8.689 3.602 8.616 8.629 10.093 8.864 9.523 8.154 7.937
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.547 6.617 5.941 8.235 3.483 4.427 3.448 6.836 6.302 11.64 9.823
[2,] 2.562 7.292 6.762 8.743 3.714 4.427 3.502 7.181 6.324 12.39 9.900
[3,] 2.621 7.605 7.172 8.978 3.778 4.445 3.555 7.469 6.337 12.66 11.023
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.782 3.481 3.936 4.720 5.404 4.128 1.469 7.360 22.14 7.932
[2,] 3.505 5.017 4.729 4.737 5.626 4.195 1.469 8.657 26.09 9.000
[3,] 4.815 5.064 4.766 4.861 5.986 4.212 1.805 9.933 26.83 11.931
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.928 5.73 15.01 10.55 12.02 5.326 4.076 10.75 11.70
[2,] 379.717 86.75 311.72 710.05 810.01 67.136 117.373 106.18 59.63
[3,] 364.939 22.50 299.40 693.45 518.29 345.535 76.060 259.61 178.46
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 10.05 5.395 7.876 7.476 6.584 7.842 7.02 8.991 9.037
[2,] 999.45 434.354 654.262 57.819 352.946 371.196 434.87 486.968 763.508
[3,] 158.94 80.048 597.469 218.241 382.976 303.973 266.08 322.680 376.542
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 17.28 11.72 18.46 7.823 21.41 10.68 3.71 8.677 8.736
[2,] 656.25 539.15 215.50 111.858 3039.46 941.33 124.71 1119.258 1151.509
[3,] 868.34 504.77 600.86 77.150 1624.72 1155.16 114.26 1423.596 684.703
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 7.56 9.789 4.145 10.74 9.636 4.538 11.13 10.37 9.422
[2,] 154.10 602.970 96.818 891.57 440.035 171.315 823.92 546.67 859.478
[3,] 504.91 753.884 84.235 535.13 816.064 159.455 402.45 498.79 694.594
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 10.12 9.371 9.429 2.877 8.917 2.237 6.926 6.791 5.864
[2,] 753.48 430.892 520.965 56.043 349.293 61.306 416.855 647.444 366.949
[3,] 661.72 343.118 469.540 46.225 131.302 57.323 189.266 532.565 220.486
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.427 7.146 9.081 12.34 5.701 11.26 9.26 4.153 10.79
[2,] 56.723 839.688 238.621 882.48 35.430 854.12 379.03 102.375 1132.94
[3,] 40.230 458.205 361.982 1157.28 39.670 568.77 638.85 132.289 650.38
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 9.544 7.227 8.549 7.872 3.072 9.67 3.448 7.979
[2,] 614.330 1214.420 1129.766 146.328 132.541 715.86 116.748 148.811
[3,] 701.270 783.218 709.544 217.256 152.978 1265.29 263.289 574.887
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.166 8.939 10.39 4.476 10.9 7.049 9.396 4.28 10.0
[2,] 262.004 805.924 945.71 120.176 340.5 5.561 687.117 147.20 580.1
[3,] 172.044 303.982 364.67 159.513 572.8 393.766 650.892 219.10 434.5
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.66 11.44 10.0 10.69 9.327 8.693 3.234 8.402 7.545
[2,] 379.81 839.26 719.4 790.09 414.307 737.290 57.664 636.803 671.013
[3,] 167.02 435.52 444.0 484.18 608.190 390.906 115.144 448.813 496.422
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 10.46 4.422 5.621 4.378 8.681 8.003 14.78 12.47 3.533
[2,] 610.26 268.356 7.897 127.289 456.922 110.447 881.41 256.32 442.999
[3,] 424.12 143.830 83.651 127.222 426.443 81.996 548.10 1006.98 685.803
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 4.42 4.998 5.993 6.862 5.242 1.866 9.346 28.11
[2,] 750.84 544.631 83.525 325.507 154.575 3.196 946.962 2867.53
[3,] 141.74 123.821 227.469 424.441 79.049 217.920 1012.281 1303.11
[,98]
[1,] 10.07
[2,] 883.59
[3,] 1627.49
[1] "--- VAR model 2017-10-06 12:31:00 completed"
[1] "Completed training sample: 2017-10-06 12:31:00 - 2017-10-06 20:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 13:01:00 - 2017-10-06 21:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7577 -0.11614 -4.901 -7.937
-0.8113 -0.02501 -8.579 -18.323
-0.6940 0.05058 -7.975 -9.616
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.13 0.5195 1.2519 -0.3575
-10.28 2.1707 0.2685 0.1772
-13.80 0.6222 0.7089 0.5350
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.88127 2.2209 -0.6109 -16.96
-0.31258 -1.2181 -0.4288 -14.00
-0.06018 -0.2861 -0.1428 -16.82
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1512 -6.949 -4.832 -3.889
1.0406 -6.626 -4.176 -1.548
-0.8008 -4.904 -4.167 -2.755
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.369 -9.304 -3.649 1.3977
-8.887 -7.592 -2.467 0.5318
-8.312 -8.352 -2.811 -1.4654
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.741 -2.143 -29.599 -13.824
3.998 -1.750 -14.621 -9.388
-4.284 -1.427 -5.272 -3.801
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.0246 -23.834 -15.430 3.1835
-1.1434 -12.617 -18.961 0.9263
-0.3694 -5.874 -9.354 1.3632
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.206 -0.2258 -7.055 -1.14352
-15.749 -0.7796 -9.003 0.06049
-14.292 -0.2898 -15.113 -0.28095
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.382 -7.250 -10.395 -11.838
-2.240 -9.342 -7.131 -5.850
-1.907 -13.208 -10.313 -5.962
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.102 -3.66677 -3.770 0.3885
-1.978 -0.02953 -3.019 0.5223
-1.782 -2.38021 -2.284 0.1009
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.93027 0.6515 -2.977 -11.89
0.22255 0.8757 -3.183 -11.74
-0.09028 0.1631 -2.120 -12.18
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1408 0.15860 -8.125 0.9559
1.6443 -0.04747 -8.415 1.5123
1.4163 0.09688 -7.885 0.2461
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.73520 -0.1920 -1.450 4.777
-0.95008 -0.1884 -3.728 3.988
0.04817 -0.3477 -2.835 5.003
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.3977 -2.544 -5.382 -8.256
1.5285 -1.946 -3.256 -3.291
0.5734 -5.129 -4.391 -3.022
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.324 -0.5093 -0.6711 -12.471
-5.859 -0.5019 -0.5844 -5.542
-3.319 -2.6074 -0.4841 -8.531
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.5620 -5.731 -3.1484 -4.333
-0.2044 -1.435 -0.7535 -7.496
-0.8279 -3.952 -1.7136 -1.817
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.294 0.09687 -1.215 -1.1157
-7.124 -0.16596 -3.416 0.2375
-2.603 -0.14669 -3.966 -0.3342
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.207 -1.0667 1.4041 -2.3629
-5.717 -0.4863 -0.1287 0.1648
-6.290 -0.6024 -0.9232 -1.0548
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.739791 -3.930 1.1067 -6.100
0.003354 1.393 -0.1440 -6.026
0.006546 -2.037 0.4142 -5.333
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.048 0.470241 -5.712 1.1830
-4.009 0.065037 -4.063 0.9737
-2.409 -0.008062 -3.928 0.6234
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.662 -1.5805 -0.2352 -0.3279
-3.921 -1.1583 -0.2097 0.4724
-3.327 -0.9163 -0.5575 -0.2774
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.479 -0.22598 -2.533 -1.148
-2.271 0.02079 -3.629 -2.840
-5.202 0.01639 -3.004 -3.705
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.5398 1.60222 -0.1761 -0.42478
1.1765 -0.76837 -0.3913 0.15943
-0.6242 0.05949 0.2586 -0.06741
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.113 0.30868 -7.101 123.3
-1.487 -0.24062 -8.384 123.3
-3.421 -0.05534 -7.610 122.7
rnd_95776.volume rnd_95787.volume
-11.033 -23.171
-6.445 -10.576
-7.313 -5.679
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.297 4.460 11.46 8.224 9.43 4.154 3.196 8.271 8.986 7.764 4.222
[2,] 6.520 4.477 11.54 8.796 10.22 4.166 3.254 8.286 8.988 9.023 4.670
[3,] 6.760 4.477 11.64 9.382 10.43 4.488 3.272 8.391 9.022 9.049 4.686
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.888 5.848 4.888 5.891 5.589 7.004 7.041 13.59 9.212 14.95 6.288
[2,] 6.528 5.858 5.127 6.106 5.940 7.382 7.920 13.95 9.556 14.99 6.316
[3,] 6.931 5.961 5.385 6.265 6.064 7.541 8.121 14.50 9.827 15.16 6.324
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.30 8.494 2.931 6.752 6.782 6.035 7.729 3.195 8.389 7.459 3.538
[2,] 22.14 9.542 2.993 8.709 8.864 6.084 8.244 3.224 9.412 7.757 3.639
[3,] 23.54 10.990 3.038 10.942 9.344 6.547 9.095 3.247 9.748 8.682 3.719
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.843 8.307 7.479 7.889 7.150 7.326 2.218 6.892 1.726 5.386 5.152
[2,] 9.843 8.688 8.501 8.751 7.359 7.841 2.229 7.108 1.752 5.770 6.043
[3,] 10.015 8.999 9.137 9.315 7.482 8.102 2.250 7.146 1.770 5.847 6.532
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.575 2.656 5.551 7.012 9.415 4.555 8.786 7.237 3.289 8.181 7.385
[2,] 4.877 2.667 6.824 7.063 10.255 4.556 9.641 7.460 3.322 9.987 7.931
[3,] 4.982 2.670 7.178 7.220 11.638 4.571 9.986 8.082 3.376 10.494 8.612
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.625 6.820 5.929 2.380 7.396 2.685 6.177 4.616 6.985 7.991 3.454
[2,] 7.944 8.586 5.957 2.462 8.182 2.744 6.214 4.787 7.988 9.155 3.506
[3,] 8.862 9.164 6.020 2.566 9.994 3.005 6.774 4.828 8.113 9.295 3.583
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.386 5.511 7.246 3.332 7.597 8.442 8.750 7.867 8.426 7.296 6.831
[2,] 8.513 5.511 7.905 3.400 7.870 8.636 9.719 8.628 9.254 7.654 7.756
[3,] 8.897 5.813 8.456 3.555 8.126 8.778 9.944 8.856 9.548 8.003 7.960
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.512 6.498 5.932 8.162 3.354 4.394 3.194 6.916 6.261 11.18 9.588
[2,] 2.524 7.152 6.755 8.666 3.615 4.394 3.226 7.296 6.287 11.74 9.632
[3,] 2.571 7.463 7.149 8.889 3.684 4.415 3.244 7.501 6.303 12.12 10.506
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.677 3.306 3.868 4.692 5.270 3.930 1.479 7.714 22.33 7.846
[2,] 3.416 4.957 4.705 4.712 5.440 3.968 1.479 8.793 26.21 8.937
[3,] 4.779 5.012 4.744 4.842 5.803 3.978 1.813 10.046 26.86 11.699
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.996 5.663 14.55 10.44 11.97 5.275 4.059 10.5 11.41
[2,] 347.628 80.856 281.00 640.78 809.55 66.378 124.752 104.1 40.48
[3,] 366.489 7.825 317.46 670.04 428.01 342.447 71.787 271.1 159.69
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.859 5.361 7.476 7.426 6.207 7.481 7.098 8.894
[2,] 943.874 409.929 578.909 67.810 317.972 330.110 412.870 479.235
[3,] 143.043 80.208 478.730 226.879 338.296 288.155 250.695 316.705
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.941 17.26 11.7 18.99 7.985 21.96 10.79 3.722 8.574
[2,] 744.735 646.00 522.0 208.43 121.299 2839.36 893.09 123.983 1129.695
[3,] 369.514 806.46 470.3 465.32 65.493 1639.36 1119.83 107.768 1360.155
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.612 7.664 9.815 4.057 10.65 9.472 4.492 11.23 10.55
[2,] 1172.092 157.176 589.176 88.425 876.52 437.044 175.369 887.90 522.75
[3,] 607.140 496.946 788.757 79.870 521.56 800.875 157.096 379.50 481.67
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.497 10.02 9.08 9.303 2.817 8.752 2.191 6.84 6.542
[2,] 830.012 777.79 357.68 573.746 44.908 357.603 62.105 424.77 648.571
[3,] 687.780 655.61 277.28 418.823 62.484 149.731 51.956 194.02 509.152
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.809 3.373 7.049 8.904 11.96 5.784 11.16 9.19 4.176
[2,] 347.198 50.278 815.188 173.807 834.77 21.395 815.14 372.03 96.632
[3,] 209.377 26.644 456.846 307.955 1130.25 74.379 534.38 638.15 122.618
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 10.39 9.378 7.143 8.661 7.528 3.023 9.391 3.41
[2,] 1176.31 593.610 1151.849 1070.901 118.703 128.897 719.043 115.62
[3,] 661.97 689.455 806.797 658.024 179.491 149.044 1178.236 251.69
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 7.844 5.862 8.87 10.15 4.386 10.65 6.998 9.202 4.231
[2,] 138.959 260.339 795.92 917.57 123.564 301.09 8.143 649.021 138.947
[3,] 554.048 129.217 291.68 330.18 151.234 531.32 380.086 616.498 212.793
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.647 10.72 11.11 9.99 10.7 9.265 8.674 3.189 8.252
[2,] 421.779 374.21 868.84 727.22 785.4 475.182 754.492 51.492 613.726
[3,] 415.773 322.53 432.14 410.19 482.9 479.893 367.490 100.031 437.523
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.533 10.36 4.259 5.579 4.056 8.782 7.95 14.2 12.18
[2,] 663.282 598.18 276.857 7.030 92.814 477.282 118.44 734.0 188.11
[3,] 480.967 406.59 145.722 89.486 70.040 357.389 93.48 615.9 861.36
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.4 4.198 4.912 5.958 6.692 4.991 1.877 9.796 28.36
[2,] 435.6 758.456 550.303 89.315 277.066 111.889 2.059 866.595 2818.09
[3,] 686.3 152.001 123.853 228.675 415.145 59.402 215.510 997.937 1210.30
[,98]
[1,] 9.964
[2,] 878.781
[3,] 1550.395
[1] "--- VAR model 2017-10-06 13:01:00 completed"
[1] "Completed training sample: 2017-10-06 13:01:00 - 2017-10-06 21:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 13:31:00 - 2017-10-06 21:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.9328 -0.04291 -14.47 -21.86
-0.8890 -0.17975 -13.31 -14.65
-0.6654 -0.20246 -12.77 -17.44
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.55 0.4381 0.32217 0.8494
-22.69 0.4806 0.58019 0.5447
-17.86 0.2542 -0.07693 0.3781
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.02577 1.0828 -0.8027 -8.555
-0.19929 0.7792 -0.1591 -6.235
-0.07876 0.6072 -0.1614 -7.776
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2348 -2.863 -5.189 -1.966
-0.1432 -4.032 -5.681 -1.560
-1.1083 -3.982 -5.411 -1.238
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.093 -2.063 -2.249 3.357
-5.113 -4.438 -3.676 2.259
-5.748 -4.853 -3.341 4.094
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.359 -2.331 -39.80 -18.21
-6.627 -1.806 -32.23 -15.74
-6.472 -1.429 -22.06 -12.63
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6127 -15.35 -22.68 -6.254
-0.2205 -17.10 -14.92 -7.271
-0.1761 -14.30 -17.37 -4.665
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.52 -0.8219 -11.02 -19.24
-18.21 -0.8901 -17.65 -18.02
-16.89 -0.9332 -14.31 -16.82
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.207 -13.70 -17.57 -18.66
-2.305 -17.24 -15.78 -12.19
-2.589 -16.28 -17.45 -15.84
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.2411 -3.662 4.046 -0.20069
-0.3694 -8.816 3.081 -0.16013
-1.4334 -7.933 2.993 -0.04235
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.99122 -0.1553 -11.167 -29.22
0.25883 -0.2226 -8.004 -25.98
-0.06897 -0.3441 -5.588 -23.48
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.073 0.007885 -15.44 1.352
2.367 -0.145676 -18.66 1.733
1.709 -0.012627 -17.15 0.852
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.76996 0.1378 -6.957 2.403
2.36817 -0.2302 -6.209 3.019
-0.06531 -0.2568 -7.719 3.358
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3158 -1.507 -1.353 -10.879
-0.2143 -10.596 -6.934 -2.435
-0.2082 -8.347 -7.916 -10.217
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.053 -2.113 -0.2697 -14.898
-1.972 -2.890 -0.3085 -15.123
-8.664 -1.938 -0.3151 -5.768
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.186 -6.193 -1.033 -8.304
-1.487 -7.468 -2.059 -7.603
-1.417 -3.673 -3.281 -9.419
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.255 0.4425 -4.689 -0.8678
-7.205 0.2614 -5.322 -0.4112
-8.357 0.2634 -7.357 -0.3125
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.066 1.8425 -1.081 -1.890
-7.528 1.2113 -1.023 -2.541
-7.334 0.5249 -0.736 -2.270
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.8718 -7.538 4.018 -1.518
-1.9717 -4.886 1.897 -2.218
-0.7158 -3.549 1.778 -1.032
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.572 -0.15847 -3.837 1.5906
-4.658 0.06033 -2.348 1.0290
-2.587 0.07349 -2.402 0.7016
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.287 -1.2102 -1.246 -0.8362
-1.937 -0.5120 -1.192 -1.0361
-2.112 -0.5005 -1.270 -1.1456
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.810 1.01621 1.9787 -10.163
-7.622 0.04286 0.4549 -8.065
-8.038 -0.46901 0.1963 -10.931
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5603 0.9219 1.2364 0.3274
1.1391 0.4757 -0.2493 0.5107
0.1629 0.1159 0.5585 0.1479
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.734 -0.33536 -8.973 108.4
-5.915 0.09099 -8.970 106.4
-3.252 -0.01233 -8.953 105.7
rnd_95776.volume rnd_95787.volume
-16.64 -12.48
-16.19 -17.75
-20.40 -14.22
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.219 4.333 11.47 8.160 9.315 4.113 3.102 7.976 8.709 7.634 4.043
[2,] 6.431 4.344 11.60 8.747 10.029 4.125 3.147 7.990 8.716 8.845 4.520
[3,] 6.689 4.344 11.75 9.302 10.447 4.445 3.154 8.059 8.747 8.886 4.550
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.776 5.724 4.973 6.295 5.489 6.825 7.050 13.90 9.197 14.91 6.353
[2,] 6.426 5.733 5.141 6.405 5.811 7.196 7.975 14.28 9.532 14.96 6.433
[3,] 6.940 5.816 5.476 6.581 5.929 7.358 8.135 14.74 9.773 15.16 6.443
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.33 8.534 3.049 6.683 6.870 6.058 7.722 3.145 8.400 7.405 3.510
[2,] 22.23 9.613 3.071 8.684 9.073 6.139 8.207 3.175 9.536 7.728 3.620
[3,] 23.58 11.052 3.073 11.012 9.565 6.683 9.073 3.197 9.942 8.719 3.703
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.764 8.148 7.547 7.624 7.043 7.250 2.200 6.750 1.720 5.471 5.038
[2,] 9.810 8.539 8.360 8.462 7.235 7.778 2.210 6.976 1.745 5.884 5.973
[3,] 10.015 8.943 8.997 9.065 7.380 7.986 2.232 7.009 1.761 5.986 6.398
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.531 2.617 5.384 6.926 9.223 4.621 8.742 7.262 3.301 7.750 7.409
[2,] 4.834 2.628 6.770 6.963 9.963 4.621 9.579 7.473 3.328 9.576 7.853
[3,] 4.943 2.630 7.220 7.125 11.266 4.639 9.933 8.060 3.386 10.198 8.463
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.538 6.834 5.763 2.361 7.362 2.586 6.027 4.457 6.916 7.962 3.400
[2,] 7.662 8.498 5.778 2.445 8.099 2.630 6.066 4.633 7.817 9.040 3.448
[3,] 8.601 9.023 5.831 2.551 9.816 2.874 6.590 4.722 7.961 9.155 3.525
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.308 5.328 7.154 3.278 7.729 8.354 8.532 7.705 8.484 7.368 6.828
[2,] 8.414 5.328 7.860 3.343 8.200 8.551 9.517 8.506 9.378 7.721 7.716
[3,] 8.834 5.610 8.421 3.498 8.494 8.700 9.726 8.736 9.684 8.074 7.924
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.467 6.488 5.856 7.990 3.286 4.353 3.121 6.827 6.105 10.84 9.305
[2,] 2.481 7.261 6.710 8.567 3.535 4.353 3.146 7.212 6.146 11.56 9.355
[3,] 2.522 7.549 7.111 8.786 3.607 4.382 3.163 7.416 6.162 11.87 10.119
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.630 3.140 3.770 4.654 5.248 3.748 1.474 8.067 21.86 7.893
[2,] 3.314 4.908 4.658 4.677 5.391 3.771 1.474 9.151 25.78 8.985
[3,] 4.758 4.977 4.699 4.815 5.745 3.783 1.806 10.394 26.50 11.778
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.897 5.502 14.57 10.36 11.83 5.223 3.94 10.13 11.06
[2,] 354.311 67.104 364.74 681.46 804.01 67.420 114.20 103.28 76.79
[3,] 398.399 4.397 409.18 685.00 633.21 358.698 45.50 228.83 157.85
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.694 5.134 7.334 7.269 6.315 7.994 6.97 8.667
[2,] 966.828 437.466 609.591 66.921 281.982 255.449 413.37 493.325
[3,] 183.188 112.931 567.136 211.770 407.961 327.185 253.93 332.803
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.952 17.65 11.68 18.93 8.068 22.01 10.84 3.872 8.487
[2,] 806.862 713.62 542.19 282.20 218.574 3012.95 957.89 78.903 1200.085
[3,] 347.610 786.10 466.89 529.11 78.133 1702.80 1180.29 24.610 1465.455
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.724 7.693 9.805 3.994 10.67 9.403 4.457 11.13 10.35
[2,] 1282.504 215.186 601.987 93.892 976.96 478.654 191.119 953.73 552.81
[3,] 655.604 571.158 837.348 81.586 608.49 873.940 169.605 436.51 575.53
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.583 9.682 8.944 9.207 2.793 8.572 2.184 6.947 6.398
[2,] 778.253 794.468 357.850 609.658 46.112 381.152 64.709 468.450 694.496
[3,] 719.720 703.514 315.613 391.724 68.182 145.615 50.713 239.188 496.008
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.754 3.324 6.837 8.795 11.71 5.868 11.1 9.222 4.192
[2,] 364.447 50.331 888.285 154.861 815.44 17.084 847.8 381.588 90.669
[3,] 223.017 26.135 542.938 326.670 1138.18 87.595 568.7 653.606 135.984
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 9.841 9.409 7.033 8.678 7.319 2.998 9.348 3.284
[2,] 1217.280 563.582 1145.762 1092.977 89.462 137.785 730.742 103.362
[3,] 759.073 682.768 846.171 656.815 169.018 157.608 1200.208 251.081
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 7.654 5.659 8.782 10.11 4.318 10.55 6.766 9.084 4.162
[2,] 147.694 274.319 788.783 926.53 124.500 288.44 8.027 704.630 142.076
[3,] 557.204 196.498 325.413 313.25 158.342 582.93 379.928 654.660 223.211
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 9.814 10.61 10.83 9.784 10.77 9.356 8.671 3.133 8.239
[2,] 593.127 395.08 912.38 779.822 865.01 499.378 777.740 57.324 705.603
[3,] 479.227 347.22 434.37 431.102 522.95 511.190 389.814 97.760 446.633
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.436 10.15 4.173 5.528 3.964 8.669 7.752 13.77 11.82
[2,] 709.258 669.31 282.069 4.363 84.815 502.998 154.154 869.58 210.32
[3,] 509.526 421.47 155.376 110.033 71.166 374.057 97.510 575.48 834.85
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.339 3.988 4.787 5.909 6.664 4.759 1.872 10.24
[2,] 436.609 816.275 592.158 100.528 267.250 90.280 1.489 935.03
[3,] 738.881 178.745 133.197 248.348 429.626 65.025 225.819 1066.48
[,97] [,98]
[1,] 27.76 10.02
[2,] 2955.79 929.29
[3,] 1332.32 1648.19
[1] "--- VAR model 2017-10-06 13:31:00 completed"
[1] "Completed training sample: 2017-10-06 13:31:00 - 2017-10-06 21:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 14:01:00 - 2017-10-06 22:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.15544 0.8438 -32.60 -42.72
-0.11993 0.4174 -31.81 -47.49
-0.06658 0.7755 -28.14 -42.09
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-41.39 -0.6013 0.173034 0.4727
-39.09 0.3363 0.005734 0.4777
-45.07 -0.1536 -0.151623 0.2369
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.03957 1.4318 0.10141 -10.854
-0.34798 0.4963 0.15549 -9.760
-0.13475 0.2800 -0.07617 -9.872
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5378 -4.513 -3.249 0.14800
-0.0734 -2.890 -2.048 -0.70203
0.1171 -3.053 -1.672 -0.06657
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.139 -4.874 -4.893 6.792
-7.976 -4.436 -8.070 6.253
-6.552 -5.604 -8.148 1.066
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-29.09 -2.458 -99.56 -48.07
-28.76 -2.035 -70.62 -35.00
-22.34 -1.752 -71.89 -35.61
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.028 -49.36 -52.63 -7.371
-3.631 -42.99 -50.97 -7.334
-2.653 -31.63 -40.79 -5.690
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-36.16 -1.832 -39.54 -17.94
-48.51 -1.504 -43.92 -17.02
-44.91 -1.283 -46.07 -16.10
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.741 -44.85 -35.79 -31.55
-6.786 -41.52 -37.44 -40.76
-7.503 -47.80 -42.43 -38.41
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.891 2.3297 -0.3032 -0.04937
2.572 0.4587 -1.1482 -0.07169
1.784 2.6566 -0.3371 0.08109
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.86396 0.57146 -12.78 -28.57
0.57562 0.03227 -14.66 -27.10
0.01783 0.23620 -16.05 -30.09
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.734 0.5922 -15.47 4.762
4.248 0.4062 -18.46 6.653
3.143 0.4588 -17.25 3.788
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.1231 -0.3694 0.4703 3.005
1.4734 -0.2760 -4.0245 1.631
0.5662 0.4009 -6.4711 1.444
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4198 -3.825 -7.381 -15.242
-0.5283 -4.655 -7.043 -3.670
-0.2647 -9.819 -8.590 -6.142
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.488 -0.07358 -0.2491 4.378
-4.146 1.95943 -0.2374 -15.696
-6.237 -1.00117 -0.1254 -5.960
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.14200 0.1329 2.296 -5.575
0.13279 -6.9914 3.142 1.403
-0.09967 -4.8378 1.822 -4.080
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.160 -1.0247 0.9469 -2.0513
1.932 -0.6973 3.5599 -1.0136
-1.835 -0.6236 3.5025 -0.8478
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.959 -0.3297 -0.01379 -0.05733
-2.511 -1.0171 2.02670 1.81314
2.777 -0.9496 1.58106 1.11090
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.9615 1.675 7.774 0.8603
2.2820 3.130 4.884 1.4655
0.9132 1.486 4.108 2.6821
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.650 -0.1896 3.2046 -1.9855
1.549 -0.2014 0.9314 -1.2972
1.950 -0.1350 1.3924 -0.8995
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.416 -1.1691 -0.04881 0.96298
1.202 0.5396 -0.17941 -0.22549
1.211 0.1290 0.26276 0.02031
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.722 -0.3843 11.263 -6.793
5.176 0.3787 8.954 1.401
5.109 0.2547 9.214 -4.507
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.4939 -1.8251 0.47165 -0.51018
-0.7959 0.3125 -0.97136 -0.08322
-0.1100 -0.5565 -0.04939 -0.12906
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5967 0.02481 -7.610 126.1
-4.3935 0.16302 -7.472 125.3
-2.7040 0.05279 -7.548 126.7
rnd_95776.volume rnd_95787.volume
-0.84 -47.95
-11.18 -38.76
-13.56 -32.71
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.224 4.259 11.65 7.839 9.232 4.049 2.993 7.810 8.456 7.460 4.050
[2,] 6.413 4.271 11.78 8.486 9.961 4.061 3.022 7.817 8.467 8.664 4.541
[3,] 6.677 4.271 11.97 9.057 10.408 4.392 3.024 7.859 8.501 8.705 4.577
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.803 5.626 4.967 6.693 5.613 6.905 7.158 13.90 9.153 14.53 6.313
[2,] 6.223 5.635 5.264 7.175 5.938 7.262 8.014 14.24 9.504 14.56 6.412
[3,] 6.665 5.718 5.670 7.583 6.035 7.364 8.217 14.63 9.719 14.66 6.438
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.17 8.395 2.772 6.532 6.476 5.903 7.647 3.165 8.267 7.282 3.379
[2,] 21.97 9.458 2.845 8.463 9.029 6.007 8.134 3.195 9.398 7.625 3.490
[3,] 23.51 11.037 2.893 10.837 9.526 6.611 8.946 3.221 9.902 8.688 3.540
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.579 8.025 7.423 7.068 6.838 7.144 2.150 6.571 1.720 5.554 5.066
[2,] 9.499 8.500 8.290 7.878 7.072 7.721 2.161 6.837 1.745 5.985 5.866
[3,] 9.796 8.934 8.912 8.572 7.208 7.921 2.179 6.865 1.762 6.127 6.231
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.497 2.650 5.374 6.806 9.075 4.687 8.679 7.458 3.290 6.989 7.192
[2,] 4.780 2.667 6.770 6.817 9.759 4.688 9.601 7.705 3.321 8.792 7.483
[3,] 4.881 2.672 7.135 6.983 11.010 4.697 9.951 8.281 3.374 9.515 8.178
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.505 6.796 5.771 2.314 7.253 2.391 5.900 4.212 6.808 7.791 3.290
[2,] 7.354 8.374 5.779 2.395 7.979 2.400 5.934 4.364 7.638 8.909 3.350
[3,] 8.181 8.860 5.883 2.507 9.599 2.505 6.398 4.427 7.766 9.043 3.419
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.095 5.022 7.045 3.239 7.386 8.346 8.508 7.622 8.580 7.425 6.879
[2,] 8.433 5.023 7.719 3.308 7.698 8.526 9.416 8.421 9.489 7.681 7.740
[3,] 8.647 5.337 8.245 3.469 7.971 8.655 9.654 8.701 9.783 8.058 7.910
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.418 6.367 5.747 7.937 3.210 4.376 2.935 6.886 6.104 10.42 9.622
[2,] 2.432 7.165 6.597 8.539 3.494 4.376 2.970 7.303 6.138 11.04 9.687
[3,] 2.477 7.432 7.036 8.731 3.574 4.408 2.999 7.731 6.151 11.34 10.809
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.573 3.001 3.673 4.591 5.193 3.565 1.490 8.435 21.95 7.707
[2,] 3.223 4.825 4.599 4.612 5.376 3.570 1.490 9.483 25.51 8.778
[3,] 4.696 4.901 4.637 4.749 5.700 3.571 1.822 10.796 26.21 11.660
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.904 5.408 14.79 9.954 11.72 5.142 3.801 9.918 10.74
[2,] 371.448 76.780 423.50 781.137 898.82 74.813 99.390 76.431 106.66
[3,] 446.499 10.487 501.59 761.154 725.72 402.217 26.952 195.424 181.52
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.473 5.143 7.369 7.144 6.307 8.499 7.128 8.768
[2,] 1059.243 493.949 540.032 76.790 418.778 621.869 465.946 540.274
[3,] 202.151 137.209 574.004 233.661 506.606 589.937 258.761 294.433
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.09 17.66 11.62 18.45 8.017 21.8 10.66 3.519 8.295
[2,] 866.37 741.17 615.06 230.11 270.355 3293.4 1047.16 154.609 1293.471
[3,] 436.53 803.30 488.14 411.21 137.363 2015.4 1367.44 125.957 1626.943
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 8.224 7.495 9.71 4.018 10.5 9.248 4.29 10.89 10.19
[2,] 1512.308 268.815 666.72 105.354 1074.4 543.285 210.47 980.24 673.66
[3,] 729.511 663.511 895.01 98.755 749.4 1001.122 142.78 575.52 661.05
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.426 8.975 8.684 9.072 2.731 8.344 2.184 7.053 6.433
[2,] 887.445 836.439 433.659 703.963 51.676 453.500 70.788 535.605 710.863
[3,] 786.164 812.182 334.578 424.910 68.125 150.513 59.033 315.607 505.099
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 5.71 3.365 6.824 8.642 11.52 5.952 11.02 9.471 4.177
[2,] 389.31 71.716 989.582 92.622 862.36 12.042 986.65 465.300 110.097
[3,] 237.77 37.384 541.500 364.206 1225.23 70.220 629.12 729.374 143.105
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 8.874 9.133 6.99 8.63 7.328 2.938 9.21 3.036
[2,] 1282.098 496.090 1172.21 1175.93 73.428 148.365 799.57 51.470
[3,] 875.114 793.188 861.55 695.81 265.437 178.112 1282.44 172.805
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 7.492 5.349 8.646 9.893 4.178 10.28 6.378 8.946
[2,] 152.349 274.355 831.964 1038.986 150.862 567.89 17.421 758.422
[3,] 575.178 178.657 338.621 372.841 165.179 459.74 433.796 696.439
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 4.113 9.379 10.6 10.8 9.678 10.9 9.429 8.735 3.07
[2,] 161.106 521.442 419.1 970.2 861.027 973.9 471.981 852.734 64.66
[3,] 251.628 497.107 356.6 511.6 525.515 572.8 586.197 392.913 111.98
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 8.085 7.297 10.08 4.077 5.557 3.727 8.744 7.751 13.23
[2,] 789.663 778.845 757.12 331.693 9.940 108.902 584.647 155.433 879.16
[3,] 474.614 588.115 437.23 180.535 127.239 100.715 609.996 96.708 619.03
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 12.22 3.268 3.81 4.664 5.83 6.594 4.528 1.891 10.71
[2,] 269.16 466.268 908.15 665.199 104.33 334.457 41.428 3.480 1041.48
[3,] 1152.71 821.077 206.90 143.458 272.06 455.116 25.641 252.326 1240.76
[,97] [,98]
[1,] 27.87 9.787
[2,] 3124.55 1009.816
[3,] 1445.25 1844.757
[1] "--- VAR model 2017-10-06 14:01:00 completed"
[1] "Completed training sample: 2017-10-06 14:01:00 - 2017-10-06 22:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 14:31:00 - 2017-10-06 22:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.61499 -0.39612 -40.62 -39.56
-0.09061 0.02784 -42.58 -42.32
0.14770 -0.27143 -42.69 -46.63
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-38.82 2.1313 0.73478 -0.04188
-41.70 0.7024 0.07471 -0.26095
-42.45 0.8774 -0.14570 -0.21939
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.8749 -3.8266 -1.9802 -11.144
-0.4762 -0.8376 0.3525 -12.273
-0.3664 -0.8268 -0.3162 -6.897
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8510 -7.618 4.690 -3.095
-0.9842 -9.001 9.091 2.036
-0.6015 -6.858 5.981 -0.940
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.402 -2.618 -0.4925 11.96
-8.539 -6.198 -0.1776 11.54
-7.873 -4.762 -2.7496 10.14
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-46.36 -3.332 -95.13 -42.27
-42.08 -2.227 -98.95 -49.98
-45.09 -2.035 -86.24 -41.60
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.574 -42.82 -45.81 -9.528
-4.817 -47.62 -47.33 -9.544
-4.216 -44.31 -53.10 -8.647
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-40.41 -4.303 -42.57 -17.72
-43.04 -4.329 -41.63 -16.19
-46.36 -4.271 -43.02 -15.55
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.853 -47.13 -40.92 -44.11
-8.930 -44.53 -42.49 -42.25
-9.175 -45.23 -42.05 -41.36
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.443 -5.388 4.096 0.7717
2.884 -4.045 3.427 0.7536
2.656 -1.517 2.769 0.4827
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.1616 0.47717 -24.70 -35.77
0.5036 0.37565 -24.93 -35.72
0.2122 -0.03483 -23.77 -37.56
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.177 0.2338 -22.39 -0.05619
4.832 0.2173 -21.18 2.48740
5.333 0.2337 -23.97 2.67547
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.536 -2.197 -8.032 9.314
8.128 -1.918 -10.107 6.767
1.339 -3.480 -12.615 5.694
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.520135 -10.879 -7.021 -1.103
-0.008708 -7.757 -9.426 -9.201
-0.018408 -13.300 -9.635 -7.593
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.401 0.4459 0.3046 -11.081
-8.409 -1.0094 0.2084 -4.485
-8.829 -1.4302 0.2182 -11.351
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.1437 -5.056 -1.2592 -11.846
-0.2484 -2.537 -0.7218 -6.027
-0.3505 -3.970 -1.9729 -4.300
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.140 -0.3429 -7.546 -0.18455
-6.801 -0.4136 -7.025 -0.72252
-4.477 -0.3071 -3.862 -0.01067
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.713 0.06723 -0.6195 -0.4312
-9.558 0.47032 1.4037 -0.4525
-5.635 0.11939 0.7948 0.6258
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7457 3.7439 7.206 2.375
0.1834 -0.5217 6.503 2.856
0.1471 0.2479 4.428 2.665
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.174 -0.07414 3.8262 -0.9131
3.735 -0.14345 0.2465 -0.4767
1.462 0.03000 2.4901 -0.3455
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.744 -0.6528 -2.544 -0.7961
1.054 1.2454 -1.334 -0.3421
2.258 0.1348 -1.535 -0.2257
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.691 0.1244 -1.487 -9.6447
-1.726 -0.5822 -1.806 0.2995
-3.144 0.1646 -1.564 -7.2777
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1475 -2.88558 -1.4498 -0.4848
-2.5409 -0.03705 0.1682 -0.7371
0.1449 -0.38424 -0.8140 -0.1939
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.998 0.26459 -6.395 121.5
-4.018 0.09627 -6.326 118.4
-4.401 -0.05438 -6.393 120.2
rnd_95776.volume rnd_95787.volume
-22.24 -40.40
-39.73 -49.49
-30.07 -41.56
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.918 4.156 11.70 7.817 9.130 3.956 2.928 7.620 8.434 7.079 4.022
[2,] 6.010 4.165 11.86 8.533 9.834 3.972 2.955 7.621 8.467 8.564 4.479
[3,] 6.274 4.165 12.15 9.025 10.218 4.279 2.958 7.644 8.500 8.586 4.515
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.426 5.559 5.059 6.957 5.134 6.779 7.098 13.95 9.276 14.22 6.306
[2,] 6.014 5.572 5.437 7.354 5.299 7.301 8.036 14.28 9.706 14.26 6.419
[3,] 6.360 5.659 5.532 7.802 5.518 7.444 8.250 14.63 9.979 14.42 6.459
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.73 8.601 2.630 6.871 6.610 5.719 7.705 3.048 8.053 7.097 3.279
[2,] 20.91 9.434 2.667 8.523 9.071 5.825 8.229 3.092 9.089 7.379 3.356
[3,] 22.34 10.935 2.742 10.714 9.561 6.351 9.060 3.119 9.654 8.404 3.388
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.485 7.936 7.283 6.832 6.650 7.120 2.130 6.523 1.691 5.540 5.211
[2,] 9.335 8.359 8.078 7.446 6.932 7.643 2.143 6.761 1.711 5.924 5.748
[3,] 9.714 8.805 8.624 8.115 7.014 7.824 2.158 6.804 1.722 6.144 6.088
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.441 2.662 5.332 6.715 9.152 4.558 8.388 7.361 3.279 6.927 7.204
[2,] 4.734 2.676 6.690 6.720 9.738 4.600 9.355 7.572 3.320 8.478 7.431
[3,] 4.843 2.683 6.945 6.892 10.877 4.629 9.694 8.067 3.368 9.141 7.978
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.433 6.685 5.725 2.285 7.170 2.302 5.711 4.087 6.491 7.397 3.198
[2,] 7.326 8.321 5.776 2.366 7.856 2.315 5.740 4.239 7.212 8.356 3.240
[3,] 8.012 8.741 5.828 2.480 9.413 2.425 6.137 4.308 7.350 8.485 3.307
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.708 4.733 6.673 3.190 7.052 8.065 8.442 7.315 8.691 7.489 6.781
[2,] 7.843 4.736 7.261 3.264 7.249 8.262 9.220 8.111 9.484 7.744 7.594
[3,] 8.116 4.939 7.790 3.409 7.386 8.392 9.405 8.254 9.823 8.142 7.777
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.308 6.292 5.700 7.756 3.194 4.123 2.875 6.439 6.009 9.923 9.815
[2,] 2.317 7.124 6.542 8.435 3.483 4.123 2.905 6.756 6.046 10.562 9.893
[3,] 2.353 7.371 6.946 8.612 3.566 4.264 2.933 7.137 6.058 10.809 11.067
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.581 3.026 3.683 4.547 4.980 3.547 1.473 8.834 20.91 7.913
[2,] 3.265 4.775 4.595 4.562 5.065 3.548 1.473 10.047 24.82 8.681
[3,] 4.665 4.844 4.631 4.687 5.373 3.552 1.806 11.421 25.66 11.135
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.515 5.278 14.85 9.926 11.59 5.024 3.718 9.676 10.71
[2,] 307.221 78.602 571.26 999.743 1067.52 102.943 115.934 38.200 217.20
[3,] 526.223 14.299 766.21 859.416 810.91 464.995 37.043 175.134 218.03
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.989 5.108 6.891 7.058 6.425 8.835 6.519 8.609
[2,] 1408.418 575.656 757.897 112.620 581.768 695.996 384.078 791.915
[3,] 181.261 166.275 604.581 289.165 299.005 761.405 449.714 425.420
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 9.014 17.72 11.78 18.05 8.008 21.25 10.92 3.34 8.725
[2,] 1100.814 884.84 834.34 307.63 349.850 3662.35 1132.52 129.73 1473.800
[3,] 545.803 935.38 677.78 628.61 209.752 2304.72 1616.04 186.20 1897.182
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 8.393 7.262 9.785 3.87 10.23 9.012 4.164 10.77
[2,] 1815.492 323.195 843.702 152.45 1231.62 590.662 208.784 1137.52
[3,] 882.804 739.574 1107.889 121.01 950.89 1175.016 135.856 784.74
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 10.08 9.248 8.675 8.444 9.042 2.704 8.283 2.147 7.035
[2,] 767.15 1021.407 865.306 572.173 811.995 68.847 519.104 76.179 612.572
[3,] 808.02 882.046 942.613 312.790 489.009 75.870 224.928 56.968 477.202
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 6.618 5.64 3.381 6.77 8.527 11.62 5.788 10.65 9.348
[2,] 708.527 479.01 77.689 1180.95 73.076 971.84 180.244 1210.04 518.088
[3,] 586.571 298.20 58.114 545.18 447.476 1416.68 152.841 742.60 813.432
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.163 8.796 9.148 6.899 8.489 7.27 2.901 9.104
[2,] 152.409 1428.648 533.158 1436.355 1447.972 222.52 179.380 938.813
[3,] 166.087 998.734 848.019 947.626 782.072 227.79 217.231 1515.174
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.924 7.252 5.19 8.243 9.393 4.061 9.788 6.01
[2,] 69.687 167.437 328.44 918.796 1136.160 152.591 423.198 54.10
[3,] 211.573 634.792 225.01 413.777 430.633 192.792 609.745 409.25
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 8.474 4.051 8.955 10.24 10.72 9.289 11.04 9.51
[2,] 836.273 201.844 490.185 523.39 1082.97 1024.167 1109.17 575.90
[3,] 825.179 287.501 413.888 429.95 543.37 446.103 748.29 734.59
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 8.611 2.93 7.99 7.239 9.849 4.056 5.236 3.651 8.177
[2,] 998.779 60.56 976.18 938.023 968.939 405.837 6.994 121.721 597.788
[3,] 489.802 120.45 553.43 682.598 507.489 224.246 318.048 117.990 672.044
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 7.63 12.6 12.46 3.278 3.842 4.677 5.774 6.323 4.504
[2,] 195.78 1057.5 361.18 584.367 1079.561 802.670 107.902 271.241 28.791
[3,] 113.02 670.3 1449.81 973.759 237.535 168.954 314.476 523.963 45.283
[,95] [,96] [,97] [,98]
[1,] 1.871 11.22 26.55 10.05
[2,] 1.580 1398.18 3908.53 1043.16
[3,] 305.324 1587.25 1903.28 2038.01
[1] "--- VAR model 2017-10-06 14:31:00 completed"
[1] "Completed training sample: 2017-10-06 14:31:00 - 2017-10-06 22:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 15:01:00 - 2017-10-06 23:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1172 -0.9500 -37.70 -31.15
-2.1097 -0.8350 -36.67 -37.91
-1.0383 -0.8395 -36.34 -35.23
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-36.72 -0.6663 0.3444 0.07596
-36.53 1.1499 0.4240 0.12552
-37.17 -0.1104 0.3736 -0.05141
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6382 -0.9186 -1.0327 -7.845
-0.6422 -0.3939 0.1341 -6.705
-0.5128 -0.4716 -0.3027 -7.241
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.3948 -0.3701 -2.811 4.071
0.4031 -0.2232 -1.112 3.259
0.2236 1.5311 -0.899 3.272
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.1257 2.789 4.464 13.70
-1.6124 -0.370 3.696 15.02
-0.7607 -1.179 1.833 13.48
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-35.33 -2.310 -80.06 -40.81
-39.39 -1.531 -76.89 -33.16
-35.86 -1.482 -79.51 -37.78
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.396 -36.91 -31.70 -8.469
-3.293 -37.03 -42.74 -7.865
-3.519 -35.57 -37.09 -7.847
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-32.95 -3.645 -40.37 -14.52
-35.13 -3.250 -33.33 -14.83
-38.15 -3.776 -39.30 -15.04
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.803 -40.75 -41.09 -35.74
-8.874 -35.49 -38.85 -40.24
-8.793 -36.71 -35.50 -35.21
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.3036 -1.5121 -1.881 -0.07598
-1.5182 0.2525 -1.149 -0.05444
-0.6217 1.0311 -1.061 -0.01099
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.58428 0.12853 -23.41 -30.74
0.23423 0.19141 -24.01 -29.06
0.09402 -0.01357 -22.63 -30.80
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.425 -0.7485 -18.14 1.433
3.333 -0.4666 -19.96 4.549
4.752 -0.3581 -18.70 2.040
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.630 -2.531 -7.441 8.769
-7.249 -2.526 -10.963 8.989
2.968 -1.516 -10.485 9.282
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.41949 -8.616 -6.879 -5.907
0.14737 -7.821 -5.505 -6.440
-0.07188 -11.163 -9.224 -7.670
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.382 0.3489 0.9794 -7.453
-7.530 -0.2108 1.0232 -4.532
-6.916 -0.5036 1.0464 -8.315
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9213 -1.981 -0.9967 -0.9439
-0.6404 -2.065 0.9374 -2.0861
-0.3771 -3.501 -0.1071 -1.2931
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.595 1.0544 -2.380 2.1372
-2.531 0.8946 -1.210 -1.3190
-2.167 0.6850 -3.304 0.7158
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.849 1.5905 -0.8884 -1.8615
-1.994 1.2780 -0.6531 -0.1508
-2.922 0.9324 -1.0301 -1.6043
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2325 -4.775 13.026 7.855
0.5529 -2.016 9.532 5.957
0.1900 -3.270 8.031 5.289
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.094 0.6285 6.849 1.7562
3.321 0.6449 5.906 1.2447
3.239 0.3514 4.258 0.8316
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.708 1.274 -1.4819 -0.04471
4.662 1.378 -0.7484 -0.01017
3.296 1.242 -2.1216 -0.01967
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.827 0.9390 1.2724 1.2941
-1.410 -0.1872 1.4381 9.1644
-1.405 -0.7757 0.8296 0.3777
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.207 7.0749 2.987 1.2931
5.611 0.1754 0.982 1.4951
0.154 1.4383 1.646 0.3197
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.311 0.15194 -5.090 116.1
-1.249 -0.06805 -5.766 114.9
-3.160 -0.03275 -5.359 114.0
rnd_95776.volume rnd_95787.volume
-31.1 -38.76
-29.5 -33.66
-25.5 -37.00
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.790 4.097 10.90 7.726 9.347 3.887 2.929 7.404 8.255 6.576 4.015
[2,] 5.844 4.107 11.04 8.481 10.011 3.904 2.956 7.408 8.286 8.268 4.462
[3,] 6.082 4.108 11.25 8.941 10.408 4.202 2.960 7.420 8.313 8.285 4.520
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.800 5.306 5.206 6.925 5.328 6.750 7.114 13.96 9.565 13.91 6.243
[2,] 5.334 5.308 5.670 7.349 5.460 7.231 8.096 14.22 10.027 13.94 6.386
[3,] 5.422 5.370 5.861 7.741 5.624 7.352 8.304 14.54 10.361 14.09 6.430
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.15 8.556 2.566 6.762 6.523 5.638 7.657 2.937 7.933 6.787 3.155
[2,] 22.00 9.408 2.602 8.261 8.850 5.745 8.264 2.981 8.899 7.053 3.216
[3,] 22.40 10.861 2.672 10.676 9.374 6.257 9.081 3.024 9.548 7.996 3.273
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.526 7.722 7.261 6.350 6.469 6.956 2.057 6.360 1.670 5.547 5.300
[2,] 9.262 8.225 8.066 6.743 6.768 7.405 2.067 6.579 1.685 5.899 5.782
[3,] 9.690 8.685 8.568 7.163 6.847 7.537 2.074 6.614 1.693 6.145 6.163
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.391 2.671 5.892 6.669 9.189 4.596 8.179 7.354 3.266 6.947 7.238
[2,] 4.719 2.686 6.573 6.675 9.795 4.666 9.286 7.581 3.306 8.281 7.505
[3,] 4.831 2.697 6.762 6.854 10.735 4.686 9.509 8.041 3.362 9.028 7.976
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.420 6.229 5.416 2.262 6.916 2.189 5.627 4.042 6.380 7.284 3.121
[2,] 7.196 7.955 5.477 2.342 7.414 2.192 5.649 4.188 7.175 8.269 3.165
[3,] 7.773 8.420 5.520 2.455 9.053 2.292 6.090 4.258 7.299 8.389 3.240
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.459 4.747 6.497 3.154 6.674 8.058 8.344 7.198 8.884 7.480 6.776
[2,] 7.586 4.751 7.121 3.226 6.793 8.291 9.042 8.002 9.732 7.586 7.731
[3,] 7.853 4.943 7.702 3.381 6.870 8.393 9.226 8.102 10.132 7.879 7.858
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.209 6.277 5.672 7.675 3.095 4.076 2.750 5.966 5.990 9.833 9.887
[2,] 2.230 7.294 6.529 8.394 3.351 4.076 2.781 6.293 6.026 10.346 10.093
[3,] 2.258 7.503 6.927 8.547 3.465 4.204 2.801 6.691 6.032 10.576 11.224
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.513 3.049 3.584 4.513 4.750 3.387 1.450 9.152 20.59 7.653
[2,] 3.187 4.758 4.527 4.531 4.813 3.388 1.452 10.389 24.45 8.315
[3,] 4.573 4.830 4.556 4.629 5.201 3.393 1.779 11.682 24.98 11.061
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.352 5.203 13.84 9.81 11.87 4.936 3.719 9.403 10.48
[2,] 237.674 83.772 522.25 1047.31 1072.63 106.656 118.572 70.825 213.08
[3,] 503.753 25.530 655.41 846.78 851.91 465.019 48.526 126.080 199.84
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 8.351 5.098 6.095 6.738 6.611 8.794 6.766 8.572
[2,] 1499.239 583.100 696.137 45.442 672.346 736.049 357.544 776.000
[3,] 162.157 215.432 290.511 242.885 443.768 727.915 402.633 396.705
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.034 17.72 12.15 17.67 7.928 21.78 10.86 3.259
[2,] 1155.999 812.44 900.85 249.13 401.582 4124.95 1170.48 129.716
[3,] 553.531 905.35 780.27 612.29 225.864 1252.36 1623.91 181.947
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.587 8.283 7.16 9.723 3.73 10.07 8.619 4.006
[2,] 1420.137 1789.807 330.73 930.869 152.77 1206.55 574.170 185.645
[3,] 2023.274 924.339 741.17 1126.460 150.83 1035.37 1126.997 183.520
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 10.83 9.806 9.221 8.063 8.214 8.833 2.612 8.077 2.12
[2,] 1083.01 848.027 1051.161 678.501 595.459 759.669 58.990 503.447 67.28
[3,] 851.91 834.624 864.036 723.977 310.871 420.562 52.456 204.198 50.35
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 7.044 6.73 5.575 3.392 7.482 8.468 11.67 5.837 10.39
[2,] 600.257 691.72 517.540 83.738 871.564 85.416 1014.99 239.803 1315.86
[3,] 515.697 638.91 309.204 73.990 475.355 465.802 1314.74 129.319 612.95
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 9.338 4.147 8.821 9.191 6.883 7.909 6.878 2.872
[2,] 551.786 152.857 1348.894 594.053 1416.498 1480.779 243.753 181.615
[3,] 801.583 183.727 1076.216 808.247 878.924 825.930 205.560 220.311
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 8.782 2.78 7.146 5.133 8.102 9.249 3.963 9.472
[2,] 799.538 32.00 149.183 327.385 981.894 1171.344 157.893 413.306
[3,] 1554.835 200.58 680.238 230.711 402.098 424.121 206.992 607.671
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 6.027 8.25 4.005 8.475 10.23 10.6 9.141 11.28 9.499
[2,] 64.007 872.29 203.006 377.942 584.62 1042.0 1045.769 1188.56 377.876
[3,] 407.366 878.00 303.074 307.980 390.24 548.6 379.855 844.45 636.441
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 8.605 2.805 7.971 7.202 9.746 3.93 5.175 3.492
[2,] 1113.422 91.868 1111.863 968.102 1017.639 384.56 13.142 123.418
[3,] 422.360 105.369 526.237 691.835 481.448 264.41 308.038 100.383
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 7.576 7.607 12.49 12.56 3.192 3.872 4.551 5.73
[2,] 598.922 195.877 962.45 607.56 586.412 1092.835 827.802 122.39
[3,] 680.189 81.482 657.14 1469.02 981.212 249.275 152.243 283.23
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 6.031 4.302 1.841 11.62 26.15 9.719
[2,] 232.936 12.156 25.350 1470.82 3941.65 972.239
[3,] 589.830 54.994 307.365 1598.96 1536.27 2182.724
[1] "--- VAR model 2017-10-06 15:01:00 completed"
[1] "Completed training sample: 2017-10-06 15:01:00 - 2017-10-06 23:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 15:31:00 - 2017-10-06 23:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.07482 0.26161 -35.71 -40.26
-0.65056 -0.02004 -35.14 -35.79
-0.83712 0.51859 -35.03 -36.58
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-36.37 -0.32673 -0.05942 -0.03587
-36.07 -0.05772 0.21314 -0.39459
-36.91 -0.12854 -0.27479 -0.01639
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.3029 0.3761 -1.0597 -9.707
-0.4692 -0.2426 -0.1978 -6.566
-0.2076 -0.5585 -0.3731 -8.236
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.8911 -1.116 -2.4775 2.43018
0.6110 -2.147 -0.5585 -0.07132
0.1048 -0.095 -0.7347 1.19139
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.139 0.6978 0.1609 7.026
-3.653 -3.0561 -1.1235 8.292
-2.553 -2.6404 -1.4991 7.963
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-38.69 -2.422 -70.48 -35.50
-36.52 -1.944 -75.13 -37.84
-34.92 -1.783 -72.71 -35.48
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.124 -35.22 -43.26 -6.272
-3.308 -36.34 -35.15 -5.995
-3.270 -36.72 -39.13 -6.124
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-37.91 -3.962 -32.99 -14.11
-38.08 -3.800 -39.83 -14.13
-35.58 -3.691 -34.96 -14.11
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.898 -38.38 -34.23 -35.36
-8.334 -37.69 -33.26 -36.63
-8.001 -37.50 -35.89 -37.54
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.0651 1.144 2.4613 -0.24172
1.1958 -3.539 0.3974 -0.14570
0.7705 -1.442 1.4296 -0.05937
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5243 0.19863 -19.62 -27.66
0.2066 0.13095 -20.06 -26.74
0.1069 0.07976 -19.97 -27.17
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.530 0.4998 -16.01 4.079
3.589 0.5109 -17.68 2.648
3.904 0.4403 -17.41 2.161
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.561 -2.902 -6.329 4.418
4.302 -2.205 -8.669 3.131
0.547 -1.597 -7.607 3.718
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.1027 -5.934 -5.667 -5.464
1.0493 -6.550 -6.664 -5.858
0.4373 -8.550 -8.623 -7.058
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.231 1.1883 -0.02485 -6.053
-5.358 -0.7335 -0.06458 -9.166
-7.012 -0.8570 -0.20669 -6.275
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3849 -3.243 -1.4133 -0.9729
-0.7661 -5.374 -0.3175 -4.1923
-0.4259 -3.696 -1.2310 -5.1311
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.627 0.2550 -2.870 1.2427
-3.012 0.7046 -4.900 0.1402
-4.585 0.7845 -4.249 0.3147
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.158 0.9791 0.9476 -0.90818
-4.287 0.8795 -0.4593 0.24426
-4.009 0.6583 0.5366 -0.02193
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.70614 2.4668 6.411 3.195
-0.19301 0.8604 4.625 2.022
-0.04976 -1.0821 4.136 2.539
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.762 0.075927 1.745 -0.5635
2.909 0.009161 1.281 -0.3151
2.142 0.013035 1.933 -0.2167
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.4701 -0.67660 -1.0541 -0.1658
0.8907 0.03551 -0.4171 0.2465
1.6510 0.11558 -1.3779 0.3542
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.1030 -0.4959 -1.493 -6.447
1.4795 -0.5091 -1.437 2.101
-0.4378 0.2910 -1.197 -4.143
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4804 -1.79713 -0.9460 -0.02213
-1.5668 0.02689 0.2613 -0.38874
0.1837 -0.09453 -0.4979 -0.01972
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.241 -0.114748 -5.017 114.4
-4.278 -0.048103 -5.193 113.0
-2.683 -0.007173 -5.036 112.5
rnd_95776.volume rnd_95787.volume
-23.46 -30.69
-18.74 -35.61
-24.46 -33.97
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.699 3.940 10.69 7.623 9.013 3.709 2.894 7.205 8.036 6.274 4.007
[2,] 5.730 3.946 10.82 8.352 9.539 3.716 2.924 7.210 8.065 8.201 4.477
[3,] 5.967 3.952 11.00 8.788 9.898 4.011 2.930 7.221 8.099 8.207 4.539
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.760 5.252 5.266 6.694 5.140 6.934 7.076 13.98 9.136 13.12 5.967
[2,] 5.337 5.252 5.789 7.119 5.237 7.476 8.033 14.24 9.635 13.17 6.149
[3,] 5.425 5.284 6.016 7.516 5.422 7.629 8.315 14.58 10.101 13.23 6.207
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 17.00 8.456 2.502 6.883 6.486 5.420 7.550 2.808 7.369 6.555 3.042
[2,] 21.46 9.217 2.530 8.267 8.767 5.506 8.192 2.844 8.359 6.796 3.104
[3,] 21.93 10.508 2.587 10.429 9.262 6.029 8.999 2.892 9.150 7.611 3.156
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.002 7.574 7.053 6.073 6.670 6.904 2.039 6.221 1.636 5.311 5.111
[2,] 8.729 8.097 7.919 6.304 7.008 7.358 2.047 6.404 1.654 5.647 5.578
[3,] 9.171 8.453 8.368 6.679 7.191 7.477 2.052 6.433 1.661 5.904 6.048
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.289 2.652 5.780 6.465 8.963 4.563 7.721 7.173 3.278 6.736 7.112
[2,] 4.609 2.672 6.448 6.473 9.498 4.640 8.813 7.460 3.316 8.014 7.359
[3,] 4.700 2.688 6.648 6.721 10.381 4.660 9.005 7.843 3.368 8.801 7.783
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 5.168 6.029 5.494 2.157 6.463 2.022 5.428 4.068 5.922 6.599 2.950
[2,] 6.872 7.665 5.549 2.233 7.120 2.025 5.449 4.199 6.798 7.966 2.985
[3,] 7.461 8.158 5.590 2.332 8.950 2.103 5.923 4.274 6.855 8.039 3.060
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.991 4.635 6.155 2.971 6.375 7.377 8.249 6.957 8.896 7.527 6.670
[2,] 7.094 4.650 6.859 3.032 6.459 7.836 8.899 7.946 9.663 7.905 7.655
[3,] 7.447 4.819 7.556 3.188 6.526 7.888 9.063 8.015 10.045 8.176 7.929
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.113 6.182 5.400 7.604 3.104 4.003 2.713 5.709 5.603 9.883 9.870
[2,] 2.129 7.302 6.153 8.356 3.349 4.003 2.720 5.972 5.624 10.392 9.946
[3,] 2.159 7.582 6.501 8.575 3.463 4.115 2.734 6.299 5.630 10.619 11.203
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.428 2.881 3.311 4.333 4.409 3.233 1.449 9.389 19.84 7.690
[2,] 3.033 4.494 4.359 4.357 4.465 3.233 1.451 10.562 23.88 8.275
[3,] 4.342 4.591 4.381 4.440 4.989 3.240 1.774 11.910 24.33 10.914
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.237 5.003 13.58 9.68 11.44 4.71 3.674 9.15 10.2
[2,] 188.909 69.863 535.28 1083.71 992.56 70.33 134.619 84.02 218.2
[3,] 528.426 69.155 616.87 868.11 838.84 479.98 57.340 127.67 237.4
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.967 5.088 6.045 6.669 6.687 8.5 6.527 8.805
[2,] 1677.165 633.978 766.382 19.113 763.999 770.1 318.446 887.339
[3,] 97.378 238.721 309.950 183.832 519.290 765.0 446.151 482.944
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.985 17.75 11.6 16.66 7.577 21.59 10.74 3.178 8.741
[2,] 1207.858 864.30 971.5 363.19 471.612 4159.30 1164.00 118.685 1454.056
[3,] 681.746 996.81 963.0 410.37 268.325 1429.23 1602.67 170.531 2019.030
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 8.236 6.883 9.587 3.566 9.358 8.324 3.862 10.16
[2,] 1873.100 307.976 1009.523 142.668 1253.220 569.455 197.277 1107.59
[3,] 949.282 779.820 1182.806 167.305 1181.714 1088.475 180.156 892.80
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 9.618 8.956 7.712 8.47 8.767 2.589 7.899 2.078 6.745
[2,] 909.351 1143.344 536.506 682.43 807.601 57.361 482.486 77.033 608.725
[3,] 771.030 858.814 701.021 512.50 422.355 44.420 195.529 48.452 547.321
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 6.49 5.447 3.367 7.34 8.21 11.38 5.794 9.805 9.108
[2,] 709.19 535.640 103.426 907.95 103.56 997.64 266.896 1349.105 651.075
[3,] 742.99 292.990 93.984 513.96 574.02 1330.45 137.061 587.520 768.635
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.162 8.554 9.031 6.563 7.656 6.976 2.74 8.207
[2,] 158.640 1378.883 600.835 1438.440 1503.208 249.055 182.46 948.708
[3,] 188.553 1155.382 804.775 921.962 887.225 212.185 214.02 1722.224
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.568 6.893 5.166 7.519 8.38 3.746 8.878 5.886
[2,] 36.978 150.696 330.094 1060.025 1416.68 144.335 381.715 117.226
[3,] 180.452 737.425 253.304 282.001 344.68 214.580 719.665 401.854
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 7.816 3.773 8.095 9.368 10.47 8.834 11.3 9.558
[2,] 961.254 192.609 330.541 839.481 1060.05 1219.223 1198.5 767.076
[3,] 1006.565 313.013 294.859 287.410 546.30 333.882 870.8 662.963
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 8.47 2.684 7.851 6.858 9.656 3.942 5.083 3.445
[2,] 1192.48 81.005 1233.909 936.400 1099.683 399.344 23.690 61.851
[3,] 656.35 115.236 648.342 666.544 611.787 278.920 301.713 86.618
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 7.249 7.115 12.55 12.53 3.083 3.659 4.205 5.503
[2,] 557.017 152.196 1020.35 391.13 577.100 1094.998 900.151 143.914
[3,] 636.055 86.950 692.66 1637.47 986.641 299.034 138.753 272.319
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.599 4.106 1.84 11.92 25.19 9.765
[2,] 222.744 8.584 25.38 1536.33 4220.17 970.411
[3,] 706.562 67.655 324.23 1747.71 1477.19 2259.690
[1] "--- VAR model 2017-10-06 15:31:00 completed"
[1] "Completed training sample: 2017-10-06 15:31:00 - 2017-10-06 23:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 16:01:00 - 2017-10-07 00:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.028 -0.3970 -26.44 -28.54
-3.105 -0.4348 -27.68 -23.53
-2.591 -0.4480 -28.32 -26.38
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-28.97 -0.002184 0.40370 0.13026
-29.39 0.703840 -0.04176 0.03634
-26.68 0.179432 0.16452 -0.06527
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.49627 0.2169 -1.01648 -6.038
-0.62159 -0.1044 0.02874 -6.524
-0.04453 -0.1705 -0.38513 -6.776
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2039 -3.112 -2.7874 2.2350
-0.2166 -1.822 -0.9359 -1.2735
-0.1424 -1.802 -0.7332 0.2313
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.228 -0.9752 1.1913 8.861
-2.990 -3.0805 1.0605 10.829
-2.696 -2.0622 0.6987 4.714
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-28.95 -1.537 -56.83 -25.75
-28.91 -1.123 -58.48 -28.07
-28.30 -1.038 -55.61 -27.71
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.277 -25.17 -32.47 -3.241
-2.488 -26.83 -25.46 -3.095
-2.418 -27.21 -29.37 -2.713
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-26.41 -2.689 -24.93 -12.89
-26.64 -2.779 -29.47 -11.68
-25.62 -2.601 -25.45 -12.20
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.334 -25.81 -25.94 -27.85
-6.130 -27.29 -25.11 -25.88
-6.088 -25.99 -26.49 -27.41
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.074 -1.792 3.167 0.10054
-2.897 -3.963 3.066 0.08558
-2.684 -1.393 2.353 0.09379
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4611 -0.1519 -17.34 -23.04
0.1724 -0.1068 -15.60 -22.20
0.1147 -0.0266 -15.43 -22.05
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.929 -0.4110 -12.10 3.137
3.326 -0.4036 -14.75 2.282
3.859 -0.2901 -13.42 2.347
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.4728 -2.4297 -6.841 4.320
0.6454 -0.5675 -3.826 5.906
1.6015 -1.9933 -5.933 6.306
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4744 1.453 -0.9804 4.0325
-0.5210 -6.520 -3.8470 -0.8202
-0.3171 -3.820 -4.0188 -5.5367
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.9841 0.7854 0 -7.7425
-0.1702 1.0571 0 0.1388
-4.9145 0.3915 0 -2.0904
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.06872 -3.7386 -0.3808 -5.250
-0.77470 -1.7808 0.5215 -4.322
-0.35008 0.6358 -0.9990 -2.416
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.461 -0.07287 -3.372 1.3962
-4.391 -0.13061 -4.395 -0.1751
-2.371 -0.03357 -4.057 0.3856
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.680 -0.5167 -2.884 -2.320
-5.397 -0.5353 -1.495 -2.272
-3.858 -0.2514 -1.193 -1.430
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.82375 -4.744 10.040 0.1178
-0.30477 -2.174 7.108 -1.3193
-0.08676 -1.989 7.294 0.2600
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.81415 0.00189 -0.4609 -0.9766
0.06557 0.02222 -0.4791 -0.6745
0.75779 -0.14014 -0.5687 -0.4566
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.5262 0.5044 0.8965 0.07711
0.5923 -0.2273 -0.4150 -0.06235
-0.4617 0.1578 -0.2963 -0.04713
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.005 0.1785 -0.48029 -8.266
-5.061 0.2212 -0.01164 1.897
-3.655 -0.5472 -0.05736 -4.876
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.172 3.7580 4.3367 1.6426
3.714 1.9867 0.7424 1.1432
1.153 0.5508 1.1506 0.2802
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.29368 0.070920 -5.139 110.3
-1.30127 0.043022 -5.055 110.4
0.03596 0.005409 -5.116 110.7
rnd_95776.volume rnd_95787.volume
-14.44 -21.50
-12.50 -28.37
-17.78 -25.54
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.586 3.944 10.43 7.474 8.797 3.475 2.858 6.815 7.836 6.031 3.885
[2,] 5.606 3.950 10.55 8.254 9.345 3.480 2.890 6.828 7.854 7.850 4.372
[3,] 5.844 3.955 10.71 8.628 9.733 3.692 2.897 6.836 7.884 7.856 4.460
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.374 5.090 5.331 6.629 5.114 6.777 6.979 14.11 9.583 12.86 5.928
[2,] 5.603 5.091 5.912 7.008 5.178 7.320 8.268 14.23 10.024 12.92 6.092
[3,] 5.667 5.113 6.171 7.321 5.356 7.424 8.536 14.53 10.411 12.98 6.172
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.54 8.388 2.390 6.834 6.394 5.404 7.245 2.711 7.034 6.027 2.945
[2,] 20.71 9.120 2.405 8.055 8.535 5.504 8.034 2.742 8.046 6.185 3.023
[3,] 21.11 10.287 2.471 10.106 9.029 6.139 8.854 2.801 8.853 6.704 3.053
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.755 7.161 6.877 6.024 6.599 6.648 2.006 5.949 1.677 5.116 5.085
[2,] 8.588 7.915 7.781 6.229 6.996 7.051 2.012 6.115 1.680 5.436 5.541
[3,] 9.077 8.308 8.215 6.706 7.199 7.150 2.016 6.151 1.687 5.746 5.993
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.196 2.612 5.526 6.397 8.858 4.486 6.998 6.876 3.075 6.399 6.726
[2,] 4.592 2.631 6.272 6.398 9.263 4.566 7.863 7.152 3.142 7.648 6.916
[3,] 4.690 2.651 6.436 6.666 9.950 4.591 8.133 7.505 3.183 8.328 7.308
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.950 5.815 5.292 1.806 6.219 1.912 4.860 4.020 5.553 6.096 2.834
[2,] 6.264 7.231 5.321 1.846 6.491 1.921 4.916 4.131 6.558 7.664 2.865
[3,] 6.885 7.716 5.354 1.912 8.344 1.991 5.459 4.221 6.616 7.733 2.929
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.739 4.624 5.803 2.868 6.193 7.159 8.082 6.700 8.867 7.774 6.715
[2,] 6.879 4.636 6.492 2.937 6.276 7.667 8.612 7.813 9.598 8.083 7.572
[3,] 7.369 4.804 7.401 3.066 6.341 7.719 8.744 7.881 9.996 8.356 8.010
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.028 6.038 5.219 7.462 3.032 3.844 2.725 5.605 5.424 9.798 9.955
[2,] 2.042 7.357 5.845 8.298 3.279 3.868 2.737 5.930 5.440 10.224 9.974
[3,] 2.060 7.581 6.122 8.496 3.395 4.016 2.759 6.318 5.448 10.413 11.488
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.337 2.691 2.995 3.962 4.501 3.091 1.423 9.735 21.80 7.536
[2,] 2.783 4.209 4.148 3.992 4.544 3.091 1.426 10.762 22.88 8.110
[3,] 3.986 4.339 4.162 4.065 4.920 3.098 1.736 12.106 23.46 10.554
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.093 5.008 13.24 9.491 11.17 4.412 3.629 8.654 9.95
[2,] 151.409 69.637 516.02 1109.897 999.57 61.780 136.102 133.085 168.33
[3,] 522.918 63.497 580.95 796.629 862.26 391.066 64.654 105.713 220.18
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.659 4.933 6.824 6.463 6.769 8.417 6.495 8.606
[2,] 1593.006 635.696 502.884 26.274 810.507 721.190 256.796 877.546
[3,] 92.950 279.165 269.552 150.344 560.131 670.688 433.332 392.388
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.862 17.91 12.17 16.33 7.527 21.01 10.65 3.035
[2,] 1405.568 596.03 932.43 395.21 445.386 3949.45 1134.37 86.169
[3,] 673.293 930.89 891.82 396.47 314.362 1288.78 1509.21 179.743
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.678 8.119 6.863 9.2 3.442 8.932 7.653 3.739
[2,] 1351.663 1792.449 330.435 1100.8 130.247 1238.285 440.909 216.748
[3,] 1935.037 933.890 861.869 1180.1 181.014 1171.107 819.791 136.674
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 9.848 9.093 8.732 7.65 8.379 8.442 2.547 7.554
[2,] 1169.188 1069.362 1153.940 501.75 736.380 744.701 50.770 448.613
[3,] 932.272 799.894 835.803 787.61 539.010 376.309 41.632 211.272
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.129 6.497 6.457 5.328 3.317 7.017 8.123 11.25
[2,] 32.240 582.045 697.687 591.022 99.649 940.770 41.966 859.02
[3,] 50.531 590.456 723.695 303.787 103.342 457.288 593.046 1152.42
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 5.696 8.886 8.731 3.905 8.126 8.542 6.286 7.384
[2,] 270.302 1136.838 623.867 204.472 1327.672 509.571 1216.557 1362.610
[3,] 151.385 659.082 721.237 162.412 1044.984 749.013 906.234 853.492
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.72 2.294 7.897 2.428 6.172 5.105 7.051 7.741
[2,] 174.90 121.454 589.161 58.266 235.284 301.485 1106.019 1472.531
[3,] 187.08 157.235 1662.252 166.883 752.055 274.747 278.552 327.456
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.598 8.558 5.871 7.368 3.642 7.864 9.091 10.26
[2,] 134.357 437.957 105.034 922.867 200.350 322.772 869.511 943.16
[3,] 193.102 837.498 399.218 1126.582 279.020 288.549 284.887 480.23
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.508 11.26 9.872 8.528 2.575 7.668 6.627 9.476
[2,] 1274.320 1164.49 701.513 1109.343 76.607 1332.613 834.519 1150.708
[3,] 326.605 885.10 671.664 827.432 86.942 579.481 577.226 577.189
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.85 4.881 3.46 7.117 6.888 12.44 12.64 2.968 3.417
[2,] 395.86 136.310 80.89 613.918 132.680 926.76 193.76 478.873 1026.116
[3,] 278.95 343.170 111.38 691.426 90.927 625.08 1807.11 904.558 333.198
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.804 5.032 5.716 3.924 1.807 12.36 27.68 9.57
[2,] 909.605 154.852 196.164 17.082 28.427 1454.54 2203.52 949.91
[3,] 107.283 242.799 598.397 64.888 313.813 1756.96 1646.15 2141.26
[1] "--- VAR model 2017-10-06 16:01:00 completed"
[1] "Completed training sample: 2017-10-06 16:01:00 - 2017-10-07 00:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 16:31:00 - 2017-10-07 00:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.9062 0.26513 -24.21 -24.91
1.0850 -0.03504 -25.67 -24.32
0.2469 0.22563 -23.26 -25.12
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.59 0.22983 0.31401 -0.38811
-23.49 0.07407 0.53515 0.02286
-24.01 0.05427 0.09844 -0.09350
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.8076 -0.81747 -1.8842 -5.814
-0.6487 -0.40012 -0.9873 -5.547
-0.1993 -0.03278 -0.9372 -5.624
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.08537 -5.263 -2.515 1.402
-0.10461 -3.395 -1.694 2.681
-0.22538 -3.209 -1.117 3.721
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.096 -6.951 0.1127 1.904
-3.820 -4.155 0.2671 1.737
-2.905 -3.512 0.1892 1.517
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-23.91 -1.749 -56.95 -24.96
-23.76 -1.385 -47.17 -24.61
-22.77 -1.259 -50.89 -22.96
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.331 -24.60 -26.67 -3.729
-1.973 -26.63 -27.10 -3.931
-2.093 -23.40 -26.38 -3.919
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-27.72 -2.434 -27.73 -8.819
-24.94 -2.294 -25.11 -8.779
-25.90 -2.485 -24.60 -9.424
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.795 -25.22 -24.33 -20.64
-5.795 -26.02 -25.02 -24.93
-5.751 -24.08 -24.44 -25.07
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5084 -1.3847 -0.6444 0.08041
-0.8678 0.6299 -0.5301 0.06783
0.1797 1.2973 -0.4759 0.04687
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3185 -0.0096768 -14.20 -17.06
0.2134 -0.0005387 -13.38 -17.14
0.1111 -0.0010276 -14.25 -17.76
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1219 -0.1826 -12.63 0.27034
1.4227 -0.1594 -10.23 0.94820
1.7335 -0.1015 -11.69 0.06382
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.120 -0.6167 -3.225 1.17664
5.110 -1.1931 -3.760 0.95021
1.063 -1.6362 -6.613 0.08307
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5927 -7.456 -4.084 -1.873
-0.5512 -3.131 -4.230 -5.252
-0.4675 -5.613 -3.885 -3.120
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.669 1.205 -0.2078 -3.843
-5.304 1.295 -0.2424 -2.955
-3.189 1.165 -0.2033 -4.887
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.07737 -2.211 0.0570 -1.277
0.10976 -1.218 0.9734 -2.125
-0.48372 -2.413 0.6259 -1.001
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.06814 -0.2981 1.47621 -0.08602
-0.71727 -0.2077 1.79368 1.30841
0.29033 -0.1162 -0.06875 -0.14457
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.7132 0.0571 1.5781 -0.5673
0.2959 0.2497 0.4719 1.0755
-0.2869 0.2915 -0.1725 0.3098
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.1233 1.537302 10.266 6.986
0.5110 2.470567 8.441 6.156
0.2046 -0.003957 8.697 6.547
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.456 0.010908 9.477 -0.1359
5.769 -0.006965 6.939 -0.3726
6.091 -0.116132 5.475 -0.3626
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.239 1.137 -1.1858 0.02124
7.174 1.910 0.2363 0.06007
4.505 1.811 -0.7420 0.04682
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.05072 -0.21429 2.935 -6.714
-2.04253 -0.03173 2.711 3.087
-0.06596 0.10245 1.527 -3.352
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.1438 2.0641 2.2314 0.8362
2.0985 0.9833 0.3756 0.6213
0.5841 0.3962 0.6534 0.3699
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.935 -0.08643 -3.784 121.1
-1.042 -0.08688 -3.852 122.3
-1.849 -0.02267 -3.737 119.5
rnd_95776.volume rnd_95787.volume
-11.74 -24.90
-13.33 -24.99
-11.24 -23.02
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.576 3.838 10.08 7.152 8.447 3.130 2.807 6.503 7.467 5.635 3.810
[2,] 5.601 3.841 10.19 7.999 8.953 3.131 2.840 6.525 7.485 7.371 4.232
[3,] 5.740 3.843 10.34 8.339 9.318 3.213 2.847 6.529 7.510 7.376 4.341
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.262 4.779 5.164 6.474 4.935 6.690 6.804 13.58 9.491 12.40 5.753
[2,] 5.488 4.804 5.710 6.816 4.993 7.200 8.121 13.73 9.986 12.44 5.926
[3,] 5.533 4.812 5.931 7.071 5.165 7.287 8.360 14.02 10.387 12.47 6.020
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.25 7.979 2.248 6.712 6.283 5.197 6.998 2.543 6.670 5.794 2.851
[2,] 20.03 8.634 2.264 7.821 8.316 5.271 7.761 2.569 7.570 6.008 2.918
[3,] 20.40 9.786 2.320 9.789 8.777 5.767 8.570 2.617 8.426 6.458 2.948
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.328 6.781 6.527 5.923 6.070 6.319 1.994 5.593 1.671 4.850 5.072
[2,] 8.133 7.512 7.498 6.091 6.478 6.613 2.000 5.748 1.674 5.122 5.464
[3,] 8.653 7.935 7.931 6.537 6.790 6.648 2.005 5.802 1.683 5.405 5.890
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.162 2.570 5.480 6.282 8.709 4.436 6.821 6.703 2.897 5.809 6.112
[2,] 4.579 2.592 6.208 6.283 9.035 4.535 7.647 6.997 2.942 7.221 6.347
[3,] 4.672 2.611 6.355 6.564 9.584 4.555 7.968 7.315 2.967 7.870 6.798
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.623 5.413 5.266 1.617 5.683 2.011 4.613 4.025 5.294 5.633 2.579
[2,] 5.650 6.482 5.337 1.632 5.919 2.075 4.694 4.152 6.367 7.389 2.590
[3,] 6.490 7.018 5.372 1.653 7.369 2.214 5.259 4.175 6.422 7.466 2.620
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.007 4.637 5.491 2.677 6.066 6.026 7.862 6.785 8.842 7.619 6.334
[2,] 7.309 4.649 6.359 2.772 6.170 6.831 8.300 8.001 9.436 7.847 7.576
[3,] 7.711 4.810 7.355 2.891 6.314 6.908 8.441 8.103 9.754 8.023 7.808
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.939 5.772 4.827 7.038 2.973 3.738 2.611 5.520 4.936 9.606 10.06
[2,] 1.951 7.259 5.279 8.028 3.177 3.776 2.615 5.892 4.938 9.995 10.09
[3,] 1.970 7.489 5.451 8.298 3.290 3.939 2.624 6.423 4.942 10.169 11.53
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.166 2.515 2.865 3.582 4.255 2.995 1.307 10.07 21.37 7.363
[2,] 2.552 3.927 3.803 3.652 4.289 2.995 1.312 11.10 22.46 7.850
[3,] 3.689 4.032 3.820 3.696 4.608 3.003 1.583 12.40 23.01 10.074
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.081 4.874 12.8 9.082 10.73 3.975 3.564 8.258 9.482
[2,] 162.128 46.573 455.3 1103.769 914.14 19.153 133.424 163.763 159.856
[3,] 386.709 39.745 542.2 725.933 796.04 222.057 64.388 72.562 188.741
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.156 4.839 6.682 6.068 6.558 8.221 6.267 8.495
[2,] 1464.020 567.029 480.076 151.340 750.201 657.368 233.092 820.393
[3,] 83.822 298.062 217.197 86.229 494.770 579.974 408.100 345.313
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.64 17.25 12.05 15.74 7.306 20.64 10.13 2.854 8.523
[2,] 1365.88 620.51 956.68 314.63 437.473 3606.27 1016.68 82.698 1237.059
[3,] 612.05 870.85 880.99 272.55 325.904 1196.65 1419.21 156.522 1813.837
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.979 6.6 8.886 3.23 8.469 7.358 3.62 9.306
[2,] 1678.638 270.6 1034.006 110.99 1102.895 489.752 191.75 1086.700
[3,] 865.009 721.2 1119.970 154.78 1140.514 729.390 130.71 910.338
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 8.611 8.289 7.521 7.708 8.025 2.532 7.102 2.122
[2,] 995.743 1136.872 437.581 697.243 600.115 49.435 407.743 28.710
[3,] 787.475 796.072 731.807 626.655 212.285 41.713 244.201 54.702
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 6.159 6.441 5.285 3.264 6.959 7.978 11.06 5.634
[2,] 507.385 625.884 588.498 103.109 898.659 36.904 741.98 289.665
[3,] 531.835 677.504 284.800 96.470 419.639 585.177 984.33 132.783
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 8.662 8.512 3.679 7.376 7.761 5.871 6.873 6.687
[2,] 1064.597 618.491 158.969 1321.775 527.678 1000.554 1098.597 268.214
[3,] 690.235 657.018 118.520 964.327 750.235 984.202 829.389 186.483
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.053 7.217 2.554 5.858 5.112 6.723 7.153 3.275
[2,] 67.702 509.737 157.748 266.967 313.324 1090.034 1473.206 75.144
[3,] 80.891 1352.667 237.852 730.383 134.253 257.922 329.124 120.543
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 8.898 5.889 6.973 3.4 7.703 7.651 9.983 8.616
[2,] 640.212 100.331 987.984 221.3 346.570 991.816 819.873 1306.323
[3,] 756.787 380.946 1138.492 252.7 413.437 316.577 472.795 394.717
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 11.23 9.674 8.043 2.462 7.33 6.13 8.938 3.775
[2,] 1014.76 579.669 1281.059 68.130 1356.03 657.82 1189.739 345.439
[3,] 761.39 513.873 581.620 82.406 568.60 419.01 647.247 263.785
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.747 3.315 7.009 6.268 12.2 12.78 2.751 3.193 3.638
[2,] 165.283 49.134 635.010 41.682 850.5 243.36 415.900 929.327 770.738
[3,] 344.888 66.997 787.765 56.224 577.7 1715.28 820.443 281.490 110.392
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.548 5.403 3.804 1.659 12.78 27.14 9.35
[2,] 220.090 164.709 3.029 36.066 1443.51 2127.04 838.21
[3,] 175.187 519.030 64.927 273.018 1698.47 1546.02 1945.51
[1] "--- VAR model 2017-10-06 16:31:00 completed"
[1] "Completed training sample: 2017-10-06 16:31:00 - 2017-10-07 00:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 17:01:00 - 2017-10-07 01:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.40387 0.6887 -19.29 -19.52
0.12814 0.7975 -17.94 -19.26
-0.02019 0.3026 -18.73 -19.30
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.85 0 0.634 -0.21292
-18.36 0 0.544 0.20335
-18.88 0 0.615 0.02024
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.22317 -0.1775 -0.32269 -4.533
-0.31916 -0.1889 0.72407 -4.596
-0.07781 0.1600 0.02719 -4.298
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2627 -3.945 -1.518 0.3854
0.3459 -2.697 -1.483 2.2506
-0.1587 -2.466 -1.042 2.5467
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.845 -6.077 -2.613 4.856
-2.943 -3.208 -2.571 4.153
-2.415 -2.635 -2.440 2.423
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-18.16 -1.022 -43.01 -20.57
-17.34 -1.153 -40.77 -19.94
-17.24 -1.282 -36.73 -19.41
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.708 -20.19 -22.12 -1.879
-1.807 -20.51 -21.08 -2.074
-1.643 -19.08 -20.95 -1.802
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.93 -2.041 -18.47 -8.169
-20.07 -2.068 -20.12 -7.564
-19.80 -2.025 -19.33 -8.333
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.490 -18.76 -18.70 -18.90
-4.302 -19.60 -17.64 -18.84
-4.516 -19.38 -18.58 -19.23
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.18936 -2.1853 0.08861 -0.15119
0.09414 -2.1553 0.04511 -0.09324
0.07717 -0.9422 0.17361 -0.05908
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.3937 0 -10.41 -12.79
-0.2090 0 -10.55 -12.64
-0.2008 0 -10.86 -13.27
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.1609 -0.6492 -7.472 3.363
-0.5174 -0.4648 -8.326 2.815
-0.0101 -0.2689 -7.763 1.604
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.4242 -1.8724 -11.280 2.322
-0.4044 -1.4464 -6.161 4.050
-0.2079 -0.7947 -4.455 2.963
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4766 -4.360 -3.255 -5.684
-0.8287 -9.370 -6.084 -3.938
-0.4893 -4.079 -3.429 -6.612
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.873 -0.2979 -0.067140 -5.830
-3.514 -0.1781 -0.005559 -3.797
-7.396 -0.1349 -0.007390 -3.368
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.8366 -4.046 -0.15164 0.7226
0.5518 -2.100 0.08643 -3.6384
0.4193 -1.701 -0.25198 -2.0236
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.4636 0 2.2061 -0.07566
-3.3220 0 0.6496 0.39761
-1.6410 0 2.3406 -0.06342
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.2183 0.5580 0.6668 -0.2723
-0.3489 0.8402 0.4257 0.1891
-3.0206 0.7808 -0.1237 0.2273
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.6099 2.235 2.968 1.601
1.1511 1.810 3.368 3.246
0.9456 1.144 2.334 3.425
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.454 0.4671 10.498 0.28135
3.225 0.5291 1.850 0.09984
3.930 0.1192 3.291 0.18054
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.098 -0.1141 -1.1356 0.1207
2.337 1.6800 -2.1654 0.1595
2.817 0.4716 -0.9615 0.0435
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3145 0.05218 0.02369 -5.864
-2.9638 0.50284 0.27140 3.976
-1.8362 0.36795 0.66474 -3.076
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.5596 0.1020 1.8400 0.6383
1.0123 1.0710 0.2473 0.4809
0.6277 0.2578 0.3503 0.2548
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.727 -0.005948 -3.088 118.9
-1.013 -0.050523 -2.948 119.4
-1.808 -0.012448 -2.996 118.1
rnd_95776.volume rnd_95787.volume
-13.630 -19.46
-7.599 -20.63
-11.798 -18.17
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.351 3.710 9.762 6.483 7.423 2.634 2.744 6.198 7.205 5.483 3.666
[2,] 5.355 3.717 9.864 7.486 7.843 2.657 2.793 6.231 7.224 7.121 4.069
[3,] 5.428 3.721 10.033 7.818 8.214 2.684 2.799 6.232 7.249 7.126 4.221
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.149 4.673 4.958 6.347 4.922 6.542 6.436 12.98 9.373 12.22 5.506
[2,] 5.370 4.708 5.601 6.667 4.972 7.077 7.836 13.32 9.866 12.25 5.634
[3,] 5.403 4.711 5.787 6.957 5.133 7.185 8.083 13.64 10.329 12.28 5.690
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.57 7.812 2.103 6.691 6.087 5.122 6.497 2.401 6.082 5.615 2.731
[2,] 19.21 8.483 2.130 7.672 8.028 5.241 7.210 2.427 7.069 5.816 2.804
[3,] 19.57 9.525 2.183 9.567 8.515 5.800 7.933 2.464 8.026 6.239 2.840
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.771 6.419 6.221 5.943 6.154 5.773 1.968 5.289 1.662 4.559 4.883
[2,] 7.708 7.104 7.136 6.130 6.603 5.949 1.974 5.407 1.663 4.796 5.284
[3,] 8.216 7.521 7.561 6.465 6.856 5.969 1.978 5.456 1.671 5.087 5.718
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.065 2.539 5.387 6.230 8.481 4.366 6.507 6.661 2.775 5.589 5.998
[2,] 4.484 2.562 6.060 6.232 8.721 4.485 7.473 6.959 2.818 6.994 6.189
[3,] 4.567 2.589 6.219 6.506 9.113 4.502 7.787 7.223 2.839 7.706 6.778
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.487 5.109 4.959 1.473 5.043 1.972 4.376 3.887 5.318 5.382 2.375
[2,] 5.378 6.135 4.982 1.478 5.238 2.057 4.426 3.929 6.036 7.062 2.383
[3,] 6.247 6.696 4.990 1.487 6.727 2.188 5.015 3.931 6.060 7.104 2.404
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.581 4.624 5.002 2.498 5.743 5.315 7.336 6.381 8.503 7.072 6.027
[2,] 7.844 4.634 6.072 2.584 5.795 6.256 7.950 7.835 8.918 7.860 7.258
[3,] 7.881 4.794 7.174 2.698 5.886 6.305 8.076 7.928 9.178 8.141 7.790
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.877 5.378 4.416 6.609 2.896 3.645 2.510 5.314 4.571 9.257 9.834
[2,] 1.891 6.989 4.733 7.726 3.072 3.697 2.513 5.744 4.571 9.566 9.890
[3,] 1.907 7.499 4.863 8.208 3.142 3.846 2.520 6.221 4.572 9.758 11.141
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.060 2.303 2.743 3.397 4.096 2.906 1.249 10.32 20.34 7.229
[2,] 2.414 3.630 3.584 3.451 4.139 2.906 1.257 11.37 21.38 7.682
[3,] 3.482 3.713 3.596 3.485 4.459 2.910 1.491 12.57 21.84 9.806
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.794 4.711 12.4 8.233 9.427 3.345 3.484 7.871 9.149
[2,] 68.958 72.305 434.9 1151.351 778.375 106.792 160.430 198.213 161.948
[3,] 272.630 46.997 563.5 693.738 750.979 117.444 57.553 29.232 184.946
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.963 4.655 6.539 5.934 6.296 8.06 6.251 8.307
[2,] 1397.758 542.990 468.772 176.306 801.427 627.93 214.788 830.986
[3,] 88.122 345.479 182.626 50.244 447.303 611.87 392.700 381.512
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.173 16.49 11.9 15.51 6.992 19.77 9.92 2.671 8.496
[2,] 1375.389 916.32 947.3 294.68 366.865 3460.59 1017.33 103.077 1155.326
[3,] 609.556 899.93 941.2 266.98 246.096 1143.74 1332.95 147.643 1758.395
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.729 6.504 8.25 3.048 7.723 7.131 3.468 8.598
[2,] 1610.611 341.758 961.82 109.721 1108.664 466.317 195.997 1133.029
[3,] 872.711 764.540 1018.48 130.505 1169.156 694.658 138.331 874.922
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 8.151 7.9 7.547 7.815 7.33 2.499 6.716 2.11 5.79
[2,] 936.464 1075.4 461.668 735.988 442.21 47.559 346.897 24.47 457.79
[3,] 760.007 768.8 632.273 567.480 151.13 40.124 224.513 47.67 521.44
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 6.201 5.162 3.224 6.841 7.912 10.77 5.544 8.263
[2,] 621.228 582.184 106.681 853.884 38.188 625.28 315.641 1130.557
[3,] 672.572 267.418 113.333 429.541 575.339 814.08 121.207 673.495
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 8.458 3.524 7.097 7.617 5.697 6.488 6.298 1.87
[2,] 620.121 151.637 1293.515 468.905 912.358 1045.202 147.284 37.55
[3,] 595.060 104.245 995.532 850.117 977.626 824.993 83.114 49.90
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 6.404 2.504 5.557 4.936 6.753 6.834 3.016 9.627
[2,] 434.978 179.920 202.548 176.162 878.626 1406.958 62.821 619.514
[3,] 1298.748 229.654 726.126 39.723 164.201 238.143 96.391 235.139
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 5.871 6.351 3.172 7.292 6.749 9.315 8.103 10.8
[2,] 93.888 1059.241 203.651 238.879 1015.712 942.840 1398.837 827.5
[3,] 378.578 1175.495 238.547 317.607 239.328 436.666 372.483 668.0
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 8.981 7.653 2.383 6.829 5.608 8.392 3.678 4.629
[2,] 1055.141 1244.186 70.553 1373.414 523.828 1231.170 314.985 189.752
[3,] 653.262 870.959 76.075 836.806 343.454 852.916 203.930 325.954
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.188 6.748 5.805 11.75 12.49 2.616 2.924 3.483 4.313
[2,] 32.469 671.405 12.040 742.23 323.13 386.999 863.501 709.724 188.404
[3,] 58.363 734.991 24.317 592.61 1578.63 771.916 239.683 91.666 147.923
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.201 3.690 1.586 13.11 25.83 9.18
[2,] 184.541 6.522 43.807 1470.71 2023.52 799.64
[3,] 510.425 45.342 246.589 1646.01 1379.80 1874.90
[1] "--- VAR model 2017-10-06 17:01:00 completed"
[1] "Completed training sample: 2017-10-06 17:01:00 - 2017-10-07 01:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 17:31:00 - 2017-10-07 01:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.07055 -0.4524 -15.85 -15.41
0.39302 -0.4712 -15.79 -15.68
0.16525 -0.1870 -15.26 -15.31
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.68 0.3168 -0.14282 0.23862
-16.00 0.1900 -0.02743 0.07062
-16.06 0.3139 -0.01082 0.01158
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.42578 0.142911 2.1055 -2.202
0.46438 1.085313 1.3388 -2.418
0.09413 0.004935 0.9843 -2.369
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.4578 0.5535 0.8741 -0.58189
0.3914 0.9447 1.0822 -0.00413
0.4522 1.3284 1.2798 -0.61071
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.9430 1.060 -1.5666 6.925
-0.5647 1.153 -0.4484 2.704
-0.3117 -0.160 -0.5760 2.796
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-14.93 -1.365 -32.47 -16.24
-14.71 -1.225 -33.93 -15.05
-14.92 -1.123 -31.57 -15.35
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.267 -15.65 -16.68 -1.678
-1.319 -15.44 -16.84 -1.608
-1.315 -15.64 -16.73 -1.450
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.54 -1.480 -17.18 -5.904
-15.79 -1.377 -15.95 -6.696
-15.75 -1.442 -16.15 -6.115
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.424 -16.85 -16.56 -16.79
-3.414 -15.98 -15.92 -16.27
-3.419 -16.17 -15.46 -16.15
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6254 -1.227 -0.36862 0.06940
0.2295 -2.028 -0.02104 0.04743
0.2208 -2.681 -0.25511 0.02078
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4596 0.087741 -9.068 -9.777
0.3254 0.018420 -9.748 -10.484
0.1980 0.008419 -9.336 -11.078
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.3074 -0.4361 -6.528 3.358
-0.7012 -0.2890 -6.606 2.657
-0.8921 -0.1479 -6.470 1.682
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.6470 -1.9075 -6.926 1.3436
1.4953 -0.6384 -6.095 2.3039
0.6508 -0.9620 -3.654 0.6259
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3270 -4.136 -1.122 -2.573
-0.4896 -5.959 -4.361 -3.102
-0.5480 -4.378 -3.951 -4.606
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.314 -0.06395 0.06979 -5.367
-1.912 0.09171 0.11195 -5.756
-4.940 -0.07944 0.01337 -1.401
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6768 -2.9934 0.1876 -3.193
-0.3426 -3.5523 0.4088 -2.645
-0.5330 -0.8299 0.0448 -3.606
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.526 0.0400 -1.40577 -0.21150
-2.262 -0.2777 0.09275 -0.24559
-2.408 -0.1941 0.96066 -0.03648
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.3132 0.003156 0.48776 0.17224
-3.0057 0.001585 0.22447 0.48164
-2.1057 0.197548 0.08409 -0.02594
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.6165 0.76445 0.2446 -1.50847
-0.9660 -0.22648 1.2860 -0.06732
-0.7856 0.00435 0.6037 -0.38454
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.80363 0.063662 -2.3278 0.6889
0.41769 0.007888 -0.7719 0.5489
0.06065 0.006267 0.1916 -0.1042
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.8907 0.0774 -0.7143 0.11747
-1.4445 -0.2233 -0.8598 0.07002
0.2095 -0.2334 -1.0874 0.01734
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.4750 -0.2718 0.3362 -6.337
-0.8972 -0.1440 0.3910 4.050
-1.7348 -0.1999 0.1436 -3.524
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6706 0.979541 0.68308 0.03034
0.8767 -0.002498 -0.16597 0.02505
-0.2090 -0.036575 0.09826 0.04757
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.5164 0.049226 -2.260 112.3
-2.8636 -0.035590 -2.317 110.8
-0.5899 -0.006945 -2.392 113.5
rnd_95776.volume rnd_95787.volume
-15.079 -16.25
-4.290 -15.59
-7.733 -15.42
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.129 3.606 9.154 6.209 6.739 2.230 2.601 5.576 6.538 5.202 3.560
[2,] 5.130 3.618 9.270 7.273 7.315 2.284 2.648 5.591 6.544 6.561 3.937
[3,] 5.168 3.621 9.397 7.577 7.740 2.297 2.656 5.594 6.556 6.568 4.077
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.187 4.317 4.819 6.028 4.894 5.993 5.639 12.72 8.700 11.90 5.453
[2,] 5.147 4.352 5.434 6.409 4.940 6.485 7.000 13.05 9.254 12.04 5.584
[3,] 5.180 4.361 5.614 6.724 5.113 6.715 7.258 13.35 9.767 12.08 5.651
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.81 7.535 1.868 6.440 5.948 4.972 6.210 2.209 5.744 5.358 2.539
[2,] 17.86 8.131 1.887 7.311 7.881 5.088 7.087 2.237 6.597 5.583 2.618
[3,] 18.28 9.114 1.937 8.929 8.328 5.649 7.846 2.279 7.765 6.068 2.657
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.457 5.633 5.682 5.786 5.561 5.218 1.907 5.106 1.633 4.238 4.666
[2,] 7.293 6.487 6.625 5.935 5.886 5.263 1.916 5.219 1.634 4.461 5.046
[3,] 7.895 6.935 7.072 6.219 5.961 5.263 1.924 5.268 1.641 4.714 5.513
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.045 2.407 5.264 5.846 8.110 4.167 6.247 6.477 2.566 5.344 5.736
[2,] 4.321 2.434 5.816 5.847 8.243 4.288 7.095 6.746 2.619 6.768 5.922
[3,] 4.412 2.457 5.975 6.152 8.461 4.298 7.486 6.978 2.635 7.493 6.464
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.304 4.855 4.699 1.233 4.49 1.869 4.023 3.647 5.039 5.170 1.917
[2,] 5.146 5.827 4.726 1.237 4.70 1.935 4.117 3.665 5.657 6.695 1.966
[3,] 5.981 6.416 4.726 1.240 6.04 2.021 4.637 3.667 5.699 6.751 2.016
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.536 4.637 4.801 2.305 5.504 4.578 6.825 6.167 8.313 7.027 5.799
[2,] 7.773 4.645 5.995 2.351 5.528 5.707 7.322 7.599 8.691 7.822 7.179
[3,] 7.796 4.806 6.779 2.414 5.580 5.729 7.414 7.647 8.941 8.130 7.760
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.798 5.058 3.827 6.235 2.704 3.480 2.398 4.602 4.352 9.187 9.563
[2,] 1.812 6.836 3.959 7.530 2.861 3.532 2.403 5.087 4.353 9.482 9.633
[3,] 1.820 7.418 4.090 8.094 2.956 3.667 2.407 5.473 4.353 9.650 10.812
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.784 2.024 2.505 2.888 3.876 2.823 1.074 10.71 17.57 7.117
[2,] 2.163 3.044 3.051 2.901 3.933 2.823 1.110 11.73 21.05 7.434
[3,] 2.917 3.084 3.070 2.909 4.275 2.826 1.255 13.01 21.43 9.361
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.513 4.579 11.62 7.884 8.558 2.831 3.303 7.081
[2,] 25.491 94.584 477.19 1235.357 927.635 161.189 162.934 134.484
[3,] 205.085 49.118 501.32 693.774 825.403 79.326 64.329 58.697
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.302 6.605 4.521 5.317 5.482 6.12 7.654 6.214
[2,] 94.105 1304.213 548.019 976.573 179.001 819.14 710.584 221.307
[3,] 131.761 99.717 345.112 190.822 93.952 459.86 662.765 429.986
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 7.61 7.161 16.15 11.05 15.11 6.925 18.8 9.568 2.372
[2,] 808.12 1352.909 952.08 1028.43 603.40 391.723 3257.6 997.413 88.754
[3,] 568.06 625.066 919.87 1018.43 324.88 284.042 1268.3 1342.327 142.629
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.178 7.553 6.314 7.886 2.805 7.294 6.804 3.224
[2,] 1129.205 1686.578 352.942 1113.467 114.067 1058.399 512.085 208.700
[3,] 1671.809 878.055 800.406 1097.978 141.784 1335.979 775.480 147.281
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 8.199 7.154 7.215 7.347 7.061 6.627 2.421 6.484
[2,] 1105.932 1049.188 1111.399 430.684 629.909 222.399 60.117 351.961
[3,] 986.136 799.534 807.285 606.533 305.788 5.536 56.502 232.830
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 2.074 5.381 5.925 5.136 3.056 6.685 7.424 10.3 5.291
[2,] 20.900 455.020 627.114 495.998 119.071 806.681 38.202 480.5 329.962
[3,] 47.580 496.513 724.365 291.146 108.623 446.066 623.918 622.1 97.297
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 7.933 8.225 3.259 6.786 7.283 5.466 6.165 5.967
[2,] 1097.096 614.754 171.511 1354.433 480.544 920.003 1050.924 163.123
[3,] 778.389 581.539 91.996 1048.800 844.986 994.373 876.335 27.329
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.566 5.701 2.373 5.109 4.63 6.399 6.564 2.434
[2,] 30.573 453.514 163.829 284.210 119.88 838.723 1387.823 142.000
[3,] 30.413 1237.423 190.470 696.134 35.13 224.122 281.800 145.792
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 9.569 5.889 6.096 2.927 6.99 5.813 8.667 7.831
[2,] 621.449 85.540 1171.000 150.928 167.11 1111.382 864.802 1447.933
[3,] 193.775 402.275 1032.467 178.844 248.23 163.063 379.332 279.106
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.56 8.924 7.364 2.283 6.423 4.86 7.917 3.433
[2,] 827.02 1120.651 1380.224 72.685 1499.851 331.03 1376.933 305.404
[3,] 683.62 723.163 960.976 57.764 939.650 334.63 968.278 242.642
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 4.419 3.045 5.844 5.526 11.67 12.14 2.265 2.57 3.181
[2,] 196.468 47.833 706.700 34.027 765.59 379.39 399.190 741.84 568.235
[3,] 322.158 47.099 659.057 5.975 585.11 1601.07 638.465 160.90 110.483
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.668 4.922 3.585 1.363 13.6 22.32 9.037
[2,] 90.178 217.480 5.056 92.477 1561.0 3779.03 700.884
[3,] 70.234 546.326 41.247 190.651 1836.2 1311.64 1855.352
[1] "--- VAR model 2017-10-06 17:31:00 completed"
[1] "Completed training sample: 2017-10-06 17:31:00 - 2017-10-07 01:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 18:01:00 - 2017-10-07 02:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.83356 0.001343 -12.20 -13.34
0.37925 0.380508 -11.59 -12.15
0.08249 0.178150 -12.41 -11.82
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.17 -0.12717 0.04769 -0.4100
-12.40 -0.20254 0.16914 0.0637
-12.11 -0.05507 0.03282 -0.2011
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.2362 -0.9166 -0.6019 -5.064
-0.1725 -0.1007 1.5916 -1.885
-0.3633 -0.4703 0.3693 -2.133
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8365 -3.433 -2.3429 0.3363
0.4138 -1.994 -0.5779 1.0072
0.2900 -1.553 -0.2960 2.2113
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.1158 -0.854 -3.4529 0.6121
-3.4169 -1.980 0.0921 2.5818
-0.9576 -2.145 -1.6263 0.5111
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.94 -0.8291 -27.31 -11.53
-12.41 -0.7957 -26.16 -12.05
-11.88 -0.7436 -24.97 -12.17
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.1268 -13.68 -14.76 -1.885
-1.0083 -11.81 -13.65 -1.973
-0.9519 -12.04 -12.77 -2.044
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.79 -1.158 -11.89 -4.352
-13.53 -1.241 -13.45 -5.405
-11.46 -1.032 -11.86 -4.382
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.647 -12.70 -11.52 -12.63
-2.502 -13.15 -10.96 -12.21
-2.746 -12.60 -13.25 -13.07
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.27646 0.7309 -0.06398 0
0.20961 -1.1015 0.33247 0
0.02085 0.4206 0.04262 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0.34144 -5.830 -7.970
0 -0.01938 -6.701 -7.806
0 0.02852 -6.724 -8.301
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.012 -0.3941 -5.462 0.6828
-2.274 -0.2705 -5.590 0.9743
-1.228 -0.1653 -4.966 0.8999
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.0924 -1.1152 -5.278 0.6509
0.5690 -0.8644 -2.429 1.8584
0.4247 -0.8527 -3.160 0.9567
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7303 -6.285 -4.469 -5.058
-0.3696 -4.284 -3.820 -4.793
-0.2015 -2.407 -1.728 -3.117
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.938 0.22659 0.03973 0.2684
-5.104 0.07436 0.04630 -1.9989
-3.719 0.10397 0.05754 -4.9299
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.3770 -0.9517 0.16618 0.9310
0.4920 -0.8222 -0.01376 -1.3644
0.1278 -2.7287 0.11821 -0.2149
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.3063 0.57194 1.7433 0
-0.4527 0.08519 1.1873 0
-0.3158 -0.01096 0.6522 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.71260 0.18281 0.8322 1.8412
0.47404 0.44346 0.7839 0.7287
-0.08166 0.06086 0.4328 0.5771
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4223 1.713 3.079 5.491
0.2323 1.338 3.994 2.404
0.6965 0.833 2.875 3.155
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.728 0.09713 2.998 0.08782
2.509 0.13167 5.198 0.41479
3.391 0.02223 1.893 0.39856
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.266 0.5751 -1.4733 0.03335
5.374 0.6120 -1.3303 0.05564
1.525 1.0216 -0.4865 0.01844
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.1604 -0.1964 0.9265 -3.486
-0.9274 -0.1868 1.1511 2.305
0.3662 0.4846 0.8421 -2.041
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.0286 2.1125 1.6058 0.2016
1.9740 0.1128 -0.2459 0.2462
-0.1299 0.1173 0.3893 0.2909
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.3989 -0.034013 -1.494 115.0
0.2635 0.053380 -1.455 116.7
-1.8997 0.006743 -1.510 116.0
rnd_95776.volume rnd_95787.volume
-7.210 -12.83
-7.263 -13.09
-7.621 -12.50
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.008 3.414 8.669 5.840 5.924 1.945 2.476 5.135 6.256 5.067 3.481
[2,] 5.011 3.428 8.786 6.809 6.578 1.981 2.516 5.150 6.264 6.210 3.862
[3,] 5.046 3.429 8.913 6.984 6.996 2.006 2.524 5.151 6.286 6.221 3.997
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.810 4.050 4.168 5.548 4.655 5.662 4.871 9.282 8.573 11.08 4.983
[2,] 4.897 4.086 4.524 5.966 4.671 6.109 6.495 9.811 9.269 11.22 5.078
[3,] 4.926 4.091 4.643 6.371 4.913 6.470 6.731 9.933 9.998 11.33 5.112
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.25 7.372 1.708 6.017 5.750 4.648 5.874 1.982 5.414 4.885 2.383
[2,] 17.67 7.927 1.721 6.810 7.665 4.766 6.624 2.006 6.233 5.038 2.454
[3,] 18.14 8.798 1.785 8.370 8.138 5.101 7.326 2.053 7.443 5.491 2.485
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.285 5.154 5.198 5.226 4.946 5.123 1.854 4.642 1.595 3.978 4.407
[2,] 6.927 6.024 6.227 5.250 5.278 5.161 1.864 4.704 1.596 4.180 4.786
[3,] 7.531 6.428 6.672 5.373 5.338 5.162 1.872 4.754 1.602 4.408 5.148
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.910 2.351 5.094 5.472 7.699 3.972 6.178 6.248 2.423 5.434 5.408
[2,] 4.193 2.377 5.654 5.473 7.828 4.040 7.343 6.531 2.495 6.516 5.590
[3,] 4.308 2.408 5.776 5.737 8.114 4.057 7.474 6.678 2.520 7.370 6.334
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.062 4.689 4.542 1.091 4.135 1.782 3.766 3.443 4.576 5.023 1.646
[2,] 4.936 5.607 4.571 1.092 4.435 1.833 3.873 3.451 5.228 6.375 1.693
[3,] 5.620 6.165 4.572 1.093 5.762 1.903 4.343 3.453 5.281 6.433 1.722
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.540 4.376 4.356 1.874 5.098 4.227 6.370 5.713 8.071 6.597 5.086
[2,] 7.776 4.401 5.640 1.921 5.100 5.565 6.725 7.340 8.376 7.600 6.652
[3,] 7.801 4.509 6.339 1.951 5.120 5.575 6.800 7.360 8.619 7.927 7.423
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.657 4.378 3.484 5.545 2.550 3.193 2.240 4.632 3.669 8.972 9.052
[2,] 1.664 6.575 3.526 7.228 2.637 3.234 2.245 4.635 4.140 9.230 9.160
[3,] 1.674 7.270 3.590 7.901 2.774 3.414 2.249 4.861 4.147 9.400 10.127
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.622 1.724 2.290 2.649 3.717 2.616 1.023 11.05 19.00 6.984
[2,] 1.981 2.678 2.739 2.665 3.795 2.617 1.065 12.02 20.18 6.990
[3,] 2.659 2.707 2.747 2.678 4.114 2.621 1.173 13.43 20.61 8.735
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.359 4.335 11.01 7.415 7.523 2.47 3.144 6.52
[2,] 67.821 111.291 511.20 1254.727 1024.700 133.91 160.270 143.97
[3,] 210.986 36.673 538.06 558.066 853.740 114.39 71.298 35.04
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.944 6.435 4.421 4.839 5.143 5.292 7.045 5.911
[2,] 112.998 1286.605 599.369 1102.444 195.882 630.482 786.633 136.098
[3,] 191.169 129.359 368.732 189.823 70.772 375.007 801.211 546.633
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.19 6.185 11.79 10.89 14.06 6.327 18.1 9.361
[2,] 821.37 1539.743 1139.65 1263.17 635.87 350.978 3744.5 1044.247
[3,] 764.52 633.022 556.58 1343.22 578.23 212.358 1470.8 1367.782
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.169 7.64 7.302 5.902 7.458 2.517 6.875 6.203
[2,] 77.103 1143.49 1816.596 378.011 1097.517 110.840 1107.171 441.013
[3,] 169.351 1744.10 979.219 652.335 1121.520 157.588 1457.778 783.009
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.027 7.981 6.545 6.6 6.637 6.281 6.506 2.354
[2,] 209.749 1043.491 1117.436 1229.2 178.267 659.906 224.127 71.797
[3,] 140.447 1059.409 804.090 858.2 409.538 286.609 31.813 62.627
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.895 2.026 5.051 5.597 4.966 2.986 6.468 6.948
[2,] 272.290 18.579 459.566 668.332 542.111 124.052 879.301 34.155
[3,] 246.385 49.425 502.121 680.424 354.699 139.260 423.118 616.578
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 9.777 5.044 7.845 7.934 3.077 6.9 6.868 5.159
[2,] 505.980 264.951 1422.439 681.697 212.767 1288.7 506.152 1004.586
[3,] 765.418 131.306 500.069 499.742 128.271 1234.3 1067.524 963.184
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 5.954 5.768 1.386 5.251 2.263 4.782 4.372 5.811
[2,] 1101.927 184.069 15.573 575.076 153.262 324.935 84.257 906.043
[3,] 918.669 22.110 18.137 1318.189 183.286 703.981 45.148 268.009
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.379 2.09 9.575 5.556 5.532 2.38 6.473 5.367
[2,] 1406.557 141.61 680.426 168.784 1283.790 150.98 54.237 1297.398
[3,] 310.141 113.62 223.939 350.995 1036.990 123.55 164.026 120.128
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.089 7.255 10.25 8.377 6.458 2.104 5.559 4.424
[2,] 772.754 1651.244 803.43 1352.328 1536.561 57.742 1758.018 195.410
[3,] 362.027 195.230 728.58 807.965 1180.512 63.296 1111.845 241.734
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 7.041 3.238 4.055 2.845 5.882 4.659 11.39 11.5 2.06
[2,] 1661.762 240.860 184.590 50.905 62.736 687.601 776.76 500.6 407.74
[3,] 1143.523 308.866 391.353 51.428 524.495 82.583 638.87 1548.3 635.72
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.189 2.908 3.364 4.72 3.322 1.299 14.03 24.13
[2,] 734.330 538.419 103.789 274.69 22.833 105.719 1693.51 2431.91
[3,] 142.492 77.469 95.314 568.93 49.898 176.363 2146.80 1516.45
[,98]
[1,] 8.868
[2,] 108.441
[3,] 1877.065
[1] "--- VAR model 2017-10-06 18:01:00 completed"
[1] "Completed training sample: 2017-10-06 18:01:00 - 2017-10-07 02:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 18:31:00 - 2017-10-07 02:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.02481 -0.01725 -10.80 -10.177
0.18584 0.02650 -10.57 -9.781
0.12884 0.12607 -10.47 -10.906
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.877 0.2661 0.1881 -0.16529
-10.344 0.1172 0.1072 -0.01963
-9.693 0.2395 0.1963 -0.06863
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.1877 -1.41422 -0.93149 -2.889
0.1094 -0.19243 0.55141 -2.532
-0.1714 0.07255 0.09211 -1.856
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.17195 -1.288 0.2606 -1.1003
0.06025 -1.842 -0.9948 -0.5809
0.04345 -1.273 -0.2626 1.0615
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.01331 -1.68558 -2.0176 2.3597
-1.67559 0.07689 -0.7360 0.2418
-1.35757 -1.99932 -0.1139 0.0359
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.88 -0.6635 -23.78 -10.93
-10.13 -0.8024 -23.17 -11.04
-10.34 -0.9407 -21.04 -10.47
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.7942 -9.608 -11.38 -1.622
-1.0266 -11.301 -11.64 -1.856
-0.8872 -10.591 -11.98 -1.804
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.383 -0.8989 -10.51 -5.297
-9.895 -0.8941 -10.59 -4.417
-11.208 -1.0105 -10.73 -4.864
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.357 -11.16 -10.770 -10.61
-2.361 -10.86 -10.268 -10.85
-2.192 -10.31 -9.609 -10.48
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2707 -2.3820 0.32937 -0.0032637
-0.3851 0.2252 0.02784 -0.0002164
-0.1262 -1.2592 -0.01792 -0.0001971
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -5.759 -7.560
0 0 -6.027 -7.395
0 0 -6.244 -7.320
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.364 -0.6195 -5.167 0.8541
-2.222 -0.4819 -5.561 1.9852
-1.863 -0.2962 -5.083 2.3806
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.044 -1.2957 -3.525 -0.04415
3.346 -0.6979 -2.941 0.28925
1.204 -1.0091 -2.868 -0.52312
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2912 -5.033 -3.838 -1.531
-0.1967 -3.372 -2.346 -3.762
-0.1724 -2.336 -2.219 -2.676
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.507 -0.14456 0 0.6014
-4.102 -0.06308 0 -1.9281
-2.485 -0.05623 0 -3.9291
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1423 0.489 0.03799 -0.7581
-0.2600 -1.394 0.09789 0.5304
-0.2604 -2.129 0.09908 -1.3945
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.4083 0.020902 3.783 0.4520
0.3317 0.006329 1.436 0.1244
-0.9417 0.027704 1.695 1.1304
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.6731 -0.22325 -0.08008 2.09023
-0.1097 -0.02393 0.16501 -0.06118
-0.3189 0.03634 0.30705 0.28999
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.24944 2.30274 0.8032 -1.3566
-0.10510 -0.07466 1.3275 1.7708
-0.02167 0.21738 3.6468 0.9757
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.4986 0 4.2512 0.33933
1.8222 0 -0.5747 0.25402
0.6681 0 1.9673 0.05166
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.9085 -0.86735 -1.1934 0
0.6313 0.56916 -0.6382 0
1.7759 0.03247 -0.6373 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.2205 -0.065782 -0.06282 -5.790
-1.8313 -0.068205 -0.25970 7.768
0.4686 -0.003996 -0.57436 -4.767
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.37378 -0.8200 -0.21086 -0.2319
-0.56817 -0.1113 -0.09234 -0.1849
-0.05854 -0.1585 -0.13701 -0.1529
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.006 -0.030622 -1.686 105.6
-1.116 -0.005295 -1.502 107.7
-1.477 -0.001721 -1.399 109.9
rnd_95776.volume rnd_95787.volume
-9.552 -10.55
-6.738 -11.16
-7.557 -10.50
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.786 3.304 8.025 5.637 5.498 1.772 2.315 4.779 5.946 4.899 3.416
[2,] 4.788 3.323 8.117 6.437 6.358 1.797 2.356 4.781 5.949 5.968 3.793
[3,] 4.809 3.326 8.204 6.633 6.727 1.828 2.369 4.782 5.961 5.986 3.938
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.685 3.820 3.961 5.391 4.530 5.368 4.766 8.095 8.117 9.958 4.624
[2,] 4.819 3.845 4.382 5.837 4.536 5.833 6.231 8.831 8.710 10.163 4.725
[3,] 4.841 3.851 4.564 6.339 4.723 6.376 6.562 8.953 9.305 10.418 4.772
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.99 6.902 1.585 5.734 5.550 4.229 5.597 1.762 5.108 4.357 2.198
[2,] 15.92 7.490 1.596 6.419 7.189 4.326 6.371 1.797 5.913 4.642 2.238
[3,] 16.41 8.260 1.648 7.719 7.598 4.610 7.056 1.847 7.020 4.914 2.264
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.957 4.918 4.796 4.849 4.576 4.755 1.758 3.943 1.453 3.763 4.182
[2,] 6.519 5.741 5.889 4.855 4.978 4.772 1.762 3.951 1.455 3.947 4.640
[3,] 7.037 6.173 6.326 4.927 5.025 4.779 1.765 4.014 1.455 4.170 4.993
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.835 2.254 4.948 5.210 7.374 3.888 5.709 5.965 2.323 5.224 5.125
[2,] 4.002 2.289 5.398 5.212 7.487 3.955 6.781 6.241 2.388 6.225 5.420
[3,] 4.113 2.320 5.513 5.484 7.689 3.968 6.910 6.325 2.412 6.822 5.989
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.881 4.342 4.292 0.9786 3.767 1.544 3.511 3.283 4.237 5.009 1.525
[2,] 4.787 5.269 4.312 0.9819 4.082 1.566 3.633 3.288 4.863 5.838 1.571
[3,] 5.367 5.830 4.312 0.9844 5.276 1.574 4.041 3.293 4.901 5.907 1.588
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.649 3.671 4.125 1.763 4.836 4.020 6.074 5.468 7.905 6.903 4.436
[2,] 7.932 3.686 5.519 1.801 4.836 5.338 6.390 7.144 8.149 7.344 6.436
[3,] 7.979 3.687 6.031 1.831 4.843 5.350 6.427 7.158 8.403 7.964 7.355
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.550 4.155 3.319 5.272 2.466 2.971 2.132 4.041 3.904 8.701 8.598
[2,] 1.565 6.127 3.336 6.497 2.547 3.015 2.134 4.361 3.911 8.924 8.706
[3,] 1.567 6.560 3.348 7.049 2.650 3.171 2.139 4.672 3.911 9.105 9.600
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.476 1.600 2.637 2.488 3.451 2.465 0.9834 11.30 18.16 6.613
[2,] 1.928 2.529 2.649 2.509 3.517 2.466 1.0244 12.28 19.27 6.636
[3,] 2.321 2.537 2.658 2.526 3.753 2.471 1.1237 13.64 19.54 8.081
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 6.078 4.196 10.19 7.157 6.982 2.25 2.94 6.068 7.551
[2,] 54.181 134.618 464.64 1188.856 1221.354 114.84 166.56 62.331 64.312
[3,] 171.080 50.257 457.75 612.195 840.468 128.30 94.95 28.129 148.464
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.221 4.338 4.679 4.851 5.029 6.845 5.753 6.817
[2,] 1303.928 630.700 1187.980 167.507 717.012 856.334 85.810 872.290
[3,] 177.595 405.402 176.673 78.518 488.450 945.528 503.153 985.345
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 6.052 10.28 10.31 12.65 5.872 16.5 8.765 2.013
[2,] 1535.311 1349.61 1207.94 777.34 371.617 3517.2 1112.074 72.311
[3,] 787.181 563.04 1252.38 876.43 255.738 1519.4 1331.767 157.054
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.282 7.047 5.37 7.108 2.238 6.487 5.532 2.791
[2,] 1103.221 1747.796 348.69 1164.178 135.659 1139.169 612.829 162.171
[3,] 1639.839 940.052 609.46 1159.905 162.944 1447.158 616.202 130.830
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 7.564 6.245 6.09 6.157 5.811 6.039 2.233 5.006
[2,] 1012.917 1132.754 1307.23 92.988 749.513 153.805 44.628 96.505
[3,] 1013.285 867.760 883.56 320.978 263.736 99.069 40.653 270.998
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.845 4.779 5.31 4.87 2.863 6.283 6.615 9.363 4.938
[2,] 28.729 454.819 768.76 437.26 151.950 825.888 57.568 495.980 276.094
[3,] 14.757 514.299 705.41 363.21 143.205 427.093 652.723 670.799 124.418
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 7.249 7.574 2.95 6.634 6.508 4.928 5.514 5.451
[2,] 1399.464 702.733 211.46 1294.715 674.302 1071.872 1141.286 156.439
[3,] 509.096 391.897 128.54 1067.606 974.292 928.737 954.535 13.837
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.243 4.783 1.96 4.459 4.168 5.381 6.361 1.937
[2,] 30.863 601.743 100.85 357.404 73.807 912.475 1146.537 144.475
[3,] 26.842 1278.317 59.46 676.530 67.111 232.873 344.846 87.925
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 9.713 4.662 5.238 2.238 6.141 5.105 7.713 6.943
[2,] 803.057 126.980 1402.557 141.340 15.166 1343.057 758.942 1758.263
[3,] 332.667 35.121 930.066 126.613 102.337 138.038 264.975 173.364
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 10.04 8.766 5.633 1.969 5.277 4.214 6.695 3.131
[2,] 756.94 958.049 1783.307 81.923 1722.158 128.451 1451.787 243.571
[3,] 785.31 1177.967 1361.976 31.035 896.289 110.136 1046.232 280.048
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.773 2.707 5.131 4.958 11.05 10.92 1.874 2.032 3.348
[2,] 196.487 34.705 627.216 85.643 757.36 522.75 474.156 749.065 98.863
[3,] 375.275 57.822 641.309 7.941 691.95 1547.35 494.182 76.256 82.007
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.16 4.382 3.13 1.249 14.35 23.06 8.397
[2,] 121.77 260.456 27.64 109.657 1835.51 2459.09 212.066
[3,] 113.14 500.420 58.60 176.709 2275.99 1252.70 1763.693
[1] "--- VAR model 2017-10-06 18:31:00 completed"
[1] "Completed training sample: 2017-10-06 18:31:00 - 2017-10-07 02:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 19:01:00 - 2017-10-07 03:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1230774 -0.03273 -8.154 -7.665
-0.1310947 0.04586 -7.447 -7.509
0.0008103 0.15167 -8.420 -7.658
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.594 0.04951 0.32408 -0.008704
-7.761 0.25869 0.05646 0.172410
-7.809 0.05541 0.03749 0.111190
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.1131 -1.9675 -0.6333 -4.090
-0.2689 -0.2417 -0.1238 -1.356
-0.1436 -0.1569 -0.2656 -2.254
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.21501 -2.334 -1.1618 0.1048
0.35745 -1.922 -2.0327 0.1393
0.05128 -1.250 -0.5397 -0.3079
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.5473 1.757 4.1945 4.4745
-2.7043 -3.102 -0.8749 2.7071
-0.9257 -2.184 -1.5582 0.3719
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.612 -0.6108 -17.76 -8.170
-7.874 -0.3875 -18.96 -8.507
-7.656 -0.3928 -16.80 -8.094
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.7064 -7.632 -8.224 -1.247
-0.7094 -8.261 -8.765 -1.178
-0.6946 -8.461 -8.987 -1.244
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.046 -0.6895 -8.670 -4.082
-7.646 -0.6681 -7.398 -4.103
-8.140 -0.6920 -7.987 -3.834
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.975 -8.420 -8.559 -9.400
-1.951 -7.831 -8.430 -8.489
-1.817 -7.691 -7.799 -7.844
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.16865 -2.4629 0 0
0.07719 -0.2889 0 0
0.03250 -1.5307 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3435 0.02752 -5.321 -5.344
0.5483 0.02227 -4.676 -6.248
0.1175 -0.03745 -4.884 -5.747
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.7949 -0.3991 -4.205 2.432
-1.1206 -0.3721 -4.259 2.475
-0.8765 -0.2384 -4.177 1.969
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.5466 -0.9212 -4.130 0.5088
1.2996 -0.7025 -2.619 0.1371
0.4818 -0.6011 -1.781 1.2580
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.03364 0.1156 0.1352 -2.0627
-0.40071 -3.8910 -2.7048 -0.3476
-0.18711 -2.0983 -1.7604 -3.0948
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.4494 0.2508 0.02943 -3.4544
0.3548 0.0592 0.07017 -2.5215
-3.0170 0.1244 0.00379 0.4776
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.06343 -1.75981 0.1668 -2.330
-0.08363 -1.62269 0.2254 -1.437
-0.11843 0.05244 0.2504 -1.492
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.5945 -0.15476 -0.41706 0.3976
-1.6351 -0.04802 -0.05688 0.5319
-0.9837 -0.12923 0.59537 0.8423
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.282 0.07422 -0.158032 -0.12897
-0.571 -0.23552 -0.301436 -0.06806
-1.677 -0.04870 -0.005558 -0.23327
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7928 0.4809 1.562 -0.9561
0.0832 -0.2652 1.515 -0.2117
0.1103 -0.1830 1.966 -0.8583
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.2854 0 -2.30797 -0.2427
1.0891 0 -0.36286 -0.2512
0.5213 0 0.06957 -0.0962
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.3361 0.08107 0.3023 0.01730
-0.2206 -0.30954 -0.7066 0.14320
0.4504 -0.06761 -0.5124 -0.03135
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.564 -0.04907 0.1769 -4.078
-1.092 0.05017 0.7387 1.700
-1.073 0.09476 0.1762 -2.110
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.7205 0.8694 0.5393 0.3894
0.5167 0.3844 0.3360 0.3671
0.3229 0.4773 0.3206 0.2020
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.98662 -0.01520 -0.9973 106.1
-1.13518 0.11642 -1.3515 103.2
-0.01712 0.03875 -1.4073 106.0
rnd_95776.volume rnd_95787.volume
-9.196 -8.052
-4.243 -8.055
-5.925 -8.007
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.564 3.098 8.011 5.189 5.231 1.691 2.164 4.153 5.526 4.764 3.259
[2,] 4.576 3.118 8.057 5.919 5.985 1.720 2.197 4.153 5.527 5.643 3.630
[3,] 4.590 3.124 8.229 6.084 6.292 1.746 2.211 4.157 5.542 5.662 3.764
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.452 3.569 3.759 4.778 4.511 5.267 4.661 7.555 7.893 9.798 4.520
[2,] 4.493 3.595 4.235 5.172 4.518 5.713 5.918 8.329 8.399 10.021 4.624
[3,] 4.518 3.601 4.398 5.570 4.671 6.106 6.267 8.408 8.986 10.206 4.664
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.91 6.608 1.470 5.336 5.330 3.653 5.107 1.575 4.816 3.924 2.028
[2,] 14.69 7.215 1.477 5.932 6.708 3.774 5.962 1.593 5.559 4.100 2.080
[3,] 15.23 8.114 1.518 7.167 7.147 3.980 6.624 1.637 6.495 4.343 2.135
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.627 4.609 4.556 4.614 4.138 4.363 1.655 3.535 1.347 3.443 3.853
[2,] 6.036 5.393 5.462 4.621 4.502 4.384 1.656 3.555 1.347 3.582 4.271
[3,] 6.554 5.720 5.769 4.688 4.568 4.386 1.656 3.614 1.348 3.800 4.605
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.660 2.065 4.643 4.808 6.973 3.705 5.658 5.838 2.195 5.013 4.728
[2,] 3.796 2.100 5.105 4.832 7.060 3.774 6.573 6.083 2.261 6.035 5.107
[3,] 3.932 2.162 5.203 5.005 7.198 3.791 6.691 6.151 2.277 6.595 5.621
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.656 4.111 4.092 0.9043 3.527 1.546 3.432 3.125 4.078 4.400 1.455
[2,] 4.591 5.090 4.111 0.9051 3.839 1.613 3.535 3.130 4.595 5.547 1.494
[3,] 5.197 5.671 4.112 0.9056 4.993 1.676 3.935 3.134 4.628 5.603 1.517
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.652 3.497 3.872 1.653 4.546 3.738 5.646 4.962 7.647 6.500 4.022
[2,] 7.850 3.517 5.089 1.686 4.546 5.058 6.019 6.856 7.906 7.064 5.971
[3,] 7.907 3.518 5.716 1.711 4.547 5.066 6.059 6.869 8.164 7.565 7.070
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.430 3.622 3.213 4.875 2.320 2.735 1.903 3.733 3.659 8.200 8.190
[2,] 1.437 5.706 3.235 6.019 2.403 2.767 1.904 4.081 3.663 8.356 8.305
[3,] 1.442 6.298 3.253 6.706 2.503 2.908 1.908 4.364 3.669 8.540 9.103
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.377 1.535 2.531 2.397 3.293 2.207 0.9504 10.14 17.37 6.093
[2,] 1.832 2.421 2.546 2.429 3.343 2.207 0.9970 10.53 18.47 6.183
[3,] 2.193 2.426 2.556 2.444 3.615 2.222 1.0902 11.52 18.68 7.610
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.796 3.933 10.17 6.589 6.642 2.147 2.748 5.273
[2,] 135.530 144.314 350.24 1150.721 1175.474 127.514 152.343 34.304
[3,] 142.159 78.814 674.97 569.524 784.126 122.090 101.159 74.443
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.017 6.05 4.139 4.383 4.533 4.773 6.068 5.728
[2,] 29.233 1221.83 645.960 1162.300 174.038 788.140 800.141 101.567
[3,] 166.838 190.36 401.321 192.132 80.398 480.357 835.128 479.104
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.688 5.918 9.593 10.02 12.44 5.739 15.13 8.392
[2,] 894.711 1473.740 1416.810 1160.00 849.59 395.105 3470.24 1170.249
[3,] 869.916 832.967 466.390 1290.02 781.51 245.485 1638.87 1499.810
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.866 6.776 6.768 4.639 6.485 2.001 6.116 4.983
[2,] 59.878 1046.565 1645.546 381.909 1243.263 95.648 1121.168 480.901
[3,] 141.854 1625.024 996.742 510.840 1165.749 151.424 1357.733 577.663
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.575 7.145 5.853 5.786 5.859 5.255 5.54 2.102
[2,] 186.856 882.925 1131.210 1217.247 98.151 715.898 171.88 24.048
[3,] 195.004 1031.511 769.804 750.092 319.630 312.793 55.51 3.277
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 4.489 1.71 4.372 4.893 4.647 2.622 5.896 6.105 8.855
[2,] 152.457 15.04 399.916 744.832 407.332 154.241 857.721 194.538 445.107
[3,] 261.579 12.19 511.654 695.104 414.455 207.297 406.327 528.134 567.110
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.705 7.184 7.413 2.788 6.366 6.003 4.642 5.221
[2,] 290.299 1351.612 690.394 218.921 1357.468 780.599 1121.891 1212.728
[3,] 144.918 505.809 369.374 106.689 1074.622 949.013 983.799 1010.135
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.196 1.148 4.479 1.963 4.358 3.968 5.179 5.587
[2,] 160.144 15.251 612.259 186.696 343.305 73.355 855.394 1365.090
[3,] 44.558 11.424 1289.848 183.959 698.566 68.297 222.282 319.555
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.848 9.717 4.441 4.917 2.099 5.773 4.746 7.17
[2,] 137.272 707.673 150.563 1334.508 135.476 15.919 1376.958 843.30
[3,] 105.737 382.523 33.719 1051.180 115.832 35.925 116.442 279.95
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 6.301 9.711 8.255 5.107 1.815 4.599 4.08 6.19
[2,] 1911.449 811.163 1116.904 1783.096 59.012 1781.813 153.94 1426.36
[3,] 174.542 822.835 1094.614 1529.999 45.657 1076.964 137.35 1195.30
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.946 3.472 2.417 4.74 4.647 10.41 10.4 1.748 1.949
[2,] 253.123 169.607 6.919 666.99 68.043 650.68 556.9 488.268 756.524
[3,] 282.907 361.411 55.101 624.27 80.724 711.64 1505.5 487.183 61.756
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.214 3.044 4.182 2.802 1.207 12.88 22.06 7.737
[2,] 112.394 157.143 230.977 13.731 121.668 1149.77 2541.00 424.693
[3,] 92.146 109.189 556.782 103.835 178.208 1878.51 1124.67 1792.604
[1] "--- VAR model 2017-10-06 19:01:00 completed"
[1] "Completed training sample: 2017-10-06 19:01:00 - 2017-10-07 03:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 19:31:00 - 2017-10-07 03:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.25531 0.16625 -7.246 -5.966
0.09033 0.19092 -6.782 -5.985
0.20957 0.03348 -6.538 -5.997
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.352 0.16637 0.3559 -0.11013
-6.512 0.13546 0.1699 0.08152
-5.710 0.05228 0.2372 0.10441
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.37937 -1.574241 -0.1636 -2.906
-0.19963 -0.030483 -0.5266 -1.598
0.02064 -0.008837 -0.2891 -2.232
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.044661 -0.5199 -0.8044 0.9156
-0.024990 -1.5579 -1.3849 -0.8590
0.001512 -1.0011 -0.5929 0.8374
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.0669 -0.8184 0.8147 2.413
-1.0908 -1.4209 -1.2178 2.254
-0.9152 -1.8896 -0.8506 1.301
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.142 -0.4420 -15.24 -6.966
-7.188 -0.1986 -14.62 -7.491
-6.597 0.2167 -14.86 -7.101
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4468 -6.865 -6.890 0.6943
-0.2920 -7.190 -7.330 1.0967
-0.2703 -7.130 -7.143 0.9566
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.839 -0.5765 -8.442 -2.955
-6.159 -0.6667 -5.882 -2.470
-6.482 -0.5645 -6.493 -2.227
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.823 -8.450 -6.789 -6.810
-1.046 -6.413 -7.245 -8.079
-1.345 -6.035 -5.718 -6.194
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.36819 -0.6880 0.5473 -0.097498
0.36299 -0.9670 1.5835 -0.001468
0.01746 -0.8543 0.9179 0.002991
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.629 -3.944
0 0 -4.011 -4.206
0 0 -3.763 -5.472
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7789 -0.4584 -3.609 0.5014
-0.4764 -0.3913 -3.677 0.7674
-0.2493 -0.2474 -3.408 0.2223
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.8040 -0.5627 -2.799 1.7805
0.8462 -0.5240 -1.860 0.2668
0.1769 -0.5993 -1.859 0.4638
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.03618 -1.547 -1.186 -1.023
-0.27465 -2.628 -1.774 -1.341
-0.10522 -1.600 -1.424 -2.088
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.960 -0.04393 0 -2.126
-1.289 -0.03737 0 -1.177
-1.948 -0.12983 0 -1.158
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0 -1.4617 0.16901 -2.169
0 -0.8453 0.13252 -1.143
0 -0.7161 0.01277 -1.095
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.9584 0.03246 0.3739 -0.160447
-0.9934 -0.12674 0.3696 0.168053
-0.6695 -0.06507 2.1396 0.005744
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.1278 -0.2380 -0.0515 1.21454
-1.9015 -0.0967 0.2613 0.05721
-0.9282 -0.1633 0.1366 0.22294
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.1378 2.81272 2.2614 5.7476
0.2208 0.03319 0.4103 1.1082
0.2226 0.43260 0.2492 0.6972
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.92013 0 -1.8213 -0.082857
3.06940 0 5.0732 -0.011544
-0.07643 0 0.7944 -0.006863
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.249 -0.01946 -0.3286 0
4.753 -0.18523 -0.4147 0
1.466 0.99615 -0.3513 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.8843 0.2107 0.17899 -1.0498
-0.9111 0.1442 0.03025 -0.1100
-0.7272 0.1011 0.13071 -0.3638
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9936 0 -0.986 109.3
-0.7189 0 -1.350 106.8
-0.3185 0 -1.405 109.5
rnd_95776.volume rnd_95787.volume
-6.653 -6.999
-4.762 -6.973
-4.726 -6.989
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.039 2.937 6.983 4.986 5.043 1.630 2.038 4.056 5.371 4.558 3.096
[2,] 4.053 2.981 7.076 5.663 5.532 1.657 2.074 4.057 5.371 5.430 3.474
[3,] 4.055 2.982 7.164 5.771 5.792 1.688 2.093 4.060 5.389 5.459 3.617
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.120 3.384 3.604 4.684 4.010 5.011 4.209 7.163 7.367 9.041 4.202
[2,] 4.237 3.397 4.105 5.062 4.011 5.455 5.367 7.888 8.080 9.264 4.300
[3,] 4.256 3.398 4.265 5.499 4.128 5.865 5.831 7.973 8.500 9.515 4.328
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.67 6.388 1.207 4.872 4.924 3.194 4.761 1.366 4.423 3.333 1.829
[2,] 13.27 6.919 1.218 5.422 6.269 3.272 5.414 1.422 5.120 3.437 1.863
[3,] 13.71 7.530 1.267 6.612 6.637 3.468 6.095 1.455 6.151 3.615 1.909
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.966 4.343 4.200 4.108 3.873 4.094 1.496 3.358 1.281 3.145 3.057
[2,] 5.339 4.987 4.740 4.126 4.249 4.131 1.496 3.385 1.281 3.247 3.590
[3,] 5.854 5.304 5.055 4.152 4.325 4.132 1.497 3.444 1.282 3.439 3.699
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.415 1.952 4.197 4.666 6.633 3.591 5.861 5.541 2.109 4.730 4.409
[2,] 3.642 1.985 4.375 4.702 6.696 3.644 6.391 5.780 2.174 5.826 4.875
[3,] 3.795 2.057 4.526 4.864 6.797 3.652 6.432 5.826 2.190 6.276 5.204
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.466 3.844 3.862 0.8156 3.328 1.456 3.202 3.004 3.567 4.145 1.369
[2,] 4.393 4.856 3.903 0.8159 3.597 1.525 3.317 3.006 4.377 5.083 1.396
[3,] 5.010 5.455 3.906 0.8167 4.735 1.585 3.713 3.009 4.397 5.108 1.409
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.495 3.304 3.656 1.585 4.000 3.586 5.240 4.606 7.437 6.169 3.281
[2,] 7.666 3.308 4.813 1.617 4.005 4.672 5.589 6.280 7.704 6.730 5.571
[3,] 7.707 3.309 5.333 1.639 4.006 4.686 5.620 6.299 7.970 7.180 6.626
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.338 3.254 2.876 4.364 2.212 2.593 1.758 3.505 3.466 7.732 7.948
[2,] 1.343 5.210 2.903 5.363 2.271 2.629 1.758 3.893 3.478 7.845 8.077
[3,] 1.345 5.872 2.913 6.167 2.366 2.739 1.771 4.152 3.483 8.017 8.859
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.263 1.494 2.372 2.229 3.172 2.049 0.9214 10.34 16.18 5.741
[2,] 1.746 2.334 2.390 2.270 3.232 2.049 0.9647 10.76 17.42 5.794
[3,] 2.085 2.338 2.406 2.287 3.502 2.060 1.0544 11.74 17.55 6.712
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.129 3.73 8.867 6.332 6.404 2.07 2.588 5.15 6.82
[2,] 157.934 232.03 526.666 1233.155 1044.348 136.00 175.307 39.83 45.28
[3,] 56.007 45.28 512.562 509.898 788.816 149.26 129.556 73.02 197.06
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.788 3.931 3.962 4.297 4.576 5.948 5.092 6.363
[2,] 1355.553 723.776 1316.638 137.707 902.850 881.640 38.435 990.018
[3,] 257.537 462.485 187.581 36.775 531.795 986.738 449.490 989.675
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.344 9.096 9.355 11.48 5.336 13.54 8.111 1.532
[2,] 1530.065 1517.801 1524.007 928.67 419.472 3626.43 1221.060 76.193
[3,] 1046.193 531.074 1213.038 997.61 226.330 1584.14 1365.036 160.303
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.186 6.253 4.056 6.045 1.735 5.616 4.233 2.322
[2,] 1093.464 1782.036 325.155 1184.390 180.172 1184.590 385.153 163.345
[3,] 1738.417 1001.668 527.937 1286.113 141.674 1565.611 513.809 190.950
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.306 5.515 5.334 5.217 4.918 5.198 1.90 4.264
[2,] 900.559 1125.555 1009.065 176.015 802.829 255.852 10.46 197.101
[3,] 1102.489 830.122 807.486 210.823 370.570 46.168 21.13 291.718
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.627 3.994 3.882 4.337 2.479 5.329 5.925 8.422 4.56
[2,] 17.437 371.625 864.677 580.719 164.362 567.660 269.760 422.277 284.06
[3,] 9.250 520.223 409.868 491.352 247.990 532.609 571.207 537.259 109.52
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 7.442 7.037 2.678 6.006 5.598 4.402 4.881 4.905
[2,] 1171.247 754.933 243.597 1562.004 955.884 1239.704 1363.159 258.476
[3,] 332.200 336.870 121.898 1072.217 836.422 1105.901 1141.158 65.242
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.036 4.226 1.849 4.067 3.815 4.529 5.264 1.739
[2,] 9.856 626.992 207.677 396.776 56.618 1165.293 1351.088 123.514
[3,] 17.082 1414.642 199.679 766.737 62.286 193.848 230.799 89.120
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 9.517 4.196 4.642 2.013 5.08 4.554 6.654 5.849
[2,] 740.652 74.355 1437.962 145.390 92.55 1375.841 892.585 1960.636
[3,] 363.458 27.299 1054.635 124.769 34.98 166.494 271.650 227.098
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 9.444 7.834 4.166 1.698 4.132 3.651 5.541 2.809
[2,] 923.651 1235.434 2068.093 55.088 1869.241 184.045 1432.096 234.962
[3,] 936.777 1149.027 1647.898 34.932 1244.110 109.437 1398.384 305.484
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.293 2.232 4.45 4.401 9.818 10.09 1.603 1.897 3.012
[2,] 198.192 14.884 778.84 134.057 610.349 658.34 554.153 823.669 134.757
[3,] 354.023 96.327 663.11 87.083 758.728 1672.55 523.298 67.566 129.485
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.83 4.028 2.601 1.17 13.13 20.54 7.29
[2,] 198.38 285.245 26.524 131.29 1365.93 2964.14 358.12
[3,] 127.65 619.509 97.200 195.45 2158.05 982.09 1556.52
[1] "--- VAR model 2017-10-06 19:31:00 completed"
[1] "Completed training sample: 2017-10-06 19:31:00 - 2017-10-07 03:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 20:01:00 - 2017-10-07 04:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.16919 -0.24394 -6.367 -4.902
-0.03273 -0.06056 -6.281 -5.475
-0.04853 -0.19029 -5.487 -5.992
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.737 0 0.18888 0.004953
-4.886 0 0.03617 -0.004701
-5.115 0 0.03067 -0.373997
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.1767 3.0533 1.4196 -0.3542
0.1441 -0.6442 1.1292 -1.1213
0.1083 0.2802 0.8103 -1.4156
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.103882 -0.7616 -1.184 0.1959
0.037740 0.7678 1.677 0.2161
-0.008945 -0.7678 -0.526 0.1426
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.1883 0.5753 -0.64243 3.559
-0.1291 -0.7994 -0.13406 3.734
-0.2891 0.9247 -0.04157 3.840
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.484 -0.3064 -13.52 -6.541
-4.577 -0.4826 -11.21 -6.088
-4.763 -0.5252 -10.10 -5.288
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.3292 -5.962 -5.868 -0.09119
-0.3298 -6.576 -6.568 -0.17371
-0.3176 -5.243 -5.973 -0.24596
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.959 -0.3621 -5.083 -1.857
-5.635 -0.3902 -5.073 -1.870
-6.433 -0.4993 -6.057 -1.591
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9458 -4.541 -5.017 -5.857
-1.0104 -4.909 -4.779 -4.948
-1.0381 -5.507 -4.413 -4.829
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.11677 -0.6310 0 0
0.19566 0.3534 0 0
0.02883 -0.8568 0 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -2.873 -3.102
0 0 -2.795 -4.113
0 0 -2.798 -3.491
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.3826 -0.4026 -3.384 1.410
-0.6131 -0.1904 -2.685 2.504
-0.1348 -0.1480 -2.670 2.465
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.2681 -0.4804 -1.757 0.9260
0.4939 -0.5658 -1.776 0.6109
0.8491 -0.3022 -1.285 0.5197
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.01346 0.3494 -1.2017 -2.3091
-0.30024 -1.9029 -0.4125 0.6069
-0.20656 -1.6602 -1.4099 -1.4615
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.7047 0.1829 0 -2.13221
-0.8493 0.1701 0 -1.13252
-0.5186 0.1299 0 0.01127
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0 -0.9217 0.7596 3.1554
0 -1.0774 0.1876 -0.7962
0 -0.5860 0.7306 -0.9984
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.6220 -0.02149805 0.8813 0
-1.0134 -0.02469872 1.1040 0
-0.7295 -0.00006078 -0.4204 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.1513 0.01324003 0.08587 -0.83199
0.5794 -0.00903933 -0.01521 0.16228
-1.1458 0.00005876 -0.06611 -0.06672
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7362 -1.81810 3.147 1.3220
-0.2382 -0.06014 3.409 0.6401
-0.1386 -0.21915 1.576 0.8786
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.1045 0 1.7547 0.3356
0.2730 0 0.6586 0.2148
1.8014 0 0.6011 0.3868
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.7996 0.68176 -0.5587 0
0.6040 0.19380 0.1053 0
0.3855 0.01772 -0.3536 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.0993 -0.09973 0.31828 0.1439
-0.1255 -0.06754 -0.25699 2.1500
-0.5266 -0.01230 -0.06977 -0.6478
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.1784 0 -0.9885 120.4
-0.4878 0 -0.9846 116.0
-0.5202 0 -0.9796 116.1
rnd_95776.volume rnd_95787.volume
-6.212 -6.635
-5.265 -6.361
-2.310 -5.499
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.758 2.812 6.317 4.659 4.706 1.514 1.908 3.732 5.093 4.364 3.050
[2,] 3.782 2.846 6.353 5.277 5.200 1.536 1.942 3.732 5.094 5.171 3.381
[3,] 3.784 2.849 6.489 5.385 5.457 1.562 1.967 3.732 5.145 5.211 3.520
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.944 3.215 3.430 4.610 3.599 4.726 4.143 6.875 7.220 8.106 4.003
[2,] 3.953 3.225 3.836 4.959 3.602 5.122 5.208 7.659 7.675 8.205 4.180
[3,] 3.982 3.226 4.042 5.363 3.741 5.509 5.550 7.736 8.222 8.384 4.214
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.431 5.674 1.081 4.589 4.495 2.571 4.441 1.191 3.746 2.556 1.566
[2,] 11.521 6.174 1.084 4.972 5.562 2.721 5.122 1.213 4.350 2.648 1.602
[3,] 11.694 6.552 1.102 5.857 5.982 2.866 5.581 1.251 5.226 2.728 1.674
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.589 3.902 3.904 3.864 3.621 3.910 1.336 3.234 1.190 2.866 2.569
[2,] 4.930 4.451 4.408 3.878 3.986 3.972 1.336 3.269 1.192 2.929 3.153
[3,] 5.362 4.796 4.664 3.902 4.058 3.972 1.337 3.329 1.192 3.085 3.270
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.317 1.756 3.854 4.538 6.388 3.382 5.603 5.361 1.998 4.323 4.008
[2,] 3.427 1.783 3.977 4.577 6.434 3.429 6.075 5.561 2.060 5.523 4.576
[3,] 3.569 1.867 4.185 4.735 6.518 3.432 6.100 5.609 2.077 5.918 4.851
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.170 3.546 3.676 0.7553 3.176 1.405 2.939 2.838 3.219 4.144 1.323
[2,] 4.075 4.671 3.710 0.7553 3.376 1.468 3.022 2.842 3.967 4.646 1.323
[3,] 4.724 5.237 3.718 0.7557 4.411 1.525 3.450 2.848 3.996 4.675 1.323
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.291 3.001 3.365 1.570 3.727 3.332 4.773 4.226 7.104 6.044 2.854
[2,] 7.481 3.005 4.493 1.571 3.740 4.353 5.107 5.828 7.306 6.535 5.303
[3,] 7.513 3.011 4.787 1.571 3.741 4.373 5.145 5.843 7.540 7.003 6.368
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.258 2.917 2.688 4.101 2.072 2.467 1.486 3.335 3.253 6.991 7.772
[2,] 1.261 5.047 2.725 5.075 2.120 2.520 1.492 3.697 3.261 7.032 7.892
[3,] 1.263 5.646 2.741 5.846 2.217 2.605 1.505 3.962 3.272 7.056 8.645
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.222 1.473 2.298 2.147 2.994 1.895 0.8383 10.38 15.17 5.204
[2,] 1.727 2.277 2.313 2.189 3.073 1.896 0.8833 10.86 16.77 5.207
[3,] 2.042 2.281 2.329 2.206 3.315 1.916 0.9556 11.86 16.83 5.922
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.772 3.571 8.021 5.916 5.976 1.923 2.422 4.739
[2,] 265.774 271.090 419.702 1528.625 1364.729 160.712 225.363 4.696
[3,] 61.497 81.334 814.142 660.759 1019.263 173.937 191.094 4.609
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.468 5.542 3.873 3.738 4.083 4.355 5.853 4.57
[2,] 45.172 1711.498 900.398 1627.587 156.202 1059.385 1127.682 93.58
[3,] 445.625 398.479 603.635 292.805 47.843 785.674 1260.346 624.38
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.002 5.261 8.73 9.168 10.29 5.084 11.98 7.206
[2,] 1217.336 1946.530 2081.53 1605.858 783.43 741.273 4081.81 1500.122
[3,] 1251.257 1184.004 672.82 1818.304 1062.76 331.223 1236.61 1354.296
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.373 5.827 5.708 3.265 5.64 1.513 4.757 3.246
[2,] 49.457 1181.294 2020.901 550.282 1573.74 139.733 1363.974 426.771
[3,] 120.245 1909.866 1357.614 555.449 1366.90 189.605 1786.667 402.365
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.989 5.828 4.955 4.957 4.906 4.598 4.966 1.696
[2,] 208.370 1110.251 1321.157 1262.552 202.140 1028.088 428.656 20.314
[3,] 298.917 1301.923 1101.280 939.953 267.011 468.332 42.732 13.893
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 4.107 1.511 3.64 3.262 4.212 2.23 4.894 5.762 8.112
[2,] 293.700 46.776 371.11 1127.709 531.455 192.29 603.944 370.325 473.037
[3,] 389.692 5.204 597.05 534.666 615.498 341.47 805.236 747.718 645.703
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.295 7.116 6.808 2.537 5.489 5.089 4.025 4.503
[2,] 347.840 1447.105 910.155 309.882 2120.399 1362.938 1579.822 1875.262
[3,] 92.911 345.684 453.545 165.953 1312.455 992.300 1473.533 1461.361
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.668 0.9592 4.033 1.784 3.732 3.604 4.088 5.263
[2,] 307.996 1.4157 706.608 263.899 435.100 89.389 1430.125 1295.459
[3,] 148.757 14.8621 1751.197 255.049 1025.743 120.497 295.818 319.886
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.68 9.258 3.811 4.273 1.994 4.732 4.231 6.061
[2,] 17.33 1033.240 98.846 1837.026 25.862 197.422 1727.922 1121.134
[3,] 17.23 425.079 110.175 1017.666 22.665 35.155 258.208 386.255
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.366 9.021 7.674 3.625 1.597 3.704 3.413 5.208
[2,] 2475.544 1051.472 1534.129 2756.624 53.786 2540.863 278.225 1844.376
[3,] 263.802 1148.953 1552.824 2174.896 42.988 1560.875 178.129 1789.385
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.631 3.133 1.886 4.234 4.131 8.878 9.869 1.552
[2,] 276.922 316.541 85.326 984.960 134.899 469.536 847.723 752.684
[3,] 400.176 407.775 123.309 877.626 165.205 353.878 2176.296 671.559
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.87 2.918 2.726 3.803 2.406 1.065 13.18 19.27
[2,] 1071.28 163.393 263.261 425.767 32.558 171.721 1973.39 4414.00
[3,] 82.86 170.000 167.642 766.846 171.528 224.907 2930.59 808.54
[,98]
[1,] 6.609
[2,] 109.427
[3,] 1739.703
[1] "--- VAR model 2017-10-06 20:01:00 completed"
[1] "Completed training sample: 2017-10-06 20:01:00 - 2017-10-07 04:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 20:31:00 - 2017-10-07 04:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.063306 0.1235 -8.157 -5.330
0.035927 0.2033 -8.072 -6.491
-0.005019 0.2064 -7.084 -6.624
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.754 0 0.244564 0.06211
-5.512 0 0.005925 -0.02367
-5.573 0 0.194553 -0.11073
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.064143 1.0547 0.5441 -1.055
-0.093276 -0.1821 0.4894 -1.345
0.005059 0.2543 0.3091 -1.443
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1302067 -0.35932 -0.6409 -0.06106
0.0003481 -0.03835 0.2493 0.16037
0.0268458 -0.91986 -0.5235 2.09762
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.63389 -2.75031 -3.0469 -2.0510
0.08756 0.54389 -0.8701 0.2450
-0.14851 0.02944 0.5692 0.4182
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.999 -0.2787 -14.89 -6.697
-7.595 -0.3897 -15.48 -7.142
-6.769 -0.6349 -14.99 -7.227
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2729 -7.376 -6.854 -0.3045
-0.3112 -7.215 -7.164 -0.3283
-0.3649 -7.309 -7.397 -0.3129
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.435 -0.6872 -7.918 -1.797
-6.844 -0.8790 -6.083 -1.697
-7.387 -0.7612 -6.653 -1.588
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.633 -6.839 -7.809 -8.046
-1.685 -5.623 -6.329 -7.107
-1.455 -5.925 -5.057 -5.498
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.1446 -1.34236 0.6369 0
-0.1499 0.08563 -0.1163 0
-0.1481 -0.43070 0.5773 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -3.751 -3.749
0 0 -4.087 -4.943
0 0 -3.637 -4.432
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.5742 -0.2728 -3.679 0.1318
-0.8894 -0.2014 -3.572 0.2762
-0.5902 -0.1130 -3.617 0.4396
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.01833 -0.5458 -2.064 1.1803
0.83992 -0.5268 -1.898 0.4342
0.52787 -0.5235 -1.838 0.7977
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2346 -1.488 -2.053 -2.6068
-0.1808 -1.810 -1.179 -0.8101
-0.2231 -1.672 -1.160 -1.4013
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.678 -0.05378 0 -0.07629
-1.974 -0.02505 0 -2.17999
-1.228 -0.04867 0 -1.31486
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0 -0.7615 0.04224 -0.9846
0 -0.7843 0.08804 -0.9273
0 -1.2889 -0.17054 -0.6623
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.1223 0.04754 0.5440 0
-0.5391 0.02029 -0.1202 0
-0.6688 -0.04396 0.5225 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.0900 0.09972 0.14405 -0.76413
-0.1416 -0.09516 0.03330 0.15753
-0.5120 -0.01484 -0.04127 -0.02738
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.5931 0.4853 0.3946 2.2748
0.9042 0.2608 0.5866 0.2333
0.3549 0.4468 1.6994 1.0089
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.8754 0 1.453 0
-0.6227 0 2.433 0
0.9353 0 -0.145 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.6039 -0.02556 -0.7808 0
4.3551 0.40817 -0.2083 0
-0.6287 0.67048 -0.3372 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.0170 0.12451 -0.219884 1.1662
-0.9633 0.15046 -0.007999 -0.2184
0.0513 0.02673 0.217304 0.4838
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.001134 0.199088 -0.6292 116.1
-0.363658 -0.003085 -0.7213 117.5
-0.778957 0.036742 -0.7694 116.1
rnd_95776.volume rnd_95787.volume
-5.511 -6.995
-5.136 -7.325
-3.978 -7.040
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.584 2.678 5.306 4.193 4.357 1.439 1.800 3.522 4.810 4.145 2.943
[2,] 3.603 2.728 5.366 4.558 4.836 1.464 1.836 3.522 4.813 4.885 3.284
[3,] 3.603 2.731 5.562 4.624 4.977 1.481 1.859 3.523 4.852 4.927 3.417
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.772 3.040 3.129 4.291 3.481 4.457 4.006 6.679 6.789 7.469 3.431
[2,] 3.789 3.050 3.455 4.530 3.482 4.838 4.880 7.423 7.202 7.608 3.513
[3,] 3.810 3.051 3.699 4.867 3.596 5.228 5.212 7.506 7.880 7.856 3.531
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.663 5.267 0.9289 4.211 4.240 2.198 4.450 1.010 3.502 2.151 1.253
[2,] 10.691 5.759 0.9488 4.470 5.165 2.268 4.963 1.047 3.992 2.223 1.285
[3,] 10.883 6.153 0.9777 5.422 5.580 2.376 5.301 1.070 4.678 2.310 1.378
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.152 3.536 3.651 3.541 3.340 3.505 1.200 2.924 1.132 2.471 2.356
[2,] 4.502 4.186 4.037 3.554 3.684 3.549 1.200 2.983 1.133 2.509 2.800
[3,] 4.709 4.460 4.221 3.604 3.782 3.550 1.201 3.054 1.133 2.688 2.910
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.156 1.667 3.406 4.335 6.193 3.151 5.358 5.049 1.851 3.931 3.746
[2,] 3.257 1.697 3.441 4.373 6.225 3.188 5.719 5.246 1.909 5.220 4.339
[3,] 3.408 1.774 3.660 4.534 6.296 3.190 5.728 5.287 1.924 5.524 4.553
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.961 3.223 3.498 0.7240 2.991 1.317 2.639 2.691 2.965 3.801 1.203
[2,] 3.715 4.288 3.518 0.7241 3.184 1.355 2.760 2.695 3.600 4.254 1.204
[3,] 4.436 4.927 3.522 0.7242 4.091 1.408 3.107 2.707 3.652 4.301 1.205
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.100 2.629 3.096 1.430 3.546 3.226 4.388 3.881 6.661 5.724 2.730
[2,] 7.275 2.637 4.191 1.457 3.556 4.165 4.763 5.534 6.900 6.195 4.993
[3,] 7.305 2.646 4.477 1.479 3.556 4.178 4.829 5.555 7.130 6.670 6.036
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.194 2.829 2.563 3.771 1.991 2.244 1.245 2.954 3.056 6.182 7.522
[2,] 1.196 4.727 2.602 4.483 2.024 2.319 1.245 3.286 3.065 6.191 7.626
[3,] 1.197 5.296 2.616 5.388 2.084 2.399 1.253 3.572 3.090 6.237 8.327
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.161 1.424 2.198 2.054 2.893 1.713 0.7720 10.63 14.32 4.597
[2,] 1.678 2.163 2.209 2.091 2.966 1.714 0.8035 11.28 15.39 4.638
[3,] 1.962 2.168 2.231 2.106 3.196 1.743 0.8613 12.36 15.44 5.420
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.551 3.401 6.738 5.324 5.533 1.827 2.286 4.473
[2,] 239.997 338.576 526.055 1174.255 1377.705 178.739 238.063 9.003
[3,] 26.304 89.711 960.553 511.366 772.455 144.365 190.536 27.842
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.109 5.263 3.737 3.52 3.86 3.974 5.449 4.42
[2,] 103.885 1698.107 957.992 1697.01 163.39 961.205 955.196 49.78
[3,] 403.623 425.343 620.253 267.82 51.50 867.836 1168.832 589.63
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.66 5.087 8.481 8.621 9.484 4.357 11 6.689
[2,] 1236.28 1831.589 2127.815 1578.263 949.988 497.211 4116 1529.509
[3,] 1302.15 1201.478 732.151 2100.929 1286.786 233.347 1338 1424.078
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.18 5.347 5.385 2.791 5.651 1.282 4.447 2.732
[2,] 127.02 984.775 1937.127 369.146 1443.250 180.272 1259.270 368.224
[3,] 154.99 2016.757 1388.747 464.135 1224.121 146.758 1601.812 413.102
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.591 5.273 4.49 4.636 4.496 4.241 4.45 1.524
[2,] 186.690 1142.718 1472.02 1132.490 204.822 1021.015 366.65 16.403
[3,] 328.071 907.166 1010.73 808.647 390.989 564.098 67.02 32.743
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.713 1.437 3.137 2.991 4.007 2.117 4.325 5.505
[2,] 387.546 41.124 285.641 994.862 528.838 209.592 320.854 375.552
[3,] 431.683 2.039 633.994 520.471 660.222 338.956 820.174 786.593
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.864 4.001 6.804 6.411 2.351 4.992 4.757 3.76
[2,] 411.671 318.776 1314.810 936.698 306.447 2256.197 1438.479 1473.59
[3,] 621.825 72.704 209.453 431.879 158.543 1188.078 907.071 1593.15
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.092 4.442 0.9194 3.798 1.672 3.351 3.418 3.765
[2,] 1858.109 247.226 4.6598 718.337 211.746 530.469 89.887 1341.657
[3,] 1594.818 115.180 10.6487 1687.359 249.347 937.923 169.118 403.363
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.827 1.528 9.016 3.338 3.931 1.816 4.503 4.096
[2,] 1254.395 37.592 1041.615 132.232 1855.708 182.169 173.111 1731.059
[3,] 417.021 16.083 435.436 143.238 1035.496 166.611 3.788 219.674
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.572 4.928 8.459 7.269 3.467 1.517 3.593 3.255
[2,] 1216.806 2591.812 1180.639 1555.435 2746.405 45.108 2487.693 293.692
[3,] 521.493 320.729 1180.687 1624.261 2228.237 32.713 1569.433 179.644
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.788 2.528 2.85 1.581 3.751 3.881 7.85 9.551
[2,] 1592.902 240.877 383.65 9.955 945.962 149.918 220.99 826.499
[3,] 1963.756 324.974 402.95 92.164 919.594 261.220 493.85 2197.031
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.474 1.808 2.792 2.608 3.674 2.176 0.9804 13.5
[2,] 796.165 1070.233 143.766 256.659 429.757 17.529 146.2953 2471.1
[3,] 667.979 91.759 204.276 169.049 782.797 207.756 203.7182 3326.2
[,97] [,98]
[1,] 18.19 5.838
[2,] 3703.43 403.177
[3,] 779.99 1842.838
[1] "--- VAR model 2017-10-06 20:31:00 completed"
[1] "Completed training sample: 2017-10-06 20:31:00 - 2017-10-07 04:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 21:01:00 - 2017-10-07 05:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.006824 -0.03531 -9.945 -8.442
-0.003033 -0.16515 -9.274 -8.503
-0.075482 -0.03653 -9.373 -7.722
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.420 0 0.4690 0.227110
-7.220 0 0.2873 -0.004686
-7.213 0 0.1048 -0.101911
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.09376 0.5622 1.7059 0.5709
0.39963 0.1208 0.6522 -1.7424
0.22841 0.3245 0.8417 -1.2144
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.004989 0.36959 -0.09208 1.10943
0.012894 -0.09678 -0.07957 -1.00162
-0.009194 -1.06350 -0.78635 0.03915
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.4100 -1.9822 1.1561 6.710
0.6214 0.9937 -0.5873 3.831
-0.9697 -0.1827 0.6012 3.848
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.067 -0.1744 -18.59 -9.485
-9.068 -0.3886 -20.10 -9.208
-9.780 -0.0266 -17.60 -8.413
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.5559 -9.248 -9.295 -0.7914
-0.3420 -8.534 -9.339 -0.2938
-0.5149 -9.427 -9.501 -0.4438
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.898 -0.9277 -8.496 -2.655
-8.642 -0.8531 -8.208 -2.109
-8.590 -0.7003 -8.962 -2.129
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.902 -7.886 -8.360 -9.384
-2.065 -7.667 -7.433 -7.554
-2.239 -7.554 -6.497 -7.086
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.09488 -0.2182 0.20027 -0.004442
0.20774 0.3255 0.40925 0.072344
0.08776 -1.1458 0.03519 0.005491
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -5.094 -5.665
0 0 -5.190 -5.115
0 0 -4.494 -5.063
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.50837 -0.1140 -4.263 1.248
-0.09229 -0.1691 -4.398 2.600
-0.14727 -0.1346 -4.101 2.054
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.18609 -0.7548 -2.087 0.65719
0.01531 -0.6593 -2.310 0.20426
-0.02787 -0.6662 -2.008 0.06805
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.0491173 -0.9551 -0.7898 -3.0001
-0.0006364 -2.1214 -1.3337 -0.8126
-0.0070782 -1.8641 -1.4901 -1.4340
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.550 0 0 0.2306
-1.069 0 0 -2.5761
-1.457 0 0 -0.7285
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.04863 0.5904 0.2733 -1.9752
-0.16991 -1.5415 0.4621 0.5011
-0.15125 -1.0211 0.2339 -1.1160
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.9166 0.122612 -1.6553 -0.1880
0.2673 -0.057853 0.8678 -0.2303
-1.2117 0.002717 0.1614 -0.2747
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.5461 -0.001147 0.02353 -0.64139
-1.4669 -0.265134 -0.01444 0.02212
0.1807 -0.248033 -0.01412 -0.09205
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.2171844 -0.8255 1.134 -0.1545
0.0007646 -0.2900 0.488 -1.2541
-0.1361874 -0.3112 1.189 -0.5098
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.0185 0 -1.6403 0
-0.5361 0 0.2031 0
0.2690 0 -0.9081 0
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.9909 -0.01257 -0.5730 0
0.8166 -0.42191 -0.3786 0
-0.6523 -0.04412 -0.4409 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.14014 -0.14422 -0.05546 -0.4870
-0.07335 -0.11934 -0.37654 0.1671
0.15275 -0.03677 -0.34145 -0.2307
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.05711 0 -0.7864 112.3
-1.03731 0 -0.6311 112.8
-0.46518 0 -0.4847 118.9
rnd_95776.volume rnd_95787.volume
-6.578 -8.209
-5.336 -8.624
-5.435 -9.245
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.278 2.548 4.880 3.944 4.136 1.387 1.677 3.37 4.584 3.927 2.867
[2,] 3.286 2.605 4.949 4.310 4.531 1.410 1.715 3.37 4.585 4.666 3.206
[3,] 3.286 2.613 5.101 4.388 4.672 1.420 1.730 3.37 4.626 4.702 3.342
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.617 2.833 3.058 4.169 3.366 4.208 3.821 6.479 6.832 6.047 2.873
[2,] 3.511 2.834 3.326 4.381 3.367 4.804 4.652 7.154 7.314 6.174 2.970
[3,] 3.545 2.835 3.550 4.716 3.458 5.152 4.989 7.271 7.856 6.364 3.020
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.683 4.973 0.7140 4.081 3.989 1.410 3.998 0.8083 3.239 1.688 1.039
[2,] 9.663 5.317 0.7190 4.274 4.783 1.453 4.530 0.8643 3.628 1.757 1.080
[3,] 9.837 5.695 0.7481 5.077 5.170 1.534 4.902 0.8816 4.370 1.866 1.135
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.973 3.331 3.253 3.197 3.086 3.188 1.101 2.798 0.9897 2.230 2.170
[2,] 4.163 3.901 3.527 3.206 3.412 3.200 1.104 2.851 0.9898 2.297 2.523
[3,] 4.374 4.147 3.671 3.240 3.519 3.200 1.104 2.933 0.9901 2.413 2.624
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.986 1.525 3.103 4.009 6.011 2.936 4.605 4.837 1.878 3.751 3.510
[2,] 3.096 1.564 3.121 4.035 6.031 2.968 5.352 5.065 1.880 4.835 4.031
[3,] 3.226 1.647 3.377 4.201 6.098 2.973 5.423 5.090 1.880 5.110 4.456
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.792 2.772 3.356 0.6786 2.847 1.188 2.508 2.630 2.831 3.328 1.156
[2,] 3.633 3.893 3.376 0.6786 3.082 1.210 2.595 2.638 3.445 4.051 1.159
[3,] 4.275 4.436 3.379 0.6791 3.956 1.227 2.936 2.652 3.498 4.099 1.161
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.000 2.337 2.885 1.318 3.287 3.010 4.123 3.625 6.485 5.537 2.533
[2,] 7.160 2.343 3.820 1.349 3.289 3.839 4.513 5.129 6.739 5.978 4.734
[3,] 7.179 2.369 4.322 1.373 3.289 3.847 4.565 5.148 6.994 6.447 5.738
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.129 2.708 2.421 3.546 1.918 2.115 1.089 2.568 2.813 5.668 7.264
[2,] 1.131 4.490 2.462 4.137 1.933 2.156 1.089 2.894 2.838 5.678 7.387
[3,] 1.133 5.067 2.475 5.132 1.996 2.314 1.092 3.243 2.874 5.702 8.062
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.093 1.390 2.129 1.986 2.795 1.573 0.7186 10.72 13.77 4.265
[2,] 1.643 2.099 2.144 2.022 2.844 1.574 0.7594 11.43 14.61 4.341
[3,] 1.910 2.102 2.160 2.039 3.013 1.600 0.8173 12.44 14.65 4.902
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.162 3.235 6.196 5.008 5.252 1.761 2.13 4.279
[2,] 167.733 404.554 611.965 1291.992 1374.472 186.042 264.50 31.634
[3,] 20.344 153.311 920.520 612.485 848.792 127.099 172.55 9.653
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.821 4.986 3.641 3.323 3.597 3.884 5.294 4.274
[2,] 69.902 1873.306 1065.980 1739.824 54.754 971.172 999.757 43.702
[3,] 457.433 431.524 701.548 364.134 47.805 923.025 1297.705 588.006
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.343 4.852 8.227 8.676 7.679 3.648 9.756
[2,] 1721.964 1972.571 2255.715 1941.020 927.191 558.821 4355.544
[3,] 1384.659 1340.160 964.668 2130.930 1144.990 407.671 1369.029
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 6.314 0.9066 5.182 5.066 1.791 5.077 1.026 4.113
[2,] 1399.735 62.7570 943.361 1961.625 259.939 1581.799 227.569 1215.202
[3,] 1516.288 153.5601 2036.558 1457.516 365.090 1392.692 129.062 1810.372
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.143 1.319 5.045 4.23 4.131 4.06 3.918 4.049
[2,] 363.623 218.273 923.781 1508.27 1012.407 171.22 1081.352 201.339
[3,] 467.599 259.218 999.098 1045.47 757.124 348.68 639.899 22.252
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.398 3.553 1.257 2.832 2.755 3.791 1.936 3.94 5.091
[2,] 62.530 405.242 7.324 407.680 956.430 607.957 258.389 247.34 335.492
[3,] 12.096 514.795 18.226 549.244 536.548 675.532 383.202 958.70 870.824
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.633 3.729 5.847 6.142 2.385 4.763 4.457 3.545
[2,] 367.535 320.914 2027.290 1117.216 63.533 2267.647 1473.342 1728.144
[3,] 669.128 132.665 647.536 372.236 2.188 1227.701 1411.107 1673.828
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.52 4.262 0.8617 3.615 1.509 3.184 3.34 3.594
[2,] 2031.48 269.565 6.3662 877.843 169.852 496.546 150.38 1459.503
[3,] 1580.78 103.529 18.5697 1842.436 149.708 1021.079 203.47 450.995
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.225 1.468 8.889 2.968 3.664 1.674 4.174 3.822
[2,] 1717.620 56.307 1120.846 128.743 1860.493 213.353 90.681 1771.251
[3,] 462.668 49.306 383.053 260.081 1502.110 190.865 3.374 183.759
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.236 4.603 8.235 7.031 3.216 1.433 3.439 3.074
[2,] 1363.800 2696.876 1360.632 1674.931 2971.971 57.787 2661.509 334.418
[3,] 509.719 325.797 1389.809 1793.479 2410.434 45.000 1745.253 185.758
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.503 2.435 2.685 1.382 3.261 3.572 7.197 9.224
[2,] 1583.006 182.326 310.365 15.468 991.913 279.838 246.623 1000.458
[3,] 2256.800 367.949 625.092 61.321 1087.124 338.920 391.431 2399.506
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.388 1.766 2.704 2.522 3.549 1.998 0.9125 13.61
[2,] 911.200 1168.713 185.511 282.733 389.835 17.927 182.6495 2955.86
[3,] 724.943 82.618 193.910 193.397 738.973 214.779 224.4800 3653.22
[,97] [,98]
[1,] 17.48 5.416
[2,] 3631.01 600.648
[3,] 878.97 1692.759
[1] "--- VAR model 2017-10-06 21:01:00 completed"
[1] "Completed training sample: 2017-10-06 21:01:00 - 2017-10-07 05:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 21:31:00 - 2017-10-07 05:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.15063 0.3630 -16.19 -12.46
0.12338 0.3216 -14.70 -12.46
0.09606 0.4197 -15.16 -13.27
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.32 0 0.44577 0.17898
-11.52 0 0.09176 0.07486
-11.93 0 0.06516 -0.06882
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5419 2.389 0.2774 -2.763
-0.4923 -1.199 -0.1135 -2.509
-0.1714 -0.189 -0.0799 -3.027
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.001643 -4.07550 -4.8415 -0.8951
-0.044394 -0.09882 0.7200 0.1833
0.020757 -1.40463 -0.6819 0.9485
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.0412 -3.089 0.3319 4.8408
-1.1927 -5.060 -3.2831 1.7673
-0.6549 1.165 -1.1623 -0.7218
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.50 -1.1328 -30.16 -13.80
-14.84 -0.8552 -29.88 -13.99
-13.19 -1.2147 -29.80 -12.12
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.3945 -12.62 -14.47 -1.286
-0.3542 -13.77 -14.64 -1.197
-0.5044 -13.26 -14.57 -1.469
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.73 -0.6646 -14.64 -3.655
-12.70 -0.9739 -12.91 -3.741
-13.88 -1.0365 -13.56 -3.879
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.074 -12.13 -13.98 -14.30
-2.584 -11.25 -13.55 -12.65
-2.672 -12.97 -11.44 -12.45
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4004 -1.2080 0 -0.06665
0.4059 -0.4274 0 -0.12427
0.4111 -1.2229 0 -0.00786
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0 0 -7.151 -7.496
0 0 -7.273 -8.737
0 0 -6.944 -7.895
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.5377 -0.5158 -7.137 0.1912
-0.5403 -0.5363 -7.228 1.2493
-0.8323 -0.4179 -7.055 -0.6764
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.8657 -1.4395 -3.367 0.2061
0.4280 -0.8816 -4.508 0.6692
0.0960 -1.0894 -3.500 0.1283
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0 -0.8761 -1.059 -1.7909
0 -3.4354 -2.473 -0.8879
0 -3.5913 -3.181 -2.7586
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.345 0.24306 0.152401 -2.5718
-1.005 -0.01886 0.096248 -2.2758
-2.237 0.08398 0.006467 -0.5591
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.04460 -1.3826 0.107874 -2.558
-0.06836 -1.6476 -0.203216 -1.189
-0.10470 -0.5124 -0.001232 -1.394
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.2451 0.021084 -0.67752 0.6450
-0.7819 0.001689 1.20902 0.4415
-1.1073 0.001467 0.07032 0.1428
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.308 0.2797 -0.1061 2.03317
-1.696 -0.2445 0.1095 0.08799
-1.051 -0.2370 0.1009 0.46496
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.2234 3.4177 -1.541 3.297
0.6400 0.1846 -1.562 2.948
0.4426 0.5102 -1.052 2.266
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.0499 0 3.866 0.1769
1.8693 0 2.844 -0.2460
-0.9084 0 2.104 0.1044
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.051 -0.4736 -0.3064 0.071105
3.796 0.3331 -0.5009 -0.030761
1.863 0.8534 -0.9632 0.006979
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.0326 -0.04772 0.11256 2.710
-1.2872 0.08594 0.51939 -1.850
-0.4148 0.08746 0.02505 1.589
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.6993 0 -1.139 124.6
-0.9288 0 -1.162 123.3
-0.4016 0 -1.270 124.9
rnd_95776.volume rnd_95787.volume
-11.184 -14.96
-9.078 -15.14
-8.574 -13.65
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.127 2.363 3.995 3.628 3.918 1.295 1.628 3.182 4.396 3.870 2.768
[2,] 3.135 2.433 4.080 3.920 4.286 1.314 1.662 3.183 4.398 4.506 3.092
[3,] 3.135 2.444 4.177 4.012 4.440 1.324 1.679 3.183 4.435 4.538 3.231
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.400 2.725 2.925 4.019 3.306 4.110 3.598 5.152 6.148 5.334 2.523
[2,] 3.250 2.725 3.247 4.256 3.308 4.651 4.403 6.224 6.949 5.372 2.563
[3,] 3.283 2.725 3.472 4.553 3.398 5.040 4.758 6.365 7.423 5.565 2.641
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.899 4.813 0.5572 3.888 3.715 0.8338 3.792 0.7038 3.158 1.334 0.8238
[2,] 8.140 5.070 0.5737 4.003 4.403 0.8612 4.370 0.7245 3.478 1.416 0.8626
[3,] 8.310 5.153 0.6005 4.551 4.669 0.9395 4.541 0.7587 3.956 1.535 0.9044
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.653 3.210 3.071 3.088 2.912 2.819 1.019 2.599 0.9166 1.831 1.986
[2,] 3.759 3.698 3.286 3.105 3.188 2.837 1.024 2.653 0.9167 1.888 2.222
[3,] 3.890 3.909 3.405 3.132 3.292 2.848 1.026 2.759 0.9169 1.981 2.299
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.744 1.425 2.732 3.645 5.780 2.660 4.223 4.519 1.732 3.376 3.097
[2,] 2.844 1.473 2.764 3.645 5.783 2.702 4.935 4.716 1.732 4.413 3.714
[3,] 2.958 1.543 2.984 3.909 5.831 2.708 5.023 4.752 1.732 4.644 4.145
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.550 2.204 3.108 0.6271 2.643 1.071 2.379 2.480 2.634 3.392 1.082
[2,] 3.347 3.379 3.117 0.6272 2.899 1.082 2.440 2.485 3.279 3.748 1.086
[3,] 3.985 3.917 3.117 0.6281 3.615 1.096 2.730 2.499 3.336 3.793 1.088
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.940 2.184 2.621 1.211 3.035 2.976 3.805 3.479 6.001 5.380 2.466
[2,] 7.163 2.202 3.567 1.240 3.038 3.708 4.107 4.789 6.180 5.676 4.490
[3,] 7.188 2.226 3.862 1.268 3.038 3.714 4.165 4.810 6.445 6.165 5.352
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.071 2.661 2.235 3.128 1.850 1.956 0.9305 2.345 2.620 5.099 6.814
[2,] 1.075 4.420 2.256 3.608 1.869 2.011 0.9323 2.665 2.642 5.102 6.931
[3,] 1.076 4.793 2.274 4.669 1.948 2.139 0.9349 3.053 2.690 5.113 7.510
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.001 1.331 1.999 1.881 2.671 1.461 0.6886 10.55 12.92 3.904
[2,] 1.554 2.009 2.021 1.913 2.715 1.465 0.7279 11.25 13.55 4.169
[3,] 1.792 2.011 2.031 1.922 2.878 1.482 0.7797 12.22 13.61 4.305
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.971 3.0 5.073 4.606 4.975 1.645 2.068 4.041
[2,] 165.526 435.4 618.896 1111.581 1299.169 167.187 250.567 50.507
[3,] 35.124 167.5 669.168 638.293 866.911 116.214 177.936 32.466
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.583 4.914 3.515 3.047 3.460 3.714 5.103 4.198
[2,] 102.220 1726.130 1030.236 1639.124 3.879 1053.710 1047.642 85.043
[3,] 422.922 402.055 700.945 346.768 4.095 919.115 1209.356 581.533
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.219 4.568 6.542 7.807 6.773 3.203 8.76 6.111
[2,] 1627.108 1897.335 2611.234 2421.681 480.480 340.227 3229.69 1193.290
[3,] 1452.252 1347.948 994.127 1952.314 1085.097 474.960 1252.02 685.928
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7075 4.937 4.717 1.059 4.815 0.8937 4.01 1.693
[2,] 102.1817 713.902 1767.190 160.972 1624.051 128.6501 1088.94 356.191
[3,] 132.5223 1617.875 1160.862 280.805 922.679 168.4562 1409.78 442.939
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.046 4.638 4.077 3.899 3.921 3.697 3.58 1.294 3.3
[2,] 191.323 662.538 1371.730 873.740 243.482 971.197 234.22 75.441 400.0
[3,] 203.243 750.414 946.792 669.253 304.825 611.980 191.43 43.329 565.4
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.164 2.325 2.521 3.484 1.81 3.47 4.628 7.34 3.377
[2,] 8.127 346.264 746.377 558.609 277.38 313.20 6.141 142.29 357.813
[3,] 12.901 446.751 438.629 607.713 344.47 839.28 1057.654 554.19 130.116
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.362 5.739 2.199 4.287 3.933 3.238 2.799 3.946
[2,] 1908.646 1007.994 7.459 2124.259 1532.029 1621.164 1914.981 178.390
[3,] 702.851 436.482 10.430 1081.379 1375.632 1616.409 1480.149 24.651
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.7963 3.356 1.36 3.021 3.15 3.344 4.308 1.374
[2,] 8.2260 890.679 114.75 402.461 111.50 1460.223 1190.860 64.832
[3,] 25.2254 1613.875 132.26 915.329 195.53 458.419 437.950 56.284
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 8.813 2.774 3.328 1.537 3.854 3.78 4.832 4.418
[2,] 1324.990 206.106 1808.270 200.593 105.887 1652.74 1154.867 2459.942
[3,] 446.611 246.424 1106.864 197.999 4.877 168.53 519.168 338.505
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 7.62 6.832 3.131 1.36 3.379 2.838 3.972 2.349
[2,] 1105.06 1351.559 2804.844 70.47 2638.218 229.990 1343.687 200.658
[3,] 1366.42 1798.891 2178.299 29.87 1386.718 213.424 2215.804 409.124
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.484 1.182 2.977 3.327 6.475 8.652 1.271 1.69
[2,] 349.025 43.510 946.966 253.068 131.298 951.502 888.504 1125.45
[3,] 543.020 52.192 1114.323 379.230 247.585 2161.299 667.326 68.03
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.538 2.389 3.391 1.856 0.8744 13.4 16.41 4.958
[2,] 224.413 260.785 364.165 71.548 176.5379 2919.1 3060.96 1092.249
[3,] 149.070 137.752 715.752 167.172 208.9774 3567.5 967.55 804.170
[1] "--- VAR model 2017-10-06 21:31:00 completed"
[1] "Completed training sample: 2017-10-06 21:31:00 - 2017-10-07 05:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 22:01:00 - 2017-10-07 06:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.06808 -0.02225 -16.78 -16.09
0.05316 -0.15341 -17.33 -17.25
0.08750 -0.03296 -16.80 -15.35
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.17 0 0.46829 -0.2189
-16.51 0 -0.11590 -0.3458
-16.11 0 0.04071 -0.1820
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7773 -1.8669 -1.1454 -7.005
-1.0529 -0.7798 0.2776 -4.524
-0.8386 -0.9502 -0.2600 -4.660
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9871 -4.513 -5.471 2.10952
-0.1529 -2.929 -3.227 1.84109
-0.1690 -1.947 -2.112 -0.05416
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.482 2.467 1.5874 0.3228
-5.233 -4.630 0.4809 7.2158
-2.051 -1.725 -2.8014 2.3016
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.01 -0.6684 -32.67 -16.76
-15.50 -1.0861 -32.94 -15.83
-15.63 -0.8755 -32.71 -16.23
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6189 -16.41 -17.23 -2.127
-0.6617 -15.23 -17.86 -2.275
-0.5197 -15.96 -16.94 -2.260
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.89 -1.181 -18.86 -4.893
-16.46 -1.198 -16.85 -4.543
-14.95 -1.283 -16.97 -4.519
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.147 -16.68 -16.49 -16.57
-3.226 -16.10 -18.45 -17.29
-3.016 -16.24 -16.68 -16.49
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.40985 -1.3235 0.11162 -0.209083
0.13729 -0.7028 0.01103 -0.111247
0.04738 -1.8347 0.01827 -0.004982
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4555 -0.0099713 -8.755 -10.091
0.2875 -0.0212933 -8.853 -9.521
0.1628 -0.0006983 -8.758 -10.294
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.8131 -0.3614 -8.155 0.463
-1.3826 -0.1396 -8.264 1.370
-0.7525 -0.1709 -8.000 1.700
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.3859 -1.3960 -4.844 0.95235
0.4417 -0.8248 -3.937 -0.02226
0.2133 -1.1842 -4.275 1.78405
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.011984 -4.790 -4.293 -5.807
0.031577 -3.310 -2.664 -3.542
-0.002077 -3.282 -2.310 -2.390
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.318 0 0 -4.368
-4.576 0 0 -6.418
-2.889 0 0 -3.597
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1129 -1.727 1.3044 -0.4045
0.0109 -3.057 0.7550 -1.1821
-0.1632 -2.603 0.2669 -2.6836
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.6091 0.022006 1.6132 0.64184
-1.0372 0.001018 0.1235 0.08176
-2.7968 0.001108 -0.1697 0.06105
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.5348 -0.10174 0.08490 -0.78688
-0.3226 -0.13315 0.04573 0.25255
-1.0487 0.03141 -0.06268 0.02909
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.51016 0.7344 3.388 1.952
0.05249 0.6299 2.067 1.252
-0.07040 -0.1433 2.660 1.376
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.5151 0.21591 3.622 0.01909
1.8552 0.02618 1.381 0.02277
1.1943 0.01504 1.150 0.12962
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.3882 1.0622 -1.2426 0
0.1609 0.7937 -0.8162 0
1.3233 0.2316 -0.6376 0
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.2494 -0.09523 -0.1876 -0.9001
-0.3868 -0.01187 -0.1212 0.9827
-1.2614 -0.01520 -0.2539 -0.8133
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0 0 0 0
0 0 0 0
0 0 0 0
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.825 0.01286 -1.419 120.7
-2.137 0.37336 -1.528 122.7
-1.585 0.06160 -1.622 119.7
rnd_95776.volume rnd_95787.volume
-10.55 -15.76
-10.65 -15.90
-10.72 -16.23
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.865 2.106 3.543 3.306 3.794 1.252 1.529 3.131 4.336 3.735 2.669
[2,] 2.867 2.153 3.695 3.654 4.113 1.270 1.553 3.131 4.342 4.328 3.003
[3,] 2.869 2.158 3.874 3.809 4.247 1.281 1.573 3.136 4.380 4.359 3.124
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.309 2.523 2.830 3.488 3.033 4.003 3.182 4.897 5.524 5.172 2.408
[2,] 3.170 2.597 3.144 3.879 3.071 4.311 4.153 5.658 6.238 5.538 2.431
[3,] 3.200 2.598 3.364 4.205 3.142 4.732 4.515 5.762 6.790 5.778 2.515
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.670 4.821 0.4157 3.654 3.489 0.7483 3.498 0.5235 2.966 1.286 0.6449
[2,] 7.834 5.089 0.4327 3.755 4.189 0.7740 4.067 0.5460 3.243 1.378 0.6695
[3,] 8.087 5.413 0.4540 4.117 4.399 0.8368 4.217 0.5624 3.901 1.469 0.6928
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.586 2.891 2.904 2.793 2.725 2.564 0.9191 2.302 0.8443 1.369 1.725
[2,] 3.697 3.269 3.126 2.797 2.981 2.577 0.9229 2.337 0.8446 1.464 1.821
[3,] 3.972 3.411 3.222 2.811 3.033 2.611 0.9230 2.423 0.8447 1.535 1.961
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.542 1.247 2.386 3.345 5.419 2.487 3.589 3.754 1.630 3.059 2.695
[2,] 2.637 1.298 2.412 3.351 5.419 2.552 4.415 3.813 1.631 3.939 3.419
[3,] 2.739 1.411 2.641 3.639 5.447 2.570 4.526 3.816 1.631 4.138 3.826
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.393 1.771 2.855 0.5888 2.037 1.006 2.170 2.344 2.439 2.914 1.032
[2,] 2.962 2.853 2.873 0.5888 2.679 1.011 2.223 2.351 3.045 3.424 1.033
[3,] 3.564 3.400 2.873 0.5901 3.271 1.024 2.462 2.383 3.100 3.468 1.034
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.842 2.022 2.465 1.117 2.862 2.615 3.639 3.440 5.669 4.258 2.400
[2,] 7.070 2.039 3.275 1.138 2.870 3.434 3.829 4.425 5.822 5.283 4.213
[3,] 7.088 2.048 3.674 1.153 2.871 3.445 3.863 4.433 6.020 5.536 4.987
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.001 2.572 2.096 2.690 1.793 1.760 0.8323 2.129 2.340 4.811 6.317
[2,] 1.008 3.818 2.103 3.213 1.817 1.857 0.8325 2.321 2.358 4.819 6.532
[3,] 1.011 4.876 2.103 4.574 1.858 1.950 0.8338 2.608 2.387 4.821 6.835
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9415 1.227 1.887 1.770 2.411 1.207 0.6133 10.76 11.60 3.717
[2,] 1.4913 1.904 1.906 1.796 2.437 1.208 0.6331 11.48 12.28 3.906
[3,] 1.7131 1.906 1.914 1.808 2.558 1.217 0.6626 12.43 12.34 4.068
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.639 2.675 4.498 4.198 4.818 1.589 1.941 3.976
[2,] 78.607 378.762 893.348 1321.791 1347.879 182.117 232.892 12.912
[3,] 84.697 119.998 988.816 915.979 900.216 141.438 212.302 156.240
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.506 4.743 3.389 2.933 3.204 3.593 4.429 3.851
[2,] 186.067 1857.415 1168.858 1845.036 523.268 1163.350 1441.888 411.651
[3,] 491.497 443.819 732.909 367.840 62.560 1017.847 1378.152 561.886
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.083 4.041 6.218 7.015 6.567 3.058 8.47 6.122
[2,] 1359.484 2266.564 2408.137 2461.638 1682.247 281.531 3491.11 1384.129
[3,] 1657.223 1506.326 924.320 2278.949 1401.410 548.610 1704.75 1565.628
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5278 4.64 4.43 0.9502 4.442 0.6648 3.766 1.633
[2,] 102.1845 732.51 1969.67 167.9911 1762.972 131.6663 1114.672 419.548
[3,] 116.6071 1435.13 1140.02 270.3455 946.899 114.6014 1841.217 434.307
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.819 4.554 3.671 3.688 3.547 3.46 3.256 1.167
[2,] 152.649 762.313 1296.423 981.530 120.058 1026.82 215.296 71.399
[3,] 151.409 1235.009 828.014 663.085 240.231 474.89 356.707 12.887
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.924 1.072 1.739 2.19 3.228 1.583 3.029 4.248
[2,] 340.850 19.832 439.773 497.28 596.958 305.494 301.279 167.938
[3,] 543.428 8.513 393.058 617.84 628.238 470.937 914.593 1206.205
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.881 3.159 4.558 4.767 2.07 3.884 3.423 3.039
[2,] 73.862 486.908 2183.890 569.753 29.19 2107.949 1786.720 1482.492
[3,] 468.034 256.263 845.940 113.153 41.42 1077.938 1458.754 1683.987
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.249 3.626 0.7477 2.586 1.277 2.756 2.977 3.097
[2,] 1900.247 269.321 5.3937 1478.311 87.746 409.949 155.516 1549.047
[3,] 1570.224 44.140 32.6053 1594.027 137.369 898.538 329.604 493.725
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.7 1.31 8.688 2.568 3.13 1.419 3.634 3.32
[2,] 1527.5 40.55 1515.909 218.876 1831.30 182.360 188.269 1891.60
[3,] 469.8 44.17 418.947 163.448 1414.81 158.740 32.854 235.42
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.621 4.368 7.199 5.406 3.048 1.271 3.265 2.661
[2,] 1011.984 2365.473 1124.680 2657.669 2941.619 103.107 2398.124 147.355
[3,] 433.769 218.797 1301.197 1404.382 2266.437 59.233 2576.773 49.958
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.416 2.277 2.235 1.057 2.704 2.971 6.109 8.022
[2,] 1492.383 249.706 504.035 12.736 785.128 247.873 239.857 1413.371
[3,] 2766.437 331.165 506.000 39.427 1010.727 317.335 109.218 1708.215
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.196 1.558 2.396 2.248 3.061 1.533 0.7788 13.66
[2,] 982.523 1236.687 229.386 258.882 302.086 44.014 133.4908 3392.16
[3,] 716.263 78.652 150.257 175.273 659.805 121.050 166.1739 4057.06
[,97] [,98]
[1,] 14.73 4.719
[2,] 3411.70 1021.192
[3,] 1046.10 964.060
[1] "--- VAR model 2017-10-06 22:01:00 completed"
[1] "Completed training sample: 2017-10-06 22:01:00 - 2017-10-07 06:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 22:31:00 - 2017-10-07 06:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8672 0.30781 -27.28 -32.04
0.2322 0.18359 -31.09 -32.99
-0.6039 0.05367 -29.45 -30.16
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-29.63 0 -0.15830 -0.03115
-27.40 0 -0.06305 -0.61396
-30.93 0 0.14798 -0.32165
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5690 -2.1252 -0.6131 -10.739
-0.4154 -0.1190 -0.5514 -7.795
-0.3740 -0.7333 -0.5726 -7.044
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.10955 -5.579 -3.513 2.1548
0.01244 -3.133 -4.163 0.7703
-0.03015 -2.971 -2.962 -1.0299
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.753 -1.643 0.9933 9.175
-6.783 -3.227 0.1869 11.253
-3.120 -3.068 -3.2913 7.391
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-29.48 -2.275 -58.34 -31.49
-30.15 -2.315 -59.39 -28.55
-29.94 -2.177 -62.16 -29.41
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.184 -34.13 -34.23 -3.726
-1.328 -30.00 -31.12 -3.910
-1.298 -30.13 -31.50 -3.969
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-33.38 -1.800 -28.43 -8.896
-33.82 -1.871 -32.92 -9.273
-29.17 -2.011 -30.25 -9.530
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.649 -30.01 -29.76 -27.83
-6.899 -30.67 -28.74 -30.70
-6.909 -30.38 -31.52 -31.13
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.067995 -2.823 0.9905 0.08284
-0.022268 -2.716 0.8350 0.04801
-0.007984 -2.269 1.3594 -0.03742
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3370 0 -15.94 -18.01
0.5861 0 -16.17 -17.27
0.4807 0 -16.04 -18.00
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.015 -2.204 -15.01 3.914
-2.297 -1.762 -14.21 1.412
-1.639 -1.468 -14.60 3.162
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.3184 -1.658 -8.236 2.457
-0.2056 -2.038 -7.841 1.983
0.0939 -1.842 -8.906 2.433
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.0229945 -7.696 -5.976 -8.999
0.0254227 -5.933 -5.836 -6.427
0.0003535 -7.296 -4.944 -4.587
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.027 0.08639 0.04483 -4.537
-5.881 0.10486 -0.04378 -10.358
-5.839 -0.02740 -0.01791 -4.902
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.03727 -4.857 1.2313 -2.557
-0.06086 -3.402 0.9365 -3.719
-0.24985 -3.771 0.5770 -3.804
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.506 0.02394 -2.200 -0.2170
-3.566 0.06556 -2.793 -0.1290
-3.125 -0.02827 -2.758 0.0724
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.07196 -0.65893 -0.009036 -1.8642
-2.80064 -0.01414 -0.047492 -0.1150
-3.30082 -0.23808 -0.201260 -0.2778
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.76884 -4.07888 8.438 -0.8091
-0.29870 0.10864 8.631 -0.9431
-0.07039 -0.04544 5.523 -0.5435
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.9056 0.09269 -1.5619 0.06656
0.6374 0.07438 -1.0723 0.33435
4.4481 0.01677 0.1471 0.03283
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.6253 0.1147 -1.642 0.1982
-1.2740 -0.1164 -1.548 0.1637
0.9972 -0.1163 -1.364 0.1040
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3088 0.3712 0.3260 1.3618
-2.6764 0.3378 -0.2834 -1.2949
-1.3886 0.0911 -0.4184 0.1816
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.43237 0.2435 0.1492 -0.4401
0.16845 -0.2691 0.1757 -0.3300
-0.09411 -0.1869 0.1710 -0.2801
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.909 0.07328 -1.683 110.2
-2.864 -0.06583 -1.734 108.9
-2.434 0.01600 -1.478 113.3
rnd_95776.volume rnd_95787.volume
-16.75 -31.86
-21.81 -27.63
-18.53 -30.25
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.743 1.980 2.994 2.880 3.425 1.163 1.416 2.947 4.108 3.544 2.519
[2,] 2.746 2.017 3.091 3.103 3.573 1.173 1.436 2.948 4.109 4.099 2.836
[3,] 2.752 2.026 3.206 3.153 3.651 1.182 1.457 2.955 4.122 4.114 2.951
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.292 2.562 2.787 2.925 2.821 3.950 2.987 4.652 5.283 4.187 2.179
[2,] 3.174 2.565 3.064 3.313 2.911 4.227 3.913 5.468 5.979 4.461 2.211
[3,] 3.187 2.566 3.242 3.608 2.972 4.580 4.259 5.574 6.477 4.540 2.321
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.711 3.634 0.4077 3.128 2.733 0.7035 2.976 0.5336 2.598 1.183 0.6459
[2,] 6.644 3.805 0.4234 3.262 3.055 0.7381 3.474 0.5475 2.755 1.229 0.6991
[3,] 6.828 4.065 0.4397 3.608 3.219 0.7770 3.579 0.5648 3.064 1.287 0.7313
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.918 2.572 2.614 2.564 2.352 2.313 0.8147 1.779 0.7653 1.253 1.703
[2,] 3.048 2.872 2.976 2.565 2.599 2.339 0.8175 1.798 0.7655 1.321 1.792
[3,] 3.310 2.985 3.034 2.580 2.652 2.357 0.8185 1.840 0.7662 1.394 1.915
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.295 1.017 2.115 3.195 4.817 2.362 3.218 3.448 1.490 2.886 2.574
[2,] 2.394 1.049 2.146 3.199 4.825 2.386 4.106 3.504 1.491 3.665 3.139
[3,] 2.476 1.080 2.381 3.459 4.835 2.398 4.209 3.508 1.492 3.870 3.537
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.282 1.477 2.628 0.5478 1.922 0.8943 2.061 2.246 2.404 2.785 0.9979
[2,] 2.810 2.546 2.641 0.5480 2.549 0.9088 2.079 2.250 2.879 3.266 0.9995
[3,] 3.295 2.999 2.647 0.5481 3.133 0.9150 2.360 2.290 2.928 3.320 1.0018
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.952 1.891 2.427 1.065 2.714 2.585 3.437 3.313 5.187 4.939 2.372
[2,] 7.054 1.921 3.136 1.086 2.715 3.370 3.648 4.173 5.360 5.302 3.878
[3,] 7.062 1.923 3.465 1.100 2.716 3.378 3.670 4.179 5.552 5.623 4.705
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9399 2.384 1.991 2.706 1.617 1.655 0.7572 2.059 2.097 4.620 5.869
[2,] 0.9456 4.295 1.999 3.175 1.658 1.735 0.7579 2.194 2.116 4.622 6.082
[3,] 0.9507 4.658 2.001 4.203 1.736 1.803 0.7600 2.341 2.137 4.622 6.344
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8439 1.019 1.603 1.596 2.310 1.041 0.5934 10.78 10.65 2.988
[2,] 1.2560 1.676 1.636 1.620 2.321 1.041 0.6253 11.39 11.22 3.083
[3,] 1.4948 1.678 1.664 1.647 2.451 1.046 0.6610 12.26 11.25 3.477
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.484 2.515 3.802 3.657 4.349 1.477 1.798 3.743
[2,] 86.701 262.454 526.546 794.782 699.290 108.334 163.953 43.570
[3,] 123.550 131.385 584.984 382.649 515.199 97.374 168.920 139.271
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.216 4.501 3.199 2.911 3.253 3.539 3.715 3.582
[2,] 63.541 1414.926 894.791 1508.493 92.728 875.318 1068.704 495.402
[3,] 229.384 243.993 560.576 202.046 52.659 726.636 982.133 410.688
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.015 3.793 5.908 6.709 5.317 2.767 7.253 4.614
[2,] 1035.183 1737.181 1974.191 1924.130 1057.943 255.260 2333.018 774.601
[3,] 1212.038 1155.807 744.117 1710.716 581.948 487.018 1081.499 984.008
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5177 3.972 3.47 0.8933 3.779 0.6776 3.298 1.502
[2,] 78.4273 636.638 939.09 153.5249 1232.501 84.3822 630.876 229.622
[3,] 81.6301 1059.936 696.06 166.8147 590.265 95.0895 921.914 261.917
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.8202 3.705 3.266 3.319 3.256 2.986 2.937 1.035
[2,] 183.7774 605.591 878.407 978.294 45.071 759.928 241.160 46.395
[3,] 147.5534 887.170 557.984 406.895 193.372 363.759 196.143 26.895
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.26 0.9718 1.591 2.162 2.915 1.291 2.686 4.057
[2,] 177.62 13.2790 289.467 384.693 466.476 178.845 251.097 109.728
[3,] 267.15 21.9233 304.409 462.610 434.768 175.836 708.262 904.335
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.117 2.999 4.087 4.379 1.893 3.665 3.269 2.898
[2,] 182.711 234.811 1752.189 429.107 35.583 1552.080 1234.727 1126.987
[3,] 214.904 164.644 635.752 109.560 24.835 855.280 1119.543 1182.192
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.876 3.337 0.6957 2.441 1.136 2.617 2.852 3.052
[2,] 1425.537 186.067 10.1512 1149.994 111.254 185.083 93.139 1089.662
[3,] 1088.981 116.926 3.1345 1252.265 72.970 767.611 292.328 364.345
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.536 1.267 8.828 2.401 3.081 1.352 3.446 3.283
[2,] 1173.193 39.467 822.856 230.883 1365.103 146.461 61.882 1486.191
[3,] 410.455 46.303 217.352 63.509 1013.001 120.449 31.457 152.858
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.365 4.207 6.586 6.272 3.012 1.194 3.027 2.528
[2,] 840.627 1743.826 930.699 1324.391 2108.648 71.017 2456.033 127.061
[3,] 276.339 151.215 992.505 1287.993 1830.604 67.689 1238.396 48.639
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.436 2.053 2.102 0.9616 2.614 2.663 5.867 7.453
[2,] 1141.801 252.736 358.192 22.4076 521.415 192.811 91.660 1094.349
[3,] 1892.381 352.074 337.452 38.7655 562.029 204.151 28.816 1240.161
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.072 1.294 2.035 2.027 2.934 1.322 0.7535 13.68
[2,] 639.365 914.308 226.694 189.317 156.932 9.952 135.5225 2527.50
[3,] 556.981 63.029 206.383 204.669 540.884 70.245 147.2235 3117.17
[,97] [,98]
[1,] 13.52 3.794
[2,] 2439.35 523.640
[3,] 564.34 1103.712
[1] "--- VAR model 2017-10-06 22:31:00 completed"
[1] "Completed training sample: 2017-10-06 22:31:00 - 2017-10-07 06:30:00"
[1] "SpVAR; CCF training sample: 2017-10-06 23:01:00 - 2017-10-07 07:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.21036 -0.23369 -27.01 -30.55
0.01284 -0.19839 -28.70 -32.08
0.05681 -0.05593 -29.03 -27.73
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-25.65 0.4302 0 -0.27776
-28.08 0.3446 0 -0.25342
-29.17 0.2534 0 0.08477
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5304 0.5711 0.1353 -8.231
-0.5897 -0.6126 0.7047 -6.873
-0.2795 -0.2820 0.1552 -6.875
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.01147 -4.856 -4.651 -1.4391
0.01532 -2.365 -2.755 1.8210
0.06283 -3.513 -2.943 -0.5765
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.185 1.43562 -0.6059 1.157
-2.619 -4.67586 -1.6883 5.973
-2.904 -0.04072 -1.3888 -1.471
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-27.77 -3.186 -58.90 -28.19
-26.89 -2.953 -58.02 -28.04
-27.25 -3.090 -60.22 -28.16
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.996 -30.96 -31.71 -4.972
-1.875 -28.65 -32.76 -4.244
-1.792 -29.30 -31.40 -4.197
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-32.79 -1.047 -27.56 -9.061
-31.12 -1.370 -29.53 -8.787
-29.21 -1.425 -29.58 -8.726
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.539 -28.39 -28.81 -30.38
-4.823 -29.18 -27.54 -28.43
-5.180 -29.60 -28.37 -29.16
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.051977 -3.091 0.03271 0.005945
-0.055488 -2.100 -0.21859 -0.092706
-0.002689 -2.123 -0.28565 0.041547
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6464 -0.05199 -16.04 -18.46
0.5737 0.04631 -15.81 -19.62
0.4859 0.06236 -15.64 -19.64
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.462 -1.698 -15.83 4.279
-3.758 -1.263 -15.72 1.043
-3.547 -1.377 -15.76 2.335
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.2166 -0.9117 -9.843 1.5200
0.7470 -0.8450 -7.978 0.7532
-0.2633 -0.4305 -8.753 0.7566
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.0337579 -7.716 -3.802 -2.199
-0.0142296 -9.480 -6.746 -6.793
-0.0008868 -7.369 -6.009 -7.231
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.869 0.4063 -0.0195715 -5.776
-2.756 0.1722 0.0204771 -4.292
-6.906 0.0902 -0.0003972 -5.025
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7393 -3.771 1.9148 -3.083
-0.6973 -4.563 1.0013 -2.952
-0.6131 -1.428 0.4957 -3.255
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.222 0.20306 4.0658 0.5600
-2.555 0.13587 0.9727 -0.1281
-2.735 -0.02347 -0.9176 0.7052
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.273 -0.4022 -0.19343 -0.235262
-2.294 -0.2708 -0.05250 -0.252298
-2.970 -0.1705 -0.02457 0.008354
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1628 -0.48983 5.111 3.2380
0.5597 0.09164 3.718 0.4914
0.0555 -0.39542 2.010 2.1234
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.845 0.3000 3.247 -0.01762
2.305 0.2004 1.956 0.02088
1.618 0.1346 0.731 -0.12476
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.943 -0.1064 -0.5859 0.1404
-1.955 0.2809 -1.6998 0.1931
2.106 0.4126 -1.4049 -0.1253
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.160 -0.5870 0.25202 0.2486
-3.007 -0.4491 0.02011 -0.1495
-1.423 -0.2789 -0.56244 0.3136
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5830 0.3275 0.1443 0.1301
0.2402 0.1291 0.1924 0.1623
0.1673 0.1785 0.1017 0.1069
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.115 -0.248645 -2.480 10.14
-2.713 -0.113529 -2.600 10.21
-1.498 -0.009936 -2.759 10.01
rnd_95776.volume rnd_95787.volume
-22.01 -29.54
-23.12 -28.73
-21.20 -28.71
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.713 1.844 2.594 2.615 3.160 1.047 1.407 3.026 4.117 3.534 2.409
[2,] 2.717 1.863 2.690 3.040 3.247 1.059 1.424 3.027 4.121 4.068 2.731
[3,] 2.729 1.880 2.872 3.162 3.347 1.072 1.443 3.041 4.130 4.080 2.846
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.256 2.511 2.718 2.819 2.500 3.752 3.095 4.114 5.041 3.993 2.403
[2,] 3.164 2.514 3.085 3.195 2.618 3.989 4.175 4.813 5.432 4.145 2.420
[3,] 3.194 2.514 3.254 3.473 2.692 4.316 4.414 4.909 6.061 4.292 2.499
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.281 3.263 0.3885 3.079 2.493 0.7112 2.521 0.6676 2.281 1.230 0.6347
[2,] 6.035 3.640 0.4099 3.253 2.730 0.7319 3.031 0.6920 2.409 1.264 0.6711
[3,] 6.175 3.825 0.4180 3.310 3.050 0.7683 3.203 0.7087 2.595 1.337 0.7276
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.762 2.652 2.290 2.543 2.319 2.237 0.7847 1.640 0.6933 1.062 1.300
[2,] 3.036 2.845 2.640 2.545 2.622 2.269 0.7854 1.654 0.6938 1.117 1.393
[3,] 3.156 2.918 2.735 2.549 2.658 2.287 0.7863 1.696 0.6939 1.169 1.463
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.085 0.9114 2.016 2.985 4.097 2.341 2.992 3.325 1.399 2.743 2.202
[2,] 2.156 0.9364 2.058 2.986 4.202 2.342 3.627 3.438 1.401 3.451 2.856
[3,] 2.261 0.9573 2.281 3.243 4.203 2.403 3.736 3.464 1.401 3.588 3.065
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.092 1.323 2.523 0.5245 1.849 0.9154 2.041 2.235 2.521 2.996 1.016
[2,] 2.718 2.286 2.553 0.5248 2.415 0.9374 2.076 2.242 2.708 3.176 1.020
[3,] 3.156 2.804 2.558 0.5249 2.957 0.9447 2.273 2.297 2.744 3.200 1.022
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.210 1.834 2.280 1.001 2.649 2.313 3.352 3.265 5.149 4.532 2.385
[2,] 7.253 1.857 3.199 1.023 2.650 3.202 3.585 4.065 5.354 5.093 3.769
[3,] 7.253 1.860 3.286 1.042 2.650 3.204 3.597 4.071 5.617 5.311 4.640
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8927 2.224 1.959 2.764 1.559 1.580 0.7814 1.970 1.823 4.311 5.201
[2,] 0.9017 3.992 1.964 3.136 1.584 1.650 0.7814 2.224 1.856 4.314 5.465
[3,] 0.9056 4.560 1.964 4.215 1.659 1.692 0.7823 2.291 1.873 4.315 5.750
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7093 0.7604 1.263 1.306 2.214 1.010 0.5818 12.15 9.666 2.687
[2,] 1.0603 1.2828 1.278 1.313 2.219 1.011 0.6036 13.18 10.314 3.025
[3,] 1.2069 1.2850 1.291 1.331 2.294 1.020 0.6393 14.36 10.368 3.125
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.445 2.341 3.294 3.321 4.013 1.329 1.786 3.843
[2,] 109.333 185.342 496.402 1080.393 520.820 109.488 154.301 31.393
[3,] 172.522 176.831 700.702 605.094 564.521 116.782 159.836 206.076
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.228 4.487 3.06 2.865 3.188 3.452 3.579 3.175
[2,] 115.875 1403.443 895.61 1544.638 88.814 1016.125 1047.929 541.932
[3,] 197.406 222.689 556.70 306.044 32.413 720.635 948.355 434.059
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.764 3.93 5.225 6.401 5.071 3.051 6.707 4.143
[2,] 943.413 1952.07 1739.961 1410.549 773.674 203.135 2034.119 1125.127
[3,] 1148.803 998.72 672.614 1872.950 775.754 434.189 909.631 817.737
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4933 3.91 3.166 0.9031 3.201 0.8477 2.896 1.562
[2,] 91.0972 731.10 775.374 120.3973 1172.104 127.0130 539.157 204.646
[3,] 57.0700 424.70 946.195 162.7540 721.114 106.3881 671.643 301.701
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.806 3.507 3.367 2.908 3.229 2.945 2.841 0.9964
[2,] 151.948 879.163 718.193 915.508 73.008 852.497 264.747 22.8975
[3,] 195.817 599.016 449.669 495.998 97.285 302.651 198.149 27.1029
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.082 0.8803 1.348 1.651 2.647 1.157 2.559 3.791
[2,] 153.094 18.9045 241.074 348.741 383.743 149.834 290.327 50.985
[3,] 259.589 6.9874 241.845 311.793 473.393 138.476 685.618 880.995
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.203 2.973 3.799 4.222 1.777 3.483 2.797 2.657
[2,] 651.648 50.994 1428.495 608.194 53.327 1458.196 1266.976 1208.171
[3,] 25.469 373.619 623.103 299.120 1.417 686.071 773.545 1117.795
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.68 3.204 0.666 2.347 1.162 2.591 2.838 3.201
[2,] 1298.96 268.016 13.931 1082.771 140.710 266.195 129.225 688.965
[3,] 1130.34 117.448 6.641 1188.602 81.690 645.065 346.131 309.905
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.804 1.29 9.156 2.329 2.896 1.271 3.364 2.937
[2,] 735.707 63.42 547.283 200.762 1562.552 145.351 47.837 1542.537
[3,] 270.557 47.32 37.681 75.321 523.606 140.564 18.958 83.667
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.257 4.146 6.539 5.755 3.029 1.134 2.825 2.487
[2,] 885.523 1686.983 1021.646 1618.890 2032.570 88.508 2309.039 98.312
[3,] 203.554 145.672 1183.828 1047.143 1885.041 58.480 1534.848 8.267
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.51 1.98 2.007 0.9922 2.501 2.314 5.474 6.605
[2,] 1031.64 193.76 332.162 2.4956 719.971 243.528 107.186 1167.484
[3,] 1962.05 343.95 259.024 26.6817 383.490 175.840 80.487 1247.027
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.9007 0.9656 1.604 1.658 2.812 1.283 0.7388 15.43
[2,] 549.0321 719.6694 134.922 92.427 102.142 25.882 112.0399 3551.71
[3,] 401.5427 52.3841 128.246 153.620 405.097 93.314 146.7234 3969.04
[,97] [,98]
[1,] 12.27 3.412
[2,] 2506.54 968.265
[3,] 737.53 547.593
[1] "--- VAR model 2017-10-06 23:01:00 completed"
[1] "Completed training sample: 2017-10-06 23:01:00 - 2017-10-07 07:00:00"
[1] "SpVAR; CCF training sample: 2017-10-06 23:31:00 - 2017-10-07 07:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.3253 -0.3344 -35.08 -40.67
0.8139 -0.2371 -38.38 -35.71
-0.4660 -0.1571 -35.67 -35.26
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-37.69 0.21835 0.6658 -1.490
-40.06 0.14438 0.8432 -2.778
-37.88 0.04535 0.4047 -2.014
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.7798 -8.479 -0.3323 -14.72
-1.4737 -1.494 -1.7014 -11.52
-0.7116 -2.909 -1.0690 -11.26
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2956 -7.050 -7.464 6.9337
-0.1855 -7.924 -8.316 3.2106
-0.2214 -5.186 -4.518 -0.2589
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.812 -4.4713 2.210 12.312
-8.068 -0.7715 -2.723 9.143
-3.984 -4.4528 -2.615 13.444
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-38.33 -1.3145 -68.58 -34.30
-35.82 -1.0727 -78.21 -38.12
-36.75 -0.7725 -79.69 -39.97
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.834 -37.83 -41.45 -7.585
-1.652 -34.74 -35.77 -7.441
-1.905 -39.04 -40.54 -7.303
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-40.42 -2.056 -41.14 -12.76
-37.63 -2.082 -40.44 -12.76
-37.39 -2.055 -35.33 -13.33
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.012 -38.02 -35.14 -36.79
-5.252 -40.71 -39.15 -38.74
-5.541 -38.93 -38.02 -39.45
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5213 -4.163 0.29813 0
-0.3965 -2.957 0.05336 0
0.0306 -1.854 0.03473 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4136 0.068297382 -21.74 -26.52
0.7243 -0.000003209 -23.50 -25.51
0.4527 0.002568800 -22.72 -26.66
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.297 -2.787 -23.36 4.525
-6.695 -2.319 -23.08 7.277
-6.090 -2.091 -23.41 5.711
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.12795 -1.8518 -10.25 0.8669
-0.09981 -0.8568 -13.37 0.7194
-0.49499 -0.3438 -13.37 0.2183
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.15280 -11.60 -12.892 -7.898
-0.15930 -10.73 -7.709 -10.289
-0.07853 -10.51 -9.115 -10.589
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.74 0.14559 0.015397 -9.246
-13.09 -0.05441 -0.026032 -7.674
-7.02 0.06784 -0.006997 -11.143
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0574 -7.390 1.30555 -3.437
-0.8861 -5.607 0.05602 -4.807
-0.6035 -6.130 0.78005 -3.432
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.569 0.130334 -1.536 0.4084
-4.859 -0.080838 -1.006 0.5239
-3.751 -0.003254 -1.247 0.4713
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.773 -0.13055 -0.8634 -7.5493
-3.793 0.02672 -0.3940 -0.2061
-4.651 0.01089 -0.3041 -0.1601
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.78062 -6.7457 13.50 1.673
-0.29542 -0.1997 11.95 2.691
-0.07545 -0.1883 10.18 2.412
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.474 -0.07472 3.4670 -0.04574
-1.351 -0.05524 0.6495 -0.14746
5.264 -0.01334 2.6355 0.14556
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.1760 2.6723 -2.557 -0.059767
-0.4528 0.2255 -1.548 -0.058408
0.3616 -0.2292 -2.167 -0.006162
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.313 -0.7000 0.1462 -2.346
-2.908 -0.5714 0.4405 1.316
-2.694 -0.2682 -0.3281 -1.256
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6582 -0.8020 -0.1649 -0.3514
-0.4018 -0.1589 -0.1587 -0.4015
-0.1530 -0.3852 -0.1736 -0.4542
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.592 -0.36603 -3.062 7.177
-2.812 -0.01832 -3.303 5.649
-4.166 -0.04536 -3.206 3.252
rnd_95776.volume rnd_95787.volume
-35.39 -35.30
-32.48 -37.89
-34.54 -39.00
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.770 1.746 2.430 2.367 3.154 0.8540 1.385 3.098 4.197 3.437 2.400
[2,] 2.802 1.772 2.618 2.740 3.350 0.8584 1.399 3.104 4.211 4.056 2.704
[3,] 2.815 1.786 2.711 2.819 3.446 0.8653 1.410 3.141 4.237 4.065 2.822
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.130 2.388 2.657 2.779 2.480 3.659 2.932 3.930 4.855 3.894 2.514
[2,] 3.140 2.389 3.109 3.224 2.549 3.859 3.942 4.707 5.260 4.097 2.556
[3,] 3.157 2.391 3.316 3.540 2.660 4.216 4.198 4.798 5.727 4.188 2.701
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.981 2.624 0.3815 2.859 2.458 0.7347 2.517 0.6708 2.303 1.223 0.6492
[2,] 5.816 2.676 0.3952 3.065 2.593 0.7584 2.911 0.6899 2.460 1.255 0.6896
[3,] 6.026 2.835 0.4011 3.205 2.948 0.8076 2.984 0.7079 2.580 1.330 0.7584
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.411 2.397 2.086 2.503 2.157 1.970 0.7558 1.547 0.6617 1.078 1.283
[2,] 2.609 2.543 2.339 2.510 2.426 2.001 0.7578 1.562 0.6617 1.140 1.389
[3,] 2.700 2.704 2.467 2.518 2.506 2.015 0.7619 1.598 0.6622 1.214 1.443
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.869 0.7861 1.392 3.003 3.892 2.200 2.774 3.012 1.299 2.599 2.112
[2,] 1.921 0.8032 1.834 3.035 3.995 2.213 3.296 3.099 1.302 3.217 2.589
[3,] 2.017 0.8223 1.912 3.205 3.996 2.277 3.416 3.117 1.306 3.299 2.745
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.053 1.418 2.254 0.4980 1.720 0.9131 1.925 2.209 2.366 2.895 1.037
[2,] 2.632 2.221 2.261 0.4981 2.225 0.9248 1.959 2.222 2.582 3.090 1.043
[3,] 2.984 2.633 2.261 0.4984 2.700 0.9303 2.150 2.275 2.612 3.121 1.044
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.953 1.805 2.084 1.055 2.714 2.311 3.241 3.290 5.035 4.287 2.399
[2,] 7.962 1.828 3.026 1.059 2.730 3.331 3.458 4.023 5.194 4.918 3.690
[3,] 7.972 1.832 3.132 1.060 2.732 3.333 3.471 4.032 5.516 5.152 4.540
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8560 2.356 1.935 2.746 1.469 1.551 0.7928 1.802 1.802 4.379 4.970
[2,] 0.8644 3.854 1.938 3.089 1.489 1.606 0.7936 2.276 1.833 4.394 5.166
[3,] 0.8682 4.455 1.939 4.180 1.567 1.633 0.7951 2.339 1.860 4.398 5.374
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6483 0.6216 1.185 1.182 2.069 1.021 0.5635 11.84 9.143 2.50
[2,] 0.8999 1.1533 1.201 1.206 2.096 1.022 0.5782 12.90 9.584 2.70
[3,] 1.0852 1.1605 1.216 1.220 2.131 1.030 0.6228 14.09 9.792 2.81
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.517 2.218 3.085 3.006 4.005 1.084 1.759 3.933
[2,] 331.840 234.873 768.619 1086.564 889.930 68.121 157.537 161.287
[3,] 212.982 179.932 553.934 522.817 635.214 85.707 134.232 378.611
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.329 4.365 3.047 2.705 3.033 3.374 3.529 3.15
[2,] 273.365 1696.334 981.672 1818.096 49.590 1273.025 1286.763 462.08
[3,] 370.016 217.640 637.013 257.428 71.915 908.715 1152.732 600.82
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.646 3.723 4.991 6.166 4.945 3.192 6.325 3.332
[2,] 967.535 2076.380 2041.328 1593.503 1002.381 363.206 2365.451 414.183
[3,] 1336.948 1137.977 733.240 1784.952 685.797 688.080 1243.986 736.439
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4844 3.63 3.121 0.933 3.196 0.8519 2.925 1.553
[2,] 81.2315 871.20 650.445 148.201 1152.847 126.8677 681.656 222.929
[3,] 54.1739 737.66 1105.550 218.715 516.938 125.0696 612.232 345.584
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.8244 3.061 3.044 2.649 3.179 2.739 2.502 0.9598
[2,] 183.2911 786.159 668.286 834.512 139.832 874.568 277.810 42.5739
[3,] 248.7088 547.566 723.031 617.894 159.033 493.843 180.813 62.5160
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.964 0.8403 1.368 1.629 2.374 0.9983 1.767 3.813
[2,] 172.759 0.6622 292.556 418.739 347.001 129.7696 941.277 347.888
[3,] 266.919 19.6214 328.951 307.613 485.319 138.9736 426.450 812.311
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.942 2.794 3.523 3.825 1.65 3.301 2.682 2.608
[2,] 708.931 186.738 1402.634 573.972 71.04 1493.003 1179.257 1297.550
[3,] 66.289 422.003 707.027 260.293 81.05 575.891 719.916 1107.313
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.8 2.862 0.6324 2.184 1.159 2.444 2.806 3.004
[2,] 1347.2 141.358 7.0627 1112.385 115.444 288.296 188.353 814.260
[3,] 1114.3 20.934 13.2230 1204.545 79.483 696.769 383.090 309.899
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.676 1.317 10.1 2.292 2.646 1.34 3.446 2.934 4.115
[2,] 852.502 87.522 310.4 226.917 1728.376 71.63 237.693 1890.675 949.953
[3,] 346.407 43.269 310.9 99.707 637.331 28.07 87.482 80.130 243.058
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.178 6.393 5.443 3.047 1.087 2.992 2.457 3.487
[2,] 1823.469 1004.862 1899.743 2209.391 94.762 2403.398 83.795 1114.549
[3,] 214.792 1463.703 1209.324 2083.360 63.712 1760.597 47.950 2219.314
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.865 1.969 1.007 2.288 2.289 5.561 6.312 0.8232
[2,] 193.004 328.308 27.709 1094.719 265.126 288.167 1110.738 491.7263
[3,] 383.015 232.404 38.571 426.307 248.082 146.428 1164.153 477.9625
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.7893 1.505 1.501 2.627 1.297 0.7156 15.03 11.61
[2,] 765.3492 153.985 187.162 262.550 35.130 101.8627 4037.01 2265.62
[3,] 101.8555 148.151 145.278 302.973 99.489 182.2859 4464.41 1580.25
[,98]
[1,] 3.174
[2,] 803.503
[3,] 615.114
[1] "--- VAR model 2017-10-06 23:31:00 completed"
[1] "Completed training sample: 2017-10-06 23:31:00 - 2017-10-07 07:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 00:01:00 - 2017-10-07 08:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.09633 0.19304 -34.58 -40.25
0.14318 0.14536 -30.89 -34.34
-0.05947 0.06219 -34.88 -39.44
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-44.15 0.29397 0.63061 -0.9109
-39.51 0.05114 0.11035 -1.4247
-38.09 0.06265 0.07445 -1.0258
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.303 -4.0476 -2.720 -15.96
-2.199 -0.7906 -1.493 -11.18
-1.757 -2.5946 -1.767 -11.66
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9852 -10.569 1.237 5.246
0.4413 -5.282 1.259 3.018
0.7503 -6.057 1.405 2.102
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.321 7.493 10.050 30.24
-9.335 -7.356 -1.521 23.87
-4.258 -1.761 -5.850 23.35
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-37.45 -3.202 -82.45 -34.76
-37.26 -3.249 -77.25 -40.13
-39.39 -3.404 -71.21 -37.50
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.656 -33.94 -34.72 -9.076
-2.690 -37.93 -39.18 -8.598
-2.755 -36.90 -37.89 -8.962
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-41.77 -2.297 -37.86 -13.37
-35.18 -2.022 -32.66 -14.02
-39.20 -2.249 -39.00 -13.61
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.170 -43.12 -42.19 -40.99
-7.019 -40.99 -39.09 -41.77
-7.245 -39.22 -36.11 -38.73
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.6085 -3.262 2.4931 -0.07986
0.2880 -2.865 0.8949 -0.01281
0.2298 -2.295 0.9349 -0.01416
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4172 -0.11180 -26.40 -26.00
0.3007 0.12219 -26.73 -26.64
0.3853 -0.08159 -25.91 -25.95
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-8.575 -3.913 -23.59 8.374
-7.934 -4.077 -24.08 7.058
-8.062 -3.833 -22.60 6.617
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.08069 -2.412 -13.25 1.0068
0.03245 -2.651 -15.41 1.2977
0.92311 -3.198 -13.52 0.8415
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2277 -14.49 -13.58 -11.68
0.2094 -11.10 -10.10 -11.92
0.1046 -12.83 -11.23 -10.61
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.010 0.5239 0 -10.14
-14.629 0.3098 0 -7.18
-9.254 0.1974 0 -13.73
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8762 -5.390 4.020 -4.403
-1.0804 -5.800 3.615 -4.869
-1.1292 -6.771 3.298 -3.618
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.679 0.24136 -1.1151 0.7825
-3.570 0.07640 0.3796 0.5409
-3.791 -0.06151 -1.1265 0.6346
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.083 0.13792 -0.17912 -1.34383
-3.672 -0.03297 -0.16372 0.05742
-3.338 -0.02526 0.07959 -0.20640
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.3838 -0.006293 15.31 7.006
1.5052 0.113550 15.51 8.791
0.6239 -0.331026 18.68 5.190
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.150 -0.08421 6.532 0.2063
5.959 -0.08726 6.972 0.2603
7.838 -0.04104 7.740 0.2539
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.936 0.8920 -2.761 -0.04452
4.394 0.3664 -2.019 0.19173
7.642 -0.9214 -2.197 0.01378
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.925 0.2542 -0.5182 -6.422
-2.943 0.1915 0.4240 6.909
-2.211 0.0983 -0.9667 -5.940
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.87228 -0.719557 -0.04283 -0.140681
-0.65992 0.088125 -0.09036 0.006271
0.05507 -0.009868 0.12338 -0.140524
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.042 0.15745 -2.495 -4.411
-4.343 -0.01413 -2.995 -10.015
-5.336 -0.05959 -3.235 -5.806
rnd_95776.volume rnd_95787.volume
-39.70 -33.31
-40.08 -38.06
-34.46 -37.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.804 1.639 3.201 2.685 3.225 0.8903 1.398 3.264 4.104 3.311 2.503
[2,] 2.841 1.674 3.539 2.977 3.535 0.9037 1.420 3.281 4.140 4.084 2.699
[3,] 2.862 1.691 3.785 3.033 3.605 0.9234 1.429 3.316 4.170 4.093 2.816
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.331 2.407 2.837 6.268 2.433 3.972 3.109 3.927 4.648 4.232 2.308
[2,] 3.311 2.409 3.290 6.821 2.465 4.088 4.134 4.874 5.241 4.474 2.328
[3,] 3.362 2.417 3.608 6.913 2.598 4.437 4.446 4.939 5.612 4.689 2.358
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.272 2.670 0.3827 2.872 2.758 0.8012 2.533 0.6693 2.705 1.240 0.6359
[2,] 6.812 2.866 0.3985 2.988 2.972 0.8334 2.859 0.6872 2.822 1.282 0.6648
[3,] 7.175 3.070 0.4059 3.304 3.432 0.8814 2.997 0.7036 3.077 1.357 0.7376
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.761 2.630 2.257 2.707 2.351 1.847 0.8081 1.453 0.6616 1.306 1.582
[2,] 2.857 2.756 2.559 2.708 2.566 1.877 0.8184 1.465 0.6617 1.351 1.729
[3,] 3.062 2.976 2.619 2.748 2.592 1.887 0.8309 1.484 0.6624 1.482 1.805
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.464 0.6291 1.613 2.897 3.707 1.944 2.771 2.889 1.275 2.648 2.141
[2,] 1.513 0.6425 1.790 2.897 3.781 1.971 3.071 2.973 1.280 3.221 2.626
[3,] 1.567 0.6680 1.899 3.111 3.782 1.992 3.234 2.978 1.287 3.279 2.783
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.047 1.521 2.212 0.5036 1.709 0.9105 1.895 2.139 2.246 2.860 1.076
[2,] 2.564 2.233 2.227 0.5037 2.214 0.9140 1.957 2.143 2.471 3.098 1.080
[3,] 2.880 2.698 2.231 0.5054 2.644 0.9160 2.116 2.265 2.535 3.172 1.082
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.172 1.816 2.205 1.028 2.789 2.341 3.282 3.435 5.042 4.767 2.666
[2,] 8.177 1.837 2.922 1.034 2.799 3.382 3.446 4.175 5.130 5.053 3.927
[3,] 8.188 1.851 3.063 1.035 2.804 3.384 3.460 4.187 5.337 5.405 4.624
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8132 2.580 1.986 3.093 1.680 1.487 0.8226 1.962 1.788 4.329 5.114
[2,] 0.8222 4.248 1.991 3.543 1.686 1.516 0.8244 2.347 1.812 4.363 5.303
[3,] 0.8247 4.582 1.991 4.352 1.687 1.546 0.8246 2.386 1.828 4.363 5.516
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6059 0.5988 1.068 1.043 1.815 1.044 0.5505 11.58 8.366 2.653
[2,] 0.8030 1.0288 1.080 1.059 1.882 1.044 0.5671 12.69 8.910 2.741
[3,] 0.9717 1.0310 1.083 1.067 1.937 1.048 0.6038 13.86 9.045 3.062
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.56 2.082 4.065 3.41 4.095 1.131 1.776 4.145
[2,] 391.30 286.597 1286.824 1095.17 1235.359 132.074 208.651 283.058
[3,] 292.63 206.639 1144.108 497.69 600.916 161.783 140.762 413.142
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.211 4.204 3.179 2.96 3.057 3.603 7.959 3.089
[2,] 466.818 2039.066 860.520 2005.26 82.593 1419.900 2294.990 337.160
[3,] 424.058 230.714 685.772 497.36 168.239 1263.333 955.462 700.372
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.044 3.948 4.986 5.902 5.375 2.93 6.695 3.391
[2,] 826.098 2323.512 2462.145 2065.528 1237.665 264.11 3678.324 887.559
[3,] 1469.349 1393.372 677.712 1709.447 1195.364 320.09 1920.462 938.040
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.486 3.647 3.502 1.017 3.216 0.8499 3.435 1.574
[2,] 94.904 704.652 944.009 195.665 1130.496 132.8760 685.373 279.181
[3,] 65.489 1202.497 1463.311 244.667 766.502 128.6872 1044.348 378.438
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.8075 3.506 3.34 2.866 3.438 2.986 2.345 1.026
[2,] 165.3294 625.838 700.44 1029.064 55.650 875.467 285.999 110.546
[3,] 272.4055 940.117 957.32 473.026 396.626 312.840 168.823 122.129
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.844 0.8402 1.659 2.009 1.859 0.7988 2.048 3.678
[2,] 164.831 6.6276 292.421 595.677 324.613 111.3349 662.344 38.184
[3,] 199.946 25.7951 519.074 440.562 348.817 156.1160 541.032 966.483
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.707 2.469 3.518 3.669 1.62 3.362 2.719 2.599
[2,] 634.980 275.701 1128.605 597.786 94.07 1564.520 1295.749 1316.493
[3,] 75.625 247.147 864.225 140.834 114.64 521.245 787.018 1118.960
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.932 2.809 0.6395 2.17 1.156 2.406 2.716 2.852
[2,] 1393.967 213.608 8.3532 1199.90 68.023 415.781 110.264 877.694
[3,] 1291.740 126.544 35.3928 1232.39 51.232 687.875 625.659 481.500
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.631 1.367 10.38 2.306 2.8 1.305 3.541 2.973 4.168
[2,] 1016.658 72.156 244.10 233.993 1634.8 94.398 209.387 2081.524 894.194
[3,] 578.988 58.394 358.82 192.454 782.3 31.770 133.330 99.483 266.478
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.362 6.402 6.053 3.386 1.033 3.276 2.522 3.927
[2,] 2024.064 805.637 1430.229 2457.991 103.403 2877.200 115.052 1473.060
[3,] 261.935 1254.799 1635.084 2081.280 54.419 1464.298 10.365 2155.213
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.133 1.888 1.045 2.491 2.271 5.498 6.494 0.7694
[2,] 124.946 253.647 46.802 1097.842 247.523 458.700 1197.286 449.3169
[3,] 37.881 258.783 12.518 366.280 209.957 10.253 1293.351 466.5107
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.7604 1.356 1.325 2.304 1.326 0.6991 14.7 10.62
[2,] 713.2913 138.771 154.740 425.790 3.855 116.0235 4439.3 2612.76
[3,] 57.9104 71.877 113.400 392.330 78.541 176.7253 4750.3 1327.14
[,98]
[1,] 3.369
[2,] 588.421
[3,] 1164.178
[1] "--- VAR model 2017-10-07 00:01:00 completed"
[1] "Completed training sample: 2017-10-07 00:01:00 - 2017-10-07 08:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 00:31:00 - 2017-10-07 08:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.65065 -0.42840 -51.09 -49.31
-0.25484 -0.08129 -49.88 -49.53
0.02299 -0.15273 -51.04 -50.44
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-47.70 0 0.8932 -4.185
-48.27 0 0.1289 -3.377
-50.98 0 -0.1523 -3.544
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.428 -11.570 -2.850 -22.68
-2.650 -5.117 -1.721 -17.49
-2.895 -4.012 -2.030 -16.31
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1173 -9.673 -10.206 7.257
-0.2222 -10.924 -7.283 5.674
0.1021 -7.335 -8.302 3.544
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.053 -4.220 0.9058 20.22
-8.280 -3.007 -1.3752 13.85
-5.467 -5.314 -0.9546 16.59
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-46.22 -3.204 -103.9 -47.99
-50.37 -3.184 -106.5 -50.95
-48.99 -2.991 -104.5 -51.40
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.521 -50.52 -51.92 -11.92
-3.237 -49.71 -53.10 -12.28
-3.380 -51.28 -55.55 -12.61
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-52.22 -2.373 -52.66 -19.00
-52.40 -2.421 -50.77 -18.82
-51.76 -2.618 -51.33 -19.02
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.406 -52.40 -46.47 -51.64
-9.547 -52.99 -47.60 -53.19
-9.454 -53.16 -51.07 -52.63
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2326 -0.7195 2.382 0.40790
-0.4701 -1.7346 2.108 0.12339
-0.1127 -3.1983 2.080 0.08305
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.2970 -0.06790 -32.77 -32.75
-0.3274 0.02860 -34.08 -35.06
-0.3875 -0.00184 -33.39 -34.68
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-11.57 -4.063 -30.99 5.659
-10.58 -4.632 -31.09 5.719
-10.96 -4.345 -31.09 5.527
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.6176 -5.142 -20.09 2.117
0.3444 -3.857 -18.08 1.874
0.5988 -4.655 -19.59 2.264
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.144 -14.66 -14.71 -15.67
-1.353 -18.03 -15.23 -12.62
-1.383 -16.39 -14.19 -14.95
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-17.34 0.5405 0.04862 -15.35
-14.39 0.1708 -0.15300 -15.00
-15.19 0.0512 0.07267 -12.08
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7052 -6.995 5.463 -2.382
-0.6099 -10.228 3.736 -5.304
-0.6083 -7.874 3.120 -7.335
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.671 0.08670 -1.1172 0.07022
-4.996 -0.09814 -0.8864 0.07442
-6.829 0.05069 -1.1212 0.26155
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.521 0.183604 -0.51560 -4.30298
-3.376 -0.056724 -0.43569 -0.07691
-4.636 -0.002048 0.04322 -0.24310
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.9893 -2.0665 10.258 12.446
1.0075 0.9669 11.523 9.326
0.8955 -0.5251 9.888 6.090
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.138 -0.02905 6.176 -0.16516
3.430 0.17261 10.217 -0.10515
7.123 0.14236 8.152 -0.04847
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.801 1.9868 -2.744 0.01407
8.508 0.8748 -2.701 -0.10321
5.395 1.1800 -2.460 -0.04075
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.208 0.24302 1.6587 -3.405
-2.193 0.11626 0.6800 1.399
-3.731 0.04133 0.8983 -1.225
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.7774 2.0613 0.4194 0.6067
1.1800 0.3323 0.4654 0.2539
0.3838 0.3059 0.3905 0.2981
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.843 -0.22961 -3.242 -0.4663
-6.668 -0.07284 -3.645 -3.2529
-5.097 -0.02728 -3.483 -3.9684
rnd_95776.volume rnd_95787.volume
-51.72 -42.42
-52.70 -48.19
-48.20 -49.34
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.063 1.751 3.540 3.021 3.550 0.9000 1.478 3.163 4.273 3.464 2.519
[2,] 3.086 1.788 3.819 3.412 3.813 0.9173 1.506 3.187 4.336 4.163 2.701
[3,] 3.089 1.796 4.104 3.569 3.983 0.9356 1.511 3.196 4.365 4.176 2.811
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.427 2.523 2.668 6.585 3.100 4.117 3.209 4.114 4.354 6.230 2.395
[2,] 3.311 2.528 3.198 7.132 3.126 4.225 4.119 4.984 5.050 6.356 2.481
[3,] 3.334 2.539 3.411 7.233 3.320 4.461 4.405 5.056 5.333 6.442 2.549
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.814 2.868 0.3851 3.097 3.318 0.9121 2.910 0.6989 3.091 1.234 0.6502
[2,] 7.245 3.137 0.4061 3.433 3.510 0.9351 3.278 0.7099 3.263 1.278 0.6819
[3,] 7.633 3.376 0.4097 3.656 4.050 1.0295 3.535 0.7187 3.630 1.355 0.7444
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.296 2.951 2.679 2.931 2.483 1.868 0.8397 1.389 0.6893 1.540 1.907
[2,] 3.455 3.242 3.121 2.931 2.654 1.910 0.8481 1.405 0.6925 1.580 2.037
[3,] 3.688 3.569 3.218 2.969 2.672 1.926 0.8636 1.423 0.6946 1.793 2.166
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.133 0.5521 1.621 2.836 3.635 1.830 2.921 2.933 1.193 2.677 2.263
[2,] 1.172 0.5684 1.768 2.839 3.714 1.893 3.212 3.045 1.213 3.394 2.663
[3,] 1.285 0.6226 1.863 3.103 3.714 1.915 3.304 3.050 1.215 3.471 2.855
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.068 1.784 2.275 0.5311 2.127 0.9316 1.835 2.219 2.411 2.867 1.107
[2,] 2.527 2.286 2.302 0.5322 2.346 0.9412 1.925 2.241 2.714 3.220 1.110
[3,] 2.931 2.738 2.305 0.5333 2.683 0.9430 2.065 2.367 2.754 3.288 1.112
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.978 1.905 2.365 1.021 3.023 2.514 3.500 3.560 5.278 4.963 2.741
[2,] 7.985 1.937 2.979 1.028 3.038 3.516 3.530 4.412 5.446 5.466 4.095
[3,] 8.014 1.968 3.187 1.029 3.044 3.518 3.538 4.422 5.834 5.706 4.790
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8323 2.824 2.071 3.227 1.604 1.448 0.9188 2.255 1.827 4.619 5.327
[2,] 0.8339 4.394 2.077 3.760 1.635 1.479 0.9206 2.618 1.851 4.638 5.514
[3,] 0.8348 4.959 2.077 4.645 1.679 1.522 0.9210 2.633 1.864 4.638 5.774
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5539 0.5012 0.9306 0.9216 1.819 1.086 0.5178 11.25 8.316 3.160
[2,] 0.6731 0.9211 0.9362 0.9301 1.887 1.086 0.5343 12.33 8.683 3.398
[3,] 0.8197 0.9218 0.9393 0.9309 1.930 1.093 0.5658 13.43 8.783 3.685
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.889 2.224 4.495 3.837 4.508 1.143 1.877 4.016
[2,] 372.121 360.211 1418.905 1571.381 1377.894 175.693 285.170 392.034
[3,] 136.868 159.091 1490.075 1037.624 1140.317 182.707 121.390 228.803
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.427 4.398 3.198 3.082 3.204 3.387 8.361 3.936
[2,] 725.465 2287.888 966.862 2231.550 159.858 1748.181 2715.671 399.859
[3,] 504.436 325.317 771.417 387.250 230.735 1176.753 1193.464 1107.107
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.228 4.075 5.224 5.529 7.911 3.041 7.383
[2,] 943.186 2559.082 2788.385 2534.559 1247.257 640.227 4284.186
[3,] 1416.555 1546.677 843.173 1699.344 1044.358 581.193 2380.895
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 3.642 0.489 3.932 4.213 1.158 3.695 0.8875 3.926
[2,] 1259.828 127.817 1468.586 1134.001 204.126 1494.524 123.2113 1033.268
[3,] 1235.835 53.967 1245.736 2001.657 426.652 1312.780 111.0532 1577.475
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.567 0.8256 4.185 3.748 3.402 3.721 3.153 2.373
[2,] 329.981 203.5446 1027.725 1330.036 1586.167 71.760 930.102 391.012
[3,] 447.084 296.0122 1276.630 1478.874 776.149 463.384 306.416 249.161
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.066 1.764 0.8753 1.956 2.421 1.439 0.7011 2.059
[2,] 118.321 204.439 66.1894 348.031 710.350 295.513 134.0305 698.993
[3,] 161.421 225.402 52.7983 840.706 729.179 522.005 251.6648 581.472
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.602 4.616 2.324 3.71 3.725 1.514 3.4 2.874
[2,] 123.382 756.058 479.610 1323.91 809.871 219.718 2067.0 1390.114
[3,] 1241.863 31.141 287.397 765.91 179.604 67.290 720.5 1021.857
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 2.626 2.265 2.889 0.6744 2.701 1.183 2.33 2.818
[2,] 1438.974 1416.066 346.363 33.8705 981.500 133.376 576.46 307.008
[3,] 1471.783 1494.622 107.721 34.7670 1288.843 56.723 741.08 755.542
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.061 3.641 1.406 10.13 2.419 3.003 1.296 3.839
[2,] 1236.513 1452.020 77.685 322.07 348.265 1795.518 122.379 295.031
[3,] 461.192 660.121 61.547 680.09 346.249 1120.493 48.552 197.599
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 3.193 4.444 4.521 6.702 6.302 3.481 1.057 3.586
[2,] 2435.538 459.529 2582.114 1330.124 2270.530 3013.752 51.302 3335.132
[3,] 128.219 235.956 288.748 2075.255 1621.307 2463.140 37.499 2278.269
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.63 4.098 2.037 1.839 1.167 2.864 2.32 5.865
[2,] 150.18 1912.407 315.236 299.488 56.978 1317.303 299.48 418.807
[3,] 20.19 2702.724 379.126 356.334 24.572 276.945 214.12 40.954
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 6.764 0.7034 0.6365 1.182 1.17 2.31 1.379 0.6575
[2,] 1411.429 378.9868 765.7795 101.147 123.98 497.35 13.604 130.4938
[3,] 1697.144 463.5540 34.2402 76.550 38.21 404.02 123.695 184.6763
[,96] [,97] [,98]
[1,] 14.28 10.56 4.013
[2,] 5016.06 2476.35 1237.033
[3,] 5266.76 1310.04 1412.934
[1] "--- VAR model 2017-10-07 00:31:00 completed"
[1] "Completed training sample: 2017-10-07 00:31:00 - 2017-10-07 08:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 01:01:00 - 2017-10-07 09:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.02791 -0.5093 -53.60 -52.55
-0.40176 -0.3368 -54.79 -55.58
0.53233 -0.1739 -54.87 -55.79
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-55.36 -0.1600 3.354 -3.971
-58.15 -0.1934 1.836 -4.404
-54.98 -0.1791 1.843 -4.841
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.837 -4.005 -0.5437 -18.07
-4.100 -5.538 -1.3266 -16.97
-4.815 -5.874 -1.3796 -17.60
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7838 -9.840 -7.829 4.271
-0.1316 -8.812 -3.599 10.625
0.2099 -8.367 -5.045 10.519
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.404 -4.698 3.4680 26.23
-5.605 -4.967 -3.0438 24.28
-5.995 -1.304 0.3342 28.23
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.78 -6.731 -125.1 -48.66
-66.88 -6.748 -109.8 -58.90
-54.79 -6.484 -113.8 -53.88
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.444 -54.86 -51.23 -13.70
-5.352 -56.43 -64.03 -13.95
-5.207 -55.76 -58.19 -13.99
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-53.74 -3.951 -60.08 -20.69
-51.83 -3.611 -50.47 -20.84
-59.03 -3.799 -63.31 -20.25
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.49 -60.05 -55.75 -53.00
-12.70 -54.26 -53.89 -61.65
-12.58 -59.97 -53.43 -53.07
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.378 -2.924 -0.4571 0
2.015 -3.721 -0.5337 0
1.040 -2.751 -0.8859 0
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.11723 -0.117448 -33.80 -34.72
-0.25504 0.032410 -34.65 -33.42
-0.04644 -0.005403 -34.03 -37.41
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-11.82 -5.274 -34.82 10.947
-11.27 -5.106 -33.00 8.479
-11.96 -5.210 -34.79 10.886
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.2386 -5.757 -23.25 2.858
0.4231 -5.992 -20.23 1.266
-0.7994 -5.339 -19.64 2.715
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.545 -18.85 -11.88 -14.71
-1.684 -19.43 -17.43 -16.76
-1.787 -17.78 -16.59 -17.21
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-17.41 -0.85306 -0.05181 -15.09
-13.20 -0.39919 -0.05069 -14.65
-17.59 0.06261 -0.06638 -16.43
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2921 -12.681 9.450 -8.680
-0.9107 -9.343 7.208 -8.115
-1.5312 -8.403 8.048 -6.022
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.157 -0.2243 0.1223 0.87644
-8.855 -0.4106 -4.3160 0.19630
-5.817 -0.4748 -2.6752 0.06287
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.096 0.0455687 1.1432 7.783
-5.713 0.0242010 0.5718 -0.506
-6.727 -0.0003972 -0.2601 1.290
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1126 8.610 28.40 23.75
-0.1950 -0.449 30.99 15.56
0.1649 1.185 26.29 18.73
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
24.58 -0.3131 27.53 0.25387
23.23 -0.1553 23.22 0.26531
14.46 -0.1309 15.43 0.03451
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
25.28 0.01151 -0.914 -0.24648
24.19 -0.19291 -2.637 0.09311
16.06 0.09092 -2.453 0.11308
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.752 -0.4699 -0.08979 -7.640
-4.333 -0.5878 0.05787 7.237
-2.278 -0.1864 -0.24923 -5.430
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.20679 1.3104 0.22908 0.3286
1.45458 0.2254 0.27006 0.5452
0.03863 0.4578 0.04544 0.3275
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.330 0.10396 -5.338 -2.051
-7.185 -0.06665 -5.392 -3.613
-5.815 0.01274 -5.061 -4.262
rnd_95776.volume rnd_95787.volume
-56.36 -54.23
-47.25 -53.18
-53.45 -54.46
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.338 1.837 4.199 3.373 3.418 0.8968 1.596 3.477 4.168 3.483 2.654
[2,] 3.344 1.841 4.491 3.864 3.816 0.9175 1.656 3.519 4.182 4.138 2.830
[3,] 3.348 1.843 4.666 4.000 4.038 0.9358 1.669 3.521 4.197 4.184 2.909
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.498 2.632 2.705 6.684 3.617 4.277 3.425 4.485 4.699 8.247 2.772
[2,] 3.321 2.632 3.265 7.247 3.676 4.376 4.388 5.552 5.411 8.612 2.930
[3,] 3.362 2.648 3.367 7.379 3.816 4.533 4.665 5.612 5.849 8.874 2.989
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.836 3.565 0.3918 4.072 4.030 1.007 3.206 0.7072 3.468 1.320 0.6954
[2,] 7.809 3.897 0.4229 4.295 4.401 1.050 3.865 0.7134 3.677 1.384 0.7279
[3,] 8.047 4.212 0.4360 4.431 4.794 1.142 4.032 0.7212 4.305 1.484 0.8084
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.731 3.591 3.245 3.605 2.787 1.885 0.9147 1.403 0.6917 2.064 2.193
[2,] 3.871 4.071 3.697 3.638 2.889 1.935 0.9221 1.415 0.6951 2.173 2.387
[3,] 4.223 4.425 3.835 3.691 2.903 1.947 0.9401 1.426 0.6975 2.290 2.492
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.7733 0.4939 1.907 3.088 3.625 1.810 2.982 3.094 1.192 2.813 2.380
[2,] 0.7814 0.5100 2.003 3.111 3.733 1.857 3.404 3.263 1.201 3.606 2.714
[3,] 0.8853 0.5256 2.101 3.333 3.733 1.907 3.484 3.284 1.210 3.776 3.004
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.108 1.968 2.435 0.5523 2.261 0.9182 1.889 2.298 2.567 2.835 1.159
[2,] 2.546 2.486 2.476 0.5536 2.481 0.9340 1.955 2.327 2.868 3.204 1.171
[3,] 3.080 2.876 2.491 0.5536 2.727 0.9449 2.084 2.478 2.900 3.263 1.175
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.577 2.040 2.583 1.063 3.226 2.756 3.345 3.723 5.537 4.807 2.837
[2,] 7.665 2.071 3.131 1.066 3.233 3.854 3.353 4.559 5.706 5.703 4.173
[3,] 7.737 2.126 3.346 1.067 3.240 3.855 3.354 4.570 6.109 5.757 4.941
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8357 2.913 2.217 3.458 1.807 1.431 0.9737 2.439 1.889 5.078 5.511
[2,] 0.8373 4.465 2.229 4.144 1.809 1.466 0.9739 2.901 1.895 5.082 5.731
[3,] 0.8376 5.186 2.235 5.174 1.809 1.579 0.9762 2.923 1.896 5.083 5.986
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5539 0.5256 0.9072 0.9398 1.725 1.172 0.5063 11.03 8.835 3.975
[2,] 0.6308 0.9113 0.9095 0.9441 1.823 1.172 0.5321 12.10 8.943 4.449
[3,] 0.8035 0.9114 0.9159 0.9468 1.863 1.174 0.5512 13.25 9.156 4.634
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.239 2.333 5.332 4.283 4.341 1.139 2.027 4.416
[2,] 227.785 129.077 1830.120 2167.892 1950.541 222.643 506.338 620.339
[3,] 199.096 115.501 1457.950 1189.850 1517.786 211.846 242.787 133.559
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.293 4.422 3.37 3.173 3.342 3.435 8.487 4.593
[2,] 390.588 2570.163 1130.30 2515.289 26.752 2101.315 3220.149 755.101
[3,] 400.391 707.247 770.20 599.137 334.410 947.873 1599.761 1175.949
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.431 4.349 5.696 5.967 10.47 3.521 8.68 4.527
[2,] 1066.535 3152.766 3761.679 3084.662 2854.91 1090.209 4341.73 1811.230
[3,] 1361.122 1821.106 942.764 2554.087 2460.17 679.768 2232.53 1837.233
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4975 5.171 5.118 1.278 4.071 0.8981 4.404 1.676
[2,] 182.9282 1570.572 2033.165 341.535 2482.396 107.9032 1404.596 478.194
[3,] 122.2261 1249.640 2183.891 518.302 1317.737 121.0814 2574.052 615.285
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.883 4.738 4.56 4.12 4.578 3.539 2.393 1.162
[2,] 247.343 1186.152 2205.21 2036.97 557.573 876.731 503.872 133.564
[3,] 404.225 1940.927 1994.64 1172.37 718.332 320.853 252.038 210.682
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.782 0.8784 2.621 2.784 0.982 0.6272 2.422 3.921
[2,] 215.462 78.9090 779.570 1086.076 128.630 145.9380 705.284 434.025
[3,] 199.075 66.1955 832.045 822.431 478.385 146.3400 728.601 1375.308
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.603 2.298 3.787 3.929 1.514 3.572 3.022 2.677
[2,] 1027.173 478.910 1887.227 1193.990 163.210 2593.906 1499.986 1641.743
[3,] 16.851 496.920 851.779 416.931 169.176 1287.901 1479.644 1993.123
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.499 3.092 0.7013 2.871 1.166 2.399 2.918 3.259
[2,] 1745.520 513.307 43.4602 1176.299 196.249 580.714 422.693 1470.896
[3,] 1662.796 317.570 7.6038 1299.411 164.851 829.094 979.727 491.852
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.599 1.472 9.621 2.591 3.28 1.35 4.097 3.499
[2,] 1717.361 188.872 1330.799 410.334 2034.66 84.82 236.618 3096.904
[3,] 710.669 108.822 1216.163 551.231 1357.02 49.82 245.316 118.721
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.248 4.728 7.031 6.105 3.603 1.061 3.7 2.815
[2,] 266.449 3025.866 1588.324 3526.663 3518.182 60.474 3889.3 265.430
[3,] 62.370 350.595 2507.636 906.462 3041.698 24.101 3033.9 180.159
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.391 2.295 1.817 1.236 3.097 2.399 6.449 6.998
[2,] 2624.426 92.957 368.616 22.991 1805.739 168.906 225.334 1810.783
[3,] 3562.101 26.776 673.063 77.191 411.871 80.111 112.256 1984.583
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.7034 0.6674 1.152 1.193 2.19 1.489 0.643 14.01
[2,] 346.9686 855.8858 74.174 103.473 680.06 11.086 188.242 5728.61
[3,] 572.2638 19.3135 124.742 82.106 440.70 80.121 165.200 6210.49
[,97] [,98]
[1,] 11.22 5.047
[2,] 1599.31 2296.985
[3,] 2256.70 1492.478
[1] "--- VAR model 2017-10-07 01:01:00 completed"
[1] "Completed training sample: 2017-10-07 01:01:00 - 2017-10-07 09:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 01:31:00 - 2017-10-07 09:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.1520 0.19643 -56.06 -53.74
-0.1783 -0.03757 -55.07 -52.65
-0.2250 -0.03465 -60.60 -55.81
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-39.38 0.2635 0.6073 -6.047
-53.82 0.2804 0.7962 -3.170
-58.34 0.1039 0.6469 -4.077
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.618 -1.673 0.6134 -18.52
-4.492 -6.508 -0.1703 -20.42
-5.149 -6.818 0.4445 -20.68
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1202 -14.327 -11.411 6.272
-0.1721 -9.187 -8.643 1.948
0.1381 -10.997 -6.539 6.077
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-15.493 -5.622 -2.256 16.11
-5.922 -10.376 -5.923 15.59
-7.035 -5.654 -4.350 21.92
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.31 -5.095 -105.9 -50.94
-52.38 -6.731 -124.0 -56.80
-47.60 -6.424 -122.2 -55.26
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.801 -56.01 -58.48 -14.77
-6.082 -51.29 -54.25 -15.52
-6.211 -55.30 -62.35 -15.85
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-54.55 -4.112 -53.38 -21.47
-54.40 -4.038 -60.42 -22.98
-55.12 -4.255 -54.91 -22.40
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.72 -53.29 -35.34 -45.69
-11.04 -57.11 -55.30 -56.62
-11.57 -53.52 -56.35 -60.64
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.0385 -1.683 0.8015 1.3561
-1.4591 -2.962 0.3474 0.9025
-0.7462 -3.549 0.6484 0.4196
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4737 -0.020494 -40.45 -35.35
-0.4855 -0.001388 -38.38 -35.86
0.1619 -0.002985 -39.46 -37.07
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-13.32 -4.738 -36.20 6.346
-13.09 -5.120 -34.87 7.653
-13.04 -4.927 -34.43 8.163
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.894 -5.448 -20.61 4.604
1.304 -4.687 -24.04 2.731
1.098 -5.144 -24.47 1.964
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6234 -16.77 -18.96 -29.60
-1.9519 -17.81 -15.21 -13.34
-1.9069 -22.07 -18.25 -15.70
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-22.59 -0.38810 -0.04211 -16.86
-15.45 -0.14953 -0.58011 -24.91
-16.27 0.02627 -0.34194 -13.76
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.590 -8.713 3.225 -4.023
-1.669 -11.876 4.748 -7.575
-2.230 -11.173 4.837 -7.040
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.827 0.4264 -8.348 0.8266
-5.830 -0.1610 -4.201 1.0903
-8.535 -0.1072 -6.592 0.7596
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.181 0.177057 -0.3020 11.859
-3.426 -0.008879 1.2062 -1.277
-5.823 -0.074866 -0.2435 1.169
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1304 13.010 22.37 20.55
-0.1692 -1.832 18.61 10.91
0.2807 1.138 18.28 10.11
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.709 0.03146 5.600 -0.01573
24.229 -0.16781 21.419 -0.02306
6.083 0.31930 8.576 -0.02505
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.992 0.508438 -5.474 -0.4054
15.665 0.008398 -1.127 0.3869
15.370 -0.282068 -3.244 0.1145
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.939 0.083092 0.06233 -5.044
-3.596 0.008128 -0.60185 3.330
-3.398 0.129183 -0.07550 -2.583
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.5296 -0.2775 0.6238 0.6985
-0.3648 0.6343 0.3251 0.4242
0.5408 0.2757 0.4346 -0.1476
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.611 -0.01236 -6.280 0.4217
-6.949 0.02901 -5.933 -2.2612
-9.313 0.01389 -5.814 -2.5814
rnd_95776.volume rnd_95787.volume
-60.75 -49.95
-57.42 -55.58
-61.64 -53.85
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.514 1.989 5.092 4.095 4.004 0.8885 1.750 3.738 4.345 3.516 2.720
[2,] 3.514 1.989 5.335 4.818 4.359 0.9049 1.776 3.784 4.380 4.264 2.889
[3,] 3.516 1.991 5.583 4.966 4.617 0.9270 1.798 3.791 4.386 4.321 2.984
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.653 2.762 2.766 6.509 3.789 4.484 3.510 4.787 5.726 8.449 2.610
[2,] 3.499 2.763 3.375 7.166 3.834 4.892 4.730 5.717 5.890 8.844 2.814
[3,] 3.527 2.782 3.479 7.358 3.986 5.123 5.057 5.878 6.127 9.029 2.860
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.073 4.566 0.4141 4.746 4.338 1.050 3.987 0.7103 4.284 1.352 0.7265
[2,] 9.404 5.068 0.4446 5.043 4.685 1.103 4.845 0.7182 4.577 1.399 0.7680
[3,] 9.723 5.201 0.4629 5.208 5.150 1.218 5.083 0.7237 5.050 1.489 0.8404
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.059 4.394 4.171 4.048 3.090 2.238 1.100 1.590 0.7634 2.251 2.668
[2,] 4.149 4.767 4.556 4.062 3.214 2.287 1.112 1.590 0.7651 2.376 2.817
[3,] 4.561 5.082 4.704 4.137 3.225 2.303 1.126 1.626 0.7732 2.507 2.901
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.8076 0.5149 2.290 3.387 4.058 1.832 3.237 3.174 1.211 3.027 2.617
[2,] 0.8240 0.5398 2.449 3.523 4.088 1.861 3.569 3.409 1.229 3.931 2.943
[3,] 0.9204 0.5616 2.580 3.646 4.125 1.924 3.654 3.437 1.246 4.010 3.146
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.213 2.087 2.873 0.5793 2.518 0.9421 1.986 2.772 2.696 3.041 1.318
[2,] 2.704 2.710 2.890 0.5794 2.683 0.9515 2.021 2.846 3.001 3.516 1.327
[3,] 3.308 3.136 2.890 0.5987 3.014 0.9607 2.198 2.966 3.025 3.592 1.327
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.434 2.155 2.746 1.111 3.535 2.943 3.637 3.853 5.712 5.020 2.984
[2,] 7.572 2.183 3.248 1.112 3.535 3.999 3.646 4.841 5.801 5.887 4.415
[3,] 7.660 2.219 3.466 1.112 3.546 4.005 3.646 4.860 6.306 5.929 5.200
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9111 3.055 2.368 3.740 1.910 1.502 1.105 2.687 1.975 5.408 5.644
[2,] 0.9119 4.568 2.394 4.582 1.912 1.542 1.105 3.260 1.975 5.409 5.821
[3,] 0.9121 5.323 2.397 5.343 1.912 1.657 1.117 3.277 1.979 5.421 6.031
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6145 0.6128 1.008 1.110 1.901 1.275 0.5178 10.66 9.733 4.632
[2,] 0.7207 1.0760 1.008 1.110 1.949 1.275 0.5397 11.80 10.150 5.218
[3,] 0.9133 1.0824 1.020 1.111 2.055 1.276 0.5631 12.84 10.194 5.453
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.463 2.525 6.467 5.2 5.084 1.128 2.223 4.747
[2,] 17.174 33.551 1943.158 3104.6 2109.121 209.583 370.214 719.164
[3,] 117.889 98.438 2014.140 1470.9 1861.496 245.943 343.852 270.266
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.518 4.464 3.454 3.369 3.507 3.512 8.265 4.812
[2,] 675.244 2950.165 1191.811 2791.130 108.597 2366.458 3666.713 715.649
[3,] 278.005 861.284 911.376 534.917 399.940 1032.195 2042.808 1332.968
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.694 4.457 6.079 7.271 10.73 3.315 10.25 5.799
[2,] 2390.778 3877.225 3822.025 1685.157 3194.77 1285.835 5898.92 2688.540
[3,] 1860.042 2189.123 1669.038 2063.440 2225.31 623.143 3021.33 1427.003
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5258 6.027 5.509 1.334 5.062 0.902 5.44 1.716
[2,] 198.0498 2082.901 2163.039 412.775 3368.209 129.998 1969.35 442.914
[3,] 157.6163 1592.196 2617.456 631.655 1877.834 108.971 2610.13 621.077
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.9226 5.154 5.579 5.297 5.14 3.924 2.841 1.396
[2,] 304.4626 1053.683 2262.146 2240.344 406.27 1080.918 578.800 200.526
[3,] 417.3461 2316.417 2154.591 1434.991 958.85 319.976 332.209 216.473
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.019 0.9694 2.858 3.388 1.025 0.6538 2.908 4.301
[2,] 15.180 63.2157 930.675 1108.128 199.960 198.3801 1061.800 1182.139
[3,] 412.462 135.9718 977.683 847.422 501.663 189.2283 991.685 1150.894
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.154 2.326 4.111 4.03 1.538 3.844 3.323 2.81
[2,] 602.325 402.146 1837.475 1523.32 250.072 3068.340 1648.195 1900.83
[3,] 670.406 598.734 960.307 533.51 255.116 966.467 1357.829 2329.34
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.65 3.648 0.7356 3.198 1.196 2.522 3.519 3.423
[2,] 2114.25 378.513 15.3720 1132.253 162.868 460.643 789.633 1613.092
[3,] 1930.62 76.569 184.4022 1680.551 162.390 1055.989 1023.160 461.698
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.861 1.674 9.44 2.736 3.486 1.411 4.488 3.737
[2,] 2159.300 186.295 1758.10 428.971 2123.015 56.387 56.063 3310.994
[3,] 899.364 43.955 1418.29 489.552 1478.574 6.575 345.274 271.997
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.618 4.893 7.253 6.375 3.789 1.157 3.88 3.007
[2,] 313.905 3583.374 1239.234 3759.978 3979.105 47.177 4153.20 430.712
[3,] 57.594 534.971 3025.181 866.243 3359.818 22.969 3342.28 139.187
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.749 2.426 1.907 1.404 3.412 2.508 6.868 7.167
[2,] 3238.042 102.639 425.872 11.824 2256.396 30.446 102.012 1742.898
[3,] 3360.917 26.280 741.665 195.544 415.140 145.034 431.864 1926.570
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.7803 0.7782 1.28 1.409 2.413 1.619 0.6576 13.54
[2,] 460.6262 1081.6713 28.36 10.812 527.741 13.533 186.0280 6195.17
[3,] 685.9569 143.9828 192.14 74.930 798.015 45.540 196.5546 6185.74
[,97] [,98]
[1,] 12.36 5.882
[2,] 3522.25 2939.569
[3,] 1157.01 1936.711
[1] "--- VAR model 2017-10-07 01:31:00 completed"
[1] "Completed training sample: 2017-10-07 01:31:00 - 2017-10-07 09:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 02:01:00 - 2017-10-07 10:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.31689 0.9438 -53.48 -58.49
0.07299 0.2404 -60.29 -62.46
-0.01102 0.6099 -61.50 -61.86
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-53.73 -0.1486 0.26613 -1.0400
-64.19 -0.1572 -0.17795 -1.3050
-65.12 -0.0587 0.01876 -0.8778
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.320 -4.276 -0.8298 -28.16
-6.720 -6.419 -1.5858 -20.92
-5.802 -5.763 -2.9422 -23.06
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9719 -17.81 -12.928 5.638
-0.2678 -11.20 -8.465 7.661
-0.4444 -11.94 -8.919 2.909
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.805 -13.25 -7.756 14.50
-11.834 -15.51 -8.878 14.31
-7.874 -10.29 -8.497 14.29
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.49 -7.904 -109.9 -60.30
-56.92 -8.225 -119.3 -58.97
-59.32 -7.866 -120.9 -59.42
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.018 -57.54 -65.59 -18.58
-6.847 -57.98 -60.01 -19.32
-6.289 -58.53 -65.00 -18.99
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-59.60 -5.023 -60.36 -22.73
-61.72 -5.260 -66.34 -25.04
-62.92 -4.705 -62.04 -24.95
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.80 -62.85 -58.31 -65.30
-14.48 -67.96 -61.82 -62.31
-14.79 -67.27 -63.07 -67.12
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1514 -2.978 -0.3591 -0.54426
-0.3949 -6.293 -0.5333 -0.06278
-0.4835 -4.204 -0.2112 -0.04956
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.0309 0.13423 -36.57 -39.01
-0.6776 0.20501 -39.88 -42.62
0.3007 0.09669 -38.64 -42.45
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-15.50 -5.993 -35.75 10.391
-15.43 -5.775 -34.71 7.686
-15.06 -6.215 -38.08 9.593
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.4049 -6.323 -31.62 3.823
1.6577 -7.315 -27.99 1.681
0.1359 -6.562 -30.42 4.441
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.343 -24.76 -20.21 -23.42
-3.300 -25.93 -22.76 -20.27
-3.219 -26.37 -21.75 -21.49
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-25.60 -0.022578 -0.4989 -26.99
-18.77 0.233680 -0.4721 -23.70
-23.88 -0.003844 -0.3908 -19.63
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.222 -15.21 7.542 -7.16
-1.639 -13.34 7.201 -10.95
-1.767 -11.17 6.601 -10.11
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.865 -0.8743 -6.631 2.6214
-9.430 -0.5633 -9.482 2.0715
-8.792 -0.5963 -7.846 0.8493
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.180 -0.008607 -0.9060 8.5524
-6.713 -0.106678 0.7267 -1.2641
-8.610 -0.109643 0.3727 0.7578
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1717 7.4791 20.86 9.826
0.3232 -1.1783 14.80 12.306
-0.3083 0.3789 20.68 10.565
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.020 -0.007069 19.14 1.5188
17.294 -0.149287 10.11 -0.3443
6.386 0.042110 11.60 -0.1911
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.414 1.8010 -4.822 0.60743
6.922 0.8077 -5.265 0.23904
14.105 1.2882 -3.596 -0.01309
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.780 0.8956 -0.4905 3.495
-4.188 0.5048 0.5319 -3.620
-6.900 0.1697 2.0860 2.712
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.02321 -0.9367 0.9798 0.7496
-0.11679 1.3268 0.8157 0.7541
0.96076 0.5965 -0.1607 0.1405
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-13.017 -0.02871 -7.881 -4.996
-9.994 -0.20790 -7.731 -3.605
-8.606 0.06064 -7.422 -5.227
rnd_95776.volume rnd_95787.volume
-69.28 -61.53
-75.67 -58.89
-70.04 -61.09
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.788 2.152 5.271 5.054 4.668 0.8630 1.834 4.318 4.533 3.586 2.886
[2,] 3.799 2.156 5.581 5.969 4.988 0.8861 1.852 4.330 4.657 4.576 3.039
[3,] 3.800 2.159 5.855 6.176 5.335 0.9032 1.883 4.458 4.688 4.593 3.137
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.805 2.844 2.966 6.690 4.318 4.381 4.211 5.406 6.433 8.717 2.621
[2,] 3.698 2.851 3.587 7.355 4.355 4.973 5.180 6.327 6.501 9.116 2.819
[3,] 3.776 2.874 3.751 7.596 4.526 5.379 5.527 6.525 6.797 9.314 2.856
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.50 5.512 0.4251 5.425 5.375 1.162 4.914 0.7664 4.714 1.476 0.8455
[2,] 11.66 5.901 0.4645 5.709 5.765 1.236 5.787 0.7937 5.161 1.543 0.8857
[3,] 12.10 6.216 0.4831 5.945 6.224 1.353 6.087 0.8128 5.633 1.642 0.9549
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.915 5.199 4.865 4.576 3.351 2.371 1.222 1.844 0.8899 2.645 3.195
[2,] 5.042 5.505 5.280 4.610 3.522 2.413 1.311 1.846 0.8925 2.832 3.345
[3,] 5.523 5.974 5.537 4.677 3.548 2.421 1.314 1.869 0.8981 2.954 3.482
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.8428 0.5380 2.885 3.788 4.542 1.877 3.702 3.401 1.281 3.254 2.659
[2,] 0.8597 0.5677 3.147 3.899 4.542 1.928 4.137 3.617 1.295 4.208 3.095
[3,] 0.9488 0.5883 3.213 4.065 4.612 1.990 4.221 3.636 1.327 4.298 3.323
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.334 2.206 3.128 0.6294 2.549 0.9831 2.129 2.837 2.849 3.293 1.419
[2,] 2.878 2.892 3.132 0.6309 2.783 0.9977 2.157 2.879 3.228 3.742 1.438
[3,] 3.353 3.335 3.135 0.6318 3.132 1.0105 2.319 2.998 3.250 3.821 1.446
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.826 2.435 2.886 1.236 3.785 3.113 3.856 4.035 5.822 5.789 3.132
[2,] 7.926 2.476 3.499 1.236 3.794 4.233 3.871 4.922 5.883 6.162 4.664
[3,] 7.995 2.507 3.708 1.236 3.805 4.267 3.871 4.951 6.443 6.185 5.310
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9800 3.297 2.560 4.245 2.094 1.649 1.461 2.962 2.140 6.068 5.962
[2,] 0.9806 5.145 2.596 5.025 2.114 1.723 1.476 3.569 2.149 6.068 6.142
[3,] 0.9806 5.413 2.599 5.760 2.123 1.864 1.497 3.628 2.150 6.082 6.353
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7176 0.7466 1.101 1.169 2.030 1.474 0.5687 10.29 10.42 5.552
[2,] 0.8700 1.2078 1.105 1.171 2.087 1.474 0.5946 11.52 10.86 6.278
[3,] 1.0547 1.2155 1.119 1.181 2.200 1.479 0.6139 12.50 10.98 6.559
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.81 2.733 6.693 6.417 5.928 1.096 2.329 5.483
[2,] 392.17 153.740 2404.786 4163.095 2302.437 263.482 339.421 413.817
[3,] 90.57 156.337 2317.860 2076.780 2480.998 229.436 444.348 1392.740
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.757 4.553 3.665 3.562 3.611 3.767 8.495
[2,] 1400.042 3726.571 1246.937 3159.253 270.902 2644.342 4007.274
[3,] 694.351 513.061 1022.208 994.872 474.866 1434.799 2485.919
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.484 5.563 5.347 6.864 8.169 11.07 3.328 13.33
[2,] 742.612 3085.505 3954.697 4307.869 1230.016 3492.47 1361.911 6657.37
[3,] 1614.942 2685.319 2524.265 2091.080 2599.909 2505.46 595.380 4223.61
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 6.999 0.5398 6.888 6.825 1.475 6.241 0.9732
[2,] 2762.938 245.1925 2333.822 2732.925 554.776 4004.855 270.3008
[3,] 2560.703 174.2562 2172.003 3075.275 721.056 2472.665 230.0036
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 5.986 1.874 1.074 6.241 6.602 6.178 5.811 4.256
[2,] 2754.671 591.196 345.991 1472.874 2374.262 2688.111 731.890 1419.177
[3,] 2956.084 734.782 467.684 2955.067 3040.697 2186.481 1034.449 566.787
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 3.011 1.551 2.342 1.13 3.359 4.057 1.07 0.6832
[2,] 590.075 623.852 101.656 89.64 1327.213 1298.208 222.34 237.5101
[3,] 260.923 111.450 380.051 130.16 1099.390 1269.177 526.13 202.0236
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.663 4.81 5.767 2.384 4.701 4.319 1.627 4.132
[2,] 1649.075 1214.14 76.199 574.729 2420.857 1615.138 244.740 3497.026
[3,] 848.451 1506.60 1049.957 645.712 1099.405 484.161 381.720 1150.900
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.376 2.964 2.801 3.972 0.7992 3.237 1.248 2.704
[2,] 2075.795 2207.682 2451.612 220.697 57.6729 1463.001 222.726 452.815
[3,] 1586.544 2253.642 2176.004 170.120 42.6263 1884.083 210.305 1113.721
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.603 3.617 4.182 1.801 9.938 3.091 3.664 1.569
[2,] 638.646 1991.264 2327.555 307.505 1643.600 587.890 2593.138 30.610
[3,] 1095.314 489.499 1017.652 202.169 1373.384 522.220 1609.200 38.768
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 4.806 3.953 4.896 5.124 7.394 7.351 3.977 1.244
[2,] 340.491 3760.100 445.146 3695.514 1099.965 2765.570 4529.304 46.198
[3,] 383.100 698.773 77.998 690.904 3445.982 699.362 3325.718 5.436
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 4.187 3.251 5.391 2.659 2.094 1.855 3.761 2.718
[2,] 5176.088 565.472 3524.707 380.075 654.628 276.005 2609.351 252.675
[3,] 2204.434 158.407 3690.604 256.869 931.174 323.827 852.328 101.720
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 7.705 7.571 0.9112 0.9481 1.398 1.484 2.577 1.872
[2,] 25.338 1936.041 644.8044 1244.3803 118.806 85.624 634.385 28.321
[3,] 546.210 2124.161 781.3695 177.9707 235.086 205.724 915.364 147.313
[,95] [,96] [,97] [,98]
[1,] 0.7222 13.07 13.23 7.05
[2,] 227.5544 6772.68 4008.24 3840.73
[3,] 199.7729 6363.35 2120.29 2488.20
[1] "--- VAR model 2017-10-07 02:01:00 completed"
[1] "Completed training sample: 2017-10-07 02:01:00 - 2017-10-07 10:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 02:31:00 - 2017-10-07 10:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5351 0.8130 -55.18 -60.24
0.2756 0.5693 -54.07 -58.27
0.2795 0.2357 -55.25 -56.05
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-61.84 -0.2217 1.907 -4.815
-59.33 -0.3728 1.321 -4.161
-56.09 -0.2513 1.005 -4.903
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.592 -8.140 0.84974 -18.33
-6.965 -7.279 -0.39025 -26.11
-7.911 -8.176 -0.01547 -24.21
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2715 -7.875 -11.99 1.8536
0.8321 -13.928 -16.09 0.8428
-0.3862 -12.365 -16.69 4.0069
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-18.02 -10.36 -11.779 9.433
-10.55 -13.51 -9.899 11.186
-11.29 -15.13 -9.725 14.836
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-46.31 -7.257 -100.5 -53.93
-61.94 -7.943 -115.9 -49.34
-62.77 -7.761 -117.3 -54.25
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.577 -56.14 -60.60 -18.05
-7.257 -54.96 -60.15 -17.83
-7.126 -60.31 -61.27 -18.32
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-61.07 -5.840 -59.15 -25.37
-61.35 -5.173 -59.38 -26.21
-56.61 -5.627 -57.29 -26.40
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.03 -55.32 -59.22 -56.83
-14.97 -57.93 -59.12 -58.92
-14.92 -58.06 -57.99 -59.08
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.131 -7.588 -0.5262 0.5849
1.779 -4.041 0.3747 0.1170
1.198 -4.046 -0.2040 0.2248
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.39795 0.4143 -33.75 -38.54
-0.63078 0.3727 -37.96 -40.97
-0.08447 0.2940 -39.64 -39.97
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-17.31 -6.259 -38.39 10.142
-16.32 -6.132 -37.81 9.635
-16.22 -6.249 -35.95 10.083
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.225 -5.663 -25.91 6.667
2.705 -7.217 -25.62 5.426
1.999 -6.737 -27.19 5.036
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.111 -27.45 -19.82 -26.84
-2.152 -21.96 -21.56 -21.89
-2.589 -24.79 -20.05 -19.07
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-26.26 0.65749 -0.3452 -19.38
-20.70 0.51330 -0.5538 -26.88
-21.05 0.02692 -0.3757 -20.99
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.549 -10.77 8.830 -6.779
-2.152 -13.62 9.997 -8.035
-1.376 -11.98 9.222 -10.358
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.539 -0.3805 0.7441 -1.3740
-8.640 -0.4333 -2.0600 -0.7899
-9.252 -0.5721 -1.4642 -0.3614
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.220 -0.23721 1.097611 -0.775258
-5.025 0.01933 0.072188 0.758190
-9.905 0.02303 0.008626 -0.006033
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.0607 0.7757 24.93 -6.697
-0.2092 1.3838 25.86 -3.935
-0.3836 0.5077 26.71 -2.326
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
25.82 -0.06406 7.637 -0.24711
11.85 -0.03336 7.289 0.08841
13.74 0.02126 8.481 0.05289
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.547 1.91358 -4.407 0.5677
17.567 -0.43247 -5.015 0.6507
7.860 -0.08283 -4.226 0.2792
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.143 -0.1046 1.7046 -6.1052
-4.578 0.9755 0.2056 0.5443
-3.414 1.1448 0.2349 -1.6527
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8887 1.7874 0.8162 0.9505
1.2997 1.1434 1.6878 1.2083
1.1172 0.9527 0.2106 0.6475
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.456 -0.02093 -7.820 -2.202
-10.618 0.05182 -8.050 -1.312
-9.160 0.02814 -7.633 -1.984
rnd_95776.volume rnd_95787.volume
-63.02 -54.37
-75.04 -49.53
-70.38 -54.64
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.965 2.380 8.619 5.752 5.467 0.8496 2.025 4.229 4.808 3.693 3.240
[2,] 3.980 2.381 8.760 6.829 5.847 0.8626 2.063 4.264 4.895 4.784 3.365
[3,] 3.980 2.387 9.090 7.066 6.149 0.8828 2.118 4.295 4.956 4.862 3.488
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.895 3.072 3.117 6.643 4.463 4.687 4.628 6.057 6.911 9.362 2.546
[2,] 3.878 3.081 3.723 7.402 4.493 5.192 5.548 6.912 6.989 9.670 2.708
[3,] 3.957 3.100 3.965 7.726 4.692 5.698 5.802 7.120 7.284 9.789 2.733
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.95 5.800 0.4410 6.074 5.923 1.260 5.847 0.7607 5.084 1.592 0.9065
[2,] 13.58 6.279 0.4760 6.488 6.576 1.339 6.762 0.7770 5.638 1.681 0.9445
[3,] 14.09 6.671 0.4935 6.967 6.991 1.450 7.092 0.7888 6.112 1.790 1.0218
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.778 5.778 5.346 4.965 3.764 2.560 1.359 2.115 1.048 2.971 3.777
[2,] 5.918 6.032 5.733 5.007 3.917 2.602 1.463 2.118 1.055 3.075 3.924
[3,] 6.363 6.452 6.056 5.091 3.949 2.614 1.468 2.137 1.055 3.212 4.061
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.8675 0.5463 3.179 4.297 5.004 1.984 4.400 3.596 1.368 3.381 2.776
[2,] 0.8963 0.5830 3.434 4.516 5.004 2.017 4.456 3.717 1.384 4.600 3.332
[3,] 0.9715 0.6058 3.563 4.659 5.188 2.097 4.615 3.722 1.404 4.706 3.382
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.503 2.226 3.408 0.7151 2.652 1.128 2.258 2.996 3.055 3.571 1.514
[2,] 3.149 2.993 3.410 0.7189 2.865 1.148 2.274 3.005 3.422 3.982 1.541
[3,] 3.734 3.578 3.411 0.7204 3.249 1.163 2.424 3.145 3.441 4.055 1.547
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.994 2.605 2.916 1.334 3.950 3.347 4.156 4.354 6.546 6.889 3.469
[2,] 8.997 2.639 3.583 1.335 3.967 4.405 4.161 5.207 6.802 7.070 5.142
[3,] 9.072 2.655 3.808 1.338 3.986 4.451 4.162 5.256 7.281 7.372 5.929
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.029 4.388 2.605 4.699 2.350 1.701 1.662 3.122 2.411 6.526 6.361
[2,] 1.033 5.648 2.640 5.235 2.383 1.788 1.662 3.729 2.421 6.528 6.435
[3,] 1.033 5.689 2.642 6.051 2.391 1.901 1.670 3.791 2.423 6.549 6.748
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7500 0.8847 1.191 1.305 2.243 1.729 0.5875 10.06 11.19 6.204
[2,] 0.9777 1.2829 1.193 1.305 2.291 1.740 0.6167 11.27 11.62 6.534
[3,] 1.1350 1.2853 1.206 1.327 2.387 1.746 0.6440 12.24 11.77 7.222
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.035 3.022 10.94 7.304 6.943 1.079 2.572 5.37
[2,] 501.203 101.407 2292.40 5378.294 3026.154 217.727 570.678 806.06
[3,] 49.809 245.384 3543.76 2654.232 2781.319 274.164 704.695 751.33
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.105 4.69 4.115 3.676 3.901 3.958 8.435 5.667
[2,] 1345.578 4442.74 1325.309 3770.194 354.488 2975.081 4772.243 763.788
[3,] 1130.757 1267.20 1342.312 1150.394 501.108 1995.122 3234.560 1974.448
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.952 5.877 7.692 8.775 11.89 3.233 15.18 7.365
[2,] 3262.412 4469.737 4863.267 1520.366 3535.20 1346.608 9427.46 3514.328
[3,] 3429.307 2481.316 2499.131 3000.343 2226.87 542.981 5489.90 3292.385
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.56 7.713 7.522 1.6 7.425 0.966 6.456 2.021
[2,] 261.96 3331.511 4172.411 662.8 4962.186 230.912 3562.362 791.970
[3,] 190.07 3706.899 3467.343 812.8 3122.729 198.746 3446.200 897.359
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.151 7.337 7.338 6.789 6.305 4.78 3.251 1.725
[2,] 387.475 1872.180 2530.440 3022.543 948.703 1583.76 682.950 791.267
[3,] 569.358 3414.380 3345.463 2852.034 1345.897 729.23 361.884 175.719
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.686 1.331 3.773 4.796 1.102 0.6937 4.037 5.457
[2,] 166.487 171.541 1155.703 1556.123 329.577 297.5460 1898.351 2027.687
[3,] 406.628 37.311 1356.887 1526.380 547.532 240.3660 1385.078 1677.888
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.355 2.519 5.587 4.566 1.737 4.293 3.525 3.178
[2,] 63.512 535.104 1029.221 1376.708 310.429 4558.011 2692.027 2793.420
[3,] 1999.461 834.872 1752.583 278.404 346.903 1451.188 847.237 2931.879
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.826 4.327 0.908 3.368 1.432 2.867 3.805 3.88
[2,] 2924.826 166.573 108.382 1583.539 312.495 389.147 332.044 2252.13
[3,] 2863.845 127.888 67.920 2239.758 275.463 1226.042 1354.200 523.00
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.534 1.923 11.42 3.308 3.703 1.693 5.016 4.25
[2,] 2576.347 415.041 340.33 620.059 3041.864 89.257 538.360 4185.64
[3,] 1121.480 203.081 1704.50 426.756 1883.825 124.581 569.681 929.24
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.277 5.529 8.313 8.747 4.405 1.307 5.572 3.308
[2,] 310.438 4170.323 2701.429 2323.419 5546.491 123.355 5195.687 624.021
[3,] 107.933 1050.953 3794.950 3053.391 4312.530 7.954 1001.696 171.597
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.967 2.984 2.16 2.11 3.964 3.061 8.287 8.077
[2,] 3371.972 573.004 806.65 66.65 2979.179 323.509 180.148 1425.740
[3,] 4432.731 292.731 942.25 231.24 997.377 136.950 783.218 2967.005
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.9524 1.123 1.512 1.657 2.848 2.196 0.746 12.78
[2,] 916.5096 1357.442 90.773 18.506 683.944 275.332 274.305 7420.22
[3,] 842.2590 114.427 266.052 354.095 975.482 215.557 270.810 6981.50
[,97] [,98]
[1,] 14.21 7.878
[2,] 4563.11 2996.196
[3,] 2739.52 4493.603
[1] "--- VAR model 2017-10-07 02:31:00 completed"
[1] "Completed training sample: 2017-10-07 02:31:00 - 2017-10-07 10:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 03:01:00 - 2017-10-07 11:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.76442 -0.059460 -66.52 -72.69
-0.01285 -0.050492 -65.44 -66.14
0.09375 -0.002695 -59.29 -61.23
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-57.97 -0.15333 1.470 -4.335
-64.83 -0.02928 1.494 -2.261
-64.89 -0.03057 1.365 -1.446
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.703 -4.401 4.530 -23.31
-10.108 -7.306 3.787 -22.65
-6.575 -5.890 1.563 -25.82
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5410 -8.659 -13.06 0.822
0.5050 -12.220 -11.62 4.679
-0.5908 -14.874 -15.23 1.714
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.034 -24.918 -9.127 2.0037
-14.829 -7.348 -5.125 0.3117
-10.784 -11.361 -10.757 4.6292
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-59.91 -7.944 -116.4 -62.44
-58.48 -7.567 -124.8 -58.74
-71.07 -6.692 -128.2 -62.59
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.015 -66.57 -72.76 -18.43
-7.346 -59.72 -65.31 -18.33
-7.716 -64.30 -68.67 -18.38
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-68.59 -6.483 -62.38 -27.09
-67.38 -5.121 -68.53 -28.77
-63.61 -5.988 -61.93 -25.99
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.31 -64.19 -55.99 -62.22
-15.40 -71.54 -66.85 -63.98
-15.36 -65.16 -65.03 -68.11
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9800 -1.318 0.46271 0.2629
1.2420 -6.340 1.75588 0.5966
0.6858 -5.153 0.01891 0.1280
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.12186 -0.175708 -37.39 -42.34
0.08804 -0.005327 -41.09 -42.56
0.02442 -0.070529 -40.24 -45.56
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-15.69 -6.211 -35.36 10.223
-16.25 -6.249 -37.35 9.551
-15.69 -6.332 -37.09 7.696
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.0644 -5.964 -32.50 4.155
2.4493 -8.016 -28.32 1.780
0.6329 -6.353 -27.06 2.440
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.196 -24.16 -16.49 -20.37
-3.183 -25.77 -23.44 -21.58
-2.631 -24.01 -22.91 -20.27
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-22.33 -1.649 -0.06104 -29.87
-17.12 2.428 0.07065 -20.50
-25.23 3.422 0.01168 -18.91
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.689 -16.14 9.875 -2.830
-1.547 -14.11 8.391 -11.071
-1.728 -10.50 6.319 -8.716
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.794 0.01282 -1.982 1.2122
-9.326 -0.03469 -1.631 0.5855
-9.236 -0.40666 -1.194 0.1492
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.178 -0.302067 0.168639 -2.1618
-6.667 -0.168871 -0.102925 0.9415
-7.997 0.007999 0.009856 -0.2227
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7895 0.24827 11.469 10.39
-0.4373 -0.19550 7.787 11.44
-0.2009 -0.04438 8.054 12.83
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.011 0.062062 20.143 0.6973
5.505 -0.082074 10.632 -0.8309
4.615 0.005168 9.918 0.2840
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.824 3.2338 -4.618 0.33801
8.032 -0.4288 -5.630 -0.35171
6.757 2.5006 -4.050 0.04164
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.736 0.691 -1.1832 -4.772
-1.591 -0.537 -1.9737 2.052
-6.533 -0.152 -0.2991 -1.677
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-5.5828 -1.5436 -0.9941 -0.9309
-0.9141 -0.7985 -2.5111 -2.1458
-1.1741 -2.4143 -1.9819 -1.2466
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-12.437 -0.9945 -9.187 0.1338
-9.629 -0.5078 -7.822 -2.2476
-8.292 -0.0657 -8.753 -1.8651
rnd_95776.volume rnd_95787.volume
-66.15 -61.59
-67.09 -60.99
-74.28 -66.46
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.494 2.572 8.819 6.311 6.061 0.8561 2.161 5.183 5.245 4.177 3.090
[2,] 4.504 2.573 9.192 7.440 6.506 0.8716 2.188 5.192 5.337 5.386 3.583
[3,] 4.512 2.577 9.566 7.613 6.820 0.8881 2.248 5.366 5.415 5.417 3.601
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.090 3.175 3.373 6.710 4.737 4.983 5.050 8.476 7.138 9.96 2.775
[2,] 4.069 3.194 4.037 7.450 4.819 5.482 6.167 9.139 7.258 10.23 2.943
[3,] 4.189 3.222 4.354 7.979 4.910 5.928 6.387 9.276 7.720 10.38 2.964
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.29 6.519 0.4650 6.664 6.500 1.316 6.061 0.7689 5.826 1.693 1.012
[2,] 15.07 6.718 0.4912 7.270 7.268 1.384 6.863 0.7877 6.444 1.773 1.060
[3,] 15.32 7.048 0.5145 7.805 7.599 1.501 7.306 0.8058 7.106 1.870 1.149
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.365 6.527 5.973 5.328 4.049 3.159 1.600 2.299 1.143 3.456 4.197
[2,] 6.496 6.928 6.647 5.358 4.238 3.162 1.603 2.300 1.149 3.548 4.411
[3,] 7.091 7.256 6.891 5.435 4.266 3.166 1.614 2.310 1.149 3.740 4.531
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.8974 0.5703 4.026 4.628 5.405 2.106 4.247 3.981 1.416 3.643 2.974
[2,] 0.9288 0.5991 4.285 4.844 5.418 2.151 4.761 4.095 1.442 4.724 3.512
[3,] 0.9998 0.6179 4.414 5.016 5.719 2.211 4.902 4.101 1.466 4.821 3.721
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.647 2.306 3.969 0.8172 2.985 1.224 2.322 3.384 3.184 3.730 1.612
[2,] 3.313 3.164 3.972 0.8179 3.142 1.228 2.359 3.416 3.501 4.098 1.634
[3,] 3.899 3.681 3.975 0.8211 3.503 1.232 2.616 3.605 3.515 4.148 1.637
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.166 2.847 3.083 1.432 4.308 3.534 4.969 5.099 6.638 6.911 3.762
[2,] 9.167 2.882 3.800 1.434 4.317 4.841 4.971 6.184 6.841 7.347 5.439
[3,] 9.233 2.900 4.019 1.439 4.320 4.870 5.013 6.225 7.313 7.854 6.336
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.114 4.665 2.830 4.928 2.523 1.809 1.931 3.560 2.671 6.851 6.826
[2,] 1.119 5.646 2.848 5.342 2.543 1.898 1.932 4.168 2.676 6.856 6.908
[3,] 1.119 6.108 2.863 6.225 2.554 2.060 1.936 4.241 2.686 6.880 7.198
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8488 1.005 1.409 1.452 2.426 1.971 0.6185 9.63 12.41 7.058
[2,] 1.1258 1.457 1.413 1.455 2.474 1.977 0.6431 10.84 12.87 7.218
[3,] 1.3120 1.458 1.452 1.497 2.599 1.989 0.6875 11.77 12.98 7.868
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.707 3.266 11.2 8.014 7.696 1.087 2.744 6.582
[2,] 440.667 64.419 3896.4 5923.712 3553.787 245.771 516.959 445.740
[3,] 416.141 231.013 3984.4 2426.492 3074.714 256.616 775.832 2041.976
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.661 5.304 3.923 3.924 4.032 4.283 8.521
[2,] 1481.307 5110.728 2729.270 3980.457 523.084 3336.251 4865.009
[3,] 1375.754 876.103 535.392 1492.766 640.032 2451.556 4296.649
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 6.015 6.328 6.412 10.76 9.064 12.65 3.524 16.88
[2,] 1334.166 3434.526 5320.966 5137.76 1979.741 3494.25 1473.850 10683.86
[3,] 1411.525 3389.527 2499.117 2382.62 3953.705 2677.54 530.283 4164.03
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 8.279 0.5905 8.462 8.255 1.672 7.697 0.9764
[2,] 2439.110 238.1130 4370.449 4886.216 641.867 4837.410 257.0898
[3,] 3203.078 230.0277 4269.371 3335.827 874.958 3768.666 255.1646
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 7.398 2.15 1.285 8.083 8.288 7.585 6.765 5.142
[2,] 4138.710 789.67 470.880 1953.541 3490.272 4383.815 850.801 1883.626
[3,] 4505.012 894.91 668.544 4274.012 3242.330 2733.241 1376.562 726.459
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.012 2.032 2.92 1.452 4.389 5.329 1.14 0.7242
[2,] 219.628 133.239 48.48 177.824 1209.124 2038.898 359.83 275.7356
[3,] 229.922 290.539 330.01 3.866 1777.342 1560.618 556.25 227.4188
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.112 5.877 6.864 2.674 5.392 5.056 1.798 4.626
[2,] 2206.323 2148.057 562.450 657.546 3234.589 1438.972 414.735 4521.375
[3,] 1589.779 1956.886 2753.099 770.059 1754.728 341.188 392.658 1446.016
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.777 3.362 2.928 5.04 1.038 3.791 1.554 2.948
[2,] 2809.000 2994.049 3257.526 239.50 49.624 1473.913 161.885 624.303
[3,] 1845.794 3089.319 2826.943 207.78 109.222 2329.117 150.742 1701.929
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.297 4.043 4.736 2.047 11.64 3.615 3.915 1.819
[2,] 708.986 2190.391 2551.377 400.700 195.76 673.539 3340.683 94.214
[3,] 1731.424 458.332 963.702 152.639 1666.95 487.577 1965.520 194.356
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 5.471 4.488 6.31 6.475 8.43 8.775 4.777 1.415
[2,] 421.936 4972.837 187.79 5260.667 2480.90 3750.377 5905.602 144.814
[3,] 224.583 803.453 971.41 1071.676 3885.77 4175.518 4883.978 39.486
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 5.924 3.594 6.258 3.203 2.298 2.453 4.521 3.392
[2,] 4780.904 477.749 3098.157 481.283 860.657 45.709 3258.832 247.483
[3,] 3502.583 446.459 4806.009 352.552 1204.875 200.197 1175.420 345.974
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 8.7 8.668 1.078 1.276 1.789 1.844 3.081 2.503
[2,] 399.9 1593.515 1111.972 1585.739 160.226 153.061 727.194 223.111
[3,] 856.2 3041.604 1012.614 84.205 504.604 528.273 1196.916 338.339
[,95] [,96] [,97] [,98]
[1,] 0.7854 12.23 15.76 8.962
[2,] 264.8414 7482.77 5107.27 2273.722
[3,] 365.6898 6907.36 2591.59 4706.072
[1] "--- VAR model 2017-10-07 03:01:00 completed"
[1] "Completed training sample: 2017-10-07 03:01:00 - 2017-10-07 11:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 03:31:00 - 2017-10-07 11:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8939 0.03588 -60.98 -56.84
0.3451 0.08944 -65.44 -64.89
-0.3016 0.05201 -59.81 -58.70
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.92 1.687 0.19650 -4.621
-60.86 1.560 0.02801 -5.727
-64.51 1.035 0.05224 -4.128
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.695 -10.278 -0.6772 -32.40
-7.225 -6.997 -0.7528 -25.36
-7.029 -7.946 -1.1651 -27.08
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6635 -18.33 -15.41 0.03309
-0.1711 -14.52 -19.90 0.12813
0.1358 -12.02 -13.80 0.22424
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-25.40 -8.038 -17.61 -10.791
-24.95 -15.333 -19.24 -8.747
-15.63 -9.296 -14.54 -10.381
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-60.36 -7.103 -131.2 -69.52
-63.39 -7.098 -121.5 -62.05
-61.46 -6.750 -135.4 -63.03
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.132 -69.36 -69.27 -15.74
-6.867 -63.82 -70.01 -15.96
-7.132 -60.31 -65.58 -16.59
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-50.74 -7.130 -58.05 -29.18
-65.97 -5.987 -71.60 -27.55
-67.22 -6.516 -66.10 -27.28
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.47 -71.71 -57.05 -59.05
-15.81 -66.17 -61.27 -64.11
-16.30 -72.78 -64.90 -73.03
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.463 -1.1384 0.8995 0.1191
1.060 -2.6219 1.0013 0.6040
2.056 -0.4591 -0.1344 -0.1130
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.0557 -0.07795 -36.71 -45.03
-0.8621 -0.09238 -33.37 -40.82
-0.4828 0.07920 -35.09 -40.52
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-7.054 -4.679 -38.91 9.384
-5.576 -4.527 -39.92 6.146
-6.949 -4.824 -38.79 7.004
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.177 -4.693 -28.11 6.668
5.490 -5.429 -16.87 6.517
6.786 -4.953 -25.74 5.653
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.1495 -19.42 -13.86 -16.46
-0.1402 -19.94 -21.20 -19.32
-1.5630 -19.06 -15.07 -15.92
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.25 -0.1286 -0.33859 -12.62
-15.70 0.3537 -0.13299 -14.93
-20.76 -1.3325 -0.05121 -16.58
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.279 -10.926 0.2290 -10.164
-2.018 -8.949 -0.6400 -5.980
-2.385 -9.996 -0.6993 -8.398
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.367 0.168449 -0.5253 -0.7953
-7.202 0.006069 -0.6776 -0.2695
-7.937 -0.019157 -0.5251 -0.1001
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-15.501 -0.10448 -0.2559 -11.3245
-8.058 -0.27563 -0.3517 0.5263
-7.912 -0.06277 0.1559 -0.6149
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.9824 -12.2436 12.55 -5.788
-0.5735 0.1806 14.57 -8.804
-0.2990 -1.5349 15.21 -3.003
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.550 -0.54507 -1.2995 0.88634
-5.770 -0.18431 0.4719 -0.32523
6.477 0.01588 0.2275 0.04604
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.504 -0.1067 -2.020 0.05933
2.885 1.8173 -3.982 0.13303
-3.807 -0.7192 -1.484 0.03283
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.543 -0.0500 -0.01987 -3.859
-4.292 -0.2935 0.65866 -2.370
-2.494 0.1027 0.18654 -1.023
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.12407 -0.3708 1.5766 0.8319
0.01737 -0.3213 0.9459 0.3820
0.45703 2.0364 0.6792 0.2296
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.913 1.7565 -9.519 0.36925
-3.206 -1.1486 -9.425 0.02926
-7.916 0.6122 -9.118 -0.30512
rnd_95776.volume rnd_95787.volume
-48.65 -64.67
-61.77 -61.78
-58.53 -61.45
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.816 2.749 9.353 6.956 6.627 0.9313 2.309 5.562 5.701 4.440 3.744
[2,] 4.817 2.751 9.507 8.109 7.067 0.9535 2.333 5.570 5.863 5.803 3.895
[3,] 4.823 2.759 9.792 8.285 7.364 0.9698 2.412 5.802 5.880 5.846 4.060
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.298 3.262 3.582 6.831 5.526 5.442 5.766 10.03 7.824 10.72 3.191
[2,] 4.433 3.289 4.241 7.568 5.576 5.851 6.747 10.51 8.061 11.06 3.291
[3,] 4.544 3.309 4.626 8.118 5.631 6.317 6.960 10.59 8.425 11.16 3.319
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.38 7.148 0.4961 7.117 7.331 1.349 6.701 0.8011 6.492 1.866 1.094
[2,] 16.81 7.395 0.5221 7.666 8.095 1.409 7.383 0.8317 7.217 1.948 1.156
[3,] 17.11 7.782 0.5441 8.283 8.479 1.513 7.787 0.8538 7.979 2.080 1.226
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.025 7.113 6.637 5.682 4.188 3.385 1.762 2.780 1.232 4.021 4.760
[2,] 7.207 7.458 7.365 5.718 4.423 3.387 1.762 2.788 1.239 4.181 5.030
[3,] 7.875 7.905 7.589 5.777 4.450 3.387 1.782 2.798 1.239 4.337 5.237
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.493 0.6745 4.164 4.904 5.623 2.207 4.724 4.371 1.506 3.879 3.286
[2,] 1.571 0.7254 4.392 5.065 5.702 2.252 5.175 4.527 1.534 5.064 3.822
[3,] 1.747 0.7418 4.518 5.323 6.159 2.309 5.411 4.539 1.556 5.187 4.025
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.823 2.379 4.182 0.8715 3.219 1.308 2.462 3.976 3.298 3.981 1.753
[2,] 3.489 3.407 4.184 0.8747 3.367 1.311 2.513 4.111 3.663 4.297 1.757
[3,] 4.156 3.930 4.184 0.8814 3.830 1.320 2.814 4.333 3.678 4.348 1.757
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.368 2.987 3.311 1.527 4.656 3.763 5.364 5.490 7.078 7.417 3.899
[2,] 9.368 3.030 4.111 1.527 4.657 5.118 5.369 6.673 7.240 7.847 5.731
[3,] 9.461 3.046 4.291 1.532 4.659 5.132 5.418 6.710 7.973 8.454 6.624
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.230 4.866 2.984 5.162 2.714 2.052 2.052 3.791 2.935 7.371 7.125
[2,] 1.234 5.554 2.996 5.618 2.752 2.148 2.058 4.441 2.938 7.376 7.164
[3,] 1.234 6.334 3.000 6.492 2.764 2.302 2.062 4.515 2.944 7.421 7.528
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.162 1.516 1.765 1.723 2.505 2.398 0.6477 9.22 13.51 7.399
[2,] 1.351 1.829 1.800 1.744 2.547 2.468 0.6819 10.45 14.17 7.580
[3,] 1.562 1.831 1.835 1.788 2.693 2.481 0.7237 11.37 14.29 8.274
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.115 3.491 11.88 8.833 8.416 1.183 2.933 7.063
[2,] 134.829 165.383 2559.99 6263.230 3690.556 307.088 494.793 433.939
[3,] 364.850 306.845 3527.78 2558.378 3108.459 266.532 922.821 2441.772
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 7.239 5.638 4.754 4.187 4.142 4.549 8.675
[2,] 2059.218 5617.800 1614.285 4454.718 637.232 3412.372 4896.220
[3,] 673.016 1055.551 1724.411 1499.808 534.350 2778.996 4414.130
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 7.018 6.91 7.322 12.74 9.936 13.62 4.052 18.26
[2,] 1117.706 3230.99 5266.889 4722.61 2912.020 4083.15 1214.298 13085.62
[3,] 1177.844 3580.31 2570.341 1896.14 3682.217 2229.19 642.304 4761.79
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.077 0.63 9.038 9.309 1.713 8.509 1.017 8.243
[2,] 2847.261 244.55 4279.925 5162.870 613.713 4659.691 336.057 4739.564
[3,] 3645.145 230.15 4716.426 3792.583 827.159 3723.212 290.105 5114.443
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.369 1.389 8.921 9.033 8.427 7.216 5.318 4.298
[2,] 845.191 560.286 2416.774 3369.702 4800.345 957.625 2137.564 194.097
[3,] 1096.343 615.966 4772.427 3937.118 2751.238 1237.201 740.154 71.669
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.237 3.53 1.564 5.106 6.045 1.896 0.8565 5.288
[2,] 33.067 319.21 196.763 1726.401 2442.871 736.988 401.0945 2098.624
[3,] 399.370 356.53 30.814 1731.315 2191.414 1149.047 233.4942 1596.515
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 6.227 7.14 2.802 5.999 5.551 1.913 4.925 4.173
[2,] 1908.932 1419.52 676.033 3174.331 1769.607 435.960 4894.808 2934.744
[3,] 2460.260 3499.11 768.731 2378.974 483.075 391.583 1688.456 1896.525
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.584 3.021 5.31 1.107 4.088 1.66 3.127 5.049
[2,] 3081.648 3666.740 180.38 112.907 1483.338 146.80 752.857 1568.620
[3,] 3396.723 2945.759 119.22 163.518 2746.001 225.94 1902.728 2059.767
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.187 5.055 2.226 11.90 3.793 4.205 1.939 5.913
[2,] 2396.191 2430.825 173.551 44.81 757.113 3662.503 5.487 67.978
[3,] 500.664 1004.306 32.390 1993.01 481.847 1847.891 190.240 208.597
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 4.779 6.811 6.971 8.987 9.419 4.951 1.562
[2,] 5212.917 346.079 5702.253 2295.284 3848.784 6314.426 133.273
[3,] 580.382 1098.417 1066.030 5017.941 4731.149 4992.169 42.479
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 6.179 3.789 6.554 3.447 2.606 2.605 4.814 3.727
[2,] 4024.158 399.837 3336.012 683.364 952.900 238.903 3477.694 206.975
[3,] 4579.132 252.447 4890.472 383.575 1243.902 187.563 1218.864 276.064
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 9.361 9.048 1.475 1.925 2.241 2.188 3.181 3.046
[2,] 373.455 1120.509 1035.888 1538.916 532.421 407.060 690.421 871.889
[3,] 1230.296 3476.913 1180.435 111.310 537.092 591.794 1313.419 387.597
[,95] [,96] [,97] [,98]
[1,] 0.8225 11.71 17.15 9.396
[2,] 320.3414 7383.33 6421.87 2471.511
[3,] 364.6906 6735.91 2831.10 4989.011
[1] "--- VAR model 2017-10-07 03:31:00 completed"
[1] "Completed training sample: 2017-10-07 03:31:00 - 2017-10-07 11:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 04:01:00 - 2017-10-07 12:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.08314 1.2162 -43.48 -56.83
0.02173 0.6121 -62.92 -60.33
-0.32702 0.1847 -58.34 -64.75
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-61.70 0.6131 2.231 -2.425
-58.96 0.2707 2.358 -3.595
-62.70 0.3585 2.173 -2.223
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.885 -5.936 -2.4416 -29.93
-7.242 -5.360 0.4138 -24.11
-6.937 -7.378 -0.2510 -24.74
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.9020 -21.21 -20.08 -2.282
-0.6184 -15.86 -16.60 -2.668
-0.5695 -15.27 -13.87 -2.666
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.59 -14.24 -8.745 7.924
-23.62 -16.10 -9.431 10.004
-18.60 -13.29 -15.326 8.474
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-54.17 -8.784 -133.4 -58.72
-58.69 -8.338 -122.9 -58.86
-56.94 -7.501 -137.8 -57.35
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.346 -61.46 -63.66 -19.53
-9.304 -65.02 -66.16 -19.12
-8.882 -60.57 -63.64 -19.00
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-59.34 -7.691 -55.73 -29.44
-67.21 -7.994 -63.83 -28.29
-68.07 -7.587 -64.43 -29.18
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.68 -73.89 -65.39 -71.75
-15.05 -70.54 -64.26 -66.80
-15.23 -73.02 -65.58 -66.18
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6848 -3.383 -1.107 0.2912
0.1811 -3.019 3.932 1.2436
0.2449 -1.220 -2.986 0.2791
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.35317 0.62294 -28.97 -43.88
-0.46689 0.03564 -31.33 -39.50
-0.04215 0.32646 -32.36 -37.64
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.8626 -3.762 -35.68 9.898
0.8448 -4.277 -33.30 12.017
0.5910 -4.178 -32.28 10.383
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.8483 -5.254 -25.13 9.785
0.3896 -4.401 -15.74 9.355
2.0186 -5.019 -20.71 11.634
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.934 -20.28 -14.30 -14.90
-1.330 -16.72 -18.19 -17.78
-1.029 -15.26 -12.39 -12.55
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.87 1.1522 0.20493 -13.70
-15.55 -0.6011 0.06160 -13.21
-17.28 -0.1700 -0.04235 -14.72
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.447 -9.14 3.846 -7.612
-2.216 -11.06 5.581 -6.515
-1.703 -9.75 3.718 -8.401
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.716 -1.0061 -1.764 0.4124
-5.734 -0.3151 8.093 0.4717
-6.883 -0.3915 6.282 0.4185
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.181 0.56029 -0.07625 -9.4201
-2.372 -1.04788 -0.31575 0.4550
-5.119 -0.03501 0.06928 -0.3665
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3829 -10.3825 12.08 6.345
0.3133 1.0109 13.12 5.328
0.2872 -0.8872 12.85 5.866
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.033 -0.0138 6.617 0.2254
-3.145 -0.1118 5.098 0.1217
8.062 0.0257 3.108 0.1339
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.60084 1.6107 -1.339 0.5144
9.03370 1.7708 -6.373 0.1023
-0.07594 0.7407 -1.973 -0.2590
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.260 -0.8005 -0.8846 -8.641
-2.681 0.5043 -2.4800 -4.841
-3.791 1.1913 -0.3221 -7.907
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1964 -0.20441 -0.04434 1.9961
0.1333 1.48268 -0.14130 -0.2732
0.9042 0.09025 0.03064 0.5973
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.457 -1.1500 -10.389 -0.31095
-5.434 0.9112 -10.613 -0.81121
-6.193 -0.6169 -9.966 -0.08177
rnd_95776.volume rnd_95787.volume
-39.69 -67.23
-48.53 -67.35
-51.39 -66.83
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.008 2.977 9.975 7.462 7.443 1.005 2.459 5.979 6.146 4.835 3.977
[2,] 5.008 2.977 10.413 8.582 7.936 1.023 2.498 5.990 6.192 6.292 4.163
[3,] 5.009 2.990 10.683 8.825 8.338 1.040 2.563 6.215 6.196 6.323 4.323
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.605 3.452 3.955 8.044 5.679 5.805 6.524 10.77 8.014 12.97 3.148
[2,] 4.847 3.494 4.559 8.683 5.752 6.252 7.314 11.38 8.280 13.35 3.255
[3,] 4.964 3.519 4.929 9.374 5.823 6.711 7.490 11.52 8.657 13.48 3.293
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.51 7.895 0.5517 7.657 8.286 1.412 7.286 0.8069 7.058 2.009 1.185
[2,] 17.98 8.047 0.5857 8.227 9.096 1.497 8.062 0.8250 7.813 2.091 1.223
[3,] 18.58 8.441 0.6128 8.810 9.361 1.631 8.485 0.8408 8.572 2.238 1.304
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.606 7.935 6.959 6.019 4.615 3.993 2.000 3.088 1.365 4.259 5.112
[2,] 7.861 8.311 7.764 6.045 4.823 3.995 2.005 3.088 1.380 4.503 5.454
[3,] 8.540 8.757 8.011 6.092 4.835 3.995 2.082 3.118 1.380 4.657 5.642
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.949 0.7769 4.530 5.219 6.109 2.400 5.023 4.643 1.574 4.011 3.473
[2,] 2.105 0.8453 4.743 5.403 6.232 2.432 5.540 4.809 1.617 5.382 3.957
[3,] 2.328 0.8696 4.910 5.710 6.706 2.496 5.899 4.824 1.631 5.576 4.168
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.965 2.487 4.572 0.9758 3.468 1.380 2.599 3.886 3.414 4.333 1.826
[2,] 3.676 3.679 4.572 0.9773 3.657 1.395 2.660 3.910 3.786 4.590 1.848
[3,] 4.438 4.169 4.573 0.9799 4.223 1.401 2.942 4.126 3.803 4.610 1.850
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.824 3.415 3.560 1.539 4.864 4.192 5.600 5.814 7.500 8.180 4.145
[2,] 9.825 3.438 4.469 1.559 4.865 5.688 5.616 7.117 7.745 8.377 6.008
[3,] 9.962 3.445 4.633 1.574 4.866 5.697 5.696 7.165 8.422 8.833 6.923
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.307 4.942 3.145 5.358 2.861 2.177 2.267 4.030 3.233 7.827 7.118
[2,] 1.308 5.668 3.162 5.937 2.886 2.296 2.284 4.808 3.233 7.829 7.235
[3,] 1.308 6.425 3.164 6.879 2.911 2.482 2.287 4.889 3.238 7.948 7.433
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.480 1.791 1.866 1.949 2.803 2.713 0.6912 8.765 14.46 7.874
[2,] 1.565 2.069 1.977 1.971 2.837 2.793 0.7193 9.887 15.59 8.154
[3,] 1.734 2.070 2.002 2.022 3.080 2.867 0.7668 10.778 15.85 8.661
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.359 3.781 12.67 9.476 9.451 1.276 3.122 7.592
[2,] 10.470 45.366 4235.51 6007.790 3902.277 268.180 627.255 517.228
[3,] 163.260 392.304 3381.41 2912.493 3626.353 271.593 808.998 2350.092
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.805 6.14 5.05 4.578 4.383 5.023 10.21 7.211
[2,] 1068.683 5706.56 1744.46 4590.963 765.822 3212.930 4634.99 1299.356
[3,] 320.883 891.02 1652.38 1519.145 597.709 2657.237 5005.25 1283.784
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.372 8.284 13.67 10.18 16.47 3.998 19.7 10.02
[2,] 3288.078 4686.194 5224.65 2947.68 4489.60 1172.872 12893.9 2208.23
[3,] 3458.538 2284.126 2552.99 3581.31 2630.43 699.543 6595.6 3614.01
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7005 9.723 10.52 1.793 9.252 1.025 8.962 2.551
[2,] 278.9997 4262.003 5316.17 703.037 4890.226 243.361 4749.376 822.113
[3,] 254.9620 4469.415 3138.19 918.734 3752.694 230.393 4996.772 1130.310
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.505 9.659 10.08 8.836 7.643 5.86 5.071 2.54
[2,] 427.438 2815.130 3506.52 4881.482 798.934 1989.24 146.797 209.77
[3,] 642.573 4730.138 3908.54 2793.633 1072.941 465.07 68.052 792.76
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.921 1.734 5.409 6.492 2.474 0.9866 5.752 6.627
[2,] 3.203 278.741 2073.315 2690.761 1127.170 471.9760 1993.066 1984.346
[3,] 610.915 72.146 1680.596 2047.299 1410.152 289.5244 1796.892 2617.808
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.757 3.047 6.378 5.896 1.999 5.093 4.41 3.765
[2,] 1751.400 562.725 3310.897 1777.082 522.347 5085.336 2687.18 3078.532
[3,] 3509.590 790.822 2874.408 526.081 304.003 2068.603 1857.60 3525.272
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.158 5.806 1.239 4.404 1.753 3.3 4.934 4.335
[2,] 3842.074 29.528 77.473 1641.643 283.408 800.9 620.924 2319.888
[3,] 2779.611 153.607 101.528 2992.932 183.449 1780.6 1866.076 512.360
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.502 2.319 12.48 4.337 4.521 1.954 6.177 5.324
[2,] 2146.498 395.442 52.11 562.630 3828.447 354.617 43.938 5448.306
[3,] 604.218 131.534 2339.44 291.486 1732.667 308.209 174.222 446.268
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.11 7.382 9.524 10.39 5.264 1.659 6.275 3.993
[2,] 602.96 5818.642 2737.105 2562.69 6162.679 76.936 3933.812 469.773
[3,] 1353.31 1169.100 4689.625 3971.72 4874.360 11.035 4288.884 174.674
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.803 3.633 2.764 2.879 5.118 4.105 9.939 9.039
[2,] 3625.565 538.867 1033.602 389.569 3714.953 17.559 252.672 1839.087
[3,] 4924.341 536.969 1337.447 170.099 1261.845 259.423 1935.932 2415.338
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.879 2.274 2.369 2.475 3.559 3.445 0.8777 11.13
[2,] 723.321 1466.725 926.777 417.616 620.637 940.103 282.0567 6483.29
[3,] 1057.806 95.110 449.370 637.276 1698.666 921.818 376.5376 6081.51
[,97] [,98]
[1,] 18.36 9.999
[2,] 8272.42 3002.748
[3,] 3998.71 4138.160
[1] "--- VAR model 2017-10-07 04:01:00 completed"
[1] "Completed training sample: 2017-10-07 04:01:00 - 2017-10-07 12:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 04:31:00 - 2017-10-07 12:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8569 0.52809 -58.15 -65.99
-0.2781 -0.90044 -61.41 -65.43
-0.1830 0.09757 -64.92 -62.82
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.86 0.7037 0.52202 1.218
-62.05 0.7471 0.54001 -4.731
-67.96 0.9642 0.03945 -3.477
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.511 -18.4070 1.981 -34.59
-6.550 -0.5958 4.295 -21.17
-6.705 -8.0414 3.240 -25.51
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.113 -8.217 -8.198 -2.396
1.709 -20.286 -18.638 -2.268
2.118 -10.727 -10.273 -2.253
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.08 -14.27 -21.33 12.35
-27.72 -16.59 -18.35 10.32
-20.92 -17.13 -21.80 9.63
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-55.85 -9.261 -143.6 -63.68
-56.22 -8.039 -130.2 -58.79
-60.85 -8.856 -126.5 -59.37
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.891 -72.01 -76.63 -18.59
-9.099 -67.89 -72.78 -18.42
-8.904 -62.21 -66.19 -18.03
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-60.31 -8.360 -55.03 -30.17
-71.80 -7.731 -70.40 -30.18
-70.07 -7.126 -68.86 -29.91
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.53 -56.97 -63.81 -62.02
-13.24 -70.45 -66.83 -58.21
-13.32 -63.10 -66.90 -73.51
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.301 -6.122 -0.6641 0.32055
1.857 -3.024 0.7867 -0.55857
1.339 -1.067 -1.8682 -0.01221
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.01778 0.3176 -33.28 -33.53
-0.78906 -0.2165 -30.58 -31.14
-0.12110 0.2442 -29.94 -35.47
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.102 -3.651 -29.95 6.274
-2.292 -4.041 -33.17 5.926
-2.412 -4.371 -33.08 7.224
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.0203 -5.652 -26.99 9.321
-4.5047 -5.519 -23.28 10.848
0.5349 -5.819 -23.36 10.372
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.816 -21.97 -14.72 -14.32
-1.198 -20.69 -17.47 -19.30
-1.911 -20.65 -17.36 -16.43
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.83 0.8143 -0.001462 -20.23
-17.19 -0.2375 -0.068211 -12.18
-17.71 -0.3855 -0.075539 -16.76
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.292 -11.326 1.173 -8.840
-2.639 -10.202 2.110 -9.900
-1.605 -8.704 3.001 -9.208
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.401 -0.7085 -0.2184 0.7319
-6.971 -0.7445 -1.0709 0.6622
-5.806 -0.5141 -0.4118 0.1122
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.475 -0.4843 -0.007093 3.27099
-6.394 -0.4749 -0.007491 -0.93765
-5.928 -0.6090 -0.007294 -0.01481
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.2211 -0.6446 17.30 8.656
0.4698 -0.8921 15.58 6.807
0.1237 -1.0522 15.53 3.291
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.183 -0.04499 0.1166 -0.3579
9.266 0.08144 6.2496 -0.1239
6.649 -0.01155 7.9018 -0.1220
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.770 2.99081 -4.432 0.05534
1.841 -0.03273 -3.533 0.06058
7.157 -0.05705 -4.363 -0.06499
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.774 -1.0272 0.7774 -9.382
-1.550 0.6744 2.3014 -8.725
-3.979 -0.2750 0.6436 -7.893
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7233 0.9763 -0.02895 -2.723
1.6166 0.5505 0.95034 0.998
-0.5751 0.2000 1.03873 1.361
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.623 -1.2937 -10.067 -1.6717
-5.001 1.3270 -9.696 -0.5494
-4.419 -0.7139 -9.499 -1.7986
rnd_95776.volume rnd_95787.volume
-50.22 -58.12
-59.51 -62.26
-48.69 -57.76
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.321 3.189 10.52 8.104 8.289 1.075 2.525 6.299 6.588 5.055 4.245
[2,] 5.321 3.191 10.56 9.321 8.847 1.091 2.562 6.302 6.686 6.543 4.445
[3,] 5.334 3.208 10.84 9.472 9.175 1.110 2.636 6.601 6.700 6.589 4.634
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.847 3.678 4.253 8.003 5.988 5.909 6.941 11.06 8.600 13.31 3.166
[2,] 5.129 3.728 4.813 8.678 6.076 6.418 7.519 11.72 9.020 13.56 3.274
[3,] 5.275 3.769 5.313 9.462 6.141 6.938 7.743 11.86 9.671 13.80 3.315
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 16.16 8.221 0.5867 8.315 8.783 1.502 7.592 0.8355 7.892 2.220 1.290
[2,] 19.07 8.601 0.6245 8.783 9.729 1.572 8.473 0.8764 8.654 2.316 1.344
[3,] 19.36 8.979 0.6540 9.444 10.094 1.693 8.846 0.8952 9.438 2.512 1.410
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 8.425 8.366 7.367 6.237 4.908 4.580 2.071 3.391 1.530 4.646 5.329
[2,] 8.703 8.782 8.382 6.271 5.177 4.612 2.075 3.391 1.535 4.823 5.609
[3,] 9.252 9.175 8.586 6.315 5.186 4.629 2.141 3.408 1.536 4.978 5.802
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.145 0.9351 4.814 5.469 6.952 2.536 5.273 5.183 1.659 4.302 3.610
[2,] 2.307 1.0063 5.079 5.697 7.012 2.576 5.773 5.472 1.695 5.780 4.190
[3,] 2.570 1.0395 5.215 6.028 7.576 2.627 6.151 5.607 1.703 5.953 4.395
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.134 2.582 4.853 1.022 3.730 1.418 2.936 4.126 3.575 4.630 1.910
[2,] 3.829 3.835 4.857 1.025 3.895 1.430 2.983 4.150 4.023 4.922 1.935
[3,] 4.632 4.385 4.858 1.028 4.518 1.437 3.222 4.387 4.060 4.955 1.940
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 10.47 3.616 3.829 1.651 5.115 4.375 5.886 6.125 7.780 8.010 4.311
[2,] 10.48 3.638 4.769 1.679 5.115 5.879 5.901 7.471 8.081 8.432 6.170
[3,] 10.68 3.646 4.917 1.696 5.115 5.890 5.976 7.515 8.757 9.047 7.210
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.502 5.236 3.384 5.802 3.012 2.382 2.368 4.208 3.364 8.746 7.287
[2,] 1.502 5.921 3.413 6.302 3.036 2.506 2.398 5.033 3.364 8.749 7.419
[3,] 1.503 6.690 3.416 7.095 3.052 2.675 2.400 5.115 3.376 8.792 7.615
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.816 2.154 2.037 1.882 3.223 2.956 0.7475 8.266 15.38 8.601
[2,] 1.828 2.269 2.225 2.247 3.248 3.009 0.7867 9.259 16.43 8.850
[3,] 1.917 2.282 2.237 2.289 3.448 3.094 0.8256 10.029 16.68 9.358
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.757 4.05 13.35 10.29 10.53 1.365 3.206 7.998
[2,] 41.038 125.71 1231.16 5724.99 3843.66 235.074 542.603 245.253
[3,] 458.090 414.23 3048.91 2094.43 3022.26 249.581 769.622 2444.508
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.366 6.419 5.39 4.885 4.67 5.401 10.16 7.604
[2,] 1418.200 5165.060 1641.35 4216.417 755.84 2800.595 4171.50 1278.425
[3,] 534.143 964.812 1624.75 1536.396 690.10 2796.321 4689.09 1110.475
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.504 8.814 14.04 10.92 16.91 4.021 20.53 10.44
[2,] 3112.388 3596.683 4843.49 3380.44 3195.49 1036.642 12570.20 3141.35
[3,] 3278.248 2298.806 2267.61 4338.13 3190.05 643.728 4167.70 3207.64
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.745 10.56 11.15 1.907 9.641 1.061 10.02 2.819
[2,] 265.903 3515.91 5202.27 577.562 4676.999 329.325 4413.81 821.381
[3,] 241.477 4317.45 3345.18 780.181 3160.276 226.731 4681.59 1207.840
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.638 10.7 10.62 9.355 7.92 6.232 5.816 2.629
[2,] 467.494 2713.6 3322.38 4970.590 818.11 2050.832 670.793 172.585
[3,] 530.991 3903.9 3301.18 2313.241 917.98 368.160 502.256 653.983
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.306 1.943 5.9 6.767 2.724 1.187 6.113 6.944
[2,] 6.035 148.745 1608.0 2175.433 1055.427 462.359 2011.648 1986.591
[3,] 423.785 79.095 1534.6 1848.555 1407.427 323.996 1473.887 2448.336
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 8.828 3.22 6.696 6.582 2.107 5.463 4.585 3.98
[2,] 1142.483 561.60 2922.200 2181.472 430.976 4799.517 2644.834 2734.84
[3,] 3566.915 637.64 2640.088 1520.747 212.716 1770.185 1647.261 3239.74
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.278 6.163 1.298 4.737 1.8 3.728 5.24 4.539
[2,] 3526.207 247.634 91.507 1393.697 231.4 657.102 548.08 2294.961
[3,] 2642.919 56.830 93.156 2846.985 172.7 1512.529 1767.39 679.498
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.88 2.425 13.3 4.592 4.862 2.097 6.495 5.555
[2,] 2074.22 388.733 395.9 490.980 3534.744 378.272 61.489 4882.852
[3,] 713.85 166.456 2613.9 298.508 1491.493 296.287 21.279 449.113
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 7.475 7.778 9.88 10.17 5.475 1.907 6.649 4.297
[2,] 510.538 5318.308 2714.34 3273.54 5488.406 26.843 3436.128 549.162
[3,] 1179.076 1001.922 4194.29 4076.51 4636.293 47.305 3871.346 185.404
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 7.368 3.825 3.025 3.007 5.344 4.272 11.11 9.254
[2,] 3057.458 472.599 968.182 466.488 3431.767 9.126 297.71 1732.355
[3,] 4053.597 394.876 1161.231 130.297 1134.099 352.636 1080.96 2133.793
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.306 2.736 2.586 2.39 4.093 3.753 0.9492 10.5
[2,] 262.250 886.269 1113.904 1527.13 500.860 698.926 304.7167 5184.2
[3,] 715.890 297.861 286.526 539.59 1436.647 899.174 311.7147 4792.3
[,97] [,98]
[1,] 19.52 10.92
[2,] 7194.88 2589.50
[3,] 3605.69 3782.07
[1] "--- VAR model 2017-10-07 04:31:00 completed"
[1] "Completed training sample: 2017-10-07 04:31:00 - 2017-10-07 12:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 05:01:00 - 2017-10-07 13:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.85869 0.5078 -56.66 -64.92
0.63312 -0.4993 -62.75 -53.29
-0.05259 0.1565 -59.00 -55.01
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-65.19 0.723290 -0.7883 -1.3164
-66.05 0.615239 -1.1125 -0.8793
-53.77 -0.005066 -1.1410 -0.8362
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.860 -5.345 0.6643 -25.34
-3.701 -2.304 1.9097 -25.41
-3.638 -1.159 1.2775 -22.39
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.5606 -12.70 -6.322 -5.088
1.3392 -14.65 -10.224 -3.994
-0.7813 -11.66 -8.448 -3.516
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.42 -14.94 -15.39 5.928
-19.07 -17.62 -13.34 7.112
-19.43 -15.31 -13.68 4.661
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.80 -8.522 -106.2 -54.41
-63.00 -8.652 -123.7 -56.56
-62.12 -8.412 -120.2 -56.08
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.299 -60.20 -64.59 -19.18
-8.571 -57.70 -56.27 -19.23
-8.040 -63.12 -61.64 -18.66
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-66.53 -7.736 -76.79 -28.44
-61.44 -8.090 -56.24 -29.95
-57.41 -7.975 -56.31 -28.22
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.20 -57.02 -67.39 -65.16
-14.01 -65.41 -68.00 -65.36
-13.67 -55.90 -57.53 -62.23
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.328 -1.9664 0.2818 0.1648
-1.114 -3.1475 -0.3214 -0.1477
3.236 -0.6358 -0.9493 -0.0399
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.6837 -0.38533 -23.82 -27.68
-0.3784 -0.04853 -24.50 -31.13
-0.1333 -0.29339 -23.63 -29.10
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.732 -1.973 -29.50 3.909
3.777 -3.321 -31.07 11.087
3.543 -3.482 -30.89 10.260
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.531 -4.714 -20.60 7.758
4.371 -3.684 -16.37 10.481
7.777 -3.963 -20.15 9.978
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.618 -21.22 -17.73 -18.23
-1.838 -16.35 -15.28 -16.38
-1.610 -18.23 -11.42 -10.23
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.536 -0.7426 0 -13.14
-20.293 -0.9478 0 -10.44
-14.716 2.1170 0 -17.22
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.586 -11.495 1.414 -11.147
-2.211 -4.545 2.935 -10.736
-1.870 -11.590 2.106 -4.432
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.372 -0.7870 -1.4252 -0.7297
-4.517 -0.2092 -0.6461 -0.3373
-4.813 -0.1680 -0.1693 -0.3971
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.708 -0.3961 -0.246405 1.42624
-7.651 -0.5640 -0.121705 0.50605
-3.674 -0.5903 -0.009954 -0.02941
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.9605 -4.2258 6.647 5.322
-1.3096 0.2171 7.992 6.250
-0.7706 0.8277 7.971 5.119
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.4654 0.03248 8.085 -0.1081
0.8402 0.21631 5.680 0.5803
4.8020 0.08888 3.158 -0.1158
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.9087 -0.1582 -4.781 0.9669
10.7500 -0.4628 -2.987 -0.3992
1.9634 -1.5509 -1.988 -0.1083
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.346 -1.7962 -0.14120 -5.366
-2.894 2.3454 0.04301 -7.529
-3.371 -0.5034 -0.01221 -5.427
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7232 1.0158 1.9968 5.8959
0.3744 0.9923 0.7727 0.5155
0.3135 1.5135 0.6617 0.2129
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.7894 -1.4738 -10.374 -1.616
0.1696 0.8247 -10.018 -1.554
-5.5622 -0.4745 -9.836 -2.328
rnd_95776.volume rnd_95787.volume
-40.66 -48.49
-58.17 -52.67
-42.97 -57.96
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.455 3.267 12.95 8.480 8.958 1.146 2.589 6.608 7.843 5.785 4.513
[2,] 5.456 3.268 12.98 9.755 9.471 1.165 2.627 6.608 7.901 7.705 4.707
[3,] 5.469 3.286 13.32 10.023 9.742 1.176 2.709 6.973 8.215 7.743 4.941
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.932 3.902 4.472 8.175 5.822 6.218 7.265 11.26 8.759 13.92 3.180
[2,] 5.665 3.957 5.105 8.855 5.855 6.677 7.763 11.92 9.214 14.10 3.290
[3,] 5.737 3.989 5.939 9.852 5.926 7.200 7.969 12.08 9.899 14.34 3.332
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 18.01 8.850 0.6117 8.848 9.159 1.563 8.144 0.8293 8.425 2.445 1.418
[2,] 20.61 9.181 0.6423 9.502 10.232 1.661 8.863 0.8733 9.258 2.604 1.485
[3,] 20.96 9.588 0.6628 10.065 10.647 1.742 9.328 0.8941 9.833 2.795 1.564
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 9.085 9.024 8.063 6.727 5.270 4.988 2.234 3.638 1.627 4.907 5.633
[2,] 9.371 9.339 9.026 6.742 5.581 5.025 2.238 3.644 1.629 5.126 6.011
[3,] 9.867 9.770 9.239 6.766 5.598 5.059 2.278 3.674 1.629 5.286 6.211
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.359 1.036 5.107 5.962 7.166 2.719 5.578 5.571 1.697 4.545 3.812
[2,] 2.509 1.122 5.412 5.963 7.257 2.731 6.170 5.896 1.743 6.222 4.515
[3,] 2.785 1.145 5.554 6.681 7.931 2.780 6.558 6.042 1.766 6.395 4.784
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.358 2.737 5.252 1.076 4.045 1.479 3.059 4.343 3.729 4.937 2.077
[2,] 4.121 4.056 5.261 1.078 4.194 1.484 3.127 4.375 4.166 5.203 2.097
[3,] 5.052 4.707 5.268 1.078 4.961 1.488 3.448 4.617 4.206 5.231 2.098
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 11.60 3.863 4.060 1.751 5.332 4.513 6.079 6.391 7.857 8.137 4.588
[2,] 11.61 3.877 5.125 1.782 5.332 6.045 6.106 7.729 8.173 8.576 6.485
[3,] 11.70 3.883 5.259 1.800 5.333 6.056 6.218 7.774 8.827 9.217 7.507
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.689 5.330 3.775 6.164 3.215 2.524 2.501 4.385 3.690 9.244 7.435
[2,] 1.690 6.015 3.816 6.647 3.238 2.626 2.529 5.350 3.691 9.248 7.570
[3,] 1.708 6.790 3.819 7.413 3.255 2.799 2.533 5.450 3.711 9.285 7.801
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.169 2.328 2.152 1.948 3.547 3.249 0.7734 7.931 16.32 9.080
[2,] 2.213 2.588 2.440 2.463 3.622 3.296 0.8071 8.913 17.36 9.531
[3,] 2.217 2.595 2.469 2.577 3.753 3.442 0.8497 9.728 17.69 9.911
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 6.927 4.148 16.44 10.77 11.37 1.455 3.287 8.391
[2,] 103.203 116.649 1227.87 5902.38 3764.08 259.424 545.303 82.487
[3,] 463.969 421.099 3658.58 2818.65 2796.36 197.640 810.799 2727.277
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 9.96 7.345 5.73 4.993 4.955 5.679 10.38 7.392
[2,] 1167.71 6230.027 1637.39 4992.668 803.282 3014.176 4167.72 769.203
[3,] 2755.40 942.958 1841.57 1104.907 623.268 3715.060 5285.65 1120.593
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 7.896 9.225 14.3 11.12 17.67 4.037 22.87 11.24
[2,] 2978.272 3349.587 4774.7 3502.64 2760.03 1034.849 12279.58 2990.56
[3,] 3297.679 2206.908 2396.2 4429.54 3197.13 649.078 4669.28 3383.56
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7768 11.24 11.63 1.985 10.34 1.053 10.7 3.105
[2,] 239.6500 4242.99 5583.24 689.075 4280.18 335.106 4698.3 1095.885
[3,] 200.0533 4062.40 3605.45 640.144 3560.07 234.825 4057.8 1245.442
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.8 11.54 11.46 10.24 8.542 6.692 6.334 2.837 4.62
[2,] 539.9 2810.62 2944.03 4964.89 552.758 2249.591 739.410 150.005 249.43
[3,] 602.6 3782.66 3514.44 2416.25 696.778 530.386 722.201 522.683 576.42
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.066 6.231 7.152 2.995 1.316 6.486 7.571 9.099
[2,] 99.601 1815.344 2571.510 1048.809 524.791 2191.735 155.327 1402.354
[3,] 34.159 1580.663 1911.648 1477.805 281.900 1524.894 3688.599 3916.409
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.452 7.083 7.074 2.155 5.772 4.84 4.264 3.475
[2,] 315.258 3227.740 2364.019 489.006 5201.475 2961.83 2924.825 3664.281
[3,] 638.884 2720.426 1614.829 343.601 1810.350 1935.80 3575.780 2923.620
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.67 1.366 5.137 1.878 3.885 5.515 4.736 6.269
[2,] 365.95 76.584 1357.217 156.417 794.543 641.913 2272.436 2010.340
[3,] 329.08 46.531 3242.651 132.437 1779.194 1806.976 709.294 663.760
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.637 14.73 4.906 5.155 2.224 6.77 5.731 7.72
[2,] 354.382 338.33 393.661 3829.804 404.299 46.25 4923.868 694.74
[3,] 97.311 1848.43 270.577 1440.340 311.770 131.93 439.326 1438.85
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.115 9.977 10.33 5.826 2.145 6.769 4.794 7.827
[2,] 5320.453 2754.869 3315.80 5610.434 79.520 3412.344 676.108 3046.389
[3,] 1031.901 4081.442 4135.51 4628.246 303.795 3857.555 190.172 4016.745
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 4.082 3.206 3.176 5.569 4.686 11.74 9.441 2.755
[2,] 474.251 886.264 459.459 3750.789 87.522 334.98 1746.439 536.129
[3,] 406.476 1186.793 173.491 1273.489 474.814 1007.84 2302.464 160.906
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.957 2.732 2.474 4.504 4.126 0.9821 10.07 20.73
[2,] 1383.620 1408.514 1845.822 897.025 675.003 282.3066 4979.58 7242.40
[3,] 234.199 458.105 925.414 1203.893 1217.155 325.2340 4771.11 4142.87
[,98]
[1,] 11.53
[2,] 3547.29
[3,] 3328.78
[1] "--- VAR model 2017-10-07 05:01:00 completed"
[1] "Completed training sample: 2017-10-07 05:01:00 - 2017-10-07 13:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 05:31:00 - 2017-10-07 13:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.06476 0.27502 -69.69 -71.61
-0.12004 0.09617 -66.63 -63.68
0.30132 -0.02213 -60.44 -65.72
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-59.13 0.3112 -0.1832 0.09834
-66.82 0.1012 -0.4421 -8.51357
-62.67 0.1622 -0.5507 -4.93036
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.778 -17.115 -0.4561 -32.71
-8.190 -0.122 1.5702 -21.65
-6.823 -11.343 -0.1139 -28.36
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.30134 -21.32 -10.894 0.3165
2.51027 -19.20 -17.886 -1.4521
-0.05982 -11.37 -5.212 -0.2536
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.838 -0.9184 -1.324 11.856
-18.010 -16.4825 -6.141 9.645
-11.932 -13.3937 -12.155 8.583
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-64.51 0.6275 -137.4 -65.03
-57.68 -5.6912 -145.7 -65.45
-61.18 -5.4693 -124.1 -63.22
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.445 -59.80 -72.82 -17.73
-8.830 -65.76 -69.16 -18.66
-8.257 -68.46 -69.81 -18.14
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-70.18 -8.094 -70.79 -26.18
-65.64 -7.608 -67.73 -27.37
-66.42 -8.008 -67.16 -25.99
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.85 -62.54 -61.10 -63.13
-13.83 -78.06 -65.91 -66.34
-13.82 -67.23 -64.08 -72.75
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.4273 -6.006 -4.116 0.66197
-1.6340 -1.760 6.484 -0.05951
0.9428 -4.930 3.702 0.05317
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.38820 0.33833 -27.27 -32.34
-0.19758 -0.05988 -29.29 -34.19
-0.01458 -0.21260 -29.59 -33.64
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.522 -3.853 -32.65 3.019
4.964 -4.131 -33.07 7.309
5.019 -4.066 -33.74 6.036
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.0196 -3.836 -21.97 9.860
-0.4038 -1.484 -18.79 9.314
0.1420 -3.006 -22.73 6.748
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.886 -22.86 -20.98 -24.45
-1.460 -17.33 -16.34 -17.99
-1.739 -18.86 -12.82 -11.14
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.52 -1.5735 -0.057236 -11.09
-21.37 0.4853 0.003648 -19.46
-15.44 -2.3803 -0.060222 -18.51
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.217 -7.637 2.4150 -7.828
-2.572 -8.790 0.6596 -6.606
-2.165 -12.644 2.4556 -6.811
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.422 -0.6481 1.140 1.49248
-4.223 0.1224 -3.356 0.08695
-8.915 -0.3220 -1.084 -0.55087
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.562 -1.1112 0.5494 8.6384
-4.183 -0.8268 0.1736 0.4346
-4.721 -0.3314 0.4885 0.3365
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.639 9.9625 13.11 10.780
2.318 0.6153 12.80 15.310
1.368 1.0346 10.58 9.797
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.303 0.1262 12.534 -0.5159
16.256 -0.2231 9.271 -0.3369
7.187 -0.1939 13.073 -0.1695
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.411 -0.86156 -6.483 0.80069
5.092 -0.06183 -3.554 0.04933
12.546 -0.80428 -2.586 -0.16738
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.161 -0.4247 -1.00483 -5.662
-1.986 -0.3296 0.61171 -4.462
-2.838 0.8258 -0.07317 -5.386
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.98597 2.68422 2.3074 1.5358
0.02252 -0.03962 0.6588 1.8837
0.39515 0.16247 0.1570 -0.1763
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9261 1.5067 -9.473 -0.009185
-3.6141 -0.5271 -9.707 -0.930799
-8.7133 0.4167 -9.519 -0.965015
rnd_95776.volume rnd_95787.volume
-46.03 -66.13
-55.18 -61.40
-38.60 -66.41
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 5.714 3.411 13.56 8.862 9.531 1.216 2.630 6.914 8.126 6.069 4.651
[2,] 5.714 3.413 13.59 10.241 9.921 1.232 2.668 6.914 8.164 8.020 4.884
[3,] 5.719 3.430 14.00 10.486 10.281 1.242 2.755 7.230 8.500 8.070 5.153
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.120 4.076 4.753 8.399 6.040 6.606 7.635 11.48 8.998 15.62 3.860
[2,] 5.889 4.141 5.417 9.125 6.116 7.102 8.203 12.21 9.442 15.81 4.044
[3,] 5.959 4.173 6.231 10.097 6.227 7.624 8.387 12.37 10.217 16.10 4.071
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 18.70 9.389 0.6574 9.483 9.60 1.599 8.632 0.8997 9.067 2.498
[2,] 21.54 9.986 0.6937 10.275 10.84 1.700 9.451 0.9320 9.824 2.621
[3,] 21.93 10.192 0.7210 10.952 11.31 1.796 9.860 0.9627 10.448 2.780
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.511 9.668 9.828 8.921 7.139 5.510 5.643 2.322 4.104 1.704 5.296
[2,] 1.580 9.991 10.121 9.869 7.156 5.837 5.673 2.327 4.106 1.706 5.529
[3,] 1.652 10.400 10.556 10.060 7.183 5.860 5.728 2.369 4.129 1.706 5.704
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.844 2.493 1.231 5.266 6.431 7.528 2.968 5.897 5.773 1.877 4.724
[2,] 6.255 2.638 1.333 5.605 6.437 7.674 2.977 6.526 6.143 1.905 6.598
[3,] 6.445 2.954 1.390 5.729 7.260 8.424 3.027 6.857 6.321 1.919 6.755
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.050 3.581 2.877 5.506 1.111 4.217 1.540 3.229 4.562 3.951 5.145
[2,] 4.783 4.367 4.352 5.511 1.113 4.386 1.545 3.302 4.597 4.388 5.413
[3,] 5.076 5.376 5.069 5.516 1.114 5.191 1.549 3.666 4.843 4.414 5.457
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.197 12.0 4.231 4.298 1.832 5.655 4.667 6.412 6.574 8.118 8.372
[2,] 2.214 12.0 4.249 5.355 1.861 5.655 6.239 6.440 8.023 8.471 8.827
[3,] 2.215 12.1 4.250 5.487 1.878 5.656 6.244 6.571 8.062 9.109 9.500
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.762 1.805 5.481 3.988 6.448 3.339 2.702 2.69 4.621 3.897 9.519
[2,] 6.730 1.810 6.180 4.020 6.892 3.357 2.809 2.71 5.614 3.900 9.523
[3,] 7.848 1.830 6.976 4.039 7.656 3.378 2.993 2.72 5.718 3.922 9.573
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 7.680 2.364 2.489 2.241 2.060 3.873 3.443 0.8053 7.756 17.48 9.933
[2,] 7.798 2.398 2.790 2.575 2.609 3.967 3.509 0.8350 8.716 18.38 10.230
[3,] 8.027 2.399 2.796 2.609 2.726 4.132 3.658 0.8776 9.488 18.73 10.632
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 7.256 4.331 17.22 11.25 12.1 1.544 3.34 8.78 10.32
[2,] 64.494 147.078 1037.96 5884.10 3154.7 229.155 508.15 48.23 897.21
[3,] 271.415 392.604 3851.18 2587.09 3094.8 177.067 789.44 2424.65 2713.73
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.707 5.907 5.232 5.176 6.036 10.66 7.67 8.389
[2,] 6010.200 1707.227 4823.214 834.447 2977.980 4088.95 1102.28 2990.498
[3,] 1025.510 1884.566 1046.194 593.123 3531.243 4955.21 1338.61 3175.979
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 9.695 14.57 11.43 19.84 4.902 23.75 11.92 0.8348
[2,] 3439.007 4773.09 3280.27 2774.80 1379.502 12245.86 3898.25 254.0625
[3,] 2003.042 2260.76 4473.15 3463.03 544.787 4751.21 2339.21 225.3132
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.04 12.19 2.03 10.96 1.142 11.51 3.172 1.918
[2,] 4534.15 5774.68 661.76 4411.98 279.019 4335.63 911.470 529.285
[3,] 4346.94 3700.74 665.76 3223.68 276.154 4078.88 1062.619 554.644
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 12.28 12.48 11.33 9.066 6.997 7.166 2.949 5.212
[2,] 2886.49 2771.85 4838.11 559.326 2206.430 670.702 175.944 145.310
[3,] 3313.68 3439.53 2238.25 715.481 596.292 906.790 503.742 502.525
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.163 6.725 7.421 3.166 1.564 6.687 8.166 9.559
[2,] 105.861 1821.676 2556.795 989.437 586.677 2201.336 336.423 1707.125
[3,] 16.038 1609.591 1780.845 1523.848 450.088 1360.742 3847.871 3985.118
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.769 7.488 7.331 2.383 5.999 5.143 4.548 3.653
[2,] 262.994 3205.558 2407.273 370.760 5281.016 2916.072 2864.162 3743.417
[3,] 626.433 2411.690 1707.712 269.618 1657.778 1949.753 3594.388 2980.408
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 6.992 1.411 5.354 1.956 4.1 5.793 5.018 6.533
[2,] 253.851 64.575 1382.974 133.118 794.8 653.477 2187.190 1929.062
[3,] 271.404 68.172 3183.358 138.688 1823.8 1745.677 549.489 791.029
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.79 15.24 5.373 5.458 2.326 7.181 5.926 8.143
[2,] 312.30 146.36 444.444 3661.984 380.382 61.989 4747.119 683.716
[3,] 92.79 1799.66 89.124 1372.637 282.890 59.274 276.690 1494.682
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.349 10.31 10.63 6.048 2.292 6.96 5.064 8.188
[2,] 5272.595 2775.91 3204.91 5451.438 163.088 3271.76 583.900 2789.235
[3,] 906.865 3838.51 4027.35 4627.914 307.619 3710.74 446.635 3824.406
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 4.241 3.432 3.416 5.868 4.949 12.09 9.752 3.001
[2,] 391.040 876.658 372.459 3653.415 152.851 334.39 1548.497 465.294
[3,] 434.307 1185.044 269.308 1247.712 481.390 1121.05 2183.442 64.899
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.161 2.846 2.615 4.918 4.372 1.023 9.849 22.2
[2,] 1444.666 1454.560 1836.696 984.151 775.906 252.982 4559.771 6519.8
[3,] 203.710 482.262 902.819 1327.619 1183.200 309.573 4296.477 4151.3
[,98]
[1,] 12.61
[2,] 2804.13
[3,] 3320.27
[1] "--- VAR model 2017-10-07 05:31:00 completed"
[1] "Completed training sample: 2017-10-07 05:31:00 - 2017-10-07 13:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 06:01:00 - 2017-10-07 14:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8465 0.30706 -62.75 -67.45
1.2104 0.06905 -59.19 -63.66
0.2230 0.02301 -54.75 -58.34
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-46.06 -0.4603 1.1618 -2.8150
-59.09 -0.1821 0.7516 0.9417
-62.04 -0.2871 0.4141 0.2181
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.922 0.8634 -2.9362 -26.55
-5.495 -6.5085 -0.8242 -21.25
-6.084 -1.6177 -2.2575 -22.74
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.1129 -14.713 -16.629 -2.807
0.6739 -9.954 -4.341 -1.879
-0.5295 -11.747 -10.654 -3.015
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-18.78 -13.43 -10.39 8.336
-17.98 -16.72 -14.46 7.863
-14.98 -10.60 -12.82 7.655
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.90 -7.335 -132.1 -60.35
-53.40 -7.177 -130.7 -56.34
-55.03 -7.299 -124.9 -55.82
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.059 -67.20 -75.61 -15.99
-7.791 -64.34 -66.22 -17.47
-7.970 -63.56 -66.00 -17.03
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-63.08 -8.575 -55.64 -25.39
-66.64 -8.580 -59.72 -25.26
-60.58 -8.417 -58.93 -25.30
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.29 -61.54 -48.87 -58.19
-12.72 -66.19 -63.91 -63.13
-12.88 -62.07 -61.84 -66.84
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.327 1.0058 -0.1159 0.2746
2.612 -2.4694 1.7854 0.4086
3.468 -0.9514 3.0811 0.1553
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.18140 -0.41008 -26.66 -33.39
0.21052 -0.03909 -26.96 -28.88
-0.03326 -0.13720 -26.58 -29.20
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.605 -2.211 -27.92 5.577
8.156 -2.794 -25.85 6.366
7.936 -3.163 -27.37 6.712
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.262 -5.578 -27.64 8.450
2.781 -4.542 -13.63 7.537
6.118 -4.227 -20.59 6.239
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.260 -18.24 -11.09 -16.46
-1.530 -20.28 -19.65 -16.24
-1.282 -14.55 -10.63 -15.44
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.96 1.5406 0.020475 -18.33
-12.37 -1.8570 0.117637 -15.11
-19.76 0.3109 0.008309 -13.00
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.694 -11.059 2.407 -6.630
-2.072 -9.455 3.509 -10.766
-1.799 -8.395 3.279 -7.976
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.067 -0.8248 -0.03768 3.19867
-6.641 -0.1702 -3.41759 -0.03878
-6.115 -0.2268 -1.86841 -0.38232
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.490 -0.9463 1.073 -3.285
-3.516 -0.8643 1.105 1.097
-7.127 -0.2383 -0.197 1.366
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.5013 -3.306 10.36 8.4256
-1.2591 1.091 10.61 -0.1634
0.1795 1.334 11.94 4.9953
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
21.825 -0.11311 3.767 0.19965
1.014 -0.13721 11.979 0.07152
6.280 -0.05637 1.843 0.05290
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.838 -1.0521 -2.092 -0.1429
15.255 0.8365 -3.695 -0.2837
1.569 2.9024 -1.760 0.1972
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.3067 0.7043 1.4149 -13.092
-0.6864 -0.7039 -1.7519 -2.238
-3.3129 0.2955 -0.3825 -9.573
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.46036 -1.0763 1.8834 2.9392
-0.09656 0.1760 -0.6856 -0.8271
-0.09276 0.7314 0.3042 0.2100
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.740 1.4910 -9.198 2.473
-4.851 -0.3141 -9.389 2.849
-4.485 0.4384 -8.765 3.107
rnd_95776.volume rnd_95787.volume
-41.10 -61.87
-52.98 -56.79
-33.51 -58.76
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.123 3.574 14.13 9.335 10.08 1.271 2.654 7.220 8.249 6.264 4.840
[2,] 6.128 3.581 14.16 10.602 10.58 1.285 2.687 7.221 8.283 8.210 5.062
[3,] 6.141 3.597 14.46 10.843 10.92 1.297 2.788 7.496 8.633 8.278 5.360
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.248 4.166 5.100 8.528 6.345 7.032 8.095 11.81 9.258 16.30 3.908
[2,] 6.072 4.225 5.719 9.283 6.480 7.502 8.608 12.49 9.716 16.45 4.059
[3,] 6.132 4.272 6.588 10.271 6.573 7.972 8.883 12.64 10.481 16.77 4.072
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 19.85 10.24 0.6924 9.757 10.03 1.633 9.183 0.9455 9.789 2.675
[2,] 22.73 10.85 0.7331 10.564 11.31 1.732 9.994 0.9869 10.388 2.821
[3,] 23.21 11.13 0.7620 11.353 11.82 1.825 10.358 1.0279 11.104 2.989
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.603 10.16 10.17 9.537 7.446 5.640 6.079 2.409 4.546 1.765 5.602
[2,] 1.666 10.34 10.54 10.553 7.458 6.006 6.117 2.415 4.548 1.771 5.826
[3,] 1.729 10.78 10.98 10.669 7.497 6.024 6.194 2.453 4.550 1.771 6.030
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 6.327 2.700 1.384 5.456 6.838 8.040 3.161 6.214 5.957 1.944 4.885
[2,] 6.792 2.857 1.508 5.779 6.839 8.194 3.198 6.976 6.339 1.970 6.937
[3,] 6.981 3.238 1.578 5.957 7.844 8.986 3.210 7.326 6.537 1.974 7.128
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.204 3.686 2.942 5.714 1.170 4.366 1.601 3.493 5.106 4.314 5.429
[2,] 5.094 4.559 4.500 5.718 1.173 4.545 1.604 3.551 5.250 4.787 5.693
[3,] 5.472 5.699 5.335 5.728 1.174 5.447 1.608 3.901 5.480 4.805 5.719
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.247 12.53 4.524 4.469 1.870 5.999 4.822 6.798 6.781 8.203 8.274
[2,] 2.267 12.53 4.530 5.668 1.903 6.027 6.584 6.820 8.294 8.559 8.685
[3,] 2.270 12.62 4.531 5.796 1.923 6.058 6.587 6.916 8.328 9.191 9.494
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.838 1.849 5.570 4.096 6.649 3.462 2.906 2.874 4.840 3.952 9.992
[2,] 6.917 1.854 6.214 4.131 7.099 3.479 2.988 2.881 5.862 3.954 9.995
[3,] 8.255 1.873 7.237 4.147 7.897 3.498 3.117 2.884 5.974 3.975 10.079
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 8.029 2.538 2.664 2.153 2.172 4.165 3.606 0.8622 6.962 18.68 10.35
[2,] 8.153 2.565 3.004 2.732 2.805 4.230 3.714 0.9007 7.880 19.81 10.54
[3,] 8.390 2.566 3.013 2.810 2.937 4.399 3.927 0.9363 8.629 20.22 10.97
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 7.775 4.539 17.95 11.85 12.79 1.614 3.371 9.168
[2,] 254.331 226.869 870.73 5192.09 3320.33 195.369 430.306 144.636
[3,] 416.073 355.126 3058.24 2346.41 2812.62 178.315 766.403 2074.569
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.48 7.954 6.146 5.395 5.29 6.477 10.83 8.057
[2,] 769.97 5482.835 1532.956 4481.175 723.04 2671.924 3788.71 1356.961
[3,] 2514.93 1089.836 1818.488 882.535 658.61 3378.145 4540.54 1142.131
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 8.929 10.28 15 11.76 20.7 4.963 25.2 13 0.8793
[2,] 2700.586 3024.19 4211 3045.59 2292.5 1134.174 11452.0 3728 248.8170
[3,] 2784.965 2267.79 1968 4060.02 3343.3 324.502 4832.1 2542 214.5769
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.39 12.74 2.074 11.66 1.201 12.43 3.396 2.036
[2,] 4183.38 5394.92 595.047 4071.40 292.094 3589.68 927.158 467.991
[3,] 4294.52 3533.37 594.276 2814.32 296.935 4053.63 1020.391 477.463
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 12.9 12.91 12.11 9.455 7.162 7.719 3.059 5.773
[2,] 1970.9 2868.75 4666.73 442.976 2131.919 707.526 172.860 132.613
[3,] 3138.7 3175.47 1626.23 782.293 478.735 1005.834 447.676 126.053
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.241 7.114 8.035 3.429 1.757 6.929 8.684 10.21
[2,] 147.699 1653.715 2550.210 963.303 617.380 1965.900 80.203 1631.71
[3,] 22.725 1603.454 1665.244 1573.786 479.940 1493.911 3968.965 3809.48
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.013 7.891 7.565 2.468 6.203 5.338 4.68 3.736
[2,] 501.469 3273.453 2237.462 329.365 5088.120 2972.287 2771.67 3517.046
[3,] 287.778 2313.133 1652.156 136.879 1694.808 2062.951 3533.28 2959.912
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 7.256 1.486 5.544 2.032 4.436 6.484 5.478 6.894
[2,] 218.826 77.132 1305.788 102.765 655.915 1261.336 2143.725 1770.248
[3,] 350.646 52.470 3101.963 129.570 1668.685 1621.771 431.370 564.457
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.853 15.91 5.745 5.675 2.375 7.618 6.124 8.633
[2,] 313.327 34.26 246.427 3601.284 365.528 599.786 4630.258 558.231
[3,] 108.559 1551.79 69.793 1251.067 284.046 632.302 210.997 1187.592
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 8.611 10.42 10.51 6.144 2.348 7.073 5.201 8.443
[2,] 4933.742 2526.04 2725.17 5105.613 148.288 2845.435 550.711 2568.734
[3,] 768.250 3457.78 3961.34 4654.974 269.602 3831.122 386.013 3574.099
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 4.397 3.69 3.65 6.146 5.019 12.69 10.2 3.223
[2,] 354.357 717.65 211.03 3416.527 122.064 262.36 1459.3 384.154
[3,] 371.580 919.11 135.79 1189.932 418.562 1342.29 2046.8 70.904
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.383 2.735 2.758 5.289 4.58 1.095 8.841 23.72
[2,] 1433.402 1736.717 1832.830 764.526 914.40 269.295 3811.533 6818.15
[3,] 238.823 680.168 900.312 1247.847 1319.14 263.995 3633.058 4165.62
[,98]
[1,] 13.14
[2,] 2061.80
[3,] 3167.89
[1] "--- VAR model 2017-10-07 06:01:00 completed"
[1] "Completed training sample: 2017-10-07 06:01:00 - 2017-10-07 14:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 06:31:00 - 2017-10-07 14:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.7575 0.8129 -66.15 -71.61
0.4273 0.4816 -70.31 -64.06
0.6721 0.1368 -65.78 -64.68
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-61.57 0.10828 0.5548 -3.988
-67.85 0.22173 0.4878 -1.984
-67.52 0.04957 0.3645 -1.494
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-9.501 -7.661 -1.1122 -23.08
-4.890 -9.279 -0.8992 -29.99
-3.004 -4.566 -0.5660 -26.91
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.070 -18.69 -20.53 -4.726
-1.098 -10.43 -16.73 -4.782
-1.405 -16.96 -16.58 -4.213
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-20.89 -15.55 -7.179 18.25
-17.07 -15.26 -10.652 19.98
-18.49 -12.28 -9.813 19.47
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-73.46 -7.866 -123.2 -59.63
-69.07 -7.491 -139.0 -66.94
-69.63 -7.949 -140.3 -64.54
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.409 -66.79 -75.22 -17.98
-8.618 -63.67 -64.71 -19.07
-8.412 -67.35 -70.26 -18.25
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-70.68 -9.839 -66.30 -27.13
-66.00 -9.513 -67.81 -28.73
-63.95 -10.268 -61.34 -27.96
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.78 -64.70 -59.32 -76.05
-15.38 -72.69 -68.67 -69.76
-15.09 -71.51 -66.24 -70.20
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7336 -5.215 -0.08594 -0.01606
-0.9090 -4.178 1.61926 -0.51476
-1.7044 -2.365 0.86990 -0.15906
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.20281 0.393013 -32.45 -37.42
-0.05755 -0.321199 -30.49 -36.84
-0.07421 -0.006056 -31.73 -35.34
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.3568 -3.588 -35.24 11.22
0.5209 -3.198 -35.38 10.56
0.4731 -3.126 -34.31 9.26
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.5575 -4.856 -19.95 6.552
0.3317 -4.707 -25.52 5.236
7.6039 -5.077 -22.10 2.379
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7734 -7.343 -13.37 -23.078
-1.7500 -22.203 -14.49 -7.966
-1.5802 -22.903 -18.34 -18.988
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-17.31 0.767 0.01335 -12.963
-13.24 -1.108 -0.04649 -20.642
-15.81 1.387 0.03514 -9.464
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.303 -12.163 -4.627 -11.351
-2.042 -10.696 -4.161 -8.913
-2.121 -8.594 -3.283 -10.150
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.492 -0.2592 -0.8792 -1.272
-6.357 -0.3573 5.2443 -0.277
-8.231 -0.4340 2.8167 1.205
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-14.696 0.4683 0.1193 2.2831
-6.639 -1.2264 1.0599 -0.7182
-5.472 -0.5327 0.5462 1.0537
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.251 6.068 12.70 11.00
5.139 2.473 12.09 12.31
2.508 1.572 12.45 12.62
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
16.332 -0.26227 14.32 0.46057
11.985 -0.14137 12.19 0.26813
8.684 0.01961 10.45 0.02711
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.529 0.3238 -2.799 0.03461
11.978 0.6804 -2.023 0.08753
9.467 -0.4427 -3.683 -0.16663
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.719 -1.3196 0.0439 -5.819
-5.701 0.7752 -1.5126 -4.302
-3.928 0.3121 -0.3326 -7.120
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.04850 0.7187 0.4415 0.7156
0.06191 0.7400 0.5768 0.5681
0.02730 0.2847 0.5452 0.4640
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.600 2.4575 -10.051 0.02210
-4.321 0.1258 -10.189 -0.08313
-6.936 0.6619 -9.813 0.10294
rnd_95776.volume rnd_95787.volume
-56.90 -62.47
-58.76 -61.93
-43.97 -65.97
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.393 3.789 14.44 9.681 10.43 1.350 2.696 7.464 8.627 6.482 4.992
[2,] 6.413 3.794 14.45 10.814 10.94 1.370 2.726 7.468 8.669 8.553 5.235
[3,] 6.425 3.816 14.78 11.067 11.22 1.382 2.826 7.724 8.988 8.623 5.558
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.190 4.277 5.343 8.557 6.623 7.184 8.359 11.30 9.380 16.65 3.903
[2,] 6.142 4.346 5.836 9.320 6.745 7.690 8.810 12.43 9.854 16.70 4.091
[3,] 6.209 4.394 6.906 10.316 6.836 8.158 9.062 12.61 10.634 17.05 4.102
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 20.88 10.68 0.7100 10.30 10.49 1.665 9.411 0.9898 10.05 2.724 1.668
[2,] 23.87 11.21 0.7512 11.03 11.67 1.753 10.093 1.0307 10.67 2.890 1.727
[3,] 24.45 11.45 0.7812 11.80 12.15 1.856 10.539 1.0821 11.31 3.053 1.787
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.09 10.39 9.812 7.739 5.846 6.105 2.491 4.787 1.855 5.759 6.470
[2,] 11.21 10.82 11.055 7.746 6.222 6.414 2.498 4.793 1.856 5.913 6.952
[3,] 11.59 11.21 11.176 7.796 6.233 6.463 2.526 4.795 1.857 6.068 7.099
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.876 1.391 5.738 7.100 8.355 3.396 6.623 6.264 2.087 5.040 4.394
[2,] 3.040 1.486 6.146 7.100 8.571 3.439 7.349 6.595 2.138 7.310 5.342
[3,] 3.384 1.510 6.324 8.229 9.460 3.458 7.613 6.794 2.156 7.536 5.753
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.975 3.044 5.964 1.214 3.757 1.678 3.704 5.310 4.596 5.783 2.305
[2,] 4.801 4.671 5.969 1.216 4.723 1.680 3.762 5.430 5.051 5.974 2.327
[3,] 6.023 5.524 5.976 1.218 5.706 1.686 4.088 5.659 5.087 6.005 2.330
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 13.19 4.743 4.654 1.942 6.243 4.930 7.200 7.080 8.328 8.425 4.851
[2,] 13.19 4.749 6.050 1.981 6.284 6.828 7.242 8.635 8.740 8.947 7.014
[3,] 13.29 4.750 6.155 2.007 6.322 6.836 7.332 8.658 9.376 9.786 8.442
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.902 5.619 4.180 6.761 3.604 3.058 2.969 5.049 4.212 10.70 8.272
[2,] 1.907 6.297 4.218 7.245 3.629 3.128 2.974 6.097 4.212 10.70 8.324
[3,] 1.920 7.394 4.232 8.074 3.651 3.207 2.975 6.179 4.226 10.82 8.668
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.623 2.743 2.233 2.217 4.326 3.735 0.8963 6.105 19.40 10.87
[2,] 2.649 3.119 2.857 2.880 4.367 3.852 0.9273 6.984 20.75 11.03
[3,] 2.649 3.125 2.943 3.025 4.526 4.063 0.9730 7.628 21.30 11.47
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.118 4.811 18.33 12.29 13.25 1.714 3.423 9.478
[2,] 519.009 211.557 568.92 4996.90 3397.07 238.907 420.766 261.139
[3,] 407.381 428.032 3245.75 2440.77 2573.62 192.338 774.052 2042.705
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 10.95 8.231 6.339 5.321 5.431 6.785 10.87 8.411
[2,] 888.13 5785.520 1633.844 4655.833 803.161 2433.390 3826.67 1319.874
[3,] 2458.85 1134.255 1936.941 940.233 666.527 3828.897 4585.04 1152.226
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.123 10.61 14.35 11.91 21.14 4.957 26.51 13.56
[2,] 2845.280 2887.06 5363.54 3131.34 1400.91 1268.925 11993.73 3511.14
[3,] 2822.841 2200.28 2198.30 4143.12 3561.92 316.328 5486.56 2427.17
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9015 13.08 13.32 2.114 11.95 1.257 12.76 3.459
[2,] 254.6410 4083.15 5304.46 568.710 3780.63 297.981 3714.58 1001.006
[3,] 222.0849 4363.62 3504.82 631.561 3145.67 341.707 3902.85 1019.339
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.118 14.09 13.19 12.46 9.828 7.424 7.752 3.164
[2,] 461.772 1685.52 3146.22 5279.50 320.306 2208.991 2038.831 195.215
[3,] 476.196 3043.55 3014.92 1702.94 917.398 384.996 827.658 384.422
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.079 2.355 7.313 8.216 3.652 1.766 7.287 9.016
[2,] 248.961 81.292 1392.717 2637.285 1020.688 541.091 2281.285 37.326
[3,] 124.901 40.268 1413.702 1490.461 1542.449 282.665 1545.546 4314.072
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.61 4.313 8.41 7.955 2.65 6.4 5.579 5.048
[2,] 1980.26 559.306 3302.62 2139.132 479.44 5490.0 3150.727 2791.095
[3,] 4151.99 379.114 2060.32 1690.336 292.81 1899.3 2213.028 3771.077
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.866 7.574 1.541 4.771 2.131 4.704 6.743 5.836
[2,] 3672.516 249.931 76.690 2967.223 79.613 679.306 1177.354 2172.838
[3,] 3058.185 307.204 73.099 3318.963 154.295 1658.387 1652.915 625.148
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.344 2.927 16.75 6.023 5.909 2.466 7.928 6.261
[2,] 1555.080 327.303 86.00 238.941 4007.519 408.218 744.995 4897.415
[3,] 628.985 122.555 1693.55 79.820 1176.974 333.859 710.351 338.443
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.143 8.99 10.57 10.7 6.16 2.416 7.135 5.308
[2,] 803.644 5126.47 2751.32 3122.0 5253.06 136.828 2947.020 588.196
[3,] 1185.516 647.19 3516.96 4109.9 4870.47 231.097 4017.506 353.907
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.585 4.577 3.883 3.771 6.412 5.348 13.59 10.5
[2,] 2699.625 444.816 682.123 172.954 3542.129 72.550 146.53 957.4
[3,] 3696.089 407.481 733.333 82.155 1038.912 352.659 1693.24 2509.1
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.331 3.483 2.835 2.815 5.494 4.743 1.138 7.753
[2,] 382.076 1539.964 1847.939 1906.773 619.282 977.879 246.769 3515.522
[3,] 48.239 206.002 733.908 957.368 1232.415 1339.945 305.294 3182.005
[,97] [,98]
[1,] 24.63 13.81
[2,] 7627.44 1920.89
[3,] 5007.98 3259.17
[1] "--- VAR model 2017-10-07 06:31:00 completed"
[1] "Completed training sample: 2017-10-07 06:31:00 - 2017-10-07 14:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 07:01:00 - 2017-10-07 15:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.696451 1.48666 -63.64 -63.14
-0.387611 0.22242 -57.53 -61.98
0.003831 0.01589 -61.14 -60.70
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-63.97 0.49086 0.6643 -5.4289
-59.52 0.34952 1.1550 -1.5786
-62.80 -0.08722 1.0971 -0.4992
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.981 3.360 -3.620 -24.89
-5.234 -7.547 -2.072 -24.91
-4.955 -1.537 -2.470 -24.37
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.9982 -14.115 -11.760 -1.932
0.1299 -9.717 -5.978 -2.177
0.7630 -13.944 -10.546 -1.704
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-21.35 -8.277 -13.292 18.08
-16.00 -11.495 -11.055 18.12
-16.63 -10.570 -7.723 16.95
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-67.99 -7.390 -127.9 -60.16
-64.29 -8.269 -132.7 -60.38
-62.50 -8.009 -129.8 -60.04
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.334 -62.80 -70.01 -15.66
-8.244 -64.82 -67.30 -17.17
-8.499 -63.95 -66.91 -16.87
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-63.43 -8.863 -57.94 -25.74
-63.57 -8.631 -64.01 -26.49
-61.26 -8.794 -59.59 -25.47
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.58 -58.41 -64.96 -67.11
-14.04 -58.02 -61.43 -61.46
-14.33 -65.13 -62.40 -63.89
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.760 -0.8463 3.7113 0.04902
-1.707 -4.3509 3.6057 0.06671
-1.517 -2.3951 0.5461 0.02648
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.32950 -0.206598 -30.90 -35.58
-0.40647 -0.008024 -30.49 -31.97
-0.09113 -0.002880 -30.55 -33.03
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.111 -2.779 -32.18 9.034
4.213 -3.784 -32.09 3.230
4.462 -3.708 -32.18 6.078
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.196 -2.868 -21.16 6.016
-6.337 -3.258 -23.01 8.107
3.417 -3.210 -26.62 6.335
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.8329 -16.52 -19.77 -19.69
-1.6499 -23.76 -16.60 -13.16
-1.2330 -18.85 -15.82 -19.73
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.593 -0.7331 -0.17159 -13.01
-19.709 -0.2717 -0.04137 -13.56
-16.094 0.9010 -0.10105 -16.52
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.935 -10.965 -1.1806 -9.948
-2.391 -5.949 -0.1128 -10.165
-2.063 -10.719 -0.4458 -7.128
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.604 -1.10950 1.6229 0.6959
-6.714 -0.08995 -1.1519 0.1122
-5.353 -0.32349 -0.3002 -0.6295
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.803 -0.6147 -0.1555 8.044
-4.458 -1.0989 -1.1084 -0.561
-6.824 -0.3167 1.4661 -1.654
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.8116 0.40087 14.58 -2.644
0.2404 -0.24650 13.67 3.505
0.7769 -0.02043 14.05 1.600
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.887 -0.06569 5.935 1.6543
10.120 -0.13004 4.819 0.8764
6.464 -0.11965 5.931 0.3742
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.045 0.8256 -3.891 0.41051
6.766 1.2307 -2.099 -0.29731
7.586 2.2054 -3.166 -0.05964
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.521 -0.55696 1.7645 -8.497
-3.692 0.24173 2.4856 -4.765
-4.155 0.04638 0.7884 -6.871
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5217 -2.2007 -2.0739 -2.0601
-0.2043 -0.6159 -0.8378 -1.0625
-0.1780 -0.5883 -0.8403 -0.8381
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.749 -1.950 -9.352 -1.1846
-2.642 2.048 -9.898 -0.4525
-6.482 -0.510 -9.694 -1.3406
rnd_95776.volume rnd_95787.volume
-67.84 -66.04
-47.58 -60.37
-50.29 -62.10
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.451 4.020 15.02 10.09 11.12 1.397 2.754 7.597 8.965 6.763 5.207
[2,] 6.470 4.025 15.03 11.22 11.66 1.413 2.786 7.603 8.994 8.851 5.495
[3,] 6.487 4.052 15.50 11.49 12.01 1.427 2.901 7.847 9.329 8.919 5.837
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.528 4.462 5.420 8.761 6.604 7.104 8.474 11.29 9.338 17.06 3.864
[2,] 6.450 4.540 5.900 9.549 6.735 7.638 8.794 12.51 9.871 17.11 4.019
[3,] 6.580 4.587 6.943 10.521 6.833 8.193 9.039 12.72 10.599 17.53 4.032
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 22.05 11.28 0.7552 10.73 10.76 1.764 9.884 0.9277 10.45 2.771 1.757
[2,] 25.88 12.03 0.7964 11.55 11.88 1.865 10.592 0.9810 11.06 2.883 1.802
[3,] 26.46 12.35 0.8407 12.47 12.33 1.970 10.986 1.0321 11.72 3.098 1.858
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.47 10.69 10.33 7.870 6.082 6.827 2.620 5.077 1.889 6.073 6.943
[2,] 11.53 11.11 11.44 7.877 6.478 6.883 2.631 5.096 1.890 6.179 7.531
[3,] 11.88 11.43 11.60 7.930 6.483 7.041 2.664 5.099 1.890 6.401 7.722
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.025 1.576 5.819 7.256 8.650 3.465 6.888 6.456 2.143 5.134 4.538
[2,] 3.196 1.734 6.208 7.258 8.889 3.542 7.682 6.808 2.191 6.735 5.448
[3,] 3.588 1.794 6.336 8.542 9.809 3.582 7.936 7.033 2.225 7.516 5.969
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.189 3.118 6.269 1.242 3.824 1.723 3.803 5.415 4.259 6.024 2.316
[2,] 5.025 4.856 6.271 1.243 4.869 1.724 3.847 5.539 5.177 6.193 2.336
[3,] 5.827 5.566 6.288 1.247 5.875 1.733 4.157 5.760 5.229 6.209 2.338
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 13.52 5.000 5.103 1.955 6.351 4.956 7.492 7.272 8.507 8.614 4.861
[2,] 13.52 5.009 6.591 1.999 6.384 6.886 7.524 8.853 8.900 9.129 7.132
[3,] 13.63 5.009 6.733 2.028 6.427 6.892 7.591 8.869 9.563 10.046 8.593
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.989 5.799 4.372 6.960 3.724 3.213 3.105 5.122 4.455 11.07 8.472
[2,] 1.994 6.565 4.416 7.482 3.758 3.307 3.105 6.213 4.455 11.07 8.534
[3,] 2.002 7.642 4.429 8.269 3.776 3.374 3.105 6.295 4.458 11.18 8.932
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.689 2.844 2.340 2.317 4.511 3.954 0.9162 2.454 18.31 11.42
[2,] 2.718 3.210 2.980 3.008 4.527 4.066 0.9537 2.633 22.03 11.62
[3,] 2.718 3.216 3.067 3.152 4.751 4.280 0.9932 2.737 23.20 12.09
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.192 5.104 19.08 12.81 14.12 1.774 3.498 9.647
[2,] 523.675 218.804 404.56 5184.35 3684.49 219.165 440.371 313.802
[3,] 492.699 495.859 4010.38 2559.85 3035.69 210.870 850.351 2042.919
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.38 8.588 6.611 5.75 5.666 6.882 11.13 8.386
[2,] 764.37 6010.706 1848.491 4835.59 881.290 2455.150 3997.33 1389.200
[3,] 2607.16 1159.465 2072.113 1368.78 686.736 3852.997 4649.64 1214.430
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.022 10.76 14.34 11.86 21.66 4.907 28 14.33
[2,] 2952.785 2471.81 5666.21 3365.87 1453.50 1165.152 14273 4397.76
[3,] 3118.925 2199.55 2419.06 4065.54 4013.19 340.860 5790 2922.38
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9589 13.63 13.66 2.24 12.55 1.178 13.27 3.519
[2,] 266.3572 4492.03 5309.96 638.15 4008.40 335.906 3820.05 834.834
[3,] 283.3956 4966.70 3488.91 666.84 3071.68 337.613 4062.55 1194.276
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.231 14.57 13.58 13.11 9.993 7.723 8.669 3.327
[2,] 422.627 1254.68 3187.42 5190.33 358.948 2348.352 926.246 257.314
[3,] 473.724 2990.89 2808.64 2001.07 963.810 260.705 1558.082 437.940
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.447 2.398 7.712 8.817 3.841 2.001 7.389 9.214
[2,] 470.910 77.252 1201.030 3071.054 1085.063 762.403 2277.483 175.580
[3,] 162.172 27.779 1759.301 1796.992 1718.342 485.277 1332.952 4741.655
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 10.98 4.4 8.747 8.198 2.721 6.519 5.763 5.319
[2,] 2153.62 775.4 3580.536 2274.656 480.261 4589.003 3173.264 2923.334
[3,] 4365.02 559.2 2094.862 1860.778 411.055 3512.440 2567.873 3105.588
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.96 7.961 1.577 4.856 2.188 4.829 6.877 5.408
[2,] 3919.33 169.264 50.075 3172.355 63.693 615.707 1225.433 3099.310
[3,] 2862.11 475.068 103.690 3460.041 189.540 1658.219 1662.508 775.120
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.649 2.941 17.17 6.349 6.48 2.482 8.065 6.293
[2,] 1515.469 324.447 61.98 315.956 4391.27 441.230 684.853 5033.202
[3,] 465.253 99.638 1778.15 73.830 1447.44 358.817 777.932 298.972
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.514 9.234 10.8 10.94 6.173 2.526 7.364 5.552
[2,] 724.297 5315.267 2753.5 3182.37 5494.547 134.674 3238.895 649.005
[3,] 1063.600 571.630 3683.5 4415.45 5045.587 195.614 4118.261 357.275
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.838 4.729 4.08 3.943 6.504 5.657 14.06 10.76
[2,] 2889.510 531.448 826.25 59.497 3701.191 19.087 43.32 1084.70
[3,] 3707.326 382.915 702.20 3.807 1069.943 180.691 1649.26 2775.46
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.415 3.611 2.971 2.942 5.729 5.021 1.163 3.117
[2,] 412.213 1566.822 1943.081 2019.608 394.030 995.005 278.510 1004.744
[3,] 43.884 213.228 765.794 993.471 1518.747 1407.000 292.089 785.698
[,97] [,98]
[1,] 23.26 14.5
[2,] 12893.21 2292.8
[3,] 7641.29 3496.5
[1] "--- VAR model 2017-10-07 07:01:00 completed"
[1] "Completed training sample: 2017-10-07 07:01:00 - 2017-10-07 15:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 07:31:00 - 2017-10-07 15:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.7225 -0.026077 -64.71 -69.63
0.7814 0.003512 -62.07 -67.29
-0.1599 -0.033762 -59.67 -62.69
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-66.55 -0.1642 1.350 -1.1079
-62.82 0.3002 1.623 -0.7984
-68.41 0.6144 1.136 -2.2106
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.018 -7.548 2.758 -28.00
-0.863 -3.120 3.361 -22.62
-2.188 -2.452 3.275 -22.23
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5512 -7.193 -11.60 -3.151
1.0889 -16.735 -13.64 -2.968
1.3646 -11.014 -10.63 -2.968
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.028 -8.811 -4.810 21.17
-11.758 -8.371 -4.999 18.69
-12.016 -9.551 -7.643 17.49
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-60.63 -7.261 -145.4 -67.87
-58.68 -7.481 -144.8 -68.90
-61.13 -7.061 -134.6 -66.73
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.585 -74.50 -76.99 -15.70
-8.385 -61.27 -70.70 -16.71
-8.067 -66.66 -69.73 -16.87
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-71.89 -8.870 -62.34 -25.06
-69.27 -8.102 -68.42 -24.93
-64.03 -7.865 -63.39 -25.35
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.68 -66.27 -64.38 -72.37
-14.02 -73.11 -63.73 -65.51
-14.60 -66.51 -64.96 -76.49
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.1103 -7.256 4.9739 1.4336
0.5105 -4.616 3.4650 1.2299
-0.5913 -2.829 0.0977 0.3625
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.15194 0.09399 -31.82 -27.07
0.05578 0.24059 -28.40 -31.11
-0.03869 0.16078 -31.69 -30.48
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6576 -5.038 -33.72 9.792
-0.5235 -4.794 -31.15 8.152
-1.0510 -4.463 -32.75 8.086
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.9699 -1.6014 -21.25 6.823
-5.7901 -1.4054 -20.92 5.409
-0.7295 -0.4518 -25.37 4.902
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.8281 -16.04 -21.96 -23.02
-2.0932 -20.60 -16.11 -11.93
-1.2677 -16.96 -15.38 -17.30
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.52 0.2878 -0.03158 -18.52
-21.69 0.9902 -0.22873 -17.66
-15.51 -1.1401 -0.09127 -15.68
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.830 -12.642 0.5168 -10.314
-1.352 -7.238 -0.4069 -11.612
-1.150 -11.749 0.8890 -8.753
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.587 -0.6442 -1.448 -1.2126
-8.603 -0.6180 -2.156 1.0581
-6.602 -0.1994 -1.122 -0.6067
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.642 -1.3677 3.241 2.879
-4.745 -1.3859 2.048 2.081
-9.157 -0.3517 1.192 1.978
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.12104 -2.1756 12.80 10.640
0.04803 1.2885 11.62 3.043
0.61909 0.7185 13.17 4.128
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.581 0.382782 4.746 1.3142
5.588 0.173596 12.204 0.7030
8.000 -0.004692 4.751 0.1145
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.736 3.325 -4.301 -0.221163
12.027 4.055 -2.362 -0.449932
5.025 1.414 -3.383 -0.004141
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.882 -0.18914 1.6223 2.600
-1.665 -0.01728 0.5081 2.533
-4.678 0.08442 0.2872 1.561
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.043338 -0.2260 4.0532 6.0977
0.042346 0.5574 -0.2655 -0.3334
0.006181 1.6169 0.9127 0.5412
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.525 1.7881 -10.034 -0.77594
-3.150 -0.5851 -9.886 0.28259
-8.701 0.4663 -10.065 -0.03483
rnd_95776.volume rnd_95787.volume
-58.78 -63.27
-42.73 -61.66
-35.00 -59.40
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.569 4.150 15.61 10.49 11.47 1.442 2.826 7.702 9.066 7.010 5.309
[2,] 6.577 4.162 15.64 11.71 11.95 1.456 2.872 7.705 9.097 8.987 5.621
[3,] 6.601 4.193 16.32 11.97 12.25 1.468 2.981 7.941 9.423 9.055 6.008
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.555 4.565 5.600 8.823 7.024 7.241 8.935 11.76 9.120 17.42 3.911
[2,] 6.335 4.635 6.095 9.649 7.154 7.849 9.131 12.98 9.624 17.49 4.102
[3,] 6.435 4.684 7.092 10.568 7.274 8.470 9.517 13.17 10.026 17.85 4.123
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 22.28 12.37 0.7669 11.30 11.13 1.866 10.53 0.9762 10.88 2.822 1.794
[2,] 25.93 13.15 0.8089 12.19 12.45 1.960 11.22 1.0267 11.48 2.939 1.852
[3,] 26.34 13.67 0.8554 13.24 12.94 2.089 11.67 1.0762 12.24 3.190 1.898
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.90 11.08 11.07 7.995 6.237 7.254 2.743 5.238 1.944 6.451 7.416
[2,] 11.98 11.54 12.07 8.004 6.641 7.321 2.759 5.273 1.945 6.568 8.140
[3,] 12.33 11.86 12.21 8.057 6.644 7.588 2.786 5.279 1.946 6.858 8.493
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.328 1.723 6.083 7.501 8.831 3.942 7.425 6.708 2.193 5.340 4.677
[2,] 3.533 1.921 6.524 7.506 9.124 4.053 8.497 7.086 2.272 7.883 5.961
[3,] 4.020 2.047 6.676 8.868 10.113 4.279 8.687 7.333 2.292 8.294 6.637
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.404 3.155 6.605 1.270 3.972 1.991 3.975 5.428 4.352 6.287 2.351
[2,] 5.301 5.078 6.607 1.272 5.151 2.085 4.024 5.511 5.319 6.514 2.372
[3,] 6.783 6.104 6.614 1.275 6.186 2.169 4.433 5.645 5.374 6.568 2.376
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 13.69 5.252 5.245 1.986 6.620 5.075 7.748 7.508 8.568 8.682 4.870
[2,] 13.70 5.258 6.815 2.033 6.640 6.914 7.779 9.014 9.023 9.194 7.284
[3,] 13.78 5.259 6.989 2.065 6.708 6.917 7.869 9.039 9.626 10.099 8.757
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.034 5.752 4.495 7.064 3.888 3.359 3.222 5.299 4.726 11.43 9.073
[2,] 2.037 6.517 4.542 7.568 3.927 3.476 3.222 6.379 4.727 11.43 9.077
[3,] 2.047 7.655 4.556 8.343 3.971 3.569 3.223 6.462 4.727 11.56 10.148
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.758 3.007 2.385 2.358 4.638 4.060 0.9451 2.418 22.60 11.97
[2,] 2.785 3.387 3.093 3.149 4.648 4.169 0.9878 2.449 23.97 12.01
[3,] 2.786 3.395 3.182 3.304 4.842 4.390 1.0273 2.486 27.25 12.53
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.341 5.269 19.82 13.32 14.56 1.831 3.588 9.78
[2,] 358.718 339.459 1086.79 5635.95 3624.69 221.081 554.167 239.40
[3,] 611.532 557.747 5042.89 2674.28 2912.35 199.474 865.054 2078.93
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.51 8.902 6.742 5.785 5.797 7.112 11.2 8.919
[2,] 810.07 6083.038 1994.788 4762.304 866.125 2600.936 4225.6 1467.165
[3,] 2660.77 1191.188 2297.162 1216.388 733.865 3923.093 4663.0 1422.494
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.195 11.35 14.94 11.58 22.12 4.967 28.29 15.71
[2,] 3275.961 2036.77 5920.74 3325.67 1673.66 1335.844 14363.59 4836.48
[3,] 3441.309 2903.22 2444.04 3038.21 3872.58 448.764 4991.19 4009.99
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9738 14.34 14.13 2.37 13.37 1.24 13.81 3.584
[2,] 278.2870 4961.92 6029.76 649.68 4203.04 343.92 3962.68 886.247
[3,] 301.0640 5589.36 3838.51 780.40 3472.49 349.08 4592.48 1341.417
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.279 15.12 14.07 14.06 10.15 7.92 9.211 3.483
[2,] 497.305 1477.39 3488.80 5201.57 417.34 2465.90 1075.124 317.908
[3,] 447.834 3136.65 2965.96 1961.58 997.24 209.46 2158.035 424.463
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.652 2.469 8.192 9.417 4.227 2.188 7.725 9.525
[2,] 648.259 64.185 1332.416 3629.352 1282.642 918.615 2548.513 290.429
[3,] 286.269 52.692 2134.709 2620.181 2074.560 766.580 1532.029 5108.122
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.21 5.006 9.429 8.518 2.784 6.781 5.939 5.592
[2,] 2478.90 1018.690 4468.584 2471.342 642.280 6271.765 3996.685 3191.616
[3,] 4718.28 1484.746 1954.301 2039.974 329.473 2789.450 3157.978 4576.118
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.007 8.388 1.613 5.043 2.529 5.047 6.893 5.526
[2,] 4303.581 160.968 64.466 3548.147 669.473 676.297 1025.621 3306.842
[3,] 3662.620 315.311 100.083 3704.005 643.503 2011.324 1322.175 833.273
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.983 2.985 17.38 6.67 6.66 2.521 8.407 6.444
[2,] 1843.595 343.191 466.60 275.64 4706.49 473.616 550.215 5078.670
[3,] 917.102 141.052 1623.43 45.87 1674.86 391.898 1031.673 241.204
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.839 9.534 10.88 11.02 6.185 2.583 7.304 5.708
[2,] 738.577 5395.989 3059.90 3271.51 5857.697 101.437 3313.734 710.206
[3,] 1289.516 723.219 3625.95 4519.74 5258.664 227.374 4343.853 377.915
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.97 4.938 4.265 4.091 6.729 6.001 14.51 11.52
[2,] 2937.42 597.767 968.205 22.280 3841.469 62.085 258.28 273.49
[3,] 3799.79 630.619 875.155 110.277 1113.734 9.974 1895.43 4906.97
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.503 3.819 3.029 2.994 5.889 5.156 1.2 3.071
[2,] 416.018 1685.100 2130.526 2257.564 340.805 1024.931 310.7 417.257
[3,] 77.089 254.044 805.137 1080.590 1464.765 1485.347 305.3 461.120
[,97] [,98]
[1,] 28.69 15.2
[2,] 8639.98 1013.6
[3,] 14019.34 3865.4
[1] "--- VAR model 2017-10-07 07:31:00 completed"
[1] "Completed training sample: 2017-10-07 07:31:00 - 2017-10-07 15:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 08:01:00 - 2017-10-07 16:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.801 -0.09363 -61.34 -67.18
1.843 0.19653 -65.45 -63.13
1.876 0.10829 -64.83 -63.27
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-51.39 0.1923 0.167495 -2.4914
-58.63 -0.2591 -0.252729 -2.0730
-61.95 -0.2167 0.002048 -0.9998
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.218 -0.7172 2.153 -24.04
-4.436 -4.2396 3.027 -23.84
-3.142 -5.8398 1.669 -23.54
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.4698 -18.14 -20.706 -2.499
-2.4513 -10.94 -9.232 -2.767
0.6956 -12.27 -12.019 -2.484
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.87 -10.73 -23.07 4.22404
-15.95 -17.58 -17.69 2.62469
-15.09 -15.63 -16.36 -0.02032
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-69.44 -8.011 -131.4 -65.77
-70.90 -7.887 -126.4 -69.25
-70.05 -7.856 -134.0 -68.09
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.070 -65.81 -71.81 -16.30
-8.159 -68.21 -68.36 -16.23
-8.218 -65.76 -68.41 -16.44
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-60.75 -8.617 -54.08 -27.89
-61.27 -8.858 -63.23 -26.64
-63.28 -8.910 -61.81 -26.87
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.52 -62.10 -52.82 -63.45
-14.75 -63.08 -60.82 -59.57
-13.82 -66.02 -61.96 -62.63
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.971 0.7423 -0.4974 0.8531
3.684 -2.1869 0.2363 0.4493
1.819 -2.2866 0.8741 0.1396
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.28707 -0.1581 -19.18 -29.35
-0.04000 -0.2329 -19.45 -25.67
-0.03488 0.0456 -20.83 -24.64
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.512 -1.826 -30.72 1.343
6.445 -1.953 -32.04 9.615
6.069 -1.903 -30.00 4.894
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.006 -4.977 -24.10 8.139
-4.380 -4.000 -27.99 11.350
6.707 -3.007 -34.21 11.265
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.049 -28.25 -23.87 -21.49
-2.109 -24.52 -18.14 -21.31
-2.319 -28.06 -19.52 -20.97
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.29 1.4963 0.01626 -17.23
-23.71 -0.6325 -0.03358 -16.02
-18.53 1.1408 -0.04646 -23.60
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2377 -11.594 6.353 -4.776
-0.6695 -9.608 4.983 -7.841
-1.0794 -13.107 4.712 -6.719
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.405 -0.2602 -0.05805 -0.29315
-7.901 -0.3827 -0.53431 0.03598
-7.015 -0.2281 -0.21025 1.09139
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.785 0.1276 3.573 4.533
-4.579 -0.3579 3.943 2.015
-5.977 -0.4556 1.910 3.615
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2772 11.687 14.32 22.32
-1.6394 1.630 13.74 15.60
-0.7130 2.779 10.08 10.73
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.775 0.123612 10.88 -0.27614
17.402 0.039149 14.92 -0.20310
8.325 -0.007382 14.02 -0.01809
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.674 0.6043 -5.608 -0.07724
7.416 2.0846 -3.383 -0.03457
12.586 2.0768 -3.885 0.34846
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4914 0.16522 -0.55195 -7.815
-2.8304 0.05488 -1.04594 4.670
-2.5393 -0.12561 -0.06063 -3.190
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.15824 1.27356 -0.5186 -0.2169
0.12588 -0.21121 0.6444 0.8957
0.03651 -0.01174 0.1407 0.0156
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.814 -0.6436 -10.293 -0.5547
-5.974 1.3417 -9.829 -0.7673
-7.313 -0.1033 -9.886 -0.7319
rnd_95776.volume rnd_95787.volume
-76.33 -61.47
-83.51 -63.50
-72.15 -63.36
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.724 4.301 15.90 10.79 12.00 1.438 2.864 7.883 9.316 7.143 5.336
[2,] 6.731 4.311 15.94 12.17 12.65 1.449 2.905 7.891 9.359 9.208 5.677
[3,] 6.763 4.340 16.61 12.54 13.13 1.456 3.026 8.100 9.684 9.274 6.071
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.647 4.655 5.736 6.079 7.224 7.315 8.916 11.92 9.433 19.51 3.823
[2,] 6.503 4.740 6.405 7.213 7.379 7.648 8.953 13.04 10.075 20.38 4.005
[3,] 6.651 4.777 7.505 8.336 7.484 8.082 9.497 13.23 10.806 21.22 4.056
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 23.57 13.37 0.7837 12.11 11.43 1.950 11.17 0.9971 11.29 2.855 1.827
[2,] 28.10 13.78 0.8236 13.20 12.97 2.064 12.10 1.0507 12.15 2.960 1.889
[3,] 28.92 14.52 0.8660 14.28 13.43 2.243 12.61 1.0978 12.91 3.232 1.940
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 13.12 11.19 11.91 8.115 6.426 7.376 2.810 5.474 1.971 6.831 7.439
[2,] 13.22 11.65 12.97 8.130 6.924 7.461 2.831 5.507 1.973 7.168 8.198
[3,] 13.87 12.05 13.09 8.184 6.929 7.763 2.858 5.523 1.974 7.802 8.663
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.550 1.700 6.397 7.638 9.128 4.012 8.114 6.926 2.231 5.384 4.751
[2,] 3.783 1.847 6.964 7.646 9.454 4.152 9.142 7.269 2.315 8.229 6.268
[3,] 4.283 1.901 7.281 9.083 10.516 4.392 9.610 7.545 2.333 8.595 6.932
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.513 3.145 6.673 1.295 4.003 2.017 4.040 5.574 4.571 6.419 2.370
[2,] 5.468 5.214 6.675 1.297 5.207 2.101 4.090 5.647 5.661 6.650 2.392
[3,] 7.155 6.373 6.683 1.300 6.266 2.189 4.519 5.767 5.734 6.700 2.398
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.18 5.427 5.443 2.049 6.797 5.267 7.669 7.573 8.524 8.630 4.807
[2,] 14.19 5.429 7.064 2.095 6.834 7.108 8.029 9.148 8.902 9.212 7.137
[3,] 14.29 5.429 7.237 2.125 6.914 7.114 8.129 9.170 9.488 10.185 8.719
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.103 5.578 4.524 6.857 3.944 3.374 3.307 5.262 4.898 11.78 9.053
[2,] 2.104 6.330 4.573 7.519 3.988 3.550 3.307 6.474 4.898 11.78 9.061
[3,] 2.113 7.477 4.582 8.379 4.028 3.639 3.312 6.566 4.898 11.92 10.101
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.862 3.084 2.453 2.486 4.863 4.234 0.9585 2.273 23.41 12.57
[2,] 2.884 3.501 3.201 3.135 4.875 4.357 0.9984 2.279 24.81 12.73
[3,] 2.885 3.508 3.296 3.413 5.030 4.579 1.0356 2.286 28.18 13.25
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.538 5.461 20.19 13.7 15.23 1.826 3.637 10.01
[2,] 346.602 322.445 1220.63 6160.1 4396.57 197.013 530.627 391.58
[3,] 720.116 547.352 5123.49 3334.6 3839.73 155.187 928.776 1999.57
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.83 9.071 6.775 5.901 5.911 7.284 7.72 9.174
[2,] 986.59 6360.161 2123.649 4979.739 979.224 3120.156 4250.06 1643.451
[3,] 2721.89 1210.203 2354.101 1528.287 651.270 4279.760 4572.57 1369.654
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.289 11.32 15.14 11.98 24.77 4.855 29.92 16.97
[2,] 2442.591 883.51 5771.79 3873.47 6473.86 1305.798 16757.06 3655.59
[3,] 2859.852 3470.34 2436.56 4277.52 6452.03 702.074 7492.49 5032.76
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9951 15.37 14.52 2.476 14.18 1.266 14.34 3.625
[2,] 277.3226 5758.74 6716.89 743.095 5091.00 362.586 4894.32 854.821
[3,] 292.9405 5979.42 3810.47 959.749 3887.27 348.146 4779.02 1421.437
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.32 16.66 14.21 15.12 10.3 8.16 9.366 3.569
[2,] 524.66 1736.24 3524.27 5630.82 551.0 2821.95 1228.034 374.311
[3,] 485.10 4598.88 3370.01 1932.37 1026.9 302.17 2346.364 429.168
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.952 2.503 8.675 9.446 4.508 2.159 8.123 9.699
[2,] 654.646 92.251 2375.203 3771.916 1429.967 790.405 3012.042 383.899
[3,] 458.248 67.611 3373.387 3063.525 2197.554 494.694 2328.003 5366.396
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.59 5.095 10.3 8.795 2.833 6.837 6.033 5.731
[2,] 2693.33 1170.116 4609.6 2414.694 675.634 6811.729 4474.454 3379.520
[3,] 5041.50 1566.167 3242.9 2214.094 321.679 2716.684 3241.784 5050.538
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.994 8.474 1.644 5.083 2.561 5.13 7.078 5.804
[2,] 4552.129 145.694 83.224 3644.760 641.742 704.48 991.195 3655.178
[3,] 4011.082 361.892 102.772 3815.500 675.785 2102.43 1283.276 1003.414
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.151 3.01 18.01 6.892 6.912 2.602 8.631 6.688
[2,] 1901.067 352.59 590.57 148.599 4929.109 476.173 776.019 5224.143
[3,] 899.136 189.55 1788.57 40.833 1718.714 394.537 1151.081 319.197
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.739 9.617 10.82 10.96 6.104 2.67 7.083 5.745
[2,] 2602.200 5615.682 2809.55 3525.16 5774.444 83.17 3276.741 726.281
[3,] 1391.235 703.708 3590.85 4756.90 5480.954 212.14 4355.192 316.935
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.707 5.008 4.284 4.199 6.682 6.219 14.96 11.5
[2,] 3375.627 650.479 1210.652 3.392 4128.336 35.014 246.26 420.4
[3,] 4049.359 620.693 873.405 204.886 1195.849 56.670 1954.44 4886.2
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.635 3.916 3.115 3.157 6.176 5.377 1.217 2.887
[2,] 391.320 1815.073 2250.276 2090.595 368.472 1124.801 305.883 178.209
[3,] 81.801 244.002 861.373 1477.450 1355.759 1541.286 301.338 198.636
[,97] [,98]
[1,] 29.73 15.96
[2,] 8992.26 2194.66
[3,] 14635.20 4045.05
[1] "--- VAR model 2017-10-07 08:01:00 completed"
[1] "Completed training sample: 2017-10-07 08:01:00 - 2017-10-07 16:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 08:31:00 - 2017-10-07 16:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.04469 -0.4038 -56.16 -61.20
-0.08462 0.3115 -59.28 -57.06
-0.17914 0.2131 -55.58 -62.57
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-57.13 -0.15455 2.3314 1.6467
-60.59 -0.20482 1.3529 -0.4757
-49.70 -0.03672 0.6419 -0.9723
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.9570 -8.2529 2.127 -21.83
-0.4681 0.7995 2.894 -18.35
-0.5790 -0.9538 4.669 -17.38
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.4480 -6.958 -5.373 0.05875
-0.7575 -13.206 -13.191 -0.14773
-0.2758 -8.100 -6.487 -0.34511
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.180 -6.4687 -0.1896 12.93
-8.699 -0.3673 0.2524 12.75
-9.219 -1.2161 -0.3084 10.62
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-50.67 -8.630 -120.2 -64.61
-51.49 -8.135 -118.7 -66.80
-49.96 -8.038 -121.7 -65.51
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.968 -55.31 -65.80 -16.16
-9.002 -58.55 -66.06 -15.73
-8.747 -56.73 -67.82 -15.75
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-62.09 -8.688 -60.98 -27.53
-57.61 -8.939 -60.67 -27.21
-61.73 -8.421 -60.45 -26.85
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.12 -62.10 -63.15 -52.80
-14.44 -57.91 -60.67 -61.78
-14.51 -54.39 -55.78 -57.85
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.659 -4.599 3.6695 0.8715
3.602 -4.840 3.7526 0.6296
2.100 -4.326 0.8245 0.1608
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.1207 0.08669 -25.99 -32.56
-0.9790 0.45731 -26.14 -31.38
0.5668 0.56388 -28.49 -30.72
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.380 -3.711 -31.50 9.301
2.736 -3.336 -32.34 5.729
1.871 -2.976 -32.68 6.664
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-8.846 -4.059 -21.94 5.522
8.465 -3.871 -32.22 1.615
3.746 -3.167 -21.56 2.534
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5328 -13.20 -20.73 -25.61
-2.4258 -25.02 -17.73 -11.59
-1.4966 -24.87 -26.61 -23.00
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-30.70 1.829 0.21176 -11.07
-19.18 -1.809 0.05087 -28.78
-18.22 1.288 -0.01996 -14.40
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.965 -10.93 3.645 -9.792
-2.634 -14.56 3.731 -7.253
-2.330 -12.57 4.149 -13.680
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.235 0.62481 -2.14346 -1.30056
-5.096 -0.58268 -0.35057 -0.03107
-11.627 -0.06367 0.02339 -0.82113
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.584 -0.2601 2.257 2.6955
-6.769 -0.3688 1.666 1.6907
-4.241 -0.5754 1.207 0.9554
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.3951 -0.9036 10.91 6.229
-0.4988 0.6134 11.10 5.954
0.3326 0.2703 10.51 7.133
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.689 -0.005231 6.930 -0.53612
5.293 -0.311075 6.424 -0.28041
6.473 -0.117961 5.457 -0.03815
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.647 1.844 -4.109 -0.06504
7.853 3.498 -2.977 -0.43161
5.088 1.999 -4.712 -0.29053
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.6757 -0.09267 0.655 -12.435
-3.4711 0.02914 5.338 -3.285
-1.6815 0.13559 0.309 -6.456
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6211 3.7270 3.987 3.310
-0.1027 2.4181 2.515 2.828
0.1114 0.7435 1.112 1.444
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.171 1.0837 -10.357 -1.0880
-7.247 3.1046 -9.965 -0.4234
-8.061 0.5407 -9.916 -0.7083
rnd_95776.volume rnd_95787.volume
-77.62 -60.84
-55.67 -62.80
-54.07 -63.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.760 4.357 18.45 11.20 14.12 1.461 2.925 7.898 9.418 7.255 5.479
[2,] 6.772 4.369 19.25 12.77 14.94 1.474 2.964 7.901 9.456 9.311 5.835
[3,] 6.803 4.398 20.77 13.33 15.95 1.478 3.077 8.114 9.786 9.388 6.261
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.650 4.681 5.829 6.223 7.319 7.275 9.966 13.94 9.463 19.93 3.812
[2,] 7.904 4.781 6.728 7.539 7.516 7.837 10.246 14.85 10.100 21.30 4.245
[3,] 8.485 4.820 7.920 8.679 7.664 8.640 11.228 15.43 10.838 23.14 4.432
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.03 13.55 0.7707 12.48 12.01 1.993 11.49 0.9868 12.05 2.972 1.952
[2,] 29.02 14.00 0.8306 13.50 14.12 2.157 12.53 1.0454 13.59 3.131 2.082
[3,] 30.16 14.59 0.8736 14.81 14.45 2.352 13.26 1.0902 14.52 3.377 2.182
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.19 12.66 12.89 8.225 6.545 7.575 2.868 5.663 1.991 6.968 7.598
[2,] 14.59 13.77 14.89 8.242 7.066 7.653 2.886 5.692 1.993 7.322 8.354
[3,] 15.77 14.42 15.33 8.296 7.073 7.970 2.906 5.718 1.994 7.912 8.831
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.651 1.789 6.845 7.716 9.423 4.082 8.196 7.000 2.277 5.474 4.562
[2,] 3.913 1.917 7.325 7.734 9.786 4.241 9.234 7.328 2.364 8.390 6.510
[3,] 4.384 1.964 7.832 9.322 10.874 4.500 9.679 7.594 2.382 8.746 7.165
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.551 2.973 6.734 1.313 3.983 2.056 4.204 5.648 4.634 6.825 2.443
[2,] 5.554 5.127 6.737 1.315 5.163 2.134 4.262 5.699 5.680 6.995 2.470
[3,] 7.240 6.570 6.746 1.319 6.204 2.232 4.657 5.801 5.792 7.113 2.475
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.58 5.6 5.545 2.135 6.952 5.318 7.770 7.598 8.419 8.795 4.844
[2,] 14.58 5.6 7.266 2.176 7.009 7.113 8.147 9.179 8.876 9.332 7.159
[3,] 14.65 5.6 7.369 2.206 7.123 7.125 8.216 9.195 9.478 10.311 8.738
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.125 5.557 4.572 6.911 4.019 3.423 3.411 5.302 5.071 12.08 9.031
[2,] 2.126 6.374 4.620 7.524 4.074 3.615 3.412 6.521 5.071 12.08 9.051
[3,] 2.136 7.486 4.627 8.412 4.111 3.709 3.414 6.615 5.071 12.25 10.105
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.978 3.290 2.590 2.452 4.956 4.445 0.9811 2.337 23.80 13.59
[2,] 3.002 3.788 3.478 3.424 4.973 4.567 1.0281 2.344 25.26 13.98
[3,] 3.002 3.798 3.598 3.632 5.120 4.826 1.0694 2.353 28.76 14.33
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.584 5.533 23.42 14.23 17.93 1.855 3.715 10.03
[2,] 459.272 354.377 6163.10 6865.07 5482.25 216.599 534.811 239.72
[3,] 727.986 569.137 8759.00 4300.34 6253.19 130.790 927.078 2069.25
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 11.96 9.213 6.957 7.175 5.944 7.402 7.903
[2,] 955.48 6544.076 2252.516 6196.961 1088.593 3769.014 4770.983
[3,] 2824.16 1348.646 2544.181 3462.074 689.733 4684.496 4821.557
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 9.294 9.237 12.65 17.7 12.02 25.31 4.841 30.51
[2,] 1915.485 3270.461 2666.80 5727.5 3956.96 8429.75 2094.051 18242.09
[3,] 1681.799 4077.071 5151.19 4704.0 4408.15 10132.57 1426.135 9227.65
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 17.21 0.9787 15.85 15.25 2.531 14.6 1.253 15.3
[2,] 3918.86 347.0852 5755.81 8318.82 923.960 5598.6 387.100 7052.1
[3,] 4604.35 303.5361 6845.69 3467.92 1052.737 4857.5 346.566 5742.7
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.774 2.479 18.02 16.08 16.37 10.44 8.311 9.619
[2,] 1106.288 811.509 3778.41 6069.44 8369.42 583.46 2987.134 1223.748
[3,] 1419.041 733.822 6738.52 4815.82 4055.85 1064.22 348.468 2496.023
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 3.642 7.191 2.529 8.848 9.649 4.637 2.272 8.693
[2,] 353.587 641.024 84.587 2522.870 3891.940 1577.286 771.745 2922.403
[3,] 382.907 614.561 66.852 3362.179 3212.053 2217.995 479.138 3108.921
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 9.799 11.97 5.184 10.41 8.888 2.891 6.951 5.793
[2,] 576.154 2963.80 1288.254 4769.69 2433.982 711.977 7129.999 5208.373
[3,] 5836.302 5315.02 1686.471 3253.29 2232.955 332.901 2767.945 3354.847
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.78 3.775 8.551 1.667 5.058 2.611 5.338 7.171
[2,] 3568.75 4684.134 219.421 80.194 3683.981 638.922 783.575 853.762
[3,] 5209.14 4606.257 388.372 122.370 3857.057 735.424 2104.504 1215.492
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.885 8.667 3.102 18.51 7.111 7.041 2.711 8.828
[2,] 3683.156 1715.819 414.922 252.66 77.967 5266.144 473.581 1003.714
[3,] 1267.595 1452.187 165.640 1599.01 17.540 1372.789 404.313 1420.387
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.754 9.867 9.649 10.69 11.17 6.15 2.698 7.057
[2,] 5296.806 2745.866 5775.072 3153.05 3497.97 5910.96 70.081 3500.948
[3,] 465.479 1195.387 602.509 3728.39 4917.39 5619.66 234.778 4402.087
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.806 8.776 5.103 4.347 4.332 6.733 6.439 15.33
[2,] 745.004 3334.337 751.503 1303.709 54.866 4256.686 17.128 43.26
[3,] 289.430 4218.976 618.181 928.016 143.074 1249.157 18.750 2324.59
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 11.47 3.781 4.178 3.289 3.114 6.293 5.644 1.246
[2,] 671.94 427.657 2104.499 2603.868 2678.993 472.692 1176.460 344.725
[3,] 5039.08 8.254 321.347 1030.478 1359.408 1364.211 1748.860 330.162
[,96] [,97] [,98]
[1,] 2.968 30.22 17.26
[2,] 198.265 9499.67 3670.51
[3,] 231.164 15423.56 3499.92
[1] "--- VAR model 2017-10-07 08:31:00 completed"
[1] "Completed training sample: 2017-10-07 08:31:00 - 2017-10-07 16:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 09:01:00 - 2017-10-07 17:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.165 -0.6449 -56.02 -57.94
2.912 -0.5426 -52.09 -60.64
3.835 -0.3778 -45.94 -54.19
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-68.36 1.0072 1.888 0.7604
-69.92 0.3506 1.412 2.5899
-74.28 0.2278 1.110 1.8352
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.573 6.248 5.264 -11.075
5.008 2.952 2.381 -9.731
2.947 4.509 4.084 -5.329
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2939 -1.429 0.4457 -5.665
1.1538 -3.881 -1.3848 -3.689
0.9200 -4.107 -1.9308 -2.992
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.842 -8.151 -7.129 17.80
-10.376 -7.287 -6.506 15.62
-8.881 -8.191 -7.030 15.10
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-53.62 -8.586 -99.57 -60.76
-50.45 -8.955 -119.36 -62.41
-46.03 -8.872 -112.69 -60.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.052 -66.35 -69.20 -16.76
-9.078 -52.76 -61.86 -16.55
-9.036 -58.93 -66.67 -16.56
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-57.58 -8.845 -55.02 -28.14
-60.77 -8.786 -56.46 -28.14
-54.20 -8.827 -55.36 -28.16
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.82 -64.63 -73.23 -69.47
-13.33 -69.51 -78.45 -69.06
-13.62 -68.11 -77.14 -71.27
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8996 -3.2659 -3.1017 0.54714
1.1194 -4.7397 3.6740 0.48894
1.1824 -0.8028 0.4039 -0.02235
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.35298 0.05958 -30.81 -29.17
-0.08098 0.08152 -28.65 -28.17
0.05637 -0.05183 -28.81 -28.25
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3887 -3.231 -37.55 11.287
1.6191 -2.499 -39.47 -1.006
2.0093 -3.669 -37.33 5.954
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.635 -5.266 -23.47 9.689
1.693 -3.273 -16.34 8.320
3.524 -2.904 -23.21 10.272
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.625 -18.59 -12.11 -19.02
-1.588 -23.58 -15.07 -15.49
-1.644 -18.52 -11.36 -17.51
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.392 -1.9651 -0.002939 -13.18
-14.064 -0.4610 -0.040618 -13.54
-15.474 0.5918 -0.062528 -14.09
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.584 -11.896 0.4041 -4.816
-1.678 -4.544 2.3106 -10.276
-1.642 -8.599 3.2325 -4.505
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.309 -0.7556 -2.4067 -0.1584
-6.881 -0.6603 -1.7229 0.6792
-6.682 -0.1866 -0.7259 -0.4728
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.399 -1.3956 9.965 17.636
-7.861 -0.7883 10.710 6.178
-7.314 -0.6887 9.410 7.366
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.902 19.124 3.619 18.39
-1.950 3.459 3.453 13.19
-1.201 4.268 5.346 11.80
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.733 0.13384 3.197 0.11304
19.345 -0.09164 15.674 0.07953
8.093 -0.01934 12.052 0.01992
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.639 0.2467 -2.991 -0.40479
8.930 -0.7209 -3.256 -0.18382
13.355 -0.9742 -2.590 -0.05915
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.479 -0.18020 -2.5480 -1.8545
-3.773 -0.21279 0.1742 -0.7841
-3.224 -0.06521 -0.4472 -0.9899
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.616976 6.199 6.326 5.774
0.005045 3.940 2.919 3.855
0.433101 2.622 1.874 2.390
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.969 -1.53097 -10.66 -0.5203
-2.324 2.32581 -10.69 -0.5368
-6.025 0.07813 -10.18 -0.7193
rnd_95776.volume rnd_95787.volume
-68.22 -63.51
-61.48 -66.77
-69.85 -65.33
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.003 4.441 18.54 11.51 14.09 1.540 2.893 7.890 9.475 7.273 5.582
[2,] 7.036 4.452 19.33 13.01 14.87 1.553 2.928 7.895 9.514 9.338 5.928
[3,] 7.081 4.496 20.83 13.67 15.90 1.563 3.042 8.062 9.824 9.407 6.348
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.813 4.630 5.832 6.238 6.925 7.200 9.894 14.03 9.234 18.72 4.071
[2,] 8.065 4.728 6.808 7.592 7.124 7.644 10.147 14.99 9.876 19.70 4.323
[3,] 8.638 4.769 8.055 8.751 7.217 8.307 11.283 15.55 10.564 21.47 4.470
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.70 14.56 0.8025 12.31 12.25 1.973 12.10 1.019 12.15 3.147 2.023
[2,] 30.94 15.15 0.8495 13.42 14.82 2.112 12.94 1.067 13.73 3.426 2.181
[3,] 32.48 16.77 0.8941 15.00 15.38 2.298 13.95 1.116 14.72 3.757 2.295
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.46 13.78 12.99 8.241 6.571 7.779 2.905 5.790 2.064 6.849 7.520
[2,] 14.92 14.40 15.01 8.249 7.179 7.864 2.921 5.827 2.064 7.234 8.291
[3,] 16.19 15.57 15.50 8.285 7.189 8.185 2.945 5.853 2.069 7.793 8.758
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.825 1.961 6.912 7.912 9.702 4.248 8.460 6.992 2.288 5.446 4.544
[2,] 4.058 2.153 7.370 7.934 10.060 4.438 9.606 7.304 2.373 8.441 6.795
[3,] 4.553 2.292 7.836 9.551 11.122 4.706 10.033 7.595 2.396 8.844 7.497
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.577 2.833 6.874 1.321 4.037 2.053 4.234 5.677 4.604 6.831 2.458
[2,] 5.625 5.145 6.884 1.322 5.248 2.135 4.281 5.720 5.645 7.012 2.485
[3,] 7.334 6.841 6.897 1.329 6.363 2.230 4.692 5.802 5.761 7.147 2.489
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.86 5.686 5.686 2.156 7.212 5.315 7.977 7.772 8.344 8.515 4.819
[2,] 14.87 5.687 7.540 2.197 7.355 7.202 8.338 9.450 8.876 9.227 7.271
[3,] 14.95 5.688 7.662 2.228 7.542 7.244 8.419 9.469 9.362 10.324 8.770
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.165 5.646 4.587 6.864 4.140 3.469 3.448 5.341 5.211 12.07 9.015
[2,] 2.165 6.639 4.627 7.584 4.199 3.677 3.448 6.591 5.211 12.07 9.042
[3,] 2.178 7.633 4.634 8.427 4.239 3.776 3.451 6.699 5.211 12.26 10.056
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.109 3.356 2.717 2.479 5.054 4.533 0.9792 2.366 24.10 14.49
[2,] 3.142 3.753 3.668 3.533 5.075 4.665 1.0226 2.372 25.82 15.11
[3,] 3.143 3.872 3.776 3.714 5.235 4.926 1.0594 2.383 29.37 16.28
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.893 5.639 23.54 14.62 17.89 1.955 3.673 10.02
[2,] 774.651 359.599 6207.48 6880.48 5401.94 232.086 516.831 288.88
[3,] 903.800 716.558 8836.84 4786.53 6409.11 199.033 937.061 1859.51
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 12.03 9.236 7.089 7.382 5.879 7.405 7.921
[2,] 977.41 6656.536 2265.297 6355.083 1091.310 3994.184 4919.452
[3,] 2783.25 1296.982 2583.319 3516.638 707.143 4892.303 4945.955
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 8.793 9.143 12.56 17.81 11.73 23.77 5.17 31.36
[2,] 1900.216 2918.490 2557.35 6016.52 3980.74 6961.49 1653.18 21194.79
[3,] 1316.838 3697.153 5609.79 4698.24 4262.82 9723.96 1292.05 11231.64
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 18.49 1.019 15.63 15.55 2.506 15.36 1.294 15.43
[2,] 4768.77 316.621 6079.96 9487.32 857.076 5204.13 361.159 7266.11
[3,] 8180.58 317.050 7617.28 4651.52 1027.289 5938.77 371.613 6035.87
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.996 2.568 18.36 17.5 16.49 10.46 8.344 9.878
[2,] 1538.884 928.374 4178.99 4721.0 8552.59 410.59 3285.328 1314.719
[3,] 1753.955 811.603 7135.13 6738.0 4384.10 881.58 442.607 2579.361
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 3.688 7.352 2.621 8.698 9.549 4.857 2.49 8.777
[2,] 355.757 754.409 40.342 2646.492 3968.932 1543.331 1010.57 2908.145
[3,] 421.867 619.839 160.634 3293.452 3208.494 2347.241 893.57 3026.019
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 10.05 12.32 5.394 10.74 8.878 2.905 6.916 5.77
[2,] 672.47 3021.47 1463.359 5171.96 2403.505 715.989 7331.147 5742.94
[3,] 6044.69 5392.18 1778.187 3289.49 2364.070 376.561 3000.237 3599.09
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.812 3.598 8.728 1.677 5.126 2.607 5.377 7.209
[2,] 3715.873 4882.278 428.680 65.226 3811.665 664.903 716.403 794.072
[3,] 5350.026 5124.263 476.682 154.435 4090.926 731.153 2183.884 1109.144
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.847 8.675 3.122 18.88 7.221 7.221 2.737 9.158
[2,] 3712.176 1796.068 410.035 362.30 108.647 5628.784 480.314 1640.437
[3,] 1308.512 1572.747 160.614 1805.00 116.282 1550.803 420.915 1898.956
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.749 10.13 9.869 10.6 10.81 6.12 2.749 7.17
[2,] 5523.977 2756.96 6112.151 3440.5 4040.66 6188.55 45.648 3971.04
[3,] 888.427 1326.77 680.469 3385.5 5263.46 5573.54 272.299 4279.56
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.824 8.716 5.258 4.406 4.378 6.783 6.617 15.33
[2,] 691.504 3666.055 797.163 1384.233 65.008 4390.153 5.401 182.79
[3,] 286.807 4175.746 653.934 978.243 166.824 1356.455 69.470 2457.63
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 11.45 3.948 4.262 3.45 3.149 6.418 5.757 1.243
[2,] 780.26 515.529 1908.769 2800.82 2861.027 528.826 1248.652 334.980
[3,] 5002.87 65.393 1084.634 1019.75 1302.803 1458.462 1798.765 314.975
[,96] [,97] [,98]
[1,] 3.004 30.6 18.4
[2,] 199.571 10524.1 4845.8
[3,] 253.516 15915.2 6907.2
[1] "--- VAR model 2017-10-07 09:01:00 completed"
[1] "Completed training sample: 2017-10-07 09:01:00 - 2017-10-07 17:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 09:31:00 - 2017-10-07 17:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.5649 -0.2325 -70.34 -62.64
0.2292 0.5147 -74.27 -57.01
1.0664 0.1993 -70.52 -62.25
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-66.71 0.4333 1.0716 1.739
-72.20 0.3107 0.9142 1.158
-68.86 0.5825 0.9288 0.732
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.161 -1.231 4.753 -17.35
3.408 2.906 5.639 -16.69
1.052 3.143 6.500 -13.14
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.6532 -5.403 -3.497 -3.846
0.6681 -8.689 -6.702 -4.261
2.2857 -7.345 -4.895 -3.917
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.22 -9.016 -2.5650 14.58
-15.13 -9.528 -1.3335 14.25
-12.54 -9.019 -0.9062 13.94
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-70.23 -8.367 -143.9 -54.75
-72.33 -7.854 -148.4 -59.91
-66.13 -8.016 -149.2 -58.95
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.206 -62.82 -70.20 -15.69
-9.242 -64.55 -64.74 -15.45
-9.262 -68.71 -66.83 -15.27
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-71.80 -10.71 -53.45 -26.41
-63.93 -10.62 -57.15 -26.32
-66.68 -10.52 -56.38 -26.05
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.83 -71.40 -66.98 -65.15
-12.76 -72.22 -72.76 -64.25
-12.53 -71.32 -74.69 -67.57
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.612 -1.896 1.191 0.21610
1.466 -3.381 5.598 0.04699
-1.051 -3.014 2.107 0.01847
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.07008 0.04335 -24.14 -28.15
0.15429 0.30045 -22.42 -26.07
-0.07938 -0.21401 -22.56 -24.50
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.761 -2.727 -25.75 15.36
4.958 -2.060 -26.58 15.61
3.791 -1.914 -27.74 14.48
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.762 -1.00056 -20.24 10.466
-10.772 0.49289 -16.39 12.042
-1.329 0.06803 -23.92 9.885
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.0093 -20.48 -18.86 -18.31
-0.8613 -14.88 -13.92 -15.10
-0.8186 -13.18 -11.13 -12.00
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.58 0.9648 -0.12463 -16.63
-18.06 -0.1934 -0.20638 -14.16
-13.10 -1.1355 -0.07835 -17.10
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9784 -9.329 0.461 -8.242
-0.5590 -6.986 1.834 -9.498
-0.8939 -10.829 1.996 -6.787
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.656 -0.55289 -2.365 0.6737
-8.747 -0.03611 -3.386 -1.8692
-7.472 -0.11529 -1.677 1.6375
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.846 -1.3495 4.877 11.025
-6.520 -0.8459 3.475 2.080
-8.825 -0.4006 5.371 2.242
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.2602 7.3034 6.380 5.987
-0.1287 1.2208 7.894 12.086
0.6859 0.7964 5.696 5.234
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.432 0.6845 7.791 1.2251
13.803 0.6031 0.550 0.5002
6.503 0.4862 10.929 0.2158
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.7835 2.723 -4.396 0.36735
-0.5706 1.803 -2.785 0.19264
10.4733 3.238 -2.334 -0.06322
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.754 -0.03681 2.3490 -1.516
-2.162 -0.08811 -1.1396 -3.064
-3.678 -0.02425 0.4106 -1.284
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.8619 -1.340 -1.842 -1.1416
0.7641 7.353 1.741 0.3789
0.3674 1.025 5.876 7.3359
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.188 1.48498 -10.96 -0.6619
-3.882 -0.04179 -10.99 -0.7650
-6.100 0.29477 -10.99 -0.5280
rnd_95776.volume rnd_95787.volume
-32.97 -55.24
-29.79 -52.62
-23.92 -58.56
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.098 4.601 18.65 12.65 14.40 1.578 2.919 7.904 9.536 7.356 5.604
[2,] 7.141 4.620 19.40 14.24 15.19 1.595 2.971 7.906 9.583 9.505 5.959
[3,] 7.196 4.671 20.90 14.86 16.28 1.603 3.076 8.060 9.876 9.561 6.403
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.949 4.686 5.887 6.303 7.020 6.968 9.917 14.03 9.049 19.01 4.063
[2,] 8.201 4.773 6.917 7.645 7.171 7.414 10.088 15.08 9.648 20.05 4.311
[3,] 8.790 4.817 8.198 8.802 7.316 8.125 11.350 15.66 10.396 21.87 4.456
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 25.03 14.71 0.8428 12.60 12.52 1.996 12.19 1.041 12.11 3.235 2.322
[2,] 31.47 15.26 0.9221 14.15 15.15 2.124 13.04 1.099 13.72 3.529 2.435
[3,] 33.06 16.84 0.9773 15.22 15.72 2.313 14.11 1.161 14.74 3.879 2.665
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.59 14.21 12.89 8.224 6.621 7.944 2.896 5.929 2.090 7.000 7.401
[2,] 15.10 14.93 14.98 8.237 7.238 8.031 2.912 5.986 2.090 7.391 8.193
[3,] 16.37 16.13 15.47 8.274 7.246 8.349 2.933 6.012 2.095 7.970 8.665
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.852 1.994 6.926 7.900 9.89 4.327 8.647 6.976 2.309 5.473 4.496
[2,] 4.104 2.156 7.329 7.927 10.27 4.526 9.825 7.263 2.389 8.454 6.859
[3,] 4.609 2.295 7.782 9.622 11.32 4.766 10.284 7.539 2.410 8.881 7.574
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.577 2.804 6.887 1.330 4.030 2.081 4.261 5.768 4.698 6.904 2.446
[2,] 5.599 5.107 6.900 1.331 5.287 2.152 4.304 5.840 5.695 7.088 2.465
[3,] 7.293 6.892 6.911 1.335 6.383 2.266 4.693 5.956 5.827 7.229 2.471
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.92 5.833 5.686 2.213 7.425 5.559 8.017 7.830 8.373 8.561 4.952
[2,] 14.93 5.833 7.670 2.247 7.614 7.265 8.399 9.563 8.915 9.162 7.326
[3,] 15.06 5.836 7.790 2.275 7.791 7.311 8.490 9.583 9.430 10.243 8.821
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.233 5.921 4.661 7.165 4.209 3.513 3.470 5.299 5.267 12.20 8.951
[2,] 2.237 6.607 4.704 7.894 4.264 3.742 3.470 6.495 5.268 12.20 8.973
[3,] 2.267 7.576 4.716 8.677 4.310 3.837 3.475 6.593 5.268 12.39 9.942
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.093 3.413 2.715 2.456 5.173 4.598 1.028 2.403 23.67 14.70
[2,] 3.293 3.901 3.659 3.552 5.197 4.717 1.088 2.410 25.46 15.33
[3,] 3.318 4.309 3.819 3.791 5.347 5.002 1.149 2.420 29.07 16.50
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.013 5.842 23.68 16.06 18.28 2.004 3.706 10.04
[2,] 904.621 496.042 6224.01 7600.20 5617.62 264.528 643.985 226.08
[3,] 1037.461 797.659 9022.19 4909.50 6795.55 189.689 924.609 1816.86
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 12.11 9.341 7.117 7.555 5.951 7.476 8.004
[2,] 1106.33 6986.262 2350.406 6550.509 1048.540 4215.268 5021.887
[3,] 2769.79 1197.220 2718.611 3672.251 760.371 5106.793 5062.725
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 8.915 8.849 12.59 17.81 11.49 24.14 5.159 31.79
[2,] 1695.992 2937.496 2146.00 6415.90 3883.31 7388.70 1674.106 22142.43
[3,] 1684.388 3859.059 6037.54 4917.57 4495.25 10144.88 1307.886 11750.34
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 18.68 1.07 15.99 15.9 2.535 15.48 1.323 15.37
[2,] 4737.89 434.15 7483.41 9898.6 841.602 5364.99 407.973 7500.87
[3,] 8247.61 375.80 6493.58 4878.2 1063.110 6263.49 435.368 6255.17
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 4.108 2.949 18.53 18.04 16.37 10.44 8.408 10.09
[2,] 1635.632 851.500 4535.41 5311.79 8842.27 539.94 3393.309 1367.59
[3,] 1870.626 1257.161 7333.04 7100.54 4492.97 900.08 403.627 2646.18
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 3.678 7.529 2.654 8.889 9.398 4.891 2.532 8.795
[2,] 349.336 952.891 16.286 2751.116 4077.880 1645.522 952.021 2781.485
[3,] 404.170 646.163 167.301 3462.755 3274.621 2434.014 911.644 3037.076
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 10.03 12.56 5.495 10.98 8.858 2.932 6.95 5.709
[2,] 754.74 3204.57 1538.991 5414.39 2345.924 710.767 7477.58 6012.689
[3,] 6329.21 5518.82 1732.907 3524.88 2345.973 368.468 3159.20 3727.065
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.812 3.56 8.746 1.689 5.117 2.643 5.411 7.325
[2,] 3743.169 4953.86 479.777 47.649 3973.157 636.672 705.833 1061.484
[3,] 5423.288 5371.66 451.216 121.898 4149.464 822.185 2169.838 1353.518
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.965 8.767 3.106 18.94 7.407 7.22 2.81 9.429
[2,] 3737.107 1866.136 354.853 724.05 36.546 5974.98 454.90 1954.679
[3,] 1427.821 1648.170 193.245 2272.90 200.362 1580.15 413.94 1917.593
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 7.059 10.18 9.943 10.63 10.87 6.289 2.836 7.519
[2,] 5427.163 2904.50 6372.119 3552.67 3787.97 6264.874 145.090 3401.935
[3,] 951.073 1440.10 722.268 3565.34 5314.59 5702.819 426.392 4302.803
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.919 9.099 5.345 4.461 4.407 6.73 6.689 15.49
[2,] 739.940 3844.080 787.984 1494.866 10.955 4358.80 78.589 170.49
[3,] 380.146 4180.464 732.959 986.360 213.817 1311.09 34.050 2498.17
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 11.37 3.927 4.334 3.447 3.119 6.569 5.839 1.305
[2,] 732.08 1314.231 2193.602 2846.274 2977.874 581.657 1224.935 413.914
[3,] 4969.19 470.038 2123.426 1272.985 1539.867 1461.766 1930.365 427.961
[,96] [,97] [,98]
[1,] 3.051 30.06 18.66
[2,] 217.851 10883.87 5048.63
[3,] 257.329 16276.92 7093.05
[1] "--- VAR model 2017-10-07 09:31:00 completed"
[1] "Completed training sample: 2017-10-07 09:31:00 - 2017-10-07 17:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 10:01:00 - 2017-10-07 18:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.744 -0.61839 -66.57 -54.65
3.332 -0.31549 -69.26 -57.66
2.462 -0.08576 -67.52 -58.57
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-54.76 -0.4605 1.814 -0.1818
-53.20 -0.3004 2.456 -1.0463
-52.73 -0.2437 1.428 -1.1001
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.073 -3.0646 0.9252 -20.28
-1.019 0.2146 0.5476 -11.18
-1.211 -4.4287 -1.4059 -12.67
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6530 -6.262 -10.108 -3.2738
0.9165 -11.424 -9.140 -1.2944
-0.5614 -4.762 -4.873 -0.8813
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.342 -4.219 -1.593 19.94
-11.490 -2.997 -2.668 19.33
-7.662 -5.692 -3.147 18.26
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-69.81 -8.435 -137.4 -62.03
-71.22 -8.477 -133.9 -70.30
-69.67 -8.043 -140.5 -70.54
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-10.066 -62.00 -74.60 -17.20
-9.883 -65.62 -66.75 -17.04
-10.007 -63.96 -68.94 -17.47
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-54.21 -10.56 -39.04 -23.71
-60.48 -10.43 -53.44 -23.88
-62.04 -10.57 -52.57 -24.02
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.57 -61.80 -58.09 -56.74
-14.83 -56.65 -57.59 -66.45
-15.15 -54.16 -55.84 -63.07
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.124 -2.195 0.1794 0.52196
2.443 -5.661 1.6850 0.01300
3.058 -1.075 1.1922 0.05025
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.18366 0.22263 -25.78 -27.00
-0.10965 -0.03676 -26.42 -28.24
0.02801 -0.38337 -26.01 -28.78
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.1321 -4.890 -33.89 9.613
0.5428 -3.770 -33.88 15.975
0.6273 -4.341 -34.47 10.808
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.089 -4.261 -23.10 12.022
-1.895 -4.046 -15.59 10.901
4.153 -4.159 -20.15 9.192
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.1323 -16.58 -11.44 -12.14
-0.9017 -14.01 -15.87 -15.07
-1.3481 -16.72 -11.23 -10.73
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.56 -0.2952 0.08908 -11.71
-12.16 -0.4474 0.04502 -10.79
-15.40 -0.3519 -0.05488 -13.15
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.462 -9.325 -0.08632 -10.395
-0.917 -6.717 0.79148 -7.841
-1.127 -6.982 0.46361 -6.202
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.491 -0.1882 -1.4001 -0.02358
-6.033 -0.5208 -0.9636 2.02345
-5.787 -0.2041 -0.5014 -0.58957
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.141 -1.1698 12.231 10.205
-8.271 -0.4274 10.258 7.350
-6.155 -0.5990 9.139 6.201
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.942 8.681 11.990 15.21
-3.796 2.480 12.172 15.67
-2.301 2.568 9.368 14.25
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.711 1.0478 8.254 1.8441
15.820 0.6514 6.803 0.9693
10.815 0.4572 12.350 0.7222
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.309 -0.3827 -2.023 0.1293
6.399 -0.8213 -3.529 0.1328
10.684 -0.5310 -2.204 0.1945
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.889 0.02377 0.5225 2.0013
-4.836 0.09372 -1.2068 -0.6530
-2.136 -0.03910 0.1596 0.8471
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.773 3.516 3.718 5.409
2.736 5.578 4.944 4.614
2.079 5.079 5.759 5.732
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.901 2.2608 -11.47 -0.3927
-2.984 -1.2753 -11.69 -0.6542
-4.179 0.3034 -12.13 -0.4015
rnd_95776.volume rnd_95787.volume
-27.73 -63.55
-51.95 -63.10
-27.10 -66.03
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.143 4.750 18.88 12.62 14.49 1.620 3.010 8.220 9.722 7.545 5.588
[2,] 7.226 4.783 19.62 14.05 15.26 1.635 3.045 8.223 9.797 9.777 5.979
[3,] 7.290 4.818 21.21 14.67 16.37 1.641 3.135 8.347 10.057 9.824 6.444
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.032 4.731 5.839 6.375 7.134 6.877 10.13 14.91 8.861 19.04 4.073
[2,] 8.252 4.822 6.876 7.733 7.313 7.326 10.29 15.70 9.476 20.02 4.322
[3,] 8.870 4.880 8.125 8.786 7.458 8.162 11.41 16.31 10.241 21.86 4.470
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.97 14.60 0.8419 12.79 12.46 1.973 12.07 1.040 12.30 3.312 2.358
[2,] 31.53 15.15 0.9198 14.34 15.17 2.106 12.74 1.103 13.90 3.608 2.485
[3,] 32.99 16.65 0.9765 15.41 15.76 2.290 13.82 1.167 15.01 3.958 2.716
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.52 14.30 13.23 8.151 6.535 8.055 2.932 6.005 2.078 7.111 7.514
[2,] 15.05 15.08 15.26 8.159 7.037 8.152 2.954 6.063 2.078 7.442 8.365
[3,] 16.44 16.18 15.77 8.198 7.051 8.477 2.980 6.086 2.083 8.079 8.822
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.042 2.156 6.776 7.819 9.918 4.547 8.843 6.993 2.318 5.545 4.754
[2,] 4.286 2.326 7.082 7.845 10.301 4.704 9.976 7.290 2.402 8.528 6.748
[3,] 4.808 2.455 7.586 9.610 11.354 4.988 10.487 7.561 2.418 8.922 7.419
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.601 2.788 7.010 1.322 4.023 2.091 4.246 5.784 4.719 6.821 2.431
[2,] 5.610 5.315 7.020 1.322 5.386 2.150 4.283 5.830 5.689 7.015 2.444
[3,] 7.349 6.839 7.033 1.326 6.635 2.265 4.701 5.924 5.823 7.179 2.450
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 15.09 5.894 5.839 2.176 7.531 5.612 8.072 7.783 8.423 8.390 4.989
[2,] 15.11 5.895 7.767 2.215 7.816 7.246 8.459 9.718 8.990 9.077 7.209
[3,] 15.20 5.897 7.885 2.245 8.077 7.326 8.559 9.757 9.446 10.157 8.738
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.331 6.243 4.764 7.345 4.243 3.517 3.385 5.281 5.355 12.08 8.809
[2,] 2.351 6.861 4.852 7.994 4.295 3.762 3.386 6.442 5.355 12.08 8.845
[3,] 2.394 7.825 4.883 8.653 4.331 3.861 3.393 6.537 5.356 12.28 9.840
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.170 3.530 2.783 2.498 5.131 4.558 1.039 2.453 23.82 14.74
[2,] 3.435 4.054 3.799 3.714 5.169 4.680 1.096 2.460 25.51 15.39
[3,] 3.477 4.576 4.124 3.984 5.360 4.985 1.167 2.470 29.19 16.60
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.07 6.032 23.98 16.03 18.41 2.057 3.823 10.44
[2,] 1362.98 694.677 6658.85 7707.47 5960.48 276.196 573.481 310.75
[3,] 1199.03 720.770 10052.81 5237.54 7379.01 168.080 930.142 1787.44
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 12.34 9.582 7.096 7.66 6.007 7.414 8.095 9.059
[2,] 1508.93 7753.739 2652.153 7021.88 1167.290 4528.853 5458.924 2005.787
[3,] 2836.24 1192.506 2995.757 4056.49 934.667 5397.423 5201.007 1826.996
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.733 12.86 18.93 11.25 24.18 5.172 31.71 18.55
[2,] 3148.232 2299.69 6138.88 4187.22 7727.03 1801.957 23998.30 5036.64
[3,] 4486.395 6133.65 5517.85 4842.69 10927.25 1424.362 12112.31 8617.44
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.069 16.24 15.82 2.506 15.33 1.321 15.63 4.206
[2,] 461.979 8083.73 10790.14 917.835 5067.26 456.130 8056.65 1783.675
[3,] 408.809 7054.82 5324.32 1120.235 6680.51 476.103 7058.48 2028.111
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.994 18.44 18.15 16.79 10.35 8.298 10.23 3.723
[2,] 979.756 4939.52 5965.95 9485.02 443.55 3253.985 1556.63 448.925
[3,] 1366.870 8228.98 7325.93 4975.28 995.12 568.199 2902.78 491.621
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 7.626 2.638 9.03 9.541 5.132 2.737 8.604 9.929
[2,] 1040.657 29.303 2735.52 4586.561 1778.785 1089.582 2570.634 801.765
[3,] 665.643 184.280 3922.58 3494.683 2716.527 978.875 3388.581 6919.931
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 12.59 5.775 11.23 8.88 2.943 7.042 6.037 5.842
[2,] 3469.98 1500.634 5758.77 2568.23 783.719 8078.478 5972.545 4003.686
[3,] 5955.11 2070.683 4029.78 2505.11 347.945 3273.202 3844.248 5919.829
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.54 8.902 1.679 5.108 2.656 5.391 7.344 5.992
[2,] 5642.37 451.072 17.296 4465.959 620.500 706.909 917.491 3962.696
[3,] 5367.11 537.755 133.818 4831.776 889.666 2416.970 1310.153 1547.303
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.661 3.087 19.16 7.485 7.415 2.763 9.564 7.126
[2,] 2044.028 315.156 851.69 78.246 6386.875 514.187 2607.399 5715.455
[3,] 1901.726 214.909 2069.63 190.040 1694.071 455.442 2540.268 1351.092
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.25 9.883 10.7 10.65 6.335 2.96 7.928 6.049
[2,] 3154.34 7256.358 3918.2 4320.05 6488.121 380.48 3546.879 1150.308
[3,] 1623.05 1092.668 3614.6 5682.06 6158.339 564.17 4691.701 677.364
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 9.327 5.388 4.467 4.299 6.706 6.80 15.34 11.19
[2,] 3935.137 834.458 1663.859 79.130 4599.226 42.65 253.94 987.02
[3,] 4130.335 695.375 1082.033 276.732 1391.367 145.72 2760.59 5377.48
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.025 4.483 3.534 3.172 6.516 5.788 1.319 3.115
[2,] 1650.161 2485.606 3225.735 3426.841 775.372 1320.833 434.962 238.467
[3,] 670.055 2646.670 1999.290 1798.360 1771.456 2143.744 499.683 274.584
[,97] [,98]
[1,] 30.24 18.72
[2,] 11401.55 5496.35
[3,] 17698.31 7768.89
[1] "--- VAR model 2017-10-07 10:01:00 completed"
[1] "Completed training sample: 2017-10-07 10:01:00 - 2017-10-07 18:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 10:31:00 - 2017-10-07 18:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.65873 0.43356 -55.25 -52.00
-0.02826 -0.17564 -53.17 -54.42
0.07685 -0.04161 -54.94 -51.90
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-60.37 0.3116 2.953 4.4878
-62.93 0.7342 2.831 0.5071
-57.18 0.1226 1.915 -0.3526
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.350 -1.957 13.198 -12.98
3.642 9.504 11.318 -11.04
2.435 1.247 9.728 -10.91
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.1808 -6.157 -1.6133 -9.584
0.2794 -7.388 -5.4358 -9.531
4.1427 -2.660 -0.6188 -6.387
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-18.102 -11.453 -6.466 8.991
-8.852 -4.679 -6.491 7.553
-11.544 -5.479 -4.120 10.332
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-51.70 -8.168 -113.6 -61.95
-48.08 -7.887 -114.9 -54.50
-47.46 -8.279 -109.3 -54.41
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.227 -60.95 -57.31 -16.73
-7.945 -54.45 -60.10 -16.04
-7.966 -57.24 -57.56 -16.03
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-53.66 -9.013 -52.55 -27.77
-53.60 -8.850 -51.09 -27.93
-50.13 -9.012 -52.64 -27.80
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.91 -51.54 -54.34 -65.10
-13.02 -56.75 -50.38 -55.77
-12.29 -56.05 -51.47 -57.56
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.045 -4.3343 2.3091 -0.0009149
1.800 -4.5696 2.5931 -0.1093875
1.099 -0.7511 -0.1089 -0.0359965
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.1657 0.30422 -33.73 -37.65
-0.6841 0.12887 -37.33 -37.36
0.3191 0.02407 -35.48 -39.06
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.902 -5.048 -29.72 13.226
3.226 -5.437 -30.57 6.784
3.182 -5.452 -31.75 9.985
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.237 3.085 -10.06 8.091
1.167 4.153 -15.45 9.054
6.344 4.837 -12.96 9.503
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1656 -8.977 -15.160 -14.164
-0.8926 -10.642 -7.866 -6.073
-0.2874 -9.392 -10.306 -10.008
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.884 1.8181 0.16414 -10.967
-14.694 -1.9910 -0.06878 -7.818
-7.285 -0.7786 0.00747 -11.031
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.743 -9.506 0.10387 -13.211
-1.797 -3.251 -0.08852 -6.335
-1.301 -8.553 -0.26031 -4.575
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.219 -0.4079 -1.457 -0.3822
-5.165 -0.3082 -1.633 -0.4015
-4.954 -0.4279 -1.221 0.6042
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.082 -0.2553 10.831 11.490
-8.051 -0.8124 7.836 5.985
-3.428 -0.4916 9.573 4.035
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.9225 -1.1108 10.35 3.190
-0.4451 1.2904 10.74 12.424
-0.6366 -0.5191 11.19 7.155
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.077 1.430 1.571 2.296
7.707 1.715 3.560 1.428
9.462 1.246 7.786 1.113
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.2911 3.329 -3.620 0.5957
3.6022 2.901 -1.502 0.8902
4.8707 2.436 -2.467 0.5621
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.625 -0.039424 1.7536 -0.08159
-5.831 0.018909 -1.4163 0.92557
-1.626 -0.008799 0.4073 0.08792
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.235 8.614 9.525 10.92
4.587 10.132 7.892 8.15
2.918 7.604 9.753 10.21
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.526 -1.1549 -9.335 -0.3004
-1.487 1.1686 -9.043 -0.4106
-4.710 0.3523 -9.466 -0.4865
rnd_95776.volume rnd_95787.volume
-31.40 -56.47
-15.46 -51.15
-14.17 -53.93
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.212 4.803 17.82 12.52 14.67 1.643 2.998 8.371 9.888 7.678 5.701
[2,] 7.320 4.838 18.66 13.88 15.39 1.657 3.024 8.371 9.960 9.976 6.192
[3,] 7.420 4.893 20.22 14.48 16.62 1.665 3.106 8.451 10.141 10.030 6.656
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.144 4.790 5.978 6.456 7.143 6.970 10.26 15.02 8.719 19.16 4.588
[2,] 8.429 4.861 7.019 7.839 7.333 7.404 10.42 15.94 9.316 20.15 4.858
[3,] 9.015 4.946 8.263 8.881 7.505 8.308 11.60 16.62 10.059 21.94 5.048
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.79 14.86 0.8663 12.90 12.50 1.971 12.08 1.052 12.45 3.277 2.401
[2,] 31.41 15.36 0.9398 14.45 15.14 2.093 12.73 1.118 14.03 3.581 2.527
[3,] 32.80 16.87 0.9980 15.50 15.71 2.271 13.76 1.183 15.12 3.913 2.774
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.55 14.48 13.24 8.119 6.460 8.194 2.920 6.091 2.047 7.114 7.299
[2,] 15.03 15.30 15.33 8.125 6.984 8.299 2.945 6.142 2.047 7.526 8.154
[3,] 16.37 16.43 15.80 8.157 7.013 8.587 2.977 6.172 2.054 8.117 8.649
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.080 2.234 6.636 7.816 9.863 4.683 8.822 6.947 2.336 5.547 4.900
[2,] 4.308 2.411 6.870 7.838 10.301 4.828 10.013 7.263 2.419 8.657 6.833
[3,] 4.769 2.572 7.339 9.632 11.387 5.115 10.494 7.538 2.433 9.019 7.545
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.629 2.781 6.956 1.308 4.024 2.033 4.185 5.567 4.694 6.738 2.414
[2,] 5.597 5.416 6.967 1.309 5.398 2.099 4.226 5.597 5.622 6.831 2.429
[3,] 7.433 6.931 6.984 1.312 6.686 2.215 4.638 5.641 5.738 6.919 2.434
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 15.04 5.979 5.651 2.186 7.695 5.669 8.105 7.799 8.099 7.817 5.261
[2,] 15.09 5.980 7.405 2.224 8.043 7.193 8.492 9.668 8.548 8.757 7.145
[3,] 15.16 5.983 7.464 2.253 8.337 7.288 8.580 9.709 9.046 9.792 8.619
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.428 6.022 4.975 7.453 4.311 3.553 3.403 5.105 5.438 12.12 8.742
[2,] 2.462 7.343 5.091 7.916 4.344 3.864 3.403 6.460 5.439 12.12 8.778
[3,] 2.515 7.984 5.142 8.465 4.415 3.948 3.409 6.530 5.439 12.31 9.750
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.311 3.671 2.809 2.774 5.064 4.583 1.076 2.564 23.80 14.85
[2,] 3.657 4.262 3.920 3.870 5.107 4.689 1.127 2.572 25.32 15.55
[3,] 3.727 4.861 4.157 4.237 5.305 5.020 1.214 2.585 29.16 16.86
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.158 6.099 22.63 15.9 18.62 2.086 3.807 10.63
[2,] 1440.054 664.310 6356.58 6882.6 5370.96 252.726 456.542 73.46
[3,] 1394.760 843.564 8949.23 4723.5 7181.71 180.795 811.556 1332.66
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 12.56 9.75 7.24 7.802 6.083 7.591 8.198 9.07
[2,] 1373.64 7312.26 2774.90 6625.230 945.341 4223.998 5104.489 1905.30
[3,] 2194.25 1191.61 2800.63 3670.796 1050.390 5005.835 4791.874 1832.91
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.851 13.02 19.07 11.07 24.33 5.826 31.48 18.87
[2,] 2866.024 2095.88 6120.38 3767.58 7146.51 1831.963 22139.32 4438.49
[3,] 4326.417 5857.22 5404.14 4355.08 9979.72 1576.194 10867.34 8007.73
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.1 16.39 15.87 2.503 15.34 1.336 15.81 4.161
[2,] 418.3 7477.26 9817.91 808.160 4587.68 435.995 7427.99 1658.934
[3,] 385.6 6414.10 4815.26 1011.412 6006.48 442.213 6479.47 1808.363
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.049 18.48 18.39 16.81 10.31 8.203 10.41 3.708
[2,] 906.959 4324.17 5666.60 8869.54 369.43 3047.845 1506.40 441.439
[3,] 1313.468 7440.83 6898.77 4410.15 830.91 732.087 2534.45 496.488
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 7.735 2.599 9.034 9.269 5.181 2.837 8.427 9.925
[2,] 901.439 31.031 2820.076 4171.357 1586.622 1040.683 2039.162 676.709
[3,] 698.421 199.465 3489.501 3312.288 2349.544 1031.021 2963.383 6426.671
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 12.52 5.947 11.2 8.822 2.966 7.044 6.222 5.879
[2,] 3414.33 1347.513 5436.4 2432.899 722.999 7631.329 5467.446 3611.116
[3,] 5570.83 1938.604 3608.1 2316.247 300.884 2902.840 3674.344 5616.535
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.532 8.833 1.661 5.11 2.581 5.315 7.069 5.961
[2,] 5335.505 448.003 68.027 4130.50 602.574 674.251 667.484 3552.876
[3,] 4965.261 555.296 99.921 4529.40 811.829 2194.336 807.574 1314.208
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.557 3.065 19.1 7.593 7.176 2.775 9.771 7.199
[2,] 1287.520 306.824 1362.2 127.132 5494.882 472.558 2689.176 5083.732
[3,] 1264.349 187.107 1763.2 196.315 1074.087 415.221 2519.617 1341.362
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.29 9.904 10.28 9.926 6.681 3.083 7.647 6.317
[2,] 2909.93 6559.266 3138.52 4530.811 5550.813 465.283 4825.591 1241.946
[3,] 1408.07 1027.802 3398.38 5031.777 5534.753 590.030 3597.593 830.206
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 9.464 5.474 4.512 4.321 6.483 6.906 15.39 11.1
[2,] 3062.577 616.407 1742.429 36.596 4544.663 84.869 144.76 911.7
[3,] 3445.276 902.593 930.066 239.545 1097.039 79.331 2505.17 4872.5
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.205 4.661 3.567 3.522 6.43 5.82 1.366 3.256
[2,] 1781.233 2486.029 3139.720 3098.042 764.39 1138.29 386.151 221.166
[3,] 824.707 2684.616 1587.085 1982.258 1645.32 2057.31 517.998 302.261
[,97] [,98]
[1,] 30.22 18.86
[2,] 9905.95 5267.14
[3,] 16616.03 7497.14
[1] "--- VAR model 2017-10-07 10:31:00 completed"
[1] "Completed training sample: 2017-10-07 10:31:00 - 2017-10-07 18:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 11:01:00 - 2017-10-07 19:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.258 0.25464 -41.47 -43.66
4.275 -0.39144 -42.01 -60.02
3.691 -0.03566 -40.66 -52.80
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-65.30 -0.1429 2.277 -0.01151
-64.56 -0.1077 2.217 -0.98498
-65.70 -0.2055 2.862 -0.79710
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.5524 -4.0676 -1.576 -20.39
0.9857 -0.1351 4.155 -15.83
-0.6922 -1.7029 3.473 -16.73
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.5947 -10.627 -8.718 -2.199
-0.2904 -10.830 -9.814 -1.871
2.1371 -7.435 -6.675 -1.483
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.280 -6.620 1.59981 24.08
-10.386 -9.036 0.24262 23.63
-8.768 -5.477 -0.02854 20.76
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-54.45 -6.360 -100.38 -62.05
-54.68 -6.662 -97.08 -58.79
-50.86 -6.127 -103.90 -57.48
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.903 -64.40 -62.32 -14.30
-6.605 -54.19 -58.74 -14.06
-6.507 -49.44 -57.08 -14.37
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-42.10 -8.121 -54.27 -25.88
-57.87 -8.166 -61.58 -25.51
-55.69 -7.938 -56.21 -25.27
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.68 -67.50 -66.66 -72.30
-16.08 -65.54 -67.24 -66.47
-16.04 -70.24 -69.90 -64.83
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.7019 -5.26873 -1.6344 0.3791
-0.1561 -2.84242 2.3240 0.3429
-0.5762 0.07038 0.7703 0.1954
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4324 -0.18448 -29.21 -31.20
-0.3629 -0.09306 -30.00 -31.66
0.2480 -0.01437 -31.10 -31.93
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7763 -3.221 -31.10 14.852
0.4689 -2.151 -32.74 7.321
0.4890 -2.967 -34.20 11.026
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.769 -3.501 -16.08 7.525
0.552 -2.724 -18.17 9.242
6.974 -2.507 -17.93 7.665
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7198 -12.72 -14.79 -21.427
-0.9289 -14.88 -10.98 -9.314
-0.7072 -15.26 -12.30 -12.720
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.886 -0.3870 0 -0.7922
-15.233 -0.9973 0 -16.9332
-10.852 0.7339 0 -11.6288
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.3517 -6.682 0.2187 -5.887
0.2336 -2.742 0.1178 -4.680
0.2753 -10.981 0.3005 -6.778
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.525 -0.35972 -1.588 1.28030
-1.667 -0.28634 -1.618 0.30935
-9.451 0.02325 -1.129 -0.04852
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.070 -0.4936 9.294 9.972
-5.056 -0.4808 9.056 5.001
-1.422 -0.4047 9.574 5.229
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.842 9.925 -12.434 13.59
-2.894 3.539 -9.572 16.03
-2.371 3.244 -9.997 11.14
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.464 1.1352 12.927 2.9734
7.456 0.9418 8.989 0.9746
2.186 0.4180 10.648 1.0818
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.555 1.491 -3.344 0.33862
8.095 2.017 -2.137 0.44991
8.502 2.397 -2.753 0.08079
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.8590 0.06673 0.10959 -3.361
-4.4643 -0.04874 3.12604 1.091
-0.2979 -0.09719 -0.07991 -1.524
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.795 0.5571 -2.025 -1.612
2.591 5.0201 3.382 0.949
2.329 2.9317 5.486 4.893
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.3247 -0.1492 -9.686 125.6
0.4946 -0.9238 -8.953 126.0
-6.7141 -0.3051 -9.735 126.0
rnd_95776.volume rnd_95787.volume
-42.78 -60.92
-33.56 -57.70
-35.97 -57.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.156 4.829 17.79 12.04 14.78 1.685 2.999 8.223 10.03 7.656 5.745
[2,] 7.289 4.861 18.67 12.80 15.53 1.703 3.024 8.224 10.05 9.922 6.279
[3,] 7.450 4.933 20.26 13.85 16.80 1.712 3.120 8.298 10.25 9.987 6.742
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.270 4.877 5.940 6.439 7.502 6.878 9.901 13.79 8.668 19.22 4.445
[2,] 8.440 4.939 6.948 7.871 7.937 7.470 10.083 14.65 9.370 20.32 4.710
[3,] 9.018 5.023 8.141 8.774 8.254 8.355 11.268 15.35 10.111 22.20 4.895
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.64 14.74 0.9046 12.79 12.53 1.977 12.10 1.042 12.30 3.230 2.399
[2,] 31.16 15.17 0.9636 14.35 15.04 2.106 12.75 1.108 13.79 3.533 2.519
[3,] 32.58 16.76 1.0538 15.38 15.64 2.290 13.82 1.169 14.80 3.883 2.759
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.52 14.48 13.13 8.083 6.335 8.242 2.935 6.169 2.023 7.224 7.789
[2,] 14.98 15.33 15.14 8.091 6.897 8.327 2.963 6.223 2.024 7.673 8.373
[3,] 16.45 16.48 15.59 8.131 6.930 8.608 2.983 6.257 2.032 8.271 9.093
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.130 2.339 6.340 7.824 9.819 4.797 8.943 6.883 2.341 5.514 4.932
[2,] 4.297 2.503 6.579 7.857 10.259 4.934 10.125 7.148 2.433 8.829 6.909
[3,] 4.635 2.667 7.040 9.651 11.329 5.222 10.594 7.434 2.444 9.207 7.589
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.653 2.826 6.802 1.281 4.015 2.004 4.135 5.301 4.686 6.760 2.443
[2,] 5.570 5.416 6.808 1.281 5.345 2.063 4.180 5.304 5.547 6.855 2.455
[3,] 7.485 6.978 6.833 1.286 6.612 2.182 4.562 5.316 5.657 6.940 2.460
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.90 6.011 5.757 2.160 7.786 5.811 7.932 7.616 8.114 7.744 5.730
[2,] 14.95 6.013 7.443 2.201 8.083 7.202 8.316 9.311 8.581 8.530 7.150
[3,] 15.03 6.016 7.501 2.233 8.432 7.273 8.379 9.371 9.012 9.466 8.511
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.484 6.224 4.911 7.741 4.315 3.550 3.382 5.154 5.419 12.18 8.413
[2,] 2.526 7.491 5.004 8.247 4.360 3.897 3.382 6.335 5.421 12.18 8.463
[3,] 2.601 7.962 5.197 8.601 4.435 3.991 3.387 6.439 5.425 12.39 9.460
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.500 3.866 2.940 2.905 4.989 4.494 1.102 5.792 24.13 14.87
[2,] 3.833 4.600 4.195 4.104 5.047 4.603 1.153 8.021 25.51 15.53
[3,] 3.904 5.179 4.471 4.526 5.190 4.964 1.243 9.881 29.51 16.96
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.086 6.132 22.59 15.29 18.76 2.14 3.809 10.44
[2,] 1517.343 603.879 6210.88 4738.20 5229.24 262.87 422.297 102.33
[3,] 1681.723 915.759 8570.41 5770.68 6984.24 198.10 836.264 1206.03
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 12.73 9.721 7.295 7.962 6.193 7.543 8.177 9.527
[2,] 789.21 6889.278 2767.391 6167.374 853.373 3934.412 4942.004 2827.697
[3,] 2177.60 1248.800 2679.992 3467.699 997.245 4630.874 4231.790 2473.241
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.734 12.57 17.51 11.01 24.4 5.644 31.29 18.72
[2,] 3181.111 2084.19 5407.51 3884.00 7195.6 1701.295 20826.82 3899.49
[3,] 4086.690 5491.05 5005.47 4149.04 9783.9 1453.731 10374.68 7785.69
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.149 16.25 15.92 2.511 15.37 1.323 15.61 4.101
[2,] 362.459 7099.98 9080.75 791.409 4370.50 411.144 6807.16 1563.028
[3,] 465.654 6023.13 4663.39 983.120 5820.17 407.848 5889.01 1760.537
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.047 18.43 18.38 16.67 10.26 8.045 10.47 3.727
[2,] 838.226 4037.82 5504.92 8219.59 386.70 2974.440 1297.41 444.506
[3,] 1228.239 7432.39 6602.18 4070.40 876.97 742.775 2379.11 371.755
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 7.833 2.569 9.173 9.89 5.245 2.97 8.051 9.936
[2,] 898.161 43.402 2824.274 3353.99 1293.376 971.62 1920.357 777.269
[3,] 705.489 194.799 3371.627 3871.51 1895.617 1006.36 2735.017 6118.533
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 12.47 6.092 11.36 8.741 2.972 7.002 6.263 5.908
[2,] 3242.17 1257.365 5180.57 2103.436 724.314 7526.327 5281.198 3342.458
[3,] 5248.15 1867.351 3402.68 2229.828 252.807 2850.936 3427.539 5458.002
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.589 8.637 1.627 5.098 2.544 5.25 6.731 5.95
[2,] 5043.491 309.880 31.310 3851.604 537.390 671.48 191.064 3240.39
[3,] 4802.951 647.076 114.537 4248.379 775.822 1993.55 400.709 1211.45
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.584 3.102 18.93 7.634 7.31 2.743 9.887 7.378
[2,] 1239.941 270.669 1281.08 139.113 5149.49 461.493 2369.633 4644.139
[3,] 1181.371 165.069 1658.63 212.239 1021.11 411.341 2619.422 1111.284
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 10.07 9.671 10.3 9.834 7.276 3.154 7.903 6.237
[2,] 2726.25 5846.585 3048.7 3903.795 4668.565 500.236 4551.234 1047.038
[3,] 1119.58 1160.534 3005.4 4479.509 5038.787 675.677 2945.819 1531.805
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 9.829 5.48 4.507 4.295 6.545 6.881 15.46 10.68
[2,] 3105.017 681.21 1756.474 30.026 4020.000 150.693 171.77 998.73
[3,] 2668.109 885.76 937.483 193.074 1257.820 232.873 2515.97 4614.70
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.444 4.91 3.734 3.689 6.336 5.706 1.4 7.355
[2,] 1705.273 2719.85 3266.105 3164.428 827.695 1086.611 366.9 6057.863
[3,] 812.584 2597.95 1687.451 2083.837 1323.759 2029.126 507.9 6298.779
[,97] [,98]
[1,] 30.64 18.88
[2,] 9026.94 4879.65
[3,] 16202.16 7434.73
[1] "--- VAR model 2017-10-07 11:01:00 completed"
[1] "Completed training sample: 2017-10-07 11:01:00 - 2017-10-07 19:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 11:31:00 - 2017-10-07 19:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.757 0.3454 -61.04 -64.44
2.349 -1.2715 -61.29 -57.99
1.384 -0.4930 -57.39 -55.63
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-53.35 0.16119 0.7137 -1.05155
-53.68 0.02127 0.5070 -1.24200
-57.82 0.01581 0.9223 0.01798
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.945 -1.1947 2.587 -23.24
-1.893 -0.8857 2.990 -22.43
-1.981 -2.1275 2.290 -21.92
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.672 -13.67 -13.19 6.000
1.298 -10.71 -10.36 6.410
2.343 -11.16 -10.06 4.606
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.996 3.667 -2.009 23.61
-5.214 -2.064 -4.498 22.71
-4.279 -4.025 -5.677 20.00
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-52.13 -6.391 -117.5 -57.65
-52.30 -6.813 -121.8 -55.67
-53.02 -6.283 -118.0 -57.59
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.671 -56.97 -62.67 -11.76
-6.859 -56.39 -60.61 -11.55
-6.816 -61.23 -59.31 -11.70
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-62.76 -6.708 -60.91 -24.88
-57.65 -6.478 -58.83 -25.19
-54.95 -6.282 -56.98 -24.83
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.06 -53.01 -58.40 -71.13
-15.10 -61.79 -57.51 -59.34
-15.10 -62.48 -57.88 -67.03
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.20163 -1.306 1.6946 -0.13932
0.05658 -4.122 -0.3773 -0.07475
1.44759 -1.171 -1.5864 -0.02436
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4853 0.002215 -39.98 -44.13
-0.4461 -0.046536 -39.60 -42.76
0.2423 -0.054009 -39.63 -42.22
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.359 -3.528 -26.85 8.406
5.912 -3.643 -26.58 11.762
4.582 -4.207 -26.17 8.417
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.235 -2.5615 -10.64 4.8580
-2.339 -1.3679 -4.26 1.1842
4.722 -0.9005 -14.79 0.6938
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.6034 -13.182 -11.189 -10.136
-0.4721 -8.484 -7.915 -9.401
-0.7097 -8.201 -3.749 -5.997
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.522 -0.6895 -0.15226 -8.000
-11.227 0.7924 -0.14829 -6.654
-7.447 0.6782 -0.08947 -10.357
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.347414 -8.294 0.6744 -8.107
0.004549 -3.340 0.2291 -6.202
0.130788 -6.434 0.2453 -3.471
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.513 -0.2715 -0.4794 1.6535
-4.681 0.1938 -0.8614 -0.3935
-3.737 -0.4471 -0.8168 -0.3813
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.676 -0.25973 5.729 3.699
-7.007 -0.09863 4.858 3.655
-3.222 -0.55573 4.434 2.937
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.357 1.818 23.90 13.95
-1.619 2.003 23.06 14.38
-2.936 1.591 22.61 11.90
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.001 0.006844 18.41 0.3160
11.923 0.210156 14.16 0.6046
9.868 0.228064 13.29 0.2196
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.85 -0.09657 -2.8961 -0.18969
15.21 -0.73004 -2.1180 -0.26003
15.29 -0.13489 -0.7373 -0.08085
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.015 -0.17149 1.1922 -2.2114
-3.762 -0.08231 0.8523 8.8402
-2.117 -0.16247 0.3172 -0.5344
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7545 -1.478 0.8953 4.107
0.9490 1.866 0.3080 -0.671
0.7202 2.391 2.2553 2.790
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.609 0.6964 -9.462 115.2
-2.043 1.7682 -9.428 114.9
-2.989 0.3422 -9.639 114.5
rnd_95776.volume rnd_95787.volume
-22.32 -51.30
-31.09 -48.84
-15.36 -51.59
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.297 4.808 17.75 12.07 14.78 1.661 2.986 8.087 9.915 7.761 5.697
[2,] 7.447 4.857 18.61 12.92 15.56 1.675 3.021 8.087 9.940 9.931 6.259
[3,] 7.615 4.928 20.20 14.01 16.76 1.683 3.100 8.143 10.074 9.974 6.740
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.329 4.942 5.872 6.474 7.014 6.868 9.632 11.86 8.221 19.13 3.943
[2,] 8.363 4.999 6.865 7.958 7.207 7.441 9.747 12.56 8.644 20.21 4.198
[3,] 8.974 5.096 8.089 8.783 7.515 8.209 10.683 13.00 9.088 22.08 4.334
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 24.78 14.57 0.9086 12.86 12.51 1.930 12.09 1.072 12.31 3.207 2.399
[2,] 31.26 15.03 0.9651 14.36 15.13 2.045 12.79 1.138 13.89 3.530 2.520
[3,] 32.71 16.56 1.0524 15.35 15.76 2.231 13.87 1.230 14.89 3.879 2.759
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.46 13.26 12.91 7.965 6.313 8.212 2.924 6.057 2.021 7.192 7.092
[2,] 14.94 14.66 14.97 7.975 6.884 8.293 2.963 6.122 2.021 7.637 7.938
[3,] 16.50 15.35 15.43 8.008 6.928 8.571 2.982 6.151 2.030 8.262 8.367
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.161 2.385 6.102 7.813 9.698 4.848 8.749 6.865 2.348 5.479 4.795
[2,] 4.293 2.543 6.300 7.830 10.172 4.978 10.057 7.098 2.446 8.850 6.877
[3,] 4.583 2.698 6.728 9.658 11.279 5.252 10.471 7.389 2.456 9.290 7.588
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.660 2.781 6.844 1.254 3.943 1.972 4.105 5.169 4.663 6.835 2.401
[2,] 5.552 5.254 6.851 1.254 5.406 2.015 4.169 5.171 5.458 6.886 2.417
[3,] 7.501 6.915 6.869 1.257 6.558 2.139 4.539 5.179 5.569 6.971 2.423
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 15.02 5.991 5.750 2.175 7.858 5.805 7.847 7.510 7.915 7.747 6.979
[2,] 15.07 5.994 7.422 2.212 8.140 7.306 8.224 9.157 8.500 8.632 7.575
[3,] 15.13 5.999 7.482 2.241 8.513 7.379 8.272 9.228 8.898 9.652 9.133
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.456 6.328 4.902 7.573 4.333 3.526 3.364 4.900 5.370 12.12 8.389
[2,] 2.501 7.864 5.003 8.437 4.392 3.913 3.364 6.246 5.371 12.13 8.424
[3,] 2.573 8.242 5.184 8.757 4.455 4.034 3.368 6.306 5.373 12.34 9.429
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.575 3.926 3.115 3.206 5.013 4.408 1.095 6.353 24.50 15.00
[2,] 3.891 4.573 4.283 4.290 5.082 4.488 1.140 8.533 25.91 15.67
[3,] 3.960 5.187 4.527 4.652 5.207 4.783 1.222 10.096 30.01 17.12
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.266 6.105 22.53 15.33 18.76 2.109 3.792 10.27
[2,] 1745.940 808.582 6584.89 5414.94 5702.07 256.928 536.935 66.17
[3,] 1863.783 981.077 9201.78 6354.81 7299.55 190.943 816.503 1115.37
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 12.59 9.856 7.234 8.037 6.275 7.457 8.221
[2,] 825.29 7263.017 3039.958 6407.316 887.299 4167.175 5424.474
[3,] 1920.14 1078.147 2929.931 3815.135 1156.492 5016.551 4356.576
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 8.907 8.721 12.23 15.06 10.44 24.29 5.007 31.46
[2,] 1939.709 3357.440 1750.06 4873.70 3132.78 7657.25 1690.087 22333.14
[3,] 2498.673 4062.442 5124.64 3897.53 3289.74 10409.53 1259.079 11314.88
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 18.5 1.154 16.33 15.89 2.451 15.35 1.361 15.63
[2,] 4315.3 381.332 7497.21 9977.60 792.125 4893.22 448.632 7537.71
[3,] 8146.4 491.825 6332.94 5172.30 1043.813 6293.15 547.668 6285.82
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 4.072 3.047 18.37 16.83 16.39 10.11 8.016 10.43
[2,] 1728.075 901.316 4396.01 7340.63 8899.05 457.64 3217.249 1352.68
[3,] 1885.025 1318.570 8218.48 5347.84 4359.13 850.13 919.409 2535.25
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 3.713 7.692 2.566 9.133 9.006 5.283 3.028 7.748
[2,] 559.418 1040.716 10.688 3009.987 4179.225 1238.168 1036.308 1837.685
[3,] 390.576 704.751 220.493 3697.307 3099.289 1883.837 1054.616 2767.445
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 9.922 12.31 6.157 11.11 8.717 2.981 6.957 6.089
[2,] 600.576 3597.07 1320.982 5814.48 2114.803 804.540 8146.431 5779.297
[3,] 6626.627 5713.86 1962.848 3416.27 2408.951 261.789 3315.490 3757.179
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.917 3.531 8.691 1.592 5.006 2.504 5.212 6.563
[2,] 3538.680 5225.549 351.922 7.007 4335.409 489.400 854.088 199.956
[3,] 5912.909 5270.269 589.613 101.961 4352.620 840.078 2103.135 327.209
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.921 8.679 3.049 19.07 7.608 7.302 2.761 9.979
[2,] 3324.966 981.253 333.097 1497.64 233.907 5499.705 474.250 2490.292
[3,] 1297.063 1277.643 192.462 1476.96 259.042 1116.954 419.118 2921.154
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 7.371 9.964 9.537 10.05 9.837 8.862 3.118 8.036
[2,] 5200.043 2885.077 6140.553 3632.30 4462.435 3452.428 555.410 5473.084
[3,] 1218.585 1046.282 1341.086 3086.43 5064.068 5981.934 708.345 2891.131
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.225 9.616 5.503 4.477 4.272 6.223 6.819 15.4
[2,] 1172.147 4359.772 841.701 1989.928 25.817 4540.218 145.244 222.0
[3,] 1591.599 2752.691 871.790 1150.123 195.150 1016.656 161.103 2685.5
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 10.65 4.54 4.986 3.955 4.071 6.366 5.598 1.391
[2,] 892.36 1800.58 2747.417 3446.821 3342.120 980.404 990.265 370.407
[3,] 4966.22 858.67 2871.498 1717.822 2107.256 1326.851 1936.876 514.826
[,96] [,97] [,98]
[1,] 8.068 31.11 19.04
[2,] 6677.227 9891.60 5339.84
[3,] 6324.824 17740.66 8068.86
[1] "--- VAR model 2017-10-07 11:31:00 completed"
[1] "Completed training sample: 2017-10-07 11:31:00 - 2017-10-07 19:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 12:01:00 - 2017-10-07 20:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.6335 0.71213 -43.45 -47.34
-0.8435 -0.37823 -38.96 -46.00
0.4833 -0.05994 -37.51 -45.62
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-45.81 0.15170 1.760 1.7749
-39.73 0.02153 1.677 0.6265
-41.02 0.01181 1.649 -0.5552
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.4027 -3.944 2.259 -22.94
-2.1771 1.134 5.891 -14.68
-2.8664 -0.196 3.445 -15.59
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5218 -3.664 -8.049 5.327
-0.3435 -12.906 -11.017 8.457
0.2564 -6.409 -6.475 5.287
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8648 2.160 -1.088 21.32
-8.5882 -4.330 -2.671 22.08
-5.5775 -3.987 -4.337 20.79
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-45.27 -6.153 -96.55 -51.69
-43.89 -6.281 -92.94 -52.77
-44.91 -6.192 -90.42 -55.27
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.343 -48.42 -63.81 -11.31
-6.193 -49.86 -54.78 -11.42
-6.483 -49.15 -54.44 -11.92
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-51.78 -4.635 -50.67 -24.40
-50.40 -4.077 -54.39 -24.63
-48.74 -4.438 -50.52 -24.57
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.48 -53.85 -43.37 -51.04
-12.31 -53.50 -38.18 -49.78
-12.26 -54.83 -39.82 -52.03
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4626 3.512 2.1176 0.03790
0.1614 -3.602 -0.7383 -0.11136
0.6576 -3.605 0.2703 -0.01709
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.7556 -0.4657 -31.73 -36.88
0.4184 0.1860 -31.38 -34.14
-0.1790 0.3887 -32.08 -34.80
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.536 -1.346 -21.69 5.400
8.967 -1.687 -23.00 16.525
7.008 -1.204 -22.81 7.643
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.037 -1.550 -11.31 -0.106
3.578 -1.346 -10.25 1.295
6.432 -1.379 -13.35 1.710
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5363 -6.917 -7.111 -6.831
-0.1726 -8.248 -8.120 -6.912
-0.5975 -8.385 -6.781 -6.558
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.569 0.5745 -0.073311 -19.908
-6.984 -0.2464 -0.001159 -4.465
-7.621 0.1016 -0.005688 -7.258
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.1083 -6.552 0.12143 0.5939
0.7210 -7.447 0.29519 -10.1689
0.8980 -3.691 -0.06839 -3.8000
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.5596 0.3561 -2.8107 0.3298
-9.5573 -0.4788 -1.6749 -0.3273
-2.8288 0.2380 -0.7722 0.3162
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.828 -0.4765 -1.0103 0.6445
-1.997 -0.3414 -1.1017 -0.6068
-8.427 -0.2591 -0.5315 -0.5254
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.361 1.7726 19.63 11.949
1.014 0.3243 19.03 9.636
0.251 -0.5819 19.64 2.719
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.7 0.11303 13.65 -0.6803
17.0 -0.08919 15.95 -0.6086
15.6 -0.28721 14.39 -0.3217
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
21.88 1.4450 -2.045 0.1000
12.08 1.0610 -1.927 0.2675
16.34 -0.3915 -1.643 0.1889
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.4803 -0.21265 -2.0387 -2.7981
-0.5751 -0.22910 -1.5144 0.1973
-5.3475 -0.08068 -0.4981 -1.4472
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.47692 0.77517 0.4168 -0.6052
0.38253 0.07677 0.4521 0.5669
0.07867 0.05816 0.2207 0.3246
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.491 1.7578 -8.385 122.8
-6.082 -1.0644 -8.126 122.6
-1.073 -0.2021 -7.936 122.6
rnd_95776.volume rnd_95787.volume
-13.3214 -54.70
-23.9333 -55.66
-0.9796 -58.60
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.401 4.765 17.54 11.98 14.52 1.642 2.954 7.838 9.865 7.765 5.601
[2,] 7.536 4.814 18.38 12.74 15.39 1.658 2.980 7.839 9.871 9.755 6.220
[3,] 7.726 4.873 19.94 13.71 16.45 1.663 3.072 7.881 10.015 9.801 6.696
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.322 4.885 5.716 5.105 6.986 7.022 9.437 11.53 8.149 18.31 4.279
[2,] 8.236 4.938 6.760 6.891 7.290 7.724 9.501 11.96 8.501 19.45 4.538
[3,] 8.779 5.042 7.875 7.613 7.553 8.475 10.518 12.35 8.933 21.13 4.698
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 23.98 14.36 0.8064 12.64 12.18 1.807 12.22 1.064 12.16 3.125 2.365
[2,] 30.50 14.80 0.8383 13.54 14.68 1.869 12.86 1.132 13.61 3.447 2.489
[3,] 31.88 16.33 0.8938 15.22 15.31 1.993 13.80 1.220 14.56 3.778 2.727
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.28 14.34 12.99 7.870 6.130 8.170 2.782 6.022 1.953 7.195 7.159
[2,] 14.78 15.31 14.95 7.880 6.724 8.227 2.818 6.092 1.955 7.616 8.023
[3,] 16.29 16.40 15.40 7.929 6.766 8.503 2.822 6.114 1.960 8.210 8.428
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.903 2.401 5.915 7.847 9.71 4.856 7.963 6.757 2.351 5.489 4.772
[2,] 4.027 2.548 6.091 7.864 10.17 4.991 9.331 6.984 2.448 8.494 6.578
[3,] 4.160 2.699 6.484 9.714 11.28 5.229 9.482 7.296 2.456 8.950 7.254
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.759 2.734 6.669 1.216 3.840 1.938 4.059 5.045 5.131 6.786 2.393
[2,] 5.597 5.248 6.678 1.217 5.355 1.984 4.123 5.048 5.436 6.826 2.394
[3,] 7.242 6.659 6.698 1.220 6.477 2.102 4.523 5.051 5.531 6.918 2.400
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.77 5.933 5.781 2.169 7.919 5.533 7.856 7.455 7.973 7.761 5.862
[2,] 14.84 5.935 7.481 2.203 8.181 7.095 8.199 9.104 8.558 8.879 7.054
[3,] 14.89 5.939 7.533 2.231 8.543 7.176 8.237 9.168 9.020 9.918 8.389
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.441 6.258 5.123 7.360 4.349 3.536 3.262 4.774 5.310 12.05 8.400
[2,] 2.485 7.506 5.264 7.925 4.416 3.838 3.265 6.085 5.314 12.05 8.416
[3,] 2.554 7.949 5.346 8.254 4.478 3.967 3.270 6.144 5.318 12.21 9.486
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.617 3.956 3.200 3.343 4.966 4.318 1.075 6.740 24.60 14.78
[2,] 3.923 4.566 4.303 4.316 5.036 4.381 1.118 8.922 25.89 15.39
[3,] 3.990 5.181 4.534 4.670 5.188 4.614 1.197 10.446 29.84 16.75
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.398 6.051 22.28 15.22 18.44 2.085 3.752 9.953
[2,] 1546.872 744.612 5972.06 4701.74 5544.42 253.664 427.456 116.305
[3,] 1856.269 822.677 8413.53 5512.37 6319.42 139.185 809.412 886.745
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 12.53 9.86 7.112 8.028 6.204 7.259 6.482 8.872
[2,] 363.13 6428.25 2943.906 5746.720 780.934 3928.823 5038.062 2267.691
[3,] 1846.31 1033.13 2700.469 3308.221 1111.556 4397.139 3523.298 2150.534
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.916 11.98 14.64 10.35 23.25 5.434 30.46 18.24
[2,] 3503.205 1200.36 3478.31 2635.83 7136.20 1644.053 20504.71 3878.13
[3,] 3797.559 4911.28 3321.22 2985.91 9007.61 1322.168 10092.03 7518.49
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.024 16.05 15.47 2.294 15.52 1.351 15.44 3.968
[2,] 249.242 5265.44 8911.99 520.096 4374.97 421.346 6653.36 1583.161
[3,] 337.404 7569.25 4729.21 753.153 5447.54 496.794 5649.30 1684.387
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.003 18.13 18.21 16.49 9.993 7.784 10.37 3.533
[2,] 844.892 4156.82 5840.51 8053.87 427.997 3007.812 1050.81 487.979
[3,] 1212.232 7455.60 6413.61 4048.85 965.298 818.945 2338.21 146.576
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 7.647 2.48 9.136 9.091 4.956 3.049 7.511 9.965
[2,] 1002.191 97.44 2719.942 3942.523 1079.788 930.834 1579.348 555.872
[3,] 571.744 148.95 3338.245 2811.886 1134.216 967.774 2420.462 6207.308
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 12.33 6.166 10.11 8.58 2.986 6.97 6.059 6.043
[2,] 3300.05 1258.045 5293.66 1925.77 739.773 7056.23 4928.057 3207.825
[3,] 5315.89 1697.620 1838.53 2295.09 225.616 3070.36 3329.137 5001.524
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.471 8.469 1.545 4.876 2.461 5.154 6.406 6.516
[2,] 4875.881 367.180 20.966 4061.864 460.580 789.135 174.357 1955.335
[3,] 4462.456 572.907 102.744 3966.649 756.715 2025.265 215.871 1112.178
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.617 3.039 18.75 7.534 7.341 2.755 10.06 7.026
[2,] 807.795 94.501 1607.96 161.258 5167.606 414.846 2234.40 4834.366
[3,] 1221.495 179.791 1297.20 248.960 964.870 388.530 2677.88 1168.964
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.976 9.467 10.12 9.855 7.444 3.1 7.947 6.505
[2,] 2553.353 5689.095 3384.51 4694.832 4270.732 507.8 4510.971 1315.874
[3,] 857.007 1176.797 3103.08 4811.508 4943.739 639.6 2847.940 1018.521
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 9.346 5.523 4.49 4.142 6.062 6.743 15.3 10.67
[2,] 3198.641 834.053 1623.35 168.164 4107.130 225.440 302.8 559.99
[3,] 2513.534 809.018 1093.69 194.570 927.477 221.559 2123.9 4763.12
[,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 4.593 5.024 4.064 4.245 6.307 5.483 1.365
[2,] 1654.050 2481.774 3131.070 2971.259 909.814 803.850 335.260
[3,] 789.610 2664.723 1556.958 1942.871 1356.273 1576.979 465.299
[,96] [,97] [,98]
[1,] 8.558 31.23 18.77
[2,] 6363.277 8799.55 4673.71
[3,] 5913.443 16156.65 7185.81
[1] "--- VAR model 2017-10-07 12:01:00 completed"
[1] "Completed training sample: 2017-10-07 12:01:00 - 2017-10-07 20:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 12:31:00 - 2017-10-07 20:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9931 -0.366673 -44.71 -57.55
0.9761 -0.330653 -43.08 -41.64
1.0854 -0.007171 -46.76 -51.03
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-44.53 0.5583 1.2942 -0.2562
-49.27 0.3223 0.7754 0.6182
-45.73 0.2573 0.1117 0.4542
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.5448 2.102 8.513 -10.41
-0.2408 -1.162 8.314 -15.32
1.5155 1.547 8.653 -13.92
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.3539 -8.953 -6.231 1.679
1.0929 -3.812 -4.986 2.271
-0.2035 -8.755 -7.440 3.761
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.581 0.1652 -5.048 12.24
-1.592 -6.9540 -5.260 14.37
-5.242 -4.2402 -5.772 12.81
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-47.89 -5.836 -112.00 -36.61
-47.22 -5.197 -95.58 -39.99
-52.59 -4.889 -91.12 -39.13
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.527 -39.69 -41.76 -10.88
-5.583 -54.04 -50.31 -11.39
-5.455 -50.22 -45.82 -11.17
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-54.20 -5.939 -47.74 -22.63
-39.47 -5.610 -41.45 -22.66
-48.84 -6.012 -44.42 -23.06
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.56 -43.78 -46.76 -44.07
-13.65 -44.07 -48.31 -41.89
-13.76 -44.51 -45.91 -42.57
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.02642 -2.0139 -0.2019 -0.18864
1.11478 -3.3398 -1.6574 -0.08198
1.10709 0.7632 -0.7117 -0.12844
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5034 0.38981 -33.73 -34.93
-0.2755 0.09215 -32.25 -34.42
0.1076 -0.05815 -32.02 -34.58
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.743 -1.5770 -23.73 4.997
3.341 -1.4406 -25.90 5.723
3.181 -0.8539 -27.06 4.780
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.078 -1.957 -15.171 6.821
-2.602 -1.665 -3.084 5.308
8.023 -1.317 -15.061 2.415
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.3458 -12.433 -5.542 -5.077
0.2288 -6.866 -8.810 -10.513
-1.0782 -6.378 -2.226 -3.983
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.520 -0.4989 0.06767 -2.5336
-5.749 -0.6126 0.15821 -0.6319
-8.986 0.1979 0.15349 -9.5778
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7468 -5.995 0.23828 -7.1582
-0.9916 1.563 0.17254 -3.8001
-0.8821 -3.388 -0.02561 0.3943
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.5503 0.0002799 1.1940 0.9410
-1.6605 -0.2247073 1.0504 0.4963
-0.8944 0.3557170 0.5122 -0.1373
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.385 1.5000 0.1200 0.341600
-3.481 -0.6347 0.3028 -0.008722
-1.398 -0.2141 0.1094 0.115297
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.05608 3.4559 20.54 9.878
1.10384 0.6403 20.08 12.303
-0.34825 0.6040 16.42 9.527
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.41 2.589 14.70 -0.6784
17.35 2.706 12.08 -0.3512
16.10 2.621 14.59 -0.1796
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
18.34 -0.56257 -1.517866 -0.08231
14.14 0.06772 -2.666842 -0.12174
17.09 -0.38118 -0.006754 -0.02762
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.915 0.004847 1.0316 -3.295
-3.030 -0.107065 6.6122 4.083
-0.259 -0.016974 0.3928 -1.975
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1931 1.834 3.2808 2.0821
0.2817 0.386 1.3247 2.3322
0.4415 1.018 0.3206 0.6189
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.5059 1.6525 -7.851 125.3
0.4601 -0.4369 -8.581 122.6
-1.3368 0.1108 -8.305 122.9
rnd_95776.volume rnd_95787.volume
-9.87 -43.08
-27.72 -40.43
-26.76 -39.59
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.276 4.708 17.33 11.88 13.12 1.665 2.972 7.686 9.660 7.733 5.523
[2,] 7.424 4.753 18.20 12.59 14.31 1.682 3.000 7.686 9.671 9.670 6.165
[3,] 7.666 4.814 19.66 13.52 14.77 1.689 3.077 7.698 9.773 9.711 6.623
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.200 4.820 5.554 5.453 6.788 6.946 9.495 11.63 8.723 18.07 4.271
[2,] 7.069 4.870 6.370 6.914 7.075 7.380 9.602 12.04 9.391 19.18 4.528
[3,] 7.342 4.968 7.430 7.525 7.323 8.029 10.433 12.34 10.183 20.96 4.686
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 23.99 14.37 0.7721 12.45 11.96 1.766 12.18 0.9490 11.90 3.013 2.296
[2,] 30.28 14.84 0.8032 13.22 13.81 1.843 12.79 0.9819 13.37 3.303 2.427
[3,] 31.65 16.31 0.8377 14.96 14.72 1.946 13.69 1.0120 14.19 3.612 2.670
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 14.05 13.08 12.43 7.808 6.038 8.088 2.785 5.980 1.945 7.050 7.109
[2,] 14.50 14.36 13.75 7.814 6.549 8.132 2.822 6.036 1.946 7.500 8.022
[3,] 16.02 14.98 14.05 7.859 6.601 8.375 2.825 6.071 1.950 8.068 8.429
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.336 2.384 5.380 7.857 9.396 4.894 7.784 6.717 2.362 5.398 4.763
[2,] 4.488 2.522 5.390 7.869 10.266 5.002 9.029 6.952 2.424 7.852 6.319
[3,] 4.822 2.653 5.536 9.699 11.274 5.240 9.400 7.275 2.446 8.505 6.967
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.743 2.670 6.680 1.193 3.769 1.931 3.939 4.987 5.133 6.662 2.317
[2,] 5.604 5.253 6.683 1.193 5.288 1.978 4.005 4.995 5.434 6.729 2.319
[3,] 6.810 6.417 6.707 1.196 6.406 2.093 4.441 5.000 5.525 6.842 2.327
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.61 5.933 5.613 2.106 7.860 5.480 7.823 7.380 7.988 7.181 6.042
[2,] 14.71 5.941 7.343 2.136 8.121 7.048 8.132 9.004 8.588 9.181 7.281
[3,] 14.74 5.944 7.382 2.162 8.509 7.131 8.170 9.078 9.098 9.819 8.608
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.365 6.237 4.998 7.477 4.305 3.460 3.238 4.801 5.275 11.73 8.328
[2,] 2.402 7.531 5.130 8.169 4.374 3.749 3.246 6.125 5.278 11.73 8.332
[3,] 2.478 8.384 5.225 8.572 4.450 3.921 3.249 6.183 5.287 11.95 9.328
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.606 4.021 3.336 3.452 4.717 4.234 1.068 7.145 20.32 13.31
[2,] 3.894 4.593 4.368 4.407 4.805 4.304 1.113 9.435 23.92 13.39
[3,] 3.965 5.176 4.585 4.722 5.068 4.526 1.196 10.902 25.02 13.56
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.24 5.979 22 15.08 16.65 2.114 3.774 9.759 12.27
[2,] 1573.02 689.676 5945 4444.12 6096.03 258.537 442.756 112.856 479.29
[3,] 2039.51 814.853 7932 5258.93 3893.71 160.647 726.861 444.608 1501.89
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.82 7.013 6.604 6.121 7.052 6.925 8.62 8.82
[2,] 6193.16 2923.238 5107.838 740.097 3327.142 4534.325 2124.61 2658.18
[3,] 951.27 2580.875 2113.907 1048.247 4080.809 3165.929 2017.81 3374.15
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 12.06 14.77 11.08 22.94 5.423 30.46 18.25 0.9804
[2,] 1524.46 3343.57 3710.96 6876.25 1606.197 19711.49 3971.78 236.3307
[3,] 4352.21 2883.25 4199.98 9004.78 1284.681 9817.34 7219.27 253.5095
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 15.8 15.18 2.242 15.47 1.205 15.11 3.826 2.916
[2,] 4752.4 7376.94 564.060 4157.88 268.720 6508.61 1443.471 839.932
[3,] 7477.0 5435.56 666.793 5208.74 261.574 5067.45 1558.758 1186.996
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 17.84 16.61 15.79 9.914 7.668 10.27 3.536 7.594
[2,] 3852.11 6309.23 6263.54 348.022 2703.820 899.25 484.816 869.374
[3,] 7253.25 4553.41 3088.13 890.076 885.483 2134.77 155.177 701.760
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.47 8.953 9.028 5.506 3.027 6.831 9.977 11.93
[2,] 36.41 2727.999 3964.900 1236.001 876.351 352.469 458.591 4410.49
[3,] 133.35 3171.397 2760.485 1881.964 878.327 1349.682 6047.879 4971.61
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 6.214 9.884 8.53 3.0 6.854 6.048 6.023 3.39
[2,] 1103.648 4880.683 1911.62 578.1 6082.358 4429.476 3183.849 4825.36
[3,] 1667.182 2786.939 2286.47 355.3 3486.504 3130.659 4127.729 3930.83
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 8.482 1.514 4.786 2.453 5.002 6.333 6.518 8.459
[2,] 224.664 4.403 3956.849 455.741 771.157 291.480 1900.944 1014.506
[3,] 608.343 100.790 3855.744 727.749 2046.676 241.971 1069.333 1319.625
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.942 18.56 7.534 7.128 2.674 9.981 6.959 9.934
[2,] 95.630 1782.20 327.718 5048.763 380.588 2177.684 4727.051 2367.825
[3,] 215.463 1001.76 229.009 814.419 356.080 2710.431 1157.741 836.228
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.372 10.14 9.119 7.672 3.003 7.921 6.347 9.495
[2,] 5501.535 3362.52 6101.197 4334.055 449.025 4501.749 1233.768 3510.656
[3,] 1233.422 3203.62 3714.408 4898.222 648.509 3928.999 1058.555 2768.790
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 5.467 4.394 4.112 6.096 6.699 14.89 10.57 4.58
[2,] 825.779 1538.392 235.569 4057.208 194.463 344.93 266.77 1567.24
[3,] 874.223 1226.788 146.286 901.539 327.505 2432.16 4474.59 797.27
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 5.105 4.236 4.383 5.99 5.376 1.356 9.073 25.81
[2,] 2369.201 3007.191 2921.993 975.97 827.363 332.609 6573.322 13450.20
[3,] 2543.832 1488.391 1810.634 1717.83 1494.742 467.034 5824.742 7817.21
[,98]
[1,] 16.9
[2,] 1525.6
[3,] 2296.8
[1] "--- VAR model 2017-10-07 12:31:00 completed"
[1] "Completed training sample: 2017-10-07 12:31:00 - 2017-10-07 20:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 13:01:00 - 2017-10-07 21:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3616 -0.7538 -46.36 -53.60
-0.1327 1.0801 -44.71 -38.86
-0.4305 0.5336 -45.67 -46.09
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-50.63 0.4947 1.957 1.3397
-57.04 -0.0553 2.253 -0.1107
-50.63 0.1163 2.621 0.4180
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.3021 2.49526 5.243 -13.01
-0.2823 0.89573 4.106 -13.38
0.6355 0.07449 2.071 -14.14
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2245 -5.609 -4.717 0.07599
1.6319 -6.047 -4.493 1.92447
0.4501 -5.694 -5.394 3.16455
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.180 -3.9097 -3.365 19.98
-3.588 -0.9018 -2.886 19.17
-5.489 -1.0444 -2.754 19.12
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-44.77 -6.963 -104.42 -40.71
-48.17 -6.240 -91.21 -40.05
-45.23 -6.705 -88.12 -37.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.535 -36.90 -49.86 -10.76
-4.711 -48.50 -49.91 -11.11
-4.598 -46.33 -46.64 -10.64
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-55.24 -5.215 -50.04 -18.81
-40.69 -4.939 -48.42 -19.57
-48.11 -5.244 -46.90 -18.36
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.884 -55.87 -46.40 -50.03
-9.917 -56.27 -45.93 -49.90
-10.515 -56.71 -43.43 -48.33
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4501 -3.153 -1.524 -0.30664
0.3582 -2.819 2.263 -0.16174
0.4225 1.473 2.060 -0.07101
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.37534 0.1069 -33.51 -37.07
0.23811 0.2354 -33.89 -38.58
-0.09185 0.1262 -33.40 -38.28
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.294 -1.704 -23.04 9.8147
2.938 -1.879 -21.75 0.5076
2.352 -1.187 -22.19 6.4663
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.6857 0.3303 -17.47 6.986
-1.7805 -0.2697 -10.05 5.275
0.4808 -0.3547 -15.64 2.555
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.1125 -12.383 -8.229 -9.681
-0.6763 -13.931 -10.993 -9.889
-0.8531 -8.596 -6.064 -9.968
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.316 0.62717 -0.15902 -3.936
-9.064 -0.38828 -0.15908 -2.338
-10.618 0.08865 -0.06511 -10.316
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.47130 -7.288 0.372384 -4.1217
-0.04030 1.311 -0.220736 -5.4857
0.06943 -5.437 0.008621 0.2646
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.221 -0.21974 -1.891 0.4663
-3.424 0.21405 -1.731 0.2954
-2.159 -0.04972 -1.184 0.5697
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.808 0.2802 1.78705 -0.1017
-5.097 -0.8918 -0.93264 0.8799
-2.488 -0.2151 -0.04814 -0.7346
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.2649 -2.48182 18.71 4.079
-0.3744 0.09197 17.76 9.237
0.5362 -0.04488 16.77 8.708
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.85 0.72876 13.271 0.9883
10.62 -0.04033 8.615 0.4437
12.90 -0.10670 10.323 0.2059
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
14.64 1.0605 -1.295 0.04790
14.26 1.1812 -2.945 0.12611
11.44 0.3948 -1.089 0.04522
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.5017 0.16228 -0.5623 -3.684
-3.0882 0.18810 -1.2960 6.326
-0.2798 0.03314 -0.2663 -2.814
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.2814 2.268 4.1775 3.080
1.2621 1.188 1.8568 2.061
0.7246 1.815 0.7479 1.076
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.606 0.21274 -7.012 109.3
1.368 -0.01365 -6.811 109.4
-2.937 0.16817 -7.024 109.0
rnd_95776.volume rnd_95787.volume
-39.07 -40.57
-26.51 -40.43
-40.35 -40.75
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.298 4.707 13.56 11.23 12.52 1.653 2.984 7.483 9.546 7.592 5.393
[2,] 7.446 4.752 14.03 12.00 13.76 1.670 3.015 7.483 9.546 9.390 6.135
[3,] 7.679 4.819 14.13 12.42 14.18 1.679 3.088 7.484 9.607 9.431 6.571
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.876 4.748 5.521 6.014 7.000 7.135 9.738 11.38 9.004 16.70 4.900
[2,] 6.820 4.793 6.303 7.271 7.210 7.777 9.949 11.84 9.669 16.82 5.203
[3,] 6.930 4.907 7.344 7.814 7.436 8.572 10.645 12.08 10.480 17.56 5.398
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 23.12 13.34 0.7536 11.73 11.88 1.683 11.80 0.9062 11.66 2.745 2.116
[2,] 27.62 13.44 0.7816 12.19 13.56 1.732 12.39 0.9386 13.21 2.959 2.184
[3,] 28.01 13.82 0.8168 13.14 14.21 1.819 13.23 0.9694 13.97 3.157 2.283
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 13.80 11.65 12.25 7.530 5.843 7.933 2.729 5.914 1.887 6.988 7.023
[2,] 14.31 12.46 13.57 7.551 6.331 7.967 2.766 5.958 1.887 7.442 7.872
[3,] 15.78 12.67 13.86 7.615 6.392 8.187 2.775 5.990 1.892 8.010 8.265
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.347 2.358 5.224 7.745 9.537 4.845 7.627 6.647 2.400 5.306 4.695
[2,] 4.511 2.490 5.363 7.774 10.042 4.939 8.827 6.855 2.459 7.317 6.116
[3,] 4.848 2.624 5.515 9.578 11.167 5.144 9.276 7.167 2.480 8.062 6.730
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.695 2.603 6.421 1.173 3.707 1.908 3.894 4.874 5.085 6.510 2.248
[2,] 5.489 5.185 6.424 1.173 5.148 1.960 3.949 4.880 5.382 6.590 2.249
[3,] 6.544 6.241 6.438 1.180 6.237 2.063 4.366 4.888 5.472 6.716 2.256
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.00 5.810 5.580 2.102 7.799 5.498 7.772 7.286 8.160 7.190 6.152
[2,] 14.10 5.815 7.320 2.131 8.041 7.035 8.101 8.858 8.806 9.173 7.346
[3,] 14.16 5.817 7.364 2.154 8.428 7.107 8.129 8.935 9.388 9.789 8.755
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.288 6.250 4.756 7.397 4.254 3.421 3.177 4.669 5.090 11.50 8.268
[2,] 2.330 7.610 4.904 8.064 4.335 3.705 3.185 5.966 5.095 11.50 8.268
[3,] 2.382 8.459 4.962 8.452 4.411 3.881 3.191 6.014 5.115 11.72 9.114
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.642 4.106 3.452 3.533 4.614 4.076 1.026 7.547 20.34 12.91
[2,] 3.889 4.601 4.428 4.393 4.709 4.141 1.047 9.774 23.89 12.95
[3,] 3.963 5.116 4.614 4.683 4.866 4.316 1.114 11.290 24.90 13.09
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.267 5.977 17.22 14.26 15.9 2.099 3.789 9.503
[2,] 1473.559 648.329 3600.33 4209.87 5684.6 239.018 427.346 13.378
[3,] 1869.938 800.302 1617.44 3162.77 3400.5 169.031 668.420 66.564
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 12.122 9.641 6.848 6.192 6.029 7.011 7.637
[2,] 9.993 5503.487 2913.106 4750.036 648.119 3027.662 4069.558
[3,] 1079.650 878.731 2343.835 1222.471 1049.626 3755.413 2851.594
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 8.889 9.06 12.37 14.46 11.43 21.21 6.222 29.35
[2,] 1718.358 3083.31 2027.40 3231.40 3507.94 1950.59 1744.385 15048.81
[3,] 1813.585 3590.56 3771.17 2418.85 4026.72 5029.25 1429.373 4640.59
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 16.93 0.9569 14.9 15.08 2.138 14.99 1.151 14.8
[2,] 1670.96 206.4821 3321.9 6508.02 406.946 3772.39 243.274 6193.8
[3,] 3204.70 236.5433 4880.5 4248.96 554.396 4596.37 241.400 4515.4
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.486 2.688 17.53 14.79 15.56 9.561 7.42 10.07
[2,] 1101.888 538.539 3753.40 4419.63 5795.28 559.526 2426.85 732.91
[3,] 1093.432 662.583 6636.99 2273.89 2847.97 988.518 881.57 1877.29
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 3.466 7.509 2.397 8.873 8.918 5.52 2.995 6.633
[2,] 444.974 726.363 3.390 2549.738 3541.264 1202.51 796.681 1209.796
[3,] 230.854 615.177 137.779 2950.800 2508.268 1767.41 824.061 1282.093
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 9.834 12.11 6.152 9.685 8.44 3.048 6.738 5.962
[2,] 670.219 3131.38 954.089 4425.829 1668.61 533.907 5018.294 3903.289
[3,] 5573.965 4864.99 1432.144 2838.557 2084.67 321.257 3371.746 2797.742
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 5.962 3.306 8.154 1.489 4.707 2.423 4.944 6.189
[2,] 2831.068 4466.017 178.415 1.176 3558.668 445.950 657.899 250.978
[3,] 3548.901 3459.665 434.022 130.537 3507.509 640.894 1853.582 274.143
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 6.457 8.267 2.854 17.78 7.378 7.086 2.67 9.904
[2,] 1756.597 1021.405 66.064 1624.92 222.580 4718.846 346.26 1948.453
[3,] 983.950 1290.702 182.688 1342.00 177.462 795.089 310.82 2513.687
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.981 9.87 9.252 10.36 9.13 7.812 2.906 7.937
[2,] 4371.957 2275.54 5018.741 3299.01 5673.85 3999.705 436.397 4324.935
[3,] 1006.230 672.45 1167.061 3241.14 3402.57 4743.094 493.514 3679.370
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 6.039 9.393 5.401 4.344 4.035 5.929 6.463 14.6
[2,] 1191.611 3199.991 831.217 1415.700 225.233 3699.995 228.499 179.7
[3,] 751.494 2519.491 814.368 1151.792 191.795 751.978 455.364 2243.5
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 10.50 4.625 5.214 4.383 4.486 5.859 5.175 1.303
[2,] 33.08 1358.406 2068.579 2762.042 2601.344 937.622 727.733 208.563
[3,] 3819.42 761.302 2227.172 1293.879 1616.347 1220.202 1213.832 378.325
[,96] [,97] [,98]
[1,] 9.583 25.83 16.39
[2,] 6186.202 12481.59 1098.79
[3,] 5628.915 7006.33 1869.77
[1] "--- VAR model 2017-10-07 13:01:00 completed"
[1] "Completed training sample: 2017-10-07 13:01:00 - 2017-10-07 21:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 13:31:00 - 2017-10-07 21:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.4056 -0.5152 -47.88 -44.46
1.0783 1.4263 -42.59 -47.36
0.5910 0.1222 -50.07 -42.43
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-51.06 0.005458 -0.5143 0.3326
-45.05 0.297538 -0.4349 -0.6964
-48.51 0.045769 0.1151 -0.3657
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.290 -0.5226 3.7793 -19.97
-1.189 0.7730 5.0637 -16.81
-1.712 -2.6904 0.3945 -16.32
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.1881 -11.294 -12.863 0.5656
4.7488 -10.822 -7.347 -0.7741
0.4927 -5.438 -6.045 1.3450
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.0941 1.7041 3.8230 21.38
-7.4820 0.4062 0.8735 21.20
-3.0187 0.4560 -1.9198 19.93
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-48.06 -5.117 -89.76 -42.84
-38.52 -5.976 -94.16 -46.71
-49.86 -5.947 -97.11 -42.12
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.873 -48.38 -52.77 -10.07
-5.037 -43.56 -47.06 -10.41
-4.878 -46.27 -50.37 -10.36
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-43.69 -5.505 -44.10 -21.32
-47.36 -5.540 -48.89 -21.25
-42.79 -5.422 -44.69 -21.55
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.82 -44.70 -51.21 -49.13
-11.67 -48.71 -44.71 -44.99
-12.01 -49.33 -47.53 -50.00
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9826 0.5389 0.3386 0.21222
0.4312 1.8320 0.3449 0.10736
0.8153 -0.6114 0.4402 0.06038
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.13076 -0.005325 -29.89 -31.41
0.12031 -0.081686 -28.44 -33.89
-0.04006 -0.049365 -26.79 -32.78
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.5463 -2.343 -24.19 8.513
0.9413 -1.687 -24.23 6.728
0.9709 -1.112 -25.51 7.543
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.808 -2.404 -12.267 15.68
0.788 -1.976 -9.769 15.28
7.932 -1.157 -13.249 16.60
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05692 -5.479 -4.997 -6.651
-0.82657 -9.694 -7.291 -5.559
-0.63173 -8.824 -5.568 -7.259
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.732 -0.3862 0.003066 3.130
-5.756 -0.3147 0.236004 -6.082
-7.126 0.9904 0.125929 -5.927
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.32133 0.5502 1.4111 4.1471
0.05022 -1.1769 0.7942 0.1299
-0.04815 -4.2280 0.3360 -2.4155
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.0901 -0.097972 0.50913 0.4061
0.8902 0.008969 0.08371 -0.3561
-2.7851 0.020429 -0.07820 1.1764
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.2553 0.2581 0.8720 0.1013
4.0702 -0.3553 1.5817 0.6511
-0.2986 0.1776 0.9059 0.9867
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1955 1.6506 11.82 5.172
-0.8779 0.4413 13.33 5.865
0.3891 0.7573 11.31 7.808
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.934 0.4354 10.171 -1.4846
10.730 0.2597 6.360 -0.9309
10.673 0.3792 8.048 -0.9815
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.478 -0.05245 -1.91 -0.1138
10.289 0.18926 -1.98 -0.1517
10.434 0.03121 -1.29 -0.0566
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.1938 -0.16244 -0.21858 -5.105
2.9858 -0.17399 -0.02055 12.128
0.0878 -0.02474 -0.05416 -5.060
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.697 3.996 4.175 5.063
1.836 2.167 3.071 3.472
1.227 2.714 2.116 1.774
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.3138 -0.05573 -7.833 119.0
-0.3807 -0.24658 -8.048 117.4
-2.3096 -0.18897 -8.005 116.7
rnd_95776.volume rnd_95787.volume
-28.92 -46.76
-25.69 -44.60
-22.75 -46.50
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.220 4.704 12.91 10.86 11.41 1.623 2.964 7.358 9.474 7.433 5.418
[2,] 7.361 4.753 13.11 11.40 12.06 1.642 2.994 7.358 9.475 9.270 6.195
[3,] 7.569 4.812 13.15 11.81 12.31 1.650 3.059 7.361 9.513 9.310 6.639
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.913 4.711 5.168 6.992 7.007 6.951 9.665 11.14 8.890 15.42 4.097
[2,] 6.717 4.740 5.972 7.896 7.194 7.617 9.835 11.61 9.578 15.67 4.107
[3,] 6.787 4.871 7.046 8.372 7.410 8.349 10.466 11.88 10.337 15.73 4.125
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 22.42 12.71 0.7391 11.53 11.27 1.672 11.77 0.8701 11.50 2.430 1.889
[2,] 25.69 13.12 0.7650 11.93 12.44 1.703 12.25 0.9102 12.95 2.524 1.920
[3,] 25.83 13.47 0.8062 12.71 12.86 1.789 12.91 0.9416 13.53 2.586 1.992
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 12.33 10.84 11.78 7.230 5.763 7.628 2.674 5.678 1.858 6.774 7.004
[2,] 12.41 11.72 12.71 7.246 6.268 7.666 2.704 5.719 1.858 7.175 7.779
[3,] 12.73 11.85 12.77 7.311 6.340 7.857 2.713 5.769 1.864 7.693 8.153
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.469 2.379 5.206 7.662 9.524 4.799 7.535 6.624 2.353 5.308 4.588
[2,] 4.621 2.510 5.364 7.700 9.998 4.889 8.809 6.808 2.418 6.903 6.011
[3,] 4.950 2.641 5.513 9.473 11.134 5.089 9.256 7.143 2.442 7.670 6.581
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.630 2.549 6.291 1.179 3.679 1.873 3.942 4.818 4.576 6.741 2.162
[2,] 5.363 5.058 6.295 1.179 5.110 1.918 4.008 4.831 5.444 6.826 2.164
[3,] 6.165 6.091 6.305 1.184 6.167 2.017 4.384 4.853 5.541 6.968 2.166
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 14.09 5.718 5.643 2.090 7.701 5.468 7.647 7.240 8.093 7.220 6.125
[2,] 14.16 5.725 7.425 2.121 7.952 7.016 7.958 8.716 8.552 9.217 7.287
[3,] 14.22 5.725 7.475 2.144 8.332 7.085 7.986 8.790 9.045 9.772 8.669
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.257 6.196 4.748 7.248 4.204 3.329 3.042 4.597 5.052 11.56 8.296
[2,] 2.294 7.525 4.913 8.076 4.292 3.611 3.047 5.921 5.054 11.56 8.296
[3,] 2.344 8.417 4.963 8.473 4.366 3.796 3.057 5.976 5.071 11.73 9.122
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.635 4.118 3.556 3.603 4.412 3.974 0.987 7.986 19.82 11.80
[2,] 3.872 4.565 4.501 4.387 4.514 4.023 1.017 10.038 23.49 12.11
[3,] 3.957 5.058 4.676 4.680 4.779 4.174 1.069 11.476 24.26 12.39
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 9.169 5.974 16.4 13.79 14.48 2.061 3.763 9.343
[2,] 1436.362 678.566 2252.1 3478.58 3938.25 248.279 428.218 66.647
[3,] 1767.624 759.176 1029.6 3091.29 2489.36 163.122 630.211 223.137
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 12.03 9.439 6.88 6.238 5.982 6.563 8.879 8.898
[2,] 86.51 5559.642 3013.51 4597.834 528.319 3003.152 3682.138 1633.855
[3,] 851.51 860.574 2396.30 972.151 1124.281 3752.526 2793.585 1783.106
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.826 12.27 14.15 11.29 19.59 5.203 28.47 16.13
[2,] 3126.835 1827.82 3268.19 3576.63 2801.62 291.433 12580.60 3288.53
[3,] 3431.736 3591.36 2543.53 3901.89 1367.21 381.132 2726.16 3045.10
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9385 14.64 14.3 2.123 14.94 1.105 14.6 3.086
[2,] 198.1022 3074.45 5305.7 328.021 3425.35 268.097 5986.4 684.188
[3,] 255.3243 4393.34 3261.0 548.508 4075.99 242.055 3913.4 564.707
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.399 15.66 13.77 14.96 9.181 7.319 9.687 3.395
[2,] 343.683 1403.29 4458.56 4791.99 482.791 2471.410 761.988 404.950
[3,] 530.024 2852.31 1760.38 1278.94 976.160 961.366 1727.145 220.970
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 7.21 2.36 8.601 8.893 5.675 3.021 6.61 9.73
[2,] 684.46 10.10 2373.944 3397.515 1181.428 803.370 1298.95 771.03
[3,] 763.57 152.36 2785.441 2452.033 1779.032 824.858 1276.67 5537.62
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 12.09 6.094 9.569 8.411 2.988 6.74 5.826 5.88
[2,] 3053.49 935.172 4579.367 1580.405 560.636 4429.26 3897.882 2715.25
[3,] 4918.41 1417.789 2850.474 2167.753 342.118 3354.80 2687.938 3052.57
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.237 7.988 1.497 4.671 2.378 5.005 6.118 5.811
[2,] 4383.989 221.756 1.869 3559.138 415.279 726.629 353.833 2958.984
[3,] 3405.793 361.535 111.672 3464.976 627.238 1783.883 463.823 1039.306
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.56 2.746 17.9 7.261 7.165 2.654 9.78 6.944
[2,] 1074.54 90.052 1398.5 289.273 4842.987 359.537 1987.69 4411.329
[3,] 1407.34 101.054 1240.7 28.085 868.576 316.560 2496.69 994.394
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.711 9.194 10.28 9.169 7.778 2.865 7.868 6.029
[2,] 2208.581 4871.038 2772.74 5750.225 3963.261 412.392 4286.550 1268.445
[3,] 673.448 1141.763 2955.44 3256.402 4711.732 483.802 3785.015 704.212
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 9.204 5.338 4.227 3.862 5.837 6.415 14.68 10.53
[2,] 3574.216 868.458 1404.475 175.261 3745.706 133.551 32.52 63.99
[3,] 2572.721 801.568 1173.820 252.820 811.919 425.362 1996.30 3806.95
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.616 5.23 4.515 4.575 5.602 5.046 1.253 10.14
[2,] 1338.344 1977.07 2768.729 2511.158 958.082 629.956 245.930 6104.20
[3,] 817.850 2185.72 1274.909 1635.446 1576.117 1118.036 329.007 5582.31
[,97] [,98]
[1,] 25.17 14.98
[2,] 12648.49 2724.88
[3,] 6079.69 2623.95
[1] "--- VAR model 2017-10-07 13:31:00 completed"
[1] "Completed training sample: 2017-10-07 13:31:00 - 2017-10-07 21:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 14:01:00 - 2017-10-07 22:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.085 0.76265 -46.07 -44.76
-1.597 0.07638 -44.75 -50.48
-2.018 -0.16272 -45.47 -48.94
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-51.77 -0.05055 -0.4138 0.2260
-44.76 -0.12823 0.1199 0.7800
-47.91 0.14452 0.2247 -0.7518
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.02983 -4.8762 0.4933 -17.29
-0.24419 1.6211 3.1328 -15.15
-0.50524 0.3949 2.4636 -15.31
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2497 -3.595 -5.153 2.994
1.2900 -10.589 -7.764 2.526
0.8748 -6.286 -5.468 2.599
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.278 -3.4940 0.6887 16.84
-7.355 0.3115 0.8221 18.37
-5.724 -4.3872 -2.2919 19.93
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-44.14 -4.590 -104.73 -45.91
-39.89 -4.561 -90.00 -42.16
-43.77 -4.511 -94.11 -43.70
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.445 -52.79 -48.54 -9.319
-4.334 -52.29 -49.71 -9.585
-4.412 -46.16 -46.41 -9.750
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-42.93 -4.915 -46.55 -20.94
-50.81 -5.242 -46.90 -20.61
-50.27 -5.060 -46.63 -20.62
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.10 -43.31 -45.33 -38.30
-10.91 -41.90 -43.01 -43.22
-11.46 -48.64 -44.05 -40.85
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1950 -4.124 0.813374 0.15501
0.3087 2.741 0.005974 0.12105
-0.1389 -1.207 0.027895 0.06238
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.19985 -0.06817 -29.75 -34.96
1.14177 0.28833 -29.44 -35.26
-0.00143 0.12320 -28.50 -34.50
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.8322 -2.707 -23.52 11.677
0.3167 -2.527 -24.29 5.482
0.1842 -2.883 -23.44 8.285
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.498 -1.2560 -15.31 16.20
-8.180 0.1132 -10.41 15.38
3.274 0.2926 -15.41 15.05
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.2536 -4.894 -3.161 -10.619
-0.8527 -13.732 -5.491 -4.249
-1.1426 -9.068 -2.723 -9.223
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.684 0.1118 -0.13669 3.474
-4.251 -0.1333 -0.04016 -11.021
-6.245 0.1760 -0.01235 -2.724
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.1220 2.614 4.093 5.328
-0.8431 -1.009 4.268 4.514
-0.6835 -5.218 3.039 -1.951
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.127 0.5885 -0.7565 0.039097
5.653 0.3624 1.4584 -0.247880
-1.187 0.3528 -0.3452 0.008799
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.446 -0.11698 -2.888 -2.501
6.437 0.19148 -2.544 -1.775
3.838 -0.03346 -2.769 -1.658
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7958 -5.9149 17.19 0.7887
0.1321 -1.2506 17.57 6.0344
-0.2697 -0.8105 14.71 6.8009
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.011 0.5713 10.200 -0.5267
5.806 0.2855 5.406 -0.3417
9.442 0.4162 6.889 -0.2554
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.875 -0.3678 -2.389 0.13457
10.985 0.3099 -3.000 0.18445
6.965 0.3964 -1.337 0.08295
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.0267 -0.004561 0.9064 -6.797
1.2136 0.235906 0.2595 8.083
0.7964 0.010908 0.1497 -4.971
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.486 3.280 5.728 7.055
3.091 2.629 3.717 4.636
2.666 3.719 2.851 3.397
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.1800 -0.5884 -7.448 112.9
0.9035 0.6429 -7.470 113.9
-3.2729 0.7512 -7.748 112.8
rnd_95776.volume rnd_95787.volume
-43.63 -50.17
-29.47 -46.11
-24.89 -43.38
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.135 4.665 12.55 10.63 11.16 1.652 2.981 7.173 9.375 7.291 5.315
[2,] 7.268 4.700 12.68 11.10 11.61 1.675 3.015 7.178 9.376 9.078 6.153
[3,] 7.428 4.761 12.70 11.38 11.87 1.680 3.076 7.181 9.390 9.126 6.566
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.918 4.652 5.059 6.867 6.723 7.066 8.891 11.02 8.922 15.46 4.153
[2,] 6.659 4.765 5.854 7.763 6.911 7.840 9.177 11.51 9.725 15.60 4.179
[3,] 6.764 4.891 6.883 8.231 7.124 8.556 9.564 11.79 10.550 15.66 4.194
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 21.76 11.93 0.7233 11.63 11.16 1.657 11.12 0.8694 10.75 2.388 1.815
[2,] 25.03 12.25 0.7464 12.01 12.37 1.695 11.64 0.9077 11.85 2.521 1.870
[3,] 25.12 12.33 0.7851 12.92 12.79 1.778 11.98 0.9466 12.31 2.604 1.944
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 11.43 10.88 11.53 6.904 5.810 7.346 2.674 5.488 1.828 6.645 6.837
[2,] 11.46 11.82 12.26 6.927 6.303 7.375 2.707 5.532 1.829 7.083 7.575
[3,] 11.81 11.92 12.29 6.971 6.378 7.555 2.718 5.607 1.834 7.568 7.973
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.452 2.361 5.068 7.576 9.303 4.853 7.491 6.537 2.386 5.677 4.086
[2,] 4.612 2.479 5.297 7.608 9.802 4.910 8.598 6.735 2.444 6.916 5.975
[3,] 4.930 2.597 5.450 9.277 11.003 5.138 9.084 7.094 2.472 7.797 6.486
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.689 2.524 6.190 1.141 3.722 1.845 3.844 5.073 4.516 6.408 2.140
[2,] 5.453 4.745 6.192 1.142 5.199 1.890 3.897 5.107 5.385 6.860 2.160
[3,] 6.100 5.974 6.199 1.147 6.174 1.978 4.283 5.218 5.495 7.099 2.163
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 13.22 5.508 5.696 2.158 7.627 5.422 7.510 7.097 8.243 7.265 6.128
[2,] 13.35 5.511 7.351 2.161 7.868 6.924 7.827 8.537 8.724 9.373 7.281
[3,] 13.37 5.511 7.539 2.161 8.225 6.986 7.854 8.616 9.221 9.905 8.598
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.243 6.085 4.725 7.160 4.166 3.319 2.924 4.599 5.079 11.33 8.158
[2,] 2.280 7.483 4.881 8.026 4.259 3.596 2.925 5.891 5.082 11.34 8.160
[3,] 2.330 8.491 4.931 8.436 4.332 3.766 2.933 5.986 5.106 11.48 8.962
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.034 4.364 3.878 3.931 4.299 3.829 0.9356 8.367 17.50 11.76
[2,] 4.148 4.859 4.798 4.633 4.411 3.846 0.9606 10.312 22.48 12.10
[3,] 4.349 5.133 4.996 4.996 4.668 3.933 1.0087 11.682 23.82 12.40
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 9.06 5.924 15.93 13.5 14.17 2.098 3.786 9.108 11.9
[2,] 1423.59 588.102 1889.47 3254.5 3300.95 281.725 459.679 273.793 135.5
[3,] 1574.19 779.334 786.94 2611.1 2497.19 128.948 626.175 236.751 529.7
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 9.259 6.75 6.245 5.908 6.424 8.72 8.537 8.972
[2,] 5549.899 3180.21 4607.058 1059.267 3022.874 3715.03 1644.512 3485.601
[3,] 954.686 2353.71 1214.971 1129.977 3714.345 2808.44 1774.318 3517.160
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 11.29 13.99 11.33 19.64 5.274 27.64 15.15 0.9184
[2,] 2332.52 3419.53 3970.48 2123.80 475.106 12681.14 2849.42 188.9813
[3,] 2766.31 2642.41 4196.17 1360.27 370.175 2178.66 1451.90 249.9600
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.77 14.17 2.104 14.12 1.104 13.65 3.032 2.305
[2,] 3043.53 5473.45 367.576 3544.72 267.742 5118.64 831.139 461.956
[3,] 4889.54 3344.77 550.960 2897.45 275.601 3435.30 667.765 545.340
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 14.51 13.82 14.64 8.767 7.378 9.328 3.395 6.969
[2,] 855.66 4723.37 4286.47 582.142 2506.544 669.339 435.550 713.239
[3,] 2935.00 1623.40 952.48 798.700 1005.066 1683.654 242.161 938.358
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.322 8.438 8.681 5.653 2.997 6.435 9.62 11.81
[2,] 46.800 2517.655 3348.661 1236.135 778.507 1583.168 719.98 3168.25
[3,] 142.926 2733.124 2549.634 1787.521 791.499 1315.946 5447.26 5128.87
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 6.163 9.513 8.301 3.03 7.209 5.188 5.955 3.205
[2,] 766.087 4329.014 1665.724 540.64 4052.113 4473.816 2855.095 4122.702
[3,] 1554.311 3008.261 2283.976 383.37 3694.942 2589.975 2807.130 3725.097
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 7.861 1.449 4.726 2.343 4.881 6.442 5.735 8.138
[2,] 131.606 16.777 3725.526 420.945 659.614 607.128 3010.549 2512.657
[3,] 299.952 111.028 3416.944 598.089 1823.254 1098.601 1120.924 1874.278
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.718 16.79 6.994 7.233 2.741 9.685 6.885 9.536
[2,] 297.755 1944.92 197.069 4768.390 115.485 1981.802 4418.973 2262.550
[3,] 107.858 594.84 30.444 1716.285 29.959 2461.441 950.653 678.457
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 9.013 10.47 9.225 7.781 2.849 7.727 6.0 9.092
[2,] 4867.763 2929.83 6077.733 4035.535 415.668 4468.314 1258.5 3722.666
[3,] 1201.074 3065.12 3284.214 4692.766 494.819 4118.545 718.5 2665.251
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 5.29 4.215 3.712 5.839 6.449 14.39 10.36 5.123
[2,] 906.45 1419.086 91.943 3778.766 188.358 263.32 147.65 991.140
[3,] 815.98 1148.606 222.753 1090.959 501.324 1846.63 3802.38 1339.692
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 5.541 4.924 4.992 5.459 4.862 1.188 10.62 22.22
[2,] 2194.758 2900.318 2515.784 1014.018 376.616 223.357 6185.70 14480.62
[3,] 1696.200 1426.116 1919.394 1566.379 841.481 315.855 5633.95 8085.39
[,98]
[1,] 14.93
[2,] 2951.90
[3,] 2756.39
[1] "--- VAR model 2017-10-07 14:01:00 completed"
[1] "Completed training sample: 2017-10-07 14:01:00 - 2017-10-07 22:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 14:31:00 - 2017-10-07 22:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.75058 -1.0943 -43.08 -44.96
0.55317 0.2239 -41.30 -43.11
0.08303 0.1574 -39.44 -40.15
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-43.44 0.57354 1.530 0.1732
-42.95 -0.07727 1.544 -0.0373
-42.30 0.49761 1.670 -0.1011
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.96878 1.1674 0.09339 -17.10
0.06904 -0.2556 5.32202 -13.78
-0.56352 -0.7503 3.72559 -12.00
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.6039 -5.505 -9.152 4.829
1.2559 -8.420 -5.427 4.917
1.6755 -6.629 -5.579 5.274
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.127 -5.785 -5.700 16.30
-8.235 -4.185 -3.396 18.00
-5.788 -5.701 -4.643 17.57
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-41.56 -4.650 -76.99 -38.05
-39.59 -4.290 -86.96 -41.47
-38.46 -4.238 -83.46 -40.65
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.609 -42.89 -43.45 -9.086
-4.443 -36.74 -42.01 -9.826
-4.511 -41.65 -46.01 -8.839
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-41.96 -4.939 -36.24 -19.16
-42.02 -5.083 -40.45 -18.79
-38.89 -4.763 -38.99 -18.30
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.80 -45.95 -43.94 -44.01
-11.19 -43.45 -41.72 -43.79
-10.90 -42.98 -41.58 -42.71
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2866 3.7854 -0.343 0.19877
0.1108 -0.4757 2.578 0.06992
-0.1635 2.3450 1.200 0.02920
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.66498 0.2055 -29.89 -33.32
-0.06318 0.1159 -29.45 -32.55
-0.09298 0.1104 -30.12 -32.50
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.418 -2.020 -18.67 11.432
4.162 -1.498 -21.94 1.552
3.803 -1.272 -21.87 6.675
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.821 -1.4894 -6.785 5.420
5.152 -0.4770 -7.853 2.769
6.491 -0.3711 -9.282 1.781
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.67777 -2.119 -6.965 -7.1993
-0.99711 -9.762 -4.005 -0.2575
-0.05307 -4.359 -5.077 -6.3211
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.230 -0.2093 -0.0012852 -1.580
-7.718 0.4066 -0.0290211 -3.145
-3.544 0.2443 0.0002774 -4.623
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0824 -2.3839 1.995 3.2177
-0.8953 0.9157 2.152 -1.4071
-0.8767 -4.7613 1.906 0.9458
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.6923 0.006552 2.720 0
1.7987 0.243030 1.328 0
0.3343 0.160581 1.650 0
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.7331 0.23457 1.1736 -0.09647
2.5441 -0.09494 0.4185 1.04659
0.9548 0.15293 0.4245 0.30847
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.5179 -0.1683 24.51 17.05
-0.8680 0.5502 23.56 13.45
0.5330 0.4555 21.77 12.67
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.69 0.09864 12.51 1.879
15.80 0.17478 17.32 1.167
14.62 -0.07450 14.02 1.230
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.25 -0.4816 -1.1587 -0.00218
18.12 -0.1933 -0.3719 -0.13086
14.73 -0.1121 -1.2298 -0.07202
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.4806 -0.20816 1.4761 -4.790
2.4452 -0.25866 1.0070 2.481
0.3097 -0.03766 0.1056 -2.522
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.754 4.895 3.268 3.910
5.396 2.286 3.593 4.495
2.253 2.295 4.131 1.728
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.162 -0.4899 -6.868 118.1
3.075 0.9173 -6.583 118.1
-2.867 0.5147 -7.110 117.1
rnd_95776.volume rnd_95787.volume
-37.94 -40.65
-10.71 -39.73
-25.02 -41.14
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 7.025 4.583 11.84 10.45 10.95 1.628 2.970 7.047 9.198 7.193 5.286
[2,] 7.113 4.620 11.84 10.93 11.42 1.646 3.001 7.062 9.209 8.845 6.125
[3,] 7.298 4.677 11.95 11.22 11.63 1.648 3.063 7.066 9.235 8.904 6.539
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.041 4.590 5.021 7.211 6.717 7.218 8.764 10.93 8.953 15.02 4.404
[2,] 6.577 4.735 5.860 8.092 6.906 7.978 9.110 11.43 9.767 15.12 4.452
[3,] 6.588 4.870 6.815 8.569 7.127 8.465 9.483 11.71 10.625 15.18 4.475
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 21.05 11.76 0.7234 11.27 11.04 1.614 11.42 0.8498 10.67 2.291 1.753
[2,] 23.99 12.19 0.7591 11.60 12.24 1.670 12.11 0.8839 11.67 2.413 1.812
[3,] 24.02 12.26 0.8029 12.45 12.63 1.738 12.56 0.9250 12.20 2.505 1.865
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.86 10.81 11.17 6.693 5.476 7.023 2.628 5.336 1.793 6.620 6.779
[2,] 11.01 11.70 11.79 6.734 6.254 7.049 2.655 5.369 1.793 7.079 7.538
[3,] 11.30 11.83 11.89 6.765 6.357 7.209 2.673 5.443 1.798 7.573 7.928
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.546 2.342 4.970 7.548 9.166 4.852 7.412 6.391 2.341 4.864 4.015
[2,] 4.689 2.460 5.341 7.579 9.779 4.908 8.585 6.629 2.403 6.948 5.900
[3,] 5.010 2.589 5.523 9.206 10.898 5.140 9.036 7.013 2.431 7.565 6.471
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.591 2.488 6.038 1.120 3.690 1.769 3.752 5.049 4.424 6.361 2.117
[2,] 5.246 4.639 6.039 1.120 5.132 1.810 3.792 5.100 5.355 6.790 2.139
[3,] 6.115 6.019 6.046 1.122 5.998 1.888 4.178 5.305 5.449 7.034 2.143
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 12.81 5.356 5.563 2.130 7.564 5.309 7.145 6.894 8.088 7.473 6.209
[2,] 12.95 5.360 7.329 2.134 7.790 6.779 7.496 8.291 8.541 9.517 7.253
[3,] 12.96 5.361 7.495 2.134 8.191 6.831 7.538 8.349 9.017 9.976 8.512
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.217 6.030 4.736 7.167 4.086 3.281 2.851 4.605 4.952 10.82 8.338
[2,] 2.256 7.620 4.885 8.082 4.160 3.535 2.851 5.857 4.958 10.84 8.344
[3,] 2.311 8.517 4.946 8.473 4.234 3.707 2.856 6.011 4.976 10.92 9.124
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.909 4.973 4.621 4.135 4.245 3.738 0.9131 9.476 18.01 11.29
[2,] 4.419 5.061 5.029 5.011 4.345 3.750 0.9397 11.371 22.33 11.65
[3,] 4.468 5.503 5.235 5.115 4.665 3.841 0.9857 13.057 23.86 11.92
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.921 5.819 15.03 13.27 13.91 2.067 3.772 8.949
[2,] 1091.642 578.001 252.97 3145.98 3186.40 239.495 420.435 450.067
[3,] 1599.030 708.306 1625.33 2470.93 2118.18 80.215 599.497 208.862
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.68 9.134 6.713 6.401 5.829 6.375 9.157 8.53
[2,] 451.19 5038.659 3029.663 4136.036 1139.153 2958.891 3594.743 1568.72
[3,] 677.19 1002.111 2239.628 381.680 1114.323 3407.061 2761.215 1724.50
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 9.165 11.13 13.88 11.37 19.08 5.593 26.73 14.93
[2,] 3328.071 2435.81 3296.11 3822.44 1620.91 636.723 11274.39 3134.49
[3,] 2769.580 2576.95 2471.07 4094.79 1327.24 444.071 1061.32 1313.62
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9186 14.3 14.02 2.049 14.5 1.079 13.55 2.909
[2,] 225.1618 2719.9 5167.83 423.427 3942.1 237.997 4634.87 740.106
[3,] 256.0609 4410.2 3072.69 469.459 3276.9 267.154 3470.50 661.330
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.226 13.79 13.73 14.18 8.499 6.953 8.918 3.337
[2,] 446.426 1777.38 4369.04 3715.26 725.333 2958.317 600.701 372.682
[3,] 434.066 2487.78 1716.91 1514.36 635.337 1115.503 1475.527 300.856
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.775 2.277 8.407 8.609 5.773 2.974 6.312 9.584
[2,] 582.748 22.053 2454.054 3226.324 1123.363 736.342 1912.837 680.139
[3,] 880.262 132.885 2635.298 2406.668 1726.440 789.323 1380.087 5115.859
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.64 6.162 9.412 8.116 2.973 6.177 5.098 5.83
[2,] 3335.07 721.265 4241.837 1722.541 532.567 4857.558 4232.687 2486.25
[3,] 4709.12 1495.020 2761.378 2239.608 357.166 2930.219 2603.716 3076.22
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.16 7.668 1.422 4.686 2.246 4.764 6.412 5.618
[2,] 3833.32 44.211 13.405 3491.372 377.734 539.845 701.093 2954.322
[3,] 3754.76 291.160 65.240 3039.698 526.954 1717.061 1431.679 987.176
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 8.077 2.688 16.26 6.801 7.064 2.705 9.605 6.742
[2,] 2326.067 295.545 1886.57 217.976 4671.456 124.871 1823.272 4127.616
[3,] 1798.528 129.951 553.71 81.820 1539.951 5.743 2477.951 820.784
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 9.073 8.754 10.27 9.49 7.885 2.815 7.657 6.014
[2,] 2220.781 4510.144 2685.76 5770.22 3670.884 406.896 4562.203 1173.895
[3,] 779.838 966.701 2832.58 2928.62 4361.867 493.825 3725.271 755.154
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 9.101 5.189 4.166 3.62 5.847 6.288 13.74 10.59
[2,] 3657.255 767.471 1288.375 59.91 3543.801 241.053 687.17 308.28
[3,] 2492.234 770.722 1094.197 159.76 1324.115 411.288 1321.47 3613.59
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.963 6.315 5.868 5.251 5.39 4.747 1.159 12.03
[2,] 2019.189 918.693 1941.515 2771.463 908.87 295.800 217.617 6154.40
[3,] 642.671 2115.315 1423.961 1002.889 1663.09 812.349 291.410 6283.63
[,97] [,98]
[1,] 22.87 14.34
[2,] 12924.48 2797.92
[3,] 8239.02 2473.33
[1] "--- VAR model 2017-10-07 14:31:00 completed"
[1] "Completed training sample: 2017-10-07 14:31:00 - 2017-10-07 22:30:00"
[1] "SpVAR; CCF training sample: 2017-10-07 15:01:00 - 2017-10-07 23:00:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.251728 -0.5559 -40.92 -39.13
-0.296406 0.6429 -37.49 -39.15
0.008031 0.2784 -43.07 -37.66
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-34.28 0 1.3294 0.44539
-38.78 0 0.4925 0.07066
-39.23 0 0.2979 -0.46625
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.0348 -5.4068 2.035 -18.01
-0.5132 1.3205 5.324 -12.88
-0.1534 -0.2068 3.511 -12.82
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9010 0.09605 -0.8747 3.573
0.5295 -12.43057 -6.1277 2.794
0.9255 -4.82721 1.6581 2.827
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.473 -2.283 -1.180 14.30
-7.408 -1.811 -1.703 14.67
-5.363 -5.715 -3.068 13.81
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-38.30 -4.066 -69.74 -38.50
-36.82 -3.870 -79.56 -38.37
-41.86 -3.829 -74.99 -39.07
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.294 -37.51 -44.41 -8.843
-3.383 -34.31 -39.99 -9.583
-3.533 -38.79 -43.41 -8.590
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-33.84 -3.992 -37.81 -17.14
-38.14 -3.992 -40.82 -17.00
-35.83 -3.989 -39.01 -16.61
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.552 -37.06 -35.16 -40.43
-9.972 -38.00 -36.41 -38.88
-9.919 -40.01 -38.72 -40.52
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.644 -1.006 -0.4386 0.4664
1.988 -1.756 1.0334 0.2559
1.054 -3.223 0.9186 0.1286
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.32396 -0.0600 -24.27 -28.21
0.04351 0.1836 -24.04 -27.78
-0.05511 0.1965 -23.62 -27.93
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.255 -2.140 -19.11 1.963
2.922 -2.425 -20.73 9.254
3.211 -2.352 -20.11 4.098
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.24309 -0.902728 -8.641 2.646
-0.04571 -0.117192 -8.981 3.271
1.33926 0.006179 -12.788 5.402
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3844 -1.440 -6.128 -16.341
-0.5112 -7.029 -5.135 -0.502
-0.5217 -7.460 -5.724 -4.100
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.023 -0.09671 0 -5.880
-6.950 0.18784 0 -14.562
-3.243 0.45659 0 -1.279
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5853 -2.551 0.1822 -0.2124
-0.2348 -5.382 -0.2408 -3.8171
-0.2909 -7.420 2.0504 -8.0206
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.244 -0.3002 -3.270 -0.3735
-3.395 0.1510 -2.266 -0.1259
-6.749 -0.2105 -2.979 -0.2217
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.5637 -0.08596 -0.8515 -1.4415
-0.7128 0.23835 -1.4081 -0.6158
-4.2450 -0.05411 -1.3871 -0.9026
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.2786 -0.53981 17.54 11.047
-0.8409 -0.02337 17.97 8.558
0.7399 -0.09677 19.04 8.165
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.946 0.7121 7.908 -1.0659
10.595 0.7359 9.095 -0.9085
11.478 1.0732 9.127 -0.8163
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.285 1.952 -2.8486 0.04013
8.425 1.220 -0.9566 0.10706
10.758 1.331 -1.2045 0.09544
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.0741 0.7539 0.49925 -7.451
1.5261 0.8269 -0.01110 6.107
-0.4165 0.2666 0.02168 -4.671
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.928 7.272 3.892 6.123
5.012 4.738 4.251 7.427
3.196 5.001 2.840 3.311
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5741 0.5466 -6.200 127.6
-2.9155 -0.5883 -5.832 127.7
-4.4136 -0.2212 -6.335 127.6
rnd_95776.volume rnd_95787.volume
-19.063 -32.85
-28.628 -36.72
-6.584 -37.83
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.949 4.401 11.43 10.34 10.63 1.635 2.954 6.918 8.948 6.961 5.136
[2,] 7.026 4.435 11.44 10.77 11.19 1.651 2.988 6.943 8.960 8.618 5.956
[3,] 7.207 4.490 11.53 11.05 11.36 1.653 3.041 6.944 8.978 8.677 6.355
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.731 4.407 4.948 8.152 6.814 6.784 8.678 10.94 9.293 14.83 4.407
[2,] 6.451 4.570 5.728 8.851 6.999 7.500 9.019 11.51 10.067 14.85 4.451
[3,] 6.469 4.700 6.771 9.326 7.224 8.090 9.364 11.75 10.975 14.97 4.475
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 20.65 11.34 0.6897 10.77 10.88 1.478 10.95 0.8111 10.32 2.236 1.668
[2,] 23.38 11.63 0.7234 11.19 12.02 1.514 11.57 0.8458 11.19 2.356 1.741
[3,] 23.43 11.65 0.7528 11.85 12.48 1.613 11.94 0.8771 11.70 2.429 1.784
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.53 10.54 10.68 6.589 5.345 6.773 2.531 5.137 1.794 6.395 6.531
[2,] 10.68 11.34 11.36 6.638 6.091 6.789 2.557 5.146 1.795 6.883 7.225
[3,] 11.00 11.43 11.46 6.669 6.200 6.898 2.570 5.216 1.801 7.360 7.640
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.176 2.354 4.816 7.498 9.207 4.861 7.154 6.440 2.319 5.673 3.913
[2,] 4.559 2.474 5.181 7.526 9.784 4.910 8.413 6.661 2.376 7.344 5.900
[3,] 4.706 2.599 5.306 9.039 10.903 5.147 8.981 6.997 2.405 7.939 6.458
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.437 2.441 5.799 1.088 3.738 1.503 3.739 4.716 4.439 6.227 2.098
[2,] 5.205 4.487 5.799 1.088 5.066 1.534 3.782 4.717 5.284 6.642 2.118
[3,] 6.242 5.907 5.800 1.089 6.033 1.541 4.156 4.790 5.367 6.886 2.121
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 12.57 5.139 5.425 2.144 7.465 5.335 6.972 6.675 8.102 7.577 6.257
[2,] 12.72 5.144 7.198 2.146 7.682 6.762 7.315 8.019 8.521 9.509 7.324
[3,] 12.75 5.144 7.331 2.146 8.051 6.808 7.352 8.081 8.898 9.956 8.579
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.141 5.990 4.639 6.937 3.988 3.185 2.714 4.625 4.856 10.36 8.623
[2,] 2.181 7.511 4.796 7.947 4.049 3.426 2.714 5.859 4.865 10.39 8.640
[3,] 2.239 8.336 4.857 8.365 4.127 3.609 2.716 5.965 4.880 10.48 9.390
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.847 5.309 5.024 4.325 4.146 3.541 0.9269 9.752 19.09 10.72
[2,] 4.529 5.452 5.219 5.166 4.260 3.552 0.9523 11.693 23.55 11.17
[3,] 4.583 5.804 5.511 5.290 4.545 3.624 0.9951 13.462 24.26 11.44
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.824 5.588 14.52 13.12 13.5 2.077 3.751 8.785
[2,] 1004.379 532.005 319.73 2936.61 3370.9 216.703 433.403 564.543
[3,] 1547.005 675.377 1365.23 2382.17 1881.4 76.431 544.294 99.444
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.36 8.84 6.522 6.007 5.597 6.283 10.35 8.653
[2,] 429.36 4903.32 2911.398 4233.009 1165.216 2785.086 3327.04 1542.543
[3,] 557.47 974.21 2138.139 463.045 1060.411 3485.263 2837.89 1727.427
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.614 11.02 13.89 11.8 18.84 5.596 26.22 14.4
[2,] 3088.088 2369.46 3444.72 3737.2 753.01 603.325 10600.12 2486.6
[3,] 2926.089 2431.49 2308.45 4218.0 1781.29 441.844 1341.66 693.5
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8759 13.67 13.81 1.877 13.9 1.03 13.11 2.839
[2,] 210.5019 2943.22 4944.72 316.892 3600.8 231.54 4184.37 716.763
[3,] 200.8893 3752.71 3235.26 537.780 2854.1 224.10 3270.04 569.212
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.118 13.37 13.39 13.56 8.368 6.787 8.601 3.214
[2,] 480.971 1741.20 4045.51 3737.52 770.676 2820.086 447.706 351.050
[3,] 376.127 2541.60 1383.34 1505.62 624.351 1115.849 1181.098 242.364
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 6.523 2.279 8.121 8.293 5.303 2.989 6.115 9.521
[2,] 300.430 32.716 2455.997 2982.444 1765.000 736.296 1844.332 626.291
[3,] 821.248 145.362 2516.274 2396.673 1127.568 769.242 1104.427 4832.338
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 11.69 6.172 9.084 8.178 2.945 7.203 4.969 5.635
[2,] 3194.20 671.051 4273.224 1643.871 500.154 4501.972 4262.348 2625.275
[3,] 4644.19 1490.238 3033.503 2065.333 358.787 2911.159 2533.666 3325.353
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.1 7.364 1.382 4.747 1.909 4.748 5.989 5.636
[2,] 3633.3 13.529 1.089 3300.353 294.546 549.369 100.747 2767.467
[3,] 3708.3 73.170 33.529 3162.454 139.842 1662.419 800.454 907.637
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.907 2.664 15.96 6.526 6.889 2.723 9.479 6.775
[2,] 2230.288 281.894 1913.17 209.510 4566.061 93.475 1751.727 4009.408
[3,] 1754.518 108.313 849.88 85.987 1340.334 20.023 2325.477 764.988
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.853 8.476 10.29 9.621 7.946 2.719 7.606 5.891
[2,] 2135.686 4288.891 2544.71 5546.184 3673.745 399.973 4374.437 1172.422
[3,] 710.970 966.978 2474.05 2847.419 4310.900 489.430 3489.566 746.348
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.808 5.064 4.044 3.446 5.874 6.167 13.15 10.95
[2,] 3743.081 677.351 1219.779 20.341 3471.675 286.966 814.23 518.32
[3,] 2518.332 773.773 1092.979 93.943 1080.469 368.591 1296.70 3550.74
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.885 6.742 6.379 5.492 5.264 4.497 1.177 12.38
[2,] 2307.168 1194.333 1365.063 2726.955 945.450 269.406 210.979 6226.20
[3,] 678.233 1923.111 1709.243 1098.455 1530.706 693.723 278.653 6438.08
[,97] [,98]
[1,] 24.24 13.61
[2,] 13307.88 3023.26
[3,] 5601.55 2401.03
[1] "--- VAR model 2017-10-07 15:01:00 completed"
[1] "Completed training sample: 2017-10-07 15:01:00 - 2017-10-07 23:00:00"
[1] "SpVAR; CCF training sample: 2017-10-07 15:31:00 - 2017-10-07 23:30:00"
[1] "CCF ready"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3445 0.352206 -35.91 -30.36
0.8728 -0.007068 -36.65 -32.23
1.5296 -0.166597 -36.16 -33.18
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-30.92 0.1345 0.2646 0.26465
-34.13 -0.1232 1.5845 0.39209
-34.55 0.1300 0.2310 -0.03109
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.49915 -0.6279 4.580 -12.22
-0.02121 0.4652 1.807 -10.74
0.01781 0.3930 2.694 -10.63
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.652 -1.759 0.1768 3.878
1.788 -6.749 -3.4828 2.056
0.281 -3.505 -2.3652 3.167
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.194 -0.1696 -4.034 -2.680
-4.273 -1.3697 -1.709 -2.816
-3.808 -3.3420 -2.614 -2.951
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-36.37 -2.982 -63.26 -30.03
-36.57 -2.958 -72.15 -34.75
-36.42 -3.235 -73.41 -36.83
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.776 -32.11 -35.83 -6.960
-2.908 -30.24 -35.19 -6.968
-3.114 -33.44 -38.23 -7.222
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-30.77 -3.607 -33.34 -15.10
-31.86 -3.560 -33.84 -15.39
-33.18 -3.622 -32.82 -15.61
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.171 -33.70 -31.50 -34.37
-8.966 -33.65 -32.07 -33.68
-9.003 -32.14 -33.64 -34.09
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9722 -0.6221 0.3062 0.25800
0.2072 -3.9610 1.8842 0.19189
0.4299 -0.9884 0.7257 -0.03985
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.47768 0.19950 -21.72 -25.99
0.80000 -0.07318 -21.73 -25.93
0.05448 -0.05938 -21.59 -25.42
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.391 -1.878 -20.31 0.7414
-2.838 -2.041 -19.33 5.1002
-2.669 -1.387 -20.33 2.2652
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.242 -2.260 -5.537 0.2556
4.815 -2.797 -13.142 3.0367
2.271 -1.920 -11.155 3.5044
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.811222 -12.667 -10.427 -6.880
-0.007641 -1.874 -6.833 -8.487
-0.958158 -11.043 -9.844 -1.492
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.338 0.1894 0.011518 -7.062
-9.705 -0.1159 0.046155 -7.571
-6.125 0.0340 -0.003229 -9.290
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.07323 -8.887 -0.5035 -7.456
-0.03085 -3.720 1.4955 -5.071
-0.24018 -5.292 1.6583 -2.495
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.207 0.57340 -2.502 0.1201
-1.585 -0.26913 -3.863 -0.1749
-2.047 -0.06034 -1.866 -0.1528
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.834 0.18618 -0.2041 3.2885
-8.677 -0.13389 0.1032 -0.6336
-1.603 -0.09483 1.5081 0.1954
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8876 5.0078 22.42 14.94
-0.6145 0.9988 22.28 12.83
-0.5279 0.5681 22.45 11.29
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.292 1.901 8.59 0.2690
15.378 1.915 11.42 0.1176
11.436 1.024 12.05 0.1254
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.511 0.2868 -3.3420 -0.06453
8.678 0.4051 -0.8164 0.11069
12.592 0.1118 -2.1748 -0.03095
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8265 0.05870 -0.34709 -9.279
-6.3191 0.06674 -0.19424 8.765
-1.1010 -0.01310 -0.06142 -6.279
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.537 2.947 5.091 6.954
3.671 5.872 4.447 7.125
4.575 5.920 2.742 4.336
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.677 -0.62298 -5.618 106.8
-1.997 -0.44911 -5.867 104.0
-2.772 -0.08512 -5.550 103.3
rnd_95776.volume rnd_95787.volume
-6.846 -28.60
-33.353 -33.91
-17.088 -33.04
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 6.903 4.283 11.03 10.03 10.15 1.670 2.911 6.827 8.800 6.735 5.166
[2,] 6.998 4.314 11.05 10.48 10.65 1.686 2.930 6.847 8.825 8.514 5.993
[3,] 7.180 4.368 11.16 10.72 10.80 1.687 2.982 6.848 8.836 8.590 6.360
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.526 4.400 4.800 8.386 6.100 6.731 8.394 10.44 9.110 14.67 4.404
[2,] 6.308 4.574 5.594 8.957 6.315 7.314 8.755 10.83 9.821 14.67 4.449
[3,] 6.354 4.714 6.634 9.390 6.574 7.799 8.871 11.00 10.683 14.74 4.469
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 19.52 10.74 0.6762 10.45 10.55 1.444 10.48 0.7561 10.10 2.199 1.591
[2,] 22.19 10.94 0.7132 10.87 11.66 1.476 11.09 0.7862 11.04 2.293 1.634
[3,] 22.25 11.09 0.7398 11.61 12.08 1.560 11.48 0.8162 11.55 2.371 1.690
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 10.09 10.23 10.08 6.459 5.604 6.292 2.405 4.997 1.759 6.141 6.216
[2,] 10.26 10.97 10.83 6.498 6.121 6.298 2.420 5.000 1.759 6.615 6.923
[3,] 10.69 11.13 10.93 6.531 6.218 6.321 2.433 5.066 1.765 7.023 7.315
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.568 2.333 4.621 7.392 9.184 4.936 7.115 6.307 2.285 5.648 3.954
[2,] 4.689 2.443 5.137 7.407 9.582 4.989 8.421 6.504 2.348 7.379 6.108
[3,] 4.998 2.565 5.277 8.840 10.691 5.173 8.880 6.819 2.377 7.976 6.653
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.233 2.352 5.437 1.065 3.686 1.451 3.599 4.604 4.400 6.143 2.031
[2,] 5.148 4.461 5.438 1.065 4.884 1.475 3.643 4.605 5.228 6.538 2.054
[3,] 6.229 6.027 5.442 1.066 5.930 1.484 4.023 4.681 5.319 6.745 2.058
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 12.12 4.907 5.318 2.094 7.237 5.243 6.780 6.514 7.987 7.494 6.484
[2,] 12.24 4.911 7.056 2.095 7.520 6.679 7.079 7.990 8.360 9.395 7.613
[3,] 12.29 4.913 7.181 2.096 7.849 6.742 7.102 8.069 8.793 9.836 8.771
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.123 5.993 4.530 6.811 3.881 2.994 2.571 4.353 4.590 10.06 8.713
[2,] 2.174 7.588 4.683 8.131 3.940 3.305 2.573 5.652 4.603 10.09 8.737
[3,] 2.227 8.494 4.740 8.633 3.997 3.521 2.573 5.783 4.607 10.15 9.537
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.858 4.549 5.021 4.865 4.022 3.425 0.9104 9.938 19.43 10.54
[2,] 4.406 5.587 5.214 4.913 4.127 3.434 0.9365 11.875 23.57 10.93
[3,] 4.611 5.623 5.490 5.246 4.394 3.497 0.9848 13.574 24.25 11.31
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 8.765 5.438 14.01 12.74 12.9 2.121 3.696 8.669
[2,] 1178.382 527.251 572.82 3079.98 3286.2 237.480 345.566 544.967
[3,] 1642.765 705.352 1593.35 2341.68 1839.1 41.007 567.332 31.095
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 11.17 8.552 6.56 5.747 5.587 6.096 10.65 7.746
[2,] 684.45 5323.131 3103.92 4491.164 1279.014 2934.554 3217.69 1671.677
[3,] 454.77 1170.190 2177.11 781.290 1163.792 3645.674 2878.42 1866.988
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 8.547 10.66 13.25 11.57 18.63 5.592 24.78 13.64
[2,] 2924.309 2543.06 2953.27 3749.06 63.33 642.988 10781.25 2151.52
[3,] 2767.647 1464.50 1971.67 4296.70 1406.18 441.153 1685.83 1819.42
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8587 13.27 13.4 1.833 13.31 0.9601 12.82 2.793
[2,] 231.6413 3079.61 5085.5 314.336 3714.03 220.3527 4561.80 664.266
[3,] 201.0891 4152.53 3209.0 514.495 3024.20 223.8129 3467.79 617.104
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.02 12.81 13 12.8 8.202 7.116 7.99 3.053 6.345
[2,] 379.88 1900.30 4032 4055.3 722.452 2516.141 275.08 276.414 176.420
[3,] 442.15 3060.93 1928 1516.8 675.506 1114.838 552.29 264.201 836.367
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.234 7.799 7.893 5.8 2.963 5.867 9.387 11.66
[2,] 36.696 2513.199 3115.999 1084.9 738.890 2293.666 471.632 2791.27
[3,] 139.622 2410.579 2414.437 1765.8 800.211 1235.018 4931.258 4846.44
[,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.268 9.035 8.009 2.901 7.172 5.021 5.376
[2,] 740.903 4602.093 1623.968 553.867 4852.974 4757.324 2993.864
[3,] 1398.785 2882.625 2091.467 374.840 3095.338 2697.491 3584.764
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.987 6.905 1.352 4.681 1.843 4.57 5.847 5.587
[2,] 3873.431 93.134 8.139 3274.225 268.733 582.19 29.263 2887.141
[3,] 4141.616 194.586 50.196 3436.897 165.788 1742.59 863.682 1001.368
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 7.801 2.579 15.38 6.231 6.753 2.659 9.19 6.658
[2,] 2286.624 310.772 1812.42 222.307 4739.346 82.503 2087.86 4228.791
[3,] 1694.550 143.755 1078.15 124.668 1364.997 56.531 2298.29 933.256
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 8.609 8.272 10.14 9.516 8.233 2.696 7.61 5.753
[2,] 2082.218 4727.798 2525.13 5792.316 4076.801 478.908 4756.57 1209.627
[3,] 583.453 1157.528 2782.90 2974.480 4452.965 491.640 3902.78 754.457
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 8.648 4.929 3.802 3.265 5.528 5.828 12.77 11.06
[2,] 4538.878 691.785 1431.517 75.837 3683.701 351.478 818.43 666.13
[3,] 2964.640 689.516 1240.638 54.142 1250.522 204.253 1140.96 3908.33
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 4.899 5.776 6.376 6.178 5.108 4.35 1.156 12.62
[2,] 2174.556 3314.593 1433.593 700.673 941.900 249.90 224.406 6641.84
[3,] 1390.351 652.957 1759.058 1879.668 1542.943 676.31 311.260 6721.32
[,97] [,98]
[1,] 24.67 13.39
[2,] 13628.99 2940.85
[3,] 5865.78 2966.54
[1] "--- VAR model 2017-10-07 15:31:00 completed"
[1] "Completed training sample: 2017-10-07 15:31:00 - 2017-10-07 23:30:00"
[1] "Forecasting completed" results<-bind_rows(results,res)
res<-do.call(rollingWindow,
c(params,list(xModel=xModel.star,
arLags=3,complete=T,include.mean=F, clusterNumber=1)),
envir=environment())[1] "Models to estimate: 336 Number of clusters: 1"
[1] "SpVAR; training sample: 2017-09-30 16:01:00 - 2017-10-01 00:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.2057 -3.464 -34.27 -19.78
1.8387 0.566 -22.37 -21.96
-0.9278 -1.007 -26.85 -31.64
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.01 1.492 2.939 -1.2277
-18.93 1.677 2.883 5.9637
-33.74 1.415 2.074 0.9239
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.9067 -0.419 2.7627 -6.128
-3.6657 -1.761 5.3251 -13.192
5.8538 3.334 0.7808 -5.479
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.601 -3.884 -9.790 -1.081
3.563 -4.550 -2.123 -2.007
-2.284 -2.913 3.899 -4.586
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.153 -4.221 1.539 9.813
-3.783 -5.078 -1.535 1.537
-7.654 -8.517 1.126 8.871
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-33.32 -6.345 -60.55 -21.64
-28.59 -3.774 -68.89 -26.08
-13.30 -4.096 -56.68 -25.51
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.277 -34.24 -25.24 -4.642
-2.540 -11.85 -30.85 -4.432
-2.037 -21.81 -34.85 -5.718
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-25.14 -2.079 -29.63 -10.97
-25.32 -2.495 -36.53 -10.39
-25.22 -2.342 -27.89 -11.71
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.326 -21.40 -27.39 -17.96
-6.015 -33.83 -20.06 -28.82
-6.061 -25.52 -33.84 -26.62
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.4426 3.8438 6.7222 1.9657
-0.4978 -5.5173 -5.0369 -1.5661
0.7622 0.5515 0.9657 -0.2244
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.4912 2.0888 -22.94 -22.22
1.6665 0.9855 -19.48 -19.46
-0.4607 -1.5204 -20.32 -22.57
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5545 -1.7301 -22.53 2.616
-0.2590 -0.4257 -17.48 8.317
3.2959 -1.3827 -10.13 1.946
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.4604 -1.272 -11.206 3.642
1.1422 -5.146 -13.203 5.505
4.3409 -1.247 -6.522 1.147
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.971 -5.725 -4.543 0.5506
-2.121 -7.740 -8.178 -8.7771
-2.062 -3.169 -3.617 -5.4697
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.105 -1.382 0.04626 -7.996
-1.484 3.234 -1.98713 3.458
-9.558 2.102 0.59362 -2.556
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.9814 -3.280 -1.5940 0.0329
-1.3659 -2.516 3.3303 -5.0211
-0.2488 -2.629 -0.8023 3.1393
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.101 0.1373 -0.627 -1.003
-7.553 2.2513 -2.794 3.257
4.992 -0.8125 -4.987 1.202
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.066 -1.4968 0.3322 0.9434
-2.357 1.7787 2.7698 4.6971
-1.585 -0.2507 -3.3221 1.1519
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.644 3.403 2.386 -5.699
-1.588 1.127 15.744 13.625
-1.808 5.813 6.396 7.497
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.550 0.008074 -1.165 -3.880
6.099 1.514037 -8.413 1.417
8.481 -0.040069 13.169 2.137
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.7639 3.3907 0.3554 1.6803
-5.0696 -3.0090 -1.9515 -0.1389
6.4584 0.4741 -2.3698 -0.3357
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.8541 -5.310 -3.595 8.786
-0.3755 1.634 4.703 5.766
-2.6444 1.333 3.577 2.135
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.787 0.3001 1.926 3.5728
1.499 2.3928 5.023 3.1460
3.742 3.2767 -0.979 -0.1458
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.3864 0.2851 -4.096 -1.9807
0.6111 1.7329 -4.607 0.4406
2.2365 0.6904 -3.964 -0.2835
rnd_95776.volume rnd_95787.volume
-21.64 -26.70
-26.14 -26.39
-9.04 -27.80
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.438 2.460 6.630 6.049 5.846 1.160 1.454 3.801 4.229 3.312 2.315
[2,] 4.167 2.869 7.488 7.213 7.042 1.321 1.738 4.275 4.927 4.898 3.216
[3,] 4.641 3.231 8.084 8.250 8.099 1.440 2.010 4.719 5.501 5.471 3.641
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.436 2.352 2.408 3.587 3.226 3.887 3.887 5.100 4.682 9.351 3.442
[2,] 3.873 2.774 3.541 4.712 3.849 5.179 5.144 6.667 6.130 11.052 4.094
[3,] 4.243 3.093 4.084 5.423 4.385 6.078 6.148 7.653 7.192 12.209 4.494
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.41 6.486 0.4273 6.110 6.555 0.9108 5.807 0.4221 5.948 1.114 0.8904
[2,] 14.80 7.481 0.4970 7.468 8.016 1.0565 7.079 0.5026 7.223 1.492 1.1073
[3,] 16.10 8.309 0.5598 8.621 8.860 1.1902 8.070 0.5522 8.182 1.696 1.2720
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.994 6.080 5.515 3.535 2.569 3.044 1.134 2.962 0.9264 3.110 3.583
[2,] 7.136 7.361 7.031 4.283 3.508 3.734 1.330 3.390 1.0643 3.776 4.295
[3,] 7.798 8.196 7.687 4.786 4.143 4.130 1.535 3.691 1.1809 4.300 4.742
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.616 1.196 2.521 4.144 4.230 2.313 3.111 3.411 1.282 2.859 2.285
[2,] 3.230 1.512 3.326 4.813 4.989 2.943 4.589 3.992 1.617 4.201 3.341
[3,] 3.752 1.673 3.685 5.254 5.509 3.310 5.603 4.457 1.821 5.133 4.077
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.132 1.316 2.829 0.6936 2.010 0.9025 2.073 2.368 2.150 3.944 1.298
[2,] 3.148 2.591 3.254 0.8193 2.873 1.0406 2.467 2.700 3.444 5.108 1.464
[3,] 3.922 3.510 3.622 0.9129 3.783 1.1706 2.821 3.045 3.875 5.782 1.616
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.807 2.411 2.537 1.315 4.321 3.324 4.247 4.312 4.971 4.110 2.618
[2,] 4.114 2.847 3.823 1.603 4.891 4.278 4.786 5.676 5.856 6.135 4.561
[3,] 4.747 3.132 4.991 1.784 5.403 4.693 5.230 6.262 6.463 7.069 5.773
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9929 2.955 2.573 2.838 1.801 1.758 1.316 2.306 2.402 5.994 4.694
[2,] 1.1446 4.533 3.071 4.176 2.136 2.179 1.544 3.350 2.841 7.191 5.518
[3,] 1.2771 5.902 3.471 5.329 2.409 2.573 1.722 3.999 3.206 7.872 5.962
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.020 2.100 2.562 2.557 2.107 1.621 0.5810 1.161 8.673 6.242
[2,] 2.565 3.000 3.152 3.110 2.653 1.938 0.6664 1.429 13.110 7.273
[3,] 3.258 3.388 3.501 3.520 3.128 2.136 0.7414 1.582 16.080 8.135
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.365 3.124 8.419 7.681 7.423 1.472 1.846
[2,] 2426.890 1520.626 3585.643 4048.348 4046.083 651.731 981.383
[3,] 2104.935 1530.354 3139.492 4124.289 4120.250 590.081 1040.471
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.826 5.37 4.205 2.94 3.093 2.987 3.058 4.555
[2,] 2015.780 2603.58 3717.862 2299.94 3102.378 1514.459 2673.697 3148.571
[3,] 2060.475 2521.96 2511.158 1758.97 1783.716 1410.215 2097.317 2764.290
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.096 4.936 4.936 6.476 5.946 11.87 4.371 14.49
[2,] 2163.215 3526.280 3471.220 4424.027 4076.100 6069.33 2284.431 9701.74
[3,] 2163.485 3276.017 3468.369 3871.452 3874.139 5342.85 1908.288 6535.98
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 8.237 0.5426 7.759 8.324 1.157 7.374 0.536 7.554
[2,] 3838.826 261.4550 4423.183 4752.197 551.666 4169.665 281.013 4221.872
[3,] 3725.851 265.4160 4437.991 3888.991 564.432 3992.809 235.803 3958.054
[,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 1.415 1.131 7.612 7.721 7.003 4.489 3.262
[2,] 1021.575 678.225 3988.502 4274.679 4493.029 2491.622 2461.567
[3,] 830.939 644.899 3240.119 3711.462 3202.018 2198.986 2270.810
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 3.866 1.439 3.761 1.176 3.949 4.55 3.323 1.519
[2,] 2226.751 716.709 1699.291 539.678 2206.754 2439.48 1950.302 953.415
[3,] 1818.756 789.988 1502.464 527.162 2117.703 2071.45 1967.729 737.094
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.202 5.262 5.372 2.937 3.95 4.332 1.628
[2,] 2234.784 2521.536 2725.364 1874.969 3475.49 2135.140 1015.926
[3,] 1633.861 2171.091 2406.300 1560.659 3312.67 2042.540 862.081
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.631 2.901 2.707 1.671 3.593 0.8807 2.553
[2,] 3170.140 2511.341 2386.633 2299.243 1656.107 449.4143 2114.431
[3,] 3039.551 2407.531 2408.856 2439.353 1639.273 414.7509 2535.999
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.146 2.632 3.007 2.73 5.008 1.648 3.565 3.061
[2,] 533.563 1377.613 1336.113 2771.30 3344.728 697.842 3098.178 1559.237
[3,] 552.303 1410.005 1450.135 1831.36 2790.785 706.510 2439.477 1345.449
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.221 1.669 5.487 4.221 5.393 5.476 6.313
[2,] 2945.923 945.436 2360.138 2773.785 2271.765 3802.133 3189.104
[3,] 3305.481 806.454 2364.971 1989.358 2174.214 2723.706 2816.727
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.219 3.325 1.261 3.753 3.268 3.604 2.287
[2,] 4692.630 3847.706 586.605 3541.190 1727.189 3156.282 1183.517
[3,] 3617.210 3645.645 583.559 3892.779 1665.911 3410.180 1147.616
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.232 1.671 2.928 3.05 7.611 5.96 2.565 2.667
[2,] 1325.833 831.668 2503.726 1563.04 4093.527 2989.12 1629.327 2206.286
[3,] 1410.315 786.328 2249.677 1530.54 3298.732 2326.50 2068.255 1622.125
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.253 3.247 2.676 2.058 0.7378 1.474 11.01
[2,] 1891.667 1824.168 1660.683 1094.575 336.2490 858.885 10128.37
[3,] 1570.142 1697.717 1708.251 925.749 334.8033 700.085 9591.25
[,98]
[1,] 7.926
[2,] 3844.983
[3,] 3755.219
[1] "--- VAR model 2017-09-30 16:01:00 completed"
[1] "Completed training sample: 2017-09-30 16:01:00 - 2017-10-01 00:00:00"
[1] "SpVAR; training sample: 2017-09-30 16:31:00 - 2017-10-01 00:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3799 -2.99428 -17.19 -16.68
0.3705 2.58453 -19.98 -32.69
4.9897 -0.08845 -20.11 -31.12
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-30.51 0.26573 2.89356 0.5006
-23.23 0.08811 0.48911 -2.0190
-21.09 0.08213 0.01097 0.7896
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.2120 -1.805 4.834 -16.711
-2.9173 -8.275 2.341 -8.869
0.3689 2.484 6.305 -9.451
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.422 -2.913 -0.3176 -3.932
-1.713 -9.878 -9.6865 5.465
1.829 -4.332 -10.3569 6.845
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.993 -8.866 4.362 11.921
-10.982 -8.644 -12.153 1.525
-7.915 -3.608 -4.046 3.402
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-26.98 0.5848 -56.04 -33.30
-14.70 -3.4395 -46.57 -16.90
-21.43 0.7859 -47.74 -28.13
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.099 -11.66 -14.41 -2.957
-1.645 -23.33 -29.84 -2.588
-1.589 -31.42 -20.97 -4.310
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.63 -3.204 -28.22 -11.57
-24.72 -1.796 -17.01 -11.02
-25.84 -1.417 -30.10 -10.54
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.387 -31.34 -22.64 -33.28
-4.995 -28.07 -28.79 -33.30
-6.821 -28.80 -20.95 -35.78
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.02903 -6.264 -6.1415 0.3583
2.86753 -3.318 2.4914 -1.1634
3.58444 -2.919 0.7596 0.2095
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.0179 -0.9511 -17.28 -17.90
-3.5275 0.7865 -16.76 -21.81
-0.7948 0.7954 -12.70 -18.05
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.767 -4.2606 -10.493 -0.9155
6.572 -2.5866 -8.272 5.8851
2.235 -0.4398 -10.617 7.7899
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.5491 0.5081 -7.870 8.6258
3.3764 -0.4745 -16.029 0.5452
-0.9855 -1.9862 -1.157 -0.4110
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1523 -8.790 -2.279 -3.770
2.8393 -4.962 -5.089 -6.034
0.6408 -19.496 -10.121 -5.505
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.501 1.6711 1.4830 -7.376
-1.593 -0.6452 0.1863 -5.271
-4.549 -2.9068 0.3942 -6.155
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.9612 -2.040 0.5895 -9.448
-1.0169 -3.549 0.9884 -2.644
-0.0619 -4.701 -4.5118 -1.625
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.5185 -0.5680 -4.4445 2.9970
-3.2352 -0.6779 -7.0842 0.3079
-0.3997 0.3281 0.1435 0.7336
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.797 -2.9086 -3.964 4.559
-6.892 0.6212 3.581 -1.561
-1.092 1.4109 0.134 5.739
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.503 -3.301 14.64 12.825
10.926 5.836 13.55 2.061
-4.569 2.241 7.73 15.295
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.528 0.6946 4.758 4.381
8.765 0.4132 13.473 -1.343
13.229 0.5549 6.677 1.074
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.086 0.9215 -3.014 0.5344
6.852 0.2222 -3.616 1.3201
10.290 0.3819 -3.110 1.0954
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.9181 -2.1067 0.1958 6.110
-10.9648 2.0665 0.7915 3.763
-0.1649 -0.9296 2.6759 -2.968
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8018 -1.8309 -0.7557 -2.91468
1.3972 -4.2104 -7.9828 -4.90322
-6.0815 -0.6361 1.1931 -0.07046
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.0865 0.0605 -3.446 -1.189
-0.9886 -1.0542 -4.014 -2.288
-1.5423 2.3777 -3.553 -2.101
rnd_95776.volume rnd_95787.volume
-23.517 -34.45
-20.241 -20.54
-8.951 -29.01
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.248 2.271 5.963 5.534 5.307 1.141 1.435 3.574 3.948 3.144 2.163
[2,] 4.018 2.649 7.075 6.698 6.526 1.295 1.695 4.123 4.685 4.771 3.016
[3,] 4.434 3.026 7.676 7.750 7.680 1.416 1.919 4.495 5.266 5.352 3.381
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.370 2.183 2.434 3.416 3.181 3.830 3.845 5.001 4.547 9.04 3.416
[2,] 3.649 2.668 3.379 4.415 3.780 5.094 5.137 6.472 6.042 10.51 4.026
[3,] 4.056 2.940 3.881 5.221 4.243 5.987 6.107 7.572 7.150 11.73 4.501
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.34 6.234 0.4025 5.706 6.062 0.8611 5.497 0.4099 5.607 1.118 0.8522
[2,] 13.61 7.312 0.4761 6.904 7.430 1.0169 6.732 0.4913 6.773 1.457 1.0534
[3,] 14.87 8.071 0.5342 7.825 8.307 1.1216 7.689 0.5394 7.741 1.615 1.2038
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.619 5.718 5.478 3.444 2.491 2.911 1.055 2.826 0.8486 2.947 3.424
[2,] 6.670 7.055 6.692 4.078 3.394 3.476 1.265 3.206 1.0197 3.605 4.030
[3,] 7.175 7.925 7.449 4.580 4.042 3.856 1.466 3.584 1.1563 4.053 4.472
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.454 1.174 2.355 3.704 4.225 2.139 3.069 3.375 1.236 2.791 2.198
[2,] 3.108 1.468 3.118 4.491 4.919 2.736 4.405 3.946 1.573 4.127 3.278
[3,] 3.617 1.613 3.440 4.981 5.435 3.097 5.437 4.367 1.783 5.043 3.913
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.046 1.251 2.778 0.6526 1.877 0.8443 1.955 2.331 2.054 3.762 1.186
[2,] 2.958 2.574 3.134 0.7890 2.717 0.9793 2.322 2.633 3.262 4.972 1.367
[3,] 3.704 3.454 3.492 0.8788 3.594 1.0913 2.705 2.975 3.739 5.722 1.499
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.748 2.220 2.393 1.309 4.117 3.150 4.128 4.017 4.846 4.020 2.579
[2,] 4.006 2.704 3.602 1.553 4.645 4.120 4.728 5.496 5.635 5.805 4.380
[3,] 4.617 2.980 4.727 1.706 5.163 4.533 5.230 6.084 6.239 6.714 5.563
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9542 2.876 2.537 2.668 1.759 1.748 1.219 2.09 2.247 5.615 4.636
[2,] 1.0897 4.398 3.021 4.015 2.110 2.152 1.438 3.26 2.657 6.810 5.400
[3,] 1.2153 5.674 3.380 5.189 2.394 2.472 1.625 3.79 3.037 7.398 5.874
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.969 2.018 2.487 2.476 2.038 1.530 0.5552 1.127 8.26 5.772
[2,] 2.478 2.829 3.037 3.054 2.479 1.777 0.6360 1.378 12.45 6.885
[3,] 3.111 3.243 3.398 3.445 2.920 1.978 0.7112 1.526 15.60 7.605
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.125 2.884 7.572 7.027 6.739 1.449 1.822 4.539
[2,] 2386.138 1374.808 3843.874 3808.373 3834.538 618.380 911.479 2073.935
[3,] 1893.738 1477.236 3004.042 3935.200 4085.388 578.145 907.375 1807.524
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.014 3.992 2.747 3.01 2.772 3.091 4.338
[2,] 2546.260 3622.484 2120.586 2800.01 1548.963 2365.500 2822.452
[3,] 2426.196 2447.835 1543.357 1788.77 1246.921 1927.823 2812.942
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.039 4.864 4.883 6.35 5.774 11.48 4.337 13.14
[2,] 2061.219 3389.168 3437.769 4147.32 4016.384 5417.05 2151.090 8924.10
[3,] 1944.871 3174.786 3333.598 3966.87 3859.461 5245.24 2031.258 6061.83
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 7.916 0.5111 7.246 7.697 1.093 6.98 0.5206 7.12
[2,] 3858.453 256.7302 3922.344 4336.538 545.995 3922.65 273.3961 3834.41
[3,] 3447.673 244.5549 3716.731 3749.074 477.560 3750.37 224.7586 3783.77
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.419 1.082 7.135 7.262 6.956 4.373 3.164 3.697
[2,] 942.724 624.984 3626.854 4169.674 3880.516 2204.287 2326.035 1917.194
[3,] 704.011 588.105 2669.422 3645.455 3301.840 2103.661 2216.367 1684.769
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.339 3.589 1.078 3.742 4.348 3.116 1.491 2.99
[2,] 705.115 1526.565 570.736 2096.130 2145.104 1925.366 889.450 2063.47
[3,] 748.647 1618.434 550.353 1869.427 1956.930 1867.366 673.262 1465.19
[,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.703 5.366 2.716 3.898 4.285 1.569 3.544
[2,] 2563.614 2542.684 1722.389 3189.284 2064.784 983.440 3069.119
[3,] 2175.773 2331.985 1464.189 3216.836 1887.937 846.287 2924.347
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.791 2.598 1.588 3.527 0.8287 2.384 1.072
[2,] 2454.711 2156.712 2270.652 1465.772 447.5076 1982.232 500.816
[3,] 2157.029 2249.664 2325.488 1553.251 390.7140 2374.485 485.957
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.482 2.96 2.608 4.778 1.506 3.49 2.819 3.038
[2,] 1264.095 1235.24 2557.895 3281.429 685.762 2942.29 1558.414 2717.807
[3,] 1401.296 1399.19 1845.579 2857.361 622.541 2317.13 1265.025 3089.671
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.662 5.227 4 5.241 5.101 6.153 5.105 3.274
[2,] 843.794 2172.572 2680 2327.436 3785.866 2903.804 4226.225 3573.160
[3,] 711.309 2275.368 1910 2256.124 2633.800 2701.211 3405.993 3461.855
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.212 3.652 3.221 3.388 2.233 2.219 1.547 2.654
[2,] 531.118 3358.682 1655.451 3028.681 1177.757 1267.868 770.709 2526.080
[3,] 543.096 3619.098 1530.920 3317.544 1140.225 1226.928 763.584 1950.573
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 2.854 7.13 5.887 2.5 2.563 3.158 3.144 2.588
[2,] 1430.557 3889.53 2796.025 1519.2 2001.708 1758.840 1804.177 1423.289
[3,] 1485.162 2916.17 2331.936 1898.2 1600.225 1538.039 1610.536 1558.509
[,94] [,95] [,96] [,97] [,98]
[1,] 1.943 0.705 1.431 10.49 7.329
[2,] 912.783 313.140 801.806 9407.06 3789.183
[3,] 877.181 321.319 659.684 9488.51 3260.368
[1] "--- VAR model 2017-09-30 16:31:00 completed"
[1] "Completed training sample: 2017-09-30 16:31:00 - 2017-10-01 00:30:00"
[1] "SpVAR; training sample: 2017-09-30 17:01:00 - 2017-10-01 01:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.468 -2.3583 -19.88 -11.04
-2.732 0.3487 -21.08 -10.55
-4.638 -1.3174 -18.11 -15.46
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.49 1.6211 2.1481 -7.3012
-19.06 -0.2432 0.9709 -0.6925
-13.20 1.4353 0.8748 2.9709
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.634 -4.284 2.893 -7.907
-8.946 -5.428 2.421 -7.255
5.657 -1.052 -2.310 -7.389
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.721 -4.500 -7.846 8.894
4.891 -8.312 -6.494 1.064
-3.930 -4.686 -2.896 5.791
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.7122 -15.567 -10.266 3.563
-8.2933 -3.128 -6.352 -5.008
-7.3302 -13.834 -7.290 1.958
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.453 -3.3664 -44.85 -17.69
-27.621 -0.9458 -44.65 -16.51
-22.574 -6.6619 -42.14 -16.68
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6667 -18.15 -14.13 -3.354
-1.2065 -23.84 -18.02 -3.298
-1.1225 -17.61 -22.41 -2.887
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.04 -1.865 -17.03 -8.028
-20.44 -1.546 -13.46 -8.384
-15.69 -1.319 -13.28 -9.527
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.728 -11.49 -24.016 -19.32
-4.830 -24.06 -16.624 -20.95
-3.285 -10.60 -9.273 -20.80
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.7676 -0.1579 -1.9080 -0.2735
4.6515 4.3290 -0.4149 1.7801
0.7915 -1.4621 1.1962 1.0473
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.9600 2.25381 -4.849 -14.50
0.6354 0.96575 -8.956 -11.53
3.1011 -0.07697 -9.169 -10.58
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.1261 -0.528 -12.33 0.4112
-3.5621 -1.828 -7.90 5.2957
1.7584 -1.729 -10.46 -1.8749
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.1357 -1.358 -0.5211 3.277
0.2601 -2.464 -0.7029 2.459
5.0257 -3.154 -6.6120 1.582
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.9980 1.96976 -2.3455 -3.6437
-1.4223 -0.02297 0.7681 -1.3676
0.1905 -2.17142 -1.2707 0.8743
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.262 0.5432 -0.0002505 1.003
-1.148 4.0055 0.5249750 -6.641
-1.218 -1.3470 -0.2801782 1.133
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.04940 -0.4684 1.580 -3.5039
-0.69267 -0.9438 2.328 -0.5710
-0.03298 -0.9844 2.159 -0.6811
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.7033 -0.4291 -5.454 -0.5119
-0.5272 -0.1214 -2.650 1.7635
4.2217 1.0903 3.900 0.9053
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.530 0.7810 -4.457 -2.686
-3.721 0.5866 -6.381 -3.820
3.627 -0.4117 -1.956 -3.240
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.032 -6.124 5.509 7.963
1.334 0.798 8.619 3.643
-2.233 -4.532 14.321 -1.132
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.8530 -0.2301 5.3677 -2.703
1.8799 -0.4770 8.3971 2.624
-0.3529 1.4354 -0.1575 -1.694
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.917 3.1190 0.1292 0.55595
5.854 -0.4124 0.4734 -0.02338
2.518 2.5995 0.9955 1.27610
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.07637 -1.863 -4.617 4.345
0.73501 -1.991 10.746 2.320
3.76815 1.261 6.899 3.223
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3866 1.849 8.130 6.2382
2.1672 2.844 -2.187 -2.0994
3.2400 -3.549 -1.586 -0.3117
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.9838 2.361832 -3.376 -1.5795
-1.1385 -0.003379 -2.734 -1.2884
-0.7785 -0.730848 -2.620 -0.7567
rnd_95776.volume rnd_95787.volume
0.4878 -20.34
-16.7973 -16.34
-16.8192 -19.37
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.034 2.091 5.502 5.241 4.927 1.074 1.389 3.304 3.721 2.920 2.059
[2,] 3.859 2.472 6.525 6.271 6.259 1.234 1.606 3.933 4.469 4.426 2.903
[3,] 4.289 2.836 7.263 7.185 7.277 1.343 1.834 4.310 5.054 5.009 3.270
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.346 2.044 2.350 2.885 2.961 3.452 3.657 4.811 4.311 7.065 3.134
[2,] 3.401 2.471 3.151 3.817 3.592 4.782 4.886 6.171 5.855 8.383 3.772
[3,] 3.792 2.786 3.632 4.532 4.090 5.576 5.912 7.422 7.003 9.521 4.140
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 9.823 5.879 0.3913 5.215 5.745 0.7987 5.215 0.4039 5.023 1.092
[2,] 12.791 6.870 0.4529 6.390 6.852 0.9730 6.344 0.4741 6.434 1.384
[3,] 14.155 7.681 0.5097 7.294 7.682 1.0865 7.137 0.5201 7.378 1.562
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.8048 4.943 5.226 5.045 3.221 2.227 2.718 0.9881 2.557 0.7784 2.758
[2,] 0.9805 6.112 6.667 6.235 3.834 3.148 3.205 1.1938 2.958 0.9329 3.413
[3,] 1.0968 6.644 7.514 7.006 4.330 3.788 3.622 1.3705 3.339 1.0939 3.800
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.215 2.316 1.149 2.381 3.568 4.271 2.139 2.999 3.195 1.308 2.628
[2,] 3.829 2.952 1.395 3.152 4.242 4.920 2.748 4.366 3.762 1.598 3.863
[3,] 4.260 3.462 1.540 3.469 4.697 5.367 3.083 5.353 4.151 1.807 4.792
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.101 2.031 1.250 2.664 0.6146 1.834 0.8082 1.826 2.208 1.987 3.545
[2,] 3.117 2.872 2.527 3.014 0.7368 2.613 0.9370 2.165 2.486 3.119 4.703
[3,] 3.763 3.560 3.312 3.378 0.8327 3.429 1.0686 2.560 2.834 3.576 5.310
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.065 2.658 2.052 2.290 1.164 3.803 2.969 4.022 3.771 4.780 3.876
[2,] 1.241 3.808 2.494 3.533 1.435 4.386 3.923 4.644 5.268 5.496 5.824
[3,] 1.380 4.364 2.789 4.567 1.589 4.866 4.386 5.142 5.836 6.206 6.845
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.459 0.9314 2.686 2.449 2.505 1.723 1.611 1.183 1.911 2.140 5.129
[2,] 4.310 1.0653 4.186 2.919 3.840 2.000 2.079 1.392 3.012 2.485 6.309
[3,] 5.659 1.1900 5.529 3.279 5.006 2.267 2.414 1.564 3.617 2.899 6.898
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.490 1.853 1.891 2.349 2.359 1.996 1.494 0.5285 1.094 8.126 5.380
[2,] 5.314 2.345 2.684 2.898 2.958 2.405 1.705 0.6079 1.328 12.380 6.421
[3,] 5.788 2.943 3.090 3.241 3.345 2.837 1.924 0.6842 1.456 14.838 7.133
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.853 2.655 6.986 6.656 6.256 1.364 1.764 4.195
[2,] 2349.156 1299.786 3457.061 3392.908 3803.589 599.307 793.648 2102.692
[3,] 1844.351 1368.883 3142.925 3455.524 3658.414 521.458 872.187 1738.191
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.726 3.708 2.615 2.979 2.595 2.984 3.664
[2,] 2439.205 3278.014 2016.257 2426.968 1368.952 2069.396 2461.822
[3,] 2325.992 2312.216 1483.167 1652.233 1267.896 1780.181 2408.536
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.759 4.383 4.644 6.11 5.474 8.972 3.979 12.47
[2,] 2004.616 3261.050 3193.904 3808.73 3904.920 4446.783 2068.546 8074.38
[3,] 1928.016 2825.516 3279.206 4062.66 3786.446 4446.795 1681.202 5973.20
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 7.466 0.4968 6.623 7.295 1.014 6.622 0.5129
[2,] 3503.099 224.8504 3638.502 3680.366 547.638 3561.066 244.7365
[3,] 3384.611 230.4630 3466.784 3422.148 476.449 3220.651 210.6386
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 6.378 1.387 1.022 6.277 6.636 6.406 4.09 2.828
[2,] 3962.921 838.134 551.914 3542.317 4079.605 3610.449 2050.31 2192.691
[3,] 3557.505 714.050 484.362 2566.214 3415.202 3149.071 1983.10 2075.746
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 3.451 1.255 3.248 0.9885 3.502 4.083 2.94 1.459
[2,] 1673.420 660.138 1465.463 506.7013 1981.166 2049.700 1804.11 779.214
[3,] 1663.755 663.354 1524.657 562.9365 1645.960 1839.733 1782.19 642.503
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.023 4.53 5.423 2.716 3.808 4.057 1.661 3.338
[2,] 2035.381 2261.49 2407.165 1699.174 3126.415 1958.003 905.055 2789.506
[3,] 1426.618 1988.82 2113.641 1379.167 3053.635 1728.147 830.163 2793.960
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 2.668 2.58 1.588 3.383 0.7805 2.328 1.026 2.318
[2,] 2269.165 2001.36 2164.262 1388.237 400.4300 1834.049 467.158 1147.425
[3,] 2077.432 2073.11 2110.458 1504.439 382.3579 2189.176 506.212 1346.426
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 2.804 2.523 4.501 1.352 3.375 2.606 2.908 1.478
[2,] 1124.675 2368.774 3046.316 627.367 2687.102 1397.838 2651.417 827.302
[3,] 1340.051 1723.351 2429.802 595.847 2101.651 1229.837 2852.238 672.538
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 4.829 3.77 5.108 4.789 6.07 4.922 3.123 1.183
[2,] 2152.336 2526.77 2286.511 3624.580 2672.74 4283.338 3488.025 509.619
[3,] 2077.041 1933.62 2177.299 2474.585 2840.39 3544.686 3614.404 522.597
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 3.411 3.11 3.18 2.188 2.045 1.503 2.427 2.717
[2,] 3164.237 1563.69 2868.42 999.912 1295.429 722.801 2294.512 1244.558
[3,] 3559.040 1472.83 3164.63 1052.851 1210.015 702.239 1972.857 1472.242
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 6.513 5.701 2.352 2.401 2.983 2.995 2.534
[2,] 3620.017 2801.347 1416.014 1876.988 1672.178 1759.868 1323.094
[3,] 2749.149 2261.250 1752.864 1508.398 1429.538 1539.542 1482.866
[,94] [,95] [,96] [,97] [,98]
[1,] 1.897 0.6711 1.39 10.32 6.832
[2,] 810.551 295.9080 741.91 9203.93 3454.719
[3,] 878.145 309.4977 587.66 8060.54 3060.696
[1] "--- VAR model 2017-09-30 17:01:00 completed"
[1] "Completed training sample: 2017-09-30 17:01:00 - 2017-10-01 01:00:00"
[1] "SpVAR; training sample: 2017-09-30 17:31:00 - 2017-10-01 01:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.6625 3.197 -13.79 -8.784
-5.0260 -3.933 -10.34 -20.447
1.0697 3.027 -17.48 -8.489
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-15.92 1.1820 1.0312 -2.2232
-11.16 1.2056 -0.7604 0.8319
-13.61 -0.4701 0.3787 1.1826
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.3493 -1.136 0.8731 -5.895
3.4576 -3.889 -0.8535 -5.589
0.6223 3.098 4.9589 -3.170
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.2333 0.8333 2.743 -4.277
1.0081 -4.7748 -4.515 4.544
-0.3596 -3.4097 -3.153 1.075
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.6132 -3.536 2.1438 8.102
0.4387 -7.615 -5.9714 3.409
-4.8378 1.453 -0.6707 3.241
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-19.11 -0.4908 -48.83 -24.23
-11.29 1.5617 -33.24 -16.44
-22.11 0.5483 -22.69 -15.09
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.1276 -22.24 -30.90 -2.109
-0.6572 -14.81 -15.50 -3.520
-0.6951 -14.57 -17.74 -2.163
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.432 -1.759 -6.227 -6.450
-17.386 -1.149 -16.682 -8.074
-13.569 -1.392 -19.498 -7.826
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.342 -10.06 -12.36 -12.29
-3.827 -15.00 -12.08 -13.48
-4.384 -11.66 -16.43 -16.20
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.2117 4.1097 -1.277 0.07814
-0.9275 -0.5679 3.384 -0.53425
2.0132 -2.1967 -1.760 0.11316
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.64977 0.8037 -11.51 -11.094
0.08499 0.7169 -10.81 -8.786
1.21131 0.6256 -12.10 -14.533
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4558 -1.9149 -10.159 4.671
3.2263 -1.4574 -7.588 4.731
2.1514 -0.3116 -4.050 -2.416
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.966 1.035 -5.701 2.817
5.716 2.534 -6.766 2.084
5.100 -1.575 -1.865 1.077
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9687 -2.475 -4.875 -2.779
-3.5709 -2.312 -3.196 -3.561
0.4946 -2.383 -3.082 -5.057
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.054 0.7122 1.60229 -1.603
-3.081 -2.0127 -0.01837 -6.702
-3.845 -1.1276 -0.26732 -3.145
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5632 -0.6643 -3.395 -3.818
-0.2203 -0.5232 2.554 -2.136
-0.2439 -1.9822 -1.291 -2.796
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.107 -0.8607 -1.2300 -0.9807
-3.565 -0.4994 -3.0525 -0.4175
-1.433 0.4131 0.6019 3.2391
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.4285 0.3691 -6.2043 2.1499
-4.8203 0.2659 -0.4298 -4.9030
1.2879 -1.0946 2.4325 0.6965
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.935 -1.297 5.471 3.719
-1.017 -3.198 10.946 11.673
4.422 3.333 9.973 3.193
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.8158 -0.3131 -0.7480 -1.4020
0.8045 -1.4767 0.6765 2.7972
4.4095 1.1345 7.0782 -0.5694
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.5819 -0.2695 1.1266 -0.1799
2.6475 1.7955 0.3045 1.4336
-0.6505 0.5585 -0.2370 -0.5706
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.9107 3.476 1.611 -0.6818
-0.2948 -4.035 5.381 3.8193
1.7262 3.488 -1.620 -0.9231
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4493 2.8963 4.0178 4.3188
2.8900 -0.1644 1.4880 -0.7043
0.4524 1.7720 -0.3804 1.4088
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.698 -1.2465 -2.233 -2.3135
-2.396 0.8431 -3.320 -0.0490
-2.304 -1.0567 -2.679 -0.1117
rnd_95776.volume rnd_95787.volume
-12.906 -17.48
-5.016 -15.49
7.736 -16.69
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.809 1.951 5.131 4.562 4.530 1.036 1.308 3.125 3.640 3.045 1.965
[2,] 3.597 2.370 6.073 5.668 5.607 1.214 1.503 3.704 4.486 4.348 2.830
[3,] 3.935 2.708 6.721 6.531 6.604 1.327 1.704 4.073 5.016 4.911 3.228
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.241 1.95 2.179 2.681 2.879 3.319 3.532 4.581 4.204 6.710 2.799
[2,] 3.229 2.38 3.048 3.690 3.470 4.599 4.710 5.938 5.767 7.914 3.315
[3,] 3.636 2.69 3.500 4.371 4.009 5.375 5.670 7.110 6.796 8.922 3.646
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 8.831 5.260 0.3662 4.743 5.336 0.7689 4.600 0.3818 4.606 1.039
[2,] 11.906 6.279 0.4252 5.801 6.387 0.9107 5.766 0.4595 6.031 1.310
[3,] 13.266 7.009 0.4826 6.764 7.162 1.0192 6.544 0.5089 6.878 1.467
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.7013 4.576 4.798 4.654 3.006 2.187 2.495 0.9235 2.368 0.7147 2.482
[2,] 0.8476 5.562 6.094 5.853 3.601 2.977 2.984 1.1025 2.757 0.8801 3.060
[3,] 0.9701 6.251 6.871 6.564 4.081 3.529 3.378 1.2670 3.076 1.0245 3.447
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.945 2.233 1.072 2.209 3.314 4.138 2.054 2.844 3.063 1.216 2.419
[2,] 3.478 2.885 1.346 2.896 3.953 4.770 2.696 4.157 3.612 1.529 3.611
[3,] 3.946 3.366 1.472 3.271 4.463 5.280 2.996 5.135 3.992 1.743 4.413
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.046 1.912 1.261 2.582 0.5944 1.701 0.7264 1.688 2.124 1.958 3.436
[2,] 2.973 2.807 2.446 2.929 0.6955 2.447 0.8850 2.052 2.375 3.084 4.589
[3,] 3.608 3.455 3.178 3.242 0.8010 3.170 0.9928 2.437 2.750 3.526 5.148
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.015 2.446 2.007 2.239 1.120 3.511 2.681 3.621 3.456 4.494 3.725
[2,] 1.175 3.620 2.368 3.486 1.366 4.031 3.600 4.350 4.883 5.360 5.398
[3,] 1.324 4.161 2.623 4.505 1.496 4.481 4.003 4.849 5.408 6.112 6.429
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.323 0.8771 2.521 2.356 2.310 1.631 1.523 1.039 1.817 1.993 4.643
[2,] 3.899 0.9955 3.903 2.749 3.670 1.916 1.944 1.280 2.816 2.399 5.716
[3,] 5.480 1.1281 5.075 3.087 4.736 2.193 2.292 1.454 3.359 2.745 6.337
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.452 1.639 1.641 2.133 2.283 1.949 1.386 0.5141 1.021 7.765 4.874
[2,] 5.184 2.083 2.471 2.642 2.761 2.328 1.597 0.5893 1.290 11.489 5.732
[3,] 5.671 2.729 2.849 2.962 3.097 2.711 1.781 0.6701 1.421 13.903 6.322
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.567 2.477 6.516 5.793 5.752 1.316 1.661 3.968
[2,] 2084.173 1248.936 3014.356 3120.951 3066.971 587.288 686.638 1845.234
[3,] 1480.791 1216.723 2672.410 3011.315 3238.042 496.870 745.551 1571.775
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.622 3.867 2.496 2.846 2.477 2.767 3.404
[2,] 2434.081 2880.370 1889.529 2157.532 1265.276 1978.254 2352.524
[3,] 2082.258 2117.441 1440.626 1551.172 1164.005 1594.639 2173.795
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.655 4.215 4.485 5.817 5.339 8.52 3.554 11.21
[2,] 1798.456 2953.648 2891.421 3506.483 3662.238 3894.98 1648.752 7410.14
[3,] 1861.951 2581.849 2928.626 3628.629 3337.722 3821.29 1407.148 5429.54
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 6.679 0.465 6.022 6.776 0.9764 5.842 0.4849
[2,] 3182.075 200.563 3099.408 3256.315 452.9266 3225.400 237.1502
[3,] 2891.699 211.858 3227.499 3006.928 424.4643 2872.409 203.1030
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 5.848 1.319 0.8906 5.811 6.092 5.909 3.817
[2,] 3613.348 740.557 441.5985 2932.475 3487.456 3294.643 1839.105
[3,] 3067.842 613.620 437.9419 2647.201 2944.514 2756.593 1782.960
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 2.777 3.168 1.173 3.007 0.9076 3.152 3.74 2.836
[2,] 1874.551 1518.553 558.740 1309.204 476.6020 1660.814 1717.02 1694.350
[3,] 1758.141 1469.992 579.426 1265.807 486.5137 1471.431 1728.96 1609.172
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.361 2.805 4.209 5.254 2.608 3.612 3.89 1.544
[2,] 754.624 1738.070 1999.620 2202.051 1621.292 2813.428 1775.89 860.838
[3,] 553.544 1411.060 1922.020 2101.583 1212.645 2797.008 1578.92 776.795
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.071 2.598 2.428 1.601 3.279 0.7548 2.16
[2,] 2487.942 2001.623 1907.060 1945.446 1284.000 335.0093 1631.88
[3,] 2353.401 1897.078 1868.852 1882.094 1288.156 368.8514 1870.28
[,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 0.9224 2.143 2.697 2.486 4.363 1.289 3.107
[2,] 469.0754 1082.349 985.919 2210.413 2822.746 549.319 2475.545
[3,] 417.6566 1220.264 1286.261 1587.213 2164.973 565.640 1905.133
[,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.548 2.843 1.422 4.459 3.404 4.598 4.388
[2,] 1166.334 2479.812 726.761 1837.503 2228.910 2236.991 3201.204
[3,] 1047.190 2647.386 565.121 1817.077 1624.806 1988.618 2157.200
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.707 4.73 2.95 1.114 3.201 2.992 2.933 2.071
[2,] 2711.682 3625.15 2906.10 436.955 2765.323 1313.779 2645.913 932.510
[3,] 2724.481 3240.45 3573.32 492.308 3009.531 1303.153 2777.791 989.645
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.934 1.319 2.308 2.531 5.896 5.653 2.081
[2,] 1120.287 694.128 1996.516 1238.638 3094.288 2465.117 1193.389
[3,] 1127.031 640.189 1698.147 1237.891 2537.637 2132.318 1635.663
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.084 2.708 2.9 2.475 1.76 0.6529 1.296 9.86
[2,] 1714.440 1447.727 1439.7 1180.257 735.84 267.2327 731.065 7858.38
[3,] 1315.694 1240.978 1303.1 1290.236 731.13 296.0511 553.654 7263.97
[,98]
[1,] 6.189
[2,] 2799.659
[3,] 2474.211
[1] "--- VAR model 2017-09-30 17:31:00 completed"
[1] "Completed training sample: 2017-09-30 17:31:00 - 2017-10-01 01:30:00"
[1] "SpVAR; training sample: 2017-09-30 18:01:00 - 2017-10-01 02:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.9961 -2.225 -9.886 -14.233
0.1280 1.537 -20.993 -9.536
-0.2742 -1.497 -14.865 -7.579
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.00 0.9406 0.6302 -0.9898
-20.68 -0.4463 -0.2527 2.2276
-11.37 0.5744 1.2884 -2.3573
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.226 4.344 2.3622 -4.833
-3.197 -1.569 4.5661 1.476
1.608 -1.341 0.4536 -5.902
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9795 -0.9593 -4.650 -2.1430
2.7553 -3.7095 1.173 1.8832
-1.2062 -2.9134 -2.691 -0.2271
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.4296 -11.017 -5.766 2.349
-2.5948 -3.092 -8.419 -5.517
-1.2041 -2.547 -7.298 1.809
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.586 -3.6337 -20.92 -7.73
-13.340 0.9424 -28.58 -17.15
-8.454 0.9648 -31.17 -10.03
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8412 -7.498 -3.024 -1.587
-0.8151 -14.236 -8.774 -2.005
-0.4766 -13.382 -17.485 -2.655
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.555 -1.6275 -8.998 -4.445
-8.676 -0.7825 -9.334 -4.512
-4.794 -1.1821 -5.963 -5.112
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.1663 -10.836 -8.742 -18.83
-0.4841 -12.405 -17.260 -14.61
-2.8140 -7.316 -11.187 -15.46
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.133 -6.979 1.999 -0.05791
-3.022 -4.755 1.694 -1.04442
1.148 -3.397 1.809 -0.90594
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.971 0.6161 -5.916 -3.994
1.962 -0.8567 -6.699 -9.240
-1.562 1.3731 -2.818 -2.994
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.8200 -1.111 -3.9329 1.017
-1.1895 0.789 -0.8021 -1.590
0.3833 -1.635 -6.6382 2.046
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.055 -4.2248 1.385 -1.2924
1.722 0.5344 -1.893 1.6921
3.039 0.5257 -5.130 0.1132
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.5727 -7.98959 -3.595 -4.384
-0.8163 3.20507 3.279 -1.835
0.9603 0.04074 -1.899 2.218
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.549 3.7070 0.1508 -3.022
-3.979 0.8098 1.2864 -2.673
3.150 2.2649 0.3767 -5.153
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.62367 -2.398 -1.6900 -4.292
0.07275 -2.069 1.8618 -4.716
0.08441 -1.974 0.7729 2.043
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.351 -0.07912 -1.76020 0.40782
-3.804 -1.21450 -5.67288 2.30274
4.065 0.17274 0.04026 -0.08369
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.5206 0.7606 2.59111 -0.2768
-0.5036 -0.4080 -0.08898 1.6263
-0.9437 0.2872 -0.15679 -2.0632
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.0340 -1.2248 10.2932 7.463
-1.1029 0.9516 0.5828 3.936
-0.3335 -1.7814 1.0238 1.645
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.80037 0.005244 0.6653 -1.402
9.47065 0.697893 6.7896 -4.941
-0.09931 0.023125 4.2901 -1.161
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.5307 2.10420 -1.730 0.65532
-0.6053 -0.05501 -1.260 -0.06247
10.3225 -0.43962 1.155 -0.15317
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.634 -4.470 -1.374 -11.9233
-7.162 2.564 4.088 -0.4712
-4.033 -1.464 2.995 -1.6297
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2236 0.8091 -0.6342 -2.4067
1.4855 0.7789 -0.5778 0.1779
0.1541 -0.2543 2.4705 2.0270
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.263 0.20777 -2.200 -1.080
-3.086 1.14573 -1.964 -1.199
-1.780 0.03551 -1.266 -1.170
rnd_95776.volume rnd_95787.volume
8.699 -9.476
-2.226 -18.497
-18.680 -5.864
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.557 1.834 4.780 4.230 4.177 1.016 1.203 2.770 3.300 2.798 1.902
[2,] 3.334 2.221 5.623 5.211 5.220 1.183 1.400 3.327 4.129 4.041 2.691
[3,] 3.709 2.510 6.243 6.083 6.183 1.295 1.607 3.668 4.608 4.572 3.080
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.111 1.779 1.982 2.504 2.845 3.193 3.380 4.361 4.087 6.301 2.478
[2,] 3.065 2.255 2.895 3.463 3.411 4.397 4.673 5.797 5.626 7.648 2.903
[3,] 3.450 2.574 3.338 4.145 3.934 5.134 5.587 6.985 6.637 8.530 3.210
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 8.007 4.799 0.3368 4.267 4.906 0.7279 4.245 0.3526 4.115 0.9005
[2,] 10.749 5.684 0.4074 5.262 5.878 0.8499 5.429 0.4256 5.658 1.1212
[3,] 12.197 6.505 0.4556 6.189 6.688 0.9280 6.228 0.4716 6.419 1.2615
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.6521 4.304 4.379 3.982 2.839 1.989 2.273 0.8167 2.297 0.6622 2.262
[2,] 0.7689 5.158 5.505 5.003 3.386 2.863 2.761 1.0239 2.678 0.8005 2.880
[3,] 0.8881 5.837 6.311 5.759 3.872 3.385 3.090 1.1902 2.956 0.9259 3.249
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.807 2.209 1.080 2.199 3.029 3.974 1.964 2.628 2.964 1.145 2.367
[2,] 3.286 2.818 1.317 2.875 3.727 4.513 2.527 3.856 3.456 1.407 3.502
[3,] 3.660 3.268 1.438 3.258 4.197 5.052 2.868 4.808 3.824 1.661 4.328
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.949 1.836 1.145 2.480 0.5720 1.692 0.6937 1.562 1.985 1.869 2.848
[2,] 2.829 2.765 2.288 2.835 0.6756 2.411 0.8353 1.924 2.261 2.951 4.056
[3,] 3.473 3.408 2.959 3.095 0.7637 3.060 0.9285 2.314 2.542 3.399 4.535
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.9564 2.315 1.867 2.180 1.109 3.120 2.398 3.419 3.238 4.358 3.642
[2,] 1.0970 3.274 2.246 3.390 1.306 3.594 3.353 4.031 4.533 5.272 5.110
[3,] 1.2246 3.867 2.495 4.353 1.414 3.981 3.761 4.566 5.082 5.907 6.083
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.126 0.8421 2.459 2.266 2.298 1.577 1.496 0.9074 1.673 1.850 4.282
[2,] 3.683 0.9733 3.701 2.607 3.484 1.822 1.887 1.1336 2.660 2.272 5.323
[3,] 5.215 1.1017 4.807 2.948 4.568 2.091 2.184 1.3085 3.173 2.547 5.877
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.370 1.307 1.381 1.973 2.134 1.826 1.237 0.4666 0.9803 7.335 4.609
[2,] 5.149 1.792 2.256 2.444 2.501 2.249 1.460 0.5643 1.2413 10.800 5.355
[3,] 5.609 2.412 2.617 2.730 2.742 2.625 1.647 0.6406 1.3792 13.258 5.970
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.247 2.328 6.07 5.371 5.304 1.29 1.528 3.518
[2,] 1937.543 1136.222 2682.36 2757.502 2836.540 549.50 648.997 1668.606
[3,] 1473.164 1057.895 2459.05 2841.829 3001.797 477.41 714.629 1399.579
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.191 3.553 2.415 2.68 2.259 2.516 3.179
[2,] 2247.989 2641.420 1725.167 2013.56 1255.186 1912.342 2167.757
[3,] 1854.451 1938.092 1356.866 1435.41 1124.273 1505.271 2064.212
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.613 4.055 4.292 5.538 5.19 8.001 3.147 10.17
[2,] 1704.705 2738.638 2922.848 3460.123 3502.50 3926.702 1369.616 6496.98
[3,] 1776.019 2401.283 2774.851 3529.244 3189.21 3422.943 1241.110 5222.72
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 6.094 0.4277 5.418 6.229 0.9243 5.39 0.4478
[2,] 2759.357 207.7245 2789.480 2933.354 397.4551 3066.29 215.9580
[3,] 2864.800 184.6732 2951.689 2890.707 337.7144 2764.18 183.9555
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 5.226 1.144 0.8281 5.465 5.56 5.057 3.605 2.525
[2,] 3517.984 605.197 368.9901 2575.231 3023.03 2742.699 1672.613 1866.285
[3,] 2746.375 523.815 402.6393 2475.038 2796.12 2585.718 1701.114 1636.298
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 2.886 1.037 2.917 0.8409 2.873 3.564 2.805 1.371
[2,] 1419.936 559.417 1246.922 407.4597 1615.200 1548.448 1584.610 683.335
[3,] 1257.745 549.744 1134.444 421.5244 1360.889 1459.630 1498.966 522.142
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 2.792 3.847 5.046 2.494 3.337 3.764 1.454
[2,] 1677.805 1967.002 1937.469 1440.997 2556.086 1610.701 740.456
[3,] 1389.919 1747.616 2056.965 1228.099 2602.083 1481.387 799.510
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.005 2.475 2.331 1.454 3.149 0.7263 2.148
[2,] 2338.277 1858.078 1872.950 1794.784 1244.969 325.7726 1556.605
[3,] 2304.894 1824.134 1805.712 1699.407 1123.503 322.5830 1707.390
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.8808 1.983 2.52 2.374 3.617 1.215 2.94 2.371
[2,] 421.6731 1017.084 982.04 2068.059 2615.338 486.801 2097.25 1130.751
[3,] 367.1424 1164.888 1052.57 1528.122 1839.407 492.969 1863.75 984.945
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 2.768 1.408 3.962 3.045 4.342 4.112 5.534
[2,] 2351.415 625.456 1616.228 2123.393 1933.765 2873.834 2687.078
[3,] 2474.535 490.439 1550.767 1542.347 1943.972 2081.959 2414.663
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.624 2.699 1.069 3.122 2.877 2.919 2.003 1.9
[2,] 3247.623 2725.077 442.180 2505.298 1167.240 2371.828 825.784 1042.0
[3,] 2990.381 3344.685 467.644 2779.817 1246.787 2676.713 930.100 995.3
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.152 2.125 2.349 5.438 5.55 1.659 1.754 2.505
[2,] 615.531 1872.887 1195.285 2864.056 2466.19 1110.490 1615.700 1306.870
[3,] 592.034 1567.666 1041.984 2257.904 2016.32 1462.460 1202.237 1101.194
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.71 2.318 1.571 0.5925 1.245 9.314 5.852
[2,] 1181.88 1189.619 701.828 287.4502 689.870 7182.184 2469.684
[3,] 1017.53 1226.162 691.142 274.6904 544.572 6966.616 2390.817
[1] "--- VAR model 2017-09-30 18:01:00 completed"
[1] "Completed training sample: 2017-09-30 18:01:00 - 2017-10-01 02:00:00"
[1] "SpVAR; training sample: 2017-09-30 18:31:00 - 2017-10-01 02:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.66560 -0.6575 -12.198 -23.12
-5.22109 -3.4404 -10.587 -11.62
0.04858 -0.9282 -8.373 -11.04
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.14 -0.6164 -1.10991 4.755
-11.90 0.5587 0.09585 -3.768
-12.82 0.4947 1.45015 -0.885
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.0427 1.229 4.0662 -8.385
-0.7878 4.483 7.5252 -2.742
-1.7455 -1.432 0.4146 -2.624
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.6665 -5.2330 -5.053 0.669
3.6180 -0.8439 -3.380 -3.130
-0.2503 -3.8226 -3.077 -3.277
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.429 -4.326 -1.742 4.657
-11.530 -2.492 1.653 9.301
-4.957 -5.067 -4.409 2.356
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.244 -1.1851 -30.07 -15.214
-11.842 -0.7370 -36.20 -9.400
-3.168 -0.7864 -20.29 -9.994
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8208 -10.25 -13.285 -0.5856
-0.4060 -13.88 -9.174 -2.1450
-0.1817 -13.82 -9.391 -2.6117
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.165 -0.5017 -14.47 -5.983
-8.608 -0.9217 -13.57 -6.463
-13.974 -1.2144 -15.03 -5.340
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.637 -13.318 -8.392 -15.763
-3.074 -9.940 -12.982 -4.791
-3.272 -6.374 -12.733 -12.871
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.765 1.5429 5.1016 -0.39616
-1.399 0.8031 3.2031 -0.01055
-3.147 2.2018 -0.5425 -0.18493
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.074 1.2928 -4.841 -7.660
1.227 -0.4182 -6.215 -8.179
-1.140 0.6716 -5.766 -8.007
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.583 -1.6962 -8.426 2.735
-1.568 -0.6139 -7.491 5.574
2.827 -0.3142 -3.532 3.475
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.721 -3.248 1.327 0.6439
-5.472 -4.826 -4.377 4.7208
4.455 1.013 -1.540 2.8712
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.8842 -0.9656 0.02359 0.03723
0.2261 1.7860 -0.60959 1.09313
-0.1158 -2.0081 -1.47612 -2.20252
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.9337 2.48343 -0.01472 0.9338
-0.3654 0.09128 1.05823 0.4445
-0.3805 -2.64153 0.49691 0.2393
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.4392 1.3876 1.13960 -1.897
0.7002 -1.7638 -0.09937 1.372
-0.7039 -0.6795 -0.75913 -2.919
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.8038 0.08912 1.795 0.03329
0.3582 -0.82603 -4.249 -0.13840
-4.5936 -0.05726 -4.407 -0.50124
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.08422 0.6586 -0.003217 2.4867
-2.14783 0.4822 -3.378710 -5.2199
-4.02159 -0.8810 0.724268 -0.5291
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4091 -1.787 0.08125 -0.8501
-7.0543 -5.761 11.00276 -2.9332
-2.7934 -5.202 3.29126 -6.5679
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.560 1.6613 0.3142 2.346
-3.028 0.6426 2.3497 -3.051
2.786 1.1352 -1.1385 -1.904
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.181 -1.839 -2.7662 1.631
2.674 2.731 -0.1232 2.149
-4.894 -1.258 1.9837 1.424
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.8458 -1.635 -10.48 -0.6960
0.2744 -1.709 -10.03 0.2563
1.3889 -1.265 5.82 -6.0151
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.112 -3.165 -5.9790 -6.2800
-2.813 -3.327 1.5713 1.9258
-2.465 3.215 0.8392 -0.1658
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.445 1.2132 -3.040 -1.87128
3.362 0.5085 -2.464 0.09059
1.494 -1.4779 -2.286 -0.84982
rnd_95776.volume rnd_95787.volume
-5.334 -17.64
-16.567 -10.17
1.888 -13.68
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.347 1.660 4.482 3.771 3.808 0.9772 1.145 2.556 3.045 2.564 1.833
[2,] 3.081 2.055 5.135 4.685 4.857 1.1607 1.362 3.173 3.880 3.823 2.564
[3,] 3.482 2.344 5.826 5.514 5.793 1.2959 1.549 3.504 4.303 4.401 3.023
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.000 1.685 1.925 2.008 2.719 3.088 3.284 4.166 3.854 5.985 2.279
[2,] 2.903 2.163 2.707 2.779 3.265 4.147 4.441 5.515 5.341 7.081 2.731
[3,] 3.204 2.508 3.123 3.351 3.754 4.889 5.325 6.575 6.330 7.933 3.037
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 7.219 4.541 0.3228 3.794 4.557 0.6576 3.763 0.3068 3.735 0.9025
[2,] 9.916 5.280 0.3846 4.714 5.323 0.7808 4.914 0.3644 5.152 1.1018
[3,] 11.168 6.048 0.4301 5.576 6.205 0.8585 5.592 0.4076 5.863 1.2331
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.5421 3.805 3.641 3.485 2.710 1.830 2.034 0.8158 2.183 0.6492 2.051
[2,] 0.6586 4.596 4.892 4.351 3.262 2.747 2.470 0.9711 2.504 0.7646 2.569
[3,] 0.7526 5.215 5.764 5.122 3.708 3.183 2.787 1.1086 2.729 0.8781 2.886
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.524 2.163 0.9774 2.028 2.699 3.734 1.843 2.442 2.937 1.191 2.284
[2,] 3.007 2.814 1.2174 2.809 3.386 4.315 2.420 3.733 3.327 1.410 3.363
[3,] 3.394 3.243 1.3785 3.134 3.808 4.902 2.749 4.590 3.752 1.631 4.133
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.920 1.714 1.074 2.308 0.5418 1.620 0.6808 1.555 1.755 1.725 2.685
[2,] 2.742 2.566 2.260 2.663 0.6505 2.250 0.8114 1.859 2.033 2.666 3.826
[3,] 3.319 3.204 2.935 2.911 0.7327 2.977 0.9062 2.184 2.314 3.112 4.223
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.8946 2.101 1.670 2.037 1.023 2.690 2.145 3.227 3.041 4.090 3.300
[2,] 1.0445 3.056 1.984 3.194 1.242 3.183 3.020 3.843 4.193 4.829 4.489
[3,] 1.1642 3.544 2.220 3.925 1.369 3.584 3.478 4.316 4.767 5.408 5.552
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.956 0.7705 2.304 2.167 2.134 1.444 1.519 0.8187 1.554 1.711 4.193
[2,] 3.515 0.8999 3.425 2.469 3.193 1.681 1.880 1.0199 2.422 2.118 5.015
[3,] 4.817 1.0362 4.406 2.790 4.247 1.919 2.161 1.1790 2.962 2.410 5.561
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.346 1.167 1.203 1.745 1.991 1.654 1.124 0.4636 0.9482 7.163 4.281
[2,] 5.019 1.707 2.121 2.332 2.406 2.074 1.350 0.5561 1.1801 10.476 4.937
[3,] 5.530 2.276 2.476 2.557 2.604 2.447 1.475 0.6279 1.3317 13.139 5.546
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.98 2.108 5.692 4.789 4.835 1.241 1.454 3.245
[2,] 1823.05 1106.250 2287.129 2538.440 2753.210 571.995 673.978 1716.923
[3,] 1481.72 1030.735 2514.018 2655.410 2884.141 526.360 673.605 1358.472
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.867 3.256 2.328 2.539 2.14 2.444 2.55 3.453
[2,] 2195.665 2589.735 1636.983 1921.524 1238.14 1737.850 1754.32 1650.150
[3,] 1699.971 1990.806 1462.682 1239.372 1158.78 1422.286 1710.41 1692.128
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.921 4.17 5.291 4.894 7.6 2.894 9.167 5.766
[2,] 2527.398 2730.91 3300.056 3377.034 3455.4 1375.229 6207.474 2460.761
[3,] 2365.395 2683.52 3268.210 3102.945 3267.0 1212.013 4692.979 2692.795
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4099 4.817 5.787 0.835 4.778 0.3896 4.742 1.146
[2,] 190.9653 2555.259 2512.476 384.421 2887.128 179.6665 3240.642 577.170
[3,] 175.8211 2719.950 2912.512 325.837 2436.746 166.6237 2556.123 505.713
[,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.6883 4.831 4.623 4.426 3.441 2.324 2.583
[2,] 341.5706 2354.292 2983.208 2379.328 1657.758 1870.542 1279.307
[3,] 332.6091 2250.871 2784.921 2467.083 1611.795 1469.266 1178.292
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.036 2.773 0.8243 2.605 3.205 2.747 1.241 2.575
[2,] 481.047 1119.402 368.9210 1412.409 1491.788 1644.368 662.765 1774.986
[3,] 488.265 990.555 394.3074 1201.858 1437.787 1471.423 590.465 1269.218
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.428 4.742 2.34 3.101 3.729 1.513 2.9 2.439
[2,] 1866.918 1974.260 1432.82 2578.714 1427.525 687.941 2254.2 1786.674
[3,] 1590.969 2123.997 1189.88 2438.075 1584.749 748.600 2193.6 1708.403
[,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 2.176 1.363 2.931 0.688 2.058 0.8645 1.974
[2,] 1744.273 1816.164 1212.223 328.721 1425.876 403.0947 930.507
[3,] 1752.458 1709.890 1073.039 308.019 1780.188 368.6619 1047.209
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 2.228 2.19 3.41 1.136 2.668 2.121 2.587 1.299
[2,] 937.434 1856.19 2488.74 492.428 2026.940 978.495 2245.998 643.998
[3,] 1008.681 1465.63 1632.03 469.434 1639.111 909.609 2083.284 525.003
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.416 2.724 4.098 3.862 5.194 4.191 2.484
[2,] 1553.524 1940.494 1904.707 2635.838 2344.910 2779.081 2666.465
[3,] 1504.513 1576.225 1794.822 2071.582 2223.653 2983.111 3007.911
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.9784 2.926 2.751 2.709 1.834 1.929 1.04 1.973
[2,] 424.5908 2314.295 1081.982 2169.451 786.621 1011.816 555.46 1696.151
[3,] 469.0514 2530.411 1185.828 2557.825 843.724 973.351 540.08 1556.721
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 2.173 5.325 5.518 1.481 1.527 2.216 2.529 2.1
[2,] 1138.973 2511.902 2293.571 1138.169 1595.040 1412.461 1232.858 1142.6
[3,] 1049.954 2194.273 2120.444 1375.224 1167.266 959.200 908.718 1186.1
[,94] [,95] [,96] [,97] [,98]
[1,] 1.428 0.5887 1.204 9.096 5.437
[2,] 683.123 280.4670 641.551 6981.004 2245.728
[3,] 540.879 266.2927 563.528 7242.052 2307.122
[1] "--- VAR model 2017-09-30 18:31:00 completed"
[1] "Completed training sample: 2017-09-30 18:31:00 - 2017-10-01 02:30:00"
[1] "SpVAR; training sample: 2017-09-30 19:01:00 - 2017-10-01 03:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.3675 2.4051 -14.45 -9.490
-6.0137 0.2649 -11.86 -9.684
-1.5308 2.9032 -11.94 -5.245
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.084 -0.61962 1.1969 2.404
-6.988 1.50286 0.3494 -2.452
-17.815 0.06461 0.5919 0.917
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.47318 1.931 8.6580 -6.574
0.06691 3.477 2.0046 -4.852
-2.29181 -2.692 -0.5025 -1.117
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.732 -6.028 -4.439 3.8544
3.125 -2.722 -1.952 2.9850
2.377 3.326 3.641 0.5594
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.8791 1.653 -0.4442 2.028
3.1073 -4.443 -5.2244 5.495
0.6344 2.271 -3.8735 -5.294
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.519 -0.03869 -19.15 -9.042
-6.948 1.81719 -23.23 -5.624
-14.857 -4.53244 -15.78 -18.654
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.499989 -12.999 -7.802 -1.146
-0.473433 -8.514 -13.714 -1.822
0.001838 -15.258 -15.638 -1.234
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.874 -0.1326 -15.578 -5.088
-11.988 -0.9539 2.792 -4.734
-5.623 -0.6521 -13.983 -4.809
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.467 -13.650 -7.587 -5.300
-1.379 -1.657 -11.957 -14.587
-2.507 -10.463 -13.760 -1.818
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.235 3.2549 0.1938 0.08108
-1.114 0.3504 1.3987 0.23412
2.753 -1.4434 0.7742 0.70606
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4121 -0.01637 -4.7741 -1.714
1.3698 0.22269 -4.6483 -8.436
1.3737 0.20684 -0.4882 -9.923
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5458 -0.05072 -1.7316 -4.068
-1.3449 -2.84950 -1.3630 2.135
-1.2323 -2.23765 -0.8093 2.846
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-6.548 -3.1138 7.779 0.1272
9.033 -0.6915 -6.111 2.0940
-1.805 2.0630 3.464 2.4404
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8269 -2.182 -5.0753 -0.1538
1.2137 4.732 0.9404 -2.5301
-3.1730 -3.585 -3.4850 0.2136
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.0366 1.376 0.08457 -1.721
-1.9294 1.960 1.27713 -4.113
-0.3768 1.972 0.61820 -2.904
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.9055 -2.4037 -0.3201 1.618
0.3231 -1.9714 -1.3918 -3.730
1.0408 0.3653 -1.9591 -5.419
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.07713 1.4553 0.6091 0.2911
-1.06176 0.4661 -2.9849 -1.0541
-7.53037 0.4757 -3.3279 0.7587
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2283 0.7222 -7.5613 -2.845
-1.0407 1.4348 -0.5235 -4.925
-3.0727 -1.7466 -0.0752 -2.803
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.463 -0.2186 -1.468 -2.2349
4.131 -5.8631 3.607 3.6222
-2.026 -1.8458 2.222 -0.6087
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.2290 0.7967 4.862 -0.7106
-1.3085 -1.8512 -0.649 0.7274
-0.4335 0.8181 2.887 2.8464
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.103 0.3568 2.809 -2.0023
-1.773 2.9603 2.691 0.4113
2.678 0.5478 0.280 0.7651
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.6309 1.899 -4.544 -8.308
0.4228 1.930 -1.349 -6.622
-0.6741 2.218 -2.537 -1.035
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5925 -0.4633 -2.1537 -4.754
-1.1355 -2.4400 0.4685 1.410
-1.8869 1.1160 0.9222 1.197
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.0954 0.1886 -1.967 -0.9804
-0.6604 0.2976 -2.096 -0.5399
-0.7094 0.5399 -1.617 0.3596
rnd_95776.volume rnd_95787.volume
9.940 -7.032
-5.439 -7.882
1.802 -18.391
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.135 1.569 3.889 3.314 3.569 0.9359 1.075 2.545 2.806 2.549 1.743
[2,] 2.951 1.954 4.555 4.131 4.447 1.1117 1.257 3.092 3.815 3.837 2.422
[3,] 3.304 2.196 5.246 5.010 5.098 1.2554 1.444 3.366 4.162 4.350 2.942
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.902 1.724 1.818 1.906 2.374 2.866 2.962 3.939 3.710 5.065 2.148
[2,] 2.703 2.179 2.641 2.715 2.906 3.786 4.191 5.274 5.086 5.997 2.491
[3,] 3.050 2.489 3.015 3.206 3.289 4.530 4.986 6.355 6.253 6.722 2.779
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 6.315 4.218 0.3170 3.237 3.950 0.6185 3.214 0.2756 3.168 0.9014
[2,] 9.076 4.904 0.3678 4.061 4.711 0.7275 4.403 0.3268 4.610 1.0815
[3,] 10.229 5.546 0.4106 4.994 5.640 0.8042 5.082 0.3646 5.275 1.2117
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4930 3.377 3.467 3.206 2.398 1.695 1.788 0.7363 1.995 0.5836 1.850
[2,] 0.5884 4.188 4.463 3.938 2.864 2.423 2.160 0.8659 2.305 0.6916 2.241
[3,] 0.6800 4.713 5.204 4.645 3.230 2.884 2.453 0.9755 2.549 0.7776 2.506
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.117 2.012 0.9429 1.924 2.495 3.676 1.883 2.440 2.717 1.174 2.198
[2,] 2.589 2.614 1.1503 2.702 3.112 4.241 2.403 3.618 3.054 1.388 3.261
[3,] 2.972 3.036 1.3068 3.010 3.515 4.776 2.742 4.345 3.489 1.610 4.068
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.861 1.669 1.020 2.126 0.5211 1.584 0.6403 1.485 1.550 1.668 2.522
[2,] 2.623 2.488 2.193 2.447 0.6215 2.149 0.7442 1.783 1.832 2.491 3.554
[3,] 3.191 3.108 2.858 2.670 0.6855 2.828 0.8413 2.076 2.118 2.865 3.973
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.8741 1.921 1.518 1.866 0.9552 2.487 1.937 3.149 2.934 3.852 2.838
[2,] 1.0062 2.843 1.820 3.013 1.1537 3.010 2.805 3.692 3.934 4.479 4.039
[3,] 1.1135 3.404 2.030 3.720 1.2959 3.440 3.187 4.147 4.551 4.984 4.903
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.822 0.7217 2.086 2.189 2.057 1.414 1.442 0.7551 1.403 1.642 3.961
[2,] 3.426 0.8433 3.291 2.459 3.038 1.639 1.800 0.9143 2.179 1.989 4.761
[3,] 4.501 1.0000 4.194 2.728 4.154 1.820 2.075 1.0700 2.778 2.202 5.237
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.118 0.9802 1.043 1.699 1.864 1.571 1.022 0.4524 0.9257 6.721 3.789
[2,] 4.942 1.5761 1.960 2.194 2.242 2.008 1.226 0.5474 1.1305 10.111 4.481
[3,] 5.436 2.1330 2.305 2.445 2.499 2.387 1.350 0.6097 1.2847 12.463 5.003
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.711 1.992 4.938 4.209 4.533 1.188 1.365 3.232
[2,] 1861.267 1064.088 2168.263 2252.944 2423.964 548.141 595.695 1605.002
[3,] 1357.614 916.834 2377.979 2590.605 2277.391 532.895 649.497 1215.495
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 3.563 3.236 2.213 2.415 2.19 2.309 2.421
[2,] 2361.745 2621.251 1536.509 1755.060 1217.50 1749.613 1765.913
[3,] 1520.283 1872.604 1525.595 1290.461 1099.17 1329.410 1557.438
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.015 3.64 3.761 5.002 4.711 6.432 2.728
[2,] 1530.390 2260.24 2710.059 3203.917 3179.862 2932.610 1151.621
[3,] 1407.439 2271.84 2468.083 3240.608 3323.778 2775.284 1126.246
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 8.019 5.356 0.4026 4.11 5.016 0.7853 4.082 0.35
[2,] 5956.136 2286.655 170.3656 2241.06 2346.246 350.0769 2749.231 160.46
[3,] 4310.677 2365.073 166.7376 2656.27 2832.743 313.1870 2318.756 147.74
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 4.023 1.145 0.626 4.288 4.402 4.071 3.045 2.152
[2,] 3059.822 546.108 293.469 2262.840 2568.635 2089.574 1430.866 1582.552
[3,] 2343.279 499.257 311.464 1975.092 2444.399 2249.801 1365.020 1428.485
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 2.27 0.935 2.534 0.741 2.35 2.689 2.554 1.197
[2,] 1107.46 416.358 1054.177 339.219 1155.82 1360.985 1525.140 602.017
[3,] 1061.90 410.511 995.610 324.662 1023.22 1333.079 1411.399 566.513
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.443 3.168 4.668 2.391 3.098 3.45 1.491 2.792
[2,] 1733.107 1698.804 1931.906 1363.856 2441.308 1275.14 675.863 2200.689
[3,] 1212.965 1493.569 2006.732 1207.569 2198.275 1541.41 746.423 2222.069
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.363 2.119 1.296 2.699 0.6617 2.012 0.8131
[2,] 1688.933 1686.275 1773.180 1108.174 309.5520 1326.917 346.5338
[3,] 1659.943 1702.528 1674.424 974.855 264.2731 1679.476 358.4601
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.886 1.968 2.118 3.202 1.11 2.439 1.928 2.37
[2,] 901.462 892.435 1690.758 2288.242 455.33 1915.204 916.979 2161.62
[3,] 972.682 971.174 1292.495 1623.681 435.83 1710.081 822.175 1992.64
[,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.213 3.158 2.459 3.998 3.726 4.892 3.604
[2,] 591.247 1549.389 1854.402 1762.235 2394.622 2088.303 2625.495
[3,] 539.292 1523.030 1382.784 1724.175 2090.278 1996.435 2539.556
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 2.313 0.9164 2.649 2.78 2.612 1.796 1.831 0.9588
[2,] 2650.987 398.5587 2325.409 1023.60 2043.230 756.920 984.421 471.0992
[3,] 2666.896 491.1232 2376.035 1079.98 2588.993 723.029 943.633 507.8516
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.782 2.085 5.03 5.229 1.245 1.325 2.157
[2,] 1523.913 1025.721 2413.83 2495.906 1127.687 1515.744 1269.027
[3,] 1573.765 863.152 1992.54 2070.044 1313.265 1108.728 986.172
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.366 1.995 1.298 0.5745 1.175 8.534 4.812
[2,] 1139.094 1142.873 617.913 281.5405 592.929 6902.952 2185.439
[3,] 1007.866 1178.749 516.630 245.4047 557.634 6656.740 2032.866
[1] "--- VAR model 2017-09-30 19:01:00 completed"
[1] "Completed training sample: 2017-09-30 19:01:00 - 2017-10-01 03:00:00"
[1] "SpVAR; training sample: 2017-09-30 19:31:00 - 2017-10-01 03:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.746 1.025 -7.237 -2.786
-1.063 1.155 -1.988 -5.773
-2.299 -2.280 -8.457 -7.981
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.954 0.7623 0.1073 0.8974
-6.222 0.3510 -0.2653 2.4847
-5.411 0.3139 -1.2998 -0.1946
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.6752 -3.087 -0.7091 1.1251
2.7179 1.901 1.2535 -0.3109
-0.3472 1.305 -0.2714 3.0440
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.1369 -2.3911 -3.761 0.6377
-0.3755 -1.4259 -0.793 -1.9431
0.5295 0.2335 0.652 0.6809
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.5613 2.1174 5.195 10.923
-0.8787 -0.6439 -6.808 -3.932
0.5707 0.8238 -2.260 2.659
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.693 -3.5637 -9.431 -2.866
-1.319 0.2092 -23.168 -7.368
-2.069 3.3410 -5.811 -5.475
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.02799 -7.665 -4.630 -1.3797
-0.07860 -8.241 -3.944 -0.7114
0.46679 -9.619 -7.130 -0.3936
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.1447 -0.1393 -14.197 -3.020
-7.3280 -0.3808 -5.431 -1.987
-10.7030 -0.1318 -6.780 -2.369
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.0633 -4.878 -8.513 -10.291
-1.5801 -4.768 -5.439 -7.876
-0.8284 -6.453 -6.817 -5.388
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.3919 -0.9910 0.6293 -1.0373
-1.3028 -0.1954 -1.5859 -0.3265
2.0165 3.2231 -0.9589 0.5070
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.2680 0.40113 -4.5391 -4.803
1.2087 0.85811 -3.9860 -5.128
0.7177 -0.04685 -0.5773 -3.335
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.225 0.2619 -1.991 2.376
-1.163 0.6938 -1.520 2.231
-1.154 -0.4771 -6.140 1.579
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.2404 2.5096 1.593 3.216
1.4620 0.2508 -1.294 -2.280
-0.2653 1.1741 2.739 -2.387
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.64190 2.812 3.16576 2.5239
0.08751 1.656 -0.04027 -0.2143
-0.41938 -0.320 -0.42396 1.4147
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
6.8312 -0.1347 -0.5547 5.1684
0.9902 -0.3149 0.0690 6.4733
-0.5190 0.5924 0.4857 0.6393
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.48654 0.266 -0.2534 0.5135
-0.01537 2.798 -1.0804 0.9780
-0.86664 1.789 -0.4976 3.6616
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.9363 0.03525 1.769 0.04113
4.4042 0.07654 1.276 2.45974
0.4692 0.29399 3.254 0.69161
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.148 0.3835 2.791 2.929
5.080 0.5822 -2.028 -1.113
1.987 1.0192 -3.146 -3.050
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3045 2.20575 -2.1712 -0.05469
-0.7239 -0.09539 5.5622 2.70194
-1.6766 -3.35428 -0.2772 -1.37952
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.513 2.11146 3.422 1.0773
1.265 0.92346 1.833 -1.7165
4.824 0.05256 4.941 0.1802
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.207 0.5126 -1.0658 0.2156
1.173 -0.1744 2.1248 1.1485
3.113 -0.3813 0.7056 0.2625
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.348 -1.0155 7.021 -5.740
-2.821 0.6338 7.535 -1.317
1.983 -0.3942 -3.192 -2.530
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4081 0.5794 -0.2192 -0.83612
0.7515 -0.7348 -0.2708 -0.02665
-0.3361 -1.0960 -1.8365 -0.83270
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.3477 1.436 -0.4379 -0.3694
3.5121 2.198 -0.9788 0.6470
0.5445 -0.455 -0.3558 -0.7159
rnd_95776.volume rnd_95787.volume
6.2590 -5.617
2.1520 -6.112
0.9298 -6.723
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.000 1.451 3.310 2.814 3.119 0.9003 0.9946 2.403 2.529 2.322 1.685
[2,] 2.723 1.743 4.147 3.514 3.839 1.0609 1.1766 2.883 3.376 3.531 2.282
[3,] 3.118 1.986 4.804 4.273 4.392 1.2108 1.3310 3.115 3.711 4.076 2.759
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.781 1.690 1.772 1.782 2.274 2.710 2.683 3.680 3.447 4.665 1.855
[2,] 2.508 2.124 2.318 2.439 2.841 3.628 3.771 4.768 4.538 5.666 2.203
[3,] 2.839 2.398 2.728 2.890 3.220 4.320 4.552 5.894 5.662 6.354 2.460
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 5.326 3.837 0.2945 2.989 3.196 0.5678 2.804 0.2647 2.737 0.8564
[2,] 7.656 4.483 0.3434 3.564 4.013 0.6771 3.826 0.3215 3.800 1.0097
[3,] 9.042 5.085 0.3839 4.335 4.747 0.7542 4.369 0.3658 4.474 1.1524
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4592 2.998 2.824 2.979 2.195 1.604 1.638 0.6793 1.734 0.5151 1.641
[2,] 0.5313 3.623 3.814 3.571 2.644 2.308 1.999 0.8005 2.057 0.6208 1.986
[3,] 0.6114 4.137 4.522 4.229 2.999 2.683 2.281 0.8996 2.278 0.7074 2.203
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.657 1.916 0.8687 1.872 2.361 3.537 1.716 2.154 2.494 1.084 2.103
[2,] 2.239 2.444 1.0845 2.542 2.847 4.040 2.282 3.305 2.791 1.297 3.101
[3,] 2.554 2.839 1.2269 2.813 3.219 4.497 2.623 4.033 3.184 1.480 3.868
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.717 1.571 0.9112 2.007 0.4859 1.484 0.6171 1.364 1.475 1.556 2.146
[2,] 2.404 2.287 2.0018 2.339 0.5691 1.976 0.7289 1.636 1.712 2.275 3.142
[3,] 3.015 2.917 2.6315 2.564 0.6373 2.580 0.8110 1.938 1.978 2.632 3.581
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.7389 1.805 1.265 1.721 0.8665 2.296 1.806 2.882 2.723 3.609 2.468
[2,] 0.8994 2.624 1.516 2.696 1.0797 2.800 2.582 3.386 3.613 4.244 3.728
[3,] 0.9978 3.101 1.700 3.317 1.2157 3.216 2.978 3.832 4.140 4.816 4.572
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.575 0.6579 1.882 1.975 1.732 1.350 1.388 0.6824 1.245 1.536 3.640
[2,] 3.005 0.7714 2.842 2.206 2.677 1.584 1.661 0.8018 2.002 1.819 4.382
[3,] 4.069 0.9238 3.726 2.444 3.644 1.727 1.940 0.9251 2.541 1.993 4.828
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.894 0.8979 0.8355 1.553 1.724 1.555 0.8879 0.4454 0.8766 6.254
[2,] 4.663 1.4250 1.7666 2.040 2.097 1.920 1.0577 0.5335 1.0334 9.332
[3,] 5.208 1.9723 2.1225 2.286 2.362 2.283 1.1701 0.5869 1.2020 11.494
[,98]
[1,] 3.208
[2,] 3.815
[3,] 4.353
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.539 1.842 4.203 3.573 3.961 1.143 1.263 3.051
[2,] 1604.426 838.930 2169.303 1827.024 1943.501 487.279 545.810 1383.439
[3,] 1319.884 825.837 2105.009 2111.319 1851.664 506.646 540.444 1022.941
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.212 2.949 2.14 2.261 2.147 2.25 2.263 2.887
[2,] 1942.256 2309.517 1335.73 1533.296 1116.761 1298.48 1446.159 1479.937
[3,] 1336.340 1768.134 1346.78 1154.968 966.666 1249.20 1345.628 1315.401
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.441 3.408 4.673 4.377 5.924 2.355 6.764
[2,] 2094.836 2300.643 2632.727 2563.437 2792.010 1032.451 4775.185
[3,] 2036.401 2213.325 3008.008 2939.465 2497.430 951.078 4177.302
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 4.873 0.3739 3.796 4.058 0.721 3.561 0.3361
[2,] 2012.977 153.5000 1685.475 2107.185 320.319 2259.609 158.4256
[3,] 2083.045 148.8578 2143.279 2202.041 288.329 1832.605 151.5779
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 3.475 1.087 0.5832 3.807 3.586 3.783 2.787
[2,] 2289.679 464.462 232.0232 1766.809 2225.547 1710.547 1280.449
[3,] 2049.153 482.368 262.6813 1733.552 2109.052 1966.397 1228.050
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 2.037 2.08 0.8626 2.202 0.6541 2.083 2.104 2.433
[2,] 1441.080 995.77 367.7034 959.523 300.8139 971.987 1307.342 1316.793
[3,] 1187.216 953.42 356.3989 850.930 294.6372 826.836 1067.715 1254.616
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.103 2.377 2.999 4.492 2.179 2.735 3.167 1.377
[2,] 563.752 1492.923 1380.398 1694.405 1307.036 2177.356 1088.768 618.066
[3,] 498.236 1046.740 1304.996 1715.660 1122.168 2007.051 1330.711 618.073
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.67 2.18 1.995 1.157 2.549 0.617 1.884 0.7836
[2,] 1978.48 1460.71 1443.056 1547.686 1042.374 257.229 1133.848 336.7850
[3,] 2007.70 1579.94 1571.726 1483.104 911.756 249.136 1440.512 308.8372
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.732 1.873 1.976 2.725 0.9383 2.291 1.607 2.185
[2,] 784.223 754.491 1441.603 1992.708 445.3637 1654.772 724.401 1802.357
[3,] 902.108 859.635 1147.826 1492.393 375.1799 1433.615 669.322 1678.168
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.1 2.915 2.293 3.66 3.458 4.583 3.135 2
[2,] 559.3 1391.094 1602.545 1542.84 2061.517 1938.645 2426.305 2222
[3,] 485.1 1374.072 1288.831 1557.74 1756.537 1976.525 2297.538 2382
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.8355 2.389 2.507 2.199 1.714 1.763 0.8666 1.581
[2,] 349.7599 1849.635 854.469 1772.995 719.674 791.446 365.4434 1361.672
[3,] 441.2845 2092.241 912.427 2146.655 597.890 871.399 400.6991 1359.068
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 1.951 4.622 4.944 1.14 1.061 1.972 2.189 1.975
[2,] 845.699 2117.953 2227.713 960.91 1351.613 1148.068 1037.446 977.204
[3,] 707.539 1761.365 2014.443 1184.03 1021.551 896.297 944.117 1072.517
[,94] [,95] [,96] [,97] [,98]
[1,] 1.127 0.5656 1.113 7.941 4.074
[2,] 499.165 255.0278 475.216 6014.074 1791.841
[3,] 434.448 212.3451 533.094 5827.246 1820.264
[1] "--- VAR model 2017-09-30 19:31:00 completed"
[1] "Completed training sample: 2017-09-30 19:31:00 - 2017-10-01 03:30:00"
[1] "SpVAR; training sample: 2017-09-30 20:01:00 - 2017-10-01 04:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.285 0.1007 -5.208 -6.366
1.037 -2.8729 -2.221 -6.528
-1.422 2.6041 -8.276 -5.146
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.032 0.5799 0.6172 2.612
-5.622 0.5029 0.3041 -1.102
-5.816 0.3481 -0.4856 1.938
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.2241 -0.4436 -0.962 2.035
3.5236 -6.4387 -2.470 -1.830
-0.1829 1.6696 1.844 -2.011
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.9371 -0.6075 0.6235 -2.935
-1.7045 1.5876 1.5185 -1.544
-0.2711 -0.8957 -1.5676 -1.979
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.6620 3.993 2.4835 2.319
-0.9964 2.541 -2.8625 5.918
-1.6951 1.885 0.4215 -0.420
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.504 -2.9727 -12.744 -0.9939
-2.622 -1.4667 -7.159 -4.5155
-11.019 -0.9756 -5.974 -7.1797
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.38204 -3.519 -6.856 -0.2351
0.03090 -4.883 -5.514 -0.7401
0.07254 -3.180 -6.691 -0.6395
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.0144 -0.2723 -5.233 -3.1260
-4.3275 -0.1849 -6.156 -2.3464
-0.2101 -0.6806 -8.179 -0.2356
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8369 -5.405 -1.754 -8.208
-0.8139 -5.412 -5.350 -4.187
-1.6373 -3.519 -6.825 -6.587
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.055 -1.7327 2.65178 -0.3038
1.854 -2.2311 -0.57502 -0.1544
-0.159 0.5412 -0.02274 0.1151
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.0048 0.9416 -2.634 -8.138
-0.6660 0.0172 -2.515 -4.776
-0.6366 0.2110 -3.657 -3.927
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0751 -0.5834 -2.5261 -0.6336
0.9356 0.2977 -3.9260 -1.2833
0.7883 1.3175 -0.9388 1.8193
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.822 -4.95393 0.6892 0.6913
7.298 1.73469 1.9057 3.8391
2.304 0.07633 -2.7119 2.4628
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1290 1.2588 3.6089 -0.1465
-0.1942 -0.5229 0.8644 2.3327
-0.3659 1.1428 2.9299 1.8077
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.094 -3.4920 0.2402 -0.9007
1.881 -0.8378 -0.8535 -0.2166
1.305 2.3456 -0.6158 2.8891
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4534 -0.1727 -0.4355 -1.2317
0.5076 0.8485 0.2554 0.8211
0.3522 -0.6028 -1.1197 1.0902
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.2111 -0.08142 -1.0433 1.0196
-0.3013 -0.10564 1.8422 -1.5603
0.2474 0.08297 0.7496 -0.2381
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.1382 0.06478 0.1891 1.747
0.2156 -0.33163 3.0579 1.681
1.1223 0.07155 -1.7977 -2.202
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.2304 -1.7516 1.4220 4.684
-0.7969 1.1007 -4.9689 -3.978
-1.8550 -0.1702 0.7521 -3.682
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.51458 0.2440 0.5507 0.2739
0.01143 0.5534 2.5029 0.8200
-3.48757 0.4696 -3.0200 -0.6940
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.7342 -1.2627 -1.2201 0.65221
0.9306 1.4029 -0.1440 -0.30252
-2.0276 -0.4832 -0.6642 0.05214
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.7904 1.206 3.0490 -4.965
-1.7819 -3.067 0.3149 5.298
0.1559 1.524 1.1458 -1.952
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.452 2.000 3.3106 3.533
1.731 2.397 3.5889 3.532
2.791 2.689 0.5028 -0.309
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.6183 -0.6853 -0.9247 -1.6145
0.2979 0.5852 -0.4055 0.5864
0.6186 -0.1744 -1.2415 -0.9987
rnd_95776.volume rnd_95787.volume
-1.448 -2.846
-3.510 -4.044
5.380 -6.557
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.738 1.344 2.852 2.302 2.652 0.8501 0.9488 2.189 2.422 2.251 1.558
[2,] 2.439 1.615 3.507 3.069 3.261 0.9881 1.1056 2.591 3.073 3.281 2.083
[3,] 2.840 1.835 4.016 3.642 3.760 1.1424 1.2251 2.856 3.425 3.800 2.481
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.629 1.575 1.692 1.648 2.113 2.488 2.457 3.411 3.265 3.919 1.778
[2,] 2.267 1.946 2.264 2.323 2.598 3.359 3.576 4.434 4.161 4.630 2.117
[3,] 2.563 2.214 2.614 2.716 2.994 3.994 4.413 5.534 5.263 5.286 2.373
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 4.863 3.370 0.2749 2.776 2.802 0.5545 2.377 0.2546 2.467 0.8129
[2,] 6.720 4.000 0.3177 3.298 3.576 0.6376 3.359 0.3042 3.389 0.9717
[3,] 8.007 4.594 0.3613 4.022 4.247 0.6958 3.733 0.3411 3.952 1.0927
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4323 2.704 2.556 2.263 2.009 1.403 1.290 0.6078 1.506 0.4378 1.372
[2,] 0.5057 3.248 3.431 2.888 2.409 2.001 1.636 0.7401 1.797 0.5462 1.722
[3,] 0.5822 3.745 4.052 3.602 2.807 2.313 1.873 0.8266 1.952 0.6200 1.949
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.339 1.758 0.8071 1.789 2.169 3.341 1.611 1.957 2.130 1.031 1.900
[2,] 1.867 2.309 1.0139 2.346 2.628 3.863 2.129 3.045 2.509 1.216 2.827
[3,] 2.180 2.705 1.1593 2.613 2.959 4.325 2.458 3.774 2.869 1.397 3.542
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.613 1.488 0.8926 1.767 0.4591 1.442 0.5866 1.252 1.313 1.397 1.970
[2,] 2.280 2.075 1.8498 2.161 0.5395 1.777 0.6829 1.535 1.566 2.016 2.937
[3,] 2.824 2.625 2.4787 2.367 0.6081 2.379 0.7597 1.820 1.830 2.440 3.344
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6292 1.521 1.205 1.591 0.8215 2.050 1.580 2.632 2.355 3.343 2.175
[2,] 0.8094 2.402 1.445 2.501 1.0246 2.558 2.354 3.137 3.188 3.845 3.306
[3,] 0.9071 2.776 1.597 3.030 1.1611 2.896 2.766 3.571 3.744 4.429 4.012
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.386 0.6154 1.745 1.730 1.620 1.238 1.258 0.5964 1.150 1.326 3.227
[2,] 2.712 0.7098 2.685 1.974 2.405 1.474 1.538 0.7095 1.869 1.603 3.955
[3,] 3.638 0.8023 3.495 2.204 3.271 1.620 1.786 0.8153 2.334 1.772 4.391
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.447 0.778 0.7674 1.460 1.577 1.433 0.8218 0.4131 0.8321 5.781
[2,] 4.213 1.290 1.6276 1.912 1.962 1.746 0.9875 0.5101 0.9747 8.798
[3,] 4.793 1.807 1.9926 2.169 2.230 2.056 1.0978 0.5586 1.1048 10.533
[,98]
[1,] 2.780
[2,] 3.390
[3,] 3.931
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.207 1.706 3.622 2.923 3.368 1.079 1.205 2.779
[2,] 1715.447 898.218 2045.755 2035.652 1902.280 504.974 569.073 1389.519
[3,] 1458.096 873.350 1961.636 1965.833 1876.635 574.846 528.975 1205.758
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 3.076 2.858 1.978 2.068 1.999 2.148 2.092
[2,] 1895.632 2393.566 1387.161 1580.904 1147.171 1509.225 1641.888
[3,] 1516.244 1922.181 1351.030 1197.900 1057.799 1308.981 1410.993
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.684 3.159 3.12 4.332 4.146 4.977 2.257
[2,] 1515.212 2262.319 2604.22 2840.308 2586.035 2471.446 1152.832
[3,] 1492.097 2167.431 2593.77 3320.074 3229.948 2557.912 1074.491
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 6.175 4.279 0.3491 3.525 3.558 0.7041 3.019
[2,] 4650.100 2160.787 159.6704 1784.321 2226.766 315.5138 2379.070
[3,] 4365.541 2265.152 172.3978 2308.534 2297.904 279.3928 1632.468
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.3233 3.132 1.032 0.549 3.433 3.246 2.873 2.551
[2,] 166.8974 2330.340 533.757 263.030 1805.335 2294.685 1798.979 1333.665
[3,] 154.6816 2036.630 500.945 289.300 1868.353 2160.860 2158.629 1443.116
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.781 1.638 0.7718 1.912 0.556 1.742 1.7 2.232
[2,] 1429.868 1008.761 423.3183 983.046 327.348 1044.297 1304.8 1500.379
[3,] 1163.386 913.368 369.2053 764.912 294.151 915.235 1127.6 1412.677
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.025 2.272 2.754 4.243 2.046 2.485 2.705 1.309
[2,] 615.293 1521.027 1487.484 1943.765 1396.050 2339.502 1330.036 646.966
[3,] 563.597 1153.238 1364.357 1949.315 1231.027 2235.494 1394.138 689.634
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.413 2.049 1.89 1.133 2.243 0.583 1.831 0.7449
[2,] 2098.514 1614.849 1449.09 1624.292 1247.251 284.146 1042.146 350.4879
[3,] 2139.691 1671.167 1612.25 1654.196 969.325 281.274 1584.870 333.8027
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.59 1.667 1.775 2.502 0.799 1.931 1.53 2.02
[2,] 890.57 855.579 1457.261 2183.179 510.451 1864.425 799.09 1934.55
[3,] 980.14 950.588 1377.454 1602.830 410.474 1394.506 681.19 1714.29
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.043 2.604 2.006 3.343 2.99 4.245 2.762 1.76
[2,] 613.826 1532.905 1749.111 1711.107 2154.83 1904.288 2495.503 2336.62
[3,] 547.708 1360.802 1457.126 1709.341 1967.44 2204.262 2279.740 2431.14
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.7814 2.216 2.196 2.057 1.572 1.597 0.7574 1.46
[2,] 354.6861 2046.031 954.487 1781.972 802.212 886.592 385.1471 1477.30
[3,] 374.8883 2242.683 981.973 2222.719 673.995 911.318 402.7699 1401.59
[,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.684 4.098 4.377 0.988 0.9745 1.854 2.003
[2,] 903.185 2293.417 2428.789 1031.323 1439.0520 1237.464 1169.939
[3,] 756.747 1912.664 2291.664 1268.404 1152.3774 1027.985 1061.917
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.82 1.044 0.5246 1.057 7.341 3.53
[2,] 1000.35 548.907 299.9611 508.968 6648.415 1944.01
[3,] 1088.17 480.951 228.2655 521.454 5806.815 1995.29
[1] "--- VAR model 2017-09-30 20:01:00 completed"
[1] "Completed training sample: 2017-09-30 20:01:00 - 2017-10-01 04:00:00"
[1] "SpVAR; training sample: 2017-09-30 20:31:00 - 2017-10-01 04:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.5985 1.9118 -8.781 -11.288
1.4403 0.2611 -6.693 -12.151
-0.4701 0.2793 -4.404 -7.134
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.321 0.2602 -0.09932 -2.143
-8.381 0.1902 -0.29760 -1.955
-4.034 -0.2650 0.12685 2.540
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.72918 0.4205 -0.5003 -1.699
-6.06603 -6.0331 -0.2809 -1.211
-0.07522 -4.0716 -2.5845 -4.507
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8324 -2.475 -1.078 1.251
-2.5014 2.653 1.905 3.194
-1.3161 -2.438 -2.783 -1.645
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.742 3.2320 0.1937 -0.8305
0.366 0.1438 -3.7710 0.8699
-3.658 3.2846 -2.4510 -0.9579
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.182 -1.7180 -20.370 -10.877
-6.525 -0.7807 -19.713 -7.108
-2.695 -0.8729 -9.685 -10.174
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.2505 -7.451 -1.903 -0.8105
0.1265 -8.600 -8.219 -0.6622
-0.3452 -5.317 -14.208 -0.4878
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.084 -0.4472 -4.650 -1.118
-10.163 -0.5406 -6.016 -1.969
-7.223 -0.7284 -7.213 -1.958
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.8551 -2.353 -5.904 -7.759
-0.9617 -8.229 -7.029 -5.137
-1.9198 -10.746 -4.337 -7.406
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.188 -0.1543 0.9022 1.3782
1.615 1.8043 -0.6974 0.6957
2.769 -2.0069 1.5672 0.6673
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.009098 0.09225 0.8292 -2.053
0.500202 0.30361 -1.0790 -3.353
0.267295 0.77769 -0.9298 -2.459
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.8104 0.994 -0.6993 0.6574
-3.9382 -1.304 -5.1912 -0.6917
-1.0062 -1.088 -4.4572 0.3740
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.913 1.000 -4.348 5.1575
3.383 1.553 2.923 0.5362
1.464 -4.107 0.673 1.2569
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4517 -0.2639 -3.100 -1.7965
-0.4836 1.1521 1.496 0.1557
0.2880 1.6109 3.053 2.8496
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.766 0.2021 -0.4425 -2.7073
-4.651 -0.4426 0.1108 -3.1611
1.663 1.1213 0.2954 -0.9906
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.10151 -0.3919 -0.4652 1.201
0.06788 -1.2454 -0.7407 -2.362
-0.08852 -0.1075 -0.5897 -1.128
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.7584 1.266004 2.42571 -0.83342
0.1076 -0.701770 0.07036 0.05714
-2.8092 0.002573 -1.55961 1.57185
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.677 -0.33955 0.4384 -1.9219
3.049 0.04428 0.6981 1.6979
-1.937 0.86410 0.8280 0.6182
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.47976 -0.5871 1.83756 -3.428
1.30736 -0.4456 -0.06257 -1.519
0.02386 -0.3374 -1.19741 1.337
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.45796 0.3088 3.1853 -0.6666
-0.06289 -0.1570 -1.6680 1.4192
0.63292 1.0365 -0.7316 1.8174
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.233 2.2199 1.6101 0.4905
-1.261 1.3288 -2.8322 -0.3359
-1.494 0.4778 0.7384 0.2841
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.3506 0.8506 4.897 -0.002285
1.0988 0.8340 2.201 2.988327
-0.3384 -0.1200 -2.298 4.605574
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1264 0.6226 2.739 3.3487
-0.3227 2.5408 -1.198 -1.0829
1.1394 0.2172 -1.317 0.2421
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2523 -0.003726 -1.5978 0.7367
-2.5079 0.536051 -1.6957 -0.8731
-0.6258 0.464508 -0.5913 -1.8425
rnd_95776.volume rnd_95787.volume
-0.01625 -14.070
6.00674 -7.650
-13.24423 -8.429
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.573 1.227 2.381 2.099 2.136 0.8236 0.8798 2.078 2.327 2.010 1.454
[2,] 2.214 1.506 2.937 2.659 2.663 0.9459 1.0384 2.464 2.960 3.015 2.005
[3,] 2.589 1.707 3.329 3.155 3.137 1.0806 1.1491 2.726 3.334 3.545 2.404
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.505 1.451 1.532 1.564 1.969 2.291 2.218 3.164 3.034 2.387 1.229
[2,] 2.141 1.806 2.067 2.160 2.402 3.034 3.197 4.170 3.872 2.975 1.437
[3,] 2.429 2.103 2.391 2.555 2.867 3.691 4.058 5.182 4.757 3.487 1.614
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 4.481 2.726 0.2501 2.378 2.403 0.5206 1.943 0.2446 2.216 0.7634
[2,] 5.958 3.527 0.2927 2.874 3.089 0.5983 2.787 0.2818 2.894 0.9401
[3,] 6.934 4.058 0.3298 3.483 3.675 0.6531 3.106 0.3194 3.356 1.0515
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.3901 2.394 2.295 1.900 1.835 1.326 1.106 0.5675 1.329 0.4274 1.072
[2,] 0.4639 2.915 2.985 2.556 2.153 1.859 1.430 0.6846 1.599 0.5117 1.389
[3,] 0.5436 3.401 3.535 3.158 2.495 2.176 1.647 0.7718 1.773 0.5801 1.621
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.180 1.647 0.7391 1.628 1.944 2.971 1.509 1.923 2.000 0.9087 1.790
[2,] 1.634 2.165 0.9382 2.108 2.379 3.524 1.962 2.735 2.444 1.1473 2.614
[3,] 1.928 2.524 1.0933 2.459 2.712 3.987 2.275 3.379 2.755 1.3166 3.223
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.544 1.452 0.8369 1.647 0.3912 1.287 0.4966 1.162 1.179 1.307 1.877
[2,] 2.180 2.016 1.7558 2.011 0.4823 1.621 0.6138 1.440 1.430 1.890 2.716
[3,] 2.612 2.491 2.2936 2.204 0.5683 2.230 0.6908 1.743 1.645 2.301 3.139
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5311 1.425 1.043 1.496 0.7935 1.931 1.462 2.468 2.166 3.001 2.041
[2,] 0.6799 2.217 1.264 2.276 0.9694 2.328 2.119 3.006 2.914 3.537 3.201
[3,] 0.7786 2.594 1.423 2.827 1.0981 2.652 2.534 3.357 3.351 4.038 3.785
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.203 0.5491 1.650 1.539 1.365 1.058 1.178 0.5293 1.092 1.252 2.858
[2,] 2.592 0.6526 2.466 1.732 2.162 1.277 1.430 0.6216 1.785 1.506 3.555
[3,] 3.390 0.7520 3.339 1.974 3.017 1.424 1.644 0.7138 2.187 1.665 3.975
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.238 0.7259 0.7152 1.387 1.497 1.325 0.7256 0.3674 0.7797 5.543
[2,] 3.867 1.2090 1.4796 1.802 1.816 1.645 0.8887 0.4461 0.9075 7.975
[3,] 4.483 1.6874 1.8194 2.032 2.054 1.906 0.9827 0.5071 1.0328 9.593
[,98]
[1,] 2.375
[2,] 3.064
[3,] 3.618
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.998 1.558 3.024 2.665 2.712 1.046 1.117 2.638
[2,] 1553.031 871.190 1713.901 1627.084 1585.833 463.860 549.941 1319.596
[3,] 1338.498 800.701 1562.014 1692.578 1651.764 520.793 490.360 1162.785
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.955 2.552 1.847 1.912 1.843 1.945 1.986 2.5
[2,] 1823.631 2241.145 1375.464 1517.021 1071.000 1383.000 1485.611 1370.8
[3,] 1529.863 1857.695 1323.272 1144.523 1074.297 1198.978 1359.029 1561.1
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.909 2.816 4.018 3.853 3.031 1.561 5.69 3.462
[2,] 1982.741 2295.648 2708.298 2398.511 1769.274 740.713 3914.03 2231.386
[3,] 2094.818 2491.809 3065.484 2754.773 1813.795 734.215 3536.91 2000.036
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.3176 3.02 3.052 0.6611 2.468 0.3105 2.815
[2,] 151.5695 1608.22 1934.015 293.8172 1991.048 139.6155 1855.000
[3,] 151.5078 1961.21 1985.975 261.0326 1368.720 149.8683 1694.466
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.9694 0.4954 3.04 2.914 2.413 2.33 1.684 1.404
[2,] 546.8655 250.2541 1658.15 1902.792 1704.157 1122.41 1298.136 904.130
[3,] 469.5734 282.4549 1746.77 1887.926 1848.527 1256.42 1127.428 815.222
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.7206 1.687 0.5427 1.361 1.498 2.092 0.9386 2.068
[2,] 381.7167 886.383 280.4546 881.140 1127.729 1401.086 576.0117 1335.345
[3,] 355.3494 763.883 272.4446 832.548 1020.025 1292.087 559.6232 1261.158
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.468 3.772 1.916 2.441 2.54 1.154 2.273 1.961
[2,] 1366.882 1889.356 1250.478 1939.766 1398.89 698.156 1899.084 1533.946
[3,] 1298.850 1859.937 1147.268 1977.046 1267.32 643.944 1879.200 1434.150
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.844 1.063 2.092 0.4968 1.634 0.6306 1.475 1.498
[2,] 1394.645 1538.707 1149.279 281.2712 982.999 359.5091 847.148 805.284
[3,] 1458.210 1471.029 899.675 299.6512 1525.587 316.1044 978.921 812.241
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.66 2.383 0.6744 1.809 1.325 1.9 1.008 2.452
[2,] 1360.40 1957.709 423.1184 1693.786 711.741 1709.8 555.043 1296.579
[3,] 1309.41 1568.286 378.2897 1342.055 650.636 1671.7 514.352 1265.128
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.857 3.134 2.751 3.81 2.592 1.527 0.6972
[2,] 1528.499 1710.637 1942.950 1867.12 2458.106 2288.914 351.7234
[3,] 1385.048 1490.600 1649.563 1940.62 2013.238 2178.511 372.4222
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.095 1.955 1.733 1.343 1.495 0.6722 1.387 1.589
[2,] 1827.485 790.347 1671.389 713.931 808.426 324.9306 1407.542 834.965
[3,] 2244.443 945.237 2098.139 626.630 809.000 349.7443 1258.872 707.597
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 3.63 4.112 0.9218 0.9081 1.761 1.901 1.682
[2,] 2106.75 2107.528 963.8702 1291.2689 1147.520 1025.054 972.229
[3,] 1772.76 2261.903 1173.4668 1055.4465 935.697 955.771 960.315
[,94] [,95] [,96] [,97] [,98]
[1,] 0.9214 0.4665 0.9901 7.039 3.016
[2,] 511.6445 252.1818 462.9968 5715.631 1929.894
[3,] 418.0169 240.3916 491.4502 5315.294 1917.621
[1] "--- VAR model 2017-09-30 20:31:00 completed"
[1] "Completed training sample: 2017-09-30 20:31:00 - 2017-10-01 04:30:00"
[1] "SpVAR; training sample: 2017-09-30 21:01:00 - 2017-10-01 05:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2768 0.03942 -6.413 -11.8676
0.7810 1.36690 -3.784 -5.9656
-0.4603 -0.71567 -4.920 0.1724
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.822 0.5999 2.7929 -1.289
-6.852 -0.4419 -0.2054 0.502
-10.058 -0.8273 0.2181 2.714
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.6756 -1.3896 -0.4267 -3.1794
0.8419 -0.5444 -1.9504 0.2684
0.9151 1.7547 1.8876 0.2704
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.99453 -1.659 -1.002 1.5231
-0.57600 -2.263 -3.412 0.2077
-0.08446 1.147 1.133 2.7573
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.212 -1.394 -4.006 -0.7142
-4.244 -3.238 2.828 5.0198
0.499 -1.497 -1.250 3.4132
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-7.879 0.048 -8.438 -10.393
-6.278 -1.750 -12.712 -4.022
-3.368 -0.887 -10.206 -8.543
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.4117 -6.141 -14.270 0.50276
0.1984 -5.233 -10.872 -0.03892
0.1678 -7.152 -8.141 -0.11706
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.450 -0.27299 -5.514 -1.922
-7.523 -0.13007 -9.502 -1.419
-4.404 -0.09216 -7.091 -1.623
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8228 -6.146 -5.463 -4.040
-1.2869 -5.162 -4.124 -4.924
-1.0537 -7.030 -10.424 -7.245
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2087 -0.6802 -1.9765 -0.56938
-0.5072 -1.1986 1.0539 -0.28306
-0.1250 -0.5263 0.5904 0.09062
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5615 -0.01079 -2.421 -2.358
-0.7971 0.04432 -1.744 -2.729
-1.0440 0.37240 -2.712 -3.846
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.6581 1.8178 -3.0220 -4.8193
0.1318 0.3614 -3.5509 0.3560
0.6858 0.4286 -0.8217 -0.1151
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.870 -0.1263 -0.3415 1.1401
-4.638 -1.6421 -6.3983 0.4163
2.777 -1.8060 -2.4104 2.4907
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3458 0.8195 -0.9375 -2.628
-1.1660 -1.0548 0.3472 -1.210
0.4211 -5.4194 -2.7294 -0.226
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.3700 0.909 -0.2561 0.6988
-0.5127 1.470 -0.1205 -2.4943
-0.6898 0.710 -0.1378 -1.2992
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5971 -0.9545 1.3968 -1.5857
-0.3334 -0.0813 -0.3138 0.2649
0.5433 -0.7398 1.5734 -1.0338
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.417 0.5567 -3.5238 0.004976
1.230 0.7368 -1.1667 0.219430
-0.542 0.6598 -0.9716 1.372282
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.759 0.6230 0.8911 0.9289
-3.041 -0.2439 -0.4119 0.1699
2.410 -0.4859 -0.1873 -0.2777
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.9923 -2.8091 6.925 -1.069
4.5009 4.8187 1.293 5.134
-0.5263 -0.4503 3.098 2.358
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.014 0.1596 3.056 -1.4424
1.353 0.6667 -2.024 -0.5825
3.871 0.4390 4.489 1.6413
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.043 1.6659 -0.02391 0.08418
-2.210 0.1451 0.21473 1.19246
1.392 -1.6108 -1.60364 0.12428
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.4674 0.1459 0.2823 -1.074
-1.8091 1.0764 2.9978 2.106
0.2239 -0.7616 0.5006 2.170
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2319 -1.6372 -2.0885 -1.98940
-0.7785 -1.0220 0.5475 0.02457
-1.6830 0.3013 0.6028 0.95384
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.2797 1.5698 -0.7724 -0.1626
-0.1828 0.8334 -0.4061 -0.3289
-2.3393 0.4126 -1.0689 0.4562
rnd_95776.volume rnd_95787.volume
-8.033 -8.363
-17.874 -5.855
-5.393 -8.008
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.423 1.143 1.987 1.806 1.906 0.7015 0.8059 1.965 2.150 1.857 1.335
[2,] 1.874 1.340 2.492 2.354 2.362 0.8437 0.9608 2.272 2.805 2.665 1.851
[3,] 2.190 1.532 2.838 2.834 2.844 0.9925 1.0828 2.497 3.132 3.099 2.240
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.425 1.316 1.448 1.402 1.829 2.168 2.049 2.806 2.685 2.154 1.212
[2,] 1.976 1.621 1.978 2.063 2.186 2.867 2.905 3.947 3.620 2.668 1.444
[3,] 2.232 1.938 2.305 2.404 2.579 3.491 3.768 4.954 4.495 3.044 1.591
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.941 2.220 0.2321 1.841 1.935 0.4829 1.748 0.2447 1.952 0.7327
[2,] 5.327 2.928 0.2742 2.394 2.540 0.5557 2.370 0.2806 2.500 0.8821
[3,] 6.232 3.442 0.3068 2.879 3.186 0.6103 2.720 0.3133 2.934 0.9753
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.3573 2.046 2.079 1.686 1.684 1.248 1.008 0.4890 1.125 0.3875 0.9481
[2,] 0.4180 2.502 2.715 2.123 2.025 1.682 1.286 0.5876 1.436 0.4665 1.2285
[3,] 0.4885 2.896 3.184 2.580 2.305 1.982 1.471 0.6841 1.597 0.5226 1.4471
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 0.9777 1.478 0.7244 1.408 1.733 2.750 1.458 1.647 1.905 0.8633 1.631
[2,] 1.3618 2.014 0.8929 1.928 2.121 3.277 1.828 2.478 2.298 1.0697 2.289
[3,] 1.5783 2.381 1.0048 2.289 2.364 3.659 2.144 3.052 2.546 1.2143 3.087
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.440 1.348 0.8032 1.582 0.3658 1.175 0.4706 1.069 1.074 1.199 1.713
[2,] 1.974 1.893 1.6574 1.882 0.4503 1.541 0.5643 1.322 1.298 1.764 2.469
[3,] 2.440 2.346 2.0980 2.104 0.5293 2.068 0.6457 1.658 1.500 2.094 2.814
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.4938 1.221 0.9178 1.308 0.7176 1.612 1.425 2.238 2.063 2.732 1.922
[2,] 0.6342 1.959 1.0781 2.006 0.8691 1.878 1.935 2.754 2.771 3.117 2.971
[3,] 0.7428 2.315 1.2137 2.494 0.9763 2.150 2.272 3.095 3.129 3.593 3.510
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.148 0.4461 1.487 1.419 1.247 1.010 1.065 0.4804 1.011 1.136 2.495
[2,] 2.405 0.5550 2.315 1.639 1.988 1.204 1.291 0.5538 1.606 1.380 3.040
[3,] 3.067 0.6465 3.075 1.826 2.743 1.342 1.470 0.6458 1.904 1.538 3.458
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.999 0.6571 0.6322 1.197 1.250 1.232 0.6756 0.3628 0.7399 4.989
[2,] 3.572 1.0797 1.2818 1.553 1.579 1.495 0.8266 0.4240 0.8675 7.172
[3,] 4.154 1.4786 1.6327 1.830 1.878 1.754 0.9092 0.4857 0.9776 8.711
[,98]
[1,] 2.042
[2,] 2.721
[3,] 3.200
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.806 1.451 2.523 2.293 2.42 0.8908 1.023 2.496
[2,] 1159.034 664.337 1428.896 1434.612 1325.57 445.2324 497.008 1083.641
[3,] 1075.581 705.843 1290.753 1499.469 1504.40 496.5162 474.257 983.698
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.73 2.358 1.695 1.809 1.671 1.838 1.78 2.322
[2,] 1711.29 1815.884 1217.901 1300.453 898.486 1280.548 1437.61 1137.981
[3,] 1323.72 1502.147 1199.514 985.561 1009.819 1124.719 1171.80 1299.709
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.754 2.602 3.564 3.41 2.735 1.539 5.005 2.819
[2,] 1782.300 1955.541 2636.106 2306.22 1495.918 745.148 3404.699 1814.495
[3,] 1892.187 2279.899 2845.052 2531.14 1392.504 636.044 3071.885 1718.850
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.2948 2.338 2.457 0.6132 2.22 0.3107 2.479
[2,] 138.6203 1453.646 1563.663 261.2862 1520.39 130.4827 1482.993
[3,] 130.7697 1518.736 1826.279 239.6673 1267.49 132.4937 1459.057
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.9304 0.4537 2.598 2.641 2.141 2.138 1.585 1.28
[2,] 466.6479 206.0228 1367.865 1657.787 1225.093 1069.297 1070.777 758.89
[3,] 395.0835 240.1758 1386.593 1580.583 1393.417 1045.189 996.616 678.48
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.621 1.429 0.4921 1.204 1.242 1.877 0.9199 1.788
[2,] 309.559 848.021 246.8099 742.181 900.483 1299.955 495.8662 1250.927
[3,] 332.674 663.302 223.7310 726.535 757.954 1206.463 437.7863 1172.524
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.2 3.492 1.852 2.092 2.419 1.096 2.071 1.829
[2,] 1162.8 1693.041 1046.247 1759.007 1220.528 599.912 1525.490 1282.804
[3,] 990.7 1547.400 1063.931 1691.353 1042.807 546.052 1967.278 1362.483
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.712 1.02 2.009 0.4646 1.492 0.5976 1.357 1.364
[2,] 1262.086 1377.23 967.873 249.4357 947.279 295.8456 739.183 692.130
[3,] 1316.384 1221.94 893.933 264.2159 1310.483 298.1130 950.167 714.381
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.523 2.176 0.627 1.551 1.165 1.661 0.9113 2.047
[2,] 1228.981 1688.949 378.054 1455.314 537.397 1444.652 465.6381 915.338
[3,] 1072.197 1282.838 367.286 1170.694 529.596 1407.992 422.5532 993.448
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 1.81 2.842 2.62 3.469 2.44 1.458 0.5665 1.888
[2,] 1244.02 1523.623 1756.48 1424.710 2151.89 2007.583 313.7388 1685.272
[3,] 1129.64 1342.073 1381.55 1698.026 1775.86 1808.031 314.8703 1923.163
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.802 1.583 1.283 1.353 0.61 1.283 1.442 3.168
[2,] 779.047 1471.384 621.791 693.413 261.76 1186.171 744.968 1650.282
[3,] 765.093 1795.507 563.607 666.890 315.66 970.597 643.778 1564.975
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 3.808 0.8344 0.8028 1.52 1.587 1.565 0.8579 0.4607
[2,] 1843.730 813.8590 1059.2389 939.24 916.521 803.808 452.4388 208.4339
[3,] 2013.735 959.6168 960.6645 919.88 966.745 871.821 359.6962 225.0251
[,96] [,97] [,98]
[1,] 0.9395 6.335 2.593
[2,] 430.1669 4895.350 1708.779
[3,] 428.1470 4696.034 1598.654
[1] "--- VAR model 2017-09-30 21:01:00 completed"
[1] "Completed training sample: 2017-09-30 21:01:00 - 2017-10-01 05:00:00"
[1] "SpVAR; training sample: 2017-09-30 21:31:00 - 2017-10-01 05:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.3722 0.4540 -8.067 -14.707
-0.4899 0.6584 -7.459 -11.705
6.8249 -1.5381 -14.208 -8.769
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.313 0.5721 1.4158 1.700
-9.725 1.1344 0.6348 -2.385
-14.267 -1.7670 0.9849 -1.530
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.6649 3.36172 4.573 -5.464
-4.2767 -0.09007 2.138 1.197
0.1099 -4.22957 -2.399 -2.147
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.424 -1.829 -3.6662 6.046
2.517 2.831 0.3246 7.804
-1.628 -1.973 -1.8013 4.429
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.9288 -4.380 1.664 6.578
1.8674 4.098 5.250 7.956
12.3540 11.195 1.820 11.519
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.625 0.9562 -17.33 -3.970
-6.023 0.3218 -19.49 -6.295
-13.094 -0.1602 -15.70 -7.126
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.29654 -7.090 -12.305 -1.1272
0.08788 -7.544 -6.938 -0.4568
-0.41273 -10.109 -14.063 -1.2429
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.923 -0.264023 -8.250 -1.9639
-10.652 -0.009701 -11.797 -2.0397
-7.679 -0.488288 -7.147 -0.8351
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.0979 -7.634 -6.131 -13.003
-1.1498 -12.542 -10.058 -10.866
-0.7802 -14.324 -8.796 -7.688
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8883 0.2675 1.989 0.6086
1.6551 4.2994 3.300 0.5394
1.4056 -1.4545 0.876 0.2732
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.288 0.4944 -2.869 -7.861
2.292 0.0870 -0.520 -5.228
1.171 -0.2848 -3.590 -2.380
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.044 -1.343 -3.920 -3.861
3.314 0.493 2.227 4.100
1.570 1.008 -1.253 3.537
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.2263 -2.839 0.0689 2.36222
-1.4229 -3.300 -4.1068 -0.02194
-0.5678 3.765 3.2454 3.03324
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8602 -3.070 -4.727 -7.445
-1.4421 5.841 1.916 -3.219
-0.1043 -3.183 -1.518 2.683
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.6683 0.9441 -0.27097 -1.963
-5.0166 2.8656 0.63774 -3.396
0.1984 2.9889 -0.02535 -3.607
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.05883 -0.4198 0.5827 -2.634
0.09371 -3.1806 -1.5754 -1.589
0.57707 -1.7772 -2.0155 -2.130
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.511 1.480 -0.8116 0.7227
-1.109 -1.059 -4.4090 1.2757
-6.828 -0.688 -1.5857 -0.4886
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.565 -1.476 -0.8378 1.2571
-1.134 2.407 -0.2638 -0.8301
-1.862 -2.085 7.0558 7.0708
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8350 1.368 0.25815 6.220
1.6324 2.025 5.73251 1.029
-0.9519 2.444 -0.04537 2.973
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.248 -0.1253 14.2882 1.1723
3.829 -0.2691 4.6546 -0.1380
4.671 0.2156 0.3541 0.2281
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.086 -2.897 3.3854 0.4092
8.486 2.169 0.8751 0.7606
1.239 1.030 0.5148 -0.2932
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8700 0.244 1.361 8.923
0.1567 1.859 2.853 -6.520
1.0536 -2.453 -6.982 -6.778
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5254 -0.03707 2.2344 -0.4124
0.3461 -0.19689 -0.3842 2.4785
0.7429 2.04289 2.0033 0.5075
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.51608 -0.6678 -0.4680 1.6564
-0.01667 0.1318 -0.8299 0.3003
-3.53755 -0.3577 -0.6603 0.8320
rnd_95776.volume rnd_95787.volume
-6.894 -6.646
-6.268 -7.524
8.822 -8.501
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.457 1.019 1.720 1.521 1.692 0.6474 0.7562 1.848 1.999 1.753 1.292
[2,] 1.899 1.226 2.228 1.968 2.125 0.7721 0.8825 2.129 2.691 2.625 1.731
[3,] 2.199 1.378 2.458 2.417 2.477 0.9127 1.0030 2.325 3.044 3.077 2.066
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.339 1.231 1.415 1.335 1.704 1.902 1.909 2.751 2.711 1.814 1.268
[2,] 1.886 1.546 1.858 1.865 2.093 2.665 2.694 3.824 3.591 2.340 1.486
[3,] 2.164 1.813 2.240 2.282 2.391 3.270 3.554 4.662 4.348 2.634 1.629
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.253 2.012 0.2115 1.556 1.846 0.4267 1.364 0.2383 1.621 0.6812
[2,] 4.658 2.525 0.2508 2.079 2.352 0.5091 1.955 0.2717 2.052 0.8196
[3,] 5.501 3.044 0.2792 2.512 2.883 0.5580 2.279 0.3066 2.434 0.9074
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3390 1.717 1.871 1.406 1.625 1.192 0.9968 0.4336 0.986 0.3415
[2,] 0.3953 2.183 2.440 1.798 1.978 1.613 1.2432 0.5311 1.230 0.4236
[3,] 0.4545 2.515 2.842 2.223 2.173 1.835 1.3835 0.6217 1.365 0.4761
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.7811 0.7837 1.431 0.6793 1.304 1.668 2.578 1.376 1.578 1.664 0.7922
[2,] 0.9877 1.1020 1.910 0.8252 1.764 2.020 3.016 1.688 2.318 2.019 0.9939
[3,] 1.1742 1.2687 2.241 0.9292 2.096 2.232 3.353 1.979 2.787 2.275 1.1209
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.391 1.316 1.259 0.7767 1.413 0.3512 1.062 0.4069 1.011 0.9859 1.154
[2,] 2.121 1.835 1.741 1.4804 1.683 0.4181 1.395 0.5090 1.243 1.2044 1.649
[3,] 2.695 2.247 2.164 1.9158 1.868 0.4956 1.920 0.5832 1.526 1.4080 1.923
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.571 0.4879 1.139 0.7999 1.217 0.6621 1.597 1.373 2.140 1.929 2.570
[2,] 2.259 0.6083 1.834 0.9221 1.922 0.7731 1.871 1.883 2.635 2.693 2.985
[3,] 2.563 0.7064 2.132 1.0516 2.269 0.8997 2.115 2.190 2.985 2.996 3.386
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.878 1.049 0.3990 1.330 1.294 1.250 0.8789 0.9405 0.4086 0.9899
[2,] 2.865 2.287 0.5084 2.176 1.495 1.932 1.0767 1.1709 0.4745 1.5241
[3,] 3.386 2.961 0.5835 2.886 1.658 2.692 1.2197 1.3848 0.5537 1.7969
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 1.006 2.480 2.831 0.5712 0.561 0.9499 1.087 1.114 0.5832 0.3828
[2,] 1.241 2.911 3.409 0.9159 1.116 1.2482 1.377 1.370 0.7221 0.4320
[3,] 1.384 3.280 3.982 1.2517 1.404 1.4688 1.599 1.588 0.8108 0.4850
[,96] [,97] [,98]
[1,] 0.7198 4.606 1.758
[2,] 0.8269 6.573 2.305
[3,] 0.9369 7.886 2.735
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.85 1.294 2.183 1.932 2.149 0.8221 0.9602 2.347
[2,] 1115.55 623.347 1296.967 1143.260 1177.400 385.2237 416.5716 967.257
[3,] 1013.74 575.437 950.401 1284.378 1163.998 445.5990 436.4172 857.110
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.539 2.226 1.64 1.701 1.563 1.797 1.696 2.164
[2,] 1648.791 1788.241 1055.08 1215.687 856.652 1102.517 1192.591 1113.159
[3,] 1302.242 1470.015 1032.30 971.427 866.196 1145.570 1203.118 1058.391
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.415 2.424 3.494 3.443 2.303 1.61 4.131 2.555
[2,] 1709.131 1741.304 2431.361 2155.776 1352.940 709.52 3052.638 1396.245
[3,] 1735.119 2121.814 2442.118 2244.625 1107.859 610.89 2679.295 1556.850
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.2685 1.976 2.344 0.5419 1.731 0.3026 2.058
[2,] 123.5214 1262.320 1334.212 254.1911 1282.672 119.5761 1151.976
[3,] 112.3571 1291.259 1527.035 209.1220 1072.514 129.9803 1199.097
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.865 0.4305 2.181 2.376 1.786 2.063 1.514 1.266
[2,] 417.198 186.1054 1233.801 1432.970 1025.567 1033.848 994.124 680.075
[3,] 356.585 205.4488 1142.963 1334.412 1196.918 822.324 801.648 555.859
[,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 0.5506 1.252 0.4337 0.9919 0.9952 1.817 0.8626
[2,] 280.7921 673.626 229.3884 553.4223 709.3112 1157.751 429.0187
[3,] 295.8215 541.562 199.0397 581.2913 575.5565 1074.026 391.0202
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.656 2.118 3.274 1.748 2.003 2.113 1.006 1.766
[2,] 1087.126 1042.616 1432.362 894.629 1555.186 1047.736 549.456 1465.835
[3,] 1036.848 869.866 1340.614 945.692 1416.315 958.493 474.565 1522.099
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.671 1.599 0.9862 1.795 0.4459 1.348 0.5167
[2,] 1170.734 1101.209 1153.8518 836.539 207.6773 829.221 279.9607
[3,] 1187.042 1177.163 1113.3726 743.035 243.7407 1207.473 260.6658
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.283 1.252 1.466 1.995 0.6196 1.446 1.016 1.546
[2,] 662.728 633.319 1078.109 1485.412 332.4979 1316.188 420.002 1362.251
[3,] 809.709 667.637 905.809 1108.847 328.8006 994.653 462.845 1103.900
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 0.8408 2.028 1.744 2.718 2.45 3.263 2.385 1.332
[2,] 365.4253 892.771 1180.048 1407.295 1720.80 1391.606 1981.145 1860.646
[3,] 421.3404 902.475 1023.040 1283.251 1200.79 1462.891 1650.967 1721.697
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.5067 1.689 1.644 1.587 1.116 1.194 0.5189 1.257
[2,] 288.3750 1577.360 684.355 1349.447 569.415 638.614 220.8010 1060.945
[3,] 262.3025 1735.821 657.037 1715.675 524.578 676.842 261.3297 871.439
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 1.278 3.149 3.595 0.7253 0.7124 1.206 1.381 1.415
[2,] 665.666 1396.471 1739.115 655.5573 883.4694 741.292 773.591 730.279
[3,] 560.811 1383.469 1883.769 781.1037 779.7803 708.769 743.535 734.714
[,94] [,95] [,96] [,97] [,98]
[1,] 0.7405 0.4861 0.914 5.849 2.232
[2,] 389.8757 183.4091 372.734 4293.537 1365.367
[3,] 337.6626 201.9006 403.297 3987.944 1347.111
[1] "--- VAR model 2017-09-30 21:31:00 completed"
[1] "Completed training sample: 2017-09-30 21:31:00 - 2017-10-01 05:30:00"
[1] "SpVAR; training sample: 2017-09-30 22:01:00 - 2017-10-01 06:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.6312 5.2454 -14.23 -15.295
0.7129 1.0382 -16.58 -18.902
7.8272 -0.9394 -10.82 -7.069
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.078 -0.8142 1.06077 1.7187
-7.576 -0.3630 -0.05769 0.3693
-15.056 -0.9928 1.10979 -0.9371
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.7146 -1.734 4.7069 -3.894
-3.1757 3.410 -2.0033 -2.204
-0.1365 -6.537 0.5671 -4.935
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.869 3.599 3.7519 0.5773
-2.170 1.394 -0.1357 2.0473
-2.103 -3.062 1.1992 11.2487
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
10.171 7.556 10.307 12.246
6.568 9.533 11.826 12.003
8.873 5.064 -1.578 4.753
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.158 -1.2932 -27.56 -11.54
-11.303 0.9637 -29.37 -11.23
-9.932 2.1993 -29.10 -10.85
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2338 -16.691 -11.62 -1.4157
-0.5003 -6.483 -12.48 -0.4039
-0.2501 -14.430 -15.14 -1.3671
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.12 -0.29624 -10.57 -2.393
-17.46 -0.05827 -12.98 -4.292
-11.03 -0.15540 -10.43 -3.930
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.508 -9.203 -16.677 -14.21
-2.176 -12.285 -5.682 -10.81
-1.610 -14.609 -16.524 -15.03
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.3509 -1.005 -0.5662 1.8604
0.8185 -3.247 0.7345 0.2128
3.3039 1.661 1.4453 0.8257
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.4025 0.1004 -5.279 -9.980
1.6045 -0.1929 -5.815 -6.685
0.5019 0.1722 -3.619 -6.496
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.5103 4.423 -7.023 7.8571
7.3151 1.816 -6.534 2.5047
0.5318 2.394 -2.575 -0.1858
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.798 0.4423 -4.168 4.200
4.085 -1.7428 1.290 1.011
6.598 1.1046 -1.731 4.762
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.2648 1.422 0.63697 -1.3828
-1.0553 2.317 -0.95919 0.7576
0.8886 2.054 -0.04843 -1.8396
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.5209 -0.6892 0.1874 1.121
1.8909 3.2910 0.3429 -2.286
0.5524 1.2085 -0.2274 2.312
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.1329 -0.36058 1.285 1.724
0.2680 0.08933 -1.720 -1.171
0.4668 -4.05459 -1.882 -1.870
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.06641 1.2680 -4.73563 0.2106
1.70223 1.0819 0.96813 1.1967
0.92191 0.9914 -0.04201 -0.7775
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.424 1.5258 3.068 7.552
1.518 0.3733 3.223 1.013
-1.009 -0.7508 7.936 5.991
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.803 11.33 2.955 15.612
8.831 12.60 -1.856 4.377
-2.466 4.50 2.976 2.927
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
16.189 1.11543 7.312 1.4879
12.148 -0.64129 16.927 0.8251
3.301 0.01698 4.773 0.5553
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.41 0.5252 2.282 -1.1538
20.10 0.8963 1.429 -0.9570
10.40 4.9216 0.253 -0.4414
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.6235 4.5859 2.385 16.46627
-0.7543 1.2912 0.749 -3.96049
-1.8263 -0.7906 2.975 0.08197
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7094 0.5239 1.4010 0.1722
1.7593 0.8551 -0.8063 0.2314
-0.6861 -1.4742 -1.0451 -2.4992
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.510 1.15048 -0.9737 -1.861
-2.964 -0.03107 0.2245 1.540
2.954 1.02773 -1.1985 1.085
rnd_95776.volume rnd_95787.volume
-21.413 -9.074
3.764 -11.190
-7.257 -12.541
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.370 0.9417 1.414 1.270 1.354 0.6157 0.7675 1.803 1.994 1.701 1.225
[2,] 1.795 1.1346 1.785 1.640 1.736 0.7132 0.8767 2.062 2.559 2.500 1.683
[3,] 2.084 1.2626 2.068 2.045 2.004 0.8101 0.9836 2.235 2.930 2.813 1.918
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.306 1.160 1.361 1.302 1.665 1.915 1.696 2.377 2.397 1.574 1.270
[2,] 1.852 1.474 1.804 1.814 1.981 2.692 2.395 3.367 3.234 1.974 1.483
[3,] 2.120 1.659 2.152 2.150 2.237 3.276 3.328 4.044 3.819 2.273 1.599
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.603 1.647 0.1980 1.385 1.552 0.4146 1.165 0.2346 1.397 0.6448
[2,] 3.830 2.085 0.2366 1.783 1.934 0.5151 1.586 0.2766 1.750 0.7816
[3,] 4.650 2.408 0.2657 2.078 2.305 0.5615 1.840 0.3096 2.092 0.8804
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3109 1.467 1.349 1.223 1.471 1.141 0.9205 0.3598 0.9546 0.3457
[2,] 0.3554 1.894 1.908 1.533 1.766 1.569 1.1491 0.4805 1.1414 0.4153
[3,] 0.4197 2.174 2.141 1.870 1.974 1.768 1.2625 0.5665 1.2566 0.4720
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.6690 0.7040 1.306 0.6378 1.184 1.519 2.368 1.307 1.432 1.555 0.7932
[2,] 0.8348 0.8796 1.678 0.7843 1.568 1.797 2.773 1.576 2.177 1.869 0.9476
[3,] 0.9608 1.0249 2.032 0.9008 1.879 2.016 3.103 1.837 2.601 2.073 1.0670
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.378 1.292 1.199 0.7389 1.327 0.3110 0.979 0.3866 0.9276 0.8824
[2,] 1.961 1.773 1.727 1.4030 1.582 0.3939 1.302 0.4761 1.1553 1.0800
[3,] 2.468 2.111 2.057 1.8272 1.794 0.4659 1.809 0.5442 1.4283 1.2309
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.090 1.561 0.5121 1.080 0.7394 1.121 0.6251 1.536 1.316 1.993 1.785
[2,] 1.500 2.145 0.6071 1.631 0.8618 1.846 0.7329 1.790 1.802 2.337 2.510
[3,] 1.726 2.414 0.6956 1.877 0.9658 2.111 0.8527 2.025 2.088 2.690 2.828
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 2.444 1.825 1.116 0.3724 1.265 1.271 1.216 0.8246 0.9247 0.3895
[2,] 2.930 2.773 2.239 0.4672 2.118 1.453 1.861 0.9946 1.1289 0.4424
[3,] 3.238 3.270 2.766 0.5291 2.807 1.590 2.629 1.1297 1.3405 0.5139
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 0.9729 0.9523 2.379 2.499 0.4559 0.4678 0.7924 0.8285 1.072 0.5388
[2,] 1.5024 1.1395 2.777 3.114 0.7620 0.9270 1.0162 1.0324 1.280 0.6649
[3,] 1.7632 1.2819 3.071 3.649 0.9957 1.1682 1.2308 1.2361 1.470 0.7419
[,95] [,96] [,97] [,98]
[1,] 0.3453 0.6889 4.518 1.488
[2,] 0.3939 0.8115 6.287 1.872
[3,] 0.4376 0.9136 7.301 2.144
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.74 1.196 1.796 1.613 1.719 0.7818 0.9746 2.289
[2,] 1162.85 634.985 1092.659 1041.530 1090.759 361.3479 425.2928 1005.343
[3,] 1063.66 556.003 1047.107 1225.438 1004.607 385.4299 447.5284 865.283
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.532 2.16 1.556 1.658 1.474 1.728 1.653 2.114
[2,] 1609.509 1838.34 1157.331 1317.513 912.587 1189.094 1267.599 1078.017
[3,] 1433.139 1294.61 923.218 1036.119 764.576 1176.658 1158.314 1041.840
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.432 2.153 3.018 3.044 1.999 1.613 3.305
[2,] 1898.575 1697.141 2392.956 2178.948 1196.149 768.094 2819.438
[3,] 1873.784 2318.533 2247.724 2039.368 1129.996 600.871 2645.865
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 2.091 0.2515 1.758 1.971 0.5265 1.48 0.2979
[2,] 1283.897 129.9087 1127.811 1157.286 306.7745 1079.79 147.0387
[3,] 1207.898 121.4110 1069.841 1258.213 224.3099 935.67 139.5129
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 1.774 0.8188 0.3948 1.863 1.713 1.553 1.868
[2,] 1058.078 443.2911 172.9146 1202.344 1353.840 928.302 980.703
[3,] 1150.824 406.6079 223.9659 1070.470 974.649 1074.959 885.891
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.449 1.169 0.4569 1.212 0.439 0.8495 0.8939 1.659
[2,] 1080.675 690.364 319.6473 627.861 230.932 501.0435 529.1646 1056.933
[3,] 818.032 524.741 301.0087 527.571 225.185 477.4588 528.0979 1150.849
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.8099 1.503 1.93 3.007 1.66 1.819 1.974 1.007
[2,] 458.1081 1032.651 963.52 1448.452 883.06 1645.074 1041.810 520.243
[3,] 444.6360 1038.404 915.70 1397.991 947.69 1429.735 898.274 492.294
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.749 1.641 1.522 0.9383 1.685 0.395 1.243 0.491
[2,] 1400.069 1218.452 1248.065 1196.9029 863.845 242.567 860.764 278.716
[3,] 1504.590 1149.542 1121.008 1174.8150 848.068 249.747 1260.822 264.657
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.178 1.121 1.384 1.982 0.6503 1.371 0.9389 1.424
[2,] 691.188 624.894 1034.711 1476.582 327.1959 1227.432 444.2905 1471.312
[3,] 842.898 592.591 856.397 1112.026 340.8709 932.703 437.6902 1028.075
[,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.7938 1.951 1.672 2.531 2.266 3.104 2.318
[2,] 383.8760 921.706 1235.230 1224.947 1771.434 1621.161 2094.615
[3,] 437.4467 951.845 1057.321 1335.731 1308.261 1384.874 1739.306
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.417 0.4729 1.606 1.614 1.544 1.047 1.174 0.4945
[2,] 1947.825 283.0276 1704.515 705.864 1414.471 558.215 649.965 210.6193
[3,] 1631.140 249.2598 1848.483 650.128 1862.671 537.505 725.467 262.3688
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.235 1.209 3.022 3.173 0.5789 0.594 1.006 1.052
[2,] 1149.020 627.965 1436.553 1864.075 612.8121 803.199 638.403 618.099
[3,] 926.153 589.464 1317.107 1910.154 643.1097 713.472 696.907 682.175
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.361 0.6842 0.4385 0.8748 5.737 1.889
[2,] 703.081 391.0699 190.2088 430.5142 4388.418 1140.214
[3,] 724.054 330.1638 191.4122 421.2025 3724.600 1049.158
[1] "--- VAR model 2017-09-30 22:01:00 completed"
[1] "Completed training sample: 2017-09-30 22:01:00 - 2017-10-01 06:00:00"
[1] "SpVAR; training sample: 2017-09-30 22:31:00 - 2017-10-01 06:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
19.965 1.549 -24.04 -22.58
8.633 3.024 -20.77 -19.32
11.122 -3.234 -19.78 -22.84
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-20.46 -1.3117 2.727 5.745
-21.96 3.9807 5.036 2.049
-24.74 -0.6653 3.182 4.392
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.0855 6.4575 13.189 -9.267
8.6758 2.7669 2.868 -4.390
-0.3115 -0.7556 4.124 -3.324
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.967 -4.473 -2.340 6.283
2.998 -5.073 -7.012 11.405
-2.073 2.229 1.626 9.184
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.328 7.391 -0.8912 5.068
3.114 6.881 15.6734 14.785
14.052 10.437 -1.9896 6.609
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-25.50 -3.749 -52.52 -18.81
-20.47 -2.249 -51.45 -23.89
-14.91 0.729 -46.30 -25.79
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.5845 -20.41 -18.34 -3.463
-1.1574 -21.25 -27.30 -3.528
-1.5016 -25.65 -25.03 -2.238
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-21.84 -1.666 -21.88 -7.162
-22.21 -1.172 -18.16 -7.362
-20.52 -0.933 -19.55 -5.259
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.570 -20.25 -22.26 -12.48
-5.438 -23.67 -22.68 -21.31
-4.207 -24.38 -24.45 -18.95
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.124 10.151 2.257 0.3697
-5.415 3.264 -3.361 0.9198
2.096 2.933 -1.860 -0.7198
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.4918 0.3638 -12.612 -12.01
0.1643 0.5414 -10.290 -12.37
3.3823 1.5413 -9.504 -12.51
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.4908 6.006 -11.371 1.035
3.0833 1.321 -6.583 1.241
-0.7133 4.227 -8.936 7.942
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.1765 0.1826 2.172 -1.7371
11.6611 -1.4659 -7.892 -1.8066
-0.9632 -0.4137 3.081 -0.7401
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.272 -2.645 -1.888 -4.2037
1.251 -1.101 1.856 0.5268
-2.963 -8.593 -4.775 1.2560
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.3742 4.923 -2.00387 5.914
-0.5589 -5.001 -0.06757 -3.579
0.6495 -2.153 -0.96870 -4.023
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1061 -1.8218 1.7170 1.055
1.4405 0.9535 0.7519 2.410
-1.1079 -4.0833 0.9427 -3.100
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.0458 0.5883 -5.663 1.587
2.4552 0.9593 2.896 -1.372
-0.8541 2.0522 2.487 1.232
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.5441 0.1964 14.703 16.35
1.1455 0.4945 8.485 11.29
-0.9827 -2.5209 12.959 10.60
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.457 26.31 14.339 20.34
4.944 15.64 2.923 19.49
4.056 14.07 15.985 15.44
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
25.12 0.3432 24.22 2.86678
27.22 1.2321 14.11 0.01679
14.01 1.5426 19.53 2.78770
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
27.66 -1.358 -4.8234 0.7214
20.14 2.732 0.1682 0.5056
23.11 2.590 -3.5903 1.1161
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.953 -0.1859 2.3823 0.05857
6.275 3.1502 0.2944 -9.38056
1.314 -2.7084 6.1129 3.07926
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.41440 -0.3020 -1.037 -0.1525
-0.01257 0.3516 2.170 1.8054
1.39322 0.4942 -1.461 -1.2100
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.629 1.4774 -2.558 1.60162
4.589 0.7162 -1.492 -0.08198
-2.987 2.0454 -1.554 0.54022
rnd_95776.volume rnd_95787.volume
-2.849 -24.06
-14.360 -25.00
1.318 -25.76
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.332 0.8591 1.250 1.185 1.134 0.5751 0.7499 1.754 1.933 1.672 1.236
[2,] 1.704 1.0350 1.608 1.507 1.498 0.6608 0.8732 2.013 2.488 2.389 1.685
[3,] 1.932 1.1678 1.814 1.789 1.756 0.7760 0.9763 2.198 2.852 2.766 1.916
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.251 1.178 1.371 1.270 1.526 1.722 1.272 2.068 2.02 1.346 1.235
[2,] 1.801 1.419 1.811 1.746 1.939 2.318 2.220 2.911 2.68 1.733 1.446
[3,] 2.057 1.590 2.135 2.099 2.168 2.927 2.782 3.496 3.22 1.975 1.606
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.323 1.253 0.2084 1.170 1.308 0.4305 1.037 0.2376 1.262 0.6319
[2,] 3.283 1.601 0.2413 1.442 1.650 0.5055 1.434 0.2807 1.584 0.7703
[3,] 3.978 1.902 0.2702 1.737 2.020 0.5662 1.626 0.3059 1.845 0.8680
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3111 1.175 1.195 1.063 1.389 1.086 0.8949 0.3579 0.831 0.3140
[2,] 0.3575 1.561 1.670 1.342 1.707 1.539 1.1140 0.4532 1.046 0.3702
[3,] 0.4111 1.784 1.874 1.569 1.895 1.726 1.2399 0.5341 1.188 0.4382
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.5387 0.6068 1.360 0.6312 1.108 1.425 2.320 1.271 1.409 1.580 0.7561
[2,] 0.6501 0.7326 1.598 0.7958 1.564 1.708 2.659 1.544 2.053 1.868 0.9153
[3,] 0.7402 0.8591 1.823 0.8999 1.810 1.915 2.936 1.768 2.502 2.056 1.0342
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.370 1.243 1.136 0.7109 1.252 0.3097 0.9436 0.3664 0.9101 0.8716
[2,] 1.909 1.742 1.633 1.3713 1.520 0.3844 1.2602 0.4595 1.1314 1.0530
[3,] 2.390 2.039 1.984 1.8023 1.712 0.4489 1.7606 0.5205 1.3496 1.2025
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.009 1.459 0.4973 1.052 0.6827 1.078 0.6161 1.413 1.350 1.888 1.639
[2,] 1.409 1.955 0.5914 1.550 0.7986 1.728 0.7114 1.664 1.725 2.224 2.359
[3,] 1.594 2.252 0.6609 1.827 0.8836 2.040 0.8148 1.845 1.969 2.577 2.674
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 2.345 1.930 1.298 0.3511 1.317 1.080 1.218 0.8425 0.9368 0.3687
[2,] 2.873 2.719 2.133 0.4395 2.146 1.331 1.977 0.9970 1.1214 0.4284
[3,] 3.236 3.207 2.692 0.5043 2.763 1.469 2.623 1.1236 1.3272 0.5021
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 0.9439 0.8621 2.414 2.455 0.3980 0.3842 0.6949 0.7331 1.059 0.4823
[2,] 1.4767 1.0297 2.770 2.977 0.6290 0.7689 0.8658 0.9037 1.281 0.6047
[3,] 1.7592 1.1567 3.014 3.508 0.8444 0.9343 0.9863 1.0107 1.434 0.6921
[,95] [,96] [,97] [,98]
[1,] 0.3156 0.6664 4.479 1.163
[2,] 0.3825 0.7900 6.133 1.515
[3,] 0.4234 0.8618 7.025 1.753
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.691 1.091 1.588 1.505 1.44 0.7303 0.9523 2.227
[2,] 907.275 492.795 862.512 794.343 835.94 277.8144 382.0411 843.791
[3,] 778.629 461.857 717.600 823.949 781.92 347.4283 372.8130 752.912
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.454 2.123 1.57 1.588 1.496 1.741 1.612 1.938
[2,] 1338.129 1456.492 977.86 1106.474 675.402 1009.723 1022.876 1021.575
[3,] 1190.042 1190.129 778.49 848.997 612.404 965.743 994.803 828.384
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.187 1.615 2.626 2.566 1.709 1.568 2.95 1.591
[2,] 1324.361 1552.991 1748.946 1503.631 931.423 641.339 1980.43 851.167
[3,] 1526.113 1432.670 1653.753 1524.639 809.311 596.914 1917.95 876.638
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2646 1.486 1.661 0.5466 1.317 0.3017 1.603 0.8024
[2,] 103.9846 719.886 858.990 226.2667 846.335 127.5470 817.713 376.1254
[3,] 103.6976 826.710 995.763 217.7763 653.912 103.8323 807.183 341.6474
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.395 1.492 1.518 1.35 1.764 1.379 1.136 0.4545
[2,] 150.427 877.253 995.233 699.04 847.036 931.098 566.455 237.2971
[3,] 173.358 738.184 725.740 693.76 702.493 667.126 464.782 241.3032
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.055 0.3987 0.6841 0.7705 1.728 0.8015 1.406 1.809
[2,] 542.270 167.4790 310.7102 350.5131 715.280 413.8473 943.182 804.149
[3,] 481.616 200.1616 302.1548 383.1159 749.412 358.6411 778.063 739.968
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.946 1.614 1.789 2.006 0.9602 1.74 1.578 1.443
[2,] 1109.696 747.666 1275.269 851.110 440.3616 1135.29 1041.835 1001.796
[3,] 1062.587 735.201 1220.105 733.288 411.0618 1226.81 905.713 961.483
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9027 1.59 0.3933 1.198 0.4653 1.156 1.107 1.281
[2,] 1001.2130 736.37 194.4506 713.255 236.7280 573.991 504.570 839.824
[3,] 998.6574 672.15 197.9681 1049.704 208.7108 628.270 495.780 636.833
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.852 0.6315 1.336 0.8669 1.369 0.7823 1.795 1.714
[2,] 1111.889 273.3735 971.841 353.8477 1152.914 303.6886 750.395 917.062
[3,] 954.426 251.8774 825.847 322.6997 925.905 339.2686 680.443 811.239
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 2.397 2.081 2.978 2.451 1.648 0.4458 1.672
[2,] 1003.968 1448.470 1417.325 1634.816 1444.951 225.7442 1447.197
[3,] 1111.707 1074.518 1271.593 1452.334 1403.047 211.1678 1484.951
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.372 1.547 1.07 1.19 0.4682 1.199 1.095 3.066
[2,] 663.347 1329.881 455.14 526.37 186.2628 969.633 480.819 1159.790
[3,] 530.671 1471.632 442.51 606.13 223.5890 816.396 449.869 1013.398
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.117 0.5054 0.4879 0.8824 0.9309 1.345 0.6124
[2,] 1437.476 415.8767 568.6807 440.9577 451.1917 615.779 311.4970
[3,] 1584.447 481.0295 453.1401 403.4204 386.4871 550.429 287.3987
[,95] [,96] [,97] [,98]
[1,] 0.4008 0.8462 5.688 1.477
[2,] 184.4407 362.2161 3577.112 829.561
[3,] 155.0478 294.0123 2925.867 751.860
[1] "--- VAR model 2017-09-30 22:31:00 completed"
[1] "Completed training sample: 2017-09-30 22:31:00 - 2017-10-01 06:30:00"
[1] "SpVAR; training sample: 2017-09-30 23:01:00 - 2017-10-01 07:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.619 1.215 -21.55 -21.12
3.903 4.068 -17.83 -22.41
11.997 2.042 -18.47 -19.77
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.57 2.1759 2.9249 9.457
-13.05 -0.4696 1.1796 3.547
-15.73 -1.5870 0.7119 2.318
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.8179 9.467 5.822 -1.14853
0.8994 3.260 6.203 0.02359
2.2600 -2.314 -2.268 2.29415
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.475 -12.2774 -9.086 13.19
-2.918 6.0013 3.506 5.96
-2.390 0.9975 2.074 11.76
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
13.278 10.289 4.601 14.31
7.629 4.621 24.464 16.25
8.198 11.022 5.283 15.54
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.00 -4.298 -38.78 -22.29
-19.29 -1.590 -39.49 -16.12
-24.78 -1.542 -40.34 -20.91
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04961 -16.61 -14.27 -2.705
-0.98332 -23.01 -18.31 -2.372
-0.85140 -23.87 -24.30 -3.047
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-25.32 -0.5668 -24.00 -1.179
-21.98 -0.6394 -16.32 -4.432
-24.93 -0.6147 -22.31 -3.416
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.468 -17.65 -17.05 -22.66
-3.429 -19.25 -18.10 -16.01
-2.172 -21.64 -20.50 -22.67
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.335 7.364 -1.847 0.5254
6.772 9.576 1.111 -1.6742
6.280 3.602 5.337 -1.0903
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.767 0.09329 -11.13 -9.555
2.639 1.48726 -10.91 -10.709
1.470 1.89138 -9.37 -9.552
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.995 5.2534 -7.582 8.167
2.287 6.4822 -1.649 -6.366
9.056 0.9441 -3.547 1.388
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
18.652 7.870 0.1074 4.2440
-7.839 2.498 0.5667 -0.5295
6.473 1.966 -5.1327 5.8696
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.324 7.5460 2.100 -1.157
3.612 0.7857 3.140 4.589
1.388 -2.1420 3.792 2.765
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.0699 -6.984 1.42710 3.5037
3.3311 6.872 0.03116 -0.4513
0.5494 1.634 0.17859 5.0563
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.8315 -1.7771 -1.4676 -2.4233
2.5034 2.2190 -0.8554 -5.5449
0.1528 0.5707 -2.0691 0.5365
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.538 -0.7769 -0.2407 1.0329
-3.829 0.6074 1.9436 0.6875
1.980 -1.1914 -1.8639 0.3232
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.92432 -0.1791 6.307 5.975
-0.38554 -2.6067 11.337 3.477
-0.07193 -1.7454 10.871 10.593
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.686 2.070 15.270 11.530
4.551 3.999 8.314 4.929
4.269 15.932 14.966 5.028
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
21.774 1.6376 21.666 9.773
15.705 -0.5283 13.016 7.915
1.685 -0.1549 3.107 4.904
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
18.11 1.837 3.700 0.3794
15.71 4.415 1.344 1.5210
16.47 2.864 -3.645 1.5444
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.534 1.686 1.875 3.242
7.440 3.433 -1.074 -6.050
1.671 3.078 7.438 4.769
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6864 2.793 2.959 2.841
3.7536 1.581 3.441 3.560
2.7870 2.956 1.547 1.448
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
7.103 4.4736 0.3244 0.28894
3.519 0.6614 -0.6755 -0.10045
0.672 2.5105 -1.8770 -0.05002
rnd_95776.volume rnd_95787.volume
24.7266 -17.18
-2.2708 -18.53
0.1949 -20.52
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.338 0.828 1.126 1.025 1.050 0.5228 0.7649 1.757 2.025 1.627 1.276
[2,] 1.709 1.007 1.369 1.372 1.264 0.6103 0.8793 2.067 2.555 2.380 1.702
[3,] 1.903 1.144 1.579 1.632 1.567 0.6910 0.9731 2.252 2.875 2.794 1.910
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.198 1.183 1.341 1.220 1.518 1.650 1.139 1.928 2.047 1.262 1.140
[2,] 1.736 1.420 1.794 1.698 1.837 2.193 1.994 2.751 2.585 1.592 1.332
[3,] 1.991 1.572 2.096 2.059 2.107 2.745 2.503 3.209 3.014 1.798 1.433
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.981 1.071 0.2007 1.088 1.261 0.4207 0.8141 0.2416 1.027 0.6017
[2,] 2.971 1.443 0.2369 1.394 1.546 0.4976 1.1382 0.2839 1.296 0.7440
[3,] 3.412 1.686 0.2646 1.647 1.889 0.5581 1.3520 0.3064 1.546 0.8439
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3146 1.067 1.035 0.9992 1.376 1.120 0.8697 0.3677 0.7583 0.3130
[2,] 0.3744 1.325 1.264 1.2170 1.691 1.553 1.0675 0.4553 0.9656 0.3745
[3,] 0.4340 1.534 1.503 1.4285 1.860 1.757 1.1888 0.5282 1.0909 0.4270
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.5010 0.5573 1.288 0.6761 1.122 1.419 2.188 1.250 1.452 1.593 0.7357
[2,] 0.5911 0.6800 1.535 0.8581 1.531 1.684 2.611 1.511 2.103 1.861 0.9150
[3,] 0.6899 0.7767 1.756 0.9443 1.800 1.883 2.860 1.699 2.530 2.058 1.0372
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.384 1.270 1.194 0.6617 1.194 0.3181 0.9691 0.3624 0.9178 0.8714
[2,] 1.854 1.732 1.657 1.3817 1.474 0.3811 1.2816 0.4527 1.1506 1.0340
[3,] 2.321 2.065 1.938 1.7727 1.672 0.4398 1.7085 0.5094 1.3820 1.1738
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 0.9923 1.451 0.4948 1.074 0.6630 1.042 0.5811 1.375 1.414 1.758 1.690
[2,] 1.4002 1.918 0.5920 1.599 0.7542 1.703 0.6819 1.678 1.763 2.166 2.380
[3,] 1.5757 2.187 0.6660 1.843 0.8307 2.061 0.7855 1.876 1.965 2.511 2.717
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 2.303 1.836 1.401 0.3679 1.437 1.127 1.355 0.8649 0.9479 0.3725 0.951
[2,] 2.819 2.552 2.243 0.4523 2.080 1.362 2.064 1.0754 1.0916 0.4499 1.409
[3,] 3.176 2.976 2.685 0.5028 2.632 1.497 2.629 1.1809 1.2973 0.5102 1.693
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.8206 2.230 2.512 0.3943 0.3514 0.5380 0.5666 1.079 0.4654 0.3112
[2,] 0.9975 2.634 2.982 0.5726 0.6565 0.6824 0.7188 1.282 0.6011 0.3688
[3,] 1.1165 2.903 3.402 0.7601 0.7777 0.7994 0.8333 1.457 0.7047 0.4053
[,96] [,97] [,98]
[1,] 0.6240 4.477 1.049
[2,] 0.7628 6.247 1.424
[3,] 0.8261 7.218 1.621
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.7 1.051 1.43 1.302 1.334 0.6639 0.9713 2.231
[2,] 768.4 414.450 562.89 658.982 509.026 227.5966 313.6067 786.749
[3,] 605.2 392.369 569.09 639.848 669.815 234.3480 301.4917 646.241
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.572 2.066 1.62 1.521 1.502 1.703 1.549 1.927
[2,] 1126.996 1256.332 814.36 908.889 568.015 861.617 853.970 749.048
[3,] 952.084 1058.168 626.61 704.734 488.265 783.842 842.263 745.470
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.096 1.446 2.449 2.6 1.602 1.447 2.515 1.36
[2,] 1044.181 1183.977 1418.386 1141.7 702.163 499.084 1601.223 699.59
[3,] 1193.444 1093.868 1194.539 1120.3 604.353 382.241 1213.389 630.40
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2549 1.382 1.601 0.5343 1.034 0.3068 1.305 0.7641
[2,] 90.9477 630.350 647.752 192.0480 575.199 107.7374 570.792 316.4683
[3,] 85.2564 634.022 784.358 182.8251 527.501 83.4093 610.052 287.8977
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.3995 1.356 1.314 1.269 1.748 1.423 1.104 0.4669
[2,] 146.6725 567.264 525.444 502.353 710.544 777.721 447.605 194.1594
[3,] 158.8308 558.825 587.595 540.890 559.317 593.892 378.243 193.5523
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9629 0.3974 0.6362 0.7077 1.635 0.8585 1.424 1.802
[2,] 432.3057 148.7066 226.8350 281.6560 604.342 382.0618 753.613 654.833
[3,] 366.9161 148.3506 257.1846 271.3569 615.891 285.0377 684.330 609.109
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.778 1.588 1.843 2.022 0.9342 1.757 1.613 1.516
[2,] 1030.914 613.982 1100.175 695.368 393.4213 891.625 851.613 830.354
[3,] 844.152 561.216 1017.823 636.899 353.1716 1009.863 812.969 727.166
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.8402 1.516 0.4039 1.231 0.4601 1.165 1.107 1.26
[2,] 877.0269 625.125 151.7613 606.442 196.2259 501.707 402.439 714.25
[3,] 803.0225 570.237 158.7810 816.894 168.8917 553.644 401.678 522.58
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.843 0.6283 1.364 0.842 1.324 0.7379 1.746 1.795
[2,] 906.137 235.0071 856.522 259.840 974.191 258.0587 696.139 761.659
[3,] 760.394 220.6258 662.257 251.914 839.027 281.9477 606.575 627.034
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.233 2.145 2.924 2.332 1.779 0.4672 1.824 1.431
[2,] 914.543 1212.420 1175.705 1281.638 1267.135 190.2890 1087.506 553.917
[3,] 918.327 947.562 1058.466 1107.344 1067.054 158.7603 1166.182 447.957
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.721 1.098 1.204 0.4731 1.208 1.042 2.832 3.189
[2,] 1125.774 462.153 391.400 182.4538 751.969 410.143 1012.654 1162.909
[3,] 1177.608 352.791 506.885 173.9462 678.211 362.555 883.012 1183.809
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.5007 0.4462 0.6832 0.7194 1.37 0.591 0.3952 0.7924
[2,] 300.2534 401.0304 303.5499 319.8755 500.75 275.092 143.1604 317.2135
[3,] 361.4037 301.4237 301.0761 304.7605 500.56 265.963 121.5176 229.3486
[,97] [,98]
[1,] 5.685 1.332
[2,] 3150.150 696.479
[3,] 2615.258 559.879
[1] "--- VAR model 2017-09-30 23:01:00 completed"
[1] "Completed training sample: 2017-09-30 23:01:00 - 2017-10-01 07:00:00"
[1] "SpVAR; training sample: 2017-09-30 23:31:00 - 2017-10-01 07:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-09-30 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.818 3.362 -23.88 -24.47
9.395 3.407 -20.49 -24.02
8.297 2.745 -23.12 -25.29
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.28 -1.096460 1.8061 -3.840
-21.10 -0.001164 2.9094 7.224
-20.33 -2.081287 -0.4498 3.105
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.040 7.402 1.938 -14.651
7.543 -4.280 3.740 -8.446
7.623 8.224 6.960 -4.658
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7116 -10.044 -7.378 12.711
-0.9262 -5.420 -3.206 9.129
6.9553 -2.256 -4.680 12.988
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
16.881 17.439 1.128 -4.921
11.700 4.471 25.529 38.468
-3.523 3.487 13.787 24.213
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-18.93 2.7953 -44.55 -23.92
-25.94 -1.2392 -43.12 -19.32
-26.37 -0.7617 -51.93 -20.78
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.542 -20.05 -24.74 -2.289
-2.154 -25.15 -26.94 -4.956
-2.093 -23.64 -14.62 -4.471
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.90 -2.262 -25.33 -5.715
-24.47 -2.053 -23.46 -8.070
-27.64 -0.492 -20.12 -7.669
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.213 -19.63 -27.69 -22.77
-6.214 -27.14 -23.22 -22.08
-5.309 -23.89 -20.53 -20.93
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-11.288 -8.138 5.480 0.8426
-4.727 -10.416 3.855 -0.3247
6.757 8.372 -1.227 -1.3723
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.268 2.160 -12.61 -14.84
3.084 0.728 -12.45 -16.36
3.352 -1.186 -13.33 -11.91
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.885 2.011 -8.413 3.617
5.437 2.955 -15.058 -3.861
6.872 2.562 -6.835 -1.016
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.172 0.5262 0.7393 7.6370
7.966 -5.8277 0.6378 0.5907
6.707 0.8837 -11.2682 2.2120
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.3651 -2.950 8.831 5.556
1.4749 4.598 2.795 -3.763
-0.3849 6.125 -3.130 3.225
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.4454 3.610 0.8764 -1.607
7.3914 1.332 -0.0173 -4.911
0.5543 -2.182 1.0827 3.094
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0996 -0.6874 0.2964 3.627
-0.5149 -8.1240 1.7330 1.071
0.1225 3.8763 0.6251 -5.335
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.7279 2.2377 0.1455 -1.768
0.9917 1.5137 6.4235 -2.358
-8.7206 -0.8599 -9.1880 2.909
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.4939 0.3729 11.07 11.25
-2.8885 2.8193 12.55 16.03
2.5389 -2.0464 9.73 10.57
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
16.441 29.78 23.38 28.61
7.117 16.12 18.66 39.72
5.138 19.92 15.01 15.34
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.823 1.7164 0.5943 9.5059
28.468 0.4592 25.0212 -0.5734
27.366 0.1704 31.5319 8.7600
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
20.95 -3.1758 -4.1699 -0.7231
11.91 -4.3636 -1.1968 -0.2818
35.72 0.8253 0.2678 1.5790
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.518 2.466 -3.208 5.837
-10.050 7.309 3.099 -5.800
1.730 3.393 -6.786 -4.889
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.60604 0.7233 -0.4944 -2.0830
-0.61602 -1.2759 0.5038 1.2354
-0.02318 -0.4696 -0.6259 0.5601
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.578 2.239 -2.894 -0.92082
1.156 2.077 -1.586 -0.42927
3.285 1.269 -1.150 -0.03042
rnd_95776.volume rnd_95787.volume
-11.15 -22.25
3.66 -22.56
-23.19 -25.84
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 1.370 0.7925 0.9037 0.7476 0.9989 0.4906 0.7399 1.761 1.904 1.642
[2,] 1.741 1.0142 1.0950 1.0093 1.2271 0.5688 0.8757 2.102 2.568 2.344
[3,] 1.981 1.1331 1.2845 1.1935 1.4435 0.6396 0.9649 2.299 2.839 2.696
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 1.299 1.242 1.213 1.435 1.204 1.372 1.514 1.139 1.885 1.909 1.032
[2,] 1.698 1.716 1.423 1.815 1.656 1.718 2.169 2.007 2.693 2.537 1.306
[3,] 1.929 1.983 1.589 2.173 2.041 1.984 2.691 2.567 3.251 3.125 1.520
[,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 1.123 1.852 0.9245 0.2026 0.994 1.059 0.4138 0.7979 0.2451 0.8985
[2,] 1.317 2.541 1.2135 0.2357 1.266 1.319 0.5030 1.0555 0.2866 1.0904
[3,] 1.477 2.954 1.4113 0.2601 1.469 1.581 0.5697 1.1865 0.3117 1.2781
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 0.6056 0.3152 1.045 0.899 0.7513 1.414 1.104 0.8256 0.3522 0.7219
[2,] 0.7283 0.3811 1.204 1.116 0.9307 1.658 1.540 1.0252 0.4384 0.9080
[3,] 0.8262 0.4367 1.380 1.308 1.0913 1.861 1.744 1.1369 0.5123 1.0163
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.3019 0.4813 0.4840 1.275 0.6952 1.107 1.435 2.042 1.178 1.398 1.499
[2,] 0.3736 0.5771 0.5952 1.510 0.8417 1.529 1.658 2.506 1.461 2.173 1.734
[3,] 0.4246 0.6555 0.6697 1.695 0.9643 1.741 1.810 2.707 1.643 2.607 1.925
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.7187 1.328 1.205 1.195 0.6469 1.208 0.3034 0.9846 0.3645 0.905
[2,] 0.8998 1.775 1.686 1.666 1.3360 1.459 0.3529 1.3217 0.4536 1.102
[3,] 1.0043 2.286 2.085 1.952 1.7632 1.624 0.4199 1.7251 0.4906 1.348
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.8729 1.015 1.450 0.5042 0.9974 0.6252 1.056 0.5794 1.349 1.385
[2,] 1.0029 1.418 1.893 0.6010 1.5460 0.7484 1.679 0.6914 1.654 1.798
[3,] 1.1375 1.554 2.115 0.6667 1.7451 0.8291 2.025 0.7855 1.880 2.049
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.789 1.742 2.254 2.000 1.535 0.3456 1.454 1.170 1.461 0.8784 0.9092
[2,] 2.155 2.429 2.758 2.617 2.359 0.4317 2.295 1.411 2.113 1.0955 1.0627
[3,] 2.483 2.757 3.131 3.050 2.875 0.4713 2.777 1.573 2.634 1.2075 1.2558
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.4140 0.9856 0.775 2.175 2.394 0.3687 0.3363 0.5017 0.5291 1.092
[2,] 0.4920 1.3997 1.010 2.575 2.791 0.5352 0.5901 0.5942 0.6149 1.293
[3,] 0.5535 1.6492 1.114 2.857 3.233 0.6656 0.6858 0.6843 0.7017 1.430
[,94] [,95] [,96] [,97] [,98]
[1,] 0.4680 0.3071 0.6243 4.517 0.940
[2,] 0.5728 0.3694 0.7570 6.104 1.233
[3,] 0.6688 0.4153 0.8424 6.969 1.387
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.739 1.006 1.147 0.9493 1.268 0.623 0.9396 2.236
[2,] 689.616 406.311 397.041 435.3325 457.571 184.754 300.6491 736.230
[3,] 607.820 324.313 431.112 408.9105 488.098 187.841 260.1681 599.282
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.417 2.085 1.65 1.578 1.541 1.822 1.529 1.743
[2,] 1107.094 1074.064 702.16 759.468 477.165 713.665 729.394 663.483
[3,] 775.968 854.906 587.51 638.500 454.873 767.261 765.850 636.878
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.923 1.447 2.393 2.424 1.311 1.427 2.352 1.174
[2,] 996.971 1061.134 1235.037 1073.287 513.601 441.278 1117.438 504.628
[3,] 1022.205 1027.043 1169.672 1171.493 498.639 429.184 966.403 462.585
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2573 1.262 1.345 0.5255 1.013 0.3113 1.141 0.7691
[2,] 77.3303 503.331 504.766 183.5843 443.582 95.2899 396.631 259.7241
[3,] 70.5504 478.298 559.333 171.6963 347.861 78.7931 428.120 250.4818
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.4003 1.327 1.142 0.9541 1.796 1.402 1.048 0.4472
[2,] 137.5226 383.526 424.207 352.6164 556.135 688.919 390.249 167.6189
[3,] 136.8756 433.528 438.300 365.8159 541.418 525.250 315.488 170.1416
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9166 0.3834 0.6112 0.6146 1.62 0.8828 1.405 1.822
[2,] 353.6273 141.2550 204.3312 222.4630 518.84 304.6562 677.047 533.549
[3,] 293.0979 129.5647 199.6115 196.9869 494.54 302.1061 535.059 465.745
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.593 1.496 1.776 1.904 0.9126 1.686 1.53 1.517
[2,] 933.144 554.620 1068.244 559.059 347.6208 756.285 757.24 745.751
[3,] 657.147 482.025 924.112 536.895 286.3791 924.764 787.69 653.055
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.8215 1.534 0.3853 1.25 0.4628 1.149 1.108 1.288
[2,] 750.4794 525.359 115.7232 566.05 173.3537 403.459 316.998 636.060
[3,] 738.7151 457.472 146.0578 711.76 119.9468 498.578 344.597 408.028
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.841 0.6402 1.267 0.7939 1.341 0.7357 1.714 1.758
[2,] 781.566 209.9831 758.347 264.1053 838.093 242.2636 614.136 736.314
[3,] 605.041 185.3171 519.621 229.1572 726.305 239.3270 572.982 630.492
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.272 2.212 2.862 2.539 1.95 0.4388 1.847 1.485
[2,] 771.625 1086.742 1020.687 1084.235 1149.67 166.0629 1140.005 506.379
[3,] 791.636 837.712 951.544 1005.041 1055.79 121.4440 1003.242 447.092
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.855 1.115 1.155 0.5257 1.252 0.9842 2.762 3.04
[2,] 980.433 420.288 353.226 170.6917 638.068 415.9600 884.621 921.61
[3,] 1009.062 326.031 429.611 162.7557 559.850 301.0920 794.379 1047.94
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4682 0.427 0.6371 0.6719 1.387 0.5943 0.39 0.7927
[2,] 249.0545 311.307 204.3568 201.0972 443.818 211.9821 131.74 274.9454
[3,] 254.0487 224.315 217.9643 217.0938 393.378 221.6897 121.92 237.2597
[,97] [,98]
[1,] 5.736 1.194
[2,] 2635.969 512.111
[3,] 2158.028 407.554
[1] "--- VAR model 2017-09-30 23:31:00 completed"
[1] "Completed training sample: 2017-09-30 23:31:00 - 2017-10-01 07:30:00"
[1] "SpVAR; training sample: 2017-10-01 00:01:00 - 2017-10-01 08:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.322 -1.5025 -29.96 -35.90
6.175 -0.2896 -29.34 -29.13
6.723 0.9182 -27.57 -25.08
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-30.70 0.9384 2.7188 0.7641
-34.40 0.9546 1.2018 1.7946
-27.53 1.9204 0.3418 -1.3614
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.1962 1.226 0.07995 -7.902
-2.0759 -2.778 3.33310 -6.912
0.3009 1.628 -1.23274 -5.394
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.925 -3.919 1.88156 16.76
3.257 -2.480 -2.61985 12.22
2.655 -2.066 0.08104 11.95
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
14.271 15.43 11.759 21.23
3.558 12.27 30.635 30.62
5.533 7.63 6.944 15.92
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-32.03 -0.904 -54.73 -24.18
-28.43 -3.799 -61.97 -25.58
-31.68 -5.122 -65.02 -27.74
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.981 -27.60 -25.06 -8.726
-3.272 -27.88 -25.53 -6.198
-3.571 -27.43 -30.16 -6.276
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-35.63 -1.835 -34.59 -6.633
-35.59 -1.121 -24.59 -7.470
-28.64 -2.008 -27.31 -8.427
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.624 -26.79 -27.10 -26.98
-8.292 -27.46 -30.22 -30.19
-7.567 -28.42 -27.75 -24.51
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.1302 1.146 5.423 -0.01417
-0.8798 5.517 3.741 -0.49082
-1.1940 -3.821 2.359 0.32124
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.117 2.0141 -14.54 -17.20
5.160 1.1012 -16.40 -17.61
1.715 0.7273 -16.16 -18.14
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.146 -2.535 -10.874 -0.5692
7.650 -1.545 -10.376 3.3854
6.789 4.840 -4.918 -1.0441
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
18.281 -0.9284 16.146 8.627
10.033 -5.2841 12.581 4.046
7.436 -0.4485 -2.598 2.084
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.694 4.420 -0.6077 -3.348
2.680 14.774 7.1665 1.134
3.220 2.033 4.6775 12.280
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.2475 -5.7016 1.17417 1.861
-0.9803 -6.9003 0.07728 -5.614
5.5686 -0.6972 1.37757 -1.984
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.1062 -2.7915 2.1105 4.714
-0.4004 -0.3392 -1.8984 -3.168
0.6145 -1.6851 0.8367 -3.990
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.310 4.0893 5.4577 1.2913
-8.426 -0.5875 -0.2087 0.8432
-4.260 -2.1124 -5.0952 2.6955
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.017 -3.462 7.3877 4.738
5.036 1.910 1.0841 7.060
-5.204 -1.685 -0.3749 4.487
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.1730 0.5317 19.16 12.85
0.6398 8.7325 13.15 14.25
1.3394 5.8598 11.90 16.06
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.194 0.6731 -2.32 -0.1746
19.267 1.5784 14.34 2.9085
13.905 0.4051 11.17 8.8950
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.731 -3.418 1.896 1.468
7.245 -6.672 2.859 1.817
15.957 -4.952 2.195 1.042
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.439 -0.1336 6.526 10.611
-2.424 -0.6928 -6.536 -2.603
2.947 -0.3422 4.473 -4.008
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.2666 4.2997 2.0393 0.4883
2.4602 -1.2725 0.2018 1.0893
-0.9015 0.4972 2.0363 2.2929
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.535 -2.176 -0.8686 0.8608
1.053 2.378 -1.9511 -0.7485
-2.708 -2.269 -2.3431 1.4570
rnd_95776.volume rnd_95787.volume
35.895 -27.72
11.186 -25.77
7.786 -28.17
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 1.435 0.839 0.9467 0.6920 0.9357 0.4684 0.7597 1.796 1.917 1.627
[2,] 1.756 1.003 1.1561 0.9267 1.1672 0.5287 0.8814 2.189 2.572 2.421
[3,] 2.002 1.128 1.3607 1.0675 1.4161 0.6056 0.9738 2.362 2.819 2.760
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 1.275 1.213 1.177 1.415 1.203 1.446 1.620 1.171 1.941 2.047 0.982
[2,] 1.648 1.744 1.371 1.840 1.724 1.735 2.295 2.095 2.712 2.555 1.204
[3,] 1.862 2.045 1.521 2.218 2.129 2.017 2.776 2.647 3.293 3.112 1.407
[,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 1.137 1.641 0.8817 0.2053 0.8602 1.033 0.4211 0.7226 0.2415 0.8182
[2,] 1.326 2.317 1.1066 0.2515 1.0565 1.306 0.5156 0.9641 0.2822 0.9544
[3,] 1.473 2.675 1.2931 0.2823 1.2194 1.569 0.5797 1.1297 0.3093 1.1213
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 0.6126 0.3056 0.8984 0.8295 0.6315 1.521 1.086 0.8061 0.3610 0.6882
[2,] 0.7238 0.3735 1.0918 1.0537 0.8367 1.784 1.465 0.9788 0.4551 0.8686
[3,] 0.8269 0.4235 1.2735 1.2353 0.9402 1.970 1.675 1.0796 0.5194 0.9987
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.3054 0.4539 0.4574 1.255 0.7480 1.100 1.442 2.080 1.229 1.380 1.497
[2,] 0.3659 0.5425 0.5721 1.477 0.9185 1.478 1.638 2.492 1.455 2.196 1.750
[3,] 0.4100 0.6052 0.6684 1.699 1.0221 1.661 1.819 2.668 1.607 2.627 1.912
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.7230 1.325 1.187 1.192 0.7171 1.109 0.2886 0.9797 0.3481 0.8842
[2,] 0.8760 1.813 1.684 1.675 1.3228 1.356 0.3468 1.2507 0.4401 1.0829
[3,] 0.9884 2.361 2.167 1.997 1.7443 1.524 0.4072 1.6561 0.4799 1.2611
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.8892 0.9872 1.436 0.4721 0.9937 0.6349 1.041 0.5566 1.323 1.389
[2,] 1.0129 1.3576 1.928 0.5945 1.5115 0.7375 1.715 0.6681 1.624 1.848
[3,] 1.1365 1.5108 2.157 0.6653 1.7473 0.8247 2.054 0.7744 1.900 2.090
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.891 1.794 2.392 1.887 1.559 0.3388 1.469 1.209 1.526 0.8507 0.8573
[2,] 2.263 2.527 2.838 2.657 2.344 0.4357 2.233 1.516 2.144 1.0430 1.0802
[3,] 2.497 2.848 3.180 3.056 2.907 0.4848 2.806 1.646 2.657 1.1487 1.2493
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.4009 0.9926 0.8128 2.169 2.323 0.3225 0.3147 0.4957 0.5187 1.057
[2,] 0.4773 1.4412 1.0218 2.540 2.732 0.4830 0.5760 0.5980 0.6060 1.259
[3,] 0.5476 1.6673 1.1401 2.803 3.144 0.6361 0.6629 0.6839 0.6830 1.413
[,94] [,95] [,96] [,97] [,98]
[1,] 0.5015 0.3091 0.6065 4.517 0.9234
[2,] 0.5914 0.3623 0.7458 6.065 1.1676
[3,] 0.6872 0.4084 0.8371 7.019 1.3237
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.822 1.065 1.202 0.8787 1.188 0.5947 0.9647 2.281
[2,] 598.810 325.073 392.585 364.6087 412.720 145.1477 264.3748 739.673
[3,] 569.033 305.918 424.517 313.5312 474.415 174.6384 244.9301 526.145
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.434 2.066 1.619 1.54 1.495 1.797 1.528 1.837
[2,] 1014.828 1060.778 617.414 741.04 415.870 695.642 730.208 566.734
[3,] 682.940 783.810 512.693 631.67 388.578 732.965 739.498 608.811
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.057 1.488 2.465 2.599 1.247 1.444 2.084 1.12
[2,] 962.039 1027.522 1120.260 905.051 412.566 404.015 967.189 395.60
[3,] 923.135 956.720 1105.616 1051.107 430.515 378.901 790.694 395.81
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2607 1.092 1.312 0.5348 0.9175 0.3067 1.039 0.778
[2,] 85.9597 362.836 472.852 175.9586 377.5602 86.3621 290.644 228.032
[3,] 75.8499 360.178 514.295 156.8017 348.3270 74.8983 348.181 236.526
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.388 1.141 1.053 0.802 1.931 1.379 1.024 0.4585
[2,] 127.104 367.078 384.319 324.677 552.151 581.135 328.446 163.9479
[3,] 118.064 387.818 381.469 253.634 493.094 481.299 269.452 148.0043
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8738 0.3878 0.5763 0.5808 1.594 0.9499 1.397 1.832
[2,] 313.5146 119.2215 175.7503 203.2719 460.391 315.3464 583.361 458.669
[3,] 291.6089 109.4440 158.7582 204.5582 496.329 265.2440 449.288 467.943
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.642 1.56 1.752 1.901 0.9182 1.683 1.507 1.513
[2,] 811.395 461.26 1010.843 536.264 292.5441 731.973 706.978 696.054
[3,] 564.758 403.06 852.546 455.547 270.8442 894.448 806.618 644.080
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9106 1.408 0.3665 1.244 0.442 1.123 1.129 1.254
[2,] 657.5721 461.988 113.7924 459.904 159.291 369.877 286.894 551.310
[3,] 672.6658 410.510 126.2197 642.240 113.200 382.324 304.993 392.225
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.823 0.5995 1.262 0.8062 1.322 0.7068 1.68 1.764
[2,] 761.139 213.7828 673.791 222.0612 806.248 218.5365 557.06 721.213
[3,] 572.014 176.5941 518.606 218.2977 668.394 231.7296 582.97 576.816
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.401 2.278 3.038 2.396 1.98 0.4302 1.865 1.536
[2,] 735.635 1053.168 902.592 1106.083 1035.83 162.0972 994.756 540.430
[3,] 624.734 776.964 849.383 893.301 1017.19 125.7075 1005.957 380.107
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.938 1.08 1.089 0.509 1.26 1.032 2.754 2.95 0.4096
[2,] 890.758 356.96 388.740 153.234 618.17 366.306 781.642 850.92 212.7110
[3,] 929.098 284.74 371.272 158.879 495.91 299.197 701.503 920.00 244.8929
[,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.3997 0.6294 0.6587 1.342 0.6368 0.3925 0.7701
[2,] 285.3469 197.9378 185.3747 405.051 185.4305 111.7845 256.8280
[3,] 194.1481 196.3488 186.3282 378.805 207.1102 111.5819 224.8310
[,97] [,98]
[1,] 5.736 1.173
[2,] 2394.600 422.730
[3,] 2089.325 368.996
[1] "--- VAR model 2017-10-01 00:01:00 completed"
[1] "Completed training sample: 2017-10-01 00:01:00 - 2017-10-01 08:00:00"
[1] "SpVAR; training sample: 2017-10-01 00:31:00 - 2017-10-01 08:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5225 -3.7699 -39.54 -37.55
3.4510 1.0543 -46.42 -39.56
7.3500 -0.3777 -42.69 -38.32
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-32.08 0.5851 0.01563 3.458
-35.89 0.7092 1.39567 -10.145
-35.46 -0.7451 1.00623 -4.595
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.932 2.686 -5.324 -8.557
-2.085 -3.872 5.053 -10.944
-2.516 -4.373 -5.332 -8.438
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
6.235 -3.877 -9.324 18.450
-1.444 -1.615 6.249 3.693
5.829 -2.025 -5.390 14.432
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.6092 20.0084 12.684 20.46
14.2713 0.9447 -4.269 19.01
0.4009 9.1936 19.248 21.83
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-38.41 -6.294 -85.97 -41.90
-48.90 -3.193 -86.66 -38.72
-46.11 -7.585 -95.27 -46.49
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.596 -45.55 -42.52 -8.015
-4.794 -44.93 -42.85 -8.967
-5.061 -39.45 -43.22 -6.618
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-37.49 -3.618 -40.16 -10.19
-42.03 -2.330 -39.84 -11.86
-42.07 -2.863 -42.51 -13.95
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.694 -38.94 -40.43 -39.68
-6.543 -33.76 -39.28 -38.72
-6.115 -35.72 -37.99 -37.78
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.306 2.821 -1.0736 -0.2715
5.297 4.626 3.1219 -0.5853
6.874 -4.232 -0.4849 -0.7687
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.852 0.6685 -20.79 -25.54
4.197 -0.8158 -22.57 -24.26
1.926 0.7754 -21.42 -23.89
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.653 -4.2788 -8.15 -2.686
3.778 4.8986 -11.28 3.146
1.279 -0.5792 -13.50 9.982
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.030 2.562 -8.371 -6.389
3.796 2.429 -11.728 5.267
3.911 1.293 -2.007 1.098
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.5828 -8.602 -10.0385 -7.920
5.1650 -3.684 -0.1411 -4.279
0.4485 -10.039 -9.7015 2.004
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.970 0.9372 0.11407 -2.2431
-9.898 1.5982 0.09813 -4.4017
-2.744 1.6064 0.04878 -0.8158
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.2506 -5.2190 -0.1244 -1.950
0.7447 0.6068 4.1046 -8.293
-1.3278 0.2679 -2.0164 6.054
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.322 -0.8429 -4.565 2.7314
-9.741 0.4135 -10.842 -1.0330
7.667 1.1871 1.464 0.7829
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.208 3.8274 9.108 -1.586
-1.397 -0.7963 2.412 4.692
-11.318 -1.8454 3.382 7.368
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.343 0.2004 28.58 13.703
-4.927 3.3559 19.98 28.633
-1.105 -2.5120 26.88 5.415
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
22.89 1.8465 17.82 2.490
18.42 0.5296 17.99 6.880
16.05 1.0220 23.94 7.146
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.35 -4.995 -0.6877 0.7427
21.69 -9.704 -4.7837 -0.1958
26.54 -6.222 -2.1146 1.1965
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.3405 -2.70363 9.927 -3.482
2.9216 0.05598 -4.441 -29.273
0.9539 -1.73960 11.790 2.926
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.08866 2.615 2.085 2.5788
3.90515 0.536 2.643 1.2319
2.13182 2.067 1.592 0.1166
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.9543 -2.8709 -1.846 4.1842
0.7331 3.9983 -4.003 -1.5198
-5.4965 0.9585 -3.501 -0.6396
rnd_95776.volume rnd_95787.volume
6.126 -38.33
-19.820 -37.37
-8.352 -44.52
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 1.505 0.8234 1.008 0.8031 0.9551 0.4444 0.7263 1.877 1.904 1.478
[2,] 1.856 1.0248 1.221 1.0557 1.1710 0.5199 0.8767 2.218 2.548 2.434
[3,] 2.121 1.1507 1.469 1.2111 1.3804 0.5771 0.9748 2.444 2.808 2.784
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 1.343 1.231 1.203 1.442 1.196 1.361 1.635 1.160 1.872 1.929 0.9861
[2,] 1.654 1.830 1.426 1.852 1.674 1.624 2.414 2.272 2.694 2.494 1.1926
[3,] 1.860 2.149 1.581 2.220 2.154 1.864 2.873 2.745 3.471 3.110 1.4055
[,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 1.147 1.596 0.8861 0.2170 0.9289 0.9137 0.4230 0.783 0.2405 0.7748
[2,] 1.419 2.204 1.0762 0.2604 1.1242 1.1650 0.5266 1.059 0.2850 0.9402
[3,] 1.611 2.537 1.2595 0.2946 1.3021 1.3777 0.6040 1.229 0.3098 1.0916
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 0.6336 0.2969 0.9271 0.8351 0.6503 1.594 1.117 0.8313 0.3559 0.6744
[2,] 0.7252 0.3670 1.1383 1.0489 0.8798 1.842 1.516 1.0046 0.4572 0.8471
[3,] 0.8406 0.4232 1.3290 1.1968 1.0227 2.000 1.751 1.0826 0.5158 0.9848
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.3013 0.4365 0.4820 1.208 0.7787 1.074 1.336 2.033 1.193 1.355 1.439
[2,] 0.3562 0.5293 0.5996 1.418 0.9305 1.474 1.503 2.427 1.422 2.187 1.734
[3,] 0.4032 0.6037 0.6889 1.625 1.0428 1.633 1.713 2.573 1.589 2.592 1.893
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.7092 1.361 1.246 1.215 0.7458 1.123 0.2879 0.9528 0.3583 0.8711
[2,] 0.8581 1.895 1.699 1.698 1.3041 1.416 0.3452 1.2658 0.4398 1.1107
[3,] 0.9874 2.365 2.131 1.973 1.7031 1.537 0.3961 1.6728 0.4788 1.2931
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.8525 0.9855 1.412 0.5092 1.021 0.6108 1.043 0.5693 1.415 1.448
[2,] 0.9959 1.3595 1.854 0.6146 1.532 0.7527 1.638 0.6736 1.759 1.931
[3,] 1.1240 1.5349 2.081 0.6759 1.808 0.8341 2.008 0.7815 2.068 2.202
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.854 1.839 2.378 1.898 1.571 0.3596 1.486 1.250 1.664 0.8299 0.8658
[2,] 2.196 2.567 2.798 2.700 2.353 0.4328 2.231 1.582 2.198 1.0082 1.0875
[3,] 2.462 2.890 3.140 3.156 2.901 0.4844 2.864 1.740 2.709 1.1225 1.2744
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3977 1.052 0.7979 2.207 2.443 0.3174 0.3025 0.4742 0.4843 1.028
[2,] 0.4819 1.438 1.0467 2.633 2.784 0.4514 0.5409 0.5602 0.5660 1.247
[3,] 0.5602 1.702 1.1714 2.884 3.267 0.5693 0.6263 0.6490 0.6367 1.416
[,94] [,95] [,96] [,97] [,98]
[1,] 0.5125 0.2966 0.5924 4.432 0.9298
[2,] 0.6082 0.3558 0.7457 5.941 1.1516
[3,] 0.6950 0.4030 0.8352 6.811 1.3189
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.911 1.046 1.28 1.02 1.213 0.5643 0.9222 2.384
[2,] 560.011 314.498 355.07 353.19 349.261 139.0576 253.1299 609.144
[3,] 529.414 269.730 421.25 305.96 376.735 129.1429 219.6462 528.533
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.418 1.876 1.705 1.563 1.528 1.831 1.519 1.728
[2,] 872.421 997.130 497.236 697.733 394.673 599.668 603.261 457.505
[3,] 608.941 696.617 438.758 581.002 351.349 631.009 698.881 470.949
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.076 1.473 2.377 2.449 1.252 1.456 2.027 1.125
[2,] 915.424 1006.820 998.596 814.669 345.705 431.303 783.190 314.804
[3,] 802.794 794.173 1128.471 957.771 383.334 392.418 647.341 337.335
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2755 1.18 1.16 0.5372 0.9943 0.3053 0.9839 0.8045
[2,] 74.2201 326.42 372.55 161.6577 367.8004 78.8177 274.4798 181.9094
[3,] 70.9858 338.59 379.07 152.4574 321.1249 62.6370 285.8738 219.0619
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.3771 1.177 1.06 0.8258 2.024 1.419 1.056 0.4519
[2,] 111.1952 340.418 327.13 305.4791 476.530 528.315 290.771 147.9886
[3,] 108.6254 353.620 297.01 268.7218 401.136 451.791 207.903 122.9890
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8564 0.3827 0.5543 0.612 1.534 0.9888 1.364 1.696
[2,] 264.1795 97.9100 154.3148 183.836 382.885 262.5245 520.211 355.245
[3,] 258.8874 97.3659 149.6461 174.807 409.500 242.6851 362.062 423.131
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.582 1.515 1.721 1.828 0.9006 1.728 1.583 1.543
[2,] 683.672 398.568 884.974 498.688 248.9624 679.243 595.129 611.196
[3,] 438.956 365.600 717.018 391.096 251.7701 729.351 662.903 518.395
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.947 1.425 0.3656 1.21 0.455 1.106 1.083 1.251
[2,] 551.387 445.199 98.2176 429.53 131.435 355.252 265.410 482.675
[3,] 564.588 307.288 100.1270 563.72 97.645 341.255 268.547 367.226
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.792 0.6466 1.297 0.7757 1.325 0.7229 1.797 1.838
[2,] 619.648 177.4342 588.900 226.6930 650.730 185.5774 538.574 658.525
[3,] 487.011 144.9517 494.082 185.1991 598.492 204.2999 560.656 545.660
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.355 2.335 3.019 2.41 1.995 0.4566 1.888 1.587
[2,] 606.552 922.882 759.778 989.59 902.967 124.1059 857.527 500.382
[3,] 573.262 684.309 735.539 842.62 874.422 112.1366 926.032 372.498
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.113 1.054 1.099 0.505 1.336 1.013 2.803 3.102
[2,] 740.367 295.011 339.195 140.316 505.150 349.190 739.514 688.771
[3,] 816.476 254.397 342.467 147.170 469.259 271.015 607.419 880.900
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.403 0.3842 0.6022 0.615 1.305 0.6508 0.3766 0.7522
[2,] 165.481 231.0891 153.7386 150.945 364.146 168.7989 101.3555 233.4722
[3,] 178.746 162.7298 168.8767 150.277 345.174 173.3209 97.5299 193.8583
[,97] [,98]
[1,] 5.628 1.181
[2,] 2038.807 350.215
[3,] 1717.559 331.394
[1] "--- VAR model 2017-10-01 00:31:00 completed"
[1] "Completed training sample: 2017-10-01 00:31:00 - 2017-10-01 08:30:00"
[1] "SpVAR; training sample: 2017-10-01 01:01:00 - 2017-10-01 09:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
24.217 4.521 -47.23 -58.96
23.539 -5.716 -45.81 -38.77
9.769 6.968 -49.14 -51.95
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-35.81 -0.6582 7.118 -21.867
-44.98 -1.8097 3.445 -3.780
-40.63 -0.6457 5.268 5.441
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-11.114 1.056 9.215 -19.35
-10.315 -22.987 -9.580 -14.94
9.555 8.641 1.461 -17.38
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1761 -12.382 -13.250 13.019
1.0590 -4.834 -7.306 7.769
-1.5646 -17.729 -8.479 13.769
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.7811 11.4428 12.101 23.219
-2.3064 -0.5259 24.309 32.630
6.9190 2.1931 -1.857 -1.942
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-52.32 -3.118 -112.12 -44.33
-33.44 -8.793 -83.40 -50.48
-52.15 7.131 -81.47 -36.76
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.840 -40.76 -48.22 -10.214
-6.143 -51.17 -38.64 -8.576
-5.149 -41.53 -51.38 -10.798
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-55.85 -3.986 -50.13 -14.98
-42.67 -4.379 -38.07 -17.13
-51.65 -3.841 -44.41 -15.53
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.040 -42.34 -45.70 -38.65
-9.184 -42.82 -43.43 -49.91
-10.031 -50.20 -52.71 -41.49
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.95408 -2.6881 0.9716 1.945
0.07714 4.8855 1.7877 3.859
5.91315 -0.9766 -3.4589 1.107
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.542 2.4586 -17.80 -27.93
1.227 0.5835 -26.18 -28.28
3.029 1.5422 -26.90 -27.39
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.4231 9.984 -28.78 15.795
4.9591 4.416 -20.31 5.052
-0.4903 -1.211 -13.21 5.026
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.4427 -8.682 -0.3914 8.107
5.9175 2.671 -10.3070 6.291
19.7700 -4.906 -9.8406 6.359
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.1651 16.8583 1.245 -6.881
-4.1510 -19.5518 -2.472 8.190
0.7005 -0.7227 -16.245 -12.499
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.499 -1.866 0.5161 3.876
-3.787 3.131 -0.3809 -1.904
-1.218 7.257 0.4001 -1.458
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
5.0491 1.758 1.137 -6.2121
-0.9247 1.203 -2.292 -4.2802
2.0216 -3.085 -1.385 -0.3254
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.74219 0.9461 -11.338 0.6648
-0.07367 0.3618 5.483 3.6636
-0.79316 3.0122 -10.577 -2.4067
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.4316 -5.8343 22.79 16.12
-5.6866 0.6086 15.18 20.17
-5.1350 1.1370 18.52 15.23
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.7312 42.92 32.67 8.131
-0.1317 16.89 43.33 33.847
14.6971 20.32 34.23 44.058
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.54 -1.40888 28.39 16.604
37.46 -0.01605 17.11 1.269
38.69 0.80928 38.89 18.350
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
33.45 -1.561 -1.994 2.5267
18.95 2.324 6.113 0.3924
40.13 -1.613 -3.431 3.0697
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.2409 6.905 -2.344 6.086
1.4971 -6.308 10.662 -1.375
5.8186 3.233 -23.629 7.718
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.3633 5.726 3.624 1.726
2.9792 -2.135 -2.141 1.649
-0.2504 4.676 2.986 2.100
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.04841 0.6596 -6.472 0.9778
2.63461 -0.9042 -3.504 0.9261
-0.55147 -1.1627 -4.784 -0.9772
rnd_95776.volume rnd_95787.volume
7.979 -52.53
-15.669 -46.39
-13.554 -39.72
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.514 0.8564 1.195 0.8311 1.034 0.4146 0.7544 1.807 1.889 1.516 1.282
[2,] 1.915 1.0393 1.550 1.1358 1.325 0.4906 0.9076 2.165 2.541 2.380 1.571
[3,] 2.187 1.1376 1.815 1.3937 1.549 0.5400 1.0010 2.438 2.842 2.716 1.769
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.244 1.240 1.538 1.292 1.441 1.715 1.193 1.848 1.896 1.312 1.256
[2,] 1.811 1.424 1.945 1.851 1.682 2.491 2.368 2.699 2.506 1.625 1.590
[3,] 2.176 1.638 2.349 2.368 1.896 2.930 2.814 3.493 3.155 1.847 1.806
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.846 0.9498 0.2284 0.9792 1.022 0.4282 0.838 0.2552 0.8805 0.6403
[2,] 2.779 1.2264 0.2842 1.2260 1.296 0.5438 1.163 0.2894 1.1185 0.7555
[3,] 3.390 1.4925 0.3257 1.4362 1.537 0.6342 1.386 0.3154 1.2912 0.8481
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3148 1.042 0.8043 0.7986 1.608 1.155 0.8421 0.3639 0.7066 0.2908
[2,] 0.3943 1.323 1.0716 1.0354 1.881 1.599 1.0326 0.4646 0.8747 0.3531
[3,] 0.4412 1.558 1.2647 1.2594 2.074 1.804 1.1376 0.5145 1.0171 0.3995
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.4447 0.4909 1.190 0.7943 1.035 1.356 2.168 1.175 1.450 1.465 0.6737
[2,] 0.6019 0.6183 1.434 0.9609 1.450 1.555 2.439 1.389 2.240 1.694 0.8329
[3,] 0.6893 0.7244 1.644 1.0791 1.629 1.738 2.610 1.567 2.614 1.846 0.9463
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.339 1.268 1.259 0.764 1.128 0.2851 0.980 0.3415 0.8776 0.8293
[2,] 1.998 1.767 1.710 1.337 1.411 0.3398 1.343 0.4175 1.0671 0.9889
[3,] 2.501 2.259 2.077 1.786 1.569 0.3962 1.746 0.4664 1.2656 1.1218
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.9286 1.290 0.4889 1.032 0.6331 0.9031 0.5730 1.440 1.458 1.982
[2,] 1.3399 1.746 0.5988 1.549 0.7530 1.4556 0.6845 1.805 2.009 2.268
[3,] 1.5265 1.989 0.6735 1.809 0.8503 1.8597 0.7744 2.196 2.286 2.465
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.802 2.514 1.894 1.555 0.3669 1.553 1.281 1.621 0.9063 0.8708 0.4025
[2,] 2.632 2.898 2.656 2.388 0.4557 2.309 1.598 2.196 1.1584 1.0525 0.4956
[3,] 3.020 3.169 3.103 2.882 0.5104 2.923 1.780 2.880 1.3075 1.2341 0.5823
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 1.095 0.8331 2.152 2.474 0.3105 0.3032 0.4828 0.5205 0.9957 0.5520
[2,] 1.436 1.0912 2.595 2.812 0.4365 0.5802 0.5814 0.5985 1.2354 0.6456
[3,] 1.708 1.2142 2.906 3.219 0.5728 0.6561 0.6564 0.6779 1.4367 0.7110
[,95] [,96] [,97] [,98]
[1,] 0.2798 0.5966 4.707 0.9592
[2,] 0.3566 0.7427 6.258 1.2982
[3,] 0.4002 0.8294 7.224 1.5258
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.923 1.088 1.517 1.055 1.313 0.5265 0.9579 2.295
[2,] 701.880 352.633 591.225 463.649 495.824 157.0678 302.3032 713.581
[3,] 633.159 277.123 566.439 483.692 480.696 135.1759 252.8113 671.530
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.399 1.925 1.628 1.58 1.575 1.953 1.64 1.83
[2,] 1017.301 1098.988 544.011 787.83 419.583 713.036 794.40 519.26
[3,] 763.105 784.068 487.229 722.59 484.621 788.594 884.46 524.56
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.178 1.515 2.347 2.408 1.666 1.595 2.344 1.206
[2,] 1081.579 1225.171 1178.483 980.983 573.785 583.998 1244.020 464.709
[3,] 924.348 910.127 1327.300 1148.422 526.681 512.749 1162.975 509.460
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.29 1.243 1.297 0.5438 1.064 0.3241 1.118 0.8131
[2,] 101.26 441.854 477.818 200.7431 483.111 81.7133 413.190 240.0808
[3,] 95.36 448.068 494.365 195.3968 451.787 75.1277 386.355 230.8366
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.3998 1.323 1.021 1.014 2.042 1.466 1.069 0.4621
[2,] 142.1487 488.908 424.138 394.677 584.068 662.821 357.923 173.0277
[3,] 118.5529 492.314 402.207 429.386 523.494 500.175 285.915 132.4248
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8973 0.3692 0.5647 0.6233 1.512 1.009 1.314 1.722
[2,] 308.7734 119.9560 242.9465 225.1902 479.375 323.910 607.922 456.488
[3,] 310.8729 111.9074 201.1403 226.0155 481.604 294.083 444.699 464.913
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.752 1.491 1.841 1.86 0.8555 1.7 1.611 1.599
[2,] 670.413 443.771 1022.555 509.44 293.3205 888.1 736.710 692.846
[3,] 556.112 434.327 806.672 438.85 268.9939 900.7 843.306 706.411
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9702 1.433 0.3621 1.244 0.4337 1.114 1.053 1.179
[2,] 657.2661 507.787 110.6704 550.068 143.8532 363.601 322.650 578.515
[3,] 708.8072 409.943 122.0145 667.884 124.5569 407.498 317.195 438.039
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.639 0.6208 1.31 0.8039 1.147 0.7277 1.828 1.851
[2,] 704.069 207.1295 692.14 244.1709 683.727 224.2381 651.640 828.265
[3,] 570.662 184.5997 559.62 236.5648 693.211 216.9463 749.860 653.182
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.516 2.288 3.192 2.405 1.975 0.4659 1.972 1.627
[2,] 660.973 1149.017 863.260 1115.397 1085.426 161.9399 1023.209 572.378
[3,] 577.677 887.780 768.669 961.060 966.346 137.6125 1073.650 468.974
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.058 1.151 1.106 0.5111 1.391 1.058 2.732 3.142
[2,] 887.401 432.108 353.980 173.2150 556.521 422.065 869.046 800.559
[3,] 1116.096 363.170 385.941 183.1145 553.578 318.907 782.571 938.044
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.3943 0.385 0.6131 0.6609 1.264 0.7009 0.3553 0.7575
[2,] 183.7353 296.274 193.9247 176.9882 437.969 200.6205 132.4325 264.9871
[3,] 222.1695 183.460 182.5310 190.7048 439.219 178.3525 108.7691 221.1141
[,97] [,98]
[1,] 5.978 1.218
[2,] 2469.709 523.953
[3,] 2161.580 480.135
[1] "--- VAR model 2017-10-01 01:01:00 completed"
[1] "Completed training sample: 2017-10-01 01:01:00 - 2017-10-01 09:00:00"
[1] "SpVAR; training sample: 2017-10-01 01:31:00 - 2017-10-01 09:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
9.944 -5.742 -43.70 -49.30
18.085 8.687 -57.43 -51.57
8.385 7.499 -48.13 -65.78
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-53.53 -5.4237 1.763 -20.6900
-53.48 -2.3047 2.934 0.4837
-66.13 -0.9631 4.193 13.3361
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-17.677 8.877 -6.235 -11.176
1.530 -16.202 -10.057 -20.611
5.955 4.911 1.109 -4.327
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
13.351 -1.4879 -1.017 -2.337
-1.018 -2.4632 10.954 20.745
6.194 0.6571 -8.869 10.586
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.754 18.0753 -2.788 1.026
3.953 0.1956 14.910 18.867
7.081 15.1675 -6.514 17.565
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-44.62 2.622 -125.27 -57.86
-46.88 3.807 -80.88 -56.22
-36.42 -7.173 -106.54 -50.52
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.761 -55.59 -51.69 -13.55
-5.686 -52.40 -56.47 -14.80
-6.027 -55.22 -36.14 -17.28
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-46.63 -3.130 -42.49 -10.30
-52.89 -3.051 -48.61 -10.25
-67.58 -4.970 -59.76 -12.05
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.485 -46.49 -50.39 -52.66
-10.159 -54.86 -46.46 -46.39
-8.377 -59.45 -54.89 -36.43
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.9158 1.343 -4.363 2.774
0.6792 5.467 9.239 -1.053
5.6654 -1.825 5.381 3.657
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3893 -2.956 -27.24 -25.66
4.6254 1.158 -26.90 -28.37
2.9706 2.292 -28.25 -30.93
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.155 4.4977 7.604 7.823
9.950 -0.9082 -17.567 1.718
6.400 10.6237 -14.964 9.881
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
16.248 1.507 -6.581 6.283
5.632 8.413 8.555 3.990
-9.053 7.716 -18.516 10.256
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.678 -18.865 -19.7619 -13.529
3.688 1.053 0.4061 -15.847
-0.555 -1.135 -6.3022 4.418
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.821 0.3216 -0.02933 -14.699
-17.118 -4.4239 -1.25544 -9.573
3.578 -4.8688 1.22829 -14.217
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1275 -5.0699 4.103 11.760
-0.4136 0.8674 5.542 1.355
-0.2666 -8.5300 3.564 2.533
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2832 1.7998 18.606 5.248
19.8902 0.5742 2.800 3.646
16.1347 0.2543 4.042 0.227
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.753 1.7835 27.4644 2.30
9.209 6.7455 10.6503 22.72
5.598 -0.6045 -0.2783 14.32
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.348 10.46 18.89 36.72
2.710 27.24 19.20 18.42
3.106 12.22 27.07 30.87
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
44.85 2.0119 37.10 9.939
14.97 1.8437 27.74 31.802
23.21 -0.1483 10.46 19.811
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
40.43 16.949 0.9303 -6.598
40.75 11.514 -4.1914 -1.267
28.31 9.171 5.3437 1.439
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.19 -2.328 25.023 14.651
10.31 6.224 5.016 -5.403
-3.42 7.131 11.627 3.847
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5624 1.5721 3.5385 2.1184
-1.1698 4.7985 -0.2676 1.5037
1.7247 -0.5287 1.1841 -0.9589
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.281 9.746 -6.231 2.483
-11.438 3.767 -5.943 -3.647
-5.027 -2.932 -3.363 -2.551
rnd_95776.volume rnd_95787.volume
13.065 -47.45
6.268 -51.33
-64.305 -51.84
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.636 0.8599 1.434 1.076 1.142 0.3936 0.8158 1.824 1.922 1.430 1.304
[2,] 2.146 1.0257 1.787 1.432 1.464 0.4559 0.9835 2.271 2.604 2.387 1.601
[3,] 2.411 1.1384 2.108 1.689 1.695 0.5113 1.1009 2.555 2.915 2.744 1.761
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.226 1.234 1.547 1.339 1.388 1.875 1.278 1.813 1.897 1.614 1.261
[2,] 1.805 1.479 1.946 1.940 1.659 2.559 2.388 2.792 2.613 1.963 1.641
[3,] 2.192 1.689 2.413 2.478 1.920 3.048 2.877 3.506 3.200 2.201 1.851
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.939 1.117 0.2449 1.220 1.255 0.4402 1.033 0.2594 1.104 0.6313
[2,] 3.278 1.450 0.3020 1.534 1.688 0.5589 1.396 0.2947 1.380 0.7513
[3,] 3.950 1.810 0.3451 1.949 1.990 0.6633 1.623 0.3316 1.642 0.8478
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3145 1.227 0.9586 1.016 1.676 1.136 0.8875 0.3780 0.6621 0.2766
[2,] 0.4001 1.520 1.2294 1.323 1.941 1.566 1.0771 0.4624 0.8149 0.3565
[3,] 0.4640 1.843 1.4694 1.565 2.158 1.815 1.1828 0.5297 0.9519 0.4105
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.5028 0.6234 1.210 0.8228 1.084 1.369 1.961 1.176 1.430 1.483 0.6738
[2,] 0.6478 0.7457 1.458 0.9845 1.510 1.586 2.334 1.451 2.247 1.732 0.8514
[3,] 0.7359 0.8777 1.656 1.1034 1.688 1.818 2.506 1.618 2.590 1.904 0.9525
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.413 1.299 1.292 0.8351 1.244 0.3006 0.9625 0.3753 0.863 0.8532
[2,] 2.063 1.821 1.751 1.3693 1.515 0.3614 1.3516 0.4532 1.067 1.0015
[3,] 2.606 2.290 2.072 1.7720 1.650 0.4142 1.7577 0.4967 1.274 1.1354
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.9357 1.422 0.5321 1.067 0.6655 0.9102 0.5711 1.622 1.522 2.118
[2,] 1.3636 1.856 0.6317 1.527 0.8129 1.4078 0.6760 1.985 2.165 2.469
[3,] 1.5494 2.101 0.7068 1.811 0.9116 1.8317 0.7698 2.383 2.485 2.737
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 2.044 2.524 2.036 1.676 0.3687 1.548 1.384 1.740 1.020 0.9012 0.4416
[2,] 2.896 2.982 2.806 2.484 0.4637 2.459 1.720 2.319 1.276 1.1055 0.5647
[3,] 3.369 3.331 3.237 3.006 0.5264 3.092 1.963 2.866 1.450 1.2938 0.6550
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 1.090 0.9066 2.280 2.373 0.3114 0.3070 0.4577 0.4991 0.9861 0.5616
[2,] 1.398 1.1623 2.802 2.700 0.4301 0.5483 0.5755 0.5949 1.2943 0.6902
[3,] 1.719 1.2942 3.101 3.091 0.5719 0.6544 0.6620 0.6745 1.5093 0.7742
[,95] [,96] [,97] [,98]
[1,] 0.2885 0.6181 4.619 1.190
[2,] 0.3604 0.7697 6.122 1.527
[3,] 0.4074 0.8427 7.141 1.777
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.078 1.092 1.822 1.366 1.45 0.4998 1.036 2.317
[2,] 896.167 360.821 688.250 610.012 591.85 148.4940 354.518 872.955
[3,] 708.840 318.860 721.698 578.315 550.97 149.3516 319.375 755.167
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.441 1.815 1.656 1.557 1.567 1.965 1.701 1.763
[2,] 1133.739 1233.631 599.378 855.235 526.565 761.298 905.904 585.682
[3,] 846.106 873.309 473.352 802.516 526.359 920.986 995.097 624.562
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.38 1.623 2.302 2.408 2.05 1.601 2.462 1.418
[2,] 1124.01 1301.870 1370.834 1159.651 721.39 677.631 1705.755 597.345
[3,] 1069.06 1035.934 1368.789 1192.986 642.26 553.682 1423.240 698.865
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.311 1.549 1.594 0.559 1.311 0.3293 1.402 0.8016
[2,] 114.031 600.142 728.025 222.225 606.206 90.3521 534.519 262.9904
[3,] 107.771 775.992 680.363 230.630 534.985 98.0866 574.253 253.4497
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.3994 1.558 1.217 1.291 2.128 1.442 1.127 0.48
[2,] 159.6300 579.763 496.762 546.364 632.508 695.996 393.967 171.85
[3,] 151.6952 672.480 519.520 540.205 607.587 591.549 315.440 166.76
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8407 0.3513 0.6385 0.7916 1.536 1.045 1.376 1.739
[2,] 306.5917 145.0941 263.6403 264.0972 525.919 348.852 679.146 516.946
[3,] 317.6482 131.3753 225.3703 298.7990 506.065 321.714 486.873 573.132
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.491 1.494 1.816 1.883 0.8556 1.794 1.649 1.641
[2,] 816.433 548.217 1118.584 578.326 335.9225 969.948 824.208 762.301
[3,] 589.291 461.647 831.559 510.382 275.6753 1028.406 895.528 715.302
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.06 1.579 0.3817 1.222 0.4766 1.096 1.083 1.188
[2,] 700.39 558.149 129.5352 612.453 163.9324 405.014 338.590 640.219
[3,] 726.00 422.521 130.5493 725.336 131.2761 449.252 345.231 474.876
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.806 0.6757 1.354 0.845 1.156 0.7252 2.059 1.933
[2,] 769.272 219.8296 705.445 301.388 693.193 233.4311 739.024 993.376
[3,] 635.359 204.6472 628.221 266.161 756.391 237.6916 850.719 788.394
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.69 2.596 3.205 2.586 2.128 0.4682 1.966 1.757
[2,] 818.48 1323.844 1025.126 1246.162 1183.128 181.4563 1233.050 659.412
[3,] 762.22 1111.445 957.788 1042.213 1092.833 160.9029 1209.899 610.524
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.21 1.295 1.144 0.5608 1.384 1.151 2.895 3.014
[2,] 989.28 494.687 413.238 227.0981 564.955 469.428 1051.674 831.104
[3,] 1087.25 444.889 433.841 214.1981 645.972 367.360 856.658 971.272
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.3955 0.3899 0.5812 0.6338 1.252 0.7131 0.3663 0.785
[2,] 191.4658 293.2154 225.1980 208.9033 541.095 258.9278 139.4623 296.049
[3,] 243.2694 230.5173 211.1032 205.1534 501.160 226.3849 122.5897 221.449
[,97] [,98]
[1,] 5.865 1.511
[2,] 2593.735 616.995
[3,] 2372.483 586.423
[1] "--- VAR model 2017-10-01 01:31:00 completed"
[1] "Completed training sample: 2017-10-01 01:31:00 - 2017-10-01 09:30:00"
[1] "SpVAR; training sample: 2017-10-01 02:01:00 - 2017-10-01 10:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
30.08 1.886 -71.55 -59.25
30.60 -1.644 -56.74 -44.36
34.37 -3.661 -69.95 -74.74
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-61.70 -1.643 -4.2473 13.611
-56.58 -2.251 -0.7501 -12.703
-53.83 -1.899 -5.5338 -4.447
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
8.762 -7.231 -7.870 7.566
4.019 13.604 -1.110 -8.870
-3.574 -5.873 2.581 -8.895
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.040 1.351 4.6814 14.7843
5.034 -3.131 -0.2937 9.8653
0.913 3.108 8.0892 -0.6898
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.738 -0.7156 -4.058 27.31
14.933 18.0731 15.695 28.24
22.467 20.7062 39.952 54.55
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-75.86 0.8607 -156.6 -63.88
-55.64 -5.0231 -133.1 -65.74
-76.90 -9.4313 -135.4 -67.92
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.310 -51.86 -72.54 -13.52
-5.489 -66.88 -67.54 -13.68
-3.896 -42.24 -86.52 -14.14
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-55.97 -4.796 -37.44 -19.97
-62.91 -5.164 -58.54 -25.38
-65.88 -3.924 -39.58 -21.71
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.742 -69.04 -50.15 -59.85
-16.750 -70.40 -67.95 -57.29
-13.421 -71.44 -60.78 -49.97
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.5781 10.804 2.155 4.076
0.6111 3.446 2.475 -5.876
20.9412 -7.430 -5.109 4.950
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4315 2.045 -39.98 -34.26
3.8538 4.288 -40.77 -40.10
-0.1642 2.246 -43.10 -38.95
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.99 5.655 -41.83 10.24
24.36 14.191 -24.43 10.86
10.18 16.325 -34.24 16.75
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-16.138 -10.958 -9.463 -2.416
2.909 -14.534 -14.528 1.711
17.431 -8.171 -15.103 20.740
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.618 -38.571 -7.024 -6.118
10.504 1.098 -6.484 -7.225
1.225 -15.108 -3.068 -12.454
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.217 6.881 1.459 -6.936
-6.884 -6.734 -2.798 -7.178
-15.112 -7.006 -1.911 -12.651
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.53495 -3.599 0.3269 4.673
-0.06709 -9.871 11.6278 5.721
-2.08608 -7.227 5.8873 -5.963
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.831 1.8682 9.392 3.571
10.938 0.3448 -4.218 -3.053
3.737 6.5068 5.960 3.861
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2962 3.431 32.24 32.93
-1.2405 1.619 31.77 19.66
8.5607 -3.356 43.41 30.95
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
42.65 37.72 30.51 33.66
19.54 36.76 43.53 28.31
28.09 47.11 24.20 1.31
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
60.35 -1.5898 58.26 -1.970
61.05 0.1719 67.67 4.611
62.66 -1.9362 67.51 -3.308
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
45.11 -8.965 -4.827 -2.595
71.33 -6.689 -15.990 3.930
60.93 -8.003 -6.995 -1.380
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.961 2.1194 -20.947 24.163
-10.622 -0.8351 -7.868 6.494
-3.313 -7.7014 -8.736 15.877
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
24.12 26.69 20.53 16.51
15.46 12.54 14.71 15.33
13.20 17.71 12.39 14.41
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.147 11.674 -2.968 2.413
-7.809 3.176 -2.233 -8.906
3.088 12.142 -2.138 -2.032
rnd_95776.volume rnd_95787.volume
-51.25 -59.50
-64.83 -60.30
-38.83 -65.72
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.753 0.8652 1.540 1.335 1.391 0.3948 0.8377 1.849 1.990 1.441 1.235
[2,] 2.278 1.0502 2.009 1.873 1.859 0.4449 1.0211 2.271 2.669 2.455 1.555
[3,] 2.627 1.1599 2.439 2.254 2.259 0.4827 1.1261 2.572 3.004 2.837 1.781
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.191 1.224 1.513 1.291 1.549 1.959 1.396 1.816 2.016 1.759 1.273
[2,] 1.837 1.485 2.012 1.993 1.847 2.612 2.516 2.860 2.741 2.231 1.698
[3,] 2.229 1.659 2.522 2.609 2.129 3.261 3.040 3.533 3.318 2.578 1.922
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.434 1.393 0.2453 1.374 1.530 0.4389 1.231 0.2658 1.211 0.6510
[2,] 3.775 1.795 0.2999 1.829 2.078 0.5739 1.733 0.3049 1.559 0.7621
[3,] 4.620 2.187 0.3480 2.204 2.523 0.6887 2.104 0.3411 1.845 0.8635
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3155 1.469 1.186 1.184 1.752 1.192 0.9348 0.3941 0.6608 0.3054
[2,] 0.3994 1.848 1.556 1.555 2.021 1.737 1.1193 0.4695 0.8657 0.3901
[3,] 0.4681 2.250 1.888 1.886 2.285 1.979 1.2292 0.5493 1.0278 0.4389
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.5894 0.6431 1.221 0.8521 1.133 1.402 1.945 1.175 1.482 1.471 0.6658
[2,] 0.7674 0.8251 1.497 1.0312 1.515 1.658 2.318 1.475 2.218 1.679 0.8232
[3,] 0.8911 0.9751 1.700 1.1605 1.694 1.932 2.523 1.632 2.614 1.925 0.9380
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.406 1.420 1.366 0.8238 1.226 0.2904 1.000 0.4081 0.9437 0.9267
[2,] 2.031 1.945 1.798 1.4081 1.465 0.3485 1.437 0.4796 1.1472 1.0699
[3,] 2.628 2.337 2.125 1.8334 1.613 0.4123 1.823 0.5273 1.3244 1.1829
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.058 1.564 0.5482 1.121 0.6907 0.9563 0.5505 1.704 1.600 2.133 2.174
[2,] 1.489 1.998 0.6583 1.624 0.8620 1.4384 0.6740 2.131 2.314 2.501 3.080
[3,] 1.672 2.293 0.7282 1.879 0.9929 1.9147 0.7764 2.504 2.673 2.825 3.572
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 2.487 2.436 1.850 0.3865 1.693 1.468 1.883 0.9728 0.9497 0.4724 1.136
[2,] 2.985 3.144 2.658 0.4808 2.521 1.846 2.418 1.2666 1.1528 0.6017 1.568
[3,] 3.333 3.712 3.131 0.5646 3.165 2.132 2.964 1.4669 1.3217 0.6873 1.842
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.9125 2.342 2.489 0.4173 0.4118 0.5370 0.5580 1.017 0.5720 0.3057
[2,] 1.1507 2.956 2.851 0.5845 0.6999 0.7471 0.7329 1.302 0.6918 0.3719
[3,] 1.2812 3.238 3.176 0.7599 0.9145 0.9228 0.8659 1.548 0.8058 0.4172
[,96] [,97] [,98]
[1,] 0.6151 4.669 1.506
[2,] 0.7659 6.334 1.857
[3,] 0.8354 7.344 2.154
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.226 1.099 1.956 1.695 1.767 0.5013 1.064 2.349
[2,] 1061.996 434.586 942.286 959.623 899.938 149.9012 426.380 962.314
[3,] 955.439 359.639 1009.059 915.830 937.934 136.7263 346.776 881.136
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.526 1.83 1.568 1.513 1.555 1.921 1.639 1.967
[2,] 1299.366 1450.92 689.900 1020.623 614.047 968.939 1108.211 734.898
[3,] 1005.795 1038.78 634.527 923.024 539.440 1110.471 1229.323 772.505
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.488 1.773 2.306 2.56 2.233 1.616 3.091 1.769
[2,] 1261.432 1528.778 1613.331 1355.36 1002.045 820.172 2106.922 826.498
[3,] 1425.278 1245.505 1515.099 1366.33 943.790 658.521 1944.421 912.586
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.3115 1.745 1.943 0.5574 1.563 0.3375 1.537 0.8267
[2,] 125.9688 881.230 1026.564 269.9605 891.074 109.1236 716.777 289.3283
[3,] 128.8849 897.684 1045.263 278.0001 870.802 111.6540 721.590 296.4018
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.4006 1.865 1.506 1.504 2.225 1.513 1.187 0.5005
[2,] 178.8501 818.553 735.662 735.802 734.685 922.854 449.486 186.2329
[3,] 178.2201 936.731 781.382 778.862 779.780 692.448 370.944 208.2012
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8392 0.3879 0.7484 0.8166 1.551 1.082 1.439 1.78
[2,] 408.3630 177.1948 358.8699 377.5302 631.674 424.030 733.876 645.96
[3,] 404.4970 146.8182 330.7560 379.4541 588.085 388.809 554.463 724.73
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.47 1.492 1.883 1.868 0.8454 1.785 1.803 1.735
[2,] 920.50 651.224 1204.537 589.852 353.4830 1070.859 970.763 852.779
[3,] 727.59 510.422 1009.859 688.775 328.4227 1217.492 945.705 826.960
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.046 1.557 0.3687 1.27 0.5182 1.198 1.177 1.344
[2,] 833.928 585.132 140.6875 753.98 183.8995 476.267 390.466 765.207
[3,] 857.345 493.417 160.9484 818.67 160.0839 483.281 368.339 555.720
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.986 0.6962 1.423 0.8771 1.214 0.699 2.163 2.031
[2,] 907.673 266.1351 857.732 376.5766 784.521 283.987 934.413 1220.765
[3,] 821.482 227.2907 690.469 359.7351 922.780 281.384 960.730 976.567
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.708 2.761 3.158 3.093 2.349 0.4908 2.15 1.864
[2,] 953.556 1592.704 1205.038 1450.779 1394.031 208.8800 1363.52 816.549
[3,] 960.157 1321.186 1082.689 1442.123 1208.456 216.1109 1397.47 779.157
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.391 1.235 1.206 0.5999 1.443 1.159 2.975 3.161
[2,] 1107.453 592.308 477.197 272.0653 788.693 511.949 1316.328 1015.758
[3,] 1252.215 540.273 471.924 242.5997 706.671 411.381 965.164 1021.907
[,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.5299 0.5229 0.6819 0.7085 1.291 0.7264 0.3882
[2,] 298.8453 413.2576 379.2778 347.0339 593.677 284.0945 154.6456
[3,] 354.5815 429.8160 395.4654 336.6789 611.795 301.7985 137.9968
[,96] [,97] [,98]
[1,] 0.7811 5.929 1.913
[2,] 333.2739 3125.638 792.953
[3,] 243.6306 2713.620 796.692
[1] "--- VAR model 2017-10-01 02:01:00 completed"
[1] "Completed training sample: 2017-10-01 02:01:00 - 2017-10-01 10:00:00"
[1] "SpVAR; training sample: 2017-10-01 02:31:00 - 2017-10-01 10:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
9.954 -5.523 -71.83 -59.19
6.655 3.518 -51.22 -78.26
14.243 -4.059 -43.09 -66.59
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.34 0.9964 5.751 -0.3553
-58.15 0.7054 7.933 9.8089
-76.67 -0.7949 5.163 -11.4136
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.37326 2.907 -5.936 -26.46
-0.05524 -2.893 4.431 -10.83
-5.04500 -1.577 1.189 -22.02
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.472 -12.7345 -16.804 -1.019
7.781 -0.3169 8.166 8.512
4.174 -6.2631 -1.593 13.460
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.822 7.089 5.139 28.81
-11.455 -11.792 31.746 42.24
26.230 8.622 15.659 29.43
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-69.66 11.463 -129.3 -58.55
-51.63 -4.550 -183.2 -50.80
-54.06 -1.113 -126.5 -39.26
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.650 -59.20 -67.62 -15.20
-7.685 -63.14 -76.61 -12.89
-9.083 -80.61 -78.88 -15.32
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-51.08 -6.802 -53.48 -20.75
-70.35 -5.612 -56.71 -22.51
-79.74 -3.768 -72.37 -23.10
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.13 -64.54 -51.69 -57.07
-15.87 -66.89 -59.02 -54.24
-12.97 -95.23 -79.52 -49.82
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.427 -4.155 -1.049 -2.894
7.764 2.649 5.084 -3.496
4.078 -1.533 1.431 -4.380
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.744 0.03012 -40.65 -33.58
2.279 0.57324 -33.91 -38.34
0.343 2.39685 -35.13 -39.70
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.806 16.3409 -18.99 -3.090
13.274 0.1415 -28.94 12.774
16.120 2.4678 -18.23 2.879
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
28.4433 -1.347 -6.458 1.637
0.8545 -2.392 -1.162 14.115
12.6559 3.036 -32.143 4.008
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.690 -19.291 -2.9773 -9.597
4.889 -4.509 -3.6444 -19.914
-2.155 -4.005 -0.4178 2.248
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.068 8.950 1.0615 -5.318
-3.909 12.080 0.4094 -13.302
-7.187 -1.406 1.6034 -7.792
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.5038 -6.168 -4.884 -4.602
-0.4803 -11.180 -3.371 -9.153
-1.1907 -7.721 2.440 -13.329
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-13.965 -0.1378 -3.677 -2.410
3.903 1.6459 3.770 3.228
-31.719 -3.3354 -9.208 -3.119
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-12.574 0.2664 9.984 23.57
7.071 0.9107 12.204 4.41
-11.489 -1.5429 14.524 14.80
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
30.543 33.463 33.87 65.59
-4.366 15.492 14.59 62.98
-8.050 5.798 40.83 45.69
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
39.44 0.05187 27.04 23.294
57.37 1.99360 44.37 3.082
30.32 1.89380 48.16 -12.372
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
32.11 -2.581 -1.7708 -3.586
44.19 -3.936 -7.0413 5.408
41.77 2.527 0.6702 -1.519
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.050 4.255 10.20 18.24
2.208 -1.412 -10.61 25.91
-6.358 -1.046 -17.45 22.21
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
11.916 17.30 17.60 21.333
9.845 12.68 13.13 11.289
7.208 11.19 16.46 6.771
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.847 8.243 -7.339 -3.371
-2.694 6.080 -8.086 -6.824
6.529 2.426 -7.005 3.026
rnd_95776.volume rnd_95787.volume
34.154 -63.78
-60.772 -56.98
-8.433 -50.79
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.956 0.8787 1.926 1.468 1.599 0.3111 0.8957 1.863 2.024 1.362 1.242
[2,] 2.497 1.1048 2.462 2.057 2.129 0.3517 1.0927 2.309 2.776 2.414 1.558
[3,] 2.852 1.2352 2.848 2.513 2.594 0.3875 1.2139 2.650 3.130 2.800 1.837
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.235 1.244 1.469 1.402 1.573 1.928 1.521 1.820 2.056 2.266 1.316
[2,] 1.914 1.542 2.018 2.019 1.892 2.686 2.644 2.925 2.762 2.793 1.681
[3,] 2.348 1.761 2.545 2.659 2.175 3.391 3.125 3.615 3.390 3.133 1.939
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.046 1.638 0.2600 1.543 1.776 0.4937 1.488 0.2722 1.294 0.6421
[2,] 4.878 2.123 0.3217 2.100 2.364 0.6245 2.081 0.3209 1.838 0.7736
[3,] 5.777 2.564 0.3767 2.602 2.917 0.7493 2.493 0.3545 2.131 0.9020
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3462 1.548 1.382 1.531 1.930 1.234 0.9561 0.4485 0.6916 0.3284
[2,] 0.4377 1.924 1.772 1.958 2.220 1.711 1.1685 0.5388 0.9055 0.4040
[3,] 0.5202 2.448 2.184 2.378 2.485 1.943 1.2789 0.6236 1.0706 0.4584
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.7701 0.8735 1.220 0.8524 1.116 1.489 1.901 1.121 1.467 1.539 0.6033
[2,] 0.9979 1.1345 1.499 1.0555 1.455 1.793 2.333 1.453 2.180 1.832 0.7783
[3,] 1.1403 1.3202 1.773 1.2603 1.655 2.043 2.595 1.598 2.597 2.103 0.8948
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.458 1.465 1.362 0.8094 1.255 0.3056 1.051 0.4527 0.9678 0.9741
[2,] 2.037 1.936 1.791 1.3862 1.489 0.3639 1.517 0.5180 1.1588 1.1427
[3,] 2.566 2.314 2.164 1.8443 1.653 0.4127 1.814 0.5869 1.3926 1.2440
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.066 1.665 0.5911 1.138 0.7243 1.013 0.5844 1.828 1.830 2.188 2.317
[2,] 1.506 2.191 0.7070 1.688 0.9136 1.577 0.6947 2.362 2.484 2.682 3.315
[3,] 1.678 2.503 0.7781 1.987 1.0635 2.052 0.7857 2.770 2.847 3.076 3.829
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 2.502 2.489 1.945 0.3889 1.788 1.391 2.097 1.000 0.9716 0.5479 1.193
[2,] 2.982 3.213 2.794 0.4970 2.792 1.759 2.517 1.320 1.1657 0.6966 1.670
[3,] 3.403 3.960 3.325 0.5882 3.410 2.099 3.129 1.499 1.3331 0.7965 1.901
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.9401 2.344 2.442 0.5218 0.6012 0.6617 0.6437 1.011 0.5995 0.3111
[2,] 1.1766 3.010 2.748 0.7591 0.8867 0.9757 0.8962 1.322 0.7541 0.3766
[3,] 1.3152 3.404 3.164 0.9774 1.1500 1.1922 1.0945 1.557 0.8667 0.4206
[,96] [,97] [,98]
[1,] 0.5874 4.695 1.734
[2,] 0.7995 6.596 2.211
[3,] 0.8614 7.696 2.557
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.484 1.116 2.446 1.864 2.031 0.395 1.137 2.366
[2,] 1315.004 567.145 1298.171 1220.054 1190.399 138.920 530.029 1154.701
[3,] 1166.607 467.685 1213.067 1223.230 1254.196 137.807 447.627 1100.966
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.57 1.73 1.577 1.569 1.58 1.866 1.78 1.997
[2,] 1608.56 1688.15 797.253 1237.761 771.65 1170.852 1230.27 890.824
[3,] 1224.85 1201.28 823.054 1151.464 719.53 1313.057 1464.98 907.465
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.449 1.932 2.312 2.61 2.877 1.672 3.867 2.08
[2,] 1583.499 1831.556 1938.610 1562.20 1383.338 885.845 3226.338 1143.37
[3,] 1751.976 1409.781 1799.396 1663.61 1201.644 818.436 2620.773 1217.05
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.3302 1.959 2.256 0.6269 1.89 0.3456 1.643
[2,] 160.3835 1206.812 1321.435 323.8905 1232.09 143.9871 1105.189
[3,] 165.8827 1300.410 1446.446 350.5342 1162.37 127.5010 913.019
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.8154 0.4396 1.966 1.755 1.944 2.451 1.567 1.214
[2,] 365.3090 226.7014 967.140 938.832 1032.943 929.680 1003.710 568.840
[3,] 392.7268 238.0310 1282.175 1081.558 1142.721 944.212 780.029 440.071
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.5695 0.8782 0.417 0.9779 1.109 1.55 1.082 1.418
[2,] 252.7683 494.9218 199.312 537.3835 613.024 736.62 527.038 790.113
[3,] 265.9299 483.5976 183.426 467.2260 571.768 802.23 583.268 666.980
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.89 2.414 1.424 1.863 1.955 0.7661 1.852 1.861
[2,] 846.42 1145.593 782.819 1365.542 840.582 416.3543 1203.950 1071.032
[3,] 829.03 960.733 562.794 1194.838 874.700 373.7707 1321.646 1072.988
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.729 1.028 1.593 0.388 1.334 0.5748 1.229 1.237
[2,] 984.727 952.920 679.731 167.259 926.477 213.2433 539.767 505.940
[3,] 1028.760 1030.062 607.965 164.922 842.760 233.5432 653.986 416.278
[,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 1.353 2.114 0.7507 1.446 0.9197 1.286 0.7421
[2,] 901.544 1206.631 328.4403 1055.914 471.5220 1023.702 318.0355
[3,] 627.088 1025.173 274.9906 886.270 460.8900 1111.791 310.8420
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.321 2.323 2.779 2.942 3.177 3.16 2.47 0.4938
[2,] 1265.902 1423.111 1312.850 2008.007 1374.006 1720.51 1697.96 262.0135
[3,] 1225.460 1178.073 1275.052 1621.740 1388.173 1960.44 1526.73 266.4173
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.27 1.766 2.663 1.27 1.234 0.6957 1.515 1.194
[2,] 1816.32 911.623 1178.346 729.40 545.385 364.2539 989.684 599.068
[3,] 1656.96 970.122 1574.824 602.11 547.638 327.0405 768.721 497.642
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 2.977 3.101 0.6627 0.7634 0.8403 0.8173 1.283
[2,] 1597.993 1065.978 466.8529 551.8772 607.1027 528.0455 721.836
[3,] 1347.377 1329.283 521.3252 620.1387 580.2261 531.9935 696.665
[,94] [,95] [,96] [,97] [,98]
[1,] 0.7612 0.3951 0.7459 5.962 2.202
[2,] 387.3165 179.5916 459.2653 3923.292 1160.654
[3,] 361.8393 158.6828 271.5484 3356.512 1087.300
[1] "--- VAR model 2017-10-01 02:31:00 completed"
[1] "Completed training sample: 2017-10-01 02:31:00 - 2017-10-01 10:30:00"
[1] "SpVAR; training sample: 2017-10-01 03:01:00 - 2017-10-01 11:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.974 0.3356 -50.32 -40.40
14.056 6.9707 -76.74 -49.09
24.283 -2.8284 -31.34 -50.78
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-64.20 -0.06246 0.933 -9.3929
-49.93 -2.54408 12.956 0.6345
-52.69 -1.89293 5.625 -10.3095
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.263 7.674 -3.148 -13.63
12.589 -11.368 -1.132 -14.20
-30.744 -3.596 3.351 -11.24
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.3954 -1.197 -7.9495 15.358
11.9227 -4.044 -0.9208 -7.495
8.3734 9.370 3.1960 -11.751
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
6.080 8.662 -30.107 13.36
-3.213 -3.899 2.222 20.78
-2.149 -9.897 17.078 18.03
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-51.53 -16.095 -81.03 -57.31
-94.59 -12.606 -99.23 -51.42
-56.46 2.763 -183.59 -56.67
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.109 -57.93 -59.10 -17.47
-8.641 -34.58 -36.59 -12.31
-10.141 -53.48 -63.30 -15.58
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-64.92 -7.990 -79.22 -24.75
-61.66 -7.059 -62.17 -26.94
-28.93 -8.699 -44.57 -23.48
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.97 -29.33 -51.78 -59.02
-13.40 -54.69 -59.80 -36.60
-12.08 -51.96 -63.66 -85.88
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.694 -7.9533 6.439 0.0126
6.389 6.4463 6.641 2.1183
-9.447 0.7111 -2.299 0.4964
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.434 -2.9419 -46.85 -43.51
-4.918 0.5961 -29.46 -33.70
12.764 1.4944 -35.50 -37.05
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.788 -1.920 -17.60 -9.4236
4.740 8.952 -37.87 0.3814
14.467 13.633 -18.89 10.0399
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
21.016 3.8735 -4.127 -2.913
-4.090 0.8835 -32.957 13.168
7.679 -7.8595 -21.008 12.852
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.5647 -7.945 -1.939 -11.243
0.2574 -26.200 -11.448 -11.582
-6.7435 -23.942 -5.751 -0.897
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.400 -0.8278 2.226733 3.365
-8.314 4.6420 2.336996 -21.905
-10.257 1.3275 0.003164 -18.441
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.251 -11.378 0.311 -15.440
-1.954 -14.353 2.673 -6.124
1.546 -1.703 8.494 -18.730
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.708 3.623 -9.864 2.148
-18.766 -4.085 -9.977 -2.362
-10.625 3.194 -9.556 -4.075
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.024 -3.113 51.09 8.631
-5.748 1.285 24.61 29.360
-5.131 -1.354 31.93 13.904
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-19.043 -26.56 -5.207 -0.8276
-8.094 20.42 23.545 1.6636
19.432 35.38 10.840 38.3773
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
26.152 1.811 33.080 14.175
-3.025 -1.561 -4.630 12.347
40.602 4.064 6.804 -2.172
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
19.61 4.4005 11.414 3.78677
19.29 6.4449 -5.161 2.61049
18.69 -0.4796 -2.196 0.05547
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.669 -5.037 43.895 -22.109
-9.550 3.502 -7.433 13.132
9.828 7.764 28.931 8.653
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
17.57 26.10 19.08 17.05
22.03 26.36 25.99 25.04
14.81 25.28 26.97 29.18
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.274 1.457 -7.277 -0.5224
6.102 6.550 -9.017 -0.0521
-8.956 6.161 -7.668 -3.8995
rnd_95776.volume rnd_95787.volume
-18.23 -55.62
-37.51 -20.33
-52.78 -55.88
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.130 0.962 2.241 1.669 1.941 0.2510 0.947 1.964 2.147 1.401 1.285
[2,] 2.729 1.228 2.816 2.362 2.591 0.2811 1.138 2.447 2.798 2.467 1.647
[3,] 3.107 1.376 3.282 2.808 3.063 0.3051 1.293 2.749 3.237 2.898 1.922
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.285 1.282 1.544 1.508 1.656 2.091 1.613 1.946 2.356 2.631 1.340
[2,] 2.031 1.548 2.096 2.114 1.994 2.873 2.807 3.042 3.115 3.178 1.662
[3,] 2.394 1.772 2.561 2.733 2.311 3.545 3.318 3.774 3.800 3.541 1.875
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.623 1.874 0.2805 1.913 2.103 0.5462 1.703 0.2807 1.614 0.6784
[2,] 5.601 2.337 0.3483 2.584 2.740 0.6748 2.393 0.3304 2.289 0.8303
[3,] 6.771 2.855 0.4075 3.211 3.295 0.7997 2.891 0.3640 2.687 0.9692
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3521 2.164 1.568 1.639 2.064 1.396 1.029 0.5021 0.8964 0.3768
[2,] 0.4446 2.640 2.099 2.173 2.445 1.904 1.233 0.6041 1.1112 0.4739
[3,] 0.5322 3.270 2.508 2.692 2.756 2.133 1.376 0.6980 1.2690 0.5292
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.8567 1.034 1.274 0.9293 1.120 1.474 1.833 1.085 1.603 1.554 0.6760
[2,] 1.1233 1.340 1.496 1.1279 1.522 1.815 2.276 1.382 2.272 1.878 0.8026
[3,] 1.3242 1.537 1.805 1.3263 1.672 2.189 2.603 1.562 2.631 2.156 0.9069
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.492 1.475 1.472 0.8318 1.258 0.3114 1.035 0.4582 1.007 1.073 1.070
[2,] 2.189 2.012 1.862 1.4041 1.561 0.3662 1.580 0.5235 1.233 1.244 1.547
[3,] 2.697 2.389 2.254 1.9239 1.750 0.4252 1.845 0.6103 1.443 1.345 1.743
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.792 0.5704 1.248 0.7821 1.095 0.5992 1.808 1.899 2.337 2.408 2.661
[2,] 2.419 0.7059 1.735 0.9695 1.592 0.7179 2.525 2.496 2.926 3.574 3.256
[3,] 2.787 0.8090 2.043 1.1373 2.066 0.8062 3.003 2.965 3.302 4.257 3.692
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.664 2.210 0.3673 1.888 1.511 2.023 1.034 0.9631 0.5932 1.261 1.116
[2,] 3.428 2.932 0.5017 2.964 1.885 2.649 1.420 1.2086 0.7634 1.807 1.355
[3,] 4.065 3.475 0.6059 3.639 2.210 3.241 1.594 1.3642 0.8555 2.076 1.532
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.578 2.467 0.6048 0.7242 0.8411 0.7986 1.046 0.6784 0.3265 0.6220
[2,] 3.248 2.946 0.8986 1.0398 1.1912 1.1389 1.342 0.8599 0.3875 0.8008
[3,] 3.780 3.346 1.2363 1.3272 1.4442 1.3646 1.638 1.0294 0.4284 0.8777
[,97] [,98]
[1,] 5.044 2.178
[2,] 6.726 2.707
[3,] 7.725 3.134
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.704 1.222 2.846 2.12 2.465 0.3187 1.202 2.494
[2,] 1575.581 704.425 1575.450 1542.97 1585.215 116.8558 582.662 1348.012
[3,] 1372.765 574.639 1555.166 1403.42 1507.327 109.6239 567.155 1156.506
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.726 1.779 1.632 1.632 1.628 1.96 1.916 2.103
[2,] 1656.448 1874.771 951.096 1452.309 801.502 1309.31 1368.236 1025.103
[3,] 1502.825 1404.750 915.390 1171.204 795.081 1359.34 1598.957 1079.561
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.655 2.048 2.471 2.992 3.342 1.701 4.6 2.38
[2,] 1820.076 2121.799 2159.351 1882.319 1645.594 908.547 3944.4 1288.76
[3,] 1917.139 1632.529 2061.725 2009.174 1442.689 800.473 3513.6 1514.27
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.3562 2.429 2.67 0.6936 2.162 0.3564 2.05 0.8615
[2,] 190.7113 1604.301 1622.29 365.9729 1553.031 160.8896 1498.95 442.0047
[3,] 195.2492 1759.517 1689.72 396.1729 1497.239 141.2397 1298.46 461.7280
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.4472 2.749 1.992 2.081 2.62 1.773 1.306 0.6376
[2,] 250.6338 1395.526 1287.999 1318.245 1211.84 1195.476 628.071 310.1896
[3,] 270.1864 1781.417 1267.741 1467.139 1173.84 887.704 562.828 322.8406
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.138 0.4785 1.088 1.313 1.618 1.18 1.423 1.872
[2,] 606.531 265.3229 670.944 787.749 723.723 590.25 951.885 977.273
[3,] 565.938 217.5592 647.612 694.880 932.913 644.39 638.182 1130.433
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.328 1.378 2.036 1.973 0.8584 1.894 1.873 1.869
[2,] 1245.541 790.023 1486.432 973.845 399.4919 1479.639 1264.475 1052.475
[3,] 1167.331 672.339 1226.143 978.598 389.9666 1453.861 1188.406 1174.457
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.056 1.598 0.3955 1.314 0.5819 1.279 1.362 1.359
[2,] 1044.540 852.920 177.8733 1102.192 233.8608 656.389 581.566 1031.573
[3,] 1214.599 731.069 199.6072 880.692 289.6655 693.096 472.297 742.327
[,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.276 0.7244 1.584 0.9931 1.39 0.7609 2.296
[2,] 1500.749 383.9483 1113.294 529.0845 1068.10 365.0469 1628.126
[3,] 1277.723 365.0668 996.997 549.0795 1216.09 338.7483 1501.238
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.412 2.967 3.058 3.379 3.382 2.806 0.4665
[2,] 1494.777 1627.091 2439.166 1731.693 1993.271 1779.291 315.5855
[3,] 1479.191 1411.689 2135.184 1608.438 2017.636 1723.019 313.6579
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.397 1.919 2.569 1.312 1.223 0.7532 1.601 1.417
[2,] 2109.820 1040.937 1579.025 898.742 674.329 443.7674 1194.930 709.710
[3,] 1950.800 1064.263 1724.751 669.361 584.277 356.5508 945.296 660.639
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.274 3.133 0.7679 0.9196 1.068 1.014 1.328 0.8615
[2,] 1823.894 1485.802 613.7685 689.0190 778.990 749.890 776.144 488.0089
[3,] 1786.679 1466.225 784.1109 761.6156 754.020 694.046 867.668 522.4872
[,95] [,96] [,97] [,98]
[1,] 0.4145 0.7898 6.405 2.765
[2,] 192.7863 465.7877 4109.096 1485.479
[3,] 168.6985 331.7633 3507.824 1458.476
[1] "--- VAR model 2017-10-01 03:01:00 completed"
[1] "Completed training sample: 2017-10-01 03:01:00 - 2017-10-01 11:00:00"
[1] "SpVAR; training sample: 2017-10-01 03:31:00 - 2017-10-01 11:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
17.854 -11.357 -51.92 -103.43
5.264 5.417 -71.15 -54.72
-8.178 -4.065 -48.39 -60.98
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-49.46 -0.2369 1.399 -10.706
-82.18 -1.5835 8.567 -9.478
-64.38 -1.2717 14.107 -12.602
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-20.174 -12.716 11.372 -29.70
-7.909 -5.440 2.557 -16.83
4.779 -1.833 5.714 -22.85
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
17.321 -5.750 -7.644 18.25
2.852 -14.904 -14.320 13.62
19.059 -8.917 -9.244 5.92
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.36 -22.816 -16.115 25.58
-12.12 10.948 -8.118 13.42
11.09 -4.362 -21.190 26.98
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-80.97 15.367 -17.85 -36.03
-84.40 -7.599 -152.59 -74.89
-39.54 -13.711 -178.83 -63.45
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.633 -52.07 -58.72 -15.465
-6.715 -43.35 -68.32 -14.549
-8.282 -57.70 -73.92 -8.832
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-83.25 -4.349 -62.73 -28.48
-47.25 -6.662 -67.77 -30.59
-50.77 -5.176 -56.92 -28.49
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.153 -67.68 -58.64 -69.52
-12.152 -27.90 -68.87 -50.78
-8.228 -68.20 -60.03 -59.66
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-12.90 9.163 5.374 -1.738
-12.09 -19.617 8.697 -1.904
18.26 5.475 2.502 -2.260
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.317 1.7097 -29.68 -50.64
1.742 -1.4632 -24.33 -36.74
5.050 -0.6222 -32.50 -22.83
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.864 11.646 -17.96 -11.720
9.809 6.932 -38.78 -3.466
12.850 9.671 -29.76 13.506
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-24.936 -9.560 -33.393 1.876
22.664 -2.960 -7.856 15.291
3.182 -9.517 -25.452 4.274
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.0284 -22.221 -10.11 -10.0630
-4.7434 -17.597 -17.77 -15.2093
-0.8012 -7.881 -11.46 -0.7369
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.276 -13.257 0.6677 -8.3566
-18.109 6.776 -0.5682 0.9911
-16.158 4.269 -2.3493 -19.6910
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.571 -8.615 4.826 -8.979
-4.494 -7.488 9.226 1.034
-1.099 -1.948 -2.108 -3.959
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.35175 1.304 -4.501 5.987
0.08754 0.954 -17.303 4.235
-6.11599 5.537 -5.238 -1.726
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.345 -0.9882 14.746 20.1697
-8.722 -1.1090 11.968 18.2617
1.246 -2.3673 7.677 -0.6706
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.324 -20.46 39.512 34.76703
16.616 25.72 6.772 19.18927
7.989 10.36 26.019 0.05049
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.2146 -4.62250 50.59 1.596
30.8951 2.51516 19.27 1.932
20.9536 -0.07537 16.21 2.521
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
32.439 -7.743 -2.966 -0.3403
5.856 1.556 -11.712 2.8537
22.938 4.483 7.129 0.1926
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.1761 -1.1357 -18.46 -6.562
-11.8399 -0.1968 19.12 -8.913
8.0564 5.7391 17.50 17.082
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.125 11.1808 13.3248 14.556
4.073 -0.3512 0.1615 7.855
5.660 10.0369 7.1526 -1.830
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-23.444 9.754 -8.276 3.1529
7.206 3.874 -8.372 -2.7688
2.554 3.294 -8.593 0.1974
rnd_95776.volume rnd_95787.volume
-79.91 -33.21
-34.04 -59.68
-79.05 -80.76
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.229 1.091 2.332 2.057 2.302 0.1686 0.9949 2.146 2.263 1.518 1.352
[2,] 2.993 1.404 3.025 2.870 3.029 0.1967 1.2001 2.593 2.976 2.645 1.706
[3,] 3.433 1.619 3.627 3.326 3.460 0.2173 1.3606 2.887 3.380 3.060 1.998
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.340 1.432 1.614 1.557 1.937 2.301 1.822 2.394 2.659 2.658 1.482
[2,] 2.166 1.707 2.246 2.237 2.341 2.984 2.980 3.406 3.429 3.315 1.858
[3,] 2.575 1.905 2.719 2.881 2.689 3.688 3.497 4.279 4.227 3.860 2.100
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 4.814 2.236 0.2867 2.111 2.315 0.5458 2.099 0.2801 1.894 0.7236
[2,] 6.570 2.820 0.3629 2.884 3.027 0.6849 2.838 0.3352 2.694 0.8927
[3,] 8.178 3.456 0.4307 3.598 3.612 0.8057 3.338 0.3776 3.144 1.0464
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4054 2.447 1.913 2.082 2.258 1.427 1.106 0.5757 1.062 0.4516 0.9529
[2,] 0.4983 3.094 2.527 2.734 2.621 1.939 1.348 0.7033 1.280 0.5521 1.3086
[3,] 0.5771 3.715 3.014 3.247 3.037 2.279 1.532 0.7967 1.432 0.6159 1.5431
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.294 1.318 1.068 1.254 1.649 2.041 1.142 1.633 1.635 0.7417 1.651
[2,] 1.723 1.564 1.281 1.695 2.036 2.512 1.454 2.337 1.956 0.8774 2.304
[3,] 2.012 1.831 1.469 1.880 2.428 2.977 1.677 2.721 2.241 0.9791 2.863
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.497 1.588 0.8012 1.352 0.3214 1.083 0.4610 1.086 1.124 1.166 2.011
[2,] 2.088 1.998 1.4039 1.685 0.3876 1.686 0.5504 1.312 1.330 1.659 2.641
[3,] 2.498 2.416 1.9354 1.924 0.4447 1.935 0.6447 1.524 1.465 1.908 3.017
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6167 1.344 0.8887 1.115 0.6184 2.126 2.084 2.476 2.566 2.721 2.913
[2,] 0.7553 1.847 1.1240 1.741 0.7528 2.968 2.736 3.196 3.670 3.448 3.725
[3,] 0.8624 2.144 1.2998 2.186 0.8482 3.369 3.286 3.639 4.494 3.938 4.387
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.323 0.4372 2.096 1.542 2.258 1.140 0.9555 0.6623 1.457 1.224 2.832
[2,] 3.192 0.5934 3.254 1.957 2.900 1.497 1.2061 0.8584 1.924 1.578 3.342
[3,] 3.736 0.6922 3.973 2.298 3.513 1.751 1.3971 0.9938 2.228 1.820 4.000
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.605 0.7188 0.8486 0.9115 0.862 1.135 0.8426 0.3303 0.6234 5.315
[2,] 3.099 1.0933 1.2584 1.3096 1.209 1.462 1.0601 0.3858 0.8020 7.022
[3,] 3.582 1.4172 1.5975 1.6738 1.547 1.788 1.2316 0.4271 0.8868 8.191
[,98]
[1,] 2.457
[2,] 3.056
[3,] 3.522
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.83 1.385 2.962 2.612 2.923 0.2141 1.263 2.725
[2,] 2241.47 990.437 2161.688 2245.804 2207.598 113.5544 752.650 1632.283
[3,] 1885.76 906.021 2243.789 1884.969 1876.674 103.7385 719.094 1424.449
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.873 1.928 1.717 1.702 1.818 2.049 1.977
[2,] 2168.893 2429.925 1167.882 1908.627 1042.496 1752.713 1800.910
[3,] 1797.186 1724.511 1166.297 1561.774 948.032 1718.925 2036.612
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.46 2.922 2.313 3.04 3.377 3.375 1.882 6.113
[2,] 1474.33 2130.607 2645.628 2718.05 2427.958 2221.980 1257.047 5015.675
[3,] 1484.31 2431.739 2051.774 2904.89 2773.052 2219.267 1097.851 5461.280
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 2.839 0.3641 2.681 2.939 0.6931 2.665 0.3557
[2,] 1928.574 249.6117 2204.099 2188.103 463.9276 2141.862 206.3943
[3,] 2240.534 260.0992 2413.074 2210.444 476.1092 1972.316 194.9882
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 2.405 0.9189 0.5149 3.108 2.429 2.644 2.867
[2,] 2149.112 586.3460 324.9189 2122.893 1851.445 1987.161 1493.401
[3,] 1818.928 612.4094 326.6197 2307.131 1843.055 1964.774 1719.201
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.812 1.405 0.7311 1.349 0.5735 1.21 1.643 1.674
[2,] 1473.249 863.378 453.1478 801.252 356.1107 1005.93 1276.384 944.874
[3,] 1343.148 817.194 419.7888 720.468 306.2795 917.38 1166.296 1067.238
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.356 1.593 2.094 2.592 1.45 2.073 2.076 0.9419
[2,] 794.244 1279.240 1340.740 1643.601 1010.33 1875.495 1204.408 525.7029
[3,] 805.935 912.494 1483.337 1791.716 937.95 1562.717 1226.272 487.4081
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.096 1.901 2.016 1.017 1.717 0.4081 1.376
[2,] 1803.352 1631.797 1359.999 1293.007 1128.826 243.0532 1449.485
[3,] 1906.553 1539.096 1524.619 1494.305 1040.418 244.4484 1065.224
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.5853 1.379 1.427 1.481 2.554 0.7831 1.706 1.128
[2,] 337.2649 826.948 798.697 1323.886 1919.496 489.1093 1420.968 771.918
[3,] 376.6248 867.998 687.876 1057.208 1636.671 466.8989 1221.929 732.078
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.416 0.7853 2.7 2.647 3.144 3.258 3.455 3.699
[2,] 1500.125 481.4137 2323.5 1988.180 2267.311 2942.510 2374.792 2605.091
[3,] 1482.570 438.3814 1786.3 2040.541 1951.550 2910.482 2135.441 2599.236
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 2.949 0.5552 2.662 1.958 2.868 1.447 1.213 0.841
[2,] 2455.918 449.9975 2791.823 1351.890 2040.910 1088.227 825.499 612.483
[3,] 2178.335 399.8873 2556.121 1351.093 2223.689 1019.741 791.001 561.714
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.85 1.555 3.596 3.308 0.9128 1.078 1.157
[2,] 1410.29 1115.898 1990.793 1883.257 923.9807 1042.213 1054.748
[3,] 1259.24 1017.945 2464.597 2013.706 1011.4765 1103.757 1169.203
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.095 1.442 1.07 0.4195 0.7916 6.75 3.121
[2,] 951.458 1033.145 721.55 223.5483 565.8471 5146.33 2037.256
[3,] 1081.221 1155.062 703.19 205.5609 424.4498 4731.03 1964.550
[1] "--- VAR model 2017-10-01 03:31:00 completed"
[1] "Completed training sample: 2017-10-01 03:31:00 - 2017-10-01 11:30:00"
[1] "SpVAR; training sample: 2017-10-01 04:01:00 - 2017-10-01 12:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.029 -4.605 -67.87 -63.65
-4.434 -5.439 -60.29 -83.38
14.590 -2.998 -70.67 -56.87
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-66.64 -0.2495 -3.2874 -5.458
-54.00 -0.4903 3.4100 -3.776
-84.62 -0.4843 0.3671 -5.704
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-14.574 -18.266 -14.773 -15.40
-16.468 -10.429 -5.518 -25.23
5.021 -4.459 -5.922 -15.09
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.947 -7.0251 7.205 -18.16
-0.480 0.6551 -15.085 17.13
2.096 -10.9463 -1.008 19.29
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.25 -20.6495 -19.353 19.726
-17.76 -12.1924 -6.295 -4.959
8.86 0.8283 -29.415 13.129
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-73.20 0.6546 -157.4 -59.02
-50.50 -1.5929 -160.4 -82.89
-80.05 -17.1391 -111.0 -64.50
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.967 -65.27 -48.31 -25.55
-6.761 -68.06 -97.12 -18.92
-5.343 -83.54 -78.02 -28.85
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-71.09 -8.157 -99.80 -32.86
-74.20 -7.513 -59.64 -31.20
-58.54 -6.708 -97.26 -35.95
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.15 -82.97 -70.62 -51.66
-12.63 -45.61 -71.23 -94.76
-16.00 -89.06 -74.34 -72.62
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5206 -1.989 5.273 4.099
-8.3069 -15.967 8.345 3.516
-2.9108 -2.478 4.951 -6.210
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
9.910 0.4735 -35.27 -38.92
-9.932 5.3650 -42.97 -31.98
2.440 0.5598 -36.44 -61.54
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.535 -0.6241 -35.16 15.042
4.276 -0.7263 -22.07 20.829
17.315 -1.6167 -33.76 2.447
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.651 5.523 -21.68 12.154
36.170 -11.131 -25.38 8.684
3.308 5.387 14.72 3.908
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2423 -26.119 -16.96 -15.844
-2.0298 -14.895 -10.99 -15.476
-3.6399 -5.954 -23.72 -7.518
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-16.248 7.734 -0.09631 -18.01
-20.468 1.052 -2.05737 -14.25
-8.178 9.323 -2.31117 -6.94
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.104 -13.81 7.1545 -15.787
-2.172 -12.62 -0.9069 -5.473
1.066 -7.60 4.4600 -13.381
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-16.152 -6.4407 -5.816 -2.224
-2.084 2.1235 -10.498 -8.440
-1.037 -0.6008 -2.012 2.219
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.966 1.390 -15.737 -10.89
-14.225 -3.099 14.914 -15.70
-3.247 -1.377 6.365 10.64
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.910 -13.20 14.08 43.392
-6.315 -18.85 32.54 22.475
-33.691 -23.31 12.03 7.462
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.953 1.3235 27.24 4.612
6.161 0.2527 20.05 -3.774
8.642 -0.2895 16.98 5.536
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.493 -6.421 -8.746 2.737
37.213 5.111 -1.196 -1.451
-6.541 -5.235 -1.478 -2.401
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.425 -2.588 -5.845 -4.429
2.609 -4.286 28.518 -24.759
-13.818 -12.859 3.333 3.114
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.5944 6.718 6.698 11.9091
-4.0989 7.777 2.361 -0.5872
-0.2784 4.546 9.114 13.2314
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.5327 4.383 -12.660 -1.0098
-12.7499 5.885 -8.497 0.3572
-0.0674 6.817 -10.959 1.1584
rnd_95776.volume rnd_95787.volume
-76.92 -63.60
15.05 -80.53
-36.33 -51.41
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.450 1.155 2.643 2.405 2.865 0.1376 1.075 2.263 2.692 1.894 1.471
[2,] 3.257 1.486 3.405 3.346 3.627 0.1702 1.315 2.678 3.290 2.879 1.865
[3,] 3.725 1.761 4.129 3.949 4.167 0.1914 1.477 3.032 3.766 3.345 2.151
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.477 1.476 1.689 1.574 2.101 2.333 2.055 2.727 3.022 3.313 1.872
[2,] 2.496 1.831 2.575 2.488 2.602 3.107 3.194 3.725 3.832 4.166 2.353
[3,] 2.873 2.036 3.016 3.114 2.992 3.929 3.897 4.551 4.510 4.907 2.676
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 5.327 2.612 0.2921 2.573 2.796 0.6018 2.358 0.2834 2.262 0.7767
[2,] 7.167 3.246 0.3843 3.660 3.534 0.7399 3.259 0.3481 3.135 0.9309
[3,] 8.878 3.895 0.4578 4.305 4.232 0.8868 3.969 0.3921 3.599 1.1166
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4528 2.823 2.418 2.639 2.524 1.611 1.376 0.6272 1.249 0.5607 1.258
[2,] 0.5591 3.586 2.983 3.305 2.978 2.169 1.649 0.7851 1.493 0.6737 1.661
[3,] 0.6497 4.250 3.578 3.796 3.370 2.501 1.899 0.9122 1.658 0.7390 1.918
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.620 1.356 1.113 1.345 1.768 2.303 1.235 1.890 1.847 0.7452 1.796
[2,] 2.151 1.659 1.361 1.806 2.229 2.743 1.548 2.558 2.155 0.8787 2.646
[3,] 2.509 1.931 1.525 2.043 2.595 3.203 1.807 3.083 2.428 1.0002 3.134
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.605 1.670 0.9075 1.467 0.3537 1.214 0.5057 1.158 1.177 1.255 2.271
[2,] 2.315 2.139 1.5305 1.811 0.4201 1.773 0.6193 1.396 1.447 1.813 2.833
[3,] 2.714 2.610 2.2053 2.067 0.4834 2.084 0.7269 1.619 1.587 2.045 3.275
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.7156 1.453 1.014 1.170 0.6770 2.549 2.368 2.540 2.890 3.024 3.024
[2,] 0.8611 1.939 1.278 1.809 0.8261 3.310 3.177 3.337 4.226 3.775 4.093
[3,] 0.9951 2.327 1.484 2.368 0.9228 3.709 3.727 3.846 5.027 4.258 4.861
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.531 0.4905 2.279 1.712 2.539 1.199 0.9757 0.7271 1.587 1.275 3.222
[2,] 3.385 0.6250 3.336 2.145 3.163 1.562 1.2627 0.9392 2.143 1.689 3.688
[3,] 4.000 0.7305 4.191 2.485 3.835 1.836 1.4453 1.0797 2.466 1.992 4.390
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.792 0.894 1.073 1.090 1.006 1.236 1.092 0.3344 0.6318 5.887 2.997
[2,] 3.303 1.332 1.535 1.486 1.417 1.615 1.281 0.4011 0.8232 7.657 3.748
[3,] 3.863 1.624 1.959 1.937 1.832 1.943 1.496 0.4416 0.9129 8.793 4.131
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 3.111 1.467 3.356 3.054 3.638 0.1747 1.366
[2,] 2813.211 1224.114 2812.437 3047.352 2915.544 131.2941 992.437
[3,] 2368.849 1238.100 3061.368 2747.752 2687.391 114.7338 881.116
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 2.874 3.419 2.405 1.868 1.876 1.875 2.145
[2,] 1874.539 2477.705 2840.568 1503.158 2636.385 1418.190 2546.683
[3,] 1864.226 2401.133 2231.301 1404.232 1864.452 1168.050 2056.889
[,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 1.999 2.668 2.962 2.61 3.463 3.838 4.207
[2,] 2525.370 2012.690 2688.103 3203.63 3325.455 3087.411 3309.641
[3,] 2453.691 1934.801 3150.869 2925.77 3426.099 3114.450 3396.641
[,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 2.377 6.764 3.317 0.3709 3.267 3.55 0.7642
[2,] 1867.136 6283.077 2524.096 327.2116 3409.783 2832.57 564.0814
[3,] 1670.954 6865.762 2821.983 326.0632 2970.257 3051.67 640.3979
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 2.994 0.3599 2.873 0.9863 0.575 3.584 3.07 3.351
[2,] 2948.824 264.8594 2842.674 672.5173 429.787 2898.813 2288.19 2607.748
[3,] 2966.657 236.5019 2317.284 807.8642 433.646 2988.418 2589.03 2445.709
[,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.204 2.045 1.747 0.7965 1.586 0.712 1.597
[2,] 2071.138 1903.848 1190.554 618.8002 1070.678 489.390 1421.669
[3,] 2067.799 1630.063 1232.930 608.6246 945.316 397.860 1257.004
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 2.057 1.721 1.413 1.708 2.245 2.925 1.569 2.4
[2,] 1854.786 1253.296 1027.788 1579.278 1779.526 1950.876 1223.410 2258.5
[3,] 1692.706 1295.818 900.232 1251.638 1740.583 2167.506 1220.735 2254.7
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.346 0.9462 2.281 2.038 2.121 1.152 1.863
[2,] 1453.421 610.2517 2544.910 2187.241 1751.685 1614.927 1390.392
[3,] 1465.710 626.0270 2200.387 1854.807 1959.886 2080.442 1305.755
[,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.4491 1.542 0.6422 1.47 1.494 1.594 2.884
[2,] 297.1141 1693.021 468.2301 1023.54 1102.832 1714.259 2217.506
[3,] 313.2005 1435.584 498.7344 1072.43 853.503 1238.704 2153.366
[,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.9087 1.845 1.288 1.486 0.8597 3.237 3.007
[2,] 627.5000 1682.488 1017.955 1806.888 620.2235 2767.322 2774.762
[3,] 653.6718 1686.234 988.017 2002.145 538.9345 2193.300 2554.705
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.225 3.67 3.84 3.84 3.213 0.6229 2.894 2.174
[2,] 2835.595 4040.49 2960.39 3613.67 2944.931 507.4498 3191.855 1692.474
[3,] 2505.369 3567.45 2580.42 3436.82 2793.382 495.4336 3324.335 1643.661
[,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.224 1.522 1.239 0.9234 2.015 1.619 4.091
[2,] 2470.683 1311.157 1050.234 778.9943 1887.532 1451.991 2350.347
[3,] 2841.640 1264.077 921.380 697.7068 1598.200 1382.909 3120.161
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.546 1.135 1.363 1.384 1.278 1.569 1.386
[2,] 2312.124 1294.378 1437.834 1323.043 1307.164 1361.977 877.110
[3,] 2623.851 1217.717 1595.814 1627.957 1521.383 1415.343 1013.699
[,95] [,96] [,97] [,98]
[1,] 0.4246 0.8022 7.476 3.806
[2,] 290.1612 691.5547 6415.529 2947.329
[3,] 242.0703 516.8880 5664.296 2276.346
[1] "--- VAR model 2017-10-01 04:01:00 completed"
[1] "Completed training sample: 2017-10-01 04:01:00 - 2017-10-01 12:00:00"
[1] "SpVAR; training sample: 2017-10-01 04:31:00 - 2017-10-01 12:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.740 6.076 -53.38 -58.54
-2.258 -9.124 -65.73 -86.79
-10.923 11.563 -39.68 -70.81
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-67.99 -1.270 4.470 -20.23
-76.56 -1.370 -4.217 -11.42
-61.99 -1.327 -2.786 -11.74
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-9.123 -4.112 -2.6837 -14.84
-7.115 -16.583 -9.5627 -23.81
-14.708 -5.608 0.5875 -29.14
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.784 -23.6751 -14.360 -21.526
2.637 -0.4197 -4.595 10.300
4.143 -11.6522 -24.421 -1.488
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-18.59 -21.902 -23.65 31.799
-15.45 -25.505 -24.99 -19.589
-13.81 -2.635 -30.76 -7.965
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-29.13 -16.73 -190.00 -79.84
-98.06 -12.82 -84.09 -39.75
-35.03 12.10 -177.25 -71.54
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.562 -53.38 -105.58 -33.73
-7.205 -89.39 -81.19 -27.17
-10.421 -61.94 -86.06 -28.56
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-56.15 -4.858 -69.96 -32.23
-69.37 -4.720 -65.84 -29.01
-70.42 -7.153 -95.36 -29.79
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.59 -91.65 -56.97 -75.54
-13.08 -60.28 -65.32 -87.78
-15.86 -54.39 -68.21 -79.01
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
21.209 6.531 -0.7312 6.824
-5.962 -5.722 1.9614 1.922
-4.543 -12.187 2.0392 -2.529
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-11.923 -0.3831 -51.83 -28.39
-1.661 0.9742 -33.26 -55.72
8.488 0.7171 -51.32 -57.95
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
14.28 2.265 -35.25 23.10
12.57 -3.191 -19.00 -13.00
11.81 -3.282 -28.84 17.94
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.898 1.981 -29.338 -9.077
27.017 -2.911 -1.529 3.465
10.788 -6.294 -18.762 16.663
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.180 -40.033 -28.77 -13.05
1.605 -24.914 -25.81 -39.63
-1.315 -9.505 -29.48 -17.95
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-19.73 -1.444 -1.13840 -16.21
-20.96 10.226 -0.06122 -14.70
-28.87 -8.255 -2.39841 -20.03
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.8286 -2.804 -9.259 2.395
-0.3391 -12.966 -3.936 -13.678
-4.9695 -9.790 2.124 -11.410
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.90 -2.523 -9.506 -1.4025
-14.11 2.734 -14.932 -7.2658
-15.65 2.379 -9.181 0.5095
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.004 1.2198 -1.823 5.027
-18.497 -1.6172 -8.942 -1.252
-11.899 -0.6476 -14.547 -14.828
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-27.055 -19.41 47.094 -17.883
12.014 17.07 2.501 5.998
-4.553 -18.16 17.296 -6.222
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-13.021 -4.852 10.33 -1.992
5.056 -1.249 -15.73 9.297
1.303 5.079 14.63 -5.720
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.226 -6.188 -0.8532 -3.5466
2.759 1.548 -2.7672 3.3978
-11.871 -2.204 1.9241 0.6634
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.468 3.155 -55.048 -30.47
-7.257 -7.158 2.658 -15.42
-6.590 2.965 -7.954 -29.23
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.167 4.617 7.643 3.7986
-4.252 3.019 -3.760 -0.5553
4.189 -1.316 -7.828 -1.9394
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.371 10.505 -8.264 2.524
-10.896 -2.192 -10.317 1.289
-6.427 4.294 -9.414 -1.547
rnd_95776.volume rnd_95787.volume
-18.403 -48.17
-7.167 -32.51
-34.587 -59.41
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.660 1.294 3.218 3.016 3.293 0.1638 1.146 2.421 3.021 2.094 1.588
[2,] 3.525 1.662 4.036 3.942 4.017 0.1959 1.433 2.856 3.596 3.271 2.024
[3,] 3.966 1.927 4.776 4.523 4.576 0.2140 1.591 3.224 4.067 3.633 2.340
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.634 1.597 1.833 1.838 2.495 2.588 2.247 3.193 3.238 4.546 2.218
[2,] 2.816 1.952 2.877 2.888 2.903 3.319 3.409 4.299 4.039 5.720 2.838
[3,] 3.212 2.175 3.370 3.600 3.367 4.224 4.234 5.048 4.742 6.597 3.348
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 6.336 3.156 0.3323 2.859 3.292 0.6789 2.832 0.2828 2.559 0.8963
[2,] 8.706 3.861 0.4285 4.026 4.205 0.8299 3.848 0.3583 3.368 1.1013
[3,] 10.508 4.625 0.5145 4.637 5.050 1.0154 4.660 0.4030 3.855 1.2996
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.5049 3.173 2.726 2.917 2.757 1.656 1.488 0.7133 1.459 0.6259 1.544
[2,] 0.6236 4.022 3.375 3.751 3.323 2.278 1.822 0.9134 1.707 0.7293 2.108
[3,] 0.7285 4.783 3.954 4.480 3.740 2.647 2.120 1.0168 1.903 0.7989 2.462
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.936 1.532 1.212 1.433 2.136 2.409 1.449 2.060 2.115 0.8121 1.921
[2,] 2.629 1.861 1.464 1.909 2.623 3.028 1.779 2.805 2.481 0.9764 2.916
[3,] 3.002 2.180 1.657 2.193 3.054 3.497 2.047 3.506 2.795 1.1082 3.571
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.803 1.802 0.9281 1.849 0.3961 1.345 0.5366 1.239 1.252 1.369 2.446
[2,] 2.483 2.326 1.7069 2.194 0.4642 2.028 0.6744 1.549 1.611 1.905 3.048
[3,] 2.880 2.923 2.3901 2.415 0.5277 2.412 0.7854 1.891 1.755 2.169 3.433
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.7748 1.574 1.129 1.239 0.7404 2.906 2.524 2.927 3.133 3.160 3.382
[2,] 0.9263 2.187 1.436 1.954 0.9149 3.627 3.479 3.785 4.696 3.992 4.339
[3,] 1.0651 2.638 1.629 2.507 1.0231 4.000 3.959 4.332 5.549 4.449 5.171
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.755 0.5747 2.498 1.949 2.746 1.325 1.210 0.8392 1.689 1.464 3.465
[2,] 3.746 0.7082 3.512 2.338 3.469 1.759 1.438 1.0338 2.298 1.883 4.096
[3,] 4.474 0.8270 4.402 2.654 4.199 2.021 1.669 1.1944 2.649 2.250 4.855
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.069 1.068 1.226 1.223 1.205 1.274 1.288 0.3904 0.6957 6.290 3.727
[2,] 3.526 1.513 1.661 1.655 1.646 1.718 1.495 0.4488 0.8941 8.687 4.400
[3,] 4.042 1.822 2.121 2.108 2.062 2.033 1.733 0.5016 1.0043 9.645 4.931
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 3.377 1.643 4.086 3.83 4.181 0.2081 1.455
[2,] 3304.424 1489.198 3479.060 3623.71 3284.954 153.2861 1230.094
[3,] 2594.225 1392.864 3647.037 3166.29 3128.621 123.1585 984.337
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 3.074 3.837 2.659 2.016 2.075 2.027 2.328
[2,] 2162.089 2784.316 3588.218 1791.618 3274.237 1603.208 3165.724
[3,] 2138.468 2713.386 2256.623 1677.607 2206.745 1370.797 2506.787
[,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 2.334 3.168 3.287 2.853 4.054 4.112 5.773
[2,] 3181.146 2119.161 2967.271 3660.033 4111.780 3447.239 4957.474
[3,] 3068.540 2434.815 3731.255 3585.343 3777.091 3548.193 4691.464
[,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 2.817 8.045 4.008 0.4219 3.631 4.18 0.8621
[2,] 2527.669 8527.050 3174.548 386.3658 4046.090 3736.94 681.5791
[3,] 2535.985 8402.192 3636.801 406.5228 3285.025 3993.64 835.3762
[,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 3.596 0.3591 3.249 1.138 0.6412 4.029 3.461
[2,] 3721.530 314.1397 3127.241 913.747 522.4332 3529.503 2842.367
[3,] 3753.404 263.5081 2679.357 985.176 537.7679 3695.552 2939.582
[,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 3.705 3.501 2.103 1.889 0.9058 1.853 0.7947
[2,] 3366.594 2650.197 2234.290 1502.207 814.6444 1263.860 534.6037
[3,] 3498.679 2448.703 1925.623 1546.388 638.0118 1199.854 465.6089
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.96 2.458 1.946 1.539 1.819 2.713 3.058 1.84
[2,] 2049.65 2541.229 1509.135 1172.355 1801.682 2172.698 2621.240 1473.03
[3,] 1816.43 2069.517 1620.035 1108.316 1541.955 2233.883 2496.132 1445.28
[,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.616 2.685 1.031 2.439 2.289 2.288 1.178
[2,] 2718.108 1853.071 774.032 3133.234 2437.564 2098.898 2045.557
[3,] 3002.910 1836.129 748.477 2942.096 2084.098 2529.297 2389.039
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.348 0.503 1.708 0.6814 1.573 1.59 1.738 3.106
[2,] 1686.316 345.645 2167.560 583.3015 1327.079 1445.99 1892.581 2595.708
[3,] 1440.246 358.279 1863.905 574.8813 1548.065 997.18 1480.682 2256.519
[,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.9838 1.999 1.434 1.574 0.9402 3.69 3.205
[2,] 725.0319 2167.332 1266.092 2156.676 767.3222 3098.96 3419.098
[3,] 750.7977 2105.898 1099.599 2244.232 653.9898 2407.87 2696.106
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 3.717 3.978 4.013 4.295 3.499 0.7298 3.172
[2,] 3427.841 4994.454 3483.852 3879.861 3622.894 591.0146 3526.200
[3,] 3008.842 4221.693 2802.123 4016.817 3493.451 609.6371 3787.765
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.475 3.487 1.682 1.536 1.066 2.145 1.858 4.4
[2,] 1843.381 3027.675 1651.620 1111.225 862.193 2224.653 1691.174 3117.7
[3,] 1793.101 3378.129 1423.131 1209.911 854.141 1882.275 1758.562 3723.8
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.898 1.357 1.556 1.553 1.531 1.617 1.636
[2,] 2476.630 1530.168 1601.325 1593.115 1601.392 1645.743 1083.040
[3,] 2822.168 1448.646 1883.832 1863.466 1772.848 1552.062 1251.985
[,95] [,96] [,97] [,98]
[1,] 0.4958 0.8834 7.987 4.733
[2,] 316.1760 801.9422 8555.125 3338.505
[3,] 319.6241 653.1091 5986.897 3177.346
[1] "--- VAR model 2017-10-01 04:31:00 completed"
[1] "Completed training sample: 2017-10-01 04:31:00 - 2017-10-01 12:30:00"
[1] "SpVAR; training sample: 2017-10-01 05:01:00 - 2017-10-01 13:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.528 -0.5906 -80.63 -58.10
2.140 -2.2142 -83.78 -87.72
10.299 -6.9168 -47.88 -87.57
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-45.88 0.7601 6.38808 -3.693
-56.95 -0.6799 -0.04385 -13.088
-53.23 -1.4677 0.79826 9.978
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.7851 3.507 1.860 -23.511
-18.3067 -15.935 -6.992 -6.264
-1.9862 -19.095 2.273 -32.827
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
23.5603 0.05183 -2.372 -1.120
-0.6052 5.41123 -1.088 -9.574
-0.3435 -21.67177 -9.353 0.808
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.033 -2.524 -16.741 0.1121
-14.640 -7.254 11.517 36.2135
2.854 2.225 -3.323 29.3621
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-107.01 -28.7980 -166.0 -72.77
-82.29 -0.3052 -158.0 -75.54
-50.07 -3.2138 -162.4 -62.80
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.918 -83.47 -83.71 -20.78
-8.360 -92.89 -72.38 -19.32
-8.971 -71.47 -70.56 -15.61
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-54.01 -9.979 -58.35 -34.94
-60.19 -8.745 -50.96 -33.32
-100.90 -8.657 -78.77 -34.51
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.19 -54.36 -83.85 -62.11
-20.05 -64.21 -51.96 -60.06
-18.16 -59.97 -58.10 -55.93
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.4886 -11.957 -9.329 1.026
-0.8408 -13.101 -2.582 1.055
-8.9699 -3.109 -6.161 -2.685
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.2709 1.7927 -23.30 -40.34
5.1910 -0.8419 -41.41 -29.21
-0.8177 -2.0933 -41.03 -46.31
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.8552 -3.054 -27.69 9.742
7.6888 -0.669 -38.55 1.119
0.9669 -2.767 -27.78 9.655
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
42.029 -7.51344 -22.029 0.4856
-19.906 -0.02221 -4.274 7.8699
-2.137 -12.26317 -40.696 4.8042
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.9277 -8.236 -13.224 -18.635
-4.4148 -24.293 -16.540 -8.086
-0.6645 -7.413 2.782 -14.633
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-24.70 -2.290 -0.1141 -17.03
-13.58 9.865 -0.3476 -22.66
-15.11 7.124 -0.6423 -10.29
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
3.098 -14.29 3.9563 -14.334
-3.437 -11.18 -0.4041 -0.226
2.410 -12.07 -0.3962 -14.039
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.001 -7.740 -5.268 0.8364
-11.291 3.488 -11.687 -1.6637
13.711 4.146 10.915 1.5142
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.992 -3.4400 0.3035 -22.657
-3.993 0.3986 4.6591 9.267
3.909 -3.5447 -0.9151 6.418
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.173 -0.2585 24.866 10.038
-17.886 -10.8636 9.307 1.462
-19.936 -16.8794 14.153 7.619
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.064 1.898 18.750 -2.15575
2.935 4.410 -4.580 -0.03438
10.414 1.247 -1.578 -2.35359
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.2420 8.398 -1.0286 1.714
17.7586 8.297 -8.3157 -5.533
-0.7251 8.607 0.2917 5.346
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.796 6.7474 11.36 12.366
-17.041 0.2373 24.63 18.015
-2.391 -10.8281 46.33 -1.797
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.462 3.235 5.259 8.143
2.656 7.762 4.147 3.856
1.561 3.771 8.111 4.211
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-15.187 5.923 -9.428 2.9721
3.813 -7.436 -12.298 -1.5088
-2.614 -3.576 -11.704 0.4904
rnd_95776.volume rnd_95787.volume
-17.77 -86.55
-70.77 -73.74
-67.24 -59.77
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.829 1.521 3.775 3.546 3.851 0.1753 1.190 2.613 3.305 2.320 1.759
[2,] 3.772 1.890 4.633 4.489 4.756 0.2060 1.509 3.074 3.862 3.547 2.261
[3,] 4.200 2.173 5.567 5.119 5.442 0.2233 1.711 3.427 4.374 4.013 2.576
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.843 1.710 2.008 2.022 2.677 2.743 2.341 4.570 3.434 4.969 2.408
[2,] 3.098 2.085 3.102 3.113 3.113 3.559 3.635 5.758 4.275 6.319 2.996
[3,] 3.481 2.338 3.631 3.918 3.765 4.485 4.558 6.697 4.965 7.430 3.473
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.83 3.578 0.3786 3.591 3.948 0.7184 3.469 0.3100 3.149 1.059 0.5671
[2,] 9.58 4.296 0.4760 4.580 4.875 0.8835 4.646 0.3976 4.052 1.275 0.6934
[3,] 11.62 5.059 0.5616 5.280 5.769 1.0823 5.510 0.4567 4.515 1.516 0.8229
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.899 3.335 3.390 3.142 1.866 1.695 0.8653 1.749 0.7000 1.968 2.317
[2,] 5.019 4.090 4.333 3.719 2.548 2.063 1.0485 2.042 0.8341 2.539 3.076
[3,] 5.694 4.758 5.024 4.131 2.961 2.382 1.1581 2.295 0.9308 3.012 3.571
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.675 1.319 1.634 2.423 2.725 1.635 2.184 2.260 0.8175 2.037 1.986
[2,] 2.043 1.568 2.136 2.996 3.513 1.935 3.109 2.724 1.0202 3.103 2.643
[3,] 2.344 1.786 2.417 3.487 3.977 2.194 3.857 3.067 1.1777 3.877 3.145
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.069 1.001 2.114 0.4624 1.476 0.6139 1.454 1.476 1.497 2.831 0.8200
[2,] 2.651 1.875 2.423 0.5355 2.247 0.7691 1.795 1.784 2.130 3.704 0.9921
[3,] 3.208 2.570 2.657 0.5899 2.675 0.9251 2.157 1.942 2.404 4.154 1.1623
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.722 1.286 1.488 0.8452 3.065 2.685 3.152 3.503 3.568 3.556 3.074
[2,] 2.420 1.634 2.297 1.0184 3.825 3.686 4.076 5.100 4.292 4.812 4.156
[3,] 2.926 1.859 2.923 1.1698 4.334 4.209 4.664 5.924 4.737 5.679 4.953
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6969 2.783 2.100 2.913 1.464 1.296 0.9728 1.766 1.827 3.844 3.356
[2,] 0.8195 3.717 2.562 3.747 1.889 1.587 1.1996 2.438 2.230 4.680 3.875
[3,] 0.9398 4.759 2.820 4.533 2.213 1.835 1.3847 2.906 2.540 5.359 4.386
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.284 1.362 1.330 1.311 1.456 1.490 0.3886 0.7472 6.848 4.254
[2,] 1.719 1.854 1.841 1.835 1.888 1.685 0.4486 0.9835 9.592 4.957
[3,] 2.033 2.313 2.349 2.274 2.255 1.968 0.5120 1.0894 10.724 5.559
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 3.592 1.932 4.793 4.503 4.89 0.2227 1.511
[2,] 3661.957 1647.624 3943.942 4039.034 4096.42 158.7304 1361.554
[3,] 2711.198 1571.455 4531.566 3611.207 3882.52 126.3560 1183.358
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 3.318 4.197 2.946 2.234 2.34 2.171 2.549
[2,] 2376.477 2931.832 3937.741 2083.558 3655.10 1751.980 3472.337
[3,] 2224.862 3013.671 2756.981 1812.825 2330.96 1550.667 2770.034
[,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 2.568 3.399 3.483 2.973 5.803 4.361 6.309
[2,] 3473.406 2333.274 3328.856 4082.269 5142.268 3737.784 5730.793
[3,] 3493.721 3108.236 4006.673 4036.230 5018.898 3704.985 5739.106
[,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 3.058 8.673 4.543 0.4808 4.56 5.013 0.9122
[2,] 2616.090 9862.566 3490.426 423.3681 4173.61 4198.778 754.9933
[3,] 2580.183 9645.664 3922.372 437.5105 3857.40 4527.827 917.6011
[,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.405 0.3936 3.999 1.344 0.7201 4.951 4.235
[2,] 4537.750 365.4800 3743.204 1043.197 585.8243 4639.904 3475.077
[3,] 4347.173 329.8606 2925.083 1204.385 650.3955 3945.792 3568.386
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 4.305 3.99 2.369 2.152 1.099 2.22 0.8889 2.5
[2,] 3960.866 2920.36 2547.282 1725.119 869.182 1548.87 665.8796 2353.8
[3,] 3733.637 2641.54 2213.211 1748.744 721.925 1536.96 606.3545 2379.4
[,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 2.942 2.127 1.675 2.075 3.077 3.461 2.076
[2,] 2970.054 1718.006 1244.825 2018.171 2586.651 3252.820 1519.635
[3,] 2662.141 1685.674 1254.424 1661.458 2618.378 2737.796 1517.133
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.774 2.87 1.038 2.587 2.522 2.627 1.271 2.684
[2,] 3246.830 2231.97 895.961 3436.244 2559.910 2432.673 2327.696 1737.922
[3,] 3351.073 2068.28 863.511 3412.390 2502.936 2653.493 2580.599 1599.989
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.5871 1.874 0.7796 1.846 1.875 1.9 3.595 1.041
[2,] 396.4285 2486.775 680.1015 1545.416 1469.789 2224.6 3505.596 819.705
[3,] 363.5140 2131.767 754.5746 1754.517 1124.915 1638.1 2760.775 888.812
[,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.187 1.633 1.889 1.073 3.891 3.409 4.003
[2,] 2494.626 1479.183 2569.320 834.033 3360.392 3708.057 3792.880
[3,] 2414.636 1302.529 2654.131 845.033 2989.780 2982.285 3328.974
[,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.448 4.531 4.515 3.904 0.8849 3.534 2.667
[2,] 5441.918 3501.920 4758.837 4106.116 633.0524 3616.270 2154.367
[3,] 4422.813 2942.853 4428.461 3956.069 675.3049 4363.141 1730.272
[,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.699 1.859 1.646 1.235 2.243 2.32 4.881
[2,] 3459.888 1753.516 1345.178 1030.345 2467.960 1876.11 3920.127
[3,] 3744.980 1692.362 1351.382 1015.426 2320.217 1787.19 3830.018
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 4.262 1.631 1.73 1.689 1.665 1.849 1.892
[2,] 2843.906 1676.144 1845.83 1869.368 1885.367 1765.121 1155.201
[3,] 3015.055 1595.734 2030.07 2140.404 1971.586 1809.156 1493.061
[,95] [,96] [,97] [,98]
[1,] 0.4934 0.9488 8.696 5.401
[2,] 329.1425 938.8363 9859.713 3737.645
[3,] 362.2690 687.6139 7038.139 3693.764
[1] "--- VAR model 2017-10-01 05:01:00 completed"
[1] "Completed training sample: 2017-10-01 05:01:00 - 2017-10-01 13:00:00"
[1] "SpVAR; training sample: 2017-10-01 05:31:00 - 2017-10-01 13:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-9.554 5.989 -54.02 -57.06
11.020 1.892 -80.68 -64.39
6.390 -1.506 -73.75 -70.40
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-105.21 -1.510 9.520 -8.096
-65.09 -1.295 1.000 -2.674
-56.97 -1.208 3.848 -1.994
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.201 -5.826 11.949 -33.66
-7.836 -13.324 6.504 -28.39
-8.725 -9.243 11.475 -33.36
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.603 -21.98 -15.46 3.8252
1.451 -11.44 -23.18 -9.5562
1.932 -19.38 -12.73 -0.9108
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-16.29 -22.08 -44.40 10.73
-18.45 -14.43 -34.03 40.09
-23.00 -20.10 -19.66 17.78
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-59.93 1.8419 -165.7 -67.08
-94.69 -6.3417 -123.9 -48.04
-82.39 -0.2522 -180.6 -51.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.524 -78.18 -87.80 -16.67
-7.241 -71.80 -75.63 -20.31
-6.308 -58.41 -51.53 -17.17
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-62.08 -6.430 -58.65 -28.57
-86.99 -8.678 -57.96 -30.78
-72.35 -7.783 -80.33 -27.17
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.93 -66.45 -90.77 -67.63
-14.27 -65.90 -81.87 -66.68
-14.14 -58.50 -56.13 -55.73
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
21.554 -4.322 -3.8342 -0.79066
-10.573 -5.576 -0.4594 1.66504
3.499 -3.697 0.4582 0.07471
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.683 -0.9187 -45.60 -33.19
2.316 -0.5781 -51.45 -45.55
3.858 0.4515 -38.68 -39.76
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.961 -1.505 -46.94 14.13
1.755 2.854 -28.07 16.83
14.269 3.127 -37.58 16.92
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.5969 -8.987 -36.96 -0.2914
1.3043 -1.238 -27.13 11.9579
13.0982 -4.043 -21.86 4.2576
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.4356 -41.48 -28.28 -19.68
1.8366 -22.54 -27.40 -24.37
-0.4582 -35.19 -23.99 -23.49
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.31 1.8626 1.0319 -17.83
-25.71 -1.5777 -0.9045 -18.90
-25.65 0.2381 0.4076 -26.22
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.4763 -9.303 4.306 -15.831
-5.2621 -13.500 3.864 -7.706
-0.5045 -13.331 3.277 -17.278
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.505 2.332 -11.382 -10.0620
-11.006 -5.561 -12.307 7.5799
-7.331 1.985 -7.085 -0.8887
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.7040 -1.987 9.637 -12.549
-14.3405 -2.854 16.577 10.597
0.3278 -2.647 10.692 1.895
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.825 -9.551 -1.1352 16.35
9.959 23.538 0.4349 12.23
13.898 3.462 11.8066 20.50
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.515 4.16313 -6.779 11.573
-1.642 1.36024 -1.337 3.732
16.854 0.05629 8.123 3.354
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
14.8732 -1.651 -12.697 -5.0759
-0.3282 -5.938 -7.996 0.2801
20.1139 -5.363 -1.752 1.7262
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
13.377 2.6795 -4.622 -1.45007
-2.336 7.3097 6.147 0.03951
-3.922 0.6186 3.802 -0.22664
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.814 9.28 9.462 7.263
9.565 13.90 10.877 15.180
5.931 10.23 17.872 13.422
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.453 5.059 -10.903 -0.9484
-1.839 7.010 -10.956 -5.7490
-13.304 5.345 -9.538 -3.0423
rnd_95776.volume rnd_95787.volume
-69.31 -56.03
-69.36 -47.24
-31.08 -39.60
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.903 1.744 4.517 3.915 4.290 0.1946 1.264 2.881 3.506 2.437 1.899
[2,] 3.925 2.089 5.377 5.071 5.298 0.2257 1.586 3.413 4.159 3.763 2.525
[3,] 4.364 2.347 6.443 5.742 6.063 0.2459 1.816 3.807 4.665 4.318 2.826
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.107 1.885 2.143 3.320 2.901 2.985 2.564 4.924 3.633 5.838 2.691
[2,] 3.393 2.199 3.305 4.601 3.315 3.867 3.995 6.170 4.544 7.089 3.273
[3,] 3.785 2.469 3.914 5.487 3.986 4.908 4.916 7.200 5.455 8.155 3.755
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 7.723 4.018 0.4167 4.033 4.115 0.7941 3.921 0.3226 3.621 1.150
[2,] 10.982 4.849 0.5171 4.976 5.351 0.9219 5.137 0.4079 4.504 1.404
[3,] 12.766 5.547 0.6149 5.732 6.383 1.1366 5.950 0.4684 5.100 1.690
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.5985 4.565 3.727 3.678 3.503 2.226 1.743 0.9455 1.980 0.7725 2.162
[2,] 0.7431 5.722 4.659 4.627 4.209 2.976 2.132 1.1412 2.279 0.9089 2.714
[3,] 0.8697 6.385 5.395 5.512 4.659 3.426 2.472 1.2569 2.549 1.0120 3.140
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.671 1.809 1.373 1.876 2.651 3.307 1.744 2.370 2.419 0.9107 2.144
[2,] 3.414 2.198 1.643 2.377 3.185 3.957 2.112 3.471 2.885 1.1317 3.222
[3,] 3.899 2.535 1.849 2.666 3.697 4.402 2.389 4.092 3.251 1.2850 4.070
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.202 2.203 1.070 2.360 0.5171 1.603 0.6932 1.553 1.685 1.646 3.285
[2,] 2.824 2.852 2.049 2.694 0.5886 2.503 0.8595 1.954 1.988 2.342 4.055
[3,] 3.420 3.411 2.781 2.973 0.6486 2.956 1.0029 2.326 2.160 2.654 4.485
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.9077 1.896 1.494 1.701 0.9472 3.273 2.893 3.514 3.707 4.170 3.653
[2,] 1.1045 2.653 1.852 2.665 1.1069 4.021 3.846 4.514 5.259 4.794 5.014
[3,] 1.2793 3.240 2.128 3.337 1.2753 4.527 4.435 5.055 6.072 5.183 5.909
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.239 0.7553 2.963 2.235 3.041 1.654 1.446 1.097 1.924 1.990 4.139
[2,] 4.376 0.9160 3.891 2.766 4.014 2.087 1.770 1.357 2.734 2.445 5.001
[3,] 5.268 1.0380 4.974 3.035 4.827 2.452 2.030 1.578 3.218 2.745 5.854
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.725 1.358 1.510 1.450 1.389 1.643 1.621 0.4026 0.7931 7.728 4.555
[2,] 4.227 1.831 2.029 2.019 1.963 2.048 1.879 0.4667 1.0369 10.360 5.313
[3,] 4.772 2.141 2.474 2.534 2.422 2.456 2.153 0.5333 1.1441 11.533 5.960
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 3.686 2.214 5.736 4.972 5.448 0.2471 1.605
[2,] 3737.957 1628.382 4128.430 4560.385 4398.187 161.8855 1356.730
[3,] 2701.398 1514.142 5021.640 3810.971 4172.365 137.9628 1251.199
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 3.658 4.452 3.095 2.411 2.675 2.394 2.721
[2,] 2588.953 3164.856 4056.002 2356.063 3763.482 1602.504 3560.622
[3,] 2389.041 2990.221 2998.859 1794.888 2372.902 1589.507 2965.521
[,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 4.216 3.684 3.79 3.256 6.253 4.614 7.414
[2,] 4507.864 2270.383 3479.38 4334.643 5260.983 3862.612 5690.488
[3,] 4230.766 3132.309 4275.60 4053.552 5251.946 4268.809 5701.269
[,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 3.417 9.807 5.102 0.5291 5.121 5.226 1.008
[2,] 2637.662 11046.520 3841.830 433.4074 4125.312 4840.030 662.590
[3,] 2603.683 9209.428 3809.621 470.6581 4024.711 4924.057 940.604
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 4.979 0.4097 4.598 1.46 0.76 5.797 4.733 4.67
[2,] 4696.307 353.0920 3790.961 1139.63 623.16 4881.339 3955.405 3973.00
[3,] 4249.091 325.8760 3384.384 1330.65 639.46 4008.094 3848.363 4239.73
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.448 2.827 2.213 1.201 2.515 0.981 2.745 3.391
[2,] 3301.275 2795.786 1736.631 904.259 1595.765 677.418 2322.490 3010.166
[3,] 2827.263 2399.286 1771.454 745.333 1616.840 629.834 2233.449 2664.904
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 2.297 1.743 2.383 3.367 4.199 2.215 3.01
[2,] 1766.582 1276.454 2064.098 2496.854 3075.661 1684.413 3587.64
[3,] 1786.485 1199.867 1707.941 2656.544 2727.928 1580.120 3067.31
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.072 1.156 2.723 2.797 2.797 1.359 2.997
[2,] 2224.151 950.686 3403.495 2501.765 2562.512 2473.203 1836.317
[3,] 2121.027 861.108 3518.776 2728.835 2648.636 2658.939 1780.537
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.6566 2.035 0.8802 1.972 2.14 2.09 4.171 1.153
[2,] 398.0357 2720.101 719.1700 1677.487 1491.45 2357.05 3363.440 890.438
[3,] 385.4404 2224.761 731.1301 1786.901 1195.65 1767.21 2713.602 913.357
[,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.408 1.897 2.159 1.203 4.156 3.674 4.463
[2,] 2624.829 1548.915 2903.854 810.626 3303.987 3585.907 4007.849
[3,] 2632.715 1483.827 2840.724 896.121 2943.519 3123.609 3219.131
[,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.708 5.296 4.639 4.113 0.9591 3.762 2.838
[2,] 5277.712 3344.519 4858.884 4163.831 733.3245 3569.998 2306.444
[3,] 4295.169 2788.614 4424.461 4150.138 690.8037 4383.676 1768.289
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.861 2.1 1.836 1.393 2.443 2.528 5.256 4.73
[2,] 3706.651 1801.2 1444.024 1130.549 2749.544 2008.761 3971.097 2826.71
[3,] 3794.935 1820.7 1405.636 1139.142 2401.518 1766.572 4307.065 3134.96
[,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 1.724 1.918 1.842 1.764 2.086 2.059 0.5113
[2,] 1738.117 1917.743 1987.728 1961.981 1730.570 1344.230 333.9875
[3,] 1569.978 2001.960 2165.427 2009.440 1919.106 1485.192 365.1902
[,96] [,97] [,98]
[1,] 1.007 9.813 5.784
[2,] 945.115 9762.469 3870.422
[3,] 684.098 7171.600 3821.071
[1] "--- VAR model 2017-10-01 05:31:00 completed"
[1] "Completed training sample: 2017-10-01 05:31:00 - 2017-10-01 13:30:00"
[1] "SpVAR; training sample: 2017-10-01 06:01:00 - 2017-10-01 14:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-7.707 0.5676 -46.96 -75.90
-16.513 2.0174 -53.31 -47.90
-11.235 -3.6529 -63.27 -57.77
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-60.06 -1.1951 5.1219 7.547
-79.24 -0.6381 -0.6467 -4.900
-38.67 -0.6387 -1.2794 -11.665
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-11.773 -21.778 1.4576 -43.88
-2.487 1.372 4.2989 -24.25
-10.458 -6.595 0.6903 -17.39
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.298 -14.868 -14.31 -10.006
6.047 -20.475 -12.01 -8.050
5.595 -6.973 -16.44 5.306
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.34 -27.52 -17.96 2.383
-28.57 -13.49 -12.16 18.207
-13.56 -28.06 -31.82 3.435
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-66.77 -8.883 -103.8 -85.38
-45.80 -7.932 -107.0 -38.53
-75.63 -6.241 -130.7 -54.20
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.980 -40.41 -61.37 -14.39
-5.517 -55.43 -79.02 -17.75
-5.775 -60.12 -65.13 -14.45
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-76.31 -7.395 -57.44 -29.95
-53.03 -7.173 -75.20 -25.09
-74.00 -6.707 -57.35 -23.98
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.87 -60.35 -54.29 -46.57
-15.99 -44.30 -75.58 -71.81
-15.25 -69.93 -46.59 -57.42
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-14.028 -0.08988 2.971 3.0465
-8.314 -15.83197 2.139 -1.5915
-5.236 -0.52726 9.409 0.9716
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.306 -2.7342 -41.45 -31.54
-3.649 -3.9529 -40.00 -40.67
-2.884 0.8205 -30.96 -41.29
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9116 0.888 -41.02 3.307
10.2500 -2.167 -35.58 12.586
4.1875 -1.525 -27.60 -1.762
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
12.47 -9.972 -13.69 3.030
11.81 -5.830 -16.53 5.082
11.78 -2.496 -28.33 15.476
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.026 -33.15 -16.63 -17.31
1.674 -11.41 -28.60 -24.90
4.188 -30.70 -19.83 -16.35
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.32 9.7417 -0.2419 -5.631
-22.75 3.7720 0.8926 -12.120
-23.81 -0.7633 1.2637 -25.999
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.601 -10.48 7.7563 1.592
-5.461 -1.34 -0.9361 -4.613
-2.650 -12.25 4.2147 -5.150
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
15.025 6.698 4.410 -3.0304
1.823 5.794 -10.415 0.6293
-2.024 2.402 -4.238 -4.7679
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.6657 4.126 -23.898 -3.781
-1.2938 4.650 -6.698 -17.674
-7.9352 4.171 -8.175 -4.441
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.856 6.225 10.98 2.301
-14.268 -27.096 13.33 4.055
-4.869 -13.991 13.15 -10.457
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.038 1.2677 8.387 -4.431
12.221 -3.9082 11.296 -1.245
-20.960 0.2087 -6.004 -4.168
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.855 -2.001 -11.987 2.471
10.991 -2.260 3.104 2.940
8.728 -7.054 1.192 1.543
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.809 -3.2605 -2.802 -29.353
-13.533 5.5206 4.486 -4.416
-1.228 -0.5581 -9.991 -6.924
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.4906 -4.366 -7.986 -5.499
-11.1711 -6.823 -1.908 -5.700
-3.5173 -7.593 -6.142 -3.280
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.85565 6.630 -12.95 -1.78342
-0.05213 -5.225 -11.79 0.03637
-9.21807 -1.183 -10.58 0.83840
rnd_95776.volume rnd_95787.volume
-35.90 -74.54
-91.32 -45.34
-34.09 -46.08
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.189 1.935 4.791 4.293 4.688 0.2093 1.329 3.049 3.676 2.629 2.044
[2,] 4.084 2.258 5.788 5.572 5.857 0.2361 1.657 3.535 4.343 4.003 2.664
[3,] 4.535 2.486 6.862 6.207 6.488 0.2570 1.876 3.960 4.838 4.549 2.994
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.247 2.087 2.390 3.482 3.086 3.079 2.758 5.476 3.813 6.425 2.823
[2,] 3.563 2.438 3.535 4.846 3.549 3.995 4.199 6.633 4.909 7.838 3.395
[3,] 3.940 2.687 4.094 5.723 4.184 5.069 5.144 7.708 5.762 8.808 3.891
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.51 4.447 0.4786 4.367 4.325 0.8416 4.224 0.3240 4.110 1.268 0.7128
[2,] 12.09 5.484 0.5812 5.453 5.711 0.9675 5.529 0.4044 5.148 1.545 0.8646
[3,] 13.91 6.294 0.6727 6.342 6.935 1.1923 6.382 0.4628 5.761 1.863 0.9944
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.000 4.364 4.175 3.841 2.328 1.916 1.042 2.161 0.8408 2.508 3.007
[2,] 6.112 5.446 5.196 4.523 3.132 2.320 1.251 2.502 0.9911 3.088 3.844
[3,] 6.881 6.127 6.207 4.904 3.679 2.694 1.368 2.785 1.1035 3.542 4.415
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.927 1.397 2.073 2.906 3.481 1.925 2.513 2.480 0.9894 2.362 2.312
[2,] 2.425 1.704 2.599 3.449 4.300 2.281 3.830 2.976 1.2207 3.502 2.983
[3,] 2.758 1.925 2.912 3.971 4.753 2.581 4.428 3.376 1.3843 4.552 3.610
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.332 1.221 2.469 0.5562 1.699 0.7427 1.747 1.853 1.734 3.435 0.9676
[2,] 2.960 2.227 2.832 0.6500 2.750 0.9200 2.150 2.202 2.535 4.219 1.1719
[3,] 3.552 3.018 3.143 0.7041 3.116 1.0537 2.498 2.417 2.855 4.659 1.3688
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.146 1.758 2.026 1.016 3.377 3.037 3.621 3.941 4.407 4.030 3.389
[2,] 2.986 2.166 3.060 1.197 4.155 4.127 4.620 5.447 5.010 5.568 4.576
[3,] 3.667 2.393 3.670 1.386 4.707 4.656 5.282 6.354 5.472 6.479 5.466
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8582 3.011 2.397 3.252 1.815 1.505 1.278 2.121 2.149 4.860 4.011
[2,] 0.9951 4.112 2.843 4.227 2.230 1.867 1.524 2.966 2.602 5.749 4.506
[3,] 1.1105 5.316 3.117 5.272 2.597 2.185 1.744 3.460 2.943 6.419 5.172
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.459 1.610 1.580 1.538 1.734 1.860 0.4244 0.8571 8.08 4.870
[2,] 1.954 2.195 2.164 2.102 2.210 2.122 0.4932 1.0984 10.90 5.818
[3,] 2.299 2.683 2.791 2.644 2.617 2.419 0.5619 1.2211 12.01 6.716
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.049 2.458 6.084 5.451 5.953 0.2658 1.688
[2,] 3581.941 1633.442 4557.075 4986.018 4926.061 153.3125 1389.258
[3,] 2766.667 1458.964 5174.921 3837.689 3920.233 142.5350 1232.740
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 3.871 4.668 3.339 2.595 2.853 2.65 3.035
[2,] 2511.912 3244.291 4236.514 2397.865 3881.046 1770.82 3655.458
[3,] 2506.248 2994.439 3032.420 1919.831 2359.952 1583.28 2900.183
[,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 4.422 3.919 3.91 3.502 6.953 4.842 8.159
[2,] 4730.736 2459.850 3572.11 4443.683 5254.587 4339.549 6302.133
[3,] 4273.270 3110.292 4380.40 4170.982 5509.383 4232.923 5638.361
[,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 3.584 10.81 5.648 0.6077 5.546 5.492 1.069
[2,] 2646.450 12056.12 4503.625 462.8319 4584.410 5234.549 669.852
[3,] 2669.145 9655.39 4333.547 475.4964 4542.937 5521.079 978.056
[,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.364 0.4114 5.219 1.611 0.9051 6.349 5.542
[2,] 5006.982 339.7974 4351.223 1238.969 686.8550 4933.986 4573.372
[3,] 4474.965 315.6565 3631.422 1461.369 689.5626 4435.686 3938.118
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.302 4.878 2.956 2.432 1.323 2.744 1.068 3.185
[2,] 4340.787 3350.299 2939.867 1836.949 970.428 1771.279 736.403 2529.171
[3,] 4765.579 2662.342 2709.016 1922.313 779.692 1714.319 681.002 2434.483
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.818 2.447 1.774 2.633 3.69 4.42 2.445 3.191
[2,] 3360.745 2065.417 1369.955 2198.841 2608.49 3544.88 1717.525 4057.033
[3,] 3048.011 1844.027 1256.004 1843.777 2760.10 2839.66 1694.586 3119.383
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 3.149 1.256 3 2.936 2.961 1.55 3.136 0.7063
[2,] 2309.095 1003.484 3628 2646.574 2557.704 2614.71 1945.832 472.0293
[3,] 2237.004 916.391 4083 2853.711 2757.617 2858.27 1913.399 379.8737
[,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.158 0.9431 2.218 2.354 2.202 4.362 1.229
[2,] 3034.520 762.1548 1758.933 1668.112 2595.339 3438.369 927.992
[3,] 2057.093 721.0177 1784.281 1398.199 1844.203 2774.514 992.824
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.725 2.232 2.573 1.29 4.288 3.857 4.599 5.005
[2,] 2914.430 1777.557 3218.890 888.53 3399.199 3922.714 4027.275 5276.993
[3,] 2987.998 1426.092 2844.439 981.07 3102.435 3025.655 3593.802 4592.712
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.597 5.117 4.304 1.09 3.824 3.044 4.13 2.305
[2,] 3344.809 5393.395 4314.132 707.15 3931.091 2144.326 3789.43 1818.258
[3,] 3088.167 4650.816 4196.872 691.71 4727.377 1795.093 4422.21 1868.458
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.911 1.623 2.693 2.729 6.171 5.093 1.852
[2,] 1550.580 1163.689 2910.568 2060.278 4311.488 2883.175 1825.408
[3,] 1594.132 1189.575 2499.519 1929.312 4006.235 3563.071 1699.943
[,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.045 2.006 1.953 2.202 2.361 0.5389 1.088
[2,] 2093.442 2076.512 2011.795 1923.602 1434.328 352.6154 964.262
[3,] 2166.344 2473.888 2251.330 1967.913 1629.440 377.7824 748.640
[,97] [,98]
[1,] 10.26 6.184
[2,] 10275.93 4466.365
[3,] 7076.70 4710.156
[1] "--- VAR model 2017-10-01 06:01:00 completed"
[1] "Completed training sample: 2017-10-01 06:01:00 - 2017-10-01 14:00:00"
[1] "SpVAR; training sample: 2017-10-01 06:31:00 - 2017-10-01 14:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-38.5585 5.510 -36.37 -63.24
-8.8155 7.062 -50.90 -64.61
-0.7414 -13.035 -50.10 -74.10
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-72.55 0.1749 -1.727 -2.663
-56.03 -0.1357 -2.325 -11.938
-78.47 -0.6876 3.274 -9.640
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-9.654 -13.87 -12.338 -23.48
-14.297 -5.80 -1.046 -14.77
-20.102 -22.62 -5.070 -23.10
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-7.0664 -3.891 -11.90 2.493
-4.9243 -18.350 -26.99 -5.911
-0.3478 -1.300 -21.74 -14.496
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-36.41 -32.436 -29.533 -1.365
-12.57 -8.981 -18.397 29.891
16.41 -28.453 -1.197 1.439
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-39.59 2.365 -105.2 -84.80
-43.06 8.317 -153.3 -71.79
-81.29 2.807 -111.2 -58.01
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.309 -71.76 -87.61 -18.05
-5.581 -55.34 -81.30 -17.08
-3.990 -45.85 -65.64 -17.58
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-60.44 -5.528 -107.09 -23.59
-99.15 -8.375 -58.25 -27.25
-56.56 -8.089 -63.00 -28.65
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.867 0.8942 -75.54 -83.54
-9.461 -50.0695 -57.68 -50.62
-15.331 -76.6243 -53.07 -59.03
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-49.3948 -21.69 -15.7615 -2.51444
-12.3193 -19.91 3.8630 -3.49425
-0.7459 -23.77 -0.3023 0.02747
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.719 0.5634 -47.19 -63.52
-5.274 -2.4400 -29.09 -29.58
4.806 -1.6106 -14.56 -18.74
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.749 0.001836 -35.05 25.440
4.623 -6.093121 -28.08 -6.103
7.770 1.855718 -30.63 -4.539
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
20.544 -14.825 -14.017 3.334
4.290 4.472 -6.063 16.255
4.403 -1.223 -20.318 15.181
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-5.3496 -22.283 -30.55 -16.06
3.8075 -12.254 -10.42 -26.23
0.6844 -2.663 -15.07 -18.20
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-17.18 -14.216 -1.017 -22.96
-31.31 -4.760 -0.715 -33.35
-16.07 1.341 1.360 -25.48
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-10.7135 -5.05 3.702 -3.257
-2.8705 -20.12 2.956 -13.949
-0.1319 -16.60 -3.160 -16.437
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.405 11.417 -13.257 5.672
17.481 2.117 4.057 6.631
-30.826 -1.609 -20.009 2.144
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-17.067 0.1702 -10.975 -16.60
-5.425 2.0968 -10.917 -10.83
-1.069 4.2839 9.096 -11.89
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
10.538 -29.684 -5.332 8.162
-3.644 -2.676 18.848 -28.745
7.327 -4.953 11.226 -7.144
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.958 1.600 9.524 1.994
-24.926 1.680 5.448 3.527
1.312 2.924 -29.680 -4.832
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-11.62 3.689 -5.866 -2.347
-6.16 6.471 8.842 -8.345
-12.14 3.885 6.143 1.432
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.766 -2.711 14.18 12.53
-10.178 2.386 -16.78 -14.97
-18.468 -8.386 9.55 -16.75
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.1361 -2.3476 0.08593 -7.590
3.6335 0.8048 -0.76526 -1.593
-0.2983 -3.7926 -7.33976 -3.420
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.923 8.075 -10.51 -5.898
-34.044 3.134 -11.15 2.405
-16.281 -5.860 -11.41 2.143
rnd_95776.volume rnd_95787.volume
-22.44 -63.14
-18.74 -66.99
-40.98 -53.26
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.260 2.121 5.242 4.767 5.154 0.2152 1.453 3.210 4.057 2.834 2.083
[2,] 4.181 2.477 6.321 5.913 6.404 0.2449 1.770 3.694 4.758 4.242 2.774
[3,] 4.703 2.685 7.365 6.579 7.002 0.2670 1.971 4.171 5.170 4.734 3.070
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.355 2.197 2.500 3.888 3.516 4.071 3.262 7.126 4.069 6.938 3.442
[2,] 3.763 2.644 3.777 5.392 4.190 5.267 4.395 8.564 5.339 8.525 3.929
[3,] 4.137 2.864 4.414 6.346 4.882 6.550 5.395 9.836 6.122 9.393 4.547
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 9.622 4.976 0.5024 4.529 4.613 0.8906 4.681 0.3503 4.631 1.347
[2,] 13.376 6.031 0.6060 5.775 6.187 1.0286 5.870 0.4305 5.698 1.659
[3,] 15.349 6.753 0.6898 6.876 7.484 1.2640 6.836 0.4931 6.390 1.940
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.7674 5.407 4.933 4.796 3.982 2.473 2.218 1.130 2.363 0.9218 2.724
[2,] 0.9528 6.704 5.978 5.835 4.732 3.393 2.596 1.340 2.699 1.0437 3.417
[3,] 1.0843 7.416 6.672 6.831 5.189 3.922 2.937 1.455 2.992 1.1397 3.953
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.168 2.092 1.437 2.354 3.030 3.770 2.066 2.683 2.752 1.087 2.606
[2,] 4.130 2.546 1.745 2.862 3.596 4.493 2.456 3.936 3.264 1.280 3.835
[3,] 4.836 2.899 1.937 3.227 4.249 4.947 2.743 4.668 3.671 1.451 4.703
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.420 2.361 1.321 2.641 0.5861 1.829 0.7721 1.843 1.959 1.847 3.736
[2,] 3.106 3.124 2.394 3.065 0.6852 2.874 0.9683 2.247 2.305 2.633 4.468
[3,] 3.738 3.758 3.132 3.375 0.7428 3.359 1.1035 2.616 2.528 2.965 5.019
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.037 2.343 1.972 2.210 1.113 3.587 3.041 3.709 4.010 4.520 4.127
[2,] 1.226 3.218 2.364 3.320 1.285 4.384 4.249 4.888 5.656 5.244 5.777
[3,] 1.434 3.888 2.624 3.951 1.478 4.810 4.846 5.518 6.520 5.841 6.658
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.326 0.9185 3.126 2.464 3.304 1.877 1.591 1.364 2.218 2.311 5.291
[2,] 4.648 1.0525 4.181 2.930 4.332 2.325 1.956 1.593 3.137 2.738 6.227
[3,] 5.706 1.1601 5.453 3.218 5.404 2.688 2.340 1.809 3.636 3.089 6.963
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.433 1.556 1.703 1.802 1.755 1.844 1.915 0.4562 0.9082 8.147 5.157
[2,] 4.974 2.085 2.355 2.401 2.305 2.336 2.261 0.5292 1.1878 10.976 6.181
[3,] 5.700 2.413 2.866 3.028 2.842 2.756 2.554 0.5880 1.3207 12.219 7.030
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.139 2.694 6.657 6.053 6.544 0.2732 1.844
[2,] 3670.003 1792.728 4949.840 4902.793 5328.148 163.8162 1416.769
[3,] 3016.822 1450.441 5297.081 4043.296 3968.270 149.0873 1215.177
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.076 5.151 3.599 2.645 2.99 2.79 3.175 4.937
[2,] 2562.472 3483.232 4423.341 2566.577 4113.89 2061.55 3967.733 5235.936
[3,] 2715.022 2836.823 2943.711 1843.912 2408.69 1540.19 3200.835 4689.341
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.465 5.17 4.143 9.049 5.167 8.81 4.371 12.22
[2,] 3194.168 4681.89 4126.451 6658.256 4845.606 6942.41 2655.067 13022.28
[3,] 3509.697 5456.27 4385.382 6778.764 4197.000 5528.02 3206.524 10549.69
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 6.319 0.638 5.751 5.857 1.131 5.944 0.4449
[2,] 4775.601 474.810 5020.570 5778.469 721.138 4964.314 350.6041
[3,] 4255.040 461.692 5230.142 5900.696 1029.642 4909.868 337.1031
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 5.881 1.71 0.9745 6.866 6.264 6.091 5.057 3.14
[2,] 4651.348 1356.78 791.3669 5555.703 4732.655 4657.010 3581.516 3256.52
[3,] 4054.556 1409.16 725.4162 4442.480 4152.809 4978.584 2985.239 2756.09
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 2.817 1.435 3 1.171 3.46 4.023 2.656 1.824
[2,] 1889.063 1007.593 1828 685.901 2891.10 3714.274 2033.425 1389.333
[3,] 1925.048 795.519 1810 641.475 2785.05 3524.477 1944.191 1176.181
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.99 3.848 4.788 2.623 3.407 3.495 1.381 3.309
[2,] 2280.06 2714.351 3425.660 1861.744 4035.297 2457.710 945.667 3942.707
[3,] 2089.60 3172.112 2900.718 1713.397 3517.267 2354.620 957.266 3816.063
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.073 2.999 1.678 3.354 0.7442 2.323 0.9804
[2,] 2728.577 2866.855 2797.845 2179.244 497.5691 3106.891 818.8954
[3,] 2915.303 2926.077 2829.029 1979.292 401.8319 2434.935 741.8634
[,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.341 2.487 2.346 4.744 1.317 2.975 2.504
[2,] 1801.795 1702.615 2629.945 3434.757 915.531 3091.336 1827.893
[3,] 1875.480 1453.448 1911.142 3204.435 1042.071 3057.375 1596.288
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.807 1.413 4.555 3.862 4.71 5.092 5.74 5.24
[2,] 3471.544 899.584 3533.940 4158.317 4462.07 5590.219 3726.77 5664.89
[3,] 3002.743 1023.627 2772.275 3266.611 3588.77 4545.756 3603.14 4638.09
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.224 1.166 3.97 3.129 4.195 2.384 2.021 1.732
[2,] 4550.157 720.022 3891.21 2222.768 3926.922 1923.242 1594.213 1153.950
[3,] 4637.309 683.796 4904.44 1862.603 4527.139 1889.267 1799.131 1200.779
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.816 2.935 6.719 5.63 1.975 2.163 2.289
[2,] 3109.497 2058.456 4601.129 3159.39 1944.793 2280.324 2222.641
[3,] 2576.326 2003.780 4365.798 3902.19 1701.623 2287.443 2585.749
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.228 2.341 2.431 0.5793 1.153 10.35 6.549
[2,] 2094.264 2011.207 1684.653 375.9264 1072.805 10305.97 4775.009
[3,] 2330.750 2049.668 1665.945 359.0909 809.172 7525.28 4691.708
[1] "--- VAR model 2017-10-01 06:31:00 completed"
[1] "Completed training sample: 2017-10-01 06:31:00 - 2017-10-01 14:30:00"
[1] "SpVAR; training sample: 2017-10-01 07:01:00 - 2017-10-01 15:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-8.8232 -3.627 -35.41 -61.19
-0.4162 -3.764 -36.97 -68.74
4.8343 0.292 -27.65 -52.80
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.50 -1.1246 -2.06358 -10.464
-48.04 -1.0170 -0.06978 1.052
-65.06 -0.8284 2.17438 -6.350
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.979 0.9814 3.6359 -11.64
-0.447 -1.7424 0.5882 -20.38
-10.204 -5.8781 6.2352 -22.31
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.224 -9.806 9.836 1.515
-3.287 -3.645 24.575 -10.222
2.937 -7.854 12.727 -1.811
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.471 -22.989 -72.450 0.5172
-8.522 -15.406 -4.043 15.3353
-18.624 -6.152 -19.887 9.9819
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-49.15 -8.073 -109.6 -51.78
-51.45 -14.905 -116.1 -47.51
-29.43 -2.789 -107.5 -48.22
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.283 -78.30 -71.72 -19.23
-8.571 -63.01 -88.22 -15.45
-7.817 -58.30 -51.19 -15.18
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-55.22 -7.416 -56.18 -21.35
-70.64 -7.525 -62.74 -22.88
-60.15 -7.330 -68.92 -25.13
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.29 -69.51 -60.92 -44.81
-15.52 -67.79 -46.55 -60.95
-15.08 -61.93 -65.82 -71.58
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-22.021 -14.476 3.343 1.50898
-5.413 -4.146 -1.747 0.02684
-7.485 -16.426 -9.318 0.30513
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.446 -2.931 -30.27 -25.17
-5.233 0.677 -44.92 -31.26
-2.815 -1.123 -35.89 -45.62
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.676 -4.181 -36.91 13.123
-8.028 -2.984 -34.24 1.290
1.657 -6.067 -36.72 3.373
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.184 -6.351 -27.61 6.432
8.492 -1.433 -40.80 3.045
6.562 -7.542 -23.96 2.991
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.693 -30.77 -33.31 -24.31
-3.566 -27.25 -25.10 -23.16
-3.293 -28.11 -28.23 -26.82
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-24.83 -1.7268 -0.03687 -23.76
-31.26 0.4563 0.40800 -24.31
-27.17 0.4376 -0.46786 -31.42
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.376 0.4889 5.7930 -6.772
-1.793 -16.8386 8.6442 -1.688
-3.338 -20.1679 -0.4803 -14.954
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.878 -0.5943 -12.450 1.23695
8.445 2.2840 -1.030 -1.24099
-19.980 -0.2202 -6.895 -0.04967
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.248 0.7007 -8.8477 -8.4622
-7.634 0.3068 0.4993 -0.6597
-2.208 0.6254 6.5536 3.9090
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.1516 3.208 1.721 16.977
-17.9672 -21.735 11.806 -8.526
-0.1752 -3.942 8.713 7.429
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.455 -1.236 6.480 3.0251
5.572 1.240 9.607 -0.5619
-4.316 -1.085 -7.224 -6.6979
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
19.457 -5.284 10.692 -1.194
11.593 2.949 -6.519 1.344
-2.659 -1.925 -2.166 -2.926
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-18.726 -3.6990 -6.133 -7.967
2.016 -2.4583 1.234 -8.209
-15.009 -0.6151 -4.681 -10.011
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.340 6.5427 5.554 3.3482
8.830 0.5262 3.329 2.2682
2.594 2.1172 0.296 0.8435
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5055 -6.765 -9.737 3.3793
-13.3204 -3.390 -9.460 -0.8998
-10.9418 -4.413 -9.875 -1.6351
rnd_95776.volume rnd_95787.volume
-96.68 -57.84
-47.74 -69.57
-83.79 -58.46
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.584 2.290 5.953 5.058 5.744 0.1927 1.577 3.304 4.048 3.014 2.209
[2,] 4.395 2.670 7.309 6.229 6.994 0.2241 1.830 3.827 4.790 4.351 2.875
[3,] 4.846 2.903 8.765 6.947 7.618 0.2460 2.030 4.282 5.205 4.861 3.163
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.407 2.268 2.614 6.287 3.698 4.114 3.238 7.101 4.163 7.537 3.527
[2,] 3.813 2.702 3.796 8.033 4.338 5.494 4.358 8.602 5.286 9.024 4.009
[3,] 4.204 2.936 4.449 9.319 5.038 6.781 5.386 9.988 6.175 10.022 4.629
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.49 5.452 0.5352 4.996 5.010 0.9167 5.259 0.3802 5.280 1.443 0.8244
[2,] 14.44 6.661 0.6382 6.214 6.501 1.0855 6.523 0.4645 6.293 1.818 0.9669
[3,] 16.38 7.429 0.7180 7.232 7.877 1.3137 7.479 0.5205 7.039 2.071 1.0836
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.867 5.474 5.259 4.229 2.670 2.409 1.207 2.582 0.9817 3.108 3.391
[2,] 7.104 6.546 6.315 4.955 3.553 2.826 1.386 2.997 1.1080 3.776 4.300
[3,] 7.850 7.365 7.392 5.442 4.096 3.166 1.501 3.289 1.2135 4.333 4.963
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.340 1.497 2.455 3.177 4.163 2.157 2.814 2.990 1.087 2.785 2.466
[2,] 2.771 1.794 3.021 3.808 4.848 2.522 4.170 3.539 1.338 4.107 3.250
[3,] 3.082 1.978 3.354 4.429 5.245 2.838 4.928 3.927 1.516 4.910 3.910
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.475 1.573 2.876 0.5851 1.993 0.8684 1.889 2.187 1.947 3.909 1.136
[2,] 3.226 2.695 3.298 0.6795 3.042 1.0442 2.335 2.498 2.655 4.672 1.359
[3,] 3.979 3.439 3.585 0.7501 3.589 1.1588 2.751 2.711 3.067 5.248 1.556
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.458 2.090 2.384 1.209 3.721 3.088 3.926 4.185 4.893 4.107 3.515
[2,] 3.353 2.549 3.571 1.386 4.430 4.378 5.066 5.869 5.583 6.030 4.906
[3,] 4.030 2.825 4.212 1.567 4.928 4.958 5.685 6.679 6.045 6.921 5.929
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9347 3.242 2.538 3.441 1.886 1.600 1.429 2.439 2.418 5.672 4.599
[2,] 1.0737 4.329 3.086 4.597 2.359 2.097 1.688 3.374 2.934 6.546 5.149
[3,] 1.1795 5.732 3.323 5.664 2.773 2.445 1.884 3.797 3.246 7.271 5.983
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.686 1.769 1.917 1.971 1.900 2.078 0.4672 0.8941 8.606 5.562
[2,] 2.201 2.549 2.572 2.470 2.416 2.422 0.5421 1.1623 11.574 6.538
[3,] 2.549 3.044 3.229 3.105 2.898 2.675 0.6065 1.3279 12.901 7.447
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.551 2.908 7.559 6.422 7.294 0.2447 2.002
[2,] 4039.496 2179.316 6736.540 5773.971 6337.172 181.8275 1476.282
[3,] 3242.217 1809.855 7682.909 4887.872 4797.101 160.8363 1393.922
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.196 5.14 3.827 2.805 3.057 2.88 3.319 7.983
[2,] 3065.837 4067.91 4984.905 2923.497 4696.090 2333.30 4373.134 7942.253
[3,] 3050.760 3234.51 3440.302 2093.974 2811.342 1822.64 3684.537 7500.809
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.696 5.224 4.112 9.017 5.287 9.57 4.479
[2,] 3601.755 5782.882 4632.485 7712.159 5173.094 7882.43 3024.108
[3,] 4070.362 6313.684 5027.441 8060.838 5070.347 6925.65 3676.019
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 13.32 6.924 0.6797 6.344 6.362 1.164 6.679
[2,] 15773.68 6076.369 552.2245 5867.513 6579.189 923.117 6129.572
[3,] 12273.40 5225.330 522.2251 5876.966 7064.331 1175.286 5810.713
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.4828 6.705 1.832 1.047 7.45 6.95 6.677 5.371
[2,] 423.7383 5437.066 1756.129 802.386 6362.13 5703.23 5553.917 4100.485
[3,] 373.1542 5010.715 1574.228 777.124 5304.44 5361.17 6101.754 3572.190
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 3.39 3.059 1.533 3.279 1.247 3.947 4.306 2.972
[2,] 3724.54 2346.557 1081.874 2416.285 815.964 3406.278 4199.239 2356.021
[3,] 3236.84 2267.344 916.261 2153.618 786.010 3373.284 3935.707 2145.493
[,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 1.901 3.117 4.034 5.286 2.739 3.574 3.797
[2,] 1569.223 2798.505 3333.894 3945.325 2074.005 4887.963 3007.230
[3,] 1322.219 2313.368 3594.301 3182.751 2068.252 4171.696 2701.335
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 1.38 3.537 3.132 3.142 1.998 3.652 0.743 2.53
[2,] 1240.32 4794.241 3361.298 3287.901 3475.328 2562.463 548.527 3650.07
[3,] 1131.50 4271.907 3452.646 3698.646 3393.652 2233.334 504.581 3024.17
[,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.103 2.399 2.777 2.472 4.963 1.443 3.121
[2,] 920.940 2179.499 1920.205 2866.969 4063.633 1184.216 3622.473
[3,] 798.112 2308.557 1669.868 2439.139 3796.184 1203.725 3549.667
[,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.654 3.027 1.535 4.726 3.922 4.985 5.314
[2,] 2317.466 4223.243 1075.988 3816.136 4929.059 5085.832 6535.426
[3,] 1935.201 3547.062 1161.092 3429.718 3696.243 4096.678 5062.048
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.214 5.215 4.463 1.187 4.117 3.223 4.37 2.394
[2,] 4267.778 7013.087 5435.158 839.091 4556.104 2788.512 4841.35 2251.139
[3,] 3683.364 5394.224 5287.418 775.318 5968.201 1957.238 5255.46 2316.882
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.032 1.815 3.097 3.07 7.203 5.84 2.141 2.246
[2,] 2153.477 1426.282 3702.221 2640.24 5189.520 3678.37 2247.645 2914.182
[3,] 1996.985 1329.156 2766.453 2205.57 5026.994 4838.14 2040.356 2643.854
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.434 2.503 2.413 2.638 0.5933 1.135 10.93
[2,] 2722.764 2362.649 2368.968 1978.863 436.6945 1179.478 12290.85
[3,] 3100.554 2989.052 2541.732 1802.936 432.0775 1019.918 9051.93
[,98]
[1,] 7.063
[2,] 5458.735
[3,] 5661.742
[1] "--- VAR model 2017-10-01 07:01:00 completed"
[1] "Completed training sample: 2017-10-01 07:01:00 - 2017-10-01 15:00:00"
[1] "SpVAR; training sample: 2017-10-01 07:31:00 - 2017-10-01 15:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.1207 4.460 -62.77 -60.09
-0.5045 -6.444 -57.14 -52.43
-11.8831 4.169 -91.68 -83.13
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-47.28 -0.4425 -1.1817 -13.777
-54.69 -1.2749 -0.8373 -1.179
-72.48 -1.2457 4.9420 -1.079
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-29.2023 -8.048 7.693 -28.36
-0.9228 -12.103 -7.469 -37.53
-3.2099 -1.651 8.662 -19.78
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1704 -12.94 21.00 -2.74
0.3758 -22.38 -37.80 -12.15
5.5426 -12.44 -62.75 -11.30
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.568 -15.495 -9.384 4.765
-14.864 5.616 -28.524 22.009
-37.648 -28.888 22.690 29.580
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-65.41 -3.364 -110.97 -57.63
-43.14 -7.788 -86.42 -50.03
-42.12 1.226 -102.63 -39.44
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-10.013 -61.48 -63.18 -15.68
-8.788 -70.38 -63.10 -16.83
-8.281 -64.40 -72.13 -16.24
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-65.79 -9.452 -81.03 -22.34
-57.61 -8.300 -48.31 -18.52
-71.62 -9.270 -79.05 -21.24
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.21 -62.11 -35.15 -72.82
-14.50 -67.85 -45.95 -46.39
-13.29 -70.01 -60.36 -35.25
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.440 6.638 8.136 3.906
13.786 -7.948 6.302 -2.405
2.058 17.258 14.837 -1.118
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-9.602 -2.319 -28.71 -33.13
-2.744 1.353 -27.14 -33.89
-3.912 -1.149 -26.31 -37.56
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
12.128 1.8231 -51.14 7.391
1.941 -2.5931 -41.90 15.070
11.788 0.1877 -40.11 12.489
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
27.49 -1.282 -26.73306 36.467
26.23 -4.469 -0.06078 20.863
23.49 -3.427 -34.31434 3.753
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.132 -7.858 -23.986 -14.455
-6.973 -8.922 4.497 -3.407
1.675 1.705 5.626 3.343
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.445 -6.397 -0.6978 10.274
-15.764 6.711 -0.3418 -13.871
2.147 2.395 -0.1117 3.391
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.9019 8.0416 3.841 13.915
-1.5545 -0.5974 10.196 19.612
0.5184 -6.5633 8.790 -6.432
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
25.39 -3.9194 15.996 -2.272
18.96 3.3103 2.693 2.135
15.33 0.4123 14.826 -1.417
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
11.51 0.8686 10.763 -0.988
18.01 4.3485 -18.723 -2.943
11.94 1.8230 -7.628 -14.389
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.087739 8.3809 25.806 11.185
0.002324 0.1915 7.585 -5.013
-6.396780 -18.5675 21.869 8.695
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.013 -1.4661 -5.375 0.1360
22.770 1.5455 9.518 0.5856
1.208 -0.9012 -1.076 -7.7251
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.215 1.067 8.720 0.6130
8.239 11.838 -3.148 0.3934
5.723 6.812 -1.310 7.1751
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.877 10.628 -2.598 -14.573
-7.591 -6.686 -1.297 19.404
12.851 3.829 -13.146 -3.614
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
22.57 29.38 33.65 21.35
32.19 28.44 26.67 35.45
27.39 34.89 34.73 26.99
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.933 -1.7264 -9.764 -0.5832
16.384 3.3041 -10.044 4.9896
-6.304 -0.8207 -11.657 0.4527
rnd_95776.volume rnd_95787.volume
-45.48 -76.97
-26.23 -73.46
-31.44 -42.47
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.667 2.286 9.336 5.905 5.999 0.1912 1.616 3.421 4.236 3.072 2.289
[2,] 4.483 2.696 11.071 7.150 7.317 0.2274 1.885 3.934 4.861 4.617 3.055
[3,] 4.917 2.935 12.447 7.911 7.990 0.2521 2.065 4.519 5.253 5.080 3.301
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.619 2.364 2.729 7.284 3.908 4.266 3.177 7.331 4.221 7.845 3.706
[2,] 3.995 2.904 3.941 9.064 4.532 5.523 4.468 8.730 5.345 9.433 4.215
[3,] 4.327 3.130 4.613 10.516 5.280 6.894 5.425 10.178 6.440 10.471 4.800
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.04 5.776 0.5545 5.494 5.547 0.982 5.599 0.4058 5.561 1.546 0.9265
[2,] 15.19 7.023 0.6697 6.744 7.183 1.178 7.125 0.4929 6.803 1.878 1.0681
[3,] 17.05 7.998 0.7630 7.911 8.607 1.395 8.087 0.5529 7.541 2.164 1.1793
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.344 5.725 5.814 4.385 2.821 2.665 1.273 2.642 0.9964 3.228 3.697
[2,] 7.770 6.875 6.913 5.147 3.845 3.107 1.450 3.057 1.1316 3.921 4.628
[3,] 8.541 7.840 7.902 5.622 4.427 3.469 1.619 3.417 1.2441 4.542 5.339
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.358 1.517 2.562 3.258 4.269 2.149 3.127 3.306 1.185 2.932 2.674
[2,] 2.963 1.826 3.142 4.094 5.163 2.537 4.526 3.865 1.432 4.373 3.525
[3,] 3.283 1.993 3.528 4.711 5.816 2.895 5.323 4.270 1.602 5.503 4.346
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.728 1.690 3.066 0.6071 2.233 0.9384 2.062 2.295 2.024 4.175 1.230
[2,] 3.419 2.894 3.490 0.7194 3.445 1.1057 2.534 2.624 2.801 5.169 1.481
[3,] 4.251 3.710 3.802 0.7953 4.009 1.2141 2.941 2.874 3.251 5.757 1.679
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.723 2.171 2.646 1.274 3.814 3.096 4.144 4.267 5.080 4.262 3.569
[2,] 3.608 2.660 3.805 1.440 4.545 4.406 5.327 6.070 5.875 6.005 5.024
[3,] 4.181 2.950 4.401 1.634 5.034 4.991 5.875 6.785 6.379 7.154 6.260
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.002 3.159 2.655 3.534 1.980 1.757 1.569 2.530 2.482 5.851 4.687
[2,] 1.126 4.196 3.191 4.768 2.394 2.233 1.799 3.388 2.997 6.770 5.330
[3,] 1.234 5.675 3.473 5.766 2.870 2.608 2.013 3.933 3.283 7.568 6.079
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.952 1.977 2.128 2.149 2.113 2.129 0.5039 0.9272 9.148 6.048
[2,] 2.543 2.768 2.741 2.624 2.664 2.508 0.5715 1.1958 12.632 7.034
[3,] 2.908 3.273 3.384 3.316 3.205 2.810 0.6456 1.3893 14.111 7.951
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.657 2.902 11.85 7.499 7.618 0.2428 2.052
[2,] 4300.728 2386.621 9926.85 6723.124 6985.987 205.2196 1617.300
[3,] 3370.099 1931.324 9487.77 5649.177 5355.621 181.7747 1409.172
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.344 5.378 3.9 2.906 3.326 3.002 3.465 9.249
[2,] 3240.157 3979.449 5749.4 3374.508 5030.561 2812.050 4743.118 8997.998
[3,] 3711.590 3321.574 3535.2 2087.977 2775.100 1947.620 3998.638 8894.291
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.962 5.417 4.035 9.31 5.361 9.961 4.706
[2,] 3827.682 5851.202 5240.511 7906.02 5467.230 8738.580 3349.122
[3,] 4517.998 6880.132 5130.123 8728.93 5992.644 7579.063 3831.391
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 14.01 7.334 0.7041 6.977 7.043 1.247 7.11
[2,] 17399.31 6664.681 626.5803 6521.771 7612.347 1084.662 7349.52
[3,] 12942.74 6382.627 609.6944 6900.181 7908.316 1246.663 6381.63
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.5153 7.062 1.964 1.177 8.056 7.27 7.382 5.569
[2,] 466.6268 6536.032 1777.422 886.316 7481.959 6349.58 6238.177 4494.729
[3,] 417.8530 5426.062 1793.430 833.729 5913.676 6283.86 6384.786 3770.209
[,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.582 3.384 1.616 3.354 1.265 4.099 4.695
[2,] 4358.214 2663.070 1159.445 2567.082 894.409 3712.527 4643.104
[3,] 3660.082 2572.984 1201.287 2543.757 862.247 3825.559 4440.125
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 2.995 1.927 3.253 4.138 5.422 2.729 3.971
[2,] 2991.089 1694.743 3035.090 4133.676 4843.611 2250.188 5456.188
[3,] 2358.681 1330.891 2673.803 3889.717 4464.384 2326.993 4673.065
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.197 1.505 3.723 3.396 3.464 2.146 3.893
[2,] 3341.302 1338.934 5412.625 3829.919 3437.677 3919.163 2780.926
[3,] 3028.417 1201.254 5570.841 4240.631 4213.425 3870.411 2514.826
[,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.7709 2.835 1.192 2.619 2.914 2.571 5.301
[2,] 643.8616 4375.238 975.382 2455.850 2123.048 3228.228 5084.214
[3,] 565.2205 3420.201 836.536 2490.219 1955.907 2754.689 4229.272
[,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.562 3.458 2.756 3.36 1.618 4.843 3.931
[2,] 1375.988 3949.497 2563.570 4559.87 1120.666 4121.964 5229.330
[3,] 1318.962 3523.826 2130.308 3688.89 1286.628 3612.206 3911.364
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.262 5.419 6.451 5.412 4.533 1.272 4.012
[2,] 5583.597 7200.869 4923.699 7056.548 5896.151 858.357 4607.048
[3,] 4133.383 5055.036 4145.356 6484.664 6229.735 840.323 6371.241
[,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 3.372 4.487 2.514 2.231 1.993 3.213 3.152
[2,] 2950.829 5337.884 2246.040 2300.420 1466.365 3758.365 2800.509
[3,] 2285.857 5409.898 2639.963 2244.905 1507.587 3333.342 2236.533
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 7.43 5.951 2.479 2.51 2.702 2.729 2.683 2.703
[2,] 5679.08 4233.869 2719.223 3231.45 2882.003 2511.166 2705.066 2211.140
[3,] 5643.26 4875.587 2352.006 2914.04 3309.879 3383.442 2971.666 2115.218
[,95] [,96] [,97] [,98]
[1,] 0.6398 1.177 11.62 7.681
[2,] 449.9603 1259.553 14529.87 5988.218
[3,] 500.7491 1179.693 10488.36 6184.053
[1] "--- VAR model 2017-10-01 07:31:00 completed"
[1] "Completed training sample: 2017-10-01 07:31:00 - 2017-10-01 15:30:00"
[1] "SpVAR; training sample: 2017-10-01 08:01:00 - 2017-10-01 16:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.608 -2.3574 -57.30 -62.07
1.613 0.4622 -46.52 -72.40
-6.825 3.9851 -65.12 -47.19
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-40.31 -0.9923 -0.7755 -11.50
-44.10 -0.7614 1.6597 1.35
-43.96 -0.9231 -2.4402 -2.51
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.150 6.373 -3.4886 -19.41
-4.629 -17.508 0.5332 -23.33
-5.007 -3.051 7.4221 -30.53
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
7.8867 1.057 -30.32 -2.8551
-0.1005 -5.248 18.92 1.7911
-1.0590 -12.811 -41.86 -0.8426
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
22.14 -17.915 28.831 23.35456
16.50 1.115 -1.652 -0.02159
16.13 10.841 -16.783 24.57151
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-84.69 -25.772 -96.34 -81.15
-77.16 -7.649 -128.56 -64.94
-53.89 -22.409 -105.18 -48.98
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.434 -101.42 -81.95 -13.76
-8.595 -77.28 -63.07 -13.12
-6.165 -69.03 -61.49 -15.14
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.24 -6.256 -45.39 -32.42
-75.40 -8.073 -48.82 -28.39
-76.99 -7.541 -50.67 -22.82
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.25 -53.92 -11.15 -66.18
-13.11 -45.95 -48.95 -73.57
-13.06 -48.76 -52.26 -74.64
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
14.028 13.201 11.971 -1.54134
-5.045 10.938 11.110 0.06832
11.069 -6.843 -3.925 1.95753
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
14.694 -0.2942 -33.87 -55.76
2.234 1.6930 -36.36 -40.47
4.882 -2.0178 -23.23 -39.00
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.087 -2.709 -27.53 17.911
4.809 -3.457 -31.73 8.932
10.449 2.071 -36.69 14.812
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
35.21 4.817 -10.380 25.32
21.76 -2.200 -12.512 22.39
30.54 -2.404 4.758 26.93
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.73682 11.989 16.577 -0.2994
-0.04913 1.897 5.402 13.1638
-1.38311 6.744 -10.192 2.9337
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.930 -0.1374 -0.6275 -3.255
14.800 15.0264 -1.4980 2.197
7.415 -1.8252 -0.1010 25.293
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.1721 -4.018 6.607 -1.1296
-0.4864 2.676 6.353 9.4072
2.4766 7.943 8.746 0.5018
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.1275 0.7664 4.4318 -4.786
9.9245 -0.6272 0.6559 9.130
4.3026 5.1740 5.1995 -6.941
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.8324 1.3087 3.765 2.471
4.6372 -1.7184 7.209 -1.912
9.5906 0.1898 -4.494 -7.885
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-10.09 -7.742 21.531 -5.459
-19.16 -19.908 22.366 11.490
1.51 9.702 6.257 21.379
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.4208 -1.996 19.565 -7.261
0.6822 -0.369 -11.058 -6.722
19.1111 -1.509 9.643 2.468
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.309 -7.415 9.6594 2.390
-9.304 -9.516 -4.8859 6.709
3.456 -6.612 -0.6732 1.650
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.066 8.923 -1.509 -3.488
1.632 -3.135 5.322 -6.094
5.916 1.368 -8.886 -16.290
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
19.91 21.98 21.83 20.76
29.85 24.55 26.24 23.76
30.28 33.43 29.12 24.21
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9603 -4.287 -10.099 0.9595
-0.5022 1.075 -8.403 2.6515
10.7318 6.798 -10.615 1.3037
rnd_95776.volume rnd_95787.volume
-1.406 -68.71
11.376 -48.35
-10.702 -42.02
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.705 2.398 9.827 6.520 6.346 0.2203 1.605 3.563 4.311 3.136 2.408
[2,] 4.578 2.821 11.450 7.747 7.796 0.2543 1.885 4.099 4.989 4.796 3.140
[3,] 5.037 3.070 12.963 8.432 8.504 0.2758 2.075 4.667 5.428 5.277 3.354
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.788 2.542 2.878 7.658 3.914 4.978 3.426 7.625 4.466 8.109 3.750
[2,] 4.143 3.100 4.138 9.433 4.599 6.242 4.723 8.953 5.518 9.720 4.269
[3,] 4.524 3.340 4.800 10.649 5.200 7.422 5.637 10.492 6.550 10.881 4.816
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.98 6.304 0.5527 6.068 6.058 0.9988 6.503 0.4120 6.026 1.614 0.959
[2,] 16.15 7.603 0.6776 7.314 7.747 1.1950 7.865 0.4970 7.304 1.928 1.098
[3,] 18.22 8.598 0.7762 8.335 9.197 1.4178 8.768 0.5607 8.020 2.212 1.203
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.624 6.121 6.135 4.505 2.976 2.976 1.321 2.748 1.059 3.470 3.791
[2,] 7.970 7.416 7.464 5.276 4.117 3.420 1.519 3.189 1.224 4.125 4.825
[3,] 8.749 8.378 8.391 5.721 4.605 3.729 1.671 3.544 1.355 4.804 5.524
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.491 1.607 2.664 3.576 4.435 2.259 3.186 3.435 1.215 3.095 2.724
[2,] 3.103 1.900 3.233 4.355 5.432 2.627 4.725 3.993 1.453 4.532 3.587
[3,] 3.454 2.076 3.606 4.975 6.098 2.987 5.511 4.458 1.605 5.903 4.499
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.856 1.706 3.155 0.5836 2.377 1.032 2.244 2.475 2.116 4.399 1.331
[2,] 3.688 3.026 3.551 0.7156 3.768 1.185 2.751 2.793 2.959 5.382 1.585
[3,] 4.524 3.863 3.916 0.8035 4.350 1.297 3.161 3.035 3.418 5.999 1.753
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.862 2.397 2.827 1.365 3.918 3.215 4.510 4.434 5.217 4.675 3.693
[2,] 3.867 2.832 4.007 1.508 4.647 4.537 5.616 6.403 5.963 6.407 5.109
[3,] 4.548 3.136 4.688 1.687 5.070 5.177 6.231 7.278 6.533 7.477 6.511
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.040 3.102 2.716 3.634 2.044 1.818 1.666 2.660 2.477 6.067 4.759
[2,] 1.184 4.201 3.217 4.915 2.486 2.251 1.875 3.539 2.999 7.051 5.468
[3,] 1.287 5.741 3.544 5.840 2.926 2.714 2.112 4.076 3.339 7.977 6.240
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.107 2.085 2.322 2.251 2.270 2.265 0.5231 1.013 9.523 6.616
[2,] 2.725 2.866 2.987 2.749 2.860 2.693 0.6059 1.301 13.159 7.638
[3,] 3.122 3.377 3.587 3.411 3.392 2.967 0.6754 1.476 14.676 8.569
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.705 3.045 12.48 8.28 8.058 0.2797 2.038
[2,] 4501.687 2487.651 9838.34 7006.27 7584.602 212.8495 1656.120
[3,] 3518.474 2030.076 10177.06 5573.67 5688.802 178.7024 1451.679
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 4.524 5.474 3.982 3.057 3.54 3.228 3.654
[2,] 3393.892 4203.868 6077.136 3375.957 5131.26 2972.879 4979.176
[3,] 3737.634 3581.631 3683.452 1974.903 3042.56 2081.143 4073.148
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 9.724 4.971 6.321 4.351 9.683 5.671 10.3 4.762
[2,] 9222.754 4043.245 6304.242 5443.585 7855.751 5428.320 8973.5 3415.275
[3,] 8275.139 4063.347 6723.481 5150.945 9160.994 5907.641 8188.3 3734.782
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 15.21 8.005 0.7019 7.706 7.692 1.268 8.257
[2,] 18151.89 7118.510 656.2511 6836.692 8086.470 1098.606 7407.902
[3,] 14099.46 6723.520 633.8993 6692.378 8300.789 1277.682 6489.857
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.5232 7.652 2.05 1.218 8.411 7.772 7.79 5.721
[2,] 465.5499 6912.826 1764.89 896.255 7422.693 7009.863 7119.92 4598.803
[3,] 434.3941 5546.078 1815.08 823.591 6044.132 6526.830 6417.36 3702.001
[,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.779 3.778 1.677 3.489 1.345 4.406 4.814
[2,] 4762.896 2823.902 1255.675 2709.563 1028.094 3733.189 4996.693
[3,] 3453.814 2487.811 1165.556 2588.313 974.869 4122.813 4505.299
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.163 2.04 3.383 4.54 5.631 2.868 4.046 4.362
[2,] 3099.329 1698.77 3068.694 4163.01 5252.312 2245.284 5841.655 3407.929
[3,] 2540.539 1398.93 2671.576 4028.33 4641.875 2381.278 4751.037 3318.426
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 1.543 3.93 3.46 3.627 2.167 4.007 0.7411 3.019
[2,] 1334.483 5544.32 3905.92 3905.834 4183.607 2727.985 693.3428 4894.238
[3,] 1143.760 6333.60 4547.69 4388.393 4020.920 2762.227 611.8513 3639.467
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.311 2.849 3.143 2.687 5.586 1.69 3.634 3.044
[2,] 973.383 2665.678 2166.602 3463.113 5190.829 1441.34 4353.760 2525.333
[3,] 882.919 2606.515 1991.424 2863.607 4437.141 1254.30 4010.079 2255.475
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.589 1.734 4.976 4.083 5.727 5.63 6.625
[2,] 4755.551 1071.627 4183.842 5361.155 5603.167 7735.56 4835.281
[3,] 4072.978 1267.651 3392.469 4172.345 4520.751 5791.56 4468.370
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.937 4.69 1.32 3.94 3.449 4.614 2.596 2.309
[2,] 7336.325 5910.56 948.10 4743.93 2887.368 5541.314 2368.297 2221.932
[3,] 6453.867 6760.35 846.28 6550.20 2491.577 5281.784 2584.191 2537.100
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.116 3.377 3.146 7.704 6.043 2.676 2.647
[2,] 1441.162 3909.944 2829.925 6013.701 4507.577 2894.011 3293.280
[3,] 1625.895 3385.875 2460.252 6248.389 5036.264 2552.326 2989.619
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.948 2.859 2.883 2.876 0.6643 1.286 12.09
[2,] 3145.988 2642.368 2911.712 2440.565 511.9585 1368.253 15205.66
[3,] 3325.431 3379.876 3055.407 2084.274 499.6820 1164.726 10882.34
[,98]
[1,] 8.402
[2,] 6389.210
[3,] 6505.764
[1] "--- VAR model 2017-10-01 08:01:00 completed"
[1] "Completed training sample: 2017-10-01 08:01:00 - 2017-10-01 16:00:00"
[1] "SpVAR; training sample: 2017-10-01 08:31:00 - 2017-10-01 16:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9179 5.3251 -49.03 -74.06
-11.1218 3.3912 -49.03 -70.06
-5.8597 -0.2861 -62.49 -86.35
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-58.05 0.61520 1.454 -8.94132
-80.71 0.48500 3.604 0.09192
-66.05 0.09656 4.702 -5.22936
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.7231 -5.188 2.281 -24.57
-6.6140 -9.116 5.371 -25.33
-14.8750 -7.573 5.734 -22.91
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.862 -14.698 -15.774 6.7813
4.379 -17.236 -1.523 12.0529
-2.100 -8.156 -9.978 0.5661
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.064 -7.223 -16.34 8.12
-14.297 -20.608 14.71 35.14
-6.914 -8.520 -8.26 15.00
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-87.81 -7.853 -114.5 -51.49
-58.70 -10.312 -173.1 -73.85
-71.96 -7.492 -118.8 -47.58
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.806 -72.96 -53.42 -14.68
-8.710 -63.77 -71.68 -13.91
-9.209 -60.96 -82.08 -13.58
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-92.58 -9.386 -56.23 -26.09
-77.75 -8.335 -56.89 -28.88
-73.80 -8.353 -62.23 -24.47
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.46 -75.60 -65.93 -85.05
-17.36 -70.01 -68.12 -44.37
-15.33 -56.46 -74.64 -68.10
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.784 7.3125 11.936 -3.269
-12.496 -0.1918 4.429 -1.392
-8.089 -1.4820 3.265 -1.192
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-7.836 1.3088 -42.72 -33.25
2.605 0.9459 -31.14 -40.65
-11.761 0.2551 -37.06 -42.18
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.584 -1.322 -28.76 23.224
11.750 -4.268 -34.01 14.082
13.021 2.205 -32.89 4.267
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.233 0.9167 -14.07 19.46
16.203 1.5177 -17.42 11.75
6.553 0.5568 -13.15 16.29
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.186 -6.327 0.3398 -3.907
-3.624 -10.901 -6.4698 -8.546
-2.581 -1.205 -7.8700 -4.862
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.57592 8.716 -0.1629 4.4423
-0.01226 1.893 -0.9029 2.0503
-2.69717 6.420 0.6171 -0.5956
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8130 -9.0819 0.5866 -2.387
-0.3422 3.3292 1.4497 5.831
-0.9859 0.2185 7.5605 -1.074
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.7743 -0.1494 6.667 7.919
9.6222 1.0527 1.594 6.100
0.1199 -0.3921 10.750 -1.382
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.077 -2.7476 -3.9235 -4.861
13.317 -0.8519 3.4798 -2.915
7.633 0.9610 0.4187 -4.918
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.978 -10.361 30.62 7.171
5.646 3.032 26.33 22.275
3.248 -7.165 24.75 15.686
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.191 3.7495 12.14068 0.7129
12.088 1.3002 -0.08009 -3.5227
14.166 0.9186 25.54594 3.0487
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.789 -0.8037 -5.0041 6.4896
1.217 -3.5659 -1.5986 -3.4049
9.304 0.3144 0.4541 0.9227
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.29869 0.1437 14.42 -20.93
-0.00316 5.4341 26.84 -12.85
2.87749 -4.3016 13.41 -13.72
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
23.14 22.95 25.42 23.31
27.76 28.98 18.97 19.35
28.81 31.72 33.44 32.59
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.106 1.421 -10.573 -0.8968
6.895 -3.011 -10.006 -0.5998
2.064 4.732 -9.684 -0.7425
rnd_95776.volume rnd_95787.volume
-38.305 -79.19
-8.665 -66.71
-14.707 -57.25
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.662 2.503 11.33 6.743 6.694 0.4959 1.664 3.654 4.469 3.119 2.425
[2,] 4.567 2.940 13.17 8.168 7.946 0.5992 1.950 4.290 5.299 4.883 3.251
[3,] 4.998 3.260 15.11 9.085 8.769 0.6804 2.131 4.860 5.772 5.401 3.563
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.795 2.715 2.933 7.923 4.074 5.112 3.507 8.113 4.545 8.452 3.649
[2,] 4.095 3.235 4.168 9.679 4.723 6.388 4.810 9.505 5.607 10.179 4.206
[3,] 4.509 3.486 4.872 11.028 5.248 7.471 5.761 11.015 6.601 11.197 4.808
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.88 6.811 0.5703 6.492 6.416 1.069 6.854 0.4329 6.247 1.679 1.028
[2,] 16.87 7.865 0.6961 7.839 8.373 1.252 8.239 0.5142 7.588 2.019 1.150
[3,] 19.11 9.017 0.7962 8.801 9.668 1.449 9.303 0.5758 8.344 2.301 1.244
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.740 6.598 6.509 4.600 3.058 3.079 1.359 2.899 1.089 3.810 4.152
[2,] 8.192 7.689 7.965 5.414 4.314 3.602 1.559 3.321 1.283 4.431 5.168
[3,] 8.908 8.634 8.940 5.872 4.780 3.930 1.711 3.620 1.419 5.118 5.825
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.531 1.741 2.786 3.791 4.639 2.302 3.305 3.439 1.272 3.216 2.781
[2,] 3.138 2.036 3.382 4.660 5.634 2.649 4.834 4.204 1.520 4.674 3.791
[3,] 3.543 2.178 3.716 5.270 6.348 2.990 5.723 4.665 1.646 6.011 4.687
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.078 1.734 3.224 0.6317 2.465 1.086 2.448 2.546 2.137 4.530 1.383
[2,] 3.938 3.069 3.728 0.7566 3.888 1.228 2.942 2.912 3.002 5.632 1.676
[3,] 4.829 4.033 4.050 0.8430 4.530 1.343 3.395 3.172 3.527 6.250 1.842
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.932 2.593 3.009 1.419 4.025 3.288 4.540 4.537 5.260 4.935 3.762
[2,] 3.988 3.048 4.166 1.571 4.753 4.646 5.602 6.408 5.960 6.568 5.218
[3,] 4.692 3.389 4.905 1.770 5.164 5.166 6.284 7.407 6.557 7.694 6.590
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.079 3.186 2.799 3.720 2.144 1.907 1.753 2.652 2.708 6.164 4.674
[2,] 1.218 4.332 3.257 4.959 2.635 2.317 1.943 3.607 3.203 7.200 5.448
[3,] 1.321 5.829 3.586 5.941 3.001 2.801 2.201 4.171 3.562 8.161 6.187
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.212 2.282 2.571 2.371 2.457 2.378 0.5340 1.047 9.873 6.998
[2,] 2.884 3.073 3.157 2.866 3.020 2.762 0.6156 1.367 13.300 7.917
[3,] 3.281 3.537 3.678 3.580 3.528 3.047 0.6875 1.536 15.217 8.945
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.65 3.179 14.38 8.562 8.501 0.6297 2.113 4.64
[2,] 3011.88 1700.546 7423.48 5087.518 4724.161 371.1790 1121.168 2480.36
[3,] 2239.06 1555.489 8162.11 4387.325 4091.657 355.5906 947.710 2520.51
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.675 3.96 3.079 3.549 3.447 3.725 10.06 5.173
[2,] 3141.068 4146.12 2389.701 3302.018 1941.896 3268.082 6133.25 2636.054
[3,] 2527.152 2546.29 1608.955 2083.279 1433.016 2782.665 5833.08 2525.041
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.491 4.453 10.3 5.771 10.73 4.634 16.35 8.649
[2,] 4226.429 3631.639 5465.7 3624.058 6258.17 2308.079 12016.39 4338.110
[3,] 4275.886 3499.652 6141.8 3843.683 5148.53 2569.935 9905.21 4865.607
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.7241 8.244 8.147 1.357 8.704 0.5497 7.932
[2,] 440.4565 4846.846 5935.658 719.428 5045.107 306.1280 4753.040
[3,] 426.4649 4414.344 5333.602 804.899 4766.819 286.1122 3830.305
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.131 1.306 8.559 8.379 8.266 5.841 3.883 3.91
[2,] 1237.171 568.865 5138.059 4355.740 5064.146 3149.084 3357.685 2061.66
[3,] 1217.666 523.158 3858.813 4332.208 4479.888 2509.221 2270.741 1735.87
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.726 3.682 1.383 4.838 5.272 3.214 2.211 3.538
[2,] 841.815 1786.149 747.316 2496.937 3395.566 2046.461 1164.441 2115.434
[3,] 778.158 1591.746 670.252 2825.792 2965.496 1814.403 854.668 1699.285
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.814 5.89 2.923 4.197 4.367 1.616 4.084 3.531
[2,] 2989.161 3528.64 1447.037 3892.896 2667.840 917.661 3742.551 2843.528
[3,] 2715.811 3227.74 1531.068 3380.005 2231.884 697.317 4169.746 3041.379
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.909 2.202 4.095 0.8021 3.131 1.38 3.108 3.233
[2,] 2710.404 2793.992 2064.856 459.4598 3317.041 630.77 1801.030 1559.384
[3,] 3084.313 2887.531 1745.959 410.3124 2564.833 601.66 1868.961 1388.067
[,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 2.714 5.753 1.756 3.723 3.293 3.821 1.802
[2,] 2325.872 3691.932 1044.808 2984.091 1767.560 3178.616 744.500
[3,] 2043.473 2990.688 844.284 2725.836 1633.645 2857.066 900.427
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 5.112 4.175 5.765 5.762 6.679 6.267 4.778 1.37
[2,] 2788.578 3622.408 3620.436 4993.578 3093.452 4781.537 3988.864 625.03
[3,] 2226.535 2492.976 3141.844 4099.244 3014.343 4423.488 4441.068 564.09
[,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.046 3.554 4.724 2.723 2.421 2.226 3.367
[2,] 3239.090 1837.329 3617.784 1690.349 1452.151 926.779 2698.263
[3,] 4303.117 1655.974 3610.034 1585.235 1736.406 1139.550 2310.809
[,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.438 7.828 5.936 2.809 2.898 3.265 3.011
[2,] 1888.579 4104.399 3086.751 2041.109 2270.232 2021.527 1775.781
[3,] 1719.478 4239.782 3235.363 1727.562 1932.873 2082.370 2367.376
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.119 3.019 0.6782 1.329 12.54 8.886
[2,] 1939.139 1549.697 337.8276 969.466 9832.82 4085.248
[3,] 2011.532 1421.392 337.7279 773.195 8158.17 4594.869
[1] "--- VAR model 2017-10-01 08:31:00 completed"
[1] "Completed training sample: 2017-10-01 08:31:00 - 2017-10-01 16:30:00"
[1] "SpVAR; training sample: 2017-10-01 09:01:00 - 2017-10-01 17:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-16.954 -1.370 -74.06 -55.23
-1.503 2.422 -46.71 -56.29
-1.076 2.956 -59.97 -54.75
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-64.70 -1.0345 7.811 -3.497
-51.98 1.5043 -6.127 -6.148
-58.44 -0.5258 2.673 -5.181
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.641 -10.431 1.1054 -27.0
-5.234 -4.465 1.2370 -25.7
-12.552 -15.496 0.1866 -20.0
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.027 -19.91 16.29 1.817
3.640 -11.35 -10.89 3.084
-5.213 -9.98 -12.39 2.141
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.72 1.536 -24.15 20.94
-19.54 -22.454 -3.98 25.67
-17.38 -12.793 -15.88 2.66
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-61.42 -3.488 -120.57 -26.00
-71.32 -4.659 -88.74 -69.91
-59.61 -4.648 -119.30 -69.21
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.142 -67.27 -57.97 -14.84
-7.855 -48.51 -41.05 -12.30
-9.007 -70.77 -62.79 -12.40
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-50.94 -6.508 -56.11 -19.76
-71.80 -7.069 -50.55 -27.42
-46.70 -7.395 -45.69 -24.64
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.58 -90.82 -78.83 -57.11
-10.29 -71.31 -51.42 -59.01
-18.87 -53.46 -71.89 -47.63
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.427 -6.769 2.106 -4.6111
1.938 7.687 2.398 -0.2626
-10.819 -6.992 6.808 -0.2034
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.583 -0.2452 -37.42 -38.71
2.443 1.1314 -45.04 -45.02
1.375 0.1841 -27.64 -25.12
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.2153 -6.9851 -42.65 13.144
0.8811 0.9213 -36.02 27.475
7.9160 -1.9062 -35.30 5.626
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.3546 2.754 -2.87844 17.971
17.5015 -3.010 -12.73536 7.520
0.7962 -4.548 0.07552 7.973
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.0296 -15.6662 -17.294 -8.994
-0.1685 0.2383 3.497 -11.295
-1.7373 -1.8456 -8.681 -7.943
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.112 9.157 -1.9533 -15.305
-23.538 -4.988 1.1226 -7.185
2.828 7.689 -0.7117 -12.325
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.3359 0.06914 6.224 4.333
-0.8267 -9.41078 -5.219 -9.224
-0.1437 -10.77255 2.528 -5.025
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.495 -2.590 -3.949 5.522
-3.244 1.141 6.126 8.558
-14.993 -5.844 -4.840 7.991
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.397 2.6372 -16.877 -14.50480
9.596 1.4315 6.198 -8.68306
2.837 0.6439 -5.457 0.09017
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.8642 -5.302 27.23 17.784
-5.0590 -13.187 15.16 7.343
-5.4245 -6.556 37.47 3.141
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
29.575 2.5001 13.823 7.1496
14.055 0.1823 17.253 -10.8614
-4.529 -1.3152 9.533 -0.1912
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
20.602 -2.628 -0.4402 -0.9773
5.741 3.844 -5.3594 -0.5584
13.438 3.588 1.4449 3.1417
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.715 -0.8809 25.258 -19.371
2.405 6.3460 -12.130 8.687
-4.091 -0.3529 5.233 -11.515
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
10.30 8.279 16.18 20.685
15.85 20.090 10.27 5.739
18.48 11.442 12.25 15.430
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.628 -6.182 -10.064 0.4204
3.800 1.688 -9.919 -0.8869
-10.516 4.030 -9.686 3.4577
rnd_95776.volume rnd_95787.volume
-9.389 -27.74
1.901 -57.74
-48.872 -73.75
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.689 2.571 12.57 7.114 6.811 0.6029 1.637 3.777 4.508 3.313 2.386
[2,] 4.569 3.016 14.54 8.692 8.136 0.7190 1.948 4.438 5.388 4.968 3.272
[3,] 5.057 3.321 16.51 9.493 9.061 0.8312 2.128 4.972 5.892 5.596 3.672
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.860 2.694 2.851 7.801 3.92 5.175 3.542 9.136 4.709 8.617 3.505
[2,] 4.089 3.153 4.036 9.570 4.65 6.501 4.796 10.750 5.723 10.439 4.011
[3,] 4.522 3.404 4.721 10.826 5.17 7.489 5.679 12.225 6.641 11.458 4.538
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.63 7.109 0.5581 6.807 6.612 1.077 7.020 0.4442 6.221 1.709 1.117
[2,] 17.65 8.277 0.6694 8.020 8.552 1.261 8.488 0.5198 7.733 2.051 1.250
[3,] 19.71 9.366 0.7608 8.900 9.829 1.470 9.603 0.5881 8.537 2.344 1.334
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.518 6.557 6.457 4.532 3.108 3.369 1.376 2.866 1.127 3.842 4.464
[2,] 8.251 7.937 7.985 5.276 4.427 3.886 1.599 3.333 1.319 4.547 5.474
[3,] 9.131 8.938 8.895 5.771 4.903 4.251 1.776 3.695 1.475 5.229 6.032
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.587 1.681 2.758 4.079 4.815 2.290 3.476 3.557 1.302 3.340 2.765
[2,] 3.237 1.983 3.429 4.906 5.823 2.665 5.050 4.284 1.547 4.826 3.802
[3,] 3.640 2.139 3.782 5.540 6.544 3.021 5.870 4.735 1.709 6.318 4.776
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.157 1.883 3.497 0.6347 2.519 1.103 2.485 2.609 2.184 4.584 1.486
[2,] 3.990 3.108 3.993 0.7662 3.882 1.265 2.989 3.013 3.071 5.639 1.799
[3,] 4.948 4.121 4.361 0.8493 4.560 1.375 3.448 3.269 3.573 6.301 1.947
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.063 2.843 3.123 1.448 3.924 3.16 4.657 4.455 5.105 4.873 3.727
[2,] 4.164 3.258 4.376 1.621 4.674 4.53 5.834 6.328 5.840 6.359 5.050
[3,] 4.761 3.609 5.063 1.810 5.119 5.10 6.523 7.416 6.380 7.558 6.391
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.123 3.465 2.807 3.750 1.954 1.968 1.761 2.724 2.764 6.427 4.923
[2,] 1.244 4.425 3.211 4.886 2.397 2.405 2.004 3.680 3.355 7.596 5.613
[3,] 1.345 5.782 3.555 5.836 2.693 2.914 2.237 4.194 3.679 8.341 6.375
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.387 2.379 2.738 2.608 2.577 2.462 0.5537 1.128 10.31 7.014
[2,] 3.022 3.244 3.311 3.084 3.124 2.867 0.6476 1.414 14.32 7.965
[3,] 3.490 3.754 3.910 3.862 3.627 3.203 0.7231 1.597 16.11 9.108
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.684 3.265 15.96 9.034 8.65 0.7656 2.079 4.796
[2,] 2902.258 1696.396 7866.16 5376.324 4789.46 421.8468 1136.483 2509.792
[3,] 2333.348 1496.983 8414.76 4109.680 4294.70 448.8989 922.261 2411.805
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.725 4.206 3.03 3.632 3.422 3.62 9.905 4.978
[2,] 3177.722 3986.091 2411.31 3146.254 1763.132 3075.76 5967.861 2693.033
[3,] 2565.328 2773.204 1794.32 2078.203 1380.973 2637.24 5450.713 2432.608
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 6.572 4.497 11.6 5.98 10.94 4.451 17.31 9.027
[2,] 4235.653 3481.685 6097.9 3500.44 6343.21 2100.062 12066.26 4563.445
[3,] 4002.157 3273.794 6267.1 3627.83 5083.98 2283.780 9441.09 4718.576
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7087 8.644 8.396 1.367 8.914 0.5641 7.9 2.17
[2,] 397.9739 4565.405 5839.662 707.716 5137.422 290.6551 4944.9 1221.65
[3,] 389.2074 4154.424 5214.404 812.137 4833.728 296.1322 3894.0 1221.78
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.418 8.276 8.326 8.199 5.755 3.946 4.278 1.747
[2,] 603.308 5446.603 4815.414 5057.532 2908.739 3394.172 2086.132 877.128
[3,] 503.018 4209.997 4424.181 4218.320 2516.233 2268.714 1854.568 832.217
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.64 1.431 4.879 5.668 3.285 2.134 3.502 5.179
[2,] 1831.84 737.503 2617.631 3411.790 2094.548 1131.838 2193.088 2934.787
[3,] 1715.57 712.382 2780.882 2728.011 1791.570 864.449 1718.837 2770.139
[,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 6.115 2.907 4.414 4.516 1.653 4.241 3.511
[2,] 3524.284 1467.471 3943.298 2571.594 900.421 3750.994 2809.160
[3,] 3215.553 1532.580 3222.398 2170.365 782.753 4388.776 3112.662
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.009 2.391 4.441 0.8059 3.199 1.4 3.155 3.312
[2,] 2626.876 2662.139 2075.594 462.1752 3180.175 666.1 1788.513 1624.183
[3,] 3150.844 2912.300 1885.366 394.4214 2575.525 580.2 1849.386 1365.250
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.774 5.821 1.887 3.89 3.611 3.965 1.839 4.982
[2,] 2324.486 3535.725 1091.304 3036.96 1712.106 3300.013 783.701 2734.652
[3,] 1965.706 3026.251 801.923 2484.71 1671.366 2742.570 866.355 2247.490
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.013 5.913 5.657 6.483 6.187 4.732 1.427 4.4
[2,] 3494.084 3782.803 4838.081 3053.069 4399.646 3669.607 575.134 2962.1
[3,] 2522.379 3142.423 4164.598 2764.702 4395.845 4217.093 549.538 4007.3
[,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 3.565 4.762 2.481 2.499 2.237 3.459 3.509
[2,] 1678.958 3372.326 1494.823 1488.667 1028.620 2663.397 2047.667
[3,] 1641.159 3435.339 1321.121 1771.468 1070.627 2167.153 1624.599
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 8.161 6.252 3.031 3.02 3.476 3.311 3.273
[2,] 4360.422 2900.933 1995.604 2374.75 2004.191 1772.124 1899.687
[3,] 3707.910 3255.500 1878.239 2033.13 2238.791 2502.876 1984.278
[,94] [,95] [,96] [,97] [,98]
[1,] 3.127 0.7032 1.433 13.09 8.907
[2,] 1581.438 361.5639 916.732 10698.02 4062.131
[3,] 1537.790 346.1561 799.598 7959.40 4756.925
[1] "--- VAR model 2017-10-01 09:01:00 completed"
[1] "Completed training sample: 2017-10-01 09:01:00 - 2017-10-01 17:00:00"
[1] "SpVAR; training sample: 2017-10-01 09:31:00 - 2017-10-01 17:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.7855 4.583 -31.26 -94.14
0.8598 1.339 -57.97 -67.21
7.5018 3.374 -63.81 -61.04
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-63.55 0.8581 -1.043 21.451
-57.70 1.8659 4.828 -3.028
-51.57 1.3237 1.726 -3.790
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.916 -2.953 9.915 -37.32
6.928 12.371 7.928 -11.45
-1.884 -5.383 3.454 -19.05
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.7962 -24.892 -28.80 -0.2657
0.6965 -6.456 -21.61 -3.8219
-2.4065 -4.266 -20.12 5.8513
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.076 5.152 -18.047 0.5576
-31.703 -10.189 2.613 27.0979
-12.046 -21.363 -13.051 18.4682
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-54.51 -3.549 -115.52 -73.39
-45.23 -7.017 -77.94 -42.45
-56.65 -10.904 -93.81 -56.79
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.394 -83.51 -48.95 -14.74
-7.148 -49.26 -65.45 -14.22
-7.360 -65.74 -66.62 -15.36
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-75.64 -8.335 -55.75 -22.53
-76.10 -7.600 -63.48 -25.31
-49.03 -7.841 -59.09 -27.26
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.33 -67.15 -54.43 -44.59
-14.01 -51.01 -63.84 -60.95
-15.76 -71.16 -61.05 -52.26
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
20.613 13.045 -1.551 2.2797
10.404 8.612 9.140 1.7874
-1.845 -5.010 -2.293 -0.1324
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
8.9831 -1.5581 -34.20 -37.79
-1.4452 0.3290 -41.81 -32.76
-0.6122 0.8772 -33.83 -38.18
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.672 -10.997 -29.65 -2.141
2.048 1.732 -34.48 20.031
5.054 -2.938 -30.06 1.548
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
23.89 3.3257 -16.03 11.000
11.12 -0.8766 -13.31 9.104
11.12 -3.9862 -13.79 3.851
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.71051 -7.543 -0.3903 -9.6386
-0.75812 -11.644 -11.9982 0.8305
0.06667 -13.658 -7.1040 -9.7493
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.073 -2.6982 0.6268 -10.689
-4.733 -0.6552 -0.9792 -4.943
-6.963 0.9179 0.6614 1.948
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.3916 -8.517 -2.6914 -0.603
-2.6299 -10.546 1.9065 -7.375
-0.7428 -4.658 0.5202 -9.107
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.282 1.9946 -0.9161 7.4224
-3.643 0.4144 -13.8626 0.7254
-13.812 0.0515 -0.6378 0.5102
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.4504 0.3543 1.883 -4.959
-0.3629 2.0044 -2.741 5.450
-11.1274 -4.9728 -5.164 5.303
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.427 -4.304 19.57 14.239
3.148 7.615 20.55 9.115
-3.084 8.945 28.29 7.245
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
30.1649 3.951 11.484 0.8485
0.8593 -1.841 21.040 -3.9501
13.6694 1.953 9.556 -1.4222
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.779 0.09731 -7.321 1.1792
19.988 5.25111 -6.244 0.3658
7.619 -4.60774 5.408 -1.0094
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.19273 8.8778 -6.444 -27.73
20.57414 -0.8284 -9.249 17.21
0.09375 11.1390 -6.835 -15.11
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
9.3029 9.107 3.642 8.055
7.4345 1.679 6.035 4.099
-0.1982 5.664 2.511 4.367
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.363 0.5705 -10.496 -2.677
3.508 -1.8288 -9.076 -1.548
1.012 1.1709 -10.355 -1.482
rnd_95776.volume rnd_95787.volume
20.79 -76.92
-71.51 -46.73
-14.63 -60.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.744 2.703 12.79 7.638 6.781 0.7383 1.523 3.693 4.295 3.317 2.424
[2,] 4.474 3.125 14.85 8.983 8.137 0.8596 1.836 4.480 5.372 4.848 3.250
[3,] 5.001 3.391 16.79 9.796 9.051 0.9790 1.997 5.054 5.968 5.631 3.694
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.834 2.719 2.997 7.881 3.975 5.100 3.458 9.107 4.675 8.983 3.586
[2,] 3.988 3.176 4.108 9.678 4.776 6.450 4.905 10.822 5.710 10.715 4.152
[3,] 4.519 3.474 4.825 10.968 5.244 7.551 5.812 12.326 6.697 11.796 4.725
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.61 7.301 0.5740 6.891 6.816 1.068 7.261 0.4439 6.342 1.717 1.144
[2,] 17.73 8.612 0.6875 8.017 8.791 1.247 8.729 0.5226 7.860 2.018 1.286
[3,] 19.78 9.500 0.7715 8.941 10.001 1.447 9.705 0.5872 8.686 2.334 1.380
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.842 6.846 6.619 4.490 2.992 3.702 1.452 2.945 1.184 4.032 4.616
[2,] 8.364 8.288 8.223 5.269 4.400 4.193 1.654 3.461 1.370 4.718 5.699
[3,] 9.175 9.389 9.087 5.835 4.924 4.581 1.833 3.836 1.514 5.430 6.244
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.623 1.619 2.850 4.18 4.838 2.316 3.441 3.660 1.359 3.258 2.818
[2,] 3.219 1.961 3.451 5.03 5.966 2.768 5.038 4.379 1.641 4.818 3.874
[3,] 3.608 2.133 3.801 5.69 6.667 3.129 6.115 4.855 1.797 6.393 4.925
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.153 1.947 3.531 0.6610 2.648 1.115 2.665 2.611 2.183 4.766 1.496
[2,] 4.014 3.134 4.001 0.7949 3.827 1.291 3.090 3.027 3.100 5.755 1.812
[3,] 5.001 4.143 4.405 0.8830 4.465 1.392 3.523 3.314 3.651 6.389 1.964
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.125 2.983 3.229 1.505 3.928 3.159 4.562 4.383 5.174 4.603 3.714
[2,] 4.206 3.402 4.486 1.687 4.540 4.558 5.751 6.336 5.954 6.049 5.176
[3,] 4.804 3.768 5.178 1.895 4.985 5.166 6.461 7.317 6.517 7.209 6.763
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.140 3.367 2.648 3.650 1.912 1.954 1.806 2.736 2.791 6.455 5.115
[2,] 1.275 4.378 2.980 4.912 2.333 2.421 2.039 3.632 3.463 7.569 5.882
[3,] 1.391 5.783 3.250 5.964 2.602 2.927 2.282 4.199 3.825 8.228 6.643
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.434 2.413 2.815 2.669 2.702 2.526 0.5887 1.178 11.00 7.140
[2,] 3.091 3.350 3.358 3.210 3.227 2.898 0.6867 1.475 15.23 8.197
[3,] 3.579 3.881 4.032 3.999 3.770 3.207 0.7649 1.661 17.17 9.248
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.755 3.433 16.25 9.699 8.611 0.9375 1.934
[2,] 2562.036 1640.623 7885.93 4949.370 4707.490 460.7408 1073.814
[3,] 2338.507 1378.596 8206.18 4088.272 4147.939 490.5693 821.358
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 4.689 5.454 4.211 3.078 3.599 3.453 3.806
[2,] 2655.644 3376.915 3701.024 2265.652 2936.590 1718.334 2940.686
[3,] 2447.484 2721.397 2998.311 1836.934 2224.780 1473.368 2648.240
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 10.01 5.047 6.477 4.391 11.56 5.937 11.41 4.554
[2,] 5878.01 2771.100 4132.099 3641.233 6118.34 3431.523 6114.18 2189.666
[3,] 5403.36 2266.895 4109.638 3261.712 6176.91 3662.908 5161.77 2359.883
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 17.28 9.271 0.7289 8.75 8.656 1.356 9.22 0.5636
[2,] 11902.06 4780.331 396.1201 4289.30 5809.925 673.460 5070.74 288.7727
[3,] 9169.91 4198.479 366.3259 4142.54 4990.962 767.938 4440.50 280.1990
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 8.054 2.18 1.453 8.688 8.693 8.405 5.702 3.799
[2,] 4858.669 1109.54 614.828 5036.023 4890.395 5107.196 2885.534 3376.643
[3,] 3868.962 1227.54 523.563 3946.641 4617.903 4047.916 2624.948 2313.232
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.701 1.844 3.74 1.503 5.12 5.861 3.331 2.055
[2,] 2061.363 827.615 1902.69 722.088 2564.09 3498.008 1952.850 1158.952
[3,] 1930.761 826.665 1729.45 673.162 2813.20 2672.194 1705.716 878.452
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.619 5.308 6.144 2.941 4.369 4.648 1.725
[2,] 2037.352 2927.284 3652.946 1585.943 3850.786 2515.968 963.601
[3,] 1667.503 2784.640 3115.112 1527.477 3627.112 2194.196 765.706
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.137 3.578 4.004 2.472 4.484 0.8393 3.362
[2,] 3715.527 2783.074 2601.071 2571.315 1969.920 462.1367 2892.633
[3,] 4398.450 3182.687 3120.743 2834.849 1927.264 402.4485 2406.620
[,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.416 3.384 3.316 2.773 6.053 1.899 3.969
[2,] 681.967 1635.643 1602.609 2303.586 3376.013 1070.118 2946.277
[3,] 543.452 1772.120 1412.946 2018.811 2904.815 794.700 2428.528
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.788 4.1 1.912 4.988 4.011 5.793 5.565 6.57
[2,] 1712.533 3259.5 796.728 2382.688 3439.584 3664.936 4789.034 3084.67
[3,] 1695.823 2705.7 903.401 2155.378 2544.508 3083.435 3830.329 2772.12
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.845 4.716 1.448 4.275 3.363 4.635 2.427
[2,] 4107.729 3773.689 597.316 2928.798 1430.299 3439.322 1399.529
[3,] 4104.522 4555.250 582.758 3954.191 1356.421 3540.613 1206.800
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.481 2.294 3.475 3.544 8.196 6.495 3.09
[2,] 1496.529 988.823 2498.917 2146.371 4138.132 3038.435 1994.54
[3,] 1721.464 1073.478 2205.668 1699.206 3377.175 3232.302 1887.76
[,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.064 3.574 3.389 3.431 3.207 0.7476 1.496
[2,] 2432.568 1916.239 1867.561 1846.211 1488.489 369.8881 928.761
[3,] 2051.133 2335.315 2495.660 2041.662 1437.109 352.6398 799.114
[,97] [,98]
[1,] 13.97 9.067
[2,] 11013.72 4213.577
[3,] 8316.90 4481.421
[1] "--- VAR model 2017-10-01 09:31:00 completed"
[1] "Completed training sample: 2017-10-01 09:31:00 - 2017-10-01 17:30:00"
[1] "SpVAR; training sample: 2017-10-01 10:01:00 - 2017-10-01 18:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.2383 2.80115 -36.86 -56.98
1.0087 -0.07329 -73.35 -65.82
0.4961 1.13086 -76.08 -62.50
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-53.14 3.481 2.4090 -7.501
-65.08 2.224 2.1900 -4.986
-74.79 3.884 0.2597 6.155
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.330 3.238 9.911 -13.34
-13.401 -10.001 4.862 -29.48
-3.771 -8.107 5.786 -31.05
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.7184 -5.287 -22.32 17.680
7.6586 -2.722 -19.95 3.592
2.2737 -18.515 -36.23 3.325
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.96 -20.168 -5.516 34.86
16.92 1.723 -4.430 18.15
-10.71 2.025 8.218 31.73
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-52.33 -7.672 -143.88 -61.54
-65.60 2.503 -92.53 -46.13
-65.76 -7.436 -120.55 -66.20
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.879 -51.99 -66.07 -12.11
-8.804 -72.24 -70.49 -11.55
-7.188 -48.04 -47.76 -12.85
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-66.96 -7.561 -38.12 -22.64
-48.59 -7.326 -63.88 -22.79
-63.59 -8.432 -52.57 -19.74
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.87 -57.93 -29.16 -47.89
-13.76 -75.27 -46.74 -41.08
-17.12 -75.04 -58.28 -62.14
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.317 -1.972 5.543 -5.432
1.219 7.433 8.774 1.581
7.833 1.530 10.131 -1.132
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.1588 -3.0503 -47.60 -41.88
5.2022 -0.2534 -29.86 -55.38
2.2221 -1.5010 -35.08 -46.45
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.546 -6.818 -29.17 20.15
6.976 -1.289 -31.49 11.18
2.412 -5.910 -27.05 4.43
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.230 5.418 -5.867 7.328
6.978 -5.058 -11.665 8.057
26.459 7.111 -8.567 9.382
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.07655 -2.4973 -3.530 -12.149
2.05078 -16.4777 -11.557 -1.419
-0.63589 -0.4886 -5.195 -13.008
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.055 3.684 0.1898 -10.218
-2.303 5.651 0.1324 1.746
-11.593 -5.631 0.7796 -3.314
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.661 -4.4337 2.9982 1.570
-1.705 -10.6362 0.2771 -7.692
-1.942 -0.6172 3.6321 -5.112
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.541 2.40548 2.595 5.588
-4.905 2.52466 -7.025 11.934
-9.698 -0.09428 -4.583 6.374
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.868 3.0544 -3.3424 4.185
6.411 1.3001 0.1082 5.653
-5.931 -0.2495 3.1066 3.383
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.297 6.288 15.83 16.14
-5.912 -6.687 35.71 16.13
-2.527 5.418 21.49 14.55
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
19.24 -0.1956 9.853 3.601
13.05 0.4742 17.136 2.161
17.88 2.7281 7.109 -0.740
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
19.803 1.635 -0.3775 -2.1913
21.565 2.189 -0.8417 4.5086
7.583 3.269 3.4300 0.4839
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.0832 13.456 12.780 17.0951
-0.9134 -9.874 -5.462 -8.2377
7.2242 6.350 -16.641 -0.5358
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.058 5.835 12.68 9.138
13.264 9.494 3.54 7.536
7.862 8.960 13.62 8.021
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.433 -7.02774 -8.717 -1.7357
-6.698 0.07115 -9.871 0.9332
5.712 1.19488 -9.739 -0.7869
rnd_95776.volume rnd_95787.volume
-35.856 -70.07
5.894 -50.29
-21.248 -70.26
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.512 2.804 13.34 7.551 6.507 0.8328 1.545 3.784 4.200 3.389 2.425
[2,] 4.251 3.172 15.11 8.800 8.020 0.9567 1.787 4.547 5.276 4.913 3.283
[3,] 4.797 3.455 17.00 9.683 8.974 1.0623 1.948 5.000 5.836 5.647 3.745
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.805 2.665 2.935 7.829 3.907 5.131 3.530 9.066 4.623 9.51 3.493
[2,] 3.908 3.114 4.146 9.721 4.764 6.536 4.767 10.878 5.734 11.19 4.140
[3,] 4.477 3.468 4.906 11.036 5.264 7.574 5.771 12.341 6.662 12.24 4.740
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.40 7.156 0.5625 7.077 6.708 1.023 7.260 0.4329 6.850 1.704 1.136
[2,] 18.62 8.701 0.6625 8.311 8.767 1.242 8.696 0.5099 8.215 2.048 1.297
[3,] 20.33 9.474 0.7468 9.247 10.123 1.446 9.705 0.5816 8.979 2.377 1.383
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.636 6.999 6.313 4.639 3.009 3.816 1.438 2.957 1.219 4.200 4.780
[2,] 8.158 8.555 8.068 5.543 4.442 4.444 1.661 3.469 1.412 4.914 5.906
[3,] 9.181 9.595 8.994 5.974 5.020 4.843 1.841 3.824 1.551 5.549 6.522
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.583 1.586 2.944 4.195 4.820 2.268 3.472 3.745 1.420 3.399 2.874
[2,] 3.172 1.869 3.532 5.036 5.846 2.741 5.178 4.360 1.686 4.947 3.927
[3,] 3.583 2.039 3.865 5.701 6.601 3.145 6.154 4.838 1.855 6.369 4.924
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.111 2.014 3.631 0.6653 2.858 1.115 2.748 2.758 2.175 4.615 1.496
[2,] 4.118 3.144 4.063 0.7950 4.027 1.303 3.145 3.131 3.191 5.792 1.815
[3,] 5.055 4.113 4.499 0.8887 4.689 1.407 3.587 3.412 3.712 6.355 1.976
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.179 2.958 3.254 1.525 3.843 3.052 4.523 4.381 5.020 3.791 3.328
[2,] 4.338 3.441 4.601 1.708 4.526 4.404 5.781 6.147 5.809 5.646 4.966
[3,] 4.878 3.847 5.302 1.887 4.992 5.030 6.506 7.200 6.328 6.767 6.416
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.160 2.827 2.676 3.426 1.964 2.029 1.859 2.727 2.848 6.571 5.458
[2,] 1.290 4.004 3.046 4.526 2.379 2.526 2.097 3.695 3.601 7.667 6.189
[3,] 1.393 5.501 3.309 5.706 2.686 3.015 2.354 4.219 4.058 8.299 6.987
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.388 2.355 2.897 2.674 2.743 2.545 0.5838 1.232 10.83 7.258
[2,] 2.967 3.345 3.480 3.252 3.367 2.970 0.6821 1.509 15.18 8.420
[3,] 3.460 3.878 4.014 3.955 3.854 3.253 0.7583 1.689 17.30 9.497
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.46 3.561 16.95 9.589 8.263 1.057 1.962 4.805
[2,] 2623.95 1623.867 7760.33 4951.071 5137.007 516.078 984.018 2763.184
[3,] 2436.31 1502.131 8551.16 4428.980 4412.936 505.891 849.899 2277.574
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.333 4.303 3.08 3.562 3.384 3.727 9.942
[2,] 3499.059 3898.073 2425.35 2982.190 1766.149 3209.743 6314.485
[3,] 2735.395 3050.304 1974.59 2393.330 1671.287 2874.255 5724.665
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.962 6.516 4.483 11.51 5.871 12.08 4.435 18.28
[2,] 2986.719 4436.810 3509.946 6587.21 3717.672 6458.30 2436.745 12938.03
[3,] 2454.437 4193.965 3564.199 6386.36 3715.585 5440.89 2528.848 8937.38
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.086 0.7143 8.987 8.518 1.3 9.219 0.5498 8.698
[2,] 5425.042 383.5133 4775.190 6185.425 771.0 5246.493 295.2962 4969.383
[3,] 4106.538 377.8442 4442.278 5546.167 812.3 4720.240 306.4007 3971.778
[,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 2.164 1.443 8.427 8.888 8.016 5.891 3.821
[2,] 1243.633 685.947 5198.464 5390.731 5506.671 3324.847 3581.008
[3,] 1323.825 524.845 4616.436 4760.958 4355.577 2441.707 2562.718
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.846 1.826 3.755 1.548 5.334 6.07 3.28 2.014
[2,] 2495.872 910.226 1987.102 779.492 2795.087 3800.78 2017.33 1082.951
[3,] 2109.839 870.702 1763.345 705.760 2825.427 3033.02 1827.11 894.232
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.739 5.327 6.12 2.879 4.408 4.755 1.803 4.316
[2,] 2138.611 3053.323 3626.66 1687.616 4210.718 2446.850 996.851 3938.633
[3,] 1718.785 2929.154 3358.73 1690.535 3643.190 2297.815 847.381 4396.596
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.65 3.951 2.557 4.61 0.8448 3.63 1.416 3.49
[2,] 2932.32 2955.658 2645.945 1997.78 476.9123 3108.73 738.295 1675.44
[3,] 3256.11 3212.747 2906.240 2117.98 435.2859 2632.39 582.178 1890.71
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.503 2.762 5.86 1.899 4.037 3.756 4.132 1.937
[2,] 1622.642 2558.636 3835.32 1126.676 3234.686 1926.449 3565.309 841.742
[3,] 1485.517 2077.322 2866.97 856.000 2444.216 1884.344 2887.403 879.270
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 4.88 3.876 5.743 5.563 6.375 4.814 4.227 1.473
[2,] 2619.60 3479.579 3946.973 4726.058 3202.090 4584.222 4038.934 619.065
[3,] 2308.14 2663.527 3268.985 4108.549 2752.623 4089.115 4451.502 576.581
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 3.59 3.398 4.35 2.494 2.577 2.361 3.463 3.617
[2,] 3107.97 1595.407 3240.68 1471.355 1647.546 1062.150 2732.174 2415.310
[3,] 4133.56 1417.699 3808.88 1365.758 1803.613 1172.490 2230.634 2049.668
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 8.344 6.93 3.032 2.991 3.678 3.396 3.483
[2,] 4329.045 3197.10 1929.745 2603.274 2113.715 2027.276 2140.677
[3,] 3480.636 3555.14 1950.125 2149.186 2191.642 2466.358 2053.701
[,94] [,95] [,96] [,97] [,98]
[1,] 3.232 0.7414 1.564 13.75 9.216
[2,] 1678.449 386.5467 955.658 11655.82 4678.199
[3,] 1452.723 363.0933 829.746 9096.31 4814.347
[1] "--- VAR model 2017-10-01 10:01:00 completed"
[1] "Completed training sample: 2017-10-01 10:01:00 - 2017-10-01 18:00:00"
[1] "SpVAR; training sample: 2017-10-01 10:31:00 - 2017-10-01 18:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.045 3.233 -106.62 -65.76
7.857 1.928 -45.20 -41.98
4.220 6.421 -88.08 -65.26
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-73.31 0.2026 2.8414 0.9405
-70.77 2.6124 1.1615 -6.0940
-48.49 4.1658 -0.9378 6.7017
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-15.387 -9.1643 5.0477 -28.03
3.264 0.3691 0.7826 -22.49
13.287 -3.2463 5.4447 -17.28
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
11.525 -20.428 -37.10 11.77036
-2.887 -11.262 -30.32 -1.15394
3.714 -2.786 -29.76 -0.02174
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-21.172 0.6932 4.466 14.84
6.795 -13.9394 5.070 40.22
-12.431 10.9992 -5.504 15.01
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-49.04 -3.559 -162.32 -100.70
-46.86 -8.656 -96.63 -50.56
-72.40 -2.502 -98.03 -32.42
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.463 -39.62 -41.24 -8.901
-7.941 -78.24 -111.68 -11.610
-6.992 -51.88 -54.28 -12.613
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-86.24 -6.210 -44.80 -23.41
-32.12 -7.713 -59.65 -21.63
-63.56 -8.126 -74.37 -23.54
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.36 -49.22 -62.85 -54.83
-16.97 -65.63 -84.28 -63.74
-14.08 -55.74 -46.61 -71.99
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.08635 10.6229 -2.919 0.8711
3.25335 1.0314 8.819 -0.1460
0.69735 -0.6527 -1.674 1.1194
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.2734 -0.19245 -56.26 -22.58
-0.1186 1.39486 -36.04 -56.63
6.0372 -0.03114 -34.15 -40.46
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.3988 -5.909 -28.94 3.477
0.3792 -3.146 -25.93 11.072
16.2355 -3.442 -27.34 6.610
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.826 5.058 -27.471 -8.903
9.467 -3.674 1.279 6.821
11.304 3.607 -21.989 6.480
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3080 -10.65 -6.178 -9.249
0.7565 -22.58 -22.787 -15.582
3.5602 -11.22 -6.936 -11.337
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.647 1.094 1.3513 -11.561
-7.529 5.456 0.7658 -15.237
-17.914 7.156 -1.1813 -3.935
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.1119 -0.9429 -2.757 3.025
-2.3510 -16.5140 1.869 -9.121
-0.9856 -9.2003 -3.193 -8.859
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.444 -4.1227 -6.468 6.030
-6.690 0.4968 -4.660 2.103
-16.552 5.5626 -5.619 10.136
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.068 3.471 -0.5016 5.5628
2.441 2.056 11.6333 -0.4874
-4.873 -3.032 11.5830 7.9574
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.652 -2.037 26.56 36.434
-3.027 1.022 22.21 4.308
-1.173 6.801 16.54 10.240
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.558 2.774 20.83 13.2271
12.750 -1.045 25.70 -0.7704
8.793 4.285 3.59 3.6100
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
30.55 8.854 -4.871 0.7708
17.14 5.550 -3.612 3.6577
17.81 6.405 3.174 1.7483
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.914 6.2922 -4.390 2.526
-2.652 -0.6333 3.526 -4.379
3.677 9.1282 -1.587 1.014
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.191 1.957 7.9537 4.494
7.595 6.160 0.6594 2.242
6.815 3.317 7.6517 9.118
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.7264 -4.90628 -9.491 -3.5747
0.1535 5.14853 -8.584 0.8682
-1.1324 -0.04615 -10.086 -0.2987
rnd_95776.volume rnd_95787.volume
18.27 -69.23
-37.59 -45.87
-16.39 -49.91
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.376 2.956 14.08 7.457 6.504 0.8941 1.537 3.765 4.141 3.395 2.439
[2,] 4.166 3.278 15.97 8.841 7.998 1.0254 1.758 4.544 5.225 5.011 3.347
[3,] 4.742 3.587 18.27 9.628 8.966 1.1230 1.926 5.000 5.812 5.770 3.766
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.728 2.534 2.892 7.923 4.100 5.051 3.462 9.152 4.606 9.474 3.579
[2,] 3.863 2.975 4.136 9.818 4.865 6.572 4.793 11.186 5.776 10.837 4.172
[3,] 4.449 3.358 4.906 11.150 5.299 7.693 5.860 12.638 6.891 11.999 4.745
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 14.23 7.302 0.5303 6.896 6.671 0.9742 6.994 0.4455 6.892 1.680 1.155
[2,] 18.25 8.858 0.6468 8.258 8.795 1.2095 8.620 0.5261 8.423 2.043 1.313
[3,] 19.98 9.687 0.7177 9.206 10.202 1.4166 9.508 0.5988 9.098 2.363 1.393
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.587 7.039 6.156 4.693 3.125 3.774 1.445 3.096 1.255 4.156 4.798
[2,] 8.108 8.612 7.859 5.482 4.414 4.499 1.669 3.626 1.444 4.867 5.898
[3,] 9.227 9.494 8.801 5.895 4.988 4.926 1.827 3.987 1.577 5.476 6.580
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.709 1.596 2.834 4.227 5.005 2.357 3.562 3.880 1.476 3.372 3.048
[2,] 3.325 1.882 3.525 5.181 5.904 2.804 5.444 4.377 1.735 4.783 4.029
[3,] 3.690 2.043 3.880 5.749 6.662 3.218 6.252 4.921 1.902 6.267 4.980
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.072 2.003 3.798 0.6694 2.986 1.096 2.676 2.820 2.244 4.344 1.463
[2,] 4.116 3.185 4.188 0.7981 4.218 1.283 3.105 3.152 3.237 5.593 1.818
[3,] 5.070 4.092 4.687 0.8801 4.973 1.374 3.550 3.441 3.699 6.200 1.987
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.150 3.170 3.102 1.527 3.824 2.962 4.569 4.226 5.072 3.751 3.236
[2,] 4.420 3.621 4.529 1.735 4.461 4.367 5.759 6.055 5.836 5.513 4.950
[3,] 4.935 4.017 5.306 1.931 4.938 4.931 6.443 7.017 6.327 6.593 6.255
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.174 2.730 2.728 3.410 1.949 2.047 1.781 2.628 3.066 6.686 5.272
[2,] 1.295 3.984 3.076 4.560 2.337 2.556 2.053 3.618 3.793 7.675 6.035
[3,] 1.399 5.453 3.380 5.774 2.662 3.046 2.296 4.197 4.154 8.344 6.804
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.212 2.394 2.818 2.722 2.794 2.588 0.5794 1.242 10.68 7.469
[2,] 2.805 3.316 3.502 3.296 3.502 3.011 0.6748 1.517 15.02 8.584
[3,] 3.396 3.839 3.958 3.934 3.971 3.280 0.7564 1.683 17.37 9.616
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.288 3.754 17.87 9.469 8.259 1.135 1.952 4.781
[2,] 2650.192 1538.416 8196.25 5158.088 5055.391 545.221 926.892 2762.267
[3,] 2459.916 1581.084 9647.60 4142.291 4400.324 497.365 854.130 2267.110
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.259 4.312 3.097 3.464 3.217 3.673 10.06
[2,] 3460.769 4002.494 2489.603 2971.631 1694.275 3211.344 6297.50
[3,] 2762.956 3107.010 1873.409 2396.624 1691.640 2865.551 5739.98
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.207 6.414 4.396 11.62 5.849 12.03 4.545 18.07
[2,] 2844.789 4566.249 3600.280 6984.86 3785.044 5714.32 2327.722 12413.87
[3,] 2279.256 4344.237 3662.701 6388.01 4082.399 5596.33 2454.637 8817.74
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 9.272 0.6734 8.757 8.471 1.237 8.881 0.5657
[2,] 5445.134 402.2280 4932.925 6225.262 778.594 5472.150 303.9996
[3,] 4260.098 337.8469 4419.616 5615.723 800.797 4359.296 310.6064
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 8.752 2.133 1.467 8.364 8.938 7.818 5.96 3.968
[2,] 5258.620 1261.790 679.020 5134.380 5388.051 5305.825 3076.84 3386.532
[3,] 3735.587 1290.162 502.836 4784.582 4341.485 4303.098 2353.23 2523.290
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.793 1.835 3.931 1.593 5.278 6.093 3.44 2.027
[2,] 2659.746 907.007 2051.459 776.862 2749.585 3725.406 2093.70 1082.443
[3,] 2177.491 807.349 1798.934 688.133 2725.593 3166.428 1738.22 864.406
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.599 5.368 6.356 2.992 4.523 4.927 1.875
[2,] 2275.795 3254.375 3401.673 1650.142 4472.023 2200.036 989.930
[3,] 1761.475 2704.179 3352.579 1716.177 3338.116 2442.731 846.507
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 4.282 3.87 3.902 2.543 4.823 0.85 3.792 1.391
[2,] 3683.587 2861.78 2974.584 2689.019 1916.386 472.09 3234.855 724.000
[3,] 4398.997 3179.07 3215.339 2790.745 2285.054 402.88 2861.177 535.614
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 3.399 3.581 2.85 5.517 1.858 4 4.026 3.939
[2,] 1708.618 1529.557 2533.98 3825.305 1172.792 3368 1899.276 3584.309
[3,] 1868.892 1499.370 1943.75 2904.935 869.463 2385 1889.638 3002.110
[,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.939 4.856 3.761 5.802 5.366 6.441 4.763
[2,] 894.785 2494.672 3485.806 3807.887 4710.365 3135.499 4389.085
[3,] 919.970 2299.246 2485.893 3136.905 3849.583 2652.642 3925.895
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.109 1.491 3.467 3.465 4.33 2.475 2.599 2.262
[2,] 4067.780 593.074 3150.900 1541.631 3288.24 1400.287 1662.983 1108.761
[3,] 4153.448 573.979 4043.102 1522.675 3847.00 1385.323 1799.903 1116.429
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.337 3.893 8.49 6.695 2.808 3.04 3.578 3.457
[2,] 2700.373 2425.301 4092.33 3190.507 1874.183 2491.82 2259.173 2017.229
[3,] 2309.849 1841.408 3555.43 3411.390 2078.048 2101.82 2002.422 2333.750
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.548 3.287 0.7358 1.578 13.56 9.485
[2,] 2292.513 1670.646 375.5582 945.201 11461.86 4594.234
[3,] 2033.865 1413.227 371.2187 791.948 9474.47 4707.476
[1] "--- VAR model 2017-10-01 10:31:00 completed"
[1] "Completed training sample: 2017-10-01 10:31:00 - 2017-10-01 18:30:00"
[1] "SpVAR; training sample: 2017-10-01 11:01:00 - 2017-10-01 19:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.273 4.7529 -72.63 -55.81
-4.378 -2.3671 -99.89 -45.74
10.681 -0.4524 -39.98 -65.50
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-57.93 -0.4312 4.530 -17.764
-40.76 1.0484 4.040 -1.443
-53.61 1.1381 5.475 -3.569
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.915 1.2698 6.722 -13.35
-13.218 -29.8415 -1.901 -28.49
-3.199 -0.8164 -1.947 -16.87
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.057 -3.1099 -2.601 5.021
7.672 -0.3438 2.533 8.610
-1.202 -20.3119 -11.137 5.795
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.377 0.3506 6.084 27.17
9.641 -4.0157 16.012 27.18
-5.795 0.6816 11.164 14.42
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.91 -1.9018 -126.8 -54.84
-50.40 0.1275 -150.8 -52.07
-49.18 -0.6084 -129.3 -66.88
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.431 -61.79 -73.82 -11.24
-5.863 -51.42 -65.65 -10.89
-5.923 -60.37 -74.14 -10.98
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-49.61 -7.228 -51.49 -21.53
-66.55 -5.676 -75.45 -18.05
-67.72 -7.140 -59.99 -23.11
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.89 -54.00 -74.79 -49.15
-14.79 -46.65 -42.85 -55.49
-13.36 -48.42 -49.31 -63.77
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.5523 -4.377 4.036 2.7870
0.6574 -7.389 1.497 -1.4830
-4.0796 5.185 -4.949 0.6997
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3189 1.397 -36.16 -38.42
3.0191 1.074 -38.85 -51.21
1.6396 1.381 -30.03 -33.33
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
13.198 0.5661 -29.33 9.118
12.138 2.7054 -17.80 9.795
8.039 -1.1826 -20.70 -2.660
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.946 -6.2595 -15.225 5.617
9.162 0.8017 -2.234 8.657
-2.415 0.3871 -16.815 15.243
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.09107 -6.047 -9.974 -28.741
-0.01526 -6.544 -2.564 -5.586
-0.65806 -6.311 -8.973 -6.646
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.043 6.6479 0.34874 -2.318
-14.641 2.6854 -0.08697 -4.944
2.082 0.7731 0.54167 -6.235
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.7566 -8.010 3.029 -5.374
0.7805 -6.254 8.920 -5.030
0.7648 -6.154 0.788 0.752
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.514 8.365 -2.469 -5.087
-1.966 -1.844 -10.787 5.652
-4.917 3.045 4.009 -3.165
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.4745 -1.583 0.8088 1.9859
-13.6497 2.737 0.3877 0.9729
0.1333 -2.398 12.4706 8.9474
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.1205 7.440 25.35 24.92
2.3024 4.541 22.66 15.95
-0.6643 -2.368 31.88 11.64
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
30.830 2.2489 11.10 6.03766
21.367 1.2390 29.13 -0.28454
8.703 0.1588 20.02 -0.02939
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.13 4.21749 1.339 4.2587
25.80 -0.07803 -6.960 -0.3393
19.93 5.38915 1.259 0.9082
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.688 0.6309 -6.0790 2.555
-9.735 -1.2073 0.3977 4.047
1.999 1.8945 -5.1660 4.269
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.995 -4.617 -9.979 -6.902
-6.024 1.629 3.399 2.280
-2.634 -6.573 -5.338 -3.279
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.9762 -8.1603 -8.541 -2.624
0.6138 4.6887 -8.718 -1.425
-3.7404 0.8469 -9.190 -2.897
rnd_95776.volume rnd_95787.volume
-17.796 -53.19
-9.233 -56.93
-19.063 -47.49
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.383 2.862 14.30 7.470 6.635 0.9154 1.498 3.837 4.182 3.408 2.419
[2,] 4.222 3.208 16.06 8.921 8.069 1.0593 1.789 4.518 5.206 5.038 3.313
[3,] 4.739 3.493 18.40 9.639 8.884 1.1565 1.980 4.999 5.772 5.732 3.785
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.732 2.570 2.882 8.111 4.034 5.062 3.529 9.548 4.321 9.624 3.622
[2,] 3.835 3.023 4.059 9.785 4.853 6.484 4.628 11.207 5.572 10.911 4.152
[3,] 4.395 3.383 4.901 10.986 5.310 7.641 5.652 12.587 6.663 12.061 4.744
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.73 7.487 0.5244 6.900 6.751 0.9841 6.885 0.4498 6.994 1.638 1.139
[2,] 17.84 9.032 0.6099 8.192 8.747 1.2315 8.608 0.5365 8.541 2.040 1.345
[3,] 19.73 9.836 0.6699 9.258 9.989 1.4063 9.410 0.6089 9.377 2.313 1.441
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.743 6.940 6.442 4.473 3.124 3.802 1.375 3.047 1.258 4.313 4.722
[2,] 8.157 8.767 7.982 5.286 4.434 4.413 1.619 3.625 1.444 5.077 5.834
[3,] 9.207 9.764 8.772 5.748 5.021 4.851 1.814 3.974 1.587 5.601 6.519
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.695 1.608 2.884 4.221 5.006 2.458 3.578 3.871 1.472 3.405 3.005
[2,] 3.324 1.841 3.519 5.182 5.976 2.919 5.532 4.384 1.734 4.976 4.057
[3,] 3.702 2.019 3.931 5.823 6.699 3.314 6.299 4.877 1.889 6.401 4.986
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.109 2.036 3.646 0.6670 3.064 1.090 2.637 2.739 2.228 4.423 1.429
[2,] 4.212 3.146 4.013 0.7872 4.295 1.267 3.152 3.075 3.261 5.662 1.812
[3,] 5.141 4.186 4.545 0.8818 5.052 1.373 3.521 3.348 3.710 6.376 1.992
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.232 3.211 3.118 1.498 3.763 2.855 4.409 3.999 4.849 3.862 3.047
[2,] 4.507 3.641 4.598 1.718 4.364 4.374 5.589 6.017 5.624 5.634 4.726
[3,] 5.043 4.069 5.402 1.913 4.850 4.902 6.217 6.779 6.169 6.786 6.257
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.181 2.751 2.800 3.463 1.921 2.008 1.811 2.720 2.986 6.834 5.367
[2,] 1.308 3.936 3.076 4.402 2.316 2.572 2.059 3.626 3.697 7.895 6.008
[3,] 1.420 5.428 3.393 5.575 2.635 3.091 2.292 4.191 4.081 8.544 6.846
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.055 2.300 2.823 2.750 2.741 2.495 0.5815 1.234 10.64 7.700
[2,] 2.695 3.249 3.549 3.321 3.451 2.908 0.6762 1.508 15.03 8.541
[3,] 3.330 3.802 3.997 3.877 3.870 3.178 0.7525 1.684 17.24 9.684
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 4.295 3.634 18.16 9.486 8.425 1.162 1.902
[2,] 2884.560 1656.389 8350.76 5569.691 5244.180 608.786 1116.449
[3,] 2458.451 1576.661 10247.47 4167.749 4244.111 530.060 969.193
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.872 5.311 4.327 3.071 3.469 3.263 3.66 10.3
[2,] 2723.486 3539.524 4237.264 2584.674 3073.132 1817.766 3264.57 6249.3
[3,] 2444.529 2847.560 3121.562 2091.875 2451.546 1736.108 3136.88 5702.9
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.123 6.429 4.482 12.12 5.486 12.22 4.6 17.44
[2,] 3080.497 4625.806 3419.173 6700.81 4017.700 5870.03 2315.9 13006.40
[3,] 2462.735 4617.580 3704.563 6543.33 4172.040 5870.79 2621.5 9624.39
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.507 0.6659 8.762 8.572 1.25 8.742 0.5712 8.881
[2,] 5769.844 355.6019 5042.998 6352.404 845.46 5900.495 333.8565 5598.184
[3,] 4448.333 316.3330 4925.097 5507.071 775.40 4340.452 328.8391 4419.746
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.079 1.447 8.563 8.813 8.18 5.68 3.967 4.828
[2,] 1389.029 815.941 5241.758 6117.173 5382.21 3217.91 3592.275 2558.023
[3,] 1244.035 591.256 4874.978 4908.083 4153.51 2576.93 2690.567 2301.308
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.747 3.869 1.598 5.477 5.996 3.422 2.042 3.662
[2,] 975.389 2242.792 809.773 3058.281 3912.242 2222.583 1024.055 2302.967
[3,] 934.255 1858.992 749.988 2703.319 3323.614 1859.107 947.558 2000.004
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.36 6.357 3.121 4.544 4.916 1.87 4.323 3.816
[2,] 3432.04 3726.015 1798.496 4817.511 2351.098 1046.53 4143.608 3112.063
[3,] 3033.54 3458.734 1792.838 3439.339 2438.716 855.97 4598.568 3311.462
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.948 2.586 4.63 0.8469 3.891 1.384 3.349 3.478
[2,] 3243.952 2738.077 1914.98 477.6242 3436.214 737.945 1971.843 1595.226
[3,] 3366.494 3153.494 2436.51 453.5553 3037.557 604.314 1790.410 1513.982
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.829 5.616 1.814 4.104 4.077 3.96 1.902 4.778
[2,] 2720.146 4036.627 1272.553 3586.610 1960.925 3859.15 961.872 2524.672
[3,] 2018.644 3349.732 946.041 2584.782 2074.895 3238.14 960.231 2415.605
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 3.626 5.599 5.078 6.158 4.905 3.869 1.499
[2,] 3784.289 3922.557 5134.026 3253.398 4683.538 4125.924 642.393
[3,] 2525.743 3108.348 3564.909 2894.162 4321.126 4682.511 631.770
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 3.493 3.555 4.398 2.44 2.55 2.3 3.454 3.792
[2,] 3214.110 1453.977 3103.752 1477.35 1835.15 1119.1 2738.194 2490.140
[3,] 4268.685 1635.213 3906.667 1433.75 1958.71 1147.6 2399.290 1972.087
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 8.679 6.816 2.609 2.92 3.585 3.492 3.481
[2,] 4513.050 3081.964 1992.000 2620.88 2456.662 2125.411 2394.067
[3,] 3729.593 3749.431 2233.261 2254.62 2098.245 2284.294 2000.099
[,94] [,95] [,96] [,97] [,98]
[1,] 3.168 0.7385 1.567 13.52 9.778
[2,] 1705.505 393.9795 990.560 12113.28 4218.823
[3,] 1463.908 377.2028 855.503 9647.65 5213.307
[1] "--- VAR model 2017-10-01 11:01:00 completed"
[1] "Completed training sample: 2017-10-01 11:01:00 - 2017-10-01 19:00:00"
[1] "SpVAR; training sample: 2017-10-01 11:31:00 - 2017-10-01 19:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.057 2.6579 -52.64 -33.61
2.177 -0.4642 -62.80 -59.19
5.644 6.3315 -21.01 -46.83
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-46.01 2.91166 -1.4056 -0.1454
-46.92 -1.62937 1.1273 -1.2540
-37.96 -0.06676 -0.8475 -5.1420
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.136 4.770 6.857 -20.303
-6.580 5.760 8.759 -9.971
3.322 -2.644 2.966 -17.358
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.8343 -7.2505 -5.581 3.413
4.8790 -0.6928 3.264 -2.183
9.1896 -0.1418 3.541 9.634
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8129 2.158 4.341 16.320
-7.9693 1.270 -5.360 7.285
11.4528 -15.078 6.681 29.512
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-78.34 -10.554 -133.0 -51.41
-51.98 5.317 -135.7 -75.06
-53.99 -12.378 -125.2 -55.36
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.821 -42.05 -59.93 -7.748
-6.598 -55.98 -67.19 -11.666
-5.929 -59.16 -58.48 -9.547
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-27.40 -7.623 -50.54 -17.65
-48.83 -7.398 -47.85 -19.16
-54.46 -6.916 -59.40 -20.63
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.55 -33.29 -62.57 -71.58
-11.95 -42.18 -61.58 -36.67
-12.83 -44.60 -45.03 -52.54
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.901 1.110 3.4638 -0.8929
9.499 12.911 0.2550 2.1471
-6.987 -4.052 -0.1419 0.2120
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-12.481 2.5427 -28.51 -51.21
3.754 1.7070 -36.24 -39.85
1.053 -0.5903 -33.47 -37.81
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.150 -3.043 -22.03 -12.234
6.704 -1.917 -28.62 13.055
6.205 -3.210 -22.31 -2.076
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.367 -3.959 -15.96 15.244
1.699 -12.234 -24.43 14.873
3.100 -3.884 -21.52 9.016
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.907 6.050 -7.8520 -13.582
-4.310 -9.333 -0.2522 2.737
-3.775 -14.069 -8.2826 -7.322
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.149 2.6991 0.9218 2.900
-7.039 -0.3192 0.2561 -15.385
1.106 -1.3524 1.4979 -1.074
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7697 -0.3741 9.6727 1.271
0.4939 -6.9584 0.5553 8.537
0.1343 -5.9874 6.8415 -10.686
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
16.583 0.3096 2.5321 1.060
-1.321 5.1713 -0.3337 5.848
-9.669 1.1066 -3.7587 -3.551
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.186 2.0369 3.4126 -4.207
8.447 1.4761 0.9039 1.790
-2.335 0.1478 -4.3229 4.652
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.8503 8.68237 23.41 25.61
7.5528 5.65898 32.83 12.93
9.2602 -0.09823 21.59 17.80
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.03 2.2365 6.842 -1.6058
11.35 1.2703 19.406 3.1379
17.35 0.5852 9.094 0.5253
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.335 7.0773 0.6638 2.7177
22.288 0.2125 -3.8379 -2.2733
8.420 4.5253 -6.4599 0.9116
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.8808 -3.007 0.5827 -14.367
2.6040 -1.602 -11.3073 9.238
7.1075 3.000 0.8092 6.777
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.866 4.843 3.525 1.947
3.408 3.741 3.804 5.102
5.006 1.801 3.569 -0.121
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.7112 0.4583 -7.434 -4.304
-2.0260 -5.6874 -9.450 1.262
-0.8937 1.9828 -10.162 -4.930
rnd_95776.volume rnd_95787.volume
-64.59 -42.44
-77.97 -71.74
-49.42 -46.16
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.464 2.717 14.30 7.411 6.528 0.9612 1.424 3.815 4.118 3.455 2.377
[2,] 4.270 3.089 16.00 8.825 7.917 1.1046 1.731 4.497 5.233 5.148 3.266
[3,] 4.745 3.377 18.35 9.735 8.937 1.2116 1.904 4.976 5.733 5.802 3.782
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.792 2.564 2.879 7.894 3.753 4.765 3.368 8.777 4.111 9.50 3.451
[2,] 3.833 2.984 4.096 9.651 4.462 6.233 4.509 10.557 5.343 11.00 4.049
[3,] 4.398 3.326 4.863 11.013 4.963 7.266 5.546 11.949 6.524 12.11 4.590
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.06 7.523 0.5044 7.052 6.558 0.9834 7.120 0.4492 7.033 1.701
[2,] 17.93 9.000 0.5914 8.245 8.758 1.2097 8.744 0.5316 8.493 2.074
[3,] 19.95 10.002 0.6613 9.185 10.057 1.3876 9.690 0.6002 9.365 2.313
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.126 6.868 6.936 6.588 4.384 3.155 3.840 1.437 3.101 1.238 4.230
[2,] 1.341 8.290 8.651 8.192 5.238 4.312 4.430 1.706 3.695 1.424 4.966
[3,] 1.436 9.542 9.765 9.014 5.710 4.970 4.794 1.889 4.074 1.571 5.595
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.656 2.651 1.484 2.838 4.271 4.893 2.525 3.544 3.871 1.479 3.384
[2,] 5.703 3.258 1.754 3.466 5.302 5.844 2.990 5.509 4.456 1.756 4.974
[3,] 6.373 3.628 1.903 3.906 5.929 6.583 3.343 6.279 4.985 1.907 6.501
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.045 2.903 2.019 3.457 0.6603 3.012 1.089 2.612 2.628 2.294 4.226
[2,] 4.047 4.129 3.140 3.870 0.7918 4.307 1.257 3.121 3.005 3.334 5.574
[3,] 4.914 5.135 4.173 4.344 0.8971 5.056 1.355 3.478 3.296 3.760 6.249
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.414 3.337 3.261 3.132 1.460 3.689 2.851 4.383 4.036 4.814 3.830
[2,] 1.788 4.541 3.711 4.577 1.692 4.271 4.519 5.571 6.254 5.649 5.645
[3,] 1.969 5.061 4.130 5.352 1.932 4.744 4.992 6.185 6.984 6.139 6.832
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.044 1.139 2.627 2.714 3.344 1.971 1.944 1.781 2.659 2.864 6.848
[2,] 4.818 1.314 3.906 3.059 4.310 2.330 2.554 2.052 3.606 3.613 7.903
[3,] 6.427 1.423 5.414 3.363 5.473 2.632 3.101 2.246 4.166 3.960 8.623
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.216 1.910 2.100 2.644 2.668 2.792 2.455 0.5861 1.233 10.79 7.759
[2,] 5.879 2.527 3.088 3.449 3.266 3.463 2.832 0.6808 1.523 15.40 8.788
[3,] 6.680 3.260 3.618 3.866 3.739 3.922 3.110 0.7599 1.682 17.65 9.885
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.399 3.45 18.16 9.41 8.289 1.221 1.808 4.844
[2,] 2873.281 1692.11 8252.80 5514.95 5154.878 626.491 1132.538 2741.737
[3,] 2380.609 1569.84 10353.47 4730.50 4772.268 572.968 912.589 2449.948
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.229 4.387 3.019 3.546 3.256 3.656 10.02
[2,] 3715.899 4392.749 2577.871 3022.079 1757.681 3353.980 6390.25
[3,] 2694.415 3079.088 2193.530 2481.048 1689.192 3015.537 6104.44
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.765 6.051 4.277 11.15 5.221 12.06 4.382 17.86
[2,] 2777.673 4625.189 3450.739 6753.20 3928.284 6378.25 2438.386 12806.04
[3,] 2501.236 4295.815 3716.649 6442.19 4308.867 5838.41 2487.796 10078.25
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 9.553 0.6405 8.955 8.328 1.249 9.042 0.5704
[2,] 5686.818 355.4803 4916.697 6680.293 810.731 5840.896 327.1859
[3,] 5021.382 340.4897 4658.949 5691.169 782.283 4806.961 320.8145
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 8.931 2.16 1.43 8.722 8.808 8.365 5.567 4.006
[2,] 5479.852 1364.68 837.91 5342.791 5950.051 5603.761 3299.381 3384.186
[3,] 4542.808 1180.42 590.98 5438.609 5215.086 4328.922 2615.021 2844.014
[,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 4.877 1.825 3.938 1.572 5.372 5.913 3.366
[2,] 2542.454 1058.484 2311.165 808.647 2994.035 3789.743 2179.472
[3,] 2108.119 934.680 1976.288 764.388 2965.034 3274.215 1837.064
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.884 3.603 5.424 6.213 3.206 4.5 4.916 1.878
[2,] 1076.508 2291.395 3615.013 3677.620 1841.910 4854.1 2540.122 1089.292
[3,] 849.358 2073.385 3055.356 3487.701 1722.582 3468.2 2571.732 858.011
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 4.297 3.866 3.686 2.563 4.39 0.8385 3.825 1.383
[2,] 4195.722 3068.484 3379.033 2768.621 2001.38 502.8254 3544.152 721.787
[3,] 4817.786 3207.708 3514.451 3162.087 2271.21 485.4989 3047.546 583.221
[,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 3.316 3.337 2.913 5.367 1.796 4.237 4.141
[2,] 1967.556 1676.853 2784.839 4182.312 1258.301 3545.896 2039.816
[3,] 1765.889 1557.830 2000.804 3252.473 951.035 2571.930 2084.433
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.977 1.854 4.684 3.62 5.566 5.125 6.113
[2,] 3841.957 983.300 2477.505 4035.30 3956.714 5499.195 3403.314
[3,] 3192.538 1074.059 2377.588 2440.99 3093.903 3578.438 2763.792
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.864 3.866 1.446 3.335 3.446 4.246 2.503
[2,] 4772.698 4297.338 753.992 3327.597 1623.442 3129.657 1428.694
[3,] 4428.664 4897.041 627.370 4314.542 1609.222 3883.044 1410.905
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.468 2.262 3.376 3.636 8.696 6.623 2.425
[2,] 1907.186 1171.445 2803.063 2535.240 4540.665 3121.169 1903.930
[3,] 2024.842 1052.692 2402.385 1866.651 3969.527 3650.937 2370.030
[,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.667 3.357 3.387 3.545 3.118 0.7442 1.566
[2,] 2605.992 2549.791 2167.853 2358.410 1625.023 398.7887 1028.922
[3,] 2169.319 2011.009 2096.929 2119.023 1478.054 388.4696 822.426
[,97] [,98]
[1,] 13.7 9.852
[2,] 12659.6 4749.852
[3,] 9918.6 5209.337
[1] "--- VAR model 2017-10-01 11:31:00 completed"
[1] "Completed training sample: 2017-10-01 11:31:00 - 2017-10-01 19:30:00"
[1] "SpVAR; training sample: 2017-10-01 12:01:00 - 2017-10-01 20:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.033 1.763 -7.691 -50.54
6.642 -3.007 -36.855 -49.49
9.852 3.067 -48.057 -38.00
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-53.43 1.96844 2.033 -6.152
-56.32 0.03757 1.533 5.258
-52.31 1.08796 -0.837 4.126
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.927 7.787 -1.473 -9.622
-3.454 -6.196 -1.762 -10.629
-2.090 -1.142 3.492 -10.406
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.753 -17.017 -8.582 2.661
1.848 3.530 -3.627 5.472
-1.101 -5.651 -8.251 3.608
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.165 -8.84387 9.752 24.80
4.124 -11.52258 -7.088 15.00
1.408 0.09786 -5.887 10.84
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-49.07 -10.261 -127.67 -53.33
-59.43 -6.413 -76.16 -39.24
-61.76 -7.029 -101.52 -46.40
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.207 -49.86 -65.65 -10.83
-5.528 -52.88 -55.71 -11.11
-5.119 -58.39 -51.08 -11.53
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-41.42 -5.856 -33.83 -23.14
-54.81 -5.076 -64.90 -15.80
-43.84 -4.975 -51.89 -17.82
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.979 -49.75 -46.73 -56.72
-9.045 -61.00 -46.19 -46.10
-10.509 -36.94 -47.92 -49.73
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
9.849 4.342 1.422 -2.7391
-1.912 1.214 -5.208 -0.6552
4.357 -1.655 7.428 0.5115
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.7362 1.7667 -34.01 -40.40
2.2894 -0.7344 -31.27 -38.14
-0.6961 0.1487 -31.94 -46.63
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.751 -3.445 -17.28 -0.184613
5.125 -1.809 -22.22 13.863090
5.499 -1.895 -19.37 -0.003255
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.290 -7.381 -13.303 -5.334
4.511 -2.824 -6.585 3.147
5.604 -1.383 -11.512 5.681
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.3641 -2.832 -12.67 -13.729
0.3011 -13.361 -14.94 -13.450
0.5163 -13.328 -10.08 -6.756
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.217 -1.7729 0.2910 -7.808
-12.539 -0.5419 -0.8851 -13.912
-12.946 -5.4911 0.6105 -9.765
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5463 -8.320 2.230 -12.0709
-2.7493 -2.649 7.154 -2.2841
-0.6776 -12.554 -1.001 -0.2169
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.056 -0.6815 -5.299 2.296
-9.408 3.5355 -5.632 -1.924
-3.719 3.9865 2.561 -6.512
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.930 3.9213 2.647 -2.5339
-6.575 1.7931 12.904 -0.1435
-8.210 -0.2504 6.820 15.4229
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.1318 -16.125 9.779 -2.825
-1.7842 4.588 20.469 8.142
0.1803 4.481 21.558 15.509
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.729 1.9620 13.842 -1.8327
1.876 1.7233 1.104 0.8632
7.448 0.7528 5.899 6.9855
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.541 -2.164 7.392 7.8616
6.029 -1.352 -3.313 -0.9144
3.370 2.565 -1.274 -0.3174
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.087 3.1006 -0.9102 -3.614
10.099 -0.9807 12.7297 -9.339
1.760 2.3266 3.2102 -1.360
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.1492 1.0881 -3.1294 -4.593
0.5928 -0.3034 -0.4573 -0.340
1.6655 0.2041 -0.1687 2.819
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.3007 0.1916 -8.536 1.2820
-10.2255 -6.1934 -7.853 0.8968
-0.8977 2.4340 -7.742 -0.9917
rnd_95776.volume rnd_95787.volume
-14.18 -41.53
-26.11 -39.53
-31.19 -37.91
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.424 2.733 14.15 7.209 6.830 0.9595 1.462 3.883 4.136 3.479 2.504
[2,] 4.255 3.108 15.90 8.809 8.120 1.0955 1.748 4.568 5.217 5.183 3.358
[3,] 4.726 3.382 18.35 9.693 8.962 1.2003 1.903 5.035 5.704 5.776 3.824
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.742 2.448 3.031 7.727 3.829 4.784 3.355 8.813 4.011 8.233 2.697
[2,] 3.724 2.933 4.136 9.530 4.427 6.371 4.734 10.661 5.224 9.398 3.173
[3,] 4.255 3.331 4.793 10.957 4.963 7.414 5.738 12.077 6.558 10.374 3.661
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.71 7.538 0.5209 7.049 6.619 0.9575 7.158 0.4626 6.658 1.697 1.123
[2,] 17.66 8.859 0.6090 8.268 8.993 1.1840 8.682 0.5354 8.415 1.998 1.342
[3,] 19.88 9.827 0.6725 9.213 10.187 1.3496 9.632 0.5930 9.397 2.207 1.426
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.950 6.833 6.534 4.131 2.985 3.771 1.402 3.098 1.247 4.147 4.649
[2,] 8.185 8.547 8.065 5.082 4.200 4.399 1.631 3.663 1.403 4.837 5.444
[3,] 9.470 9.648 8.851 5.524 4.803 4.774 1.848 4.033 1.523 5.335 6.135
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.611 1.395 2.884 4.400 4.761 2.481 3.499 3.749 1.480 3.464 2.913
[2,] 3.265 1.624 3.496 5.416 5.831 2.981 5.457 4.346 1.740 5.086 4.065
[3,] 3.646 1.754 3.895 6.059 6.632 3.352 6.270 4.933 1.898 6.497 5.018
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.740 2.023 3.404 0.6887 3.113 1.056 2.643 2.617 2.331 4.318 1.371
[2,] 4.006 3.175 3.827 0.8112 4.338 1.216 3.112 3.032 3.315 5.588 1.692
[3,] 5.130 4.259 4.265 0.9127 5.053 1.317 3.429 3.352 3.769 6.262 1.874
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.471 3.115 3.150 1.431 3.605 2.821 4.278 3.954 4.920 3.799 3.093
[2,] 4.635 3.577 4.632 1.646 4.221 4.538 5.480 6.038 5.697 5.581 4.840
[3,] 5.239 4.003 5.321 1.909 4.655 5.034 6.110 6.826 6.184 6.773 6.365
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.104 2.556 2.678 3.186 2.141 1.980 1.753 2.639 2.882 7.080 5.047
[2,] 1.285 3.791 3.036 4.308 2.420 2.552 2.045 3.538 3.584 8.061 5.784
[3,] 1.413 5.386 3.326 5.557 2.671 3.086 2.206 4.092 3.913 8.806 6.546
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.923 1.962 2.596 2.612 2.841 2.343 0.5792 1.306 10.48 7.776
[2,] 2.470 2.984 3.319 3.193 3.400 2.730 0.6837 1.594 15.02 8.750
[3,] 3.211 3.461 3.754 3.687 3.822 3.000 0.7571 1.771 17.28 9.715
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.348 3.47 17.96 9.155 8.673 1.218 1.857 4.93
[2,] 2857.585 1674.38 8213.13 5728.042 4968.382 598.033 1083.894 2723.39
[3,] 2327.810 1509.29 10359.77 4573.420 4291.386 555.111 850.335 2395.15
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.253 4.418 3.179 3.482 3.109 3.849 9.812
[2,] 3597.724 4346.316 2532.132 2850.755 1826.948 3183.932 6310.989
[3,] 2608.193 2884.951 2069.722 2329.754 1787.548 2741.059 6117.019
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.862 6.075 4.26 11.19 5.093 10.45 3.425 17.41
[2,] 2513.144 4759.915 3779.40 6787.01 3787.562 5127.75 1891.888 12606.56
[3,] 2539.475 4289.125 3667.59 6421.09 4484.470 4970.28 2066.892 10312.36
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.572 0.6615 8.951 8.405 1.216 9.09 0.5874 8.454
[2,] 5266.290 357.0204 4887.756 6888.633 788.062 5558.66 304.9916 5823.435
[3,] 4812.095 322.6720 4599.283 5414.595 732.901 4718.76 288.4494 4732.060
[,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 2.154 1.426 8.825 8.677 8.297 5.245 3.791
[2,] 1193.685 830.466 4890.486 5808.624 5350.022 3349.468 3342.835
[3,] 1060.079 546.697 5389.993 5065.470 4123.624 2450.266 2636.351
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.788 1.781 3.934 1.584 5.266 5.903 3.316 1.771
[2,] 2562.396 942.200 2211.104 725.780 2816.309 3204.983 2218.337 939.827
[3,] 2099.325 982.808 1907.942 670.741 2545.308 3201.724 1835.757 750.157
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.662 5.588 6.045 3.15 4.443 4.76 1.88 4.399
[2,] 2235.265 3573.031 3809.776 1871.25 4737.846 2488.08 1033.64 4213.286
[3,] 1942.734 3072.206 3574.126 1733.66 3493.328 2640.21 860.09 4574.317
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.699 3.48 2.569 4.322 0.8745 3.953 1.341 3.356
[2,] 3207.125 3306.45 2768.459 1979.972 485.0346 3418.519 681.959 1858.418
[3,] 3329.293 3626.04 3212.556 2129.686 473.1080 2931.230 574.067 1629.077
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.324 2.96 5.483 1.742 4.408 3.955 4 1.817
[2,] 1732.471 2666.27 4011.795 1121.154 3475.360 1990.241 3843 921.741
[3,] 1617.005 2029.08 3199.512 911.510 2762.351 2033.842 2963 1093.075
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.578 3.582 5.432 5.021 6.248 4.824 3.927
[2,] 2484.896 4022.326 3874.943 5162.996 3249.255 4626.303 4211.459
[3,] 2219.236 2463.419 3056.967 3601.780 2722.429 4341.262 4677.692
[,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.402 3.246 3.401 4.046 2.719 2.514 2.226
[2,] 743.300 3167.875 1619.106 3281.011 1275.839 1822.461 1192.804
[3,] 664.319 4328.832 1534.734 3971.881 1278.677 1961.636 933.935
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.352 3.66 8.991 6.409 2.442 2.491 3.297
[2,] 2665.366 2409.48 4359.283 3195.073 1753.635 2543.479 2339.097
[3,] 2327.188 1776.08 4011.926 3467.979 2321.761 1985.478 1985.565
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.317 3.607 2.975 0.7355 1.658 13.31 9.874
[2,] 2078.483 2113.946 1585.089 411.1060 1035.038 12167.74 4540.112
[3,] 2085.449 1974.592 1406.602 367.9086 873.328 9671.50 4775.943
[1] "--- VAR model 2017-10-01 12:01:00 completed"
[1] "Completed training sample: 2017-10-01 12:01:00 - 2017-10-01 20:00:00"
[1] "SpVAR; training sample: 2017-10-01 12:31:00 - 2017-10-01 20:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.702 5.8676 -75.50 -50.40
-3.970 -0.1186 -66.87 -48.69
3.082 0.7843 -60.41 -57.51
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.34 0.3899 3.0123 -5.037
-50.49 0.3531 0.8044 -12.750
-52.08 1.6153 -0.5395 2.515
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.886 -1.268 0.9777 -19.75
-5.350 -1.228 1.3271 -13.33
-4.376 -11.305 0.1064 -17.98
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1607 -12.646 -8.982 6.8347
-4.0665 -8.795 -16.316 -6.1593
1.6271 -6.928 -6.926 0.8744
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.872 -14.256 4.647 13.580
-6.018 -3.727 3.209 3.099
5.300 -6.464 -2.338 6.588
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-56.75 -8.5395 -103.4 -55.10
-68.16 0.6949 -119.0 -48.15
-51.39 -5.3952 -132.6 -45.33
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.553 -59.71 -49.22 -9.963
-3.607 -52.50 -33.80 -10.374
-3.854 -54.45 -53.95 -10.872
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-40.67 -5.224 -39.24 -14.07
-54.65 -4.958 -50.43 -19.07
-50.43 -4.187 -39.30 -14.36
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.478 -56.00 -47.63 -44.92
-8.976 -38.99 -46.66 -40.11
-10.600 -47.09 -37.71 -48.77
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.1927 -12.241 0.2733 1.6084
0.4791 7.452 6.2324 0.3546
1.3554 -8.500 7.1711 3.3499
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.9157 -0.5606 -31.40 -49.46
7.2358 -0.7192 -34.07 -41.07
0.3793 -0.3411 -26.28 -40.70
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.801 0.3501 -19.22 13.190
7.500 -2.1349 -24.31 1.383
6.761 -1.2390 -19.20 13.414
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.3390 7.047 3.071 8.105
-3.7844 2.904 -14.570 2.635
0.2636 -1.636 -14.082 4.382
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.45097 -8.921 -13.916 -8.444
1.16887 4.655 4.153 -10.060
0.08589 -20.938 -8.743 3.148
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.010 -1.067 0.37485 -4.052
-15.462 4.399 -0.08453 -4.688
3.479 6.644 -0.69207 -12.291
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2957 -5.3299 7.428 -6.764
-0.6527 0.3247 -2.195 -1.524
0.4676 -9.8524 -1.677 3.701
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-14.155 -2.0500 -16.0670 6.354
8.097 1.2896 -0.8533 8.106
2.515 0.3277 6.5892 6.159
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.6904 0.9555 -5.227 1.432
0.6572 2.0968 -4.211 -4.695
8.3382 0.1474 -1.741 -4.209
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7435 -2.638 17.27 16.072
3.4018 4.070 23.84 5.060
-3.3899 -5.617 19.44 8.427
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.247 1.8396 10.339 -2.8384
8.647 1.6446 11.905 1.8007
8.627 0.1159 6.536 0.8484
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.926 -0.4452 -5.867 1.1190
5.552 3.5276 2.333 -3.9356
13.569 0.2172 -4.544 0.4464
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.881 3.962 8.571 6.129
1.605 3.074 2.952 -14.823
1.882 -1.028 2.578 4.799
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.115 -1.92788 -4.72143 -4.2451
-1.506 -3.16057 -2.39326 -0.4781
-3.065 -0.04528 -0.05916 -2.1395
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.5071 -3.792 -8.719 -3.632
-2.7989 2.061 -8.612 1.865
0.9898 1.000 -7.361 -1.330
rnd_95776.volume rnd_95787.volume
1.33 -37.28
-24.77 -52.42
-63.72 -54.33
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.225 2.650 13.88 7.084 6.895 0.992 1.423 3.859 3.887 3.495 2.429
[2,] 4.281 3.025 15.68 8.529 8.090 1.107 1.698 4.600 5.014 5.121 3.219
[3,] 4.729 3.288 18.11 9.438 9.031 1.213 1.865 5.101 5.499 5.638 3.732
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.633 2.400 2.855 7.550 3.867 5.055 3.390 7.548 3.878 7.945 2.633
[2,] 3.624 2.907 3.927 8.954 4.371 6.588 4.769 9.780 5.183 9.152 3.111
[3,] 4.103 3.277 4.619 10.507 4.896 7.479 5.674 10.981 6.459 10.130 3.550
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.71 7.280 0.5200 6.908 6.440 0.9212 6.882 0.4592 6.735 1.647 1.056
[2,] 16.52 8.717 0.6040 8.122 8.748 1.0950 8.391 0.5273 8.388 1.969 1.282
[3,] 18.78 9.660 0.6659 9.101 9.912 1.2404 9.316 0.5821 9.353 2.182 1.380
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.700 6.851 6.051 3.936 2.880 3.559 1.419 3.021 1.254 3.994 4.443
[2,] 7.850 8.437 7.697 4.780 4.064 4.265 1.647 3.552 1.394 4.637 5.236
[3,] 9.223 9.503 8.494 5.184 4.619 4.618 1.868 3.913 1.509 5.054 5.874
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.568 1.396 2.839 4.208 4.637 2.373 3.440 3.932 1.493 3.359 3.007
[2,] 3.206 1.602 3.496 5.246 5.744 2.931 5.353 4.445 1.743 4.996 4.093
[3,] 3.632 1.706 3.893 5.895 6.575 3.284 6.121 4.986 1.922 6.352 5.027
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.570 1.917 3.364 0.6708 3.019 1.002 2.472 2.416 2.214 4.234 1.293
[2,] 3.839 3.116 3.812 0.8043 4.160 1.164 2.852 2.955 3.212 5.329 1.640
[3,] 4.961 4.210 4.257 0.8860 4.955 1.266 3.228 3.288 3.658 5.925 1.842
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.412 3.029 3.112 1.378 3.589 2.753 4.081 3.903 4.928 3.738 2.963
[2,] 4.515 3.565 4.516 1.605 4.267 4.431 5.365 5.941 5.673 5.595 4.740
[3,] 5.073 4.001 5.162 1.829 4.639 5.011 5.973 6.821 6.153 6.763 6.181
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.067 2.443 2.699 3.178 2.111 1.990 1.679 2.565 2.750 6.950 4.767
[2,] 1.266 3.688 3.016 4.181 2.417 2.484 1.972 3.498 3.422 7.972 5.640
[3,] 1.409 5.249 3.322 5.436 2.644 3.013 2.138 4.090 3.794 8.693 6.517
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.886 1.965 2.552 2.664 2.856 2.230 0.5336 1.284 10.17 7.654
[2,] 2.451 2.985 3.258 3.185 3.383 2.564 0.6509 1.630 14.50 8.664
[3,] 3.189 3.463 3.742 3.677 3.794 2.855 0.7259 1.794 16.75 9.647
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.095 3.365 17.62 8.996 8.756 1.26 1.807 4.9
[2,] 3312.958 1715.896 8586.81 5587.072 4978.092 577.03 1089.269 2946.5
[3,] 2362.631 1515.400 10661.27 4755.676 4722.818 585.24 908.947 2591.9
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.936 4.438 3.084 3.344 3.048 3.626 9.587
[2,] 3724.622 4402.912 2486.287 2928.576 1929.401 3171.786 5663.021
[3,] 2658.629 2774.733 2221.315 2263.313 1779.478 2862.008 6468.151
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.91 6.419 4.305 9.584 4.924 10.09 3.343 16.14
[2,] 2397.05 4971.578 3946.141 7316.059 4046.087 5344.97 1949.550 12413.77
[3,] 2595.31 4163.674 3616.183 5874.537 4533.907 5108.68 2013.189 10494.64
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.244 0.6604 8.771 8.178 1.17 8.739 0.5831 8.552
[2,] 5640.285 361.3167 5026.201 6965.101 696.51 5648.560 304.9677 5883.149
[3,] 4898.779 329.9556 4831.515 5484.095 685.52 4760.673 290.0435 4868.181
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.091 1.341 8.508 8.7 7.684 4.998 3.657 4.52
[2,] 1270.112 854.218 4812.596 5791.9 5595.888 3190.952 3373.851 2764.74
[3,] 1106.009 603.671 5695.981 5147.0 4226.934 2362.048 2582.919 2081.59
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.801 3.836 1.592 5.072 5.641 3.261 1.773 3.605
[2,] 985.277 2197.154 718.040 2772.140 3259.690 2257.712 925.225 2400.362
[3,] 1035.969 1933.210 678.593 2363.476 3133.795 2006.894 689.172 2013.073
[,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.344 5.888 3.013 4.369 4.993 1.896 4.266
[2,] 3684.254 3988.621 2024.462 4824.922 2438.531 1058.761 4350.987
[3,] 3164.460 3764.222 1742.202 3491.931 2658.090 953.247 4615.001
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.818 3.264 2.435 4.272 0.8518 3.833 1.272
[2,] 3267.016 3355.299 2889.320 2109.251 521.9985 3367.852 697.704
[3,] 3433.746 3697.264 3330.596 2229.513 437.2218 3165.753 585.181
[,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 3.139 3.068 2.812 5.377 1.641 4.332 3.846
[2,] 1674.731 2002.142 2737.304 3805.528 1186.645 3478.596 2212.747
[3,] 1777.126 1696.245 2060.238 3046.827 988.053 2721.462 2136.460
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.952 1.749 4.557 3.496 5.183 4.956 6.258
[2,] 3849.089 969.218 2714.431 4085.198 4095.778 5269.635 3305.372
[3,] 2942.514 1031.477 2141.698 2753.129 3090.808 3941.951 2803.186
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.747 3.763 1.355 3.102 3.428 4.035 2.68 2.527
[2,] 4897.351 4352.688 801.607 3250.494 1583.637 3196.689 1385.65 1749.810
[3,] 4468.619 4665.927 726.737 4394.680 1637.237 4087.495 1259.70 2005.076
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.132 3.258 3.493 8.826 6.054 2.395 2.495
[2,] 1217.610 2798.328 2395.394 4594.026 3545.992 1842.498 2644.151
[3,] 972.542 2492.493 1928.128 4077.797 3840.931 2400.727 2064.356
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.241 3.382 3.627 2.832 0.6776 1.631 12.92
[2,] 2382.314 2055.169 2132.220 1487.892 438.4293 1181.431 12161.12
[3,] 2166.607 2162.106 2020.173 1478.320 378.0502 880.113 9861.13
[,98]
[1,] 9.719
[2,] 4776.734
[3,] 4991.325
[1] "--- VAR model 2017-10-01 12:31:00 completed"
[1] "Completed training sample: 2017-10-01 12:31:00 - 2017-10-01 20:30:00"
[1] "SpVAR; training sample: 2017-10-01 13:01:00 - 2017-10-01 21:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.068 1.0567 -70.97 -51.85
-2.070 -2.2095 -27.91 -34.84
-5.516 0.9109 -21.59 -34.45
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-31.87 1.96 -1.771 -1.891
-40.12 2.06 2.369 -4.695
-43.74 1.94 0.190 2.564
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.357 -4.9968 3.406 -10.42
-6.625 -10.8688 4.186 -25.57
1.187 -0.5282 8.144 -17.87
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.182 -6.758 -5.6814 3.777
-1.608 -13.072 0.3421 11.281
2.896 -12.056 -10.7455 -5.580
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.090 1.471 -23.062 7.504
4.402 -2.257 -17.301 11.414
-21.782 -10.321 -7.378 9.728
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-54.74 -1.9607 -117.88 -50.68
-41.12 -7.9183 -99.88 -46.85
-52.24 -0.3347 -70.44 -37.63
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.099 -52.70 -61.84 -9.938
-4.543 -55.67 -61.01 -8.940
-4.253 -48.45 -59.20 -8.790
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-33.18 -4.398 -34.41 -14.84
-32.76 -5.071 -41.88 -19.37
-50.32 -4.956 -32.58 -17.76
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.265 -38.86 -57.72 -55.50
-7.374 -45.38 -36.76 -40.90
-9.018 -42.44 -37.93 -50.22
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.218 -9.775 10.8326 -1.23049
5.285 -2.182 -0.2024 0.06333
2.923 1.322 1.2490 -1.15430
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.08278 0.3852 -26.76 -34.15
-0.30892 -0.6300 -23.56 -31.94
-0.31082 1.0306 -26.33 -32.06
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.1623 -1.698 -8.96 4.662
3.9537 -1.945 -13.06 9.873
-0.9567 -1.750 -17.00 6.822
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-6.883 -0.8453 -10.186 -5.859
5.743 -0.3971 -8.895 6.965
3.389 -1.9292 -4.934 -2.841
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.5474 -10.298 -5.457 -5.769
0.9698 -6.530 -20.412 -11.872
-0.8488 -6.017 -1.319 -13.871
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.541 3.1236 -0.1789 -10.377
-7.825 1.6007 2.0191 -9.813
-20.997 0.7489 0.5229 -8.123
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8759 -7.905 -1.443 -8.059
-1.4458 -6.471 -5.142 -10.552
-1.9513 -6.241 -2.521 -8.563
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-15.34 1.402 -10.17 -3.691
-10.37 -2.463 -12.71 -4.428
-13.41 1.725 -11.31 8.101
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.410 1.181 8.072 10.917
-17.716 1.227 -2.126 2.669
-2.936 -2.448 -3.988 -2.819
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.474 9.406 20.03 5.9201
4.466 8.656 7.38 23.5799
-1.470 -2.067 15.78 0.2524
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.655 0.1298 -3.17 4.432
14.223 -0.3023 10.93 -1.895
9.930 2.1182 16.30 -1.504
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.6450 7.0648 -1.546 -0.8889
-0.5539 3.8543 1.150 1.6804
16.8534 0.7673 -3.224 -0.1993
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.4012 -0.6679 -7.8716 -2.260
-11.5631 -5.8425 -3.2968 3.236
-0.6463 0.2094 -0.1572 -6.721
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.569 6.030 11.541 7.543
4.982 5.059 5.494 2.723
3.258 4.330 2.064 4.805
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.644 -1.111 -6.883 -2.147
-2.279 -5.406 -5.701 -2.013
-3.904 -4.189 -7.239 1.086
rnd_95776.volume rnd_95787.volume
-36.6163 -65.30
-0.5021 -46.34
-2.6466 -54.82
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.088 2.584 13.64 6.872 6.429 1.041 1.395 3.981 3.973 3.421 2.334
[2,] 4.115 2.949 15.60 8.249 7.759 1.157 1.685 4.593 5.035 5.024 3.202
[3,] 4.584 3.192 17.73 9.069 8.608 1.263 1.837 5.042 5.508 5.467 3.672
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.535 2.369 2.926 7.096 3.608 4.967 3.287 7.284 3.751 7.727 2.604
[2,] 3.655 2.859 3.907 8.408 4.189 6.382 4.743 9.475 5.069 8.930 3.057
[3,] 4.134 3.192 4.673 9.896 4.670 7.387 5.577 10.701 6.469 9.906 3.526
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.54 6.873 0.5047 6.446 6.238 0.8724 6.745 0.4416 6.493 1.507 1.065
[2,] 15.95 8.394 0.5956 7.707 8.482 1.0325 8.049 0.5207 8.078 1.749 1.289
[3,] 18.30 9.263 0.6610 8.664 9.602 1.1622 9.055 0.5777 9.127 1.947 1.388
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.097 6.443 5.761 3.671 2.922 3.457 1.381 2.841 1.208 3.721 4.297
[2,] 7.384 8.024 7.305 4.480 4.046 4.134 1.583 3.416 1.354 4.349 4.991
[3,] 8.810 9.178 8.172 4.921 4.643 4.517 1.798 3.734 1.480 4.816 5.662
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.461 1.356 2.771 4.184 4.590 2.298 3.410 3.894 1.498 3.333 2.999
[2,] 3.089 1.551 3.414 5.067 5.474 2.910 5.288 4.462 1.746 4.942 4.031
[3,] 3.506 1.675 3.854 5.725 6.332 3.213 5.995 4.961 1.924 6.155 4.892
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.509 1.875 3.175 0.6817 2.936 0.9769 2.375 2.395 2.189 3.915 1.261
[2,] 3.697 3.192 3.717 0.8035 4.067 1.1286 2.770 2.887 3.131 4.915 1.592
[3,] 4.806 4.156 4.179 0.8866 4.845 1.2319 3.141 3.183 3.596 5.425 1.778
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.276 2.963 2.908 1.336 3.378 2.776 3.978 3.945 5.060 3.689 2.829
[2,] 4.320 3.478 4.370 1.559 4.099 4.348 5.182 5.763 5.762 5.496 4.614
[3,] 4.945 3.916 5.075 1.754 4.491 5.001 5.822 6.607 6.296 6.778 6.115
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.068 2.412 2.614 3.148 2.061 1.997 1.536 2.490 2.695 6.626 4.722
[2,] 1.275 3.834 2.905 4.173 2.364 2.522 1.853 3.301 3.344 7.650 5.663
[3,] 1.382 5.323 3.158 5.340 2.591 3.053 2.039 3.948 3.684 8.502 6.455
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.757 1.874 2.536 2.621 2.726 2.107 0.5353 1.282 10.25 7.046
[2,] 2.322 2.899 3.212 3.121 3.301 2.445 0.6431 1.614 14.36 8.155
[3,] 3.087 3.377 3.679 3.583 3.714 2.755 0.7267 1.781 16.53 9.299
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.922 3.281 17.32 8.727 8.164 1.321 1.772 5.055
[2,] 3131.649 1636.201 8728.61 5255.748 5003.310 581.557 1087.278 2637.375
[3,] 2328.532 1407.103 9685.58 4341.829 4294.740 583.947 844.602 2397.967
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.045 4.344 2.964 3.219 3.008 3.716 9.01
[2,] 3563.486 4237.119 2525.236 3032.965 1844.189 2982.159 5196.45
[3,] 2570.785 2485.447 2070.881 2225.939 1634.733 2952.619 6009.63
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.581 6.308 4.173 9.25 4.763 9.812 3.307
[2,] 2451.413 4615.975 3938.188 6980.16 3927.583 5155.387 1844.996
[3,] 2378.520 4284.951 3379.089 5727.31 4629.049 4939.891 2023.721
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 15.92 8.728 0.6409 8.186 7.921 1.108 8.565
[2,] 11366.27 5550.783 364.3764 4865.573 6619.586 636.065 5058.839
[3,] 10316.32 4511.558 330.0227 4558.543 5185.492 614.399 4776.607
[,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 0.5608 8.246 1.914 1.352 7.743 8.182 7.316
[2,] 317.7569 5534.747 1021.820 837.439 4796.789 5507.384 5173.686
[3,] 288.2260 4892.409 986.307 592.712 5535.966 5133.351 4218.645
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.662 3.71 4.389 1.754 3.608 1.534 4.725 5.457
[2,] 2957.999 3223.85 2612.687 892.448 2183.929 705.481 2593.165 2924.055
[3,] 2345.129 2624.38 2096.017 981.341 1735.785 687.552 2382.540 3080.362
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.125 1.722 3.519 5.312 5.829 2.918 4.33 4.945
[2,] 2149.517 867.903 2296.210 3292.425 3434.714 2057.184 4656.03 2509.384
[3,] 1910.614 726.581 2059.694 3070.057 3666.767 1567.850 3253.14 2495.894
[,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 1.902 4.233 3.808 3.185 2.381 4.031 0.8657
[2,] 1032.471 4203.264 3101.649 3127.698 2975.297 2227.134 489.9168
[3,] 930.763 4225.506 3192.442 3536.948 3065.067 2199.121 431.4314
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.728 1.24 3.015 3.041 2.78 4.971 1.601 4.16
[2,] 3241.714 651.15 1643.189 1855.826 2578.07 3423.462 1119.539 3243.28
[3,] 3032.636 568.62 1705.669 1545.105 2038.00 2643.310 911.717 2771.23
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.763 3.693 1.696 4.29 3.525 5.051 5.01 6.426
[2,] 2096.856 3757.376 927.243 2673.84 3853.970 3826.573 4839.15 3173.531
[3,] 2073.782 2972.123 924.292 2115.66 2845.812 3056.522 3720.46 2923.135
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.684 3.592 1.357 3.063 3.319 3.998 2.617
[2,] 4692.629 4199.083 800.782 3433.139 1460.757 3154.331 1333.899
[3,] 4570.130 4621.579 615.204 4252.167 1427.380 3838.955 1222.881
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.535 1.951 3.162 3.422 8.414 5.996 2.231
[2,] 1775.094 1192.951 2495.589 2281.577 4403.674 3600.632 1747.786
[3,] 1981.884 980.917 2494.917 1779.054 4273.650 3567.648 2343.951
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.38 3.22 3.328 3.462 2.675 0.6798 1.627 13.02
[2,] 2547.58 2270.58 1953.259 2143.456 1429.117 410.5748 1129.905 11578.87
[3,] 1996.08 2065.74 2025.965 1960.560 1463.553 389.6593 867.911 9429.32
[,98]
[1,] 8.947
[2,] 4730.133
[3,] 5145.946
[1] "--- VAR model 2017-10-01 13:01:00 completed"
[1] "Completed training sample: 2017-10-01 13:01:00 - 2017-10-01 21:00:00"
[1] "SpVAR; training sample: 2017-10-01 13:31:00 - 2017-10-01 21:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.874 1.490 -56.78 -51.93
-1.497 7.575 -57.64 -42.76
6.683 1.175 -37.53 -43.56
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-49.12 1.7145 -0.6294 -1.484
-45.68 -1.3432 -1.0630 -1.845
-49.16 -0.5387 1.1346 -4.615
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.898 -11.68 4.368 -17.82
-6.518 -2.73 2.601 -13.32
-8.551 -3.98 -1.250 -10.25
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.546 -12.829 -10.27 -2.393
-4.258 -13.084 -10.40 -5.217
-1.886 -9.497 3.64 1.924
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.291 -16.16 -2.844 13.276
-14.333 -10.04 -6.315 -2.010
-13.993 -10.89 -20.431 2.307
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-56.36 -6.1195 -101.79 -41.91
-50.10 -2.2986 -71.91 -31.57
-41.04 0.1254 -123.08 -43.27
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.933 -54.53 -66.53 -9.067
-4.225 -54.08 -46.11 -8.237
-3.657 -53.37 -31.39 -7.758
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-43.69 -3.862 -35.04 -16.37
-48.32 -4.371 -49.41 -18.39
-44.97 -4.471 -42.79 -15.95
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.059 -48.71 -34.60 -39.06
-7.728 -55.30 -47.03 -33.16
-9.428 -50.90 -50.54 -43.88
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4215 -3.294 -2.9114 0.5662
-2.2005 -9.147 -3.8707 -3.9234
-3.0959 -2.840 -0.4477 0.2669
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.7312 -1.9871 -30.79 -30.06
3.3992 -0.2757 -21.25 -26.24
0.8674 2.1135 -27.04 -21.26
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.159 -2.683 -30.804 3.896
2.297 -0.947 -8.278 12.386
2.325 -3.207 -22.207 2.184
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.516 -5.748 -21.603 -0.04718
5.693 -4.238 -19.610 1.94205
5.609 1.428 -3.996 -0.77837
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4628 -8.627 -11.56 -1.171
-2.6047 -15.986 -10.71 -7.429
-0.7520 -18.206 -13.48 -14.599
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.168 -2.488 0.06139 0.1058
-9.614 3.971 0.90726 -7.3380
-10.511 -6.110 0.31866 -1.2531
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.2697 1.868 -3.668 -9.571
0.1477 -6.630 6.466 -5.272
-0.1539 -6.624 0.721 -2.938
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.274 -0.8445 -9.521 -5.448
-8.019 1.2533 -3.873 1.018
-11.580 1.0722 -6.281 3.245
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.246 0.6489 -8.027 -1.2624
-2.917 -1.4266 4.645 -4.8842
-5.959 -0.6282 3.726 0.6716
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.389 -6.9656 12.06 -4.819
6.252 0.1635 17.54 12.872
7.215 9.2287 15.23 9.441
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.738 -1.548880 14.684 -2.337
-4.743 0.021597 -4.507 -2.502
10.665 -0.002089 9.892 1.097
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.093 -2.6402 -0.2666 0.8581
3.450 -2.1834 -7.6378 1.1464
-2.344 0.4535 -2.0256 -2.2786
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.6531 -3.301 1.405 -12.362
0.7781 4.710 8.579 -8.205
-1.3078 0.771 -8.508 -10.075
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.8773 8.765 3.1708 0.8931
2.4227 -1.428 -0.5814 -4.2708
0.6149 -3.984 -3.8459 -1.7230
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.063 -2.2736 -7.317 -0.5733
0.233 2.0735 -6.224 -2.4783
-2.450 -0.8007 -6.649 -2.4778
rnd_95776.volume rnd_95787.volume
-52.284 -45.70
-39.329 -35.17
7.713 -39.33
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.149 2.580 13.70 6.954 6.158 1.026 1.355 3.981 3.878 3.288 2.304
[2,] 4.107 2.921 15.41 8.251 7.412 1.154 1.634 4.536 4.865 4.903 3.234
[3,] 4.594 3.166 17.30 9.018 8.182 1.271 1.780 4.986 5.385 5.364 3.684
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.631 2.338 2.779 6.546 3.526 4.724 3.147 7.294 3.784 7.516 2.468
[2,] 3.661 2.834 3.899 7.797 4.115 6.229 4.671 9.410 5.085 8.708 2.899
[3,] 4.097 3.188 4.606 9.350 4.558 7.201 5.527 10.610 6.377 9.532 3.368
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.07 6.674 0.5061 6.356 6.104 0.8556 6.488 0.4368 6.146 1.448 1.015
[2,] 15.81 8.385 0.5942 7.597 8.195 1.0073 7.751 0.4987 7.867 1.682 1.214
[3,] 18.13 9.204 0.6582 8.649 9.463 1.1377 8.615 0.5556 8.943 1.887 1.332
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.820 6.028 5.624 3.406 2.811 3.448 1.368 2.685 1.182 3.669 4.207
[2,] 7.105 7.631 6.875 4.161 3.826 4.051 1.564 3.308 1.343 4.279 4.843
[3,] 8.363 8.781 7.858 4.561 4.429 4.406 1.785 3.631 1.461 4.741 5.456
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.507 1.308 2.542 4.129 4.524 2.286 3.404 3.858 1.458 3.265 2.862
[2,] 3.046 1.485 3.308 4.966 5.489 2.996 5.182 4.384 1.664 4.841 3.964
[3,] 3.432 1.598 3.765 5.638 6.296 3.242 5.843 4.897 1.827 6.029 4.747
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.413 1.784 3.111 0.6747 2.853 0.9355 2.259 2.277 2.166 3.890 1.207
[2,] 3.589 3.117 3.573 0.7851 3.934 1.0825 2.668 2.767 3.156 4.888 1.575
[3,] 4.714 4.159 4.098 0.8661 4.732 1.1933 3.050 3.019 3.602 5.400 1.761
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.315 2.831 2.852 1.355 3.231 2.779 3.944 3.726 4.862 3.737 2.596
[2,] 4.379 3.491 4.218 1.567 3.917 4.294 5.058 5.685 5.649 5.358 4.413
[3,] 4.946 3.899 5.035 1.759 4.276 4.901 5.658 6.526 6.275 6.705 5.870
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.079 2.414 2.491 2.978 2.007 1.934 1.437 2.295 2.651 6.232 4.976
[2,] 1.285 3.956 2.878 4.063 2.266 2.425 1.772 3.196 3.283 7.436 5.803
[3,] 1.400 5.219 3.134 5.266 2.462 2.950 1.949 3.794 3.679 8.188 6.537
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.554 1.659 2.407 2.494 2.621 2.008 0.4974 1.206 10.24 7.109
[2,] 2.154 2.781 3.076 3.040 3.250 2.350 0.6191 1.510 14.19 8.245
[3,] 2.992 3.353 3.552 3.479 3.610 2.614 0.7002 1.700 16.29 9.229
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.999 3.276 17.4 8.83 7.819 1.303 1.721 5.056
[2,] 3152.470 1639.823 8447.7 5309.93 4932.899 631.142 1092.146 2598.727
[3,] 2461.911 1459.702 9379.8 4353.96 4144.300 638.470 844.080 2476.059
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.924 4.175 2.926 3.342 2.969 3.53 8.312
[2,] 3513.825 4350.251 2714.306 3042.914 1915.937 3269.96 5065.114
[3,] 2761.204 2600.994 2108.716 2199.588 1744.832 2932.67 6172.372
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.478 5.999 3.996 9.262 4.804 9.544 3.133
[2,] 2536.069 4855.721 4127.492 7108.994 4062.717 5259.827 1818.699
[3,] 2345.543 4319.774 3533.729 5861.816 4601.920 4636.639 2051.015
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 15.33 8.474 0.6426 8.071 7.751 1.087 8.239
[2,] 12202.28 6069.797 372.3610 4977.251 6538.277 635.560 5072.250
[3,] 10612.93 4539.788 338.6342 4942.312 5658.643 632.430 4495.115
[,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 0.5546 7.805 1.838 1.288 7.391 7.655 7.142
[2,] 287.9063 5873.100 1023.945 797.320 4872.255 5595.096 4728.054
[3,] 292.7107 5084.683 1022.912 653.802 5275.059 5194.740 4549.866
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.325 3.57 4.378 1.737 3.409 1.501 4.658 5.342
[2,] 2858.470 3103.51 2543.778 906.340 2310.168 763.332 2633.224 2868.834
[3,] 2234.132 2668.32 2070.442 1029.395 1792.094 688.109 2443.315 3006.214
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.184 1.661 3.228 5.243 5.745 2.903 4.322
[2,] 2068.867 840.768 2531.019 3300.937 3716.250 2316.412 4672.884
[3,] 1891.275 708.197 2149.643 3192.102 3688.040 1480.809 3228.400
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.899 1.851 4.146 3.635 3.064 2.266 3.951
[2,] 2491.656 957.834 4274.690 3279.233 3176.841 3056.756 2101.183
[3,] 2607.579 903.611 4297.722 3124.091 3654.437 3292.660 2399.323
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.8568 3.622 1.188 2.868 2.891 2.75 4.939 1.532
[2,] 479.9965 3239.313 651.362 1697.852 1881.122 2745.89 3539.608 1211.303
[3,] 437.3949 3144.917 600.417 1767.571 1442.473 2075.36 2745.432 941.608
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.21 3.595 3.621 1.72 4.103 3.529 5.008 4.732
[2,] 3420.80 2441.317 3716.898 941.12 2647.202 3914.805 3786.508 5133.928
[3,] 2748.57 2078.322 3286.265 955.65 2051.915 2825.402 3034.106 3831.730
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.174 4.745 3.296 1.37 3.065 3.164 3.782 2.549
[2,] 3438.937 4592.940 4267.550 833.54 3748.317 1722.437 3305.373 1258.839
[3,] 3268.181 4819.448 4628.799 665.04 4070.075 1483.159 4006.909 1149.689
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.455 1.824 2.915 3.367 7.914 6.318 1.974
[2,] 1750.446 1240.457 2658.699 2315.707 4849.729 3571.989 1783.252
[3,] 2007.675 971.471 2445.812 1986.106 4100.035 3597.957 2482.986
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.107 3.057 3.168 3.329 2.549 0.6316 1.531 13
[2,] 2668.456 2289.909 2077.902 2297.495 1460.986 440.8314 1088.110 11744
[3,] 2241.168 2123.428 2023.689 1878.130 1368.772 391.3112 933.397 9582
[,98]
[1,] 9.027
[2,] 4994.723
[3,] 4959.294
[1] "--- VAR model 2017-10-01 13:31:00 completed"
[1] "Completed training sample: 2017-10-01 13:31:00 - 2017-10-01 21:30:00"
[1] "SpVAR; training sample: 2017-10-01 14:01:00 - 2017-10-01 22:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6524 -3.932 -46.44 -38.17
-4.4601 -2.897 -24.77 -32.47
-3.1401 -1.824 -44.23 -29.11
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-46.37 -1.1220 5.3236 -5.815
-42.08 0.7794 0.5302 -3.864
-47.62 -1.0493 1.6151 -4.249
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.572 -17.751 -3.755 -20.42
-4.653 -2.889 4.228 -15.76
-7.313 -3.770 4.065 -14.60
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.06911 -4.93 -6.299 -1.8867
-1.36920 -18.69 -4.463 7.6628
3.43043 -11.87 -10.526 0.4973
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.442 -15.22630 7.178 17.441
-3.746 -0.02374 -9.469 -2.629
-6.843 -5.77820 -14.047 3.035
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-44.57 -0.6368 -68.4 -27.30
-34.81 -1.9737 -93.5 -50.06
-53.46 -0.7709 -106.0 -39.24
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.739 -33.50 -50.92 -5.472
-3.174 -38.46 -47.98 -6.922
-3.621 -29.75 -32.94 -6.585
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-38.42 -3.187 -55.78 -15.24
-36.80 -3.844 -50.03 -14.46
-32.15 -3.806 -48.62 -13.29
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.477 -42.58 -45.62 -39.68
-8.922 -45.71 -48.99 -53.93
-6.084 -35.31 -41.90 -49.13
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.3637 -5.6444 4.10826 1.82881
0.1444 -4.9590 2.20093 -1.08628
2.5332 -0.4317 -0.01745 0.05897
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.036 -2.2391 -20.62 -28.33
4.327 -0.5870 -21.18 -35.49
3.019 0.5659 -24.50 -27.79
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.073 0.4496 -15.181 13.8362
7.543 -0.6645 -7.711 -1.6159
2.073 -0.8580 -15.190 -0.7089
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.8358 -7.140 -16.6446 -5.443
8.2651 -4.628 -4.4249 -1.774
-0.2042 -1.779 0.0572 -1.923
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.2911 -6.0156 -11.010 -10.387
-0.3039 -21.5000 -10.394 -6.422
-2.4082 0.9264 -7.032 -12.113
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.073 0.7347 -1.0228 -3.247
-9.496 4.1435 0.8096 -14.814
-11.628 0.6614 0.5098 -4.254
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.02348 -0.2358 -0.7302 -8.293
1.11058 -3.8636 0.6406 -5.751
0.07565 -0.1585 -4.7855 -3.900
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.125 -1.610 2.394 0.3107
-10.235 1.131 -11.721 1.3755
-8.416 -3.073 -1.356 0.4420
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.704 -0.2752 -1.947 1.014
-6.466 -0.3549 4.385 -4.778
-3.575 -0.4002 -5.854 -3.964
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.514 -2.590 18.60 12.070
-6.542 -9.326 14.60 -2.368
-7.766 -11.125 11.78 -2.337
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.475 -0.4231 3.409 -2.1965
6.922 -0.0431 9.348 -1.2087
2.022 0.1223 -2.101 0.5336
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.271 1.8808 1.581 -2.139
2.232 -0.6374 -3.451 1.581
3.635 5.1419 -2.768 -0.959
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.042 -3.3223 22.104 -8.452
-1.867 -0.9809 -10.270 -14.989
-2.704 -5.9269 4.464 -3.288
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.3349 -0.3298 1.8755 4.673
-0.5259 0.3008 5.6978 2.257
4.5011 3.5823 -0.3437 -2.152
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.4362 -4.8246 -4.940 -2.7339
-0.9646 -0.5214 -4.556 0.4277
-3.9077 -2.7165 -6.219 -1.4117
rnd_95776.volume rnd_95787.volume
-35.8097 -38.18
-0.3458 -30.56
-11.2704 -37.08
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.795 2.549 13.08 6.564 5.597 1.036 1.339 3.760 3.944 3.225 2.297
[2,] 3.963 2.851 14.60 7.813 6.880 1.163 1.603 4.382 4.903 4.847 3.243
[3,] 4.514 3.068 16.56 8.590 7.670 1.286 1.761 4.811 5.379 5.282 3.717
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.586 2.274 2.732 6.349 3.384 4.768 3.145 6.737 3.788 7.121 2.363
[2,] 3.607 2.701 3.830 7.685 3.988 6.275 4.663 8.916 5.182 8.098 2.805
[3,] 4.095 2.997 4.491 9.138 4.412 7.197 5.584 10.064 6.552 9.000 3.264
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.52 6.227 0.4700 5.987 5.784 0.8614 6.090 0.4307 5.736 1.412 0.9171
[2,] 15.13 7.964 0.5453 7.024 7.928 0.9816 7.503 0.4936 7.345 1.625 1.1269
[3,] 17.17 8.801 0.6111 8.198 9.261 1.1128 8.267 0.5469 8.348 1.789 1.2362
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.657 5.560 5.365 3.284 2.755 3.189 1.313 2.509 1.180 3.449 3.899
[2,] 6.916 7.198 6.505 4.020 3.693 3.906 1.521 3.172 1.346 4.025 4.532
[3,] 8.113 8.351 7.438 4.428 4.245 4.299 1.740 3.509 1.484 4.476 5.112
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.398 1.226 2.498 3.957 4.393 2.119 3.268 3.841 1.419 3.155 2.737
[2,] 3.008 1.427 3.103 4.736 5.197 2.804 5.074 4.391 1.636 4.509 3.793
[3,] 3.424 1.557 3.590 5.364 6.116 3.146 5.713 4.923 1.813 5.649 4.641
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.327 1.631 2.950 0.6305 2.765 0.9551 2.189 2.132 2.111 3.776 1.150
[2,] 3.456 3.011 3.447 0.7565 3.802 1.1023 2.630 2.621 3.110 4.811 1.515
[3,] 4.589 3.973 4.019 0.8324 4.599 1.2075 2.973 2.897 3.487 5.235 1.683
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.126 2.751 2.775 1.305 3.242 2.696 3.720 3.534 4.944 3.709 2.461
[2,] 4.069 3.336 4.058 1.484 3.839 4.341 4.854 5.434 5.655 5.384 4.408
[3,] 4.571 3.732 4.833 1.674 4.211 4.889 5.461 6.347 6.282 6.701 5.915
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.038 2.360 2.312 2.931 1.955 1.870 1.397 2.237 2.601 5.935 4.605
[2,] 1.215 3.939 2.698 3.954 2.267 2.372 1.690 3.202 3.197 7.133 5.471
[3,] 1.350 5.199 2.985 5.213 2.451 2.850 1.850 3.781 3.554 7.873 6.204
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.348 1.493 2.336 2.388 2.512 1.844 0.5079 1.194 9.982 6.637
[2,] 1.913 2.607 2.937 2.878 3.160 2.197 0.6253 1.470 13.684 7.748
[3,] 2.758 3.143 3.410 3.338 3.511 2.445 0.7002 1.635 15.965 8.813
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.549 3.237 16.61 8.335 7.108 1.315 1.701 4.775
[2,] 3391.857 1543.125 7824.61 5117.509 4829.076 639.456 1064.252 2717.770
[3,] 2610.977 1366.649 9431.05 4309.494 4095.195 660.470 878.576 2395.874
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.008 4.095 2.917 3.283 2.887 3.47 8.062
[2,] 3517.804 4368.694 2764.510 3035.943 1760.645 3240.98 5228.866
[3,] 2671.190 2535.565 2192.277 2342.359 1567.305 2830.59 5967.770
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.297 6.054 3.993 8.555 4.81 9.043 3.001
[2,] 2547.947 4925.812 4157.245 7052.008 4269.54 4654.514 1825.247
[3,] 2276.545 4255.148 3709.279 5633.832 4840.38 4741.833 2015.162
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 14.63 7.908 0.5968 7.602 7.345 1.094 7.733
[2,] 11840.33 5994.067 333.8822 4435.251 6545.284 568.320 5292.522
[3,] 9806.01 4523.064 332.9947 5104.020 5780.448 632.852 4190.495
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.5469 7.284 1.794 1.165 7.183 7.061 6.812 4.17
[2,] 291.1586 5539.056 969.633 790.587 4804.919 5518.949 4441.344 2799.29
[3,] 284.3404 4790.681 905.088 613.585 5120.463 5110.726 4355.693 2243.07
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 3.499 4.05 1.668 3.186 1.499 4.38 4.952 3.045
[2,] 2968.083 2723.43 927.170 2342.735 780.956 2504.06 2787.090 2191.832
[3,] 2528.898 2166.23 1018.803 1810.977 755.953 2365.59 2855.519 1976.147
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.557 3.172 5.025 5.579 2.691 4.149 4.877 1.802
[2,] 880.760 2222.635 3141.694 3352.043 2217.575 4687.020 2569.056 983.628
[3,] 751.566 2180.646 3039.867 3891.914 1720.907 3169.251 2687.606 942.513
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.006 3.476 2.955 2.071 3.746 0.8007 3.511
[2,] 3890.140 3169.579 3084.660 3055.180 2152.898 504.7332 3150.369
[3,] 4107.793 3228.565 3645.018 3130.689 2496.122 419.3225 3124.464
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.213 2.78 2.707 2.681 4.795 1.46 3.97 3.493
[2,] 664.370 1759.98 1840.781 2757.131 3598.486 1191.07 3144.36 2278.641
[3,] 595.081 1674.75 1489.343 1903.672 2491.704 883.71 2513.68 2021.027
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.524 1.657 4.117 3.423 4.724 4.488 6.278 4.71
[2,] 3574.594 854.798 2482.656 4108.745 3764.109 4983.438 3314.526 4711.49
[3,] 3168.421 934.413 2089.745 2714.416 3021.023 3959.364 3302.672 4815.75
[,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 3.124 1.318 2.996 2.936 3.722 2.482 2.375
[2,] 4415.585 761.641 3808.544 1679.439 3204.976 1386.323 1761.412
[3,] 4762.880 711.590 4096.470 1541.148 4101.724 1124.027 1907.893
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.774 2.841 3.303 7.537 5.847 1.712 1.896
[2,] 1148.142 2765.940 2243.258 4776.267 3567.222 1638.267 2580.194
[3,] 907.419 2427.635 1874.126 4023.235 3530.633 2398.564 2119.386
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.966 3.032 3.189 2.342 0.645 1.516 12.68
[2,] 2150.968 1939.048 2314.664 1440.782 440.363 1036.287 11300.76
[3,] 2090.246 2041.009 1847.433 1296.506 380.509 864.264 9928.97
[,98]
[1,] 8.428
[2,] 4827.419
[3,] 5068.614
[1] "--- VAR model 2017-10-01 14:01:00 completed"
[1] "Completed training sample: 2017-10-01 14:01:00 - 2017-10-01 22:00:00"
[1] "SpVAR; training sample: 2017-10-01 14:31:00 - 2017-10-01 22:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-6.312 1.795 -52.45 -34.53
1.851 -1.486 -51.87 -25.51
-2.807 -2.384 -22.41 -35.92
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.85 0.1731 3.1810 -10.915
-37.87 -0.2423 3.0169 -1.481
-32.07 1.7055 0.7375 -1.809
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.5933 -1.882 3.0082 -7.309
-2.7400 -8.058 0.3113 -16.834
-0.1658 1.257 2.9842 -7.941
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.6716 -4.777 2.870 1.6794
0.7418 -10.420 -8.264 8.5096
-1.9112 -9.680 -5.861 -0.5038
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.138 -10.544 -10.875 -0.2285
5.622 3.407 -2.027 3.2968
-12.075 1.548 4.109 12.0016
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-62.19 0.6077 -96.27 -26.16
-33.87 -0.5996 -118.70 -35.88
-30.76 -0.6071 -73.61 -32.05
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.896 -41.46 -39.31 -7.307
-2.338 -39.57 -30.84 -3.408
-2.393 -45.73 -39.04 -5.855
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-38.44 -3.008 -39.60 -9.711
-37.04 -3.212 -30.21 -11.990
-39.86 -2.886 -20.52 -11.552
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.803 -21.65 -38.56 -24.49
-6.137 -30.20 -31.44 -24.05
-5.956 -27.73 -31.97 -35.60
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2841 -7.672 -3.6100 -2.1990
2.8646 -1.856 -3.5718 0.3898
3.5095 -3.584 0.7879 1.2644
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.098 0.5988 -21.49 -17.78
-5.581 -1.7117 -13.17 -24.13
1.971 1.2122 -24.66 -16.16
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.0018 -1.069 -10.50 -1.027
1.4242 -3.397 -13.05 5.418
-0.1925 -2.520 -12.25 -6.202
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.563 -1.523 -6.471 -4.709
3.514 -8.265 -10.091 3.057
6.840 -2.372 -2.043 4.010
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8752 -10.286 -10.399 -6.550
-0.2545 -4.365 -4.058 -5.520
1.9189 -11.639 -4.998 -6.213
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.838 -0.6809 -1.9594 -4.131
-8.169 -0.5043 0.5448 -7.105
-2.260 1.1087 0.9748 -6.303
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6442 -6.524 -0.6526 -1.883
-0.8350 -2.862 -2.8460 -5.613
-0.9046 -4.581 -1.6422 -3.766
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.7256 -0.6624 0.3925 0.07186
-9.4788 -0.1717 -2.2719 -0.64887
-9.1122 -3.1828 -5.7147 3.84567
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.8267 -0.09982 -2.2232 -5.7835
-0.6966 0.31939 -0.6554 0.7753
-4.3817 0.17892 -5.7990 -1.6857
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7281 -0.1869 8.801 -2.108
0.9570 -6.9577 -1.031 1.614
-1.1462 -2.5394 3.820 -1.920
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.130 -0.6938 5.031 1.4587
6.947 -1.5197 6.461 0.4493
-4.035 0.1104 2.639 -3.1388
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
20.6853 -2.264 -4.913 -0.3163
0.8435 2.246 -1.315 -0.5715
4.9608 1.529 -3.675 1.6785
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.18212 4.526 9.622 2.097
-5.04929 -0.580 -8.059 -2.677
0.06145 -2.484 -10.066 -4.409
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3005 1.5307 4.81761 0.01405
6.3283 -0.4103 -3.93346 -5.76328
-1.8388 -3.3833 -0.06375 -0.18362
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.7313 -0.2741 -5.632 -0.2637
-0.6225 -2.1274 -4.174 -2.5283
-6.3664 -2.6491 -4.810 -0.8620
rnd_95776.volume rnd_95787.volume
-30.297 -30.29
-13.033 -31.59
-9.992 -39.16
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.916 2.389 12.19 6.243 5.431 1.026 1.372 3.633 3.756 3.098 2.153
[2,] 3.924 2.699 13.84 7.540 6.591 1.174 1.614 4.165 4.608 4.661 3.197
[3,] 4.446 2.926 16.13 8.416 7.333 1.293 1.762 4.530 5.065 5.061 3.614
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.360 2.350 2.653 5.768 2.737 3.740 3.060 5.799 3.861 7.868 1.876
[2,] 3.315 2.729 3.725 6.962 3.352 5.048 4.517 7.445 5.193 8.866 2.172
[3,] 3.905 3.010 4.398 8.410 3.717 5.855 5.473 8.432 6.406 9.691 2.548
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.80 6.045 0.4499 5.819 5.866 0.8278 5.852 0.4318 5.377 1.357 0.8382
[2,] 14.82 7.744 0.5352 6.834 7.631 0.9573 7.268 0.4941 7.007 1.545 1.0477
[3,] 16.90 8.527 0.5943 7.938 8.837 1.0819 8.021 0.5445 7.953 1.724 1.1450
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.238 5.475 4.957 3.182 2.659 3.068 1.244 2.510 1.106 3.272 3.680
[2,] 6.577 7.071 6.144 3.938 3.597 3.657 1.460 3.055 1.274 3.819 4.234
[3,] 7.768 8.071 7.054 4.370 4.217 4.085 1.673 3.347 1.423 4.257 4.774
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.260 1.211 2.375 3.850 4.198 2.097 3.244 3.56 1.351 2.858 2.725
[2,] 2.919 1.421 2.983 4.562 4.961 2.731 4.845 4.19 1.567 4.184 3.759
[3,] 3.346 1.551 3.468 5.118 5.744 3.081 5.640 4.65 1.762 5.454 4.457
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.328 1.688 2.911 0.6100 2.657 0.9164 2.134 2.022 2.069 3.541 1.143
[2,] 3.413 3.003 3.413 0.7687 3.746 1.0522 2.601 2.527 3.020 4.726 1.506
[3,] 4.421 3.910 3.970 0.8519 4.583 1.1636 2.992 2.781 3.444 5.200 1.645
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.957 2.598 2.715 1.274 3.223 2.667 3.655 3.358 4.820 3.707 2.360
[2,] 3.811 3.110 3.958 1.466 3.841 4.245 4.762 5.359 5.457 5.242 4.262
[3,] 4.393 3.547 4.763 1.666 4.221 4.743 5.337 6.176 6.177 6.601 5.917
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9929 2.251 2.238 2.845 1.925 1.837 1.406 2.086 2.547 5.690 4.473
[2,] 1.1784 3.983 2.633 3.998 2.239 2.279 1.666 3.013 3.117 6.848 5.307
[3,] 1.3312 5.126 2.933 5.198 2.430 2.773 1.808 3.573 3.455 7.472 5.994
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.334 1.472 2.212 2.384 2.370 1.790 0.4974 1.135 9.551 6.697
[2,] 1.905 2.472 2.786 2.842 2.996 2.115 0.6034 1.383 13.706 7.793
[3,] 2.655 2.998 3.309 3.273 3.375 2.358 0.6695 1.539 15.760 8.849
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.703 3.034 15.48 7.928 6.897 1.303 1.743 4.614
[2,] 3076.022 1471.265 7670.76 4953.467 4374.063 669.377 994.996 2384.998
[3,] 2448.811 1323.011 9715.49 4379.250 3766.286 633.424 828.263 2089.229
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.77 3.934 2.735 2.997 2.984 3.369 7.325
[2,] 3126.72 4079.864 2767.724 2728.299 1626.160 3063.832 4568.220
[3,] 2464.24 2311.307 1976.128 2417.835 1486.200 2738.151 5527.354
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.475 4.749 3.886 7.364 4.902 9.992 2.383
[2,] 2266.467 3972.186 3891.687 5469.809 4068.880 4786.802 1282.484
[3,] 1883.781 3476.254 3621.408 4636.594 4394.478 4585.686 1560.581
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 14.99 7.677 0.5712 7.389 7.449 1.051 7.431
[2,] 10503.01 5669.348 339.7825 4198.763 5717.968 563.458 5049.316
[3,] 9525.06 4181.785 302.4958 4731.909 5221.948 590.454 3975.721
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.5483 6.828 1.724 1.064 6.651 6.952 6.294 4.041
[2,] 281.4829 5264.147 865.636 736.320 4660.041 5243.504 4252.709 2717.218
[3,] 268.0230 4406.319 896.030 541.153 4842.189 4558.629 4059.927 2219.445
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 3.376 3.896 1.58 3.188 1.404 4.155 4.673 2.869
[2,] 2838.862 2332.455 895.21 2040.412 739.718 2307.433 2452.813 2164.684
[3,] 2578.633 2131.823 955.53 1600.452 742.591 2203.010 2585.236 1915.944
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.538 3.015 4.89 5.331 2.662 4.119 4.52 1.715
[2,] 871.688 2115.299 2865.28 3096.077 2050.560 4216.812 2589.81 932.027
[3,] 725.897 2071.703 2717.75 3391.604 1671.024 3381.249 2362.36 942.750
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.629 3.461 2.957 2.144 3.696 0.7746 3.373
[2,] 3579.494 3033.330 2923.156 2909.827 2087.400 547.9923 3094.830
[3,] 4099.015 2805.249 3292.154 2933.680 2377.059 430.1606 3092.003
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.164 2.71 2.568 2.627 4.497 1.452 3.755 3.299
[2,] 605.775 1743.19 1775.142 2577.254 3666.622 1147.466 2817.252 2002.859
[3,] 582.141 1731.80 1361.658 1940.621 2540.749 775.533 2558.694 1999.115
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.448 1.618 4.093 3.387 4.642 4.264 6.121
[2,] 3373.930 849.040 2447.343 3869.875 3575.259 4892.647 2996.372
[3,] 3104.045 928.454 2052.133 2477.694 2823.153 3596.605 3390.271
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.707 2.997 1.261 2.858 2.842 3.613 2.445
[2,] 4342.099 4158.353 743.626 3849.688 1625.165 3290.494 1338.267
[3,] 4699.169 4808.471 725.444 3779.895 1513.849 3890.927 1106.237
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.332 1.785 2.649 3.234 7.225 5.68 1.694 1.87
[2,] 1580.016 1047.109 2547.645 2104.369 4465.269 3346.22 1592.813 2326.71
[3,] 1851.202 821.944 2249.191 1746.553 3500.577 3264.12 2165.932 1986.61
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.809 3.027 3.01 2.273 0.6317 1.442 12.13 8.504
[2,] 1984.319 1811.669 2148.10 1320.376 400.1739 925.456 11517.65 4668.700
[3,] 2091.024 1902.580 1819.59 1220.967 339.7103 792.010 9112.75 4911.188
[1] "--- VAR model 2017-10-01 14:31:00 completed"
[1] "Completed training sample: 2017-10-01 14:31:00 - 2017-10-01 22:30:00"
[1] "SpVAR; training sample: 2017-10-01 15:01:00 - 2017-10-01 23:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.213 -3.1067 -16.741 -36.58
1.452 -2.7609 -10.681 -26.92
-6.608 -0.5307 -7.034 -27.46
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.26 0.07676 -0.01154 1.940
-29.45 0.35137 1.82039 -2.300
-21.93 0.79268 -1.20116 -4.122
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.55018 -11.6119 -1.658 -13.160
0.00962 -0.1032 -0.705 -8.399
-3.05891 -2.0711 1.269 -4.926
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.2419 -1.792 0.4939 1.7911
-0.2473 -8.560 -7.5430 3.5676
1.5797 -2.578 -1.7277 0.1669
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.379 2.711 -5.660 -2.187
-1.832 -1.476 3.697 7.674
-6.678 -1.168 -3.171 9.443
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-30.23 -0.8137 -57.71 -29.31
-26.66 -3.4201 -76.34 -35.81
-27.09 -1.9806 -49.70 -27.03
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.844 -24.67 -32.19 -3.974
-1.679 -16.79 -35.50 -5.008
-1.947 -30.86 -38.51 -4.091
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-32.73 -2.590 -22.24 -7.799
-22.72 -2.357 -33.80 -8.783
-25.11 -2.260 -26.38 -8.711
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.551 -34.23 -24.28 -30.42
-6.015 -27.41 -25.08 -24.45
-4.786 -17.27 -22.57 -31.83
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.1973 -5.668 -2.649 -2.007
-0.8686 -1.321 -6.125 -2.598
-1.0889 -3.099 -1.403 1.818
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.7097 -0.1636 -14.49 -12.85
-2.5737 -0.5227 -13.13 -16.97
-4.3401 -0.1081 -16.19 -10.67
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.369 -1.7865 -10.921 -1.168
2.079 -0.4583 -9.438 3.291
1.020 -0.4033 -10.279 1.403
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.429 -0.3148 -2.555 4.244
-1.155 -3.4917 -9.464 -2.285
2.510 -2.5178 -10.730 2.377
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5997 4.304 0.9706 -2.928
-0.8738 -5.467 6.1826 4.407
-0.6511 -6.999 -8.9128 -3.679
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.0090 1.5751 -0.8778 -3.810
-0.8254 0.1785 0.6981 -1.659
5.3438 3.1456 1.2967 2.304
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5337 -2.771 0.7695 -1.9183
-0.6715 -1.829 1.8078 0.6642
0.3912 2.335 -3.7015 1.1794
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.5811 0.3229 -3.026 -0.356
2.1166 -1.2006 2.916 1.378
-3.7366 0.7040 2.778 -1.419
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.4056 0.2270 1.0511 -2.021
2.7883 -0.1764 -0.4532 3.009
-0.4378 1.0075 -4.7725 -3.741
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.755 -3.267 6.202 4.642
-1.619 3.823 4.712 -1.373
-3.591 -7.986 3.998 3.925
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.1738 1.3461 3.4943 1.775
0.3691 -0.9737 2.5348 -2.277
7.0478 0.7318 0.8076 -1.315
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.245 1.2768 -4.9126 -0.5527
3.138 0.3654 -0.9538 -1.0130
2.109 -0.1682 -2.3498 -1.2309
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.658 -7.35967 -1.784 -4.563
-7.940 -1.66750 9.213 8.939
2.302 0.07811 -2.678 -6.142
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.276 4.5719 4.23856 2.7101
1.878 2.7512 0.01692 -0.1287
2.767 0.8937 3.08328 4.8577
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.05102 2.2482 -3.631 -1.378
-2.15651 0.2673 -2.900 -1.939
-2.05257 0.3435 -3.006 -1.333
rnd_95776.volume rnd_95787.volume
-16.76 -25.74
-19.91 -30.90
-19.24 -23.57
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.880 2.242 12.34 5.592 4.863 1.022 1.342 3.380 3.570 2.788 1.967
[2,] 3.811 2.583 13.87 6.704 6.027 1.179 1.566 3.922 4.469 4.422 2.970
[3,] 4.258 2.788 15.52 7.758 6.861 1.308 1.733 4.333 4.936 4.805 3.375
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.245 2.245 2.574 3.480 2.684 3.755 2.900 5.416 3.725 7.491 1.735
[2,] 3.206 2.626 3.579 4.484 3.208 4.961 4.400 6.913 5.074 8.387 1.960
[3,] 3.841 2.937 4.278 5.152 3.561 5.726 5.294 8.018 6.162 9.129 2.291
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.14 5.693 0.4259 5.479 5.518 0.7914 5.488 0.4011 5.181 1.215 0.7924
[2,] 14.16 7.184 0.5149 6.561 7.217 0.9231 6.782 0.4644 6.773 1.407 0.9869
[3,] 15.72 7.811 0.5721 7.567 8.375 1.0608 7.575 0.5203 7.579 1.580 1.0853
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.858 5.199 4.603 3.164 2.568 2.845 1.161 2.265 1.001 3.072 3.408
[2,] 6.165 6.700 5.711 3.906 3.454 3.398 1.404 2.791 1.188 3.464 3.928
[3,] 7.310 7.679 6.564 4.265 4.030 3.788 1.611 3.130 1.343 3.956 4.413
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.130 1.138 2.290 3.553 3.836 2.094 3.028 3.359 1.326 2.793 2.551
[2,] 2.750 1.346 2.852 4.238 4.566 2.669 4.632 3.973 1.531 3.921 3.584
[3,] 3.207 1.474 3.305 4.766 5.325 2.960 5.306 4.394 1.702 5.010 4.232
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.158 1.488 2.783 0.5738 2.413 0.8897 1.996 1.883 1.966 3.358 1.053
[2,] 3.359 2.833 3.318 0.7214 3.405 1.0219 2.496 2.389 2.873 4.509 1.374
[3,] 4.235 3.692 3.784 0.8081 4.337 1.1406 2.905 2.659 3.417 5.046 1.533
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.866 2.411 2.680 1.225 3.176 2.523 3.486 3.274 4.700 3.792 2.412
[2,] 3.684 2.980 3.848 1.444 3.792 4.168 4.550 5.205 5.395 5.250 4.165
[3,] 4.318 3.365 4.572 1.614 4.093 4.626 5.062 5.911 6.114 6.576 5.804
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9781 2.226 2.015 2.926 1.815 1.794 1.344 1.994 2.431 5.413 4.384
[2,] 1.1548 4.015 2.440 4.088 2.094 2.220 1.575 2.895 3.031 6.252 5.187
[3,] 1.2862 5.090 2.765 5.079 2.273 2.696 1.729 3.479 3.336 6.917 5.879
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.268 1.385 2.138 2.249 2.394 1.751 0.4920 1.069 8.993 6.298
[2,] 1.780 2.370 2.680 2.706 2.895 1.990 0.5972 1.314 12.737 7.437
[3,] 2.512 2.884 3.131 3.131 3.276 2.212 0.6732 1.462 14.734 8.274
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.658 2.847 15.67 7.101 6.175 1.297 1.704 4.292
[2,] 2877.341 1479.217 7291.17 4263.813 4105.483 677.363 929.176 2293.695
[3,] 2190.106 1209.229 8026.22 4500.207 3779.414 653.566 856.351 2123.181
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.534 3.54 2.497 2.85 2.851 3.268 4.419 3.408
[2,] 3099.771 3957.17 2565.635 2639.24 1570.651 2867.473 3259.035 2025.851
[3,] 2414.483 2167.92 1850.170 2439.08 1517.780 2701.628 2926.216 1783.482
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.768 3.682 6.878 4.73 9.513 2.204 14.15
[2,] 3737.453 3815.132 4952.642 3972.31 4347.957 1049.394 10071.09
[3,] 3296.763 3395.670 4682.959 4032.67 4156.932 1368.229 7869.09
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 7.229 0.5408 6.958 7.007 1.005 6.968 0.5093
[2,] 5052.503 333.7618 4161.927 5362.165 547.883 4595.482 269.7574
[3,] 3534.073 287.5206 4344.989 4900.104 602.681 3888.791 270.7010
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 6.579 1.543 1.006 6.169 6.602 5.844 4.018 3.261
[2,] 5030.870 817.717 678.325 4376.072 4873.154 3899.153 2641.213 2663.215
[3,] 3921.034 829.856 520.744 4529.854 4326.224 3730.743 1975.399 2394.811
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 3.613 1.475 2.876 1.271 3.9 4.328 2.704 1.445
[2,] 2142.029 909.158 1880.602 738.746 1847.0 2251.472 2006.775 829.308
[3,] 1930.077 911.509 1632.212 721.991 2203.2 2318.478 1901.755 690.837
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 2.907 4.512 4.871 2.659 3.845 4.265 1.684
[2,] 1961.362 2664.111 2855.426 1908.810 4041.600 2445.882 882.489
[3,] 1925.464 2514.088 3159.408 1475.646 2984.431 2164.206 856.173
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.547 3.239 2.74 1.889 3.534 0.7286 3.065 1.13
[2,] 3173.149 2903.229 2967.64 2780.032 2083.720 504.1196 2769.638 579.61
[3,] 3595.797 2595.191 2973.58 2730.168 2096.767 419.7771 3096.473 584.19
[,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.535 2.392 2.496 4.264 1.338 3.64 3.062
[2,] 1727.647 1695.166 2415.654 3468.589 1018.059 2668.38 2018.028
[3,] 1714.246 1345.491 2132.360 2612.581 783.923 2597.07 1803.158
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.404 1.555 4.033 3.204 4.426 4.158 5.969
[2,] 3183.038 881.797 2387.470 3824.893 3372.594 4664.803 3053.653
[3,] 2846.329 830.609 1778.939 2313.682 2557.881 3230.584 3316.103
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.815 3.063 1.242 2.827 2.559 3.715 2.304
[2,] 4186.778 3914.401 707.895 3851.774 1587.333 3291.386 1205.456
[3,] 4566.217 4661.873 653.014 3607.038 1499.892 3476.927 1019.299
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.278 1.706 2.532 3.087 6.874 5.568 1.61 1.759
[2,] 1507.731 947.549 2420.983 2085.934 3605.930 3195.869 1440.19 2217.507
[3,] 1765.045 821.451 2223.052 1607.047 3411.890 3190.633 2043.72 1894.126
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.715 2.856 3.04 2.224 0.6247 1.358 11.42 7.997
[2,] 1863.770 1735.544 1875.89 1090.647 390.3619 879.367 10398.81 4560.952
[3,] 1866.636 1815.830 1768.66 1113.155 358.1366 739.587 8540.61 4182.511
[1] "--- VAR model 2017-10-01 15:01:00 completed"
[1] "Completed training sample: 2017-10-01 15:01:00 - 2017-10-01 23:00:00"
[1] "SpVAR; training sample: 2017-10-01 15:31:00 - 2017-10-01 23:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.06285 1.6944 -43.44 -13.59
2.82743 -0.8422 -17.89 -25.78
1.19957 -1.9083 -41.65 -30.01
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-20.97 0.05239 1.923 -0.9804
-20.66 -0.16037 1.607 2.7483
-26.15 0.24689 0.480 2.1281
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.033 -3.703 -4.7319 0.3215
-1.889 -3.321 0.6363 -6.8275
6.300 7.538 0.5432 -5.3517
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.4579 0.2257 -1.954 0.9446
-0.6695 -2.1045 -3.897 1.0738
-2.3656 -5.9096 -4.739 6.2570
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.9147 -4.383 4.738 11.239
1.6454 -0.940 4.507 8.488
-0.0956 3.695 1.751 7.376
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.26 -3.4954 -81.53 -48.05
-21.32 1.3999 -52.66 -26.47
-26.48 0.1885 -45.87 -22.75
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.628 -15.67 -25.33 -4.908
-1.735 -37.52 -33.41 -2.347
-1.230 -22.50 -33.69 -3.249
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-21.44 -1.914 -35.00 -5.779
-17.57 -2.594 -17.11 -7.215
-34.80 -1.810 -30.41 -7.573
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.497 -14.07 -14.24 -20.75
-4.573 -21.11 -21.13 -15.89
-5.438 -19.52 -14.47 -25.05
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.7532 1.642 5.807 2.63389
0.9899 2.909 6.028 0.16124
7.0316 2.956 2.971 -0.09469
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.74428 -0.5750 -13.85 -8.42
0.06197 -0.1193 -18.26 -21.10
2.65538 -0.1030 -14.34 -19.31
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4777 -2.2041 -9.406 2.121
1.7989 -2.4931 -7.161 -1.701
2.5588 -0.7014 -12.640 9.971
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.380 -2.6115 4.6501 8.627
4.937 -1.2674 -5.9193 -1.942
-2.523 -0.5606 0.5231 1.244
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.474 -12.6932 -10.905 0.1757
-1.568 3.6504 -2.058 -10.3418
-1.692 -0.3566 -5.086 -3.6569
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.095 -5.8009 0.8144 -2.935
-10.584 0.2166 -0.1482 -6.139
-1.881 1.1216 0.6458 -13.305
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6518 -1.074 -0.6596 -3.343
1.0817 -3.441 -1.9233 -5.459
-0.5197 -4.751 -1.4186 -5.226
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.885 0.4743 0.9989 2.501
-1.166 0.8434 -4.9202 3.972
-2.854 0.4660 -5.9171 1.253
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.258 1.5313 1.2443 2.8568
-4.775 2.1261 1.6080 0.8220
-1.200 0.1332 0.3923 0.0894
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.120 -2.1123 0.7769 -2.147
-4.713 -4.3937 9.3314 3.976
-2.835 0.6474 2.0311 2.262
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.973 1.1004 5.627 3.153
-3.463 1.8738 -6.939 1.145
4.236 -0.0461 2.657 2.328
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.342 3.0586 -2.756 2.326
2.635 0.6401 4.105 1.164
-0.591 1.5350 -2.849 1.718
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.2689 -0.7895 7.392 5.0143
0.1848 -1.9430 3.478 10.1481
-3.0935 -5.8625 2.950 0.3138
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.966 -1.657 -0.3653 -1.678
-1.225 -2.101 -3.1320 -3.204
-2.451 -2.940 -0.7197 -1.161
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.7669 -0.59034 -2.633 -2.0249
-2.2996 -0.04592 -3.050 0.3280
-5.2809 -1.20204 -2.671 0.1643
rnd_95776.volume rnd_95787.volume
-10.54 -34.65
14.55 -26.71
-28.48 -22.56
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.703 2.113 10.26 4.782 4.271 1.018 1.312 3.224 3.372 2.609 1.954
[2,] 3.665 2.454 11.62 5.983 5.475 1.172 1.504 3.755 4.337 4.189 2.952
[3,] 4.139 2.663 13.36 7.023 6.390 1.299 1.656 4.183 4.798 4.649 3.322
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.111 2.149 2.531 2.456 2.571 3.096 2.698 5.367 3.574 7.830 2.232
[2,] 3.081 2.499 3.424 3.254 3.037 4.267 4.242 6.725 4.855 8.756 2.549
[3,] 3.684 2.813 4.093 3.971 3.430 5.013 5.119 7.859 5.849 9.381 2.872
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.90 5.416 0.3997 4.909 4.978 0.7894 4.707 0.3831 4.833 1.169 0.7603
[2,] 13.84 6.804 0.4868 6.140 6.733 0.9186 5.885 0.4470 6.177 1.372 0.9470
[3,] 15.29 7.438 0.5357 7.120 7.751 1.0343 6.836 0.5047 7.138 1.530 1.0312
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.212 4.880 4.511 3.106 2.427 2.623 1.095 2.165 0.9889 2.844 2.940
[2,] 5.513 6.332 5.482 3.784 3.272 3.119 1.296 2.671 1.1706 3.264 3.521
[3,] 6.743 7.152 6.242 4.101 3.799 3.484 1.507 2.961 1.3144 3.695 4.007
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.013 1.121 2.181 3.373 3.653 1.968 2.811 3.163 1.288 2.705 2.500
[2,] 2.536 1.323 2.764 4.075 4.370 2.584 4.425 3.759 1.504 3.792 3.445
[3,] 2.969 1.429 3.165 4.549 5.065 2.924 5.102 4.123 1.676 4.761 4.061
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.050 1.456 2.477 0.5763 2.273 0.8484 1.954 1.791 1.824 2.587 0.972
[2,] 3.074 2.696 2.991 0.7202 3.041 0.9897 2.356 2.252 2.788 3.692 1.288
[3,] 3.980 3.439 3.422 0.7967 3.972 1.1099 2.822 2.488 3.255 4.203 1.433
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.706 2.350 2.511 1.151 3.034 2.297 3.316 3.035 4.439 3.815 2.170
[2,] 3.520 2.862 3.645 1.356 3.570 3.920 4.293 4.920 5.175 5.140 3.913
[3,] 3.984 3.242 4.377 1.531 3.910 4.352 4.774 5.612 5.803 6.376 5.547
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9568 2.179 1.976 2.825 1.809 1.797 1.186 1.854 2.263 5.160 4.149
[2,] 1.1202 3.868 2.344 4.024 2.049 2.183 1.405 2.802 2.832 5.978 4.969
[3,] 1.2554 4.990 2.635 4.943 2.234 2.640 1.541 3.357 3.125 6.688 5.604
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.122 1.346 1.901 2.064 2.245 1.495 0.4711 1.082 8.496 5.923
[2,] 1.643 2.241 2.448 2.528 2.705 1.797 0.5736 1.294 12.158 7.045
[3,] 2.330 2.739 2.947 2.931 3.057 2.012 0.6522 1.440 14.060 7.821
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.432 2.683 13.03 6.072 5.423 1.292 1.666 4.094
[2,] 2794.699 1408.737 6168.59 4060.175 3869.769 656.033 831.113 2173.448
[3,] 2172.849 1167.971 7432.78 4154.353 3719.868 633.577 781.680 2080.683
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.282 3.313 2.481 2.681 2.729 3.214 3.119
[2,] 3079.421 3701.178 2498.630 2534.105 1439.881 2605.122 2410.880
[3,] 2319.100 2276.639 1721.354 2281.350 1459.466 2531.224 2569.867
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.265 3.931 3.426 6.815 4.539 9.943 2.835
[2,] 1826.113 3315.570 3696.530 4576.327 3709.740 4424.593 1389.524
[3,] 1799.791 2973.051 3234.647 4593.356 3685.354 3802.697 1493.423
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 13.85 6.878 0.5075 6.233 6.321 1.002 5.978 0.4865
[2,] 9620.05 4649.829 313.7652 4165.095 5120.031 530.446 3988.551 260.1214
[3,] 7336.15 3393.118 252.5869 4072.060 4336.577 536.741 3928.173 264.6166
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 6.137 1.484 0.9654 5.349 6.197 5.728 3.944
[2,] 4343.138 812.586 637.6961 4016.204 4556.180 3517.277 2441.194
[3,] 4041.004 764.303 460.9100 4385.880 3753.827 3371.877 1787.314
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 3.081 3.331 1.39 2.749 1.256 3.611 3.733 2.557
[2,] 2478.169 1905.804 783.35 1765.964 707.416 1809.094 2188.370 1741.418
[3,] 2180.014 1751.794 869.08 1442.979 675.103 1956.414 2159.719 1743.971
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.423 2.769 4.283 4.639 2.499 3.57 4.017 1.636
[2,] 794.174 1918.605 2581.480 2708.009 1891.230 3859.20 2293.227 877.617
[3,] 609.458 1739.451 2284.116 2891.543 1545.882 2868.09 1911.510 834.327
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.435 3.175 2.603 1.849 3.145 0.7318 2.886
[2,] 3001.038 2676.876 2587.170 2562.398 1893.226 487.6768 2282.115
[3,] 3252.313 2428.105 2854.655 2411.374 1878.239 384.7179 2885.935
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.077 2.481 2.275 2.316 3.285 1.234 3.436 2.984
[2,] 575.533 1486.217 1541.910 2381.735 2974.184 955.228 2542.864 1844.913
[3,] 567.248 1753.949 1192.932 1897.188 2269.755 709.343 2107.404 1719.042
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.189 1.461 3.853 2.917 4.211 3.854 5.637
[2,] 2983.534 810.446 2123.538 3587.880 3078.330 4372.649 3003.382
[3,] 2737.102 802.931 1802.747 2133.373 2359.839 3048.985 2963.877
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.844 2.755 1.215 2.768 2.509 3.587 2.297
[2,] 3890.361 3677.035 658.019 3608.425 1424.271 3235.647 1087.994
[3,] 4260.321 4440.708 639.811 3559.588 1358.960 3242.577 1005.119
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.282 1.506 2.355 2.874 6.552 5.269 1.424
[2,] 1399.548 849.742 2372.154 1922.343 3408.315 3087.883 1355.491
[3,] 1676.162 716.522 2087.864 1492.511 3387.403 2926.531 1865.510
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.709 2.414 2.621 2.851 1.898 0.5982 1.374 10.79
[2,] 2023.997 1741.212 1649.030 1704.537 1126.153 369.5126 801.721 9820.18
[3,] 1777.748 1853.854 1675.550 1608.314 1022.684 350.6654 711.491 7975.00
[,98]
[1,] 7.521
[2,] 4308.760
[3,] 3835.307
[1] "--- VAR model 2017-10-01 15:31:00 completed"
[1] "Completed training sample: 2017-10-01 15:31:00 - 2017-10-01 23:30:00"
[1] "SpVAR; training sample: 2017-10-01 16:01:00 - 2017-10-02 00:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.243 2.9927 -16.493 -24.27
-2.923 2.1520 -6.329 -16.43
-2.661 -0.9462 -41.108 -26.78
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.53 0.3639 1.307 1.2299
-19.42 -0.9347 0.473 0.8055
-21.21 0.5741 1.262 -2.1960
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.661 -4.547 -3.120 -3.973
1.570 -1.639 1.030 -2.009
-2.619 1.572 2.777 -2.671
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.82499 -0.5281 -0.2460 -0.5444
-0.07013 -2.0922 -3.8606 5.0497
0.28790 -0.9817 -0.4053 0.6904
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.9148 -6.7661 -5.0446 1.070
0.3585 -0.3410 -1.4046 -3.357
-1.1317 0.4807 -0.5338 6.472
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.683 2.4424 -69.65 -27.71
-18.129 0.7736 -46.35 -19.21
-17.750 -2.2631 -42.71 -19.64
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8317 -15.58 -20.27 -3.436
-1.4024 -34.27 -26.50 -1.712
-0.7492 -15.26 -26.16 -1.323
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-26.357 -1.691 -18.15 -6.859
-9.737 -2.144 -18.90 -4.135
-32.942 -1.436 -23.88 -4.219
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.166 -17.13 -18.60 -22.19
-4.641 -16.76 -18.72 -15.29
-4.125 -13.71 -25.26 -17.48
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.831 1.918 2.5746 -1.5046
-3.707 -4.333 1.1354 -0.3685
1.850 -2.913 0.1883 0.8444
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2693 1.6323 -10.545 -6.012
-0.4307 -1.3062 -9.558 -14.752
-0.2334 0.8347 -10.863 -12.578
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6225 1.14314 -8.792 -2.4924
0.9002 -0.09063 -7.047 -0.4634
-0.8771 -1.58364 -7.190 3.0886
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-8.550 -0.6697 -1.488 4.9142
3.845 -2.5446 -7.055 4.2581
-5.774 -2.5250 -12.484 0.6338
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.288 -9.882 -7.9757 -5.900
-1.202 -2.229 -0.3092 -7.845
-1.412 -4.842 -3.0746 -1.798
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.038 -1.391 0.7495 -5.002
-6.450 -1.316 0.4226 -6.584
-1.641 1.227 0.3287 -10.216
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.48716 -0.5157 -0.1607 -4.880
-0.07347 -2.9947 0.7866 -2.872
0.39950 -3.0473 1.4595 -1.908
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.4353 1.6914 -1.470 0.9681
0.8904 -0.1011 -5.115 -6.5208
-2.1847 0.6383 -4.811 -2.5781
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.594 1.08534 -3.403 -4.4211
-7.952 0.44346 -1.179 0.3861
-2.527 0.05043 -2.470 0.7611
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.3530 -3.429 1.355 -5.7471
3.9569 1.128 2.130 -0.1133
-0.9015 -2.032 1.228 1.3994
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.669 -0.6787 1.592 -0.7506
-4.678 0.8453 -2.357 -2.0284
2.826 -0.1094 -3.036 0.6539
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.320 4.4673 -2.898 0.06157
-6.511 0.5780 -1.739 0.37050
-3.996 -0.2958 -2.908 -0.01823
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.914 2.142 0.5701 -0.005068
-3.399 1.603 1.3254 -0.854652
-3.579 -1.271 -4.5398 -2.021342
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.1205 -0.70253 -2.8662 -2.6635
-0.9628 -3.37346 -2.2516 -1.3139
-2.1183 0.01077 -0.4728 -0.2026
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.7821 -2.0002 -2.377 1.9838
0.0831 0.1478 -2.578 -0.8425
-5.3358 -0.7528 -2.684 -1.0413
rnd_95776.volume rnd_95787.volume
-23.16 -9.489
-22.74 -26.676
-18.65 -22.954
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.524 1.879 9.733 4.089 3.789 0.9063 1.282 2.963 3.158 2.586 1.947
[2,] 3.389 2.218 11.138 5.197 4.932 1.0531 1.472 3.566 4.051 3.875 2.812
[3,] 3.836 2.440 12.699 6.191 5.779 1.1836 1.586 3.957 4.540 4.382 3.203
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.013 1.943 2.508 2.400 2.438 2.924 2.538 4.572 3.288 7.363 2.292
[2,] 2.833 2.310 3.337 3.105 2.902 4.121 4.094 6.233 4.656 8.308 2.640
[3,] 3.362 2.604 3.884 3.801 3.320 4.867 4.841 7.405 5.661 8.918 2.940
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 9.971 4.906 0.3785 4.498 4.428 0.7663 4.399 0.3697 4.527 1.120
[2,] 12.725 6.254 0.4703 5.701 5.784 0.8812 5.500 0.4271 5.709 1.317
[3,] 14.178 6.844 0.5230 6.612 6.925 0.9787 6.333 0.4840 6.346 1.477
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.7283 3.837 4.429 4.104 2.816 2.329 2.382 0.9903 2.047 0.8803 2.524
[2,] 0.9061 5.050 5.753 5.030 3.467 3.059 2.857 1.2248 2.555 1.0605 2.959
[3,] 0.9925 6.324 6.548 5.624 3.792 3.588 3.222 1.4312 2.823 1.1942 3.341
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.747 1.857 1.025 2.041 3.138 3.510 1.936 2.729 2.879 1.263 2.492
[2,] 3.395 2.371 1.244 2.611 3.760 4.184 2.525 4.148 3.354 1.500 3.488
[3,] 3.928 2.788 1.353 3.031 4.276 4.809 2.830 4.800 3.683 1.675 4.383
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.327 1.951 1.480 2.344 0.5712 2.208 0.7847 1.827 1.776 1.758 2.401
[2,] 3.163 2.830 2.525 2.798 0.6936 2.911 0.9433 2.187 2.136 2.682 3.450
[3,] 3.791 3.604 3.206 3.207 0.7605 3.736 1.0640 2.603 2.377 3.172 3.968
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.9164 2.571 2.129 2.258 1.105 2.760 2.203 3.078 2.814 4.239 3.643
[2,] 1.1973 3.374 2.705 3.384 1.318 3.344 3.643 3.962 4.520 4.935 4.843
[3,] 1.3380 3.783 3.064 4.067 1.474 3.722 4.151 4.458 5.196 5.523 5.865
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.057 0.9449 2.111 1.828 2.624 1.730 1.749 1.061 1.824 2.014 4.807
[2,] 3.725 1.0949 3.696 2.233 3.773 2.005 2.115 1.277 2.658 2.492 5.655
[3,] 5.296 1.2292 4.793 2.515 4.725 2.190 2.490 1.399 3.201 2.850 6.135
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.025 0.9651 1.096 1.765 1.891 2.122 1.317 0.4712 1.057 8.061 5.046
[2,] 4.782 1.4964 2.018 2.234 2.337 2.523 1.594 0.5574 1.247 11.469 6.273
[3,] 5.379 2.1185 2.500 2.640 2.685 2.901 1.770 0.6285 1.394 13.041 6.994
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.205 2.385 12.36 5.193 4.811 1.151 1.629 3.762
[2,] 2736.136 1425.965 6551.42 3880.278 3820.759 648.826 874.458 2400.724
[3,] 2173.748 1231.595 7380.05 4069.981 3642.610 653.783 712.483 2075.206
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.011 3.283 2.472 2.557 2.467 3.185 3.048
[2,] 3068.846 3492.714 2454.577 2411.798 1512.900 2664.080 2383.257
[3,] 2480.381 2474.129 1855.577 2188.747 1453.185 2404.176 2652.184
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.096 3.713 3.223 5.805 4.176 9.35 2.91 12.66
[2,] 1903.185 3512.567 3886.975 5125.416 3988.767 4655.34 1585.92 9564.60
[3,] 1952.968 3134.734 3124.052 4837.777 3894.834 3921.90 1565.73 7564.50
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 6.23 0.4807 5.711 5.623 0.9731 5.586 0.4694
[2,] 4692.09 337.6038 4239.585 4501.693 526.4216 3993.840 258.7201
[3,] 3364.09 276.9034 4051.450 4606.895 515.2508 3799.320 275.6087
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 5.748 1.422 0.9248 4.872 5.624 5.212 3.575
[2,] 4208.299 838.897 652.2636 3972.484 4442.417 3517.544 2448.140
[3,] 3352.513 810.028 489.8605 4604.953 3782.463 3044.796 1856.315
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 2.958 3.025 1.258 2.599 1.118 3.205 3.488 2.358
[2,] 2399.030 1909.660 871.878 1850.643 715.338 1867.921 2412.921 1783.960
[3,] 2268.662 1801.070 895.956 1452.183 664.426 1878.166 2390.563 1774.599
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.301 2.591 3.984 4.457 2.458 3.466 3.656 1.603
[2,] 853.453 1970.409 2507.247 2755.507 1960.870 3779.936 2082.957 979.503
[3,] 641.943 1861.804 2463.084 2869.685 1547.534 2920.286 1840.553 900.850
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.165 2.955 2.478 1.879 2.977 0.7254 2.803
[2,] 2952.513 2592.157 2479.351 2475.257 1848.220 475.9629 2296.413
[3,] 3210.283 2527.915 2700.978 2390.088 1896.761 377.4198 2831.980
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.9964 2.32 2.256 2.232 3.049 1.164 3.264 2.704
[2,] 633.4419 1455.92 1435.275 2450.049 2996.762 932.339 2643.342 2018.641
[3,] 595.4215 1706.05 1261.994 2050.286 2370.807 722.442 2070.162 1741.637
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 2.868 1.404 3.505 2.798 3.908 3.574 5.383
[2,] 3049.462 868.780 2285.249 3510.179 3018.129 4278.960 3056.573
[3,] 2729.228 796.981 1977.434 2406.703 2472.229 3101.589 2999.759
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.626 2.612 1.2 2.681 2.321 3.332 2.196 2.221
[2,] 3861.013 3756.935 669.2 3670.264 1552.862 3279.707 1226.149 1438.970
[3,] 4002.707 4554.357 675.8 3692.917 1398.215 3442.030 1066.193 1589.704
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.348 2.316 2.558 6.104 5.111 1.225 1.392
[2,] 858.622 2339.449 1775.236 3603.641 3124.675 1383.696 2049.931
[3,] 692.353 2158.365 1673.348 2878.363 2979.149 1814.287 1785.764
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.242 2.401 2.694 1.673 0.5984 1.342 10.24 6.408
[2,] 1655.734 1662.106 1653.036 1086.563 360.2514 800.615 9870.38 4508.611
[3,] 1702.534 1599.347 1731.926 930.646 351.1288 754.451 7509.27 3743.308
[1] "--- VAR model 2017-10-01 16:01:00 completed"
[1] "Completed training sample: 2017-10-01 16:01:00 - 2017-10-02 00:00:00"
[1] "SpVAR; training sample: 2017-10-01 16:31:00 - 2017-10-02 00:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.569 0.3847 -15.760 -6.862
-2.041 -2.0838 -6.441 -10.369
-3.746 -1.6183 -21.608 -17.144
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.930 0.08255 0.5559 1.066
-12.908 -0.55497 0.4711 -1.750
-9.511 0.50416 -0.8255 -1.764
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.9133 -0.3251 2.5919 -7.1576
-1.3693 0.6751 0.9701 0.2841
-3.3513 -0.3098 0.8774 -4.9002
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.016 -6.3823 -7.2373 2.373
1.728 0.1855 0.8767 1.361
1.183 -2.7749 -0.6702 2.983
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.118 -1.708 -5.73296 -0.2897
-1.428 -7.152 -0.08783 3.4823
1.843 1.296 2.64084 1.8373
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-17.75 -3.4338 -52.96 -15.19
-11.96 -0.7277 -31.21 -15.59
-10.81 -0.8772 -37.65 -17.26
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8689 -6.181 -18.35 -3.132
-0.4528 -16.947 -20.40 -2.889
-1.0772 -13.751 -14.68 -1.765
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-17.638 -1.434 -14.37 -3.714
-9.671 -1.453 -11.21 -3.664
-12.305 -1.213 -15.97 -4.299
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.590 -7.031 -8.779 -16.337
-2.607 -8.011 -11.479 -11.984
-2.859 -11.130 -11.774 -9.929
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.5327 -0.231 -0.3554 0.06351
5.0816 1.128 -0.1495 0.47802
-0.1533 -4.059 -1.4108 1.59585
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.420 0.1895 -4.798 -5.428
-4.531 0.6932 -9.642 -10.110
-2.131 -0.3414 -7.929 -12.977
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.973 -0.6597 -1.484 -1.3409
-0.955 0.1776 -8.457 5.5147
2.762 -1.0825 -3.641 0.6978
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.8143 0.009375 1.247 -0.009134
-5.3989 -2.488987 -2.404 1.605671
3.6137 -0.644833 -5.502 2.214309
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.8640 1.421 -3.206 -1.318
-0.4868 1.465 -2.576 -2.268
-1.1130 -2.474 1.368 -1.042
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.362 -3.3356 -0.4972 -3.433
-1.272 -0.6218 0.6484 -4.877
-1.326 0.8861 0.2160 -2.587
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6331 -3.935 -0.5245 1.980
-0.3291 -1.896 0.5461 -1.791
1.0200 2.323 -0.5656 -2.081
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.919 1.8554 1.447 4.7578
-1.633 -0.1819 -5.375 0.9977
-3.184 0.7225 -2.117 1.0294
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.111 0.2854 0.855 0.8258
-5.497 -0.4849 -1.616 -0.8536
-2.023 -1.0970 -3.045 -1.8814
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.615 2.1464 -1.306 -0.7885
-2.889 -0.6711 4.009 0.3499
-2.102 -7.1318 4.591 -0.3032
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.4742 1.25668 0.4968 0.4264
2.5803 0.18364 -1.5852 -1.6654
0.5877 0.01649 2.9387 2.0776
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.0506 0.04889 -0.4719 -0.02305
-0.4328 -0.56039 3.2813 1.26257
1.3189 -0.57420 -0.1616 0.16564
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.014 0.5055 1.712 -0.1632
-0.395 -1.2563 -4.166 1.0316
1.228 -0.6017 -2.369 -0.4158
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.2911 -1.4383 -2.7450 -1.5005
-0.5421 -0.6494 2.9735 1.9768
1.2653 1.2760 0.1057 0.6678
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.530 -0.4015 -2.268 -2.4372
-2.628 0.5336 -1.629 -0.5841
-3.032 0.3226 -1.856 1.1744
rnd_95776.volume rnd_95787.volume
3.379 -12.70
-16.371 -12.94
4.139 -14.14
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.406 1.696 8.274 3.647 3.586 0.7862 1.236 2.770 2.982 2.496 1.796
[2,] 3.202 2.039 9.404 4.824 4.505 0.9315 1.411 3.307 3.806 3.726 2.683
[3,] 3.676 2.264 10.470 5.644 5.376 1.0447 1.545 3.691 4.253 4.172 3.038
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.856 1.781 2.262 2.234 2.259 2.686 2.413 4.376 3.164 6.50 2.224
[2,] 2.631 2.166 3.124 2.908 2.729 3.789 3.749 5.867 4.442 7.64 2.576
[3,] 3.132 2.423 3.679 3.583 3.125 4.464 4.497 7.025 5.361 8.33 2.861
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 8.806 4.522 0.3583 3.903 4.036 0.7068 3.914 0.3453 3.959 0.9897
[2,] 11.382 5.798 0.4383 5.013 5.270 0.8265 4.923 0.4078 5.135 1.1614
[3,] 12.959 6.403 0.4940 5.727 6.210 0.9190 5.517 0.4608 5.796 1.3230
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.7057 3.515 3.912 3.518 2.517 2.068 2.271 0.9646 1.966 0.8128 2.146
[2,] 0.8543 4.455 5.005 4.465 3.085 2.765 2.679 1.1772 2.402 0.9711 2.584
[3,] 0.9317 5.750 5.814 5.075 3.495 3.300 3.044 1.3715 2.610 1.0951 2.940
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.581 1.750 0.9691 1.932 3.129 3.373 1.827 2.686 2.723 1.196 2.314
[2,] 3.095 2.193 1.1356 2.498 3.708 3.977 2.471 4.021 3.209 1.386 3.287
[3,] 3.657 2.612 1.2421 2.924 4.202 4.609 2.786 4.668 3.494 1.572 4.262
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.134 1.795 1.351 2.076 0.5174 2.018 0.7228 1.684 1.625 1.659 2.172
[2,] 2.971 2.664 2.331 2.563 0.6279 2.683 0.8742 2.097 1.987 2.464 3.155
[3,] 3.585 3.345 3.021 2.853 0.7020 3.469 0.9920 2.432 2.213 2.942 3.595
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.8463 2.295 1.827 2.088 1.075 2.610 1.963 2.867 2.668 4.030 3.417
[2,] 1.1287 3.125 2.357 3.098 1.222 3.140 3.375 3.708 4.348 4.704 4.526
[3,] 1.2424 3.523 2.667 3.744 1.368 3.466 3.881 4.185 4.946 5.252 5.601
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.948 0.8335 1.901 1.736 2.502 1.657 1.728 0.9082 1.666 1.813 4.613
[2,] 3.369 1.0124 3.427 2.120 3.647 1.898 2.061 1.1336 2.406 2.267 5.329
[3,] 4.951 1.1382 4.338 2.331 4.505 2.058 2.422 1.2671 2.953 2.636 5.727
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.705 0.8099 0.9605 1.555 1.597 1.954 1.212 0.4675 0.9575 7.704
[2,] 4.533 1.3019 1.7513 1.903 1.986 2.352 1.429 0.5463 1.1861 10.905
[3,] 4.990 1.7701 2.1053 2.216 2.240 2.707 1.602 0.6135 1.3209 12.470
[,98]
[1,] 4.508
[2,] 5.515
[3,] 6.325
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.056 2.153 10.51 4.631 4.554 0.9984 1.57 3.518
[2,] 2607.053 1398.006 5516.20 3896.626 3365.234 616.6892 840.32 2229.441
[3,] 2227.972 1214.165 5679.51 3617.764 3620.770 583.6877 776.04 2022.859
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 3.787 3.169 2.281 2.357 2.262 2.872 2.837
[2,] 2918.154 3414.973 2459.790 2300.995 1521.252 2660.217 2297.988
[3,] 2344.204 2315.685 1760.140 2097.580 1340.437 2398.259 2582.298
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.868 3.41 3.064 5.557 4.017 8.254 2.824 11.18
[2,] 1890.542 3298.08 3540.640 4823.969 3848.196 4956.584 1605.071 8900.14
[3,] 1878.279 2913.21 3065.790 4768.428 3704.968 4096.541 1535.929 7646.34
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 5.742 0.4549 4.956 5.125 0.8976 4.97 0.4385
[2,] 4479.123 311.5751 3883.300 4182.855 528.6889 3685.57 267.6182
[3,] 3354.153 281.2949 3417.132 4055.017 495.8068 3073.02 264.8698
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 5.027 1.257 0.8961 4.464 4.968 4.468 3.197
[2,] 4036.127 750.041 594.3133 3377.888 3852.284 3392.591 2201.785
[3,] 3318.424 782.003 458.8559 4486.086 3651.498 2979.480 2026.582
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 2.626 2.883 1.225 2.497 1.032 2.725 3.278 2.223
[2,] 2265.897 1753.584 832.854 1702.809 655.912 1777.295 2107.433 1630.351
[3,] 2222.492 1786.058 868.596 1258.974 624.736 1729.003 2404.557 1751.181
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.231 2.453 3.973 4.283 2.32 3.411 3.458 1.518
[2,] 730.746 1954.960 2456.558 2599.938 2054.12 3693.398 2094.640 866.049
[3,] 621.084 1875.281 2440.744 2875.487 1586.47 2925.374 1705.491 914.738
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.939 2.71 2.28 1.716 2.636 0.657 2.563 0.9178
[2,] 2880.746 2550.20 2429.94 2343.907 1855.646 439.258 2182.567 606.9465
[3,] 3349.470 2476.84 2496.65 2371.692 1546.133 387.261 2714.286 578.7446
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.138 2.063 2.106 2.759 1.075 2.914 2.32 2.652
[2,] 1544.050 1411.716 2249.341 2823.205 921.829 2617.734 1838.70 2824.334
[3,] 1518.145 1202.041 1982.783 2127.773 640.943 2008.270 1538.16 2594.566
[,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.365 3.314 2.493 3.641 3.389 5.117 4.339
[2,] 717.037 2153.714 3388.425 2901.636 4236.525 2994.416 3664.077
[3,] 758.054 1811.738 2366.222 2395.581 2910.623 2883.817 4071.116
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 2.474 1.058 2.414 2.205 3.177 2.104 2.194 1.153
[2,] 3392.175 709.267 3518.598 1501.426 3275.136 1141.419 1387.402 837.278
[3,] 4477.949 642.143 3282.633 1195.297 3263.859 982.748 1569.528 698.680
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.116 2.302 5.858 4.704 1.028 1.22 1.974
[2,] 2141.462 1680.861 3292.880 3224.525 1258.137 1807.48 1353.581
[3,] 2113.830 1660.524 2589.358 2573.321 1480.171 1442.11 1401.689
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.028 2.482 1.539 0.5936 1.216 9.783 5.724
[2,] 1456.952 1614.389 934.751 348.8392 864.151 9526.400 3921.282
[3,] 1277.854 1655.004 893.496 344.7112 717.331 7465.772 3822.400
[1] "--- VAR model 2017-10-01 16:31:00 completed"
[1] "Completed training sample: 2017-10-01 16:31:00 - 2017-10-02 00:30:00"
[1] "SpVAR; training sample: 2017-10-01 17:01:00 - 2017-10-02 01:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.8682 0.5979 -5.001 -6.357
-0.8402 2.0283 -7.444 -12.046
-3.9190 -2.8735 -9.418 -5.969
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.126 1.1643 0.94745 2.198
-5.432 0.2542 0.00485 -1.362
-5.453 -0.1376 1.79188 -2.354
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.9947 -4.5965 -0.4535 -3.790
0.5173 0.4931 -1.5754 -3.380
0.1176 -1.4930 0.5416 -2.306
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.613 -5.280 -5.4829 -1.1659
-1.158 -4.495 -4.0453 3.3331
2.460 -1.065 0.9783 0.6826
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8402 0.6012 -1.08178 1.667
-0.9914 -2.6093 -0.06072 1.019
-4.0639 -4.2190 -2.66820 1.835
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.5687 -2.2413 -29.634 -9.191
-5.2322 -0.4338 -8.303 -7.119
-20.6390 -3.8289 -13.755 -5.818
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.5846 -16.375 -10.607 -1.196
-0.5530 -12.770 -14.177 -1.701
-0.3324 -2.636 -9.151 -1.230
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.465 -1.0059 -11.35 -2.5480
-11.479 -0.6651 -16.00 -0.6067
-7.834 -1.3709 -13.12 -2.0386
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.326 -6.406 -5.640 -8.390
-1.711 -10.608 -3.480 -8.722
-1.504 -7.535 -8.245 -5.968
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.657 -2.453 1.2677 0.95416
5.375 1.822 0.4796 0.08529
1.351 1.604 -0.5085 0.11587
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.861 -0.36865 -7.953 -1.758
-1.159 0.68581 -3.982 -9.016
-1.825 0.05041 -1.736 -4.777
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.2679 -0.2353 -3.318 2.7970
-0.9428 0.3197 -2.753 1.5522
0.5085 -0.9979 -5.521 -0.3869
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.7116 -0.1712 -2.841 1.078
-1.1249 1.2824 -1.746 -1.590
-0.5955 -1.6610 1.562 3.803
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4447 -3.385 0.9066 1.150
0.7041 -2.741 -3.8119 -3.745
0.4024 -2.635 -1.0907 -2.437
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.9495 0.6790 -0.2782 -3.6843
1.3583 0.9875 -0.1341 -0.6988
-2.2025 -1.7160 0.6225 -1.4598
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.3451 -1.9614 0.8649 -1.2755
0.5189 0.4434 0.8327 0.6626
0.8650 1.8047 -0.8176 -0.6884
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.605 0.5477 2.1068 -1.9799
-1.058 0.6394 -6.2902 0.3593
1.862 -0.4219 -0.9933 2.5339
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.6459 1.2493 1.764 3.6926
-5.6862 0.4261 -2.011 0.3587
0.5433 -0.7434 -2.655 -2.4908
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.04242 -0.7594 2.4374 4.3169
-1.48996 -1.2210 1.8651 1.2767
-0.47662 2.6770 0.9007 -0.7069
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.269 -2.2722 1.987 3.8060
-1.249 0.2721 -2.048 0.7041
2.733 0.7843 -1.142 0.8830
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.671 -0.3273 -1.397 -1.92726
-0.110 0.8529 -2.624 -0.05063
-2.962 -1.1312 -1.975 -0.20257
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.315 1.505 6.4733 -2.034
2.301 -1.037 -8.9012 4.842
2.928 -1.365 0.9362 -5.461
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2560 0.4798 0.07207 0.5062
1.0009 -0.3123 -1.64054 -1.0130
0.1859 -0.5219 2.38314 1.3261
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2451 -0.5494 -2.341 -1.0058
-1.8916 1.9859 -1.587 -1.5139
-0.4880 1.3460 -1.678 -0.6075
rnd_95776.volume rnd_95787.volume
-8.413 -11.084
-5.652 -8.706
-1.452 -2.715
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.218 1.553 7.253 3.256 3.309 0.6977 1.200 2.585 2.642 2.318 1.741
[2,] 2.875 1.880 8.404 4.345 4.082 0.8470 1.343 3.105 3.458 3.497 2.503
[3,] 3.321 2.093 9.380 5.212 4.841 0.9433 1.468 3.450 3.923 3.923 2.860
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.777 1.604 2.195 2.102 2.196 2.519 2.239 3.104 3.003 5.980 2.189
[2,] 2.536 2.009 3.015 2.774 2.620 3.612 3.523 4.364 4.072 7.062 2.510
[3,] 2.981 2.292 3.512 3.441 3.025 4.298 4.237 5.416 4.981 7.786 2.764
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 8.092 4.130 0.3418 3.563 3.651 0.6574 3.418 0.3311 3.499 0.9803
[2,] 10.180 5.054 0.4033 4.423 4.821 0.7800 4.505 0.3918 4.770 1.1485
[3,] 11.864 5.653 0.4564 5.218 5.766 0.8835 5.048 0.4421 5.446 1.2914
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.6229 3.278 3.732 3.126 2.295 1.902 2.053 0.9002 1.865 0.7297 1.815
[2,] 0.7578 4.077 4.735 4.014 2.846 2.620 2.437 1.0880 2.238 0.8746 2.263
[3,] 0.8400 5.250 5.404 4.695 3.263 3.104 2.832 1.2272 2.450 0.9846 2.608
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.332 1.587 0.8718 1.745 2.823 2.904 1.791 2.650 2.627 1.083 2.104
[2,] 2.844 2.035 1.0425 2.354 3.433 3.563 2.263 3.829 3.134 1.338 3.129
[3,] 3.326 2.457 1.1571 2.777 3.957 4.210 2.592 4.414 3.383 1.517 3.973
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.980 1.699 1.312 1.860 0.5039 1.834 0.7005 1.653 1.464 1.511 2.060
[2,] 2.635 2.439 2.207 2.309 0.5980 2.489 0.8309 2.007 1.769 2.303 2.979
[3,] 3.282 3.146 2.796 2.620 0.6710 3.237 0.9438 2.344 2.025 2.731 3.423
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.7485 2.167 1.556 1.908 0.9332 2.453 1.823 2.809 2.483 3.858 3.128
[2,] 0.9947 2.930 2.037 2.867 1.1141 2.871 3.104 3.505 3.995 4.534 4.182
[3,] 1.1190 3.351 2.333 3.534 1.2688 3.150 3.554 3.976 4.625 5.094 5.140
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.768 0.7645 1.799 1.626 2.479 1.462 1.669 0.8353 1.476 1.647 4.440
[2,] 3.201 0.9467 3.119 2.009 3.444 1.740 1.962 1.0423 2.176 2.084 5.143
[3,] 4.624 1.0704 4.079 2.224 4.376 1.894 2.258 1.1861 2.654 2.419 5.570
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.454 0.7469 0.8504 1.334 1.347 1.837 1.097 0.4540 0.8912 6.983
[2,] 4.219 1.1886 1.5377 1.690 1.689 2.215 1.267 0.5268 1.1193 9.839
[3,] 4.660 1.5857 1.7911 1.949 1.914 2.538 1.465 0.5948 1.2634 11.333
[,98]
[1,] 3.963
[2,] 5.029
[3,] 5.741
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.816 1.972 9.211 4.135 4.202 0.886 1.524 3.283
[2,] 2220.175 1286.294 5148.564 3491.083 2899.349 582.538 730.831 2086.100
[3,] 2016.926 1115.631 5054.592 3490.812 3157.192 503.901 719.078 1824.933
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 3.355 2.943 2.211 2.256 2.036 2.787 2.67
[2,] 2707.898 3177.074 2182.595 2195.877 1468.638 2508.648 2195.20
[3,] 2245.896 2157.462 1677.986 1901.099 1338.018 2183.574 2471.06
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.788 3.199 2.844 3.942 3.813 7.594 2.779
[2,] 1733.010 3139.868 3299.671 3721.547 3337.080 4558.161 1490.371
[3,] 1835.415 2827.203 2856.418 3891.883 3481.380 3977.402 1405.760
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 10.28 5.244 0.434 4.524 4.636 0.8348 4.34 0.4204
[2,] 7493.80 3534.886 259.818 3180.426 3819.509 509.3999 3561.60 254.2089
[3,] 7393.43 3071.859 259.163 3358.557 3837.434 503.3626 2762.35 248.5538
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 4.443 1.245 0.7909 4.163 4.739 3.969 2.915
[2,] 3933.313 725.918 523.7467 2939.587 3536.867 3054.578 2041.773
[3,] 3188.249 716.518 439.7277 4013.572 3159.423 2954.799 1937.185
[,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.416 2.607 1.143 2.368 0.9266 2.304 2.961
[2,] 2186.581 1593.642 741.360 1500.925 585.1108 1639.805 1975.024
[3,] 2018.421 1750.901 688.932 1210.679 548.5602 1573.965 2092.013
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 2.015 1.107 2.216 3.584 3.688 2.275 3.365
[2,] 1545.136 693.567 1916.588 2371.148 2503.804 1677.457 3352.722
[3,] 1670.825 609.125 1787.118 2386.781 2720.994 1533.713 2665.226
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.335 1.375 2.672 2.515 2.157 1.666 2.361
[2,] 2074.689 953.033 2809.977 2108.418 2122.888 2153.440 1660.896
[3,] 1545.911 866.678 2969.646 2373.984 2411.873 2083.530 1501.581
[,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.6399 2.329 0.8896 2.099 1.859 1.918 2.616
[2,] 390.7002 2042.020 542.0480 1380.678 1205.918 2109.498 2609.935
[3,] 369.2738 2509.972 543.0788 1469.646 1195.932 1780.961 2046.164
[,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.9505 2.752 1.976 2.422 1.185 3.115 2.315
[2,] 794.7781 2392.943 1595.565 2596.744 738.246 1809.543 3047.990
[3,] 621.9385 1973.128 1378.018 2507.155 736.721 1571.590 2100.342
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 3.567 3.153 4.899 3.973 2.245 0.9708 2.284
[2,] 2543.579 3797.079 2890.470 3367.482 3237.422 677.5034 3090.912
[3,] 2277.055 2826.089 2816.696 3624.676 4048.366 606.1208 3189.219
[,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.065 3.149 1.856 2.119 1.061 1.875 2.091
[2,] 1432.311 2900.324 1144.788 1251.707 756.322 1939.219 1548.686
[3,] 1157.231 3275.251 907.586 1356.547 687.030 1844.096 1490.289
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 5.638 4.386 0.9484 1.08 1.694 1.71 2.333 1.393
[2,] 3149.675 2940.293 1121.8855 1554.42 1258.560 1236.95 1501.616 767.383
[3,] 2594.470 2400.356 1273.4534 1114.31 1177.921 1092.66 1504.277 893.213
[,95] [,96] [,97] [,98]
[1,] 0.5765 1.132 8.867 5.032
[2,] 324.2060 821.712 8409.642 3756.627
[3,] 335.2242 710.838 6824.302 3359.181
[1] "--- VAR model 2017-10-01 17:01:00 completed"
[1] "Completed training sample: 2017-10-01 17:01:00 - 2017-10-02 01:00:00"
[1] "SpVAR; training sample: 2017-10-01 17:31:00 - 2017-10-02 01:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.5346 -1.0467 -8.717 -7.009
-0.6951 -0.7221 -4.598 -10.392
-2.3471 0.3098 -11.607 -9.166
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.169 0.6341 1.34614 -0.5502
-1.335 -0.4311 -0.34563 -2.9259
-9.333 1.6331 0.03421 -5.1349
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.3239 -0.4814 0.6909 0.005746
0.4334 -0.8873 0.5849 -1.749537
-4.6015 -1.0920 1.0105 -4.357198
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.03906 1.7505 0.72774 -1.135
1.52745 -3.9170 -0.07445 0.613
-0.38533 -0.7346 -1.54609 3.257
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.5810 -5.8925 -11.3809 -2.346
0.5432 1.6576 -3.0197 -1.214
-0.1133 -0.7932 0.2727 1.811
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.593 -3.2665 -33.30 -13.572
-10.010 -0.5418 -22.15 -9.389
-4.078 -0.4528 -13.46 -10.339
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.06242 -8.230 -6.93 -2.0473
-0.34075 -13.393 -10.77 0.5884
-0.38858 -8.042 -14.15 -1.0614
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.420 -0.2461 3.368 -0.3137
-8.361 -0.4956 -7.058 -0.6372
-11.837 -0.5708 -13.241 -0.9535
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.0577 -2.7130 -5.1909 -3.743
-0.8177 0.3143 -0.3785 -1.728
-1.7947 -11.1256 -9.5887 -9.122
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.874 0.07091 0.6973 0.01885
-1.926 -3.43262 -1.8375 -0.66900
1.526 -1.22601 -2.5705 0.23404
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.1916 0.06533 -1.823 0.9614
-0.7417 0.34709 -1.832 -2.0571
-0.2319 0.11744 -4.396 -2.8494
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.479 0.1385 -4.2050 -1.705
-1.539 0.2830 0.3525 2.196
-0.794 -0.8572 -2.7709 -1.021
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.2341 1.0160 7.325 1.1352
3.6237 -0.2613 -8.759 0.3852
1.2726 0.9643 5.672 -0.3553
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.6997 0.9239 1.522 1.500
0.1679 0.4878 2.927 2.602
-0.4104 -3.9957 -3.558 -1.329
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.4269 2.4368 -0.93164 -2.254
2.5395 1.3418 0.23433 2.104
2.6343 0.4703 0.04926 1.260
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5765 0.3459 -0.9548 -0.5495
0.8913 2.2570 -1.1584 -0.9831
0.8160 -0.2470 0.9055 2.3741
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.428 0.3086 2.555 -1.9589
0.649 -0.1938 -2.717 0.6959
1.982 0.2833 1.347 2.3206
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.793 -1.95703 0.9351 -2.5699
-0.630 -0.05818 -0.3738 -1.1260
1.875 1.41386 -3.4916 0.1392
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.787 0.07936 0.624 -0.4696
2.100 1.81140 -3.862 3.9106
-6.739 -5.79232 3.246 -4.7242
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.6885 -1.3335 3.343 -0.1999
2.9129 -0.7744 1.008 0.4432
-1.7865 -0.1379 1.458 -0.7666
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.530 1.8441 -1.0366 0.5561
1.468 0.1294 -0.3262 0.7557
1.129 -0.1092 -0.9541 -1.1701
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.4962 -1.4707 2.8056 -4.0158
-2.3319 -1.7831 0.1204 0.2133
0.4788 0.9446 1.4016 -2.8799
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.0054 -0.008122 0.1430 0.3253
0.9650 -0.330105 -0.5485 -1.5173
-0.8353 0.207429 0.2708 1.0872
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.2276 -0.6530 -1.3810 0.7948
1.0251 -1.4192 -1.2873 -1.3141
0.3563 0.8619 -0.8588 0.2336
rnd_95776.volume rnd_95787.volume
-4.147 -15.359
-3.549 -3.255
-5.099 -7.358
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.064 1.407 6.784 2.871 2.946 0.6345 1.049 2.394 2.505 2.112 1.686
[2,] 2.660 1.697 7.916 3.761 3.702 0.7563 1.215 2.821 3.253 3.112 2.404
[3,] 3.069 1.930 8.992 4.530 4.483 0.8422 1.355 3.219 3.733 3.525 2.701
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.619 1.517 2.067 1.875 2.023 2.284 2.129 2.819 2.707 5.645 2.050
[2,] 2.390 1.878 2.876 2.540 2.396 3.371 3.238 4.014 3.780 6.670 2.319
[3,] 2.770 2.155 3.315 3.111 2.807 4.022 3.938 5.119 4.659 7.402 2.560
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 6.855 3.367 0.3279 3.029 3.303 0.6180 3.052 0.3107 2.958 0.959
[2,] 8.594 4.332 0.3801 3.961 4.282 0.7540 4.044 0.3734 4.218 1.107
[3,] 10.154 4.996 0.4296 4.747 5.166 0.8634 4.670 0.4283 4.889 1.232
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.5456 2.876 3.239 2.892 2.152 1.746 1.828 0.830 1.611 0.6532 1.569
[2,] 0.6842 3.493 4.155 3.565 2.616 2.333 2.122 1.021 1.991 0.7913 1.979
[3,] 0.7760 4.641 4.814 4.208 2.942 2.802 2.378 1.143 2.195 0.9153 2.299
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.973 1.492 0.7919 1.547 2.532 2.656 1.703 2.470 2.476 1.043 1.920
[2,] 2.427 1.932 0.9711 2.163 3.106 3.294 2.113 3.511 2.920 1.279 2.828
[3,] 2.741 2.268 1.0826 2.556 3.620 3.874 2.409 4.137 3.142 1.447 3.655
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.903 1.684 1.230 1.716 0.4704 1.709 0.6749 1.486 1.378 1.438 1.785
[2,] 2.402 2.338 2.108 2.212 0.5693 2.206 0.8054 1.801 1.637 2.128 2.636
[3,] 2.995 2.900 2.528 2.538 0.6372 2.936 0.9066 2.101 1.860 2.498 3.056
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6841 2.004 1.414 1.759 0.8956 2.303 1.648 2.612 2.203 3.759 2.905
[2,] 0.8947 2.718 1.869 2.555 1.0583 2.665 2.843 3.220 3.679 4.385 4.005
[3,] 1.0075 3.134 2.112 3.175 1.1846 2.966 3.242 3.661 4.257 4.909 4.865
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.620 0.6785 1.714 1.500 2.407 1.323 1.545 0.7267 1.353 1.451 3.895
[2,] 2.980 0.8393 2.883 1.805 3.199 1.600 1.832 0.9121 1.986 1.865 4.658
[3,] 4.222 0.9586 3.839 2.004 4.070 1.771 2.106 1.0300 2.426 2.164 5.196
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.204 0.6455 0.7367 1.126 1.201 1.662 0.9858 0.4054 0.8555 6.211
[2,] 3.853 1.0725 1.3573 1.485 1.502 1.952 1.1751 0.4848 1.0802 8.751
[3,] 4.321 1.4248 1.5772 1.750 1.747 2.338 1.3440 0.5494 1.2099 10.099
[,98]
[1,] 3.619
[2,] 4.540
[3,] 5.185
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.62 1.786 8.614 3.646 3.741 0.8058 1.333 3.04
[2,] 2044.65 1155.786 4970.896 2959.853 2730.697 501.3906 746.352 1819.68
[3,] 1866.58 1120.920 5198.549 3077.112 3081.369 451.7262 729.867 1887.36
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 3.181 2.681 2.142 2.056 1.927 2.624 2.38
[2,] 2527.910 2785.421 2087.788 2142.855 1348.716 2436.558 2089.26
[3,] 2231.466 2018.079 1499.728 1706.319 1286.736 2009.850 2188.76
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.569 2.9 2.703 3.58 3.437 7.168 2.603 8.705
[2,] 1564.056 3021.5 2972.320 3481.68 3214.541 4329.522 1319.950 6316.460
[3,] 1781.633 2673.1 2732.410 3871.26 3318.459 3911.822 1322.153 6589.754
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 4.275 0.4164 3.846 4.194 0.7848 3.876 0.3946
[2,] 3321.807 234.3056 3110.033 3320.454 526.2550 3232.058 252.3118
[3,] 3033.293 243.8762 3188.670 3522.909 512.6230 2847.297 255.6040
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 3.756 1.218 0.6928 3.652 4.113 3.673 2.733
[2,] 3664.177 673.725 503.1130 2415.739 3170.097 2539.241 1812.472
[3,] 3012.406 659.726 446.1512 3722.553 2963.456 2724.960 1640.876
[,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.217 2.321 1.054 2.046 0.8295 1.992 2.505
[2,] 1885.816 1313.510 724.728 1425.792 544.2208 1470.353 1722.440
[3,] 1891.269 1307.012 625.328 1124.681 560.3847 1425.966 1552.386
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 1.894 1.006 1.965 3.215 3.372 2.162 3.136
[2,] 1496.203 684.886 1841.481 2192.600 2375.088 1523.544 3040.366
[3,] 1448.286 583.126 1659.461 2266.645 2483.668 1410.386 2665.847
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.144 1.324 2.439 2.416 2.139 1.561 2.179
[2,] 1886.756 902.007 2529.795 1786.301 1975.278 2085.981 1700.816
[3,] 1413.287 825.671 2821.327 2180.634 2090.547 1700.197 1514.753
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.5973 2.17 0.857 1.887 1.749 1.825 2.267 0.8687
[2,] 390.6829 1700.02 535.601 1240.028 1078.500 1912.270 2362.892 702.6395
[3,] 348.8618 2359.94 507.085 1317.873 1075.768 1594.384 1884.989 564.4442
[,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.545 1.795 2.234 1.137 2.925 2.093 3.317
[2,] 2237.232 1490.175 2257.074 687.058 1632.963 2823.388 2294.020
[3,] 1902.488 1196.782 2298.048 648.389 1586.011 1898.807 2122.944
[,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.798 4.774 3.689 2.058 0.8615 2.176 1.905
[2,] 3590.496 2749.574 3359.043 3047.676 602.0354 2825.341 1222.730
[3,] 2609.008 2689.120 3365.938 3643.956 564.4129 3087.940 1061.130
[,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.056 1.681 1.962 0.9227 1.718 1.843 4.946
[2,] 2567.123 1096.353 1200.026 671.7011 1771.481 1426.138 3112.688
[3,] 3067.441 923.577 1266.254 583.1597 1698.094 1338.154 2805.020
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 4.069 0.8197 0.9355 1.43 1.526 2.11 1.252
[2,] 2606.344 1043.5904 1389.0563 1180.37 1099.168 1248.54 779.335
[3,] 2385.041 1142.9180 978.8917 1128.09 1085.439 1568.30 794.831
[,95] [,96] [,97] [,98]
[1,] 0.5148 1.086 7.887 4.595
[2,] 323.8104 803.488 7511.708 3340.128
[3,] 315.1373 664.051 6143.502 3053.225
[1] "--- VAR model 2017-10-01 17:31:00 completed"
[1] "Completed training sample: 2017-10-01 17:31:00 - 2017-10-02 01:30:00"
[1] "SpVAR; training sample: 2017-10-01 18:01:00 - 2017-10-02 02:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.585 2.806 -12.01 -5.490
3.488 2.387 -16.75 -3.693
2.591 3.928 -19.22 -5.452
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.177 0.8854 -0.6222 -2.1609
-7.795 0.1777 0.5118 0.7836
-3.370 0.4811 0.9415 1.1498
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.7616 1.077 0.05879 -2.447
-0.7229 -3.715 1.06840 -6.892
1.5367 5.269 5.80748 -5.570
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.7537 8.402 -5.528 9.892
-0.8364 6.587 -4.002 8.969
-2.3862 4.805 -9.533 12.266
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.005 -3.798 -6.479 -1.6218
-2.590 -4.249 2.820 -0.5413
-3.948 -3.927 -3.956 -2.0321
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.092 -2.963 -19.71 -4.312
-15.396 1.168 -28.02 -3.361
-8.728 -1.673 -24.20 -8.272
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.36513 -5.006 -1.9135 -0.2224
-0.43662 -5.905 0.4643 -0.4420
0.03787 -6.093 -1.5411 -1.0110
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.167 -0.2908 -4.915 -1.592
-2.390 0.3580 -4.440 -1.035
-8.649 0.1339 -3.142 -1.867
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.058 -3.277 -1.722 -6.621
-2.266 -7.912 -2.475 -7.759
-2.036 -2.813 -6.636 -6.379
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.8923 -2.6157 4.221 -2.0442
-2.6839 -1.3547 1.309 0.8002
-0.4761 -0.4517 3.594 -0.2046
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.2087 2.2450 -6.511 -1.548
-0.6986 1.1029 -4.731 -5.062
-0.6192 0.8671 -7.047 -1.662
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.6684 -2.265 -1.700 -4.9479
-1.1130 -1.472 -1.680 -0.1652
0.6401 -2.395 -1.338 -2.6568
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.7015 0.08749 -0.2905 0.5236
-0.9355 -2.72142 -5.8338 -1.7462
2.3391 -3.97709 -3.2066 2.3333
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.1279 -2.340 1.23278 -2.246
1.0969 -2.127 -0.06579 1.291
-0.2845 -8.274 -2.90456 -2.205
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.070 -1.2129 0.5526 -1.193
2.163 0.6895 -0.1399 1.657
2.340 -2.7736 -0.1222 6.034
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.58142 -2.573 0.07832 -2.585
0.10960 -1.791 -2.44495 -4.467
0.03614 -1.347 -1.90326 -3.056
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.155 -1.517 0.9609 0.3367
-3.247 -2.234 -1.2976 -0.6444
-0.483 -2.641 0.5404 -2.8185
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.762 -0.29314 3.365 -1.8388
-1.689 -0.06765 2.005 1.1473
-1.072 -0.05204 2.818 -0.2759
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.631 6.489 8.398 2.722
4.118 8.183 2.319 6.895
2.795 7.182 8.797 8.744
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.5501 -2.1244 0.7508 0.8963
6.3737 -0.8748 3.7280 0.2467
7.8297 -1.5119 4.3454 0.8106
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.097 -0.6049 -2.5774 0.5301
7.295 1.1825 -3.2709 -0.1335
5.946 -0.7439 0.1766 1.0806
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.274 1.014 5.338 2.896
-0.981 2.950 2.030 1.620
-3.697 3.661 8.609 2.481
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1084 -0.5259 -0.2031 0.4192
0.3413 -0.4366 -0.1636 -0.2937
-0.8809 -0.7347 -0.9114 -1.2868
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2618 0.413334 -1.823 130.9
1.0222 1.315218 -1.638 138.2
3.1204 -0.001838 -1.934 148.8
rnd_95776.volume rnd_95787.volume
-2.813 -1.690
-16.496 -9.422
3.094 -9.331
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.957 1.237 6.401 2.478 2.524 0.5486 0.9713 2.275 2.331 1.946 1.662
[2,] 2.539 1.527 7.253 3.311 3.194 0.6938 1.1394 2.636 2.966 2.917 2.302
[3,] 2.897 1.731 8.417 4.017 3.928 0.7846 1.2833 2.990 3.379 3.319 2.515
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.558 1.385 2.128 1.666 1.875 2.236 2.068 2.674 2.496 5.201 1.956
[2,] 2.355 1.711 2.759 2.229 2.297 3.199 3.070 3.790 3.501 6.183 2.235
[3,] 2.666 2.026 3.122 2.792 2.639 3.865 3.732 4.747 4.370 6.858 2.501
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.956 3.181 0.3012 2.688 3.027 0.5725 2.599 0.2928 2.815 0.917 0.4786
[2,] 7.512 3.862 0.3470 3.458 3.917 0.7001 3.570 0.3601 3.826 1.054 0.6195
[3,] 8.962 4.411 0.3926 4.082 4.639 0.8067 4.141 0.4128 4.450 1.170 0.7224
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.582 2.889 2.457 1.925 1.628 1.510 0.7285 1.478 0.5779 1.305 1.586
[2,] 3.225 3.617 3.087 2.309 2.162 1.807 0.9139 1.801 0.6982 1.668 2.009
[3,] 4.151 4.332 3.792 2.605 2.524 2.051 1.0408 2.008 0.8319 1.966 2.305
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.471 0.7710 1.456 2.223 2.471 1.631 2.365 2.191 0.9599 1.679 1.745
[2,] 1.845 0.9418 2.059 2.852 2.962 1.998 3.280 2.683 1.1648 2.556 2.223
[3,] 2.132 1.0600 2.416 3.283 3.439 2.214 3.827 2.950 1.3236 3.380 2.778
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.585 1.139 1.545 0.4656 1.636 0.6340 1.402 1.290 1.356 1.730 0.6401
[2,] 2.193 1.943 1.968 0.5586 2.069 0.7510 1.686 1.562 2.004 2.501 0.8042
[3,] 2.707 2.386 2.276 0.6345 2.711 0.8603 1.980 1.771 2.356 2.860 0.9237
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.881 1.332 1.652 0.8079 2.150 1.526 2.452 2.048 3.567 2.724 1.404
[2,] 2.495 1.723 2.404 0.9600 2.494 2.604 3.125 3.557 4.166 3.759 2.630
[3,] 2.874 1.965 3.004 1.1015 2.785 3.026 3.501 4.077 4.654 4.605 3.949
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6196 1.593 1.380 2.378 1.285 1.324 0.5951 1.302 1.403 3.625 2.891
[2,] 0.7670 2.643 1.652 3.017 1.516 1.669 0.7482 1.842 1.717 4.361 3.389
[3,] 0.8915 3.522 1.847 3.851 1.677 1.901 0.8510 2.309 2.001 4.832 3.800
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6158 0.6252 1.009 1.117 1.553 0.898 0.3947 3.194 5.69 3.107
[2,] 0.9296 1.1891 1.270 1.338 1.819 1.084 0.4649 4.947 8.18 3.970
[3,] 1.2548 1.3852 1.487 1.566 2.060 1.193 0.5260 6.550 9.40 4.586
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 2.485 1.571 8.129 3.147 3.205 0.6966 1.233
[2,] 1897.995 1051.385 4003.516 2577.856 2297.161 498.6213 699.143
[3,] 1636.913 955.078 5012.273 2669.469 2684.973 429.9691 693.029
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 2.889 2.96 2.471 2.111 1.979 1.758 2.702
[2,] 1561.109 2152.92 2550.360 1869.423 2073.411 1179.041 2060.641
[3,] 1656.608 1898.89 1859.378 1188.401 1464.593 1273.784 1716.655
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.116 2.381 2.84 2.625 3.395 3.17 6.605 2.484
[2,] 1736.992 1557.275 2684.48 2664.440 3152.831 2880.69 3923.658 1268.824
[3,] 1973.758 1525.511 2546.33 2490.266 3355.928 3071.27 3484.304 1318.182
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 7.563 4.039 0.3825 3.414 3.844 0.727 3.301
[2,] 5374.276 2572.312 202.1965 2552.576 2917.881 472.975 2872.528
[3,] 5736.924 2500.322 215.5854 2546.867 2917.888 470.364 2463.528
[,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 0.3718 3.575 1.164 0.6077 3.279 3.669 3.121
[2,] 246.0091 3040.789 610.461 461.6677 2266.665 2553.951 2193.703
[3,] 236.9028 2668.252 597.059 436.1324 3069.015 2797.365 2583.971
[,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 2.444 2.067 1.918 0.9251 1.877 0.7338 1.657
[2,] 1498.304 1670.409 1164.913 647.6698 1207.231 459.8044 1220.056
[3,] 1414.678 1528.742 1139.023 584.7125 1043.429 531.0230 1221.350
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 2.014 1.868 0.979 1.85 2.823 3.138 2.071 3.003
[2,] 1447.647 1306.610 634.903 1708.22 2096.020 1918.047 1353.927 2667.954
[3,] 1326.153 1255.091 571.105 1483.21 1908.666 2050.520 1119.963 2313.910
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.782 1.219 2.132 2.216 2.012 1.446 1.962
[2,] 1819.491 774.624 2262.075 1616.266 1778.774 1847.939 1431.007
[3,] 1438.231 737.737 2597.152 1956.442 1863.290 1624.978 1341.657
[,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.5913 2.077 0.805 1.781 1.638 1.722 2.196
[2,] 362.1969 1486.845 472.493 1097.954 1033.731 1731.860 2119.962
[3,] 353.3088 2057.354 492.610 1218.427 979.958 1454.801 1629.214
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.8129 2.388 1.692 2.097 1.026 2.73 1.938 3.113
[2,] 571.3597 1924.362 1282.750 2050.826 608.688 1484.61 2476.793 2275.183
[3,] 533.4113 1675.264 1108.562 2113.565 634.056 1454.59 1808.573 1851.016
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.6 4.529 3.458 1.783 0.7868 2.023 1.752 3.02
[2,] 3414.4 2525.792 3041.497 2610.412 530.6110 2474.755 1066.919 2179.66
[3,] 2337.2 2437.195 3122.064 3458.106 533.5206 2732.673 970.077 2807.73
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.632 1.681 0.7557 1.653 1.781 4.603 3.67 0.7819
[2,] 943.904 1193.977 532.2774 1528.684 1161.093 2846.179 2075.69 817.4567
[3,] 841.011 1066.252 476.0337 1635.523 1205.913 2442.832 2019.23 989.3278
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.7939 1.281 1.419 1.972 1.14 0.5012 4.055 7.225
[2,] 1187.2985 905.726 863.242 1111.393 713.24 288.3136 4434.399 6897.632
[3,] 833.8991 908.240 955.178 1133.987 585.14 288.7855 5039.576 5436.523
[,98]
[1,] 3.945
[2,] 2899.778
[3,] 2696.647
[1] "--- VAR model 2017-10-01 18:01:00 completed"
[1] "Completed training sample: 2017-10-01 18:01:00 - 2017-10-02 02:00:00"
[1] "SpVAR; training sample: 2017-10-01 18:31:00 - 2017-10-02 02:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5871 -0.9431 -3.471 -4.828
0.1417 0.7909 -7.638 -8.334
-0.8041 1.3201 -4.188 -5.305
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.826 0.04116 -0.53446 -0.0845
-4.427 0.11953 -0.09576 -3.1724
-6.691 0.60704 -0.77302 1.0236
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.1110 2.9590 2.9972 -1.97864
-0.7936 -0.1234 1.4618 -0.07065
-0.6736 -2.3124 0.4738 -3.17337
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.3626 9.059 -2.444 6.396
1.2498 14.293 1.944 6.803
1.0708 10.395 -1.362 7.998
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.4604 0.5277 0.9094 0.7183
-0.7882 -4.9705 -0.6891 6.9190
2.0006 2.5318 -1.6192 -2.1171
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.848 3.1199 -22.61 -7.286
-8.016 -0.1081 -10.56 -5.015
-4.304 0.8659 -16.64 -6.563
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.02051 -2.031 -3.195 -0.03215
-0.24195 -3.679 -9.925 -0.78895
-0.15044 -6.078 -3.050 -0.23812
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.363 -0.3064 -7.143 -2.136
-4.432 -0.1915 -6.612 -1.108
-7.746 -0.0123 -8.754 -1.775
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2997 -5.642 -4.083 -7.947
-0.4558 -6.115 -3.590 -6.290
-0.7357 -8.903 -5.947 -9.008
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9031 1.0097 0.08038 -0.7682
-0.8402 0.4500 0.05740 0.4293
1.0064 -0.7959 0.59994 -0.4532
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.3615 0.5296 -2.731 -5.784
-1.2254 0.1278 -3.171 -5.005
1.4458 -0.4229 -2.090 -3.325
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.551 -0.6393 -2.104 0.52792
2.253 -0.5279 -3.268 -0.33574
2.300 0.1848 -0.504 -0.06369
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.611 1.182 -2.063 -0.3466
0.220 -1.386 -1.015 0.9506
1.582 -1.371 -2.302 1.0009
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.68155 3.9801 1.7330 0.003544
-0.03839 -0.2312 -1.7675 0.800192
-1.78797 -2.4816 0.8678 0.189545
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.3016 2.40303 0.8192 0.3045
2.1948 -0.45996 0.2084 0.6340
0.4745 0.03997 0.1906 2.3124
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3766 0.2101 -1.213 -1.6484
-0.3231 -0.2322 1.074 -1.1818
-0.2461 1.4561 1.243 -0.5166
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2345 -0.2410 0.223 -0.75725
-0.9045 -0.5649 -1.256 -0.49021
-1.1837 0.3397 -1.660 -0.06863
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.4583 1.73868 -0.4634 0.7398
0.7016 -0.07044 -1.1156 -1.1035
-0.9663 0.07325 0.3064 -2.2453
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.082 -3.7112 3.7820 1.3254
-2.270 -3.1019 4.0420 0.7275
1.299 0.3401 -0.8891 -2.4609
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.3445 1.0017 -0.2673 2.2502
0.7261 0.3184 -0.5541 -0.2943
-0.4738 0.3338 1.7224 0.3528
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.8777 -0.6106 0.6042 -0.8807
1.7559 0.8548 -0.3310 0.1242
-0.9705 -1.0762 -0.2692 0.7544
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.1827 -0.9743 5.050 2.0174
0.8509 0.9542 3.290 -0.4521
-1.5202 -0.1118 -1.081 -0.8435
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7812 -0.6157 -0.05498 0.5709
-0.8377 0.6096 0.71387 0.3861
0.9698 0.8177 0.58844 0.2281
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4498 0.5529 -1.062 123.0
-0.6979 0.7450 -1.013 114.4
0.5447 0.1547 -1.272 113.0
rnd_95776.volume rnd_95787.volume
0.06272 -6.844
-8.54922 -4.185
-1.13286 -5.428
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.690 1.037 5.322 2.128 2.103 0.5124 0.8954 2.123 2.244 1.768 1.453
[2,] 2.165 1.297 6.159 2.827 2.717 0.6322 1.0311 2.453 2.789 2.734 2.081
[3,] 2.441 1.513 6.939 3.549 3.404 0.7156 1.1305 2.795 3.157 3.052 2.345
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.383 1.309 1.901 1.493 1.764 1.947 1.816 2.513 2.444 4.862 1.796
[2,] 2.083 1.546 2.524 2.035 2.173 2.848 2.656 3.417 3.242 5.797 2.085
[3,] 2.388 1.806 2.925 2.602 2.538 3.494 3.216 4.282 3.985 6.411 2.310
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 5.253 2.676 0.2724 2.352 2.672 0.4954 2.446 0.2822 2.255 0.8606
[2,] 6.679 3.359 0.3146 3.061 3.604 0.6194 3.173 0.3466 3.114 0.9958
[3,] 7.982 3.852 0.3568 3.552 4.232 0.7089 3.748 0.3910 3.730 1.1191
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4601 2.287 2.387 1.952 1.882 1.485 1.387 0.6957 1.280 0.5260 1.123
[2,] 0.5802 2.731 3.019 2.551 2.296 2.001 1.645 0.8580 1.586 0.6524 1.387
[3,] 0.6749 3.453 3.589 3.201 2.559 2.338 1.861 0.9529 1.789 0.7637 1.596
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.272 1.403 0.6969 1.360 2.096 2.233 1.404 2.240 2.064 0.9218 1.497
[2,] 1.609 1.735 0.8591 1.917 2.626 2.650 1.820 3.073 2.553 1.1070 2.340
[3,] 1.877 2.019 0.9721 2.242 3.001 3.100 2.038 3.655 2.794 1.2722 3.093
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.596 1.453 1.146 1.509 0.4454 1.563 0.6145 1.326 1.179 1.207 1.557
[2,] 2.029 2.031 1.813 1.846 0.5238 1.939 0.7288 1.578 1.397 1.898 2.332
[3,] 2.554 2.517 2.199 2.112 0.5967 2.535 0.8277 1.855 1.573 2.204 2.664
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5967 1.561 1.165 1.489 0.7201 1.894 1.345 2.125 1.797 3.292 2.611
[2,] 0.7487 2.234 1.464 2.124 0.8874 2.262 2.244 2.792 3.242 3.929 3.526
[3,] 0.8396 2.627 1.657 2.719 1.0198 2.524 2.646 3.134 3.764 4.350 4.348
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.465 0.5752 1.487 1.211 2.163 1.096 1.197 0.5224 1.240 1.137 3.292
[2,] 2.571 0.7083 2.535 1.490 2.877 1.362 1.525 0.6614 1.699 1.427 3.858
[3,] 3.788 0.8160 3.254 1.697 3.584 1.518 1.749 0.7560 2.153 1.618 4.321
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.732 0.5181 0.5738 0.8187 0.896 1.453 0.7506 0.3578 4.316 5.396
[2,] 3.178 0.7789 1.0428 1.0860 1.120 1.716 0.9184 0.4292 5.926 7.750
[3,] 3.608 1.0650 1.2163 1.2767 1.308 1.950 1.0253 0.4827 7.340 8.896
[,98]
[1,] 2.689
[2,] 3.508
[3,] 4.062
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.146 1.317 6.758 2.702 2.671 0.6506 1.137 2.695
[2,] 1569.473 903.066 3593.590 2158.344 1993.943 429.5025 592.873 1424.380
[3,] 1307.298 903.165 3707.438 2486.179 2378.119 388.6821 537.357 1553.540
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.85 2.245 1.845 1.757 1.662 2.414 1.895 2.24
[2,] 1919.17 2418.394 1727.908 1805.275 953.951 1926.283 1603.305 1471.08
[3,] 1714.70 1571.729 1252.514 1354.505 1081.281 1713.948 1881.158 1519.94
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.472 2.307 3.191 3.103 6.174 2.28 6.671
[2,] 2409.619 2246.995 2684.354 2469.920 3659.579 1229.40 4781.081
[3,] 2346.570 2102.128 2992.160 2687.072 3173.293 1150.79 5069.049
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 3.398 0.3459 2.987 3.393 0.6291 3.107 0.3583
[2,] 2354.501 182.3847 2271.036 2803.631 431.1548 2342.007 233.2296
[3,] 2186.649 195.2368 2089.083 2573.424 399.7996 2313.267 209.9245
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 2.863 1.093 0.5843 2.904 3.031 2.479 2.39 1.885
[2,] 2489.899 580.962 409.6521 1731.834 2141.958 1904.893 1524.96 1555.657
[3,] 2381.737 592.008 399.7581 2450.190 2251.960 2240.353 1310.81 1400.468
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.761 0.8834 1.625 0.6679 1.426 1.615 1.781 0.885
[2,] 1024.344 582.2149 1085.917 447.4705 942.583 1142.132 1184.627 582.483
[3,] 1009.063 480.7407 960.906 460.2508 916.573 1120.999 1195.575 527.219
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.727 2.662 2.836 1.783 2.844 2.621 1.171
[2,] 1566.795 1832.846 1653.518 1342.230 2440.157 1741.062 710.600
[3,] 1348.732 1683.881 1866.583 1063.370 2294.539 1315.853 726.798
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 1.901 2.026 1.845 1.455 1.916 0.5656 1.985
[2,] 2085.859 1453.271 1644.884 1629.962 1232.920 319.6077 1330.228
[3,] 2343.619 1798.061 1723.264 1442.208 1188.244 331.4524 1892.435
[,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 0.7803 1.684 1.497 1.532 1.977 0.7578 1.982
[2,] 454.2533 990.137 868.967 1698.915 2012.605 524.2211 1852.380
[3,] 454.9391 1130.560 839.853 1298.863 1493.954 440.5687 1603.139
[,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.479 1.89 0.9144 2.405 1.708 2.699 2.282
[2,] 1027.593 1756.37 601.2293 1433.679 2082.000 2098.408 3128.243
[3,] 901.312 1968.68 582.5369 1299.298 1625.984 1652.020 2217.093
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.181 3.316 1.86 0.7304 1.889 1.538 2.746 1.391
[2,] 2485.399 2747.553 2450.31 479.1075 2380.406 1005.387 2198.814 937.850
[3,] 2163.930 2949.256 3225.64 469.8699 2364.946 943.261 2479.521 776.419
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.52 0.6633 1.574 1.444 4.181 3.47 0.6579
[2,] 1094.87 470.3632 1347.253 1000.539 2331.859 1882.14 674.3106
[3,] 993.93 424.5137 1533.093 882.739 2257.242 1980.96 842.1036
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.7287 1.04 1.138 1.845 0.9532 0.4544 5.48 6.852
[2,] 1009.4826 827.25 778.373 1059.709 613.4743 274.8452 4708.02 6449.553
[3,] 725.9934 778.20 783.992 1072.517 528.6869 255.9930 5022.40 5064.277
[,98]
[1,] 3.414
[2,] 2612.609
[3,] 2374.361
[1] "--- VAR model 2017-10-01 18:31:00 completed"
[1] "Completed training sample: 2017-10-01 18:31:00 - 2017-10-02 02:30:00"
[1] "SpVAR; training sample: 2017-10-01 19:01:00 - 2017-10-02 03:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5097 -0.8155 -6.136 -9.842
1.0238 1.3287 1.513 -8.108
0.2413 1.2443 -5.972 -5.622
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.606 0.56606 -0.6589 -2.0641
-9.117 -0.40887 0.4853 -0.3962
-7.911 -0.03409 -0.5995 -2.1099
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.3508 0.0984 2.4738 -3.209
-4.3415 -1.4354 1.6334 -1.650
-1.1246 -0.6228 -0.1517 -4.500
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1598 9.376 -2.449 5.736
0.1456 8.270 -1.569 6.923
0.4733 8.640 -3.317 3.413
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.158 -0.1103 -2.33960 -0.2285
-1.815 -1.1149 -5.71983 -1.1287
-4.490 -1.2815 -0.06613 1.4569
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.883 1.4920 -18.66 -10.316
-6.250 -0.3988 -18.91 -2.145
-1.776 2.7407 -19.30 -5.385
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.02631 -7.433 -6.245 0.23714
0.16463 -2.489 -8.005 0.02542
0.42143 -2.126 -6.761 -0.28208
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.978 0.35511 -5.931 -1.6392
-9.879 0.47504 -7.347 -0.6351
-8.120 -0.01224 -10.824 -0.6364
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7387 -6.599 -5.313 -2.585
0.0146 -8.254 -6.055 -6.939
-0.8058 -9.548 -5.513 -6.100
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.04749 -2.450 2.1836 0.65838
-1.54121 -3.442 1.4616 -0.09782
-0.70983 -1.183 -0.8283 -0.22452
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.6790 -0.04972 -2.191 -3.989
-0.8046 0.74831 -3.644 -3.960
-0.6390 0.72964 -2.990 -2.834
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.132 -1.7452 -2.294 -0.6370
1.040 0.6363 -1.852 0.5839
-1.455 0.1840 -2.606 0.8630
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.9636 0.5338 0.9012 0.7479
1.4722 -0.9694 1.3474 -1.6126
0.9587 -0.2199 -3.6052 0.6554
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.14917 -1.061 -0.5971 2.716
0.06652 1.411 0.5480 -3.044
-0.36330 -3.193 -0.1505 1.049
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.1528 1.629 0.17136 -0.1592
-0.8810 1.253 -0.03076 1.4808
0.4068 1.187 0.44271 0.4902
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1611 0.6839 1.4093 -0.7946
-0.5603 0.1422 -0.9868 1.2340
-0.1792 0.5581 0.6236 -0.5089
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.23356 -0.3408 -1.5907 0.5431
1.11985 0.6675 2.4559 2.2986
-0.01515 0.6414 -0.7657 2.1977
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.781 -0.3997 -0.15637 1.6087
1.421 -0.2952 0.26311 -0.3654
2.125 1.1657 0.06504 0.2077
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6926 -0.9067 3.596 -2.6748
0.6202 -0.9598 1.716 4.6408
1.0841 2.0947 1.361 -0.6629
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.4504 -0.08561 0.373 0.2586
0.7367 -0.24922 -1.517 1.1627
0.2203 0.34693 1.002 -1.7283
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.0621 0.3463 1.0250 0.2502
0.6846 1.5273 0.3229 -0.3452
0.5622 0.2918 1.4702 0.4830
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.023 -1.0862 4.444 -1.9433
-2.867 0.4365 5.209 -0.5354
-1.469 0.6962 3.550 1.6150
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8045 -0.2282 -0.8507 -0.8788
-0.4621 -0.9919 -0.6593 -0.4426
-0.8561 -0.0131 0.5577 0.9782
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.74789 -0.9948 -0.2737 108.8
0.89218 -0.3039 -0.1735 107.0
-0.06039 -0.6241 -0.3443 107.7
rnd_95776.volume rnd_95787.volume
3.423 -8.537
-7.300 -7.266
-5.837 -5.775
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.505 0.8829 4.781 1.844 1.766 0.4534 0.8448 1.795 2.097 1.699 1.334
[2,] 1.961 1.1447 5.720 2.395 2.416 0.5647 0.9668 2.096 2.555 2.518 1.906
[3,] 2.210 1.3438 6.413 2.866 3.007 0.6492 1.0690 2.396 2.862 2.780 2.157
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.258 1.202 1.710 1.306 1.665 1.740 1.595 2.212 2.310 4.448 1.704
[2,] 1.939 1.444 2.338 1.815 2.053 2.561 2.311 3.046 2.965 5.138 1.984
[3,] 2.205 1.668 2.652 2.358 2.456 3.198 2.895 3.764 3.605 5.865 2.201
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 4.332 2.167 0.2484 2.060 2.303 0.4570 2.053 0.2624 1.843 0.7663
[2,] 5.807 2.818 0.2848 2.679 3.126 0.5772 2.613 0.3101 2.517 0.8816
[3,] 6.689 3.216 0.3206 3.222 3.752 0.6503 3.080 0.3602 3.129 1.0090
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4083 1.937 1.953 1.690 1.663 1.387 1.233 0.5868 1.123 0.4867 1.027
[2,] 0.5085 2.374 2.499 2.225 1.994 1.846 1.472 0.7491 1.365 0.5877 1.224
[3,] 0.5848 2.993 2.918 2.740 2.257 2.128 1.638 0.8560 1.547 0.6736 1.373
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.040 1.234 0.6574 1.269 2.042 2.074 1.283 2.170 1.841 0.8278 1.395
[2,] 1.323 1.574 0.7999 1.727 2.500 2.500 1.676 2.838 2.255 1.0309 2.136
[3,] 1.580 1.814 0.8997 2.006 2.803 2.854 1.902 3.263 2.512 1.1661 2.924
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.408 1.321 1.120 1.313 0.4191 1.486 0.6260 1.245 1.078 1.107 1.418
[2,] 1.796 1.873 1.665 1.609 0.4986 1.820 0.7461 1.504 1.283 1.786 2.112
[3,] 2.290 2.279 2.009 1.865 0.5562 2.332 0.8213 1.787 1.466 2.070 2.464
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5636 1.414 1.076 1.278 0.6497 1.675 1.182 1.857 1.599 2.913 2.354
[2,] 0.7037 2.011 1.342 1.893 0.8289 1.957 1.892 2.353 2.762 3.531 3.212
[3,] 0.7768 2.355 1.494 2.414 0.9588 2.233 2.229 2.649 3.273 3.921 3.739
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.365 0.4930 1.398 1.147 2.056 0.9986 1.106 0.4617 1.195 0.9703 2.842
[2,] 2.339 0.6027 2.373 1.369 2.739 1.2288 1.396 0.5978 1.603 1.2215 3.439
[3,] 3.226 0.7002 2.969 1.583 3.316 1.3986 1.600 0.6568 2.012 1.4132 3.873
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.484 0.4726 0.5018 0.7156 0.8111 1.364 0.7100 0.3524 4.817 4.910
[2,] 2.899 0.7112 0.9474 0.9394 0.9746 1.622 0.8505 0.4094 6.422 7.344
[3,] 3.299 0.9618 1.0831 1.0898 1.1362 1.845 0.9371 0.4598 7.958 8.361
[,98]
[1,] 2.228
[2,] 2.910
[3,] 3.377
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.912 1.121 6.072 2.341 2.242 0.5758 1.073 2.279
[2,] 1405.859 815.454 3514.007 1710.379 1846.134 376.5884 526.113 1211.052
[3,] 1141.934 787.658 3243.677 1762.892 2002.392 358.5084 510.473 1299.874
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.663 2.157 1.693 1.597 1.527 2.171 1.658
[2,] 1634.158 2080.070 1524.738 1652.107 894.274 1785.734 1411.006
[3,] 1442.467 1318.908 1129.427 1175.780 935.294 1398.861 1684.558
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.114 2.21 2.025 2.808 2.933 5.648 2.164
[2,] 1344.312 2102.02 1871.676 2344.554 2080.623 2877.632 1135.462
[3,] 1509.144 2143.33 1950.821 2475.180 2295.596 3166.843 1066.320
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 5.501 2.751 0.3154 2.616 2.925 0.5804 2.607
[2,] 4328.608 2015.672 156.0621 1916.726 2365.098 394.4927 1807.998
[3,] 3715.078 1735.647 164.8031 2002.943 2322.109 335.3607 1825.144
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.3332 2.341 0.9731 0.5185 2.46 2.48 2.146 2.112
[2,] 184.9615 1918.668 487.8509 339.2250 1536.43 1744.08 1620.161 1231.103
[3,] 205.0880 2079.055 549.2950 323.2839 2038.94 1687.23 1789.530 1184.189
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.762 1.566 0.7451 1.426 0.618 1.304 1.321 1.568
[2,] 1363.123 899.481 521.1631 868.189 368.711 745.202 914.089 1093.506
[3,] 1184.424 804.793 463.6289 814.217 368.276 695.433 967.744 1007.838
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.8349 1.611 2.594 2.633 1.63 2.755 2.338 1.051
[2,] 509.9020 1310.430 1613.194 1561.563 1206.92 2046.638 1457.169 687.622
[3,] 461.0475 1142.189 1419.480 1542.522 1005.24 1802.309 1239.014 609.813
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 1.772 1.788 1.677 1.422 1.668 0.5322 1.887
[2,] 1809.248 1247.780 1486.032 1379.428 1039.557 302.1568 1177.038
[3,] 2235.086 1590.267 1453.338 1257.912 1055.288 275.9544 1631.229
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.795 1.581 1.369 1.405 1.8 0.7157 1.795 1.367
[2,] 454.216 943.312 778.087 1568.358 1752.4 471.5334 1600.402 898.275
[3,] 384.397 1081.238 794.270 1172.767 1419.3 368.2960 1372.501 733.639
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.623 0.825 2.127 1.501 2.358 2.03 3.699 2.99
[2,] 1562.267 576.054 1133.793 1654.005 1616.739 2521.21 2233.288 2445.70
[3,] 1676.590 539.285 1202.890 1318.504 1361.138 1963.94 1907.341 2142.21
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.734 0.626 1.775 1.456 2.611 1.268 1.404 0.5863
[2,] 2125.491 387.950 2146.139 836.197 2024.620 801.372 954.321 424.9513
[3,] 2486.928 399.006 1995.968 889.475 2092.503 747.432 875.065 304.5533
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.518 1.232 3.609 3.154 0.6002 0.6373 0.9088 1.03
[2,] 1195.251 830.360 2167.023 1673.246 594.6919 899.3322 680.9871 604.64
[3,] 1361.628 795.435 1992.866 1762.722 724.6509 587.5072 618.2443 653.61
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.731 0.9016 0.4475 6.117 6.235 2.83
[2,] 982.691 524.0687 233.1938 4752.130 6111.753 2094.22
[3,] 985.228 440.2505 234.2242 5260.697 4472.977 1917.99
[1] "--- VAR model 2017-10-01 19:01:00 completed"
[1] "Completed training sample: 2017-10-01 19:01:00 - 2017-10-02 03:00:00"
[1] "SpVAR; training sample: 2017-10-01 19:31:00 - 2017-10-02 03:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.287 -0.2448 -4.411 -9.051
-4.347 0.5876 -2.450 -5.113
1.562 0.6571 -8.627 -7.265
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.921 1.14489 1.245 -1.622
-10.175 0.09398 1.501 -0.337
-3.078 -0.43788 1.506 -1.707
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.8103 -0.5814 -0.5141 1.166
0.2581 -1.0578 -2.7189 -3.498
-1.1260 -1.4992 2.1619 -1.248
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.6885 15.13 -0.9129 6.604
2.2612 10.94 2.2510 4.983
0.1466 10.95 0.2412 4.174
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.2285 4.7716 1.6750 6.598
0.8112 1.1523 0.4057 2.617
-4.0828 0.3942 4.6659 6.820
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3284 -3.032 -15.95 -3.565
-9.0821 -2.138 -13.45 -7.826
-3.3032 2.041 -19.66 -12.090
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.52375 -5.289 -7.498 0.2295
-0.32558 -5.823 -3.908 -0.1304
-0.07747 -4.439 -6.854 -0.5592
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.074 -0.17408 -7.014 -2.8119
-9.286 0.08951 -7.653 -2.0417
-4.997 -0.39521 -8.600 -0.9019
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8992 -6.209 -4.106 -7.144
-1.3500 -8.534 -8.953 -7.533
-0.6970 -6.898 -7.727 -8.091
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.2456 -1.6925 2.1393 0.8212
-0.2211 0.3223 0.3751 -0.6308
-1.2273 -2.5704 0.7361 -0.2524
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4483 0.4023 -4.384 -3.487
-0.2276 0.1313 -5.164 -4.537
0.9078 -0.2798 -5.069 -3.946
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.515 0.9328 -0.7461 -3.1564
-1.694 -0.7813 -1.9663 2.9398
1.809 -0.5589 -4.7821 0.7071
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.128 0.1096 4.283 3.6374
4.955 1.7591 5.095 0.5308
3.601 3.7217 -2.727 1.1170
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.2213 -4.657 -3.816 0.02658
0.6193 5.147 3.522 1.52301
-0.8243 1.232 1.828 4.09473
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.9832 -0.78214 0.1142 0.7986
-0.3812 0.69429 0.5385 0.0653
2.1167 -0.07012 0.4744 -0.3954
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6828 -0.6967 3.822 0.1085
0.6668 1.0199 1.152 2.4151
-0.8306 -1.9989 1.297 3.5217
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.7187 1.0496 -1.623 -1.231
3.0186 1.3391 2.564 2.200
1.1356 -0.1704 1.274 -1.076
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.775 -1.8338 1.678 4.7612
1.233 -1.7466 -2.447 0.3498
3.532 -0.6573 2.482 -2.0562
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.821 2.726 3.828 4.054
1.547 4.092 2.224 7.121
1.267 -3.513 4.654 1.380
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.778 0.4865 0.6584 0.5103
5.798 0.3037 3.8458 -0.3176
5.325 -0.5015 3.7892 -2.4013
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.76683 0.4289 -3.506 -0.02848
-0.05736 -1.9748 -0.305 1.77845
4.02756 1.0975 2.137 0.68611
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.294 0.9035 1.1329 0.9592
-4.302 0.5476 -0.7986 2.1741
-1.472 1.5448 -2.2506 0.2895
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6730 -0.58000 -0.1322 -0.3922
-0.5467 0.01177 -0.2901 -0.3486
-0.4808 -0.13865 0.3887 0.6994
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2538 0.2418 -0.9695 117.5
-0.6886 -0.1711 -1.5173 115.2
-2.3455 -1.2440 -1.0911 117.8
rnd_95776.volume rnd_95787.volume
9.051 -3.534
5.492 -5.248
-2.195 -9.716
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.335 0.7892 4.399 1.483 1.530 0.3967 0.7725 1.726 1.886 1.535 1.145
[2,] 1.769 0.9828 5.241 1.934 2.019 0.5063 0.8961 1.973 2.337 2.304 1.673
[3,] 2.031 1.1203 5.857 2.425 2.402 0.5792 1.0094 2.194 2.611 2.584 1.921
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.163 1.140 1.625 1.170 1.591 1.655 1.453 2.000 2.084 4.041 1.567
[2,] 1.800 1.332 2.109 1.628 1.962 2.368 2.060 2.814 2.817 4.780 1.920
[3,] 2.079 1.527 2.442 2.159 2.270 2.988 2.606 3.446 3.367 5.455 2.160
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.581 1.829 0.2216 1.722 2.146 0.4092 1.682 0.2281 1.570 0.6880
[2,] 4.758 2.335 0.2561 2.226 2.723 0.5308 2.140 0.2811 2.108 0.7971
[3,] 5.378 2.737 0.2897 2.720 3.271 0.5953 2.580 0.3238 2.578 0.9142
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.3452 1.702 1.661 1.444 1.402 1.254 1.063 0.4698 1.008 0.4164 0.8618
[2,] 0.4204 2.061 2.049 1.913 1.654 1.668 1.266 0.5923 1.205 0.5134 1.0187
[3,] 0.4877 2.550 2.302 2.258 1.933 1.903 1.407 0.6865 1.361 0.5975 1.1635
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 0.8376 1.202 0.6031 1.032 1.829 1.928 1.221 2.034 1.638 0.7487 1.293
[2,] 1.0777 1.495 0.7334 1.512 2.215 2.361 1.578 2.690 2.003 0.9279 1.993
[3,] 1.2497 1.730 0.8379 1.769 2.500 2.701 1.771 3.042 2.267 1.0309 2.637
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.251 1.223 0.9985 1.238 0.3720 1.338 0.6395 1.126 0.9523 1.018 1.356
[2,] 1.621 1.705 1.5417 1.449 0.4421 1.663 0.7331 1.330 1.1472 1.616 1.937
[3,] 2.039 2.077 1.8247 1.660 0.4962 2.104 0.7985 1.609 1.2984 1.859 2.212
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5042 1.347 0.9975 1.158 0.6058 1.508 1.029 1.715 1.496 2.789 2.084
[2,] 0.6303 1.864 1.2306 1.701 0.7746 1.771 1.695 2.140 2.451 3.352 2.887
[3,] 0.7053 2.206 1.3519 2.182 0.8850 2.057 2.041 2.411 2.907 3.725 3.393
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.325 0.4416 1.357 1.018 1.955 0.9048 0.9442 0.4248 1.123 0.8534
[2,] 2.241 0.5258 2.175 1.224 2.605 1.1276 1.2658 0.5324 1.493 1.0912
[3,] 3.023 0.6039 2.722 1.394 3.167 1.2835 1.4104 0.5949 1.845 1.2727
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.685 2.279 0.4102 0.4616 0.6309 0.7075 1.232 0.5742 0.3372 5.252
[2,] 3.249 2.711 0.6296 0.8412 0.7988 0.8317 1.446 0.7056 0.3959 6.784
[3,] 3.651 3.031 0.8663 0.9677 0.9515 0.9678 1.640 0.7788 0.4395 8.215
[,97] [,98]
[1,] 4.732 1.880
[2,] 6.579 2.407
[3,] 7.395 2.787
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 1.695 1.002 5.586 1.883 1.943 0.5037 0.9809
[2,] 1278.540 645.740 3141.160 1368.960 1451.054 346.8480 500.5925
[3,] 1099.855 592.557 2881.564 1613.387 1434.773 310.0641 512.1440
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.192 2.396 1.95 1.454 1.477 1.448 2.063 1.486
[2,] 1054.741 1521.350 1894.20 1344.711 1514.230 759.695 1482.770 1248.180
[3,] 1056.768 1282.867 1287.96 1040.339 1147.745 823.108 1356.470 1561.795
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.02 2.101 1.845 2.54 2.646 5.132 1.99 4.548
[2,] 1266.00 1867.370 1610.008 2182.13 2088.822 2814.052 1223.26 3452.857
[3,] 1258.40 2008.832 1759.696 2193.02 2034.258 2896.490 1089.81 2764.494
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 2.322 0.2814 2.187 2.725 0.5196 2.135 0.2897
[2,] 1600.864 141.5415 1554.932 1848.481 372.7109 1459.212 181.0970
[3,] 1574.147 149.2727 1722.269 1997.851 296.9607 1588.254 177.1701
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 1.994 0.8736 0.4383 2.161 2.11 1.834 1.781
[2,] 1550.247 443.8108 264.5539 1280.153 1321.90 1382.619 967.132
[3,] 1636.974 493.3604 272.4458 1656.618 1155.96 1322.217 1102.577
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.592 1.35 0.5966 1.28 0.5287 1.094 1.064 1.526
[2,] 1212.275 756.53 397.6213 726.99 331.0757 598.683 747.408 979.907
[3,] 1010.174 676.70 382.6014 698.30 336.9291 619.722 697.543 960.405
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.7658 1.311 2.323 2.449 1.55 2.583 2.08 0.9507
[2,] 459.8976 1217.411 1377.764 1501.923 1102.53 1939.611 1270.57 604.2294
[3,] 446.8170 1012.008 1277.711 1444.925 885.28 1566.929 1171.03 495.2186
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.641 1.589 1.552 1.268 1.572 0.4724 1.7 0.812
[2,] 1671.834 1136.349 1310.616 1294.892 831.174 263.2623 1088.4 395.127
[3,] 1903.189 1362.373 1305.973 1075.896 891.646 248.4131 1420.5 348.983
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.43 1.209 1.292 1.722 0.6402 1.71 1.267 1.471
[2,] 780.47 705.061 1383.989 1524.429 416.9606 1420.52 794.489 1373.247
[3,] 997.37 670.303 1012.165 1176.239 348.8335 1301.26 616.943 1506.296
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 0.7693 1.915 1.306 2.177 1.9 3.541 2.646 1.683
[2,] 531.9957 1023.600 1484.874 1412.270 2139.7 2050.571 2202.710 1991.666
[3,] 471.9998 1153.315 1253.928 1222.761 1722.7 1791.163 1963.600 2236.491
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.5608 1.723 1.293 2.483 1.149 1.199 0.5394 1.426
[2,] 314.4703 1873.105 749.861 1897.092 741.663 929.203 353.8412 1084.171
[3,] 327.5238 1803.587 734.561 1985.900 675.814 685.770 292.4736 1195.365
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 1.084 3.41 2.895 0.5209 0.5861 0.8012 0.8984 1.564
[2,] 749.549 2015.75 1617.264 526.5132 775.1434 539.9579 481.9366 835.337
[3,] 722.171 1837.22 1494.144 655.9407 527.4209 569.8308 545.4593 851.467
[,94] [,95] [,96] [,97] [,98]
[1,] 0.7291 0.4282 6.669 6.009 2.387
[2,] 452.0394 228.7107 4732.507 5038.819 1657.718
[3,] 363.4402 210.2759 5107.155 3720.054 1548.376
[1] "--- VAR model 2017-10-01 19:31:00 completed"
[1] "Completed training sample: 2017-10-01 19:31:00 - 2017-10-02 03:30:00"
[1] "SpVAR; training sample: 2017-10-01 20:01:00 - 2017-10-02 04:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.568 0.7293 -8.668 -10.350
6.754 0.2137 9.234 -8.557
2.377 1.9854 5.811 1.060
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.660 0.3002 -2.66275 1.4130
-2.368 -0.8535 0.06985 -3.2907
-8.524 -1.7773 -1.63063 -0.5259
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.369 1.865 -3.5753 0.05984
-2.533 -6.511 0.9158 -0.91107
-2.023 1.298 2.6155 -6.05164
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.778 0.04738 -2.2900 12.806
2.766 7.18863 -0.8522 7.735
-0.149 7.04312 -1.7514 11.142
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
6.375 3.658 11.778 4.972
-2.342 -2.542 -3.064 5.423
11.266 5.893 -1.961 -4.220
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
18.346 7.752 -11.880 -9.344
-7.964 -1.160 -4.943 -12.775
2.555 2.717 -16.311 -8.863
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.9212 -6.424 -8.691 0.1179
0.2495 -5.708 -2.338 0.2177
-0.7286 -9.995 -8.390 0.7755
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.1977 0.05469 -2.220 -1.3827
-12.8459 0.14710 -16.516 -1.6145
-0.7413 -0.68162 -5.994 -0.7719
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.514 -4.853 -8.243 -8.6896
-1.178 -9.606 -1.968 -0.7016
-1.725 -9.877 -6.458 -10.2241
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.380 -3.3271 1.8061 0.3240
1.650 -2.8990 0.1380 -0.5932
2.648 -0.5443 -0.4899 1.0812
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.858 2.3835 2.833 -1.9052
-3.913 -0.5762 -3.562 0.6938
-1.107 1.2902 -1.696 -3.3717
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9655 1.8749 -1.2560 3.694
1.1301 0.6666 -0.8276 -5.346
-1.0091 0.3436 -1.9644 1.222
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-6.037 0.2287 -5.851 7.40931
-6.214 1.3789 -2.510 1.54035
-1.616 1.2647 -6.037 -0.06952
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2185 3.645 3.3841 -0.8024
1.0289 -6.437 -0.8243 3.4460
-0.1640 -1.700 -3.9740 -10.3180
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.026 -2.5907 0.9899 -0.4141
1.998 0.3936 -0.2450 -0.3696
1.517 -0.2400 1.3162 0.9392
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.9343 0.1896 0.7167 -2.641
-1.4569 6.1206 3.7028 -1.818
0.4796 -2.1488 2.6194 4.638
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.25637 -0.4562 -0.9281 2.61470
0.00986 -0.2945 -1.5239 -0.00261
5.84014 -0.5886 4.1369 1.53966
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.225 0.6447 -0.3492 -0.22705
-2.757 1.5228 7.3710 -0.01118
5.381 1.1295 3.4760 7.53204
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.246 -0.3096 -2.9788 11.172
4.511 2.2343 -4.8929 -8.953
2.587 3.9693 0.9802 3.076
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.410 0.8409 4.520 -3.0130
-2.857 -0.7571 6.611 2.9670
1.482 -1.1880 -7.770 0.6612
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.9432 -1.239 -2.188 1.1039
6.4228 -1.048 -2.799 0.7891
-10.0718 1.142 -1.506 0.6846
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.2734 2.167 -3.085 -2.519
-5.2431 -3.912 5.600 -5.695
-1.0858 2.145 1.192 -0.737
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.0912 1.5552 0.8103 0.8411
1.7644 0.2658 0.7778 0.6081
-0.3358 -0.3283 -2.4199 -1.9102
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.4055 -0.7935 -0.1131 94.68
-2.7458 -0.2495 -1.2678 83.35
0.9242 -1.2653 -0.9277 79.87
rnd_95776.volume rnd_95787.volume
-15.987 -9.357
-2.265 -11.979
-19.035 -2.789
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.229 0.7305 3.731 1.303 1.800 0.3620 0.7071 1.509 1.650 1.422 0.9798
[2,] 1.607 0.9137 4.709 1.753 2.082 0.4599 0.8394 1.747 2.114 2.039 1.4811
[3,] 1.863 1.0454 5.323 2.130 2.391 0.5306 0.9583 1.992 2.393 2.359 1.7018
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.076 1.080 1.537 1.214 1.559 1.581 1.357 1.838 1.862 3.591 1.490
[2,] 1.609 1.295 1.989 1.624 1.961 2.209 1.941 2.738 2.605 4.413 1.840
[3,] 1.863 1.449 2.344 2.136 2.231 2.754 2.430 3.354 3.120 4.924 2.068
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.007 1.609 0.1957 1.428 1.794 0.3903 1.316 0.2130 1.121 0.6469
[2,] 3.855 2.033 0.2326 1.884 2.250 0.4963 1.770 0.2593 1.594 0.7720
[3,] 4.442 2.373 0.2586 2.329 2.750 0.5564 2.117 0.2931 2.003 0.8876
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3257 1.386 1.275 1.278 1.311 1.083 0.9108 0.3903 0.853 0.3679
[2,] 0.3878 1.773 1.638 1.568 1.558 1.510 1.0799 0.4955 1.059 0.4536
[3,] 0.4534 2.085 1.864 1.859 1.801 1.771 1.1758 0.5813 1.206 0.5351
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.7215 0.7222 1.082 0.5580 0.9385 1.744 1.680 1.120 1.881 1.439
[2,] 0.8565 0.9185 1.352 0.6904 1.3672 2.065 2.065 1.479 2.454 1.830
[3,] 1.0080 1.0824 1.592 0.7867 1.6382 2.317 2.377 1.653 2.784 2.083
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.7167 1.139 1.171 1.173 0.9837 1.184 0.3293 1.261 0.6129 1.095
[2,] 0.8819 1.728 1.516 1.612 1.4346 1.361 0.4007 1.604 0.7347 1.267
[3,] 0.9873 2.285 1.875 1.972 1.7015 1.519 0.4608 1.992 0.8016 1.544
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.8491 0.8966 1.167 0.4813 1.214 0.9114 1.112 0.5448 1.418 1.029
[2,] 1.0298 1.4289 1.738 0.5765 1.726 1.1121 1.578 0.7088 1.642 1.696
[3,] 1.1879 1.6859 1.993 0.6501 1.983 1.2268 2.018 0.8310 1.910 1.970
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.595 1.420 2.582 1.842 1.262 0.3899 1.338 0.9023 1.871 0.8172 0.9191
[2,] 1.958 2.296 3.181 2.684 2.070 0.4737 1.950 1.1445 2.414 1.0241 1.1617
[3,] 2.196 2.674 3.535 3.197 2.771 0.5432 2.527 1.2985 2.940 1.1718 1.3089
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3628 1.007 0.7941 2.452 2.115 0.3478 0.3761 0.5486 0.5926 1.042
[2,] 0.4653 1.382 1.0048 2.933 2.653 0.5076 0.7079 0.7124 0.7280 1.280
[3,] 0.5347 1.709 1.1827 3.304 2.980 0.7045 0.8434 0.8319 0.8401 1.492
[,94] [,95] [,96] [,97] [,98]
[1,] 0.4778 0.3436 5.510 4.461 1.686
[2,] 0.5923 0.3994 7.110 6.129 2.154
[3,] 0.6592 0.4434 8.574 6.987 2.495
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 1.56 0.9277 4.737 1.654 2.286 0.4597 0.8979
[2,] 1232.09 653.3199 3421.094 1395.793 1243.862 337.6374 538.4976
[3,] 1123.34 604.6161 2953.269 1440.043 1399.301 315.0483 550.2355
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 1.916 2.095 1.806 1.244 1.366 1.372 1.952
[2,] 1047.050 1574.372 1738.426 1322.009 1424.315 849.473 1502.133
[3,] 1139.042 1333.834 1413.342 997.726 1116.267 774.430 1476.832
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.541 1.98 2.007 1.723 2.334 2.365 4.56 1.892
[2,] 1284.255 1416.35 1836.604 1652.467 2415.216 2168.064 3053.86 1284.413
[3,] 1652.082 1266.50 1958.381 1739.956 2305.659 2044.233 2598.62 1123.946
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 3.818 2.044 0.2486 1.814 2.278 0.4956 1.671
[2,] 2870.992 1479.424 149.5492 1462.180 1616.395 364.9455 1408.594
[3,] 2627.043 1456.730 134.5593 1630.034 1881.783 299.3561 1383.535
[,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 0.2705 1.423 0.8215 0.4136 1.76 1.619 1.623
[2,] 175.9997 1349.691 501.4189 250.5870 1316.08 1222.999 1080.642
[3,] 162.7253 1443.776 521.2384 279.5398 1305.03 1060.649 1188.640
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.664 1.375 1.157 0.4956 1.083 0.4672 0.9162 0.9171
[2,] 1002.441 1252.194 690.671 363.3209 746.624 315.7505 549.4324 675.5331
[3,] 1075.560 1102.754 553.724 361.8501 687.562 337.9803 632.6465 681.5999
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 1.374 0.7085 1.192 2.215 2.134 1.423 2.389
[2,] 964.490 484.0632 1183.396 1315.062 1429.110 1149.241 1876.484
[3,] 999.752 448.7373 1074.150 1251.522 1401.136 879.433 1564.398
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 1.827 0.9101 1.446 1.487 1.489 1.249 1.503
[2,] 1346.393 611.6837 1547.205 1146.985 1316.415 1242.934 799.443
[3,] 1183.982 528.2205 1779.217 1311.793 1351.881 1088.981 803.385
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.4181 1.601 0.7782 1.39 1.078 1.139 1.481 0.6112
[2,] 271.8970 1180.394 482.3897 759.42 693.585 1324.311 1534.223 377.6080
[3,] 270.8412 1404.901 381.4115 1050.00 704.895 1065.039 1160.408 357.7071
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.542 1.157 1.412 0.6918 1.8 1.307 2.025 1.804
[2,] 1459.479 758.477 1332.229 539.7502 984.6 1604.799 1353.138 2147.164
[3,] 1163.390 616.397 1497.999 516.3571 1162.0 1192.293 1181.340 1632.688
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 3.279 2.339 1.602 0.4951 1.699 1.146 2.376 1.038
[2,] 2211.185 2323.051 1953.268 320.1566 1689.427 838.046 1815.362 734.662
[3,] 1834.166 2067.397 2192.776 316.5295 1912.312 730.095 1998.324 677.876
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.167 0.4608 1.279 1.008 3.114 2.686 0.4417 0.4775
[2,] 845.694 346.7896 1126.698 732.934 1914.263 1906.236 440.0076 713.8130
[3,] 717.775 313.4259 1196.496 742.399 1810.408 1615.619 581.4344 545.7113
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.6967 0.7525 1.323 0.6068 0.4363 6.997 5.665
[2,] 540.8123 503.2962 884.625 416.5548 242.3807 5349.075 5001.449
[3,] 511.5089 498.9859 913.226 344.5293 229.2885 5702.425 3994.929
[,98]
[1,] 2.141
[2,] 1594.963
[3,] 1500.101
[1] "--- VAR model 2017-10-01 20:01:00 completed"
[1] "Completed training sample: 2017-10-01 20:01:00 - 2017-10-02 04:00:00"
[1] "SpVAR; training sample: 2017-10-01 20:31:00 - 2017-10-02 04:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.2717 1.6383 -11.82 -10.18
-2.0134 1.5384 -19.64 -12.17
0.3323 0.9957 -16.05 -9.98
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.236 -0.6858 -0.1412 -0.6400
-4.919 -0.2940 -1.3108 0.3639
-12.248 -0.2386 0.6099 -2.8309
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.112 -3.5439 1.8015 0.4383
-1.287 -0.9161 -1.2530 -3.0856
-3.336 -2.4602 0.6081 -2.2080
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.0423 16.38 1.569 7.513
-1.5372 13.39 -3.284 1.826
0.7306 17.93 -1.715 9.695
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.266 -3.220 -1.296 5.659
-4.453 2.049 3.393 4.320
1.956 -4.942 -4.241 4.190
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.986 1.0884 -20.29 -15.22
-14.916 2.9544 -19.29 -11.20
-19.125 -0.4158 -19.34 -10.35
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.4501 -11.78 -17.285 2.2165
0.3471 -10.23 -12.976 1.1127
0.5402 -13.47 -9.932 0.8604
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.548 -0.8491 -14.99 -0.5756
-11.343 -0.6664 -14.53 -4.8577
-10.543 -0.3834 -11.03 -3.6105
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.384 -16.048 -14.880 -12.66
-1.998 -8.439 -8.729 -12.00
-1.674 -11.439 -13.182 -11.67
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.367 0.2129 -1.850 1.225
1.066 1.6599 -2.375 0.110
-1.855 -4.6548 -1.443 -0.034
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.3031 0.0112 -5.375 -5.969
0.3393 -0.4057 -4.807 -7.467
0.2004 0.3364 -5.063 -7.518
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.1447 1.2022 -3.889 0.4354
0.7563 -0.4280 -3.118 0.4314
2.6391 -0.2109 -2.223 2.9978
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.00954 -0.9991 -7.951 -1.2762
-3.90482 -2.3917 -7.157 0.3536
0.04371 -4.1291 2.024 -0.2952
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.01709 -3.728 -0.9298 -5.631
0.41422 -6.240 0.6034 2.792
-0.13377 -1.044 -2.8817 -5.068
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1163 -1.1583 1.2313 -2.5938
-1.7176 4.7595 -0.3629 -2.9758
-1.7845 -0.2527 1.0590 0.5929
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2879 -4.049 0.06293 -0.1013
0.3616 1.191 0.26576 -3.5987
-0.2059 -2.438 1.86856 -0.2194
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.46551 -0.5706 4.941 1.174
-0.03818 0.9345 -2.655 1.450
1.90002 1.5233 2.844 1.572
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.608 0.9875 -0.2524 -4.068
3.454 0.4309 -2.9255 -1.651
-1.818 1.6797 2.2174 -1.971
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.165 0.6049 -3.923 2.066
-1.357 -1.6699 2.866 -4.101
1.927 -0.4983 4.404 1.179
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.082 -0.2147 1.4702 1.6092
-5.250 1.7480 0.5373 -0.4654
0.858 0.4878 -0.6126 0.4150
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.05971 2.392 0.119 0.34443
4.35969 1.945 -1.973 0.05044
-6.53716 1.740 -4.577 -0.23775
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.600 1.921 4.331 7.445
2.893 1.349 3.300 0.119
-2.446 -0.100 8.480 -2.305
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.02215 1.0459 1.14314 1.7945
0.80844 0.4796 -0.09833 -2.4871
-0.06152 -1.4605 -1.28162 0.9737
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.886306 0.07830 -0.8125 110.4
-3.738551 1.79245 -0.4638 113.5
-0.002389 -0.06644 -1.8968 114.2
rnd_95776.volume rnd_95787.volume
-13.631 -12.58
-17.218 -14.01
-1.054 -12.69
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 0.9823 0.7120 3.518 1.066 1.619 0.3449 0.6606 1.433 1.584 1.233
[2,] 1.4058 0.8693 4.418 1.417 1.866 0.4275 0.7900 1.651 1.961 1.972
[3,] 1.6243 0.9709 4.986 1.734 2.108 0.4859 0.9014 1.853 2.283 2.238
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 0.9555 1.088 1.018 1.739 1.209 1.477 1.497 1.216 1.850 1.816 3.232
[2,] 1.3793 1.567 1.212 2.096 1.515 1.825 2.038 1.815 2.526 2.481 3.874
[3,] 1.5685 1.810 1.353 2.474 2.047 2.026 2.530 2.200 3.082 2.995 4.416
[,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.514 2.470 1.279 0.1934 1.279 1.510 0.3833 1.170 0.1987 1.028 0.6444
[2,] 1.802 3.263 1.654 0.2250 1.657 1.843 0.4858 1.583 0.2384 1.386 0.7629
[3,] 2.025 3.905 1.929 0.2500 2.049 2.234 0.5490 1.893 0.2711 1.672 0.8619
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3118 1.284 1.110 1.057 1.315 1.021 0.8223 0.3612 0.7266 0.2944
[2,] 0.3671 1.627 1.428 1.345 1.565 1.415 0.9576 0.4456 0.9326 0.3873
[3,] 0.4252 1.872 1.664 1.580 1.780 1.654 1.0816 0.5140 1.0697 0.4536
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.6772 0.6240 1.113 0.4990 0.8866 1.618 1.667 1.098 1.677 1.380
[2,] 0.7707 0.7843 1.348 0.6167 1.2635 1.943 1.966 1.426 2.222 1.713
[3,] 0.8918 0.8990 1.564 0.6975 1.4970 2.197 2.243 1.622 2.605 1.924
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6899 1.163 1.108 1.054 0.9586 1.061 0.3563 1.195 0.6004 1.033
[2,] 0.8367 1.661 1.378 1.451 1.3953 1.246 0.4163 1.484 0.7134 1.205
[3,] 0.9422 2.137 1.712 1.803 1.6474 1.404 0.4778 1.833 0.7910 1.450
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.7650 0.8659 1.098 0.4641 1.185 0.8681 1.082 0.4976 1.212 0.9327
[2,] 0.9716 1.3474 1.598 0.5670 1.633 1.0515 1.466 0.6529 1.452 1.5547
[3,] 1.1005 1.6126 1.868 0.6325 1.895 1.1687 1.858 0.7671 1.680 1.8220
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.446 1.330 2.370 1.702 1.186 0.3546 1.295 0.7711 1.776 0.7155 0.8634
[2,] 1.788 2.010 2.975 2.472 1.987 0.4452 1.893 0.9509 2.250 0.8707 1.0599
[3,] 2.006 2.341 3.359 2.960 2.548 0.5129 2.406 1.1052 2.790 0.9911 1.2486
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3122 0.9762 0.7826 2.324 1.947 0.2905 0.3216 0.4753 0.4756 0.972
[2,] 0.3983 1.3571 0.9480 2.696 2.395 0.4509 0.5998 0.6053 0.5792 1.214
[3,] 0.4586 1.6554 1.0798 2.978 2.718 0.6057 0.7200 0.7110 0.6980 1.387
[,94] [,95] [,96] [,97] [,98]
[1,] 0.4030 0.3466 5.856 4.202 1.430
[2,] 0.5015 0.4138 7.485 5.709 1.854
[3,] 0.5664 0.4520 8.949 6.691 2.153
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.247 0.9042 4.467 1.354 2.056 0.438 0.8389 1.82
[2,] 1242.527 616.2537 3301.601 1152.031 1145.663 312.007 535.4374 1012.88
[3,] 1005.407 534.3315 2856.317 1235.637 1211.313 285.392 536.2014 1039.11
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.011 1.566 1.213 1.382 1.293 2.208 1.535
[2,] 1429.963 1901.032 1229.183 1393.499 813.541 1447.190 1127.268
[3,] 1442.379 1308.876 922.786 1120.253 742.965 1623.146 1702.002
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 1.875 1.9 1.544 2.349 2.306 4.104 1.922 3.137
[2,] 1325.512 1709.5 1665.147 2125.511 2089.077 2639.190 1207.540 2634.012
[3,] 1087.526 1852.1 1536.423 2182.447 2071.592 2619.009 1141.586 2651.437
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 1.624 0.2456 1.624 1.918 0.4868 1.486 0.2523
[2,] 1296.725 141.9746 1300.395 1305.600 368.6762 1318.332 162.7470
[3,] 1226.713 134.5524 1490.528 1560.410 316.1426 1281.483 159.5271
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 1.305 0.8183 0.3959 1.63 1.409 1.343 1.67 1.297
[2,] 1148.993 504.5905 239.4364 1234.01 1109.814 1026.777 1048.03 1210.727
[3,] 1154.817 495.6939 265.2801 1144.36 1056.157 1024.138 1048.46 1057.408
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.044 0.4587 0.9226 0.3739 0.8599 0.7924 1.414 0.6336
[2,] 606.387 322.4929 722.4575 310.8720 454.8370 587.0616 939.494 447.7829
[3,] 621.233 316.5435 647.4990 291.8979 554.4047 542.9589 980.814 402.6767
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.126 2.054 2.117 1.394 2.13 1.753 0.876 1.477
[2,] 1112.334 1329.215 1288.372 1124.150 1800.73 1252.939 585.060 1466.015
[3,] 991.974 1267.031 1334.614 955.363 1679.76 1084.032 535.095 1661.744
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.407 1.339 1.217 1.347 0.4524 1.518 0.7624 1.312
[2,] 1011.344 1231.124 1252.844 808.288 266.1261 1085.765 476.1863 765.096
[3,] 1255.393 1323.695 1082.163 799.468 289.6402 1329.362 422.0198 998.399
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 0.9715 1.1 1.395 0.5894 1.505 1.102 1.374 0.6319
[2,] 740.0417 1275.6 1434.855 402.4239 1388.424 733.200 1222.515 522.3082
[3,] 638.5189 1094.7 1193.825 346.3990 1187.988 630.276 1410.610 497.5379
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.539 1.184 1.836 1.689 3.01 2.161 1.506
[2,] 986.511 1536.951 1298.380 1861.527 2222.17 2215.708 1969.791
[3,] 1044.313 1173.900 1124.863 1482.659 1927.42 2011.613 1970.324
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.4503 1.645 0.9791 2.255 0.9086 1.096 0.3965 1.24
[2,] 332.5181 1705.848 687.5756 1706.772 613.1779 759.728 305.6172 1164.93
[3,] 314.7249 1835.759 695.8951 2039.140 584.9171 815.373 280.6911 1171.28
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.9937 2.951 2.473 0.3689 0.4084 0.6035 0.604 1.234
[2,] 661.1582 1689.157 1723.983 426.1318 625.5658 463.2422 408.339 898.929
[3,] 638.8201 1563.897 1587.615 499.6082 492.2812 460.9074 481.355 828.054
[,94] [,95] [,96] [,97] [,98]
[1,] 0.5117 0.4401 7.436 5.335 1.816
[2,] 368.8796 279.3318 5759.965 4775.284 1458.296
[3,] 325.1740 224.8693 6061.922 4311.181 1351.524
[1] "--- VAR model 2017-10-01 20:31:00 completed"
[1] "Completed training sample: 2017-10-01 20:31:00 - 2017-10-02 04:30:00"
[1] "SpVAR; training sample: 2017-10-01 21:01:00 - 2017-10-02 05:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7242 2.4911 -28.22 -17.83
-1.6803 1.3035 -10.90 -20.98
0.5246 -0.4478 -17.80 -23.00
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.52 2.0247 -2.2693 0.2059
-15.15 0.7300 1.1663 -0.4410
-19.57 0.1897 -0.4153 -2.3748
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.239 -0.566 -0.013806 -7.120
-6.331 -1.832 0.779213 -1.295
-1.421 -2.651 -0.005241 -8.247
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.0971 17.75 -2.6406 13.047
-2.3693 20.94 0.3387 9.991
-2.8471 16.86 -3.1385 7.018
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.777 -0.948 4.616 11.753
-1.700 -7.011 -7.816 1.484
-2.467 5.681 -1.144 2.030
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-28.91 -5.920069 -42.70 -21.27
-18.55 0.003344 -39.80 -20.39
-17.41 -2.375787 -41.73 -17.59
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4632 -25.33 -18.80 -0.1941
-0.5770 -20.81 -30.08 -1.2261
-0.4893 -18.02 -20.26 -1.4574
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-17.21 -1.2681 -19.81 -4.512
-20.81 -1.1619 -18.02 -4.197
-22.48 -0.5228 -19.21 -5.182
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.702 -20.93 -13.80 -15.53
-3.116 -18.47 -18.29 -16.58
-2.712 -19.39 -18.61 -18.54
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.8103 2.974 -3.41737 0.04115
3.0374 6.853 -0.63785 1.54713
-0.7192 1.627 -0.08064 1.17366
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.40784 0.6601 -10.41 -10.363
-0.30953 -1.2264 -8.18 -8.825
0.05237 0.6423 -7.83 -10.143
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7036 -0.45032 -4.452 7.4041
3.2786 -0.73642 -6.401 -0.3887
1.9530 0.05757 -4.213 5.3199
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.3483 -2.094 -0.1657 -0.828
-0.2845 2.692 3.2546 -2.307
1.5555 -2.899 -3.6034 -1.677
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.2320 0.6517 -5.386 -3.176
-1.1091 -8.7711 -2.099 -0.319
0.4144 1.4952 -1.632 -7.545
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.044 -0.4472 0.4261 1.690
-5.267 -1.3746 0.2008 -2.253
-4.545 1.1249 -0.4432 -2.147
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.5907 1.335 3.3878 0.06834
-0.8709 -2.553 -0.1407 3.12915
-0.1050 -1.765 -1.8589 -0.56538
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.5465 1.5467 3.500 1.3470
6.0590 0.7652 4.225 1.3871
-4.4368 0.3103 -2.184 0.5784
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.935 2.9663 -3.4972 -0.3468
2.287 0.1165 2.4675 -3.3330
2.121 0.7940 -0.3368 3.6150
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.245 -3.044 7.023 -0.154
-1.109 -3.460 8.783 2.831
1.404 0.845 11.393 8.072
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.547 0.7039 4.511 0.6132
2.002 -0.3805 3.407 -0.1604
4.926 0.2645 1.500 -1.2129
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.5317 -1.223 1.66446 -0.4873
6.6945 1.742 -0.52428 0.5273
-0.3104 1.794 -0.06713 0.5423
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.485 1.8953 -0.5124 -1.534
5.044 1.6073 8.6487 1.629
6.773 -0.7872 -1.1564 -5.395
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.66297 0.1795 0.02886 1.2186
-0.01651 0.9501 2.01502 0.9021
1.20123 0.8195 -0.24395 -0.2641
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
6.3231 -0.1440 -0.8698 120.3
-1.2556 0.9046 -0.8004 107.6
-0.9581 1.0708 -1.8316 125.5
rnd_95776.volume rnd_95787.volume
-14.657 -18.88
9.829 -20.09
-8.513 -16.93
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 0.9791 0.6705 3.313 0.9411 1.490 0.2930 0.6596 1.336 1.650 1.261
[2,] 1.3454 0.8136 4.093 1.2611 1.692 0.3656 0.7762 1.599 1.979 1.947
[3,] 1.5375 0.9360 4.663 1.5828 1.863 0.4218 0.8794 1.797 2.251 2.205
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 0.9737 1.064 0.996 1.802 1.169 1.446 1.263 1.166 1.821 1.777 3.138
[2,] 1.3534 1.590 1.194 2.236 1.466 1.752 1.805 1.712 2.381 2.369 3.697
[3,] 1.5361 1.867 1.316 2.606 1.976 1.965 2.357 2.141 2.904 2.845 4.162
[,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 1.471 2.116 1.206 0.1776 1.163 1.226 0.3499 1.036 0.2085 0.8929
[2,] 1.730 2.728 1.511 0.2075 1.507 1.533 0.4473 1.402 0.2500 1.1975
[3,] 1.974 3.154 1.786 0.2326 1.841 1.885 0.5172 1.662 0.2795 1.4213
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 0.6278 0.3001 1.062 1.012 0.9973 1.442 1.012 0.8397 0.3289 0.6778
[2,] 0.7386 0.3710 1.353 1.301 1.2121 1.686 1.383 0.9741 0.4079 0.8916
[3,] 0.8398 0.4167 1.603 1.547 1.4269 1.886 1.613 1.0803 0.4774 1.0186
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.2710 0.6374 0.5535 1.025 0.4941 0.867 1.503 1.633 1.028 1.651 1.279
[2,] 0.3456 0.7351 0.7057 1.251 0.6158 1.177 1.820 1.913 1.335 2.182 1.558
[3,] 0.4020 0.8288 0.8252 1.466 0.6860 1.349 2.082 2.146 1.517 2.535 1.753
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6826 1.154 1.048 0.9937 0.9021 0.9918 0.3722 1.046 0.5876 1.007
[2,] 0.8143 1.623 1.301 1.3359 1.2945 1.2021 0.4258 1.337 0.7001 1.167
[3,] 0.9126 2.111 1.612 1.7022 1.5653 1.3418 0.4891 1.705 0.7653 1.394
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.7958 0.8712 1.092 0.4485 1.154 0.8341 1.072 0.5017 1.219 0.9298
[2,] 0.9485 1.3555 1.616 0.5631 1.603 0.9676 1.461 0.6427 1.409 1.5056
[3,] 1.0489 1.5243 1.781 0.6332 1.832 1.1252 1.870 0.7494 1.584 1.7295
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.448 1.387 2.204 1.657 1.170 0.3191 1.206 0.7423 1.596 0.6724 0.8365
[2,] 1.800 2.025 2.650 2.214 1.781 0.3788 1.752 0.9227 2.043 0.8108 1.0052
[3,] 1.973 2.336 2.962 2.640 2.247 0.4298 2.069 1.0260 2.461 0.9481 1.1599
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3519 0.9545 0.7156 2.295 1.884 0.2573 0.2738 0.4136 0.4186 0.9631
[2,] 0.4270 1.3375 0.8916 2.648 2.333 0.3750 0.5401 0.5291 0.5109 1.1732
[3,] 0.4663 1.6530 1.0149 2.971 2.596 0.5134 0.6523 0.6201 0.6302 1.3243
[,94] [,95] [,96] [,97] [,98]
[1,] 0.3848 0.3332 6.001 3.993 1.262
[2,] 0.4872 0.3979 7.930 5.480 1.706
[3,] 0.5532 0.4394 9.510 6.199 1.980
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.243 0.8515 4.207 1.195 1.892 0.372 0.8376 1.696
[2,] 1016.780 507.7553 2647.744 924.963 884.311 240.941 450.7661 967.716
[3,] 820.025 509.8602 2462.268 1054.027 859.173 231.893 455.5137 904.083
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.096 1.602 1.236 1.351 1.265 2.289 1.485
[2,] 1203.202 1634.620 1035.657 1302.278 725.502 1459.043 973.757
[3,] 1183.048 1140.498 800.647 1078.606 609.149 1473.266 1460.848
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.836 1.604 1.481 2.312 2.257 3.985 1.868
[2,] 1090.105 1421.740 1380.308 1690.282 1725.580 2152.399 1002.642
[3,] 980.586 1668.996 1417.476 1831.523 1735.724 2106.959 1047.292
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 2.687 1.532 0.2255 1.477 1.557 0.4444 1.316
[2,] 1896.184 1002.722 118.3903 1056.280 1013.890 307.0045 1040.262
[3,] 1744.658 1048.185 115.7213 1165.813 1209.745 286.1593 984.504
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.2647 1.134 0.7972 0.3811 1.349 1.285 1.266 1.831
[2,] 152.0100 879.261 428.6436 240.3161 923.536 900.407 759.176 963.290
[3,] 137.8000 843.497 440.5594 209.0704 947.818 923.576 829.597 931.249
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.286 1.066 0.4177 0.8607 0.3441 0.8094 0.7028 1.301
[2,] 1038.311 543.902 265.7292 638.3714 236.3365 403.4054 482.4476 789.924
[3,] 913.910 514.677 273.3008 542.6960 226.3061 421.8965 471.2243 843.369
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.6274 1.101 1.908 2.074 1.306 2.097 1.625 0.8668
[2,] 404.8942 877.145 1131.852 1097.489 938.481 1571.492 978.989 489.1937
[3,] 333.1163 726.243 1114.189 1072.734 792.130 1422.561 885.681 453.9830
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 1.466 1.331 1.262 1.146 1.259 0.4727 1.328
[2,] 1257.766 849.418 983.769 1022.983 748.587 227.8784 918.024
[3,] 1486.337 1048.540 1162.529 969.766 656.841 265.0723 1164.930
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.7462 1.279 1.01 1.106 1.387 0.5696 1.466 1.059
[2,] 419.2453 649.896 568.85 1144.242 1312.974 375.1876 1225.872 540.393
[3,] 340.6274 839.498 493.25 768.238 823.463 319.0633 977.205 632.842
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.362 0.6371 1.547 1.181 1.839 1.761 2.799
[2,] 1092.628 442.5854 779.646 1304.854 1177.127 1626.337 1621.983
[3,] 1286.542 424.6556 797.254 937.752 891.386 1283.337 1457.393
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 2.104 1.485 0.4052 1.531 0.9425 2.026 0.8538
[2,] 1618.084 1480.066 224.9676 1400.530 603.9218 1406.262 499.2110
[3,] 1584.286 1509.610 223.8122 1213.775 494.3212 1510.683 541.4739
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.062 0.4468 1.212 0.9087 2.914 2.392 0.3267
[2,] 614.195 266.5198 1032.422 586.0758 1455.647 1515.926 300.6229
[3,] 637.667 206.3733 1070.362 534.2505 1485.481 1255.160 386.4046
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.3477 0.5253 0.5316 1.223 0.4886 0.4231 7.62 5.07
[2,] 512.9890 363.6056 322.6029 738.269 329.2581 239.5796 5711.43 4135.84
[3,] 402.9539 356.2498 406.7090 676.924 288.8466 205.4902 5784.32 3191.99
[,98]
[1,] 1.602
[2,] 1265.692
[3,] 1107.932
[1] "--- VAR model 2017-10-01 21:01:00 completed"
[1] "Completed training sample: 2017-10-01 21:01:00 - 2017-10-02 05:00:00"
[1] "SpVAR; training sample: 2017-10-01 21:31:00 - 2017-10-02 05:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.719 -0.8249 -12.55 -11.19
-1.404 -1.6985 -22.38 -18.87
6.105 3.6124 -16.45 -11.66
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.7146 -0.45393 -2.20957 -10.1159
-4.6394 -3.97288 0.05321 -2.5189
-14.2719 -0.09095 0.66906 0.9325
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.295 5.374 7.634 2.732
2.838 -8.466 -2.738 -19.364
-4.371 1.976 5.708 -1.019
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.240761 52.03 6.282 5.611
0.005644 22.23 3.275 3.718
4.629103 45.08 -4.199 22.180
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.284 -10.085 16.246 6.963
4.809 13.161 -2.407 -2.696
6.818 1.838 6.027 26.339
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.82 -13.246 3.27 -20.634
-23.28 -7.414 -17.20 -9.531
-16.29 -8.434 -10.07 -10.717
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1192 -17.006 -23.84 -3.186
0.7308 -6.132 -14.71 -2.372
-0.3658 -13.146 -21.70 -6.401
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.511 0.1967 -10.56 5.070
-11.207 1.0596 -15.65 -2.486
-2.163 0.1292 -14.00 5.518
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.8833 3.858 -9.106 -8.0705
-1.6999 -2.490 -4.108 0.7499
-0.9653 -18.077 -18.540 -19.9959
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
15.849 4.6066 -1.2665 -0.9342
5.114 10.5802 0.8598 2.0267
8.376 0.9082 4.4077 2.6252
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.668 -0.1825 -2.4075 -7.8015
6.923 1.2706 0.2169 2.0907
1.601 1.6746 -2.0113 -0.9968
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.673 3.7372 2.9186 -0.8214
4.940 -0.4319 -0.1065 -1.5138
2.744 2.4896 3.0521 2.6657
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.084 1.295 9.928 -4.080
-7.200 -4.298 6.971 -3.342
-7.416 -2.643 -12.495 -0.472
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2311 8.506 -1.896 0.9398
1.5264 -2.994 1.746 -3.4908
-3.8930 5.059 6.638 -4.0179
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.9297 -12.3221 -0.657 -2.697
2.8520 -0.1118 -1.459 3.604
-0.4894 0.8057 2.555 -3.518
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.778 -5.4040 1.1131 -1.331
-2.115 -0.2862 -3.6747 -5.982
-1.126 -1.2466 0.7989 -7.929
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.360 -2.325 -0.7652 -1.8139
0.643 1.032 1.6283 -0.7887
-4.103 1.412 -1.8671 -3.7249
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.238 2.3664 0.2913 -0.4598
2.598 -2.0922 7.8633 0.2630
-1.786 0.3162 -4.4079 7.1742
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.68 7.541 7.027 5.489
5.48 1.461 5.649 15.990
1.75 15.563 2.011 10.340
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
21.257 -0.6885 13.219 1.379
4.975 1.3497 8.091 7.324
4.934 -1.1223 7.887 1.724
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.136 -4.6652 0.9283 -3.6510
18.115 2.4813 3.9221 -0.3858
11.505 -0.7114 2.2211 -0.1943
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.793 1.8869 -1.753 5.912
13.737 -0.2336 13.127 8.290
1.569 2.2320 7.910 -13.623
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.9622 1.1515 0.57439 0.3537
0.7321 0.8936 0.01871 -1.3083
0.9239 -0.1660 -1.27478 0.7470
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.882 -1.059 0.8554 87.88
-2.084 4.998 3.3176 99.28
-2.389 -1.572 0.2429 95.86
rnd_95776.volume rnd_95787.volume
29.688 -22.040
-21.213 -5.838
-9.004 -12.537
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] 0.9744 0.6480 3.221 0.8857 1.406 0.2684 0.6658 1.325 1.624 1.296
[2,] 1.3230 0.7950 3.859 1.2082 1.637 0.3310 0.7930 1.582 1.985 1.852
[3,] 1.4623 0.9079 4.285 1.5289 1.824 0.3792 0.8914 1.825 2.210 2.099
[,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 0.9936 1.196 1.003 1.987 1.457 1.529 1.332 1.237 1.695 1.742 3.037
[2,] 1.2903 1.637 1.232 2.430 1.846 1.849 1.993 1.846 2.328 2.401 3.591
[3,] 1.4808 1.906 1.352 2.877 2.282 2.080 2.365 2.317 2.877 2.930 4.046
[,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 1.503 2.176 1.123 0.2338 1.184 1.069 0.4903 1.028 0.2058 0.9096
[2,] 1.812 2.891 1.437 0.2940 1.560 1.463 0.5790 1.380 0.2471 1.1732
[3,] 2.065 3.390 1.790 0.3449 1.894 1.808 0.6736 1.713 0.2741 1.4737
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 0.6387 0.3119 1.015 0.9724 0.8887 1.464 1.059 0.8363 0.3292 0.7104
[2,] 0.7599 0.3853 1.312 1.2257 1.1304 1.697 1.399 0.9841 0.4126 0.9242
[3,] 0.9009 0.4338 1.531 1.4625 1.3329 1.898 1.639 1.1030 0.4634 1.0495
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 0.2512 0.6275 0.4915 1.005 0.4843 0.8786 1.466 1.538 1.005 1.593
[2,] 0.3339 0.7227 0.6298 1.236 0.5916 1.2625 1.782 1.759 1.283 2.117
[3,] 0.3839 0.8326 0.7544 1.432 0.6739 1.4140 1.975 2.003 1.477 2.441
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.171 0.6778 1.090 1.018 0.9851 0.8858 1.041 0.3775 1.030 0.5577
[2,] 1.434 0.8142 1.573 1.281 1.3425 1.2989 1.207 0.4331 1.303 0.6685
[3,] 1.644 0.9020 1.958 1.561 1.6588 1.5710 1.353 0.4943 1.656 0.7453
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 0.9885 0.7883 0.8835 1.070 0.4606 1.070 0.8311 1.043 0.4654 1.185
[2,] 1.1375 0.9326 1.3233 1.533 0.5700 1.480 0.9565 1.462 0.6077 1.413
[3,] 1.3406 1.0488 1.5153 1.724 0.6250 1.737 1.0560 1.781 0.6986 1.573
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 0.9015 1.468 1.340 2.095 1.567 1.243 0.2790 1.265 0.7229 1.529 0.6987
[2,] 1.4323 1.811 1.927 2.482 2.163 1.758 0.3324 1.670 0.9021 1.925 0.8183
[3,] 1.6512 1.968 2.257 2.752 2.596 2.162 0.3796 2.003 1.0158 2.310 0.9367
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 0.8353 0.3498 0.9693 0.7271 2.210 1.657 0.2329 0.2819 0.3608 0.3658
[2,] 0.9728 0.4340 1.3841 0.8766 2.565 1.997 0.3075 0.4486 0.4627 0.4463
[3,] 1.1091 0.4828 1.6689 0.9775 2.914 2.230 0.4068 0.5097 0.5183 0.5340
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9391 0.4038 0.3250 6.205 3.812 1.136
[2,] 1.0979 0.4748 0.3896 8.319 5.349 1.495
[3,] 1.2428 0.5272 0.4324 10.040 5.937 1.829
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.237 0.8228 4.09 1.125 1.786 0.3408 0.8455 1.682
[2,] 850.665 437.7233 2020.86 781.064 796.586 184.1705 409.4194 822.571
[3,] 591.955 416.8117 1768.94 890.559 764.698 175.9064 386.9795 863.537
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.062 1.645 1.262 1.519 1.274 2.524 1.85 1.942
[2,] 1083.934 1257.080 782.368 1062.337 679.286 1329.463 1077.74 988.339
[3,] 925.013 939.046 690.680 928.862 530.316 1464.160 1275.79 905.848
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 1.692 1.571 2.152 2.212 3.856 1.908 2.763
[2,] 1408.910 1302.507 1517.303 1570.960 1821.648 962.525 1808.822
[3,] 1209.759 1330.946 1606.070 1595.048 1771.309 940.617 1683.329
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 1.426 0.2968 1.503 1.357 0.6226 1.306 0.2613 1.155
[2,] 852.023 169.5257 965.112 950.243 292.8135 874.028 129.9491 704.209
[3,] 1013.856 171.4181 1020.552 1010.060 327.2177 965.046 112.9167 847.679
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.8111 0.3961 1.289 1.235 1.128 1.859 1.345 1.062
[2,] 391.3428 214.9293 790.379 709.264 664.013 816.645 868.488 493.046
[3,] 459.9544 189.5529 749.488 758.442 671.282 806.091 812.057 473.407
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.4181 0.902 0.319 0.7968 0.6241 1.276 0.615 1.116
[2,] 236.3314 562.011 209.046 340.7321 374.3329 683.857 322.881 861.739
[3,] 200.6479 472.624 180.144 393.0860 394.7592 688.515 306.816 605.126
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.862 1.954 1.276 2.023 1.487 0.8607 1.384 1.293
[2,] 963.429 810.329 758.368 1324.779 786.853 428.6851 1077.664 738.924
[3,] 809.167 911.346 695.271 1156.442 763.426 369.0482 1108.603 848.469
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.251 1.125 1.322 0.4794 1.308 0.7082 1.255 1.001
[2,] 866.875 903.005 581.087 201.8573 757.888 350.4258 534.908 473.585
[3,] 926.113 839.846 580.147 226.3984 971.778 313.1933 674.315 456.215
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.122 1.359 0.5848 1.359 1.055 1.324 0.591 1.504
[2,] 936.386 1043.024 319.2527 971.601 449.955 973.295 371.447 731.575
[3,] 701.608 749.719 243.6417 864.957 425.243 967.002 327.451 658.007
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.145 1.864 1.702 2.661 1.99 1.578 0.3543
[2,] 1057.895 1009.127 1315.764 1265.233 1416.84 1181.606 171.7833
[3,] 780.888 731.303 1116.338 1128.402 1365.16 1196.119 174.1167
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.606 0.918 1.942 0.8873 1.061 0.4442 1.231 0.9233
[2,] 1037.195 512.907 1110.767 404.7435 473.924 244.2271 939.141 465.3510
[3,] 1050.675 443.785 1213.731 433.3645 506.337 201.0364 886.380 411.1868
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 2.806 2.104 0.2958 0.358 0.4582 0.4645 1.193 0.5128
[2,] 1237.312 1058.817 190.8425 331.670 275.3894 242.9510 540.552 237.4228
[3,] 1315.421 942.694 253.0456 230.047 221.9161 278.6867 553.507 217.7647
[,95] [,96] [,97] [,98]
[1,] 0.4126 7.88 4.841 1.442
[2,] 204.2921 5266.38 3566.634 924.433
[3,] 178.2605 5342.70 2447.306 1001.562
[1] "--- VAR model 2017-10-01 21:31:00 completed"
[1] "Completed training sample: 2017-10-01 21:31:00 - 2017-10-02 05:30:00"
[1] "SpVAR; training sample: 2017-10-01 22:01:00 - 2017-10-02 06:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.581 -3.7312 -35.114 -0.2777
4.182 0.6544 7.806 -15.0606
5.509 -2.5045 27.162 3.5883
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.140 2.073 0.9684 -9.0780
5.564 0.110 -1.0175 3.8689
-7.196 1.452 3.8962 0.8579
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.4937 3.322 13.783 -16.79
0.9303 -10.790 -1.650 -24.92
4.8371 3.904 -4.417 -15.04
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.069 46.66 32.00 30.43
3.662 43.86 13.92 32.65
5.040 69.20 -2.62 31.65
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
18.1954 9.739 -1.614 -12.61
-12.6172 8.884 14.120 16.70
-0.6348 -16.375 -1.066 12.37
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.408 -12.365 -23.47 -2.392
8.346 -9.909 -31.96 -2.707
-1.784 -1.399 -18.57 -17.243
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.085 -3.141 -12.300 -1.936
-1.481 1.102 8.377 6.222
-1.738 -21.017 -11.145 1.913
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.410 2.802 2.53099 -3.556
-13.431 1.803 -3.40065 1.179
4.752 -3.227 0.09437 2.239
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.6277 6.738 18.220 4.24114
0.2743 8.570 6.686 0.07067
2.7416 -1.447 -6.105 -0.89226
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-22.622 -7.292 5.235 -1.1351
-1.739 -10.738 3.737 2.7491
11.768 9.179 1.057 -0.9474
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.7303 2.098 -1.1708 -16.569
0.7655 2.444 -0.7515 4.438
-1.6092 1.515 -1.6190 -2.283
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.356 4.3908 2.662 4.221
4.753 2.0752 -4.444 8.835
3.320 -0.1672 1.998 -4.822
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.646 13.100 3.7527 -10.767
-6.139 1.329 0.5531 10.084
5.149 1.423 14.1531 7.038
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.274 15.326 9.183 4.400
-2.141 -7.701 -1.392 12.634
6.109 10.516 -5.981 -2.461
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.3335 7.752 2.911 2.052
14.3402 3.103 -2.123 2.935
-1.0424 3.041 1.253 8.552
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2639 -1.7242 -8.717 -2.076
-0.4410 0.2302 1.268 -1.083
-0.6198 7.1773 4.094 1.446
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2186 -1.024 -6.321 1.628
-3.6487 -1.345 5.013 3.923
-2.0835 1.279 2.095 -3.219
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.384 -0.3027 -4.558 4.615
-3.269 3.6363 6.285 4.451
1.206 -2.9670 12.446 1.794
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.070 -0.645 3.658 -3.558
11.924 22.227 13.449 8.880
-8.154 -9.406 -22.840 12.546
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.72 0.5057 10.232 0.41163
5.37 1.3543 4.434 -5.96016
10.41 1.4675 16.257 0.09108
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.947 -6.960 -0.3799 -0.8324
7.493 5.733 -2.6380 -3.0632
12.480 -0.115 1.9537 2.8058
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.767 -1.83337 0.2236 -2.942
-4.786 0.07685 4.9381 9.226
-2.831 -2.41627 14.4259 -6.154
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.442 -1.6929 -4.9323 -3.0198
-1.574 -3.5922 1.4171 -0.5685
-2.788 -0.2526 0.3865 -2.1277
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.312 -2.6576 -4.082 127.57
2.308 0.7831 -3.010 73.23
1.241 -0.3378 -2.798 98.06
rnd_95776.volume rnd_95787.volume
-0.906 -2.447
7.317 -8.865
19.691 -13.410
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.046 0.6227 3.132 0.854 1.494 0.2438 0.6652 1.351 1.632 1.352 0.9387
[2,] 1.384 0.7590 3.736 1.294 1.719 0.3153 0.7822 1.700 2.240 1.945 1.2359
[3,] 1.596 0.8473 4.246 1.769 2.060 0.3552 0.8716 1.967 2.550 2.235 1.4512
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.191 0.9705 2.143 1.975 1.709 1.328 1.253 1.609 1.495 2.956 1.485
[2,] 1.705 1.2032 2.575 2.566 1.951 2.001 1.871 2.219 2.289 3.551 1.751
[3,] 2.012 1.3364 3.009 3.177 2.192 2.419 2.370 2.699 2.828 4.094 1.971
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.505 1.240 0.2354 1.416 1.218 0.5453 1.137 0.2349 0.9205 0.7105
[2,] 3.265 1.668 0.3016 1.931 1.800 0.6916 1.557 0.2892 1.2687 0.8894
[3,] 4.003 2.022 0.3537 2.370 2.269 0.8279 2.009 0.3388 1.7241 0.9995
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3874 1.059 0.9112 0.8447 1.458 1.061 0.7738 0.2968 0.6720 0.2342
[2,] 0.4606 1.336 1.2245 1.1027 1.789 1.399 0.9631 0.3712 0.9039 0.3036
[3,] 0.5237 1.701 1.4946 1.3242 2.054 1.660 1.0781 0.4320 1.0093 0.3502
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.6823 0.6838 0.9907 0.5036 0.9525 1.542 1.466 0.952 1.516 1.088
[2,] 0.8385 0.8816 1.2159 0.5969 1.2711 1.798 1.726 1.164 2.017 1.350
[3,] 1.0005 1.0403 1.4095 0.6846 1.4556 1.982 1.966 1.362 2.333 1.527
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6582 1.085 1.068 1.005 0.8398 1.039 0.4172 1.045 0.5837 0.9846
[2,] 0.8016 1.648 1.352 1.334 1.3232 1.199 0.4821 1.322 0.6788 1.1358
[3,] 0.8999 2.125 1.629 1.654 1.6079 1.363 0.5386 1.689 0.7416 1.3782
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.8048 0.8904 1.095 0.4742 1.017 0.8215 1.063 0.4735 1.246 0.9999
[2,] 0.9561 1.3375 1.590 0.5789 1.478 0.9544 1.423 0.6075 1.479 1.4467
[3,] 1.0787 1.5106 1.796 0.6416 1.754 1.0489 1.767 0.7096 1.675 1.6731
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.512 1.507 2.080 1.470 1.309 0.2924 1.221 0.7393 1.533 0.7160 0.8077
[2,] 1.799 2.038 2.397 2.147 1.809 0.3437 1.654 0.8775 1.923 0.8151 0.9569
[3,] 1.978 2.469 2.718 2.607 2.161 0.3874 2.020 0.9821 2.292 0.9296 1.0876
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3469 0.8396 0.6618 2.137 1.467 0.2228 0.2765 0.3213 0.3426 0.9136
[2,] 0.4257 1.2492 0.8002 2.601 1.834 0.3020 0.3981 0.4146 0.4186 1.1126
[3,] 0.4791 1.5352 0.8924 2.973 2.133 0.4001 0.4556 0.4693 0.4826 1.2573
[,94] [,95] [,96] [,97] [,98]
[1,] 0.3914 0.3317 6.179 3.678 1.209
[2,] 0.4740 0.4066 8.143 5.515 1.786
[3,] 0.5376 0.4475 9.728 6.125 2.161
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.329 0.7907 3.977 1.084 1.898 0.3096 0.8447 1.716
[2,] 687.607 329.6763 1548.076 738.962 645.571 151.8902 312.6522 783.202
[3,] 604.577 286.0628 1532.710 915.522 862.988 124.3003 292.1454 752.716
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.073 1.716 1.192 1.513 1.232 2.721 2.508 2.17
[2,] 1165.830 1062.249 610.768 926.312 540.333 1085.216 1243.830 715.93
[3,] 925.108 837.389 577.743 812.198 441.802 1182.973 1423.436 759.01
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.686 1.591 2.043 1.898 3.754 1.885 3.181 1.575
[2,] 1137.221 1056.026 1161.757 1317.211 1494.855 705.312 1590.842 847.552
[3,] 1032.486 1104.691 1166.688 1262.180 1547.270 686.836 1760.148 868.416
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2989 1.798 1.546 0.6924 1.444 0.2983 1.169 0.9022
[2,] 143.2925 997.527 1007.094 323.2437 808.371 128.1654 663.289 406.5023
[3,] 140.4113 1044.394 1049.744 345.6767 964.805 134.0252 886.932 346.5014
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.4919 1.345 1.157 1.073 1.852 1.347 0.9826 0.3769
[2,] 189.3060 618.104 621.437 538.504 786.978 692.440 435.5758 169.4224
[3,] 189.2988 800.214 651.152 557.022 767.024 678.783 368.1689 167.8581
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8534 0.2974 0.8664 0.8684 1.258 0.6395 1.209 1.958
[2,] 459.2826 146.8086 370.2978 422.7255 535.639 243.5126 639.507 703.221
[3,] 341.0881 132.4838 414.7428 419.5734 541.639 254.6287 538.742 633.053
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.862 1.209 1.925 1.381 0.8359 1.378 1.356 1.277
[2,] 691.276 508.485 1011.211 607.317 347.5594 942.266 629.288 665.622
[3,] 715.924 537.231 890.847 542.149 310.6305 1019.099 690.827 743.828
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.066 1.32 0.5298 1.327 0.7412 1.25 1.022 1.131
[2,] 776.864 454.81 183.6152 614.793 263.2271 430.13 392.074 758.184
[3,] 693.932 492.25 182.3644 798.705 226.9544 593.08 379.448 533.537
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.391 0.6021 1.291 1.043 1.349 0.6013 1.583 1.27
[2,] 875.661 252.3469 814.483 369.143 719.022 289.0942 604.445 794.29
[3,] 633.898 210.0624 717.935 330.453 795.611 278.6119 597.102 638.51
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.92 1.914 2.641 1.867 1.662 0.3713 1.551 0.9387
[2,] 740.71 1042.073 904.711 1188.614 948.889 137.2959 847.682 359.1327
[3,] 624.36 1058.730 973.049 1123.483 897.932 135.7048 880.857 335.0826
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.946 0.9092 1.026 0.4405 1.066 0.8404 2.713 1.863
[2,] 881.839 296.0142 389.738 187.4651 702.661 341.7592 1126.685 835.492
[3,] 947.493 339.5315 392.832 166.9927 678.066 300.1864 1093.608 827.711
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.2829 0.3511 0.408 0.4351 1.16 0.4971 0.4212 7.846
[2,] 154.8898 217.5769 199.009 182.6887 482.42 203.0495 178.7037 4030.297
[3,] 199.4319 168.3593 167.040 182.5186 444.82 192.7661 142.0723 4042.951
[,97] [,98]
[1,] 4.671 1.535
[2,] 3121.933 999.043
[3,] 2024.317 924.514
[1] "--- VAR model 2017-10-01 22:01:00 completed"
[1] "Completed training sample: 2017-10-01 22:01:00 - 2017-10-02 06:00:00"
[1] "SpVAR; training sample: 2017-10-01 22:31:00 - 2017-10-02 06:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-14.773 -1.792 39.94 -25.970
-17.118 11.879 15.29 2.011
-7.543 7.051 31.08 9.635
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.620 4.631 2.264 10.45
-11.486 3.173 9.508 20.83
-1.272 6.734 6.612 25.20
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.223 2.581 10.44 -5.5753
10.991 5.708 11.42 -9.5512
1.371 10.808 14.48 -0.7875
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
19.428 -1.405 2.236 39.78
2.934 8.405 6.481 30.20
11.251 2.930 -3.596 15.59
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
23.474 17.38 13.22 -0.9876
43.454 52.14 32.51 19.2982
7.658 22.75 18.64 9.8853
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
27.69 -19.51 2.304 21.03
44.59 -12.49 54.407 11.51
11.36 -12.46 41.603 48.72
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.893 11.98 2.81 20.82
2.415 13.34 40.19 20.24
1.494 39.10 36.86 11.04
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-44.009 3.80486 -15.101 -1.296
-5.340 0.03372 -8.911 -6.085
-3.987 1.56743 14.986 -3.583
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.6375 -12.217 -6.359 -11.843
-7.1274 -11.908 1.450 -11.115
-0.1475 -6.831 6.372 -3.928
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
18.88 -4.695 5.214 -0.01678
30.24 22.984 6.493 1.30431
23.14 16.240 2.924 -0.16539
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.951 -0.5549 -9.370 -8.043
9.075 0.6422 4.261 -12.713
12.189 -0.5067 -2.958 -21.307
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0518 3.684 4.486 -16.205
-5.9014 -4.582 -3.039 2.329
-0.8421 -1.941 -4.773 9.009
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.531 3.956 -14.039 5.903
-7.587 4.343 -11.718 3.133
-9.603 -4.513 6.416 4.959
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.189 1.405 0.7585 -8.799
-3.230 -7.327 2.2963 -4.369
1.955 -9.279 8.0970 -12.003
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
15.0106 -1.862 -1.009 13.936
-5.1943 7.219 5.705 4.027
-0.3029 2.429 -2.238 4.793
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.09692 8.509 21.18 -0.3214
-5.57637 -4.760 16.61 14.7510
-3.87118 -9.705 15.90 8.5371
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-22.045 -0.5162 -10.557 4.949
23.534 -0.2990 6.472 3.807
2.777 2.6679 3.371 2.557
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.723 3.29796 -5.301 -26.027
-9.190 -0.25256 -2.366 -19.416
19.218 0.02622 -12.013 -5.862
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
13.887 9.299 2.962 -1.489
-7.925 -26.057 -16.761 -23.865
11.762 8.973 23.158 -12.078
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-45.30 -0.8123 2.534 11.581
-47.43 0.9808 -2.355 10.922
-95.06 1.0791 -32.416 2.795
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
30.42 8.1689 4.3542 -5.1893
52.42 0.8763 4.1785 1.7127
37.46 9.2025 0.2842 -0.7316
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.206 3.876 -44.799 -9.515
5.459 7.151 1.686 -7.456
20.875 10.869 -1.772 9.127
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.383 -4.377 -0.326 1.030
6.385 2.144 1.365 2.558
5.215 4.501 5.680 4.497
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
18.073 -1.7365 -5.291 64.83
9.615 -0.8416 -4.452 44.03
2.119 -1.6226 -4.438 50.32
rnd_95776.volume rnd_95787.volume
-33.65 22.06
-8.48 23.90
-20.34 45.58
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.091 0.6560 2.625 0.8792 1.502 0.2387 0.6432 1.545 1.726 1.345 0.969
[2,] 1.449 0.7737 3.283 1.3522 1.795 0.2962 0.7872 1.894 2.276 2.096 1.241
[3,] 1.701 0.8491 3.748 1.8700 2.079 0.3323 0.8790 2.227 2.599 2.423 1.412
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.205 0.9328 2.108 2.118 1.639 1.450 1.291 1.610 1.650 2.507 1.451
[2,] 1.854 1.1742 2.701 2.778 1.922 2.022 1.912 2.305 2.417 3.114 1.734
[3,] 2.193 1.2831 3.191 3.374 2.179 2.464 2.443 2.761 2.923 3.540 1.925
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.394 1.200 0.2512 1.389 1.103 0.6430 1.076 0.2550 0.9031 0.8325
[2,] 3.519 1.758 0.3283 1.969 1.632 0.7739 1.570 0.3108 1.2470 1.0140
[3,] 4.284 2.157 0.3805 2.530 2.244 0.9463 2.112 0.3587 1.6570 1.1920
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3979 1.053 0.8843 0.8473 1.474 1.022 0.7957 0.3046 0.7484 0.2342
[2,] 0.5059 1.342 1.1641 1.2079 1.812 1.444 0.9629 0.3868 0.9404 0.3050
[3,] 0.5935 1.713 1.4656 1.4668 2.038 1.605 1.0733 0.4497 1.0556 0.3481
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.7953 0.7274 1.011 0.4983 0.9727 1.530 1.388 0.938 1.499 1.034
[2,] 1.0364 0.9642 1.266 0.6119 1.3537 1.756 1.622 1.187 1.987 1.221
[3,] 1.2506 1.2845 1.424 0.7104 1.5485 1.964 1.887 1.324 2.265 1.415
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6711 1.024 1.034 0.989 0.8264 0.9489 0.4284 0.9629 0.5839 0.9498
[2,] 0.7920 1.478 1.326 1.345 1.2680 1.1548 0.4998 1.2761 0.6675 1.1163
[3,] 0.9065 1.952 1.624 1.635 1.5784 1.3019 0.5581 1.6505 0.7477 1.3159
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.8133 0.8999 1.096 0.4950 1.081 0.8133 1.036 0.4915 1.354 0.9862
[2,] 0.9391 1.2839 1.498 0.6120 1.504 0.9688 1.383 0.6171 1.581 1.5169
[3,] 1.0991 1.5068 1.769 0.6597 1.747 1.0675 1.676 0.7074 1.797 1.7597
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.495 1.552 2.091 1.433 1.864 0.2797 1.831 0.7678 1.796 0.7298 0.8153
[2,] 1.751 2.135 2.379 2.137 2.479 0.3334 2.374 0.9978 2.295 0.8426 0.9609
[3,] 1.986 2.576 2.692 2.658 3.159 0.3691 2.989 1.1692 2.673 0.9542 1.1006
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3324 0.8338 0.6938 2.274 1.464 0.2712 0.2750 0.3151 0.3036 0.9252
[2,] 0.4105 1.2860 0.8183 2.700 1.784 0.3449 0.4005 0.4267 0.3934 1.0955
[3,] 0.4686 1.5414 0.9120 3.104 2.028 0.4458 0.4748 0.4869 0.4511 1.2832
[,94] [,95] [,96] [,97] [,98]
[1,] 0.3915 0.3297 6.479 3.553 1.139
[2,] 0.4546 0.3911 8.423 5.278 1.771
[3,] 0.5244 0.4315 10.085 5.978 2.245
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.385 0.833 3.333 1.116 1.907 0.3032 0.8168 1.962
[2,] 618.476 265.771 1277.696 665.607 636.324 113.6043 293.9708 710.593
[3,] 576.394 226.584 1170.807 836.885 680.578 97.5449 253.4333 758.241
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.192 1.708 1.23 1.531 1.185 2.677 2.689 2.081
[2,] 961.509 1041.129 502.00 912.641 462.035 1094.143 1165.119 650.860
[3,] 812.427 787.647 436.13 758.750 335.138 1100.289 1239.946 665.398
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.841 1.64 2.044 2.095 3.184 1.843 3.041 1.523
[2,] 913.231 913.21 1068.750 1144.512 1196.721 614.596 1670.370 833.057
[3,] 912.030 985.07 985.329 1065.437 1090.485 541.146 1583.418 809.627
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.319 1.764 1.4 0.8165 1.367 0.3239 1.147 1.057
[2,] 136.973 904.213 779.4 279.0567 740.757 115.1337 557.181 375.043
[3,] 124.524 1029.141 997.9 352.8131 915.416 116.0298 706.975 405.958
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.5052 1.337 1.123 1.076 1.872 1.298 1.01 0.3868
[2,] 202.4098 538.873 490.491 557.746 683.401 660.533 351.28 154.4355
[3,] 201.1488 689.361 576.891 539.165 603.986 454.826 307.22 148.6689
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9504 0.2973 1.01 0.9237 1.284 0.6328 1.235 1.942
[2,] 368.8768 126.6534 430.59 409.9897 493.334 230.0526 609.924 559.459
[3,] 310.6692 108.7351 453.51 549.8763 422.509 233.8481 487.134 568.912
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.762 1.191 1.904 1.313 0.8522 1.301 1.313 1.256
[2,] 543.800 470.841 845.085 420.035 272.5742 690.145 537.489 591.047
[3,] 624.767 380.886 704.653 463.262 285.6282 826.219 607.863 601.426
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.049 1.205 0.544 1.223 0.7415 1.206 1.033 1.143
[2,] 623.091 426.393 166.848 542.625 209.5785 379.977 304.112 593.340
[3,] 609.007 389.505 160.917 678.203 218.2599 451.500 370.030 510.972
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.392 0.6285 1.372 1.033 1.315 0.6241 1.72 1.252
[2,] 661.848 233.2225 678.088 341.118 594.146 241.7886 528.59 746.725
[3,] 609.690 159.5158 575.584 290.450 613.257 224.0641 552.74 577.958
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.898 1.971 2.656 1.82 2.367 0.3551 2.325 0.9749
[2,] 591.294 950.241 735.048 1027.20 1058.129 117.6405 979.199 412.9153
[3,] 606.412 934.222 816.263 1024.03 1269.470 102.4960 1176.746 394.8781
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.28 0.9268 1.035 0.4221 1.059 0.881 2.888 1.859
[2,] 926.13 272.8604 329.549 156.0017 634.375 281.171 942.896 660.299
[3,] 887.48 290.1108 347.712 146.4326 550.482 260.782 991.687 625.382
[,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.3444 0.3493 0.4002 0.3855 1.175 0.4972 0.4187
[2,] 138.0684 188.6161 186.3563 162.1143 380.111 149.6337 136.2676
[3,] 183.0432 165.2862 151.9315 142.9948 432.899 169.3295 118.0901
[,96] [,97] [,98]
[1,] 8.227 4.512 1.446
[2,] 3487.667 2528.684 879.214
[3,] 3593.628 1818.963 893.981
[1] "--- VAR model 2017-10-01 22:31:00 completed"
[1] "Completed training sample: 2017-10-01 22:31:00 - 2017-10-02 06:30:00"
[1] "SpVAR; training sample: 2017-10-01 23:01:00 - 2017-10-02 07:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-6.595 4.387 -17.26 -4.866
-9.570 1.629 -28.94 -22.166
1.606 -1.643 -33.80 -28.074
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-31.53 -1.701 5.742 22.7615
-3.78 2.519 6.928 10.3696
4.57 3.637 12.864 0.7989
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
36.612 38.57 -2.183 11.807
23.267 31.99 11.682 -1.275
8.979 16.33 12.187 -8.144
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.3908 81.96 45.33 20.830
0.1760 77.01 13.32 3.934
0.8353 56.34 -16.61 24.973
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
42.77 11.09 8.441 27.61
38.53 45.12 63.228 50.60
15.13 41.87 69.022 69.07
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-30.43 -6.826 -67.18 -13.48
-14.26 -14.528 -56.39 -34.90
-11.45 -16.464 -73.89 -30.26
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.3505 -42.41 7.877 4.811
-0.4075 -48.06 -29.866 -3.912
-2.0728 -30.99 -31.073 -5.701
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.474 -1.5026 -9.854 -33.85
-23.789 -5.8831 -13.651 -22.06
-40.636 -0.7578 -27.200 -12.75
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.404 -26.58 -12.477 -12.058621
-1.955 -10.29 -6.384 -8.609375
-5.279 -23.50 -7.132 -0.004709
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-15.393 -8.7820 -0.360 -2.655
13.874 9.2424 -5.762 -6.441
-5.898 0.6883 -1.379 -2.202
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.985 4.10227 -13.397 -20.26
1.988 5.00251 -8.271 -13.68
5.391 -0.02899 -7.735 -21.33
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.6751 1.3574 3.450 9.810
-0.5378 0.3623 -8.279 -14.394
11.3278 5.2757 -17.327 6.648
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.955 2.479 -20.20 2.136
12.208 12.023 -13.90 7.184
5.948 -1.743 -10.76 15.225
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.2867 9.378 7.7404 -7.725
1.8251 5.886 0.8349 2.510
-0.2611 11.424 -5.4155 -4.779
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.6247 1.9677 5.211 11.994
2.4511 5.8275 -3.851 -1.998
1.6476 0.7066 -3.310 10.308
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
3.948 1.989 8.4128 4.959
1.007 6.443 0.6058 8.874
-2.226 10.370 3.6472 7.631
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.02894 -5.391 8.330 3.760
17.85905 2.273 7.093 -2.291
12.65754 7.572 13.930 1.569
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.8260 -3.5966 -0.5091 -3.3295
0.7357 7.0934 -2.1434 -4.1995
14.1443 -0.1883 16.1850 -0.1732
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-28.893 -19.54 7.726 15.169
4.365 -10.56 5.932 -7.122
1.249 -10.70 17.665 2.640
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
53.82 -2.295 46.22 2.374
60.76 4.464 84.39 10.600
38.56 3.104 76.46 3.763
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
81.71 -0.5224 9.109 -2.25857
91.05 -1.5460 -5.119 -0.08418
75.88 -2.1147 2.594 -0.77461
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.889 -6.792 7.055 -0.007087
-1.953 5.063 29.941 0.795171
11.885 -1.166 16.060 4.709702
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.268 7.480 7.751 7.814
4.720 8.903 11.168 11.275
5.729 7.167 8.027 6.758
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
8.577 0.6976 -10.616 -78.55
4.226 0.1150 -8.854 -107.36
-0.872 6.3429 -3.984 -91.24
rnd_95776.volume rnd_95787.volume
33.82 -13.74
21.89 -37.21
-43.61 -33.48
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.111 0.6484 1.701 0.9454 1.514 0.2311 0.6993 1.660 1.903 1.391 1.050
[2,] 1.485 0.7724 2.195 1.4423 1.869 0.2862 0.8618 2.109 2.458 2.195 1.307
[3,] 1.750 0.8606 2.530 1.9564 2.234 0.3302 0.9610 2.479 2.917 2.649 1.487
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.217 0.913 2.600 2.197 1.553 1.432 1.441 1.615 1.580 2.988 1.358
[2,] 1.952 1.190 3.245 2.888 1.846 2.029 1.881 2.282 2.383 3.739 1.600
[3,] 2.293 1.343 3.853 3.506 2.196 2.586 2.425 2.779 2.902 4.313 1.742
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.277 1.228 0.3013 1.470 1.138 0.7562 1.014 0.2578 0.9904 1.021
[2,] 3.634 1.718 0.4002 2.088 1.727 0.9332 1.630 0.3319 1.4023 1.287
[3,] 4.558 2.336 0.4477 2.748 2.351 1.1435 2.147 0.3970 1.8033 1.491
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.4966 1.252 0.9372 0.8949 1.592 1.099 0.8068 0.2831 0.7744 0.2645
[2,] 0.6065 1.600 1.3055 1.4101 1.931 1.521 0.9495 0.3770 1.0118 0.3601
[3,] 0.7313 2.048 1.6827 1.7391 2.176 1.708 1.0927 0.4447 1.1195 0.4163
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.8033 0.7836 1.036 0.5710 0.9675 1.478 1.389 0.9204 1.509 0.9815
[2,] 1.0671 1.0570 1.293 0.7062 1.4377 1.753 1.642 1.1330 1.979 1.1731
[3,] 1.3165 1.3774 1.443 0.7888 1.6920 1.967 1.891 1.2818 2.368 1.3140
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6764 0.9988 1.071 0.9637 0.8532 0.9189 0.4423 1.037 0.6305 0.9228
[2,] 0.8183 1.4288 1.296 1.4323 1.2739 1.1465 0.5306 1.327 0.7217 1.1354
[3,] 0.9581 1.9874 1.632 1.7002 1.5422 1.2974 0.5917 1.679 0.7955 1.3072
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 0.7625 0.9004 1.195 0.4851 1.106 0.7951 1.004 0.5055 1.421 1.143
[2,] 0.9225 1.2337 1.576 0.6123 1.521 0.9429 1.409 0.6392 1.679 1.585
[3,] 1.0438 1.4634 1.838 0.6890 1.818 1.0381 1.726 0.7260 1.934 1.849
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.535 1.482 2.073 1.467 2.373 0.2561 2.128 0.7402 2.113 0.6738 0.8463
[2,] 1.862 2.239 2.417 2.280 3.152 0.3171 2.850 0.9648 2.632 0.8434 1.0029
[3,] 2.083 2.693 2.718 2.715 3.894 0.3587 3.502 1.1482 3.141 0.9570 1.1320
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3422 0.8238 0.6808 2.293 1.602 0.3736 0.3126 0.3490 0.3457 0.875
[2,] 0.4236 1.2716 0.8121 2.708 1.925 0.4850 0.4286 0.4549 0.4295 1.048
[3,] 0.4815 1.5201 0.9261 3.182 2.139 0.5837 0.5041 0.5139 0.5079 1.212
[,94] [,95] [,96] [,97] [,98]
[1,] 0.3748 0.3363 6.477 3.514 1.219
[2,] 0.4684 0.3916 8.538 5.506 1.797
[3,] 0.5513 0.4281 10.349 6.261 2.468
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.411 0.8234 2.16 1.2 1.923 0.2935 0.8881 2.108
[2,] 762.946 325.0510 1074.18 843.7 848.340 130.7003 390.0152 1007.431
[3,] 717.854 293.9642 973.83 1023.8 947.591 127.6250 329.3862 1009.739
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.416 1.767 1.333 1.546 1.159 3.302 2.79 1.972
[2,] 1205.268 1315.042 602.783 1181.544 591.727 1503.061 1451.83 773.390
[3,] 1216.141 1148.639 550.464 932.570 480.909 1609.795 1539.17 920.914
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 1.818 1.829 2.051 2.006 3.794 1.725 2.892
[2,] 1113.293 936.519 1247.946 1382.449 1740.719 654.203 2193.501
[3,] 1241.606 1185.572 1228.948 1282.174 1665.319 534.264 2131.023
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 1.559 0.3827 1.867 1.446 0.9602 1.288 0.3273
[2,] 930.598 203.9261 1148.971 1005.583 423.5695 988.660 161.9119
[3,] 1225.661 155.4379 1383.865 1235.292 511.8229 1081.484 168.7659
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 1.258 1.296 0.6306 1.59 1.19 1.136 2.022 1.395
[2,] 768.929 606.535 269.6321 771.95 703.95 844.041 846.804 814.196
[3,] 878.186 583.437 316.4446 989.34 822.30 788.413 777.024 601.966
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.025 0.3594 0.9834 0.3359 1.02 0.9951 1.316 0.7251
[2,] 387.705 192.8323 504.2961 189.2654 544.10 549.4258 598.799 321.8413
[3,] 418.851 182.7843 371.0558 161.6929 597.19 684.0064 495.691 272.1391
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.229 1.877 1.764 1.169 1.916 1.246 0.859 1.268
[2,] 823.714 730.233 678.123 511.772 991.993 497.667 356.631 791.368
[3,] 690.954 691.519 726.426 464.326 1006.748 458.491 385.996 1069.900
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.361 1.224 1.083 1.167 0.5617 1.317 0.8006 1.172
[2,] 564.199 820.642 732.689 530.970 227.0436 641.517 272.0043 512.338
[3,] 768.992 709.541 673.184 470.438 202.7397 796.105 259.2956 501.653
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 0.9683 1.143 1.517 0.616 1.404 1.01 1.275 0.6419
[2,] 402.1808 653.294 795.660 289.380 808.862 392.49 765.491 302.9894
[3,] 378.2769 609.609 733.883 244.788 770.989 336.50 772.036 266.7387
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.804 1.452 1.949 1.881 2.632 1.863 3.013 0.3252
[2,] 693.199 850.048 816.694 1300.286 962.438 1351.702 1607.650 144.8177
[3,] 742.615 737.090 724.082 1158.241 963.372 1141.204 1771.129 129.9560
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.702 0.9399 2.683 0.8557 1.075 0.4346 1.046 0.8645
[2,] 1468.510 479.2667 1215.028 392.8142 416.858 193.3932 750.344 342.9213
[3,] 1576.472 482.1866 1327.794 350.3684 406.649 177.3111 645.026 344.7559
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 2.911 2.035 0.4744 0.3969 0.4432 0.4389 1.111 0.476
[2,] 1115.672 826.329 239.5337 227.1757 225.9368 197.4202 446.847 217.540
[3,] 1294.946 722.187 251.6068 205.5421 185.2712 210.0267 471.715 225.264
[,95] [,96] [,97] [,98]
[1,] 0.427 8.225 4.462 1.548
[2,] 155.431 4307.879 3283.139 1022.566
[3,] 133.939 4530.313 2309.050 1310.188
[1] "--- VAR model 2017-10-01 23:01:00 completed"
[1] "Completed training sample: 2017-10-01 23:01:00 - 2017-10-02 07:00:00"
[1] "SpVAR; training sample: 2017-10-01 23:31:00 - 2017-10-02 07:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-01 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
9.570 -0.4364 -18.078 4.241
5.834 1.3940 -20.725 -6.074
-10.623 -4.9105 -9.133 -20.013
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-43.95 6.660 17.27 35.83
-18.64 1.470 20.36 51.28
-35.03 6.561 12.93 19.73
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
47.69 0.1835 5.847 -16.313
33.35 36.3344 16.254 8.536
36.52 19.6992 28.655 -16.574
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
10.051 6.392 -11.35 42.27
-16.245 45.069 27.05 32.78
-2.488 16.970 25.83 22.00
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
19.444 41.78 12.457 -13.49
-5.312 21.29 39.469 51.25
1.459 15.07 4.687 10.66
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
29.49 10.901 -75.34 -10.89
-21.57 -4.567 29.84 -15.25
25.87 -10.400 -55.57 30.95
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
6.946 -22.93 -15.16 13.982
5.799 -16.39 -21.85 15.922
5.354 10.63 15.34 2.694
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
5.317 -2.248 -23.00 -14.30
-23.907 -2.011 -29.63 -27.17
-25.184 -6.183 -47.51 -16.18
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.828 11.70 -47.96 -17.121
-15.133 -14.08 -23.39 -8.524
-12.358 -21.12 -22.22 2.670
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.951 9.058 8.102 1.9373
-15.781 10.236 3.561 -0.3532
-19.639 -9.023 12.337 -5.4460
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.755 3.412 2.207 -25.47
2.468 1.519 -12.040 -13.60
-4.400 5.020 2.882 -29.23
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.390 -4.071 -4.277 -1.148
19.275 2.413 -27.153 -8.666
5.725 2.455 -6.953 -9.179
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.08695 -1.283 16.352 18.141
4.48187 1.045 -9.702 -1.373
-16.64733 -8.267 -15.950 13.559
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-8.638 -0.7543 -0.6545 4.075
5.722 20.8000 -3.7392 -1.009
-9.600 -5.6446 -14.1320 14.277
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.384 -14.7111 -4.905 12.294
1.328 -0.6226 4.033 -4.448
-6.982 -8.2138 -1.341 9.007
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.456 -11.657 7.362 -0.4848
-7.170 -15.159 3.030 -2.7044
-2.573 -9.032 5.978 -7.7967
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.069 0.8409 3.271 -1.670
-6.787 -0.9344 3.415 -2.681
-13.336 4.9263 -24.178 5.496
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.860 3.923 25.9559 -2.159
4.048 -4.684 -0.4068 4.819
-6.628 4.396 13.8006 -12.849
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
15.063 26.6384 -34.08 -9.615
4.175 -0.5486 -13.31 -8.652
21.762 7.6980 13.71 -17.872
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
49.92 -5.5280 50.44 -8.648
36.37 -0.9673 34.66 -6.121
23.70 -0.9593 25.90 -8.326
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
39.88 5.998 13.203 -3.476
56.38 6.218 7.876 -2.822
64.83 11.415 7.538 -4.525
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.171 -2.272 24.61 -1.100
8.900 -4.757 32.72 -30.691
2.047 -3.818 18.09 1.254
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
20.18 10.75 17.32 28.54
15.92 11.54 22.75 24.82
10.99 11.26 19.72 20.07
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
22.552 -0.8633 -3.202 67.63
12.127 2.6511 -1.392 53.22
9.668 1.4735 -4.506 49.47
rnd_95776.volume rnd_95787.volume
26.79 -26.481
-29.20 -8.159
-46.11 18.247
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.142 0.6560 1.884 0.9353 1.579 0.2099 0.7214 1.664 2.053 1.413 1.055
[2,] 1.504 0.8020 2.494 1.4972 2.028 0.2560 0.8984 2.150 2.542 2.242 1.344
[3,] 1.763 0.8776 2.928 2.0349 2.413 0.2941 1.0197 2.580 3.039 2.742 1.499
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.224 1.047 2.752 2.265 1.653 1.673 1.481 1.661 1.697 3.159 1.192
[2,] 1.967 1.328 3.477 2.942 1.966 2.179 2.114 2.405 2.633 4.131 1.390
[3,] 2.336 1.523 4.082 3.501 2.282 2.641 2.622 2.825 3.081 5.013 1.532
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.491 1.312 0.3334 1.623 1.239 0.8699 1.030 0.2763 1.047 1.008 0.5004
[2,] 3.983 1.999 0.4415 2.310 1.870 1.1498 1.681 0.3632 1.529 1.329 0.6303
[3,] 5.047 2.735 0.5065 3.106 2.693 1.3893 2.252 0.4219 1.993 1.570 0.7542
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.294 0.9614 0.9393 1.658 1.028 0.8144 0.2893 0.8406 0.2790 0.8674
[2,] 1.633 1.4805 1.4875 2.014 1.540 0.9944 0.3695 1.0555 0.3914 1.1451
[3,] 2.240 1.8845 1.8557 2.296 1.739 1.1462 0.4283 1.1903 0.4539 1.3920
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.8039 1.050 0.5386 1.003 1.445 1.393 0.9308 1.591 0.8553 0.6706
[2,] 1.1727 1.320 0.7385 1.474 1.764 1.636 1.1284 2.143 1.0850 0.8022
[3,] 1.5013 1.508 0.8366 1.766 2.042 1.852 1.2789 2.529 1.2291 0.9372
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 0.9856 1.062 1.035 0.8268 1.017 0.4409 1.011 0.6285 0.972 0.7897
[2,] 1.5325 1.359 1.490 1.3172 1.231 0.5282 1.375 0.7252 1.168 0.9579
[3,] 2.1567 1.720 1.803 1.6236 1.381 0.6048 1.721 0.8007 1.414 1.0640
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.8858 1.207 0.5236 1.055 0.8497 0.8804 0.4892 1.413 1.304 1.527
[2,] 1.2817 1.643 0.6593 1.473 0.9726 1.3342 0.6140 1.690 1.768 1.875
[3,] 1.5223 1.906 0.7530 1.782 1.0647 1.7159 0.7015 1.944 2.070 2.117
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.632 2.093 1.559 2.095 0.2388 2.223 0.8037 2.325 0.7233 0.8175
[2,] 2.339 2.432 2.380 2.974 0.2981 2.925 0.9909 2.839 0.8821 0.9830
[3,] 2.755 2.723 2.783 3.785 0.3330 3.476 1.1802 3.268 1.0067 1.1155
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.3411 0.7941 0.7095 2.327 1.659 0.4823 0.3439 0.5314 0.6866 0.8594
[2,] 0.4343 1.2593 0.8982 2.767 2.106 0.6062 0.4579 0.7163 1.0041 1.0494
[3,] 0.4934 1.5231 1.0068 3.184 2.398 0.7275 0.5487 0.8834 1.2245 1.2311
[,94] [,95] [,96] [,97] [,98]
[1,] 0.3728 0.3387 6.725 3.530 1.284
[2,] 0.4818 0.3834 8.685 5.447 2.088
[3,] 0.5842 0.4225 10.394 6.453 2.843
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.45 0.833 2.392 1.188 2.005 0.2665 0.9161 2.113
[2,] 719.74 339.447 1202.332 860.141 935.952 107.8173 393.8987 1001.149
[3,] 676.90 262.029 1128.431 1013.821 961.910 106.5669 354.8214 1049.384
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.607 1.794 1.339 1.554 1.33 3.494 2.877 2.099
[2,] 1102.660 1281.051 613.324 1133.150 601.30 1564.182 1380.422 783.694
[3,] 1225.151 1160.452 487.802 926.926 547.91 1573.216 1397.109 852.187
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.124 1.881 2.11 2.154 4.012 1.513 3.164 1.666
[2,] 1026.972 1110.104 1278.84 1480.903 1958.097 525.610 2286.718 1109.627
[3,] 1098.158 1140.569 1091.10 1177.008 2089.692 475.283 2279.519 1372.858
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4234 2.06 1.573 1.105 1.308 0.3509 1.329 1.281
[2,] 212.9401 1209.07 1030.402 553.185 977.300 173.4415 820.309 636.785
[3,] 182.6506 1528.03 1426.308 573.694 1102.602 157.8551 940.338 615.497
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.6354 1.643 1.221 1.193 2.105 1.306 1.034 0.3674
[2,] 282.0202 733.744 828.246 848.615 840.984 843.005 419.774 169.0298
[3,] 304.6836 1128.084 857.850 816.259 811.974 595.605 419.474 159.3992
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.067 0.3543 1.101 1.021 1.333 0.684 1.274 1.834
[2,] 469.587 201.9199 549.978 628.157 589.256 371.726 794.462 744.745
[3,] 404.817 169.1248 582.300 689.571 536.006 289.200 715.080 756.711
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.769 1.182 2.021 1.086 0.8516 1.252 1.348 1.315
[2,] 630.656 469.316 1056.368 491.129 323.8219 863.354 624.302 787.992
[3,] 638.498 442.703 987.663 424.892 356.5965 1116.368 775.523 747.833
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.05 1.291 0.5599 1.284 0.7981 1.234 1.003 1.125
[2,] 754.34 510.925 213.9633 685.496 266.1737 476.039 398.832 681.480
[3,] 698.31 460.591 216.8072 761.161 249.7387 586.989 340.800 604.268
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.533 0.6649 1.34 1.079 1.118 0.6212 1.794 1.656
[2,] 819.844 294.6826 755.93 348.247 737.474 273.0593 682.211 877.766
[3,] 710.345 267.5929 737.74 318.627 793.835 249.6224 707.179 793.043
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.939 2.073 2.658 1.98 2.66 0.3032 2.822 1.021
[2,] 800.630 1232.323 911.412 1322.88 1552.40 131.3158 1399.400 426.380
[3,] 723.024 1070.958 900.745 1060.42 1722.97 109.0804 1380.815 471.633
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.952 0.9184 1.038 0.4331 1.008 0.9009 2.955 2.106
[2,] 1198.483 371.5206 401.635 197.8479 719.043 405.1964 1100.857 954.260
[3,] 1190.724 356.9104 387.875 172.1585 630.245 334.6020 1159.205 844.806
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.6124 0.4367 0.6748 0.8719 1.091 0.4733 0.4301 8.54
[2,] 270.2185 222.3648 353.3388 539.0235 443.119 224.5944 132.2011 4043.27
[3,] 295.9494 222.5151 380.3613 515.5179 473.497 243.0519 130.5961 4200.44
[,97] [,98]
[1,] 4.483 1.631
[2,] 3051.980 1210.855
[3,] 2545.726 1420.026
[1] "--- VAR model 2017-10-01 23:31:00 completed"
[1] "Completed training sample: 2017-10-01 23:31:00 - 2017-10-02 07:30:00"
[1] "SpVAR; training sample: 2017-10-02 00:01:00 - 2017-10-02 08:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.894 27.856 33.41 -12.709
-28.646 6.529 -95.03 -9.152
-1.688 6.341 -48.77 -6.824
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-38.76 3.5779 24.9744 -47.19
-30.41 0.9792 -0.1468 22.02
-14.07 0.7734 14.0308 40.16
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-84.81 -42.51 -11.08 25.27
10.05 -16.57 -11.99 -81.02
45.19 -15.90 27.69 -17.52
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
28.04 -64.67 -14.02 58.06
12.21 21.83 24.25 43.15
31.58 67.35 -42.02 46.28
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
30.52 36.85 54.78 36.36
19.05 40.21 96.98 99.68
-29.19 14.84 85.72 43.34
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
32.85 1.772 -54.33 -49.387
47.01 8.545 -24.93 -3.653
-39.59 -4.890 -93.41 -41.424
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.3577 8.938 -46.42 -18.83
6.5417 -15.682 -68.00 -14.60
0.2121 -25.569 -34.06 -10.28
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.6727 -7.361 -13.355 -48.04
-0.1553 1.224 -1.991 -53.68
-0.9777 -5.171 -30.951 -21.27
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.977 -18.14 4.217 -27.62
-14.849 -31.66 -31.275 -20.58
-10.941 -15.80 -6.511 -50.48
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.546 -0.7581 6.341 -0.7699
-15.826 -12.9137 1.877 2.3661
-18.096 2.5071 1.922 0.1943
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-19.696 -3.799 24.478 -10.52
-5.913 -4.015 -2.392 34.52
-16.433 -6.712 1.206 -11.22
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-16.0789 0.7735 -35.00 5.761
0.9693 -11.1043 13.74 14.450
44.5416 3.5541 33.97 -1.142
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.587 24.267 25.07 -11.03
23.111 -14.461 -28.01 18.78
-1.595 -5.867 38.84 12.55
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.413 -14.108 -3.3170 -9.848
-3.972 13.838 31.8707 9.082
-6.171 -5.398 0.4822 33.202
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.176 20.763 -1.3858 -7.543
5.425 4.649 -7.4250 41.374
35.297 19.903 -0.2398 -14.635
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.964 -14.403 1.119 8.457
-17.212 8.553 2.687 -8.120
1.108 -8.129 -8.301 18.230
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.059 0.2731 -1.399 1.050
-14.260 -0.9948 -27.042 -5.919
22.551 -4.9451 25.264 16.709
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.404 5.212 18.624 6.7895
-4.030 13.561 -9.035 -15.8548
-2.532 -1.147 19.637 0.4119
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
35.14 49.73 39.41 28.24
49.04 33.25 39.15 34.24
28.31 13.76 24.64 17.25
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
129.9 3.461 98.43 -4.050
132.7 5.180 35.56 1.981
141.0 3.577 69.69 -7.916
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
82.62 -7.472 -8.895 -8.2306
39.59 12.093 -20.259 2.0602
100.96 18.251 -2.613 0.5029
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-23.7101 24.767 -63.87 17.156
-10.7807 20.216 -1.44 -30.102
-0.2604 4.929 -45.94 -9.625
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
9.340 24.733 13.85 17.18
-4.939 9.171 42.87 56.89
8.446 34.623 27.20 40.57
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.234 2.428 -2.820 155.7
10.561 5.700 -8.520 224.2
2.829 -1.038 -5.563 197.6
rnd_95776.volume rnd_95787.volume
25.17 -35.725
-34.07 -7.699
23.71 -31.639
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.219 0.6708 2.107 1.246 1.700 0.2149 0.7648 1.847 2.110 1.526 1.002
[2,] 1.539 0.8293 2.793 1.791 2.138 0.2640 0.9557 2.392 2.692 2.502 1.326
[3,] 1.833 0.9373 3.237 2.429 2.664 0.3103 1.1002 2.803 3.293 3.140 1.537
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.350 1.087 3.143 2.611 1.681 1.722 1.599 1.909 2.066 3.531 1.090
[2,] 2.037 1.387 3.993 3.212 2.106 2.240 2.287 2.604 2.672 4.761 1.312
[3,] 2.393 1.566 4.655 3.848 2.486 2.769 2.773 3.070 3.094 5.668 1.469
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.761 1.468 0.3564 1.834 1.349 0.9621 1.114 0.2857 1.163 1.163 0.5296
[2,] 4.378 2.292 0.4790 2.621 2.078 1.2481 1.835 0.3693 1.772 1.566 0.6491
[3,] 5.540 2.951 0.5631 3.277 3.023 1.5074 2.510 0.4522 2.368 1.834 0.8012
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.371 1.176 1.112 1.662 1.051 0.8059 0.3093 0.8071 0.3096 0.9509
[2,] 1.836 1.621 1.759 2.022 1.602 0.9781 0.3812 1.0583 0.4269 1.3168
[3,] 2.332 2.166 2.235 2.313 1.848 1.1364 0.4521 1.2035 0.5118 1.5761
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 0.8091 1.055 0.5589 1.004 1.380 1.469 0.8636 1.449 0.898 0.6835 1.051
[2,] 1.2113 1.298 0.7321 1.481 1.730 1.685 1.0893 1.977 1.109 0.8204 1.631
[3,] 1.5496 1.512 0.8173 1.732 2.077 1.920 1.2803 2.395 1.279 0.9955 2.103
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.036 1.055 0.7462 1.028 0.4657 0.9913 0.6344 0.9404 0.8206 0.9096
[2,] 1.401 1.479 1.2558 1.266 0.5526 1.3511 0.7417 1.1670 1.0285 1.3078
[3,] 1.725 1.831 1.6178 1.440 0.6338 1.7227 0.8126 1.4540 1.1505 1.6596
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.299 0.5402 1.146 0.8521 0.9209 0.4856 1.578 1.477 1.615 1.739 2.121
[2,] 1.779 0.6876 1.537 1.0064 1.3709 0.6038 1.961 1.976 1.947 2.439 2.499
[3,] 2.154 0.8167 1.843 1.1259 1.7522 0.6882 2.337 2.346 2.225 3.059 2.886
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.805 2.184 0.2478 2.324 0.7951 2.310 0.7890 0.7782 0.3759 0.7796
[2,] 2.600 3.248 0.2852 3.065 1.0145 2.980 0.9943 0.9550 0.4590 1.3582
[3,] 3.153 4.070 0.3267 3.731 1.2157 3.545 1.0917 1.0732 0.5494 1.6528
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.7745 2.463 1.881 0.5805 0.5638 0.8877 1.147 0.8477 0.3693 0.3310
[2,] 0.9645 2.987 2.331 0.7153 0.8705 1.2427 1.524 1.1234 0.4894 0.3812
[3,] 1.1352 3.412 2.600 0.8794 1.1400 1.5348 1.897 1.3157 0.5986 0.4162
[,96] [,97] [,98]
[1,] 6.635 3.448 1.428
[2,] 8.839 5.143 2.271
[3,] 10.674 6.376 3.030
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 1.548 0.8519 2.676 1.582 2.158 0.2729 0.9712
[2,] 679.904 352.8623 1325.960 931.092 938.088 110.9707 414.7061
[3,] 720.004 315.9914 1185.255 1187.562 1150.299 118.0005 394.3747
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.345 2.679 1.938 1.272 1.714 1.38 3.991 3.315
[2,] 1100.342 1210.122 1435.069 628.807 1103.392 623.98 1781.596 1353.647
[3,] 1057.968 1372.934 1372.538 562.108 909.114 525.18 1732.471 1533.732
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.135 2.186 2.03 2.425 2.623 4.484 1.385 3.506
[2,] 917.776 1037.013 1183.20 1281.541 1225.987 2311.364 528.334 2458.659
[3,] 956.513 1178.317 1135.42 1175.818 1129.611 2225.160 477.493 2456.701
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 1.865 0.4526 2.328 1.714 1.222 1.414 0.3628
[2,] 1273.287 231.5837 1355.576 1143.708 575.410 1055.127 169.3269
[3,] 1345.413 214.2609 1423.565 1588.838 611.571 1239.843 188.8396
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 1.477 1.477 0.6725 1.742 1.493 1.412 2.111 1.334
[2,] 966.976 759.059 271.6266 883.101 807.657 986.466 832.287 875.574
[3,] 1136.826 690.496 339.8582 1040.722 1039.474 997.478 812.806 666.442
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.023 0.3927 1.025 0.3931 1.207 1.027 1.34 0.7097
[2,] 401.123 161.2480 495.373 212.6633 659.207 652.279 546.87 342.1816
[3,] 418.639 175.9824 414.648 204.3882 626.752 699.418 561.49 263.0508
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.274 1.752 1.866 1.097 1.84 1.14 0.8679 1.334
[2,] 788.393 755.531 597.296 480.489 972.77 470.97 328.3379 902.324
[3,] 650.013 831.433 665.312 486.794 978.87 460.75 408.0562 961.079
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.316 1.339 0.9476 1.305 0.5913 1.259 0.8056 1.194
[2,] 682.089 750.693 730.9008 534.847 215.2551 664.370 278.0592 500.016
[3,] 728.862 780.342 738.0902 496.244 224.6944 773.321 240.2711 627.598
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 1.042 1.155 1.649 0.686 1.455 1.082 1.169 0.6166
[2,] 448.670 679.962 879.822 307.844 741.029 387.520 734.897 259.6737
[3,] 373.039 739.386 878.909 318.865 735.715 365.258 789.625 238.9869
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.004 1.876 2.051 2.208 2.693 2.292 2.773 0.3147
[2,] 841.852 950.027 786.456 1237.857 956.674 1353.842 1739.507 102.0875
[3,] 919.906 914.742 779.452 1335.744 1044.166 1290.921 1775.426 115.3718
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.951 1.01 2.934 1.002 0.9882 0.4773 0.99 0.9836
[2,] 1446.801 455.98 1361.973 437.891 400.6272 190.6251 804.85 415.8843
[3,] 1539.072 484.70 1389.149 326.244 354.2764 218.4572 681.56 433.2812
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.127 2.388 0.7372 0.716 1.127 1.457 1.076 0.469
[2,] 1223.512 996.927 302.4859 479.966 629.283 726.029 533.436 232.425
[3,] 1193.881 834.024 370.0900 532.674 651.816 817.294 495.651 249.373
[,95] [,96] [,97] [,98]
[1,] 0.4204 8.425 4.379 1.813
[2,] 136.7634 4226.667 2760.966 1278.263
[3,] 120.9415 4329.557 2727.478 1450.954
[1] "--- VAR model 2017-10-02 00:01:00 completed"
[1] "Completed training sample: 2017-10-02 00:01:00 - 2017-10-02 08:00:00"
[1] "SpVAR; training sample: 2017-10-02 00:31:00 - 2017-10-02 08:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
20.587 4.046 -31.811 -29.859
8.729 5.761 7.504 -14.076
16.292 2.072 -13.702 -1.355
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.60 1.5933 5.728 12.124
-11.30 -1.0245 -2.433 16.459
-24.84 0.4258 4.459 -3.263
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
18.922 7.9357 -8.069 -7.778
-6.622 9.8862 11.605 -30.286
4.683 0.7348 -2.285 -10.327
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.615 11.795 16.66 58.89
9.909 -8.546 29.21 29.87
-0.600 2.752 52.41 53.19
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
17.120 24.005 -8.1215 8.114
2.572 -4.368 -0.1646 13.407
-2.431 7.685 -13.7877 -8.379
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-27.8441 3.7153 -6.716 -27.919
0.8881 -0.2929 -38.297 -11.633
-21.3168 -13.1223 8.726 -2.971
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.01771 -16.565 -24.623 -3.894
-2.37047 7.294 -6.966 2.356
-1.57994 2.897 -5.961 -6.123
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.330 -0.3785 1.687 -21.59
-16.926 1.7514 -21.393 -14.90
-2.985 -2.7646 3.952 -34.40
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.1667 27.939 1.029 -17.600
-0.8732 -5.878 -18.341 -4.091
2.6900 -13.059 -24.299 5.089
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.8662 -3.353 -7.390 3.796
6.5505 -11.546 -8.566 -2.659
1.5949 -8.594 10.111 -0.286
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.334 6.363 1.756 6.199
-6.459 -2.560 -15.362 -13.778
3.805 -2.678 4.842 -14.492
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
14.281 1.6171 4.477 17.84
14.859 -0.6238 5.298 13.27
5.505 -6.0391 -9.978 18.53
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-6.847 20.746 -19.26 0.2927
11.552 7.406 -25.23 -3.7313
9.267 7.870 45.04 7.4992
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.418 14.339 7.751 -1.517
-3.335 -19.987 -17.085 -13.177
7.417 7.166 -8.842 -7.805
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.063 -6.191 -2.196 -8.925
6.714 -4.029 4.782 -11.127
-17.069 -3.015 6.926 7.027
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.605 6.862 -9.223 -3.5780
-1.543 9.201 2.864 0.5546
1.713 7.555 -2.521 13.3696
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.070 0.1552 -2.927 6.139
-4.483 -3.0885 4.844 13.983
9.271 -3.5599 16.029 4.152
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.9288 -5.719 28.95 17.93
-0.9906 -7.503 14.59 16.26
9.0836 -1.859 29.91 14.16
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
12.177 12.96 -2.906 6.121
11.750 35.11 13.382 5.064
-9.678 13.29 28.499 30.853
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.79 -1.22736 -16.738 -10.6908
-18.05 1.87163 -39.512 -0.1885
-12.28 -0.09468 -7.155 5.8428
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-41.03 0.1462 5.575 1.7431
-8.76 -6.8144 -2.309 0.9605
5.19 -3.3647 -2.819 -0.9155
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.7713 3.922 -13.102 2.521
0.9409 5.989 -6.626 -7.045
-5.3998 2.623 -2.353 26.097
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.850 8.062 -7.088 -6.516
1.940 5.287 -8.906 -17.431
-1.332 4.431 -16.764 -10.455
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.708 -8.422 -7.717 -5.595
-5.954 4.965 -7.338 5.333
5.237 1.669 -5.086 16.193
rnd_95776.volume rnd_95787.volume
4.967 -18.678
70.983 -8.009
64.697 -6.836
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.375 0.7147 2.542 1.417 1.827 0.2261 0.8106 2.082 2.307 1.611 1.056
[2,] 1.751 0.9499 3.389 2.310 2.268 0.2792 1.0395 2.656 2.861 2.651 1.400
[3,] 2.059 1.0900 3.941 2.865 2.948 0.3301 1.2400 3.049 3.356 3.306 1.639
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.460 1.181 3.386 2.907 1.869 1.818 1.617 2.046 2.461 4.268 1.173
[2,] 2.327 1.509 4.269 3.556 2.334 2.535 2.393 2.742 3.027 5.587 1.407
[3,] 2.640 1.664 5.021 4.131 2.835 3.293 3.076 3.306 3.400 6.512 1.546
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.090 1.728 0.3719 2.032 1.560 1.172 1.268 0.3496 1.451 1.272 0.5826
[2,] 4.882 2.431 0.5388 2.881 2.552 1.581 2.355 0.4537 2.267 1.691 0.7750
[3,] 6.283 3.326 0.6140 3.641 3.425 1.878 2.915 0.5596 2.788 2.116 0.9743
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.612 1.383 1.410 1.787 1.196 0.8976 0.3602 0.9518 0.3602 1.024
[2,] 2.228 1.865 2.053 2.296 1.799 1.0732 0.4640 1.2102 0.5023 1.422
[3,] 2.919 2.527 2.746 2.561 2.085 1.2180 0.5388 1.4208 0.6248 1.740
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.8789 1.142 0.6368 1.167 1.409 1.473 0.8449 1.500 0.9848 0.7630
[2,] 1.3068 1.394 0.8199 1.661 1.843 1.711 1.0932 2.108 1.1889 0.9381
[3,] 1.6810 1.606 0.9374 1.919 2.123 1.958 1.3193 2.575 1.4057 1.1346
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.125 1.110 1.097 0.7155 1.124 0.4855 0.9717 0.6458 1.047 0.946 1.062
[2,] 1.712 1.489 1.553 1.3237 1.349 0.5808 1.4431 0.7721 1.327 1.182 1.499
[3,] 2.192 1.864 1.938 1.6981 1.598 0.6992 1.9176 0.8546 1.660 1.371 1.850
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.453 0.5680 1.183 0.8599 1.014 0.5142 1.694 1.680 1.680 1.848 2.134
[2,] 2.231 0.7151 1.622 1.0733 1.457 0.6442 2.181 2.216 1.993 2.523 2.640
[3,] 2.636 0.8259 1.894 1.1807 1.908 0.7564 2.666 2.581 2.288 3.251 3.097
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.931 2.514 0.2621 2.500 1.017 2.690 0.8443 0.7772 0.4099 0.8309
[2,] 2.883 3.747 0.3152 3.406 1.346 3.626 1.0378 0.9610 0.5018 1.5124
[3,] 3.425 4.731 0.3625 4.086 1.645 4.263 1.1878 1.1003 0.6018 1.8630
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.8093 2.579 1.928 0.7285 0.7098 1.108 1.279 0.8711 0.3821 0.3163
[2,] 1.1146 3.228 2.299 0.8900 1.1325 1.641 1.759 1.1419 0.5473 0.3694
[3,] 1.3269 3.626 2.759 1.0537 1.4016 2.031 2.244 1.3661 0.6900 0.4131
[,96] [,97] [,98]
[1,] 7.032 3.665 1.743
[2,] 9.393 5.750 2.468
[3,] 11.296 7.019 3.403
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.746 0.9075 3.228 1.799 2.319 0.2871 1.029 2.644
[2,] 724.995 418.4753 1498.306 1219.797 899.164 109.5711 435.195 1103.350
[3,] 725.015 357.4363 1345.397 1134.049 1259.105 117.7603 452.062 1001.528
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.929 2.046 1.342 1.854 1.5 4.299 3.692 2.373
[2,] 1132.030 1408.117 614.644 1211.700 628.7 1738.956 1369.406 935.061
[3,] 1173.333 1321.301 569.776 833.943 468.8 1767.958 1405.203 1076.475
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.309 2.053 2.597 3.125 5.419 1.49 3.924 2.195
[2,] 1181.129 1179.375 1220.971 1178.681 2411.136 519.39 2527.803 1143.044
[3,] 1406.023 1292.274 1235.023 1035.215 2237.142 427.54 2644.352 1518.194
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.4723 2.581 1.981 1.489 1.61 0.444 1.843 1.615
[2,] 260.6928 1365.716 1350.649 709.045 1326.93 193.349 1164.484 744.618
[3,] 196.9007 1488.724 1526.960 677.801 1149.04 219.012 1085.386 851.431
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.7399 2.048 1.757 1.791 2.269 1.519 1.14 0.4574
[2,] 341.6923 1028.188 836.245 997.958 964.837 899.053 393.43 195.6136
[3,] 394.8962 1261.381 1140.881 1218.941 758.719 703.723 385.16 183.0971
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.209 0.4574 1.3 1.116 1.45 0.8086 1.482 1.789 1.87
[2,] 499.831 234.0843 659.8 646.748 534.86 345.3472 790.850 794.737 582.33
[3,] 497.776 248.4840 671.1 707.090 533.37 303.9361 642.706 705.003 636.89
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.073 1.905 1.251 0.9689 1.428 1.41 1.393 0.9086
[2,] 463.914 989.888 445.419 364.9014 862.796 664.00 735.086 744.7075
[3,] 493.932 989.498 501.542 426.8259 915.750 749.08 775.140 711.2986
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.427 0.6166 1.234 0.8201 1.33 1.201 1.348 1.846
[2,] 499.069 213.0935 713.512 282.9700 544.84 474.299 707.256 1132.011
[3,] 572.550 260.3033 844.443 244.9604 667.43 464.304 725.505 938.507
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7212 1.503 1.092 1.287 0.653 2.151 2.133 2.133
[2,] 290.5724 741.314 429.500 699.861 259.540 918.401 966.545 717.207
[3,] 276.2650 654.298 329.058 824.289 265.062 1025.479 884.871 751.118
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.346 2.71 2.453 3.192 0.3328 3.175 1.291 3.415
[2,] 1148.882 1039.74 1431.194 1858.387 117.1162 1546.976 589.801 1626.165
[3,] 1370.861 1082.60 1236.509 1931.193 119.6820 1509.194 632.454 1499.579
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.072 0.987 0.5205 1.055 1.028 3.275 2.448 0.9251
[2,] 403.554 377.985 193.6023 845.031 512.550 1298.425 837.616 341.8619
[3,] 386.387 358.335 222.2057 727.470 481.406 1103.598 1019.453 377.1871
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.9013 1.407 1.624 1.106 0.4852 0.4017 8.929 4.654
[2,] 590.1659 809.254 807.677 493.721 262.1006 127.5623 4164.340 2962.773
[3,] 552.1887 800.264 932.194 501.371 280.9782 123.6740 4195.890 2691.334
[,98]
[1,] 2.213
[2,] 1168.820
[3,] 1566.543
[1] "--- VAR model 2017-10-02 00:31:00 completed"
[1] "Completed training sample: 2017-10-02 00:31:00 - 2017-10-02 08:30:00"
[1] "SpVAR; training sample: 2017-10-02 01:01:00 - 2017-10-02 09:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-13.000 -3.9931 -8.602 -32.42
-3.649 0.5534 -37.901 -6.69
-12.583 -2.0321 -54.238 -10.22
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.689 3.481 4.287 34.661
-8.820 -1.183 -9.961 -21.046
-23.046 3.771 -8.501 2.611
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
35.70 4.091 0.4728 -17.71
-38.00 -27.269 0.6261 14.88
27.03 2.137 4.8919 -39.89
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-15.335 -7.205 -13.2382 37.848
-9.358 39.493 20.7298 3.452
-8.654 33.812 0.4093 44.610
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
27.921 -19.20 1.099 10.736
-10.961 13.45 15.813 9.604
2.624 -10.73 30.470 21.813
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-64.84 2.5048 5.666 -17.257
-71.20 0.1107 -79.592 -2.136
11.88 2.4117 -56.503 -40.494
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.882 -24.40 -2.785 -11.85
2.606 -15.61 13.126 -15.84
1.161 -34.20 -51.727 -15.80
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-41.26 -5.7712 -20.03 -45.32
-12.56 5.9335 -29.14 -54.79
-12.13 0.1782 22.01 -24.83
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2278 -1.869 -5.109 24.84
-0.6999 4.942 -4.306 -12.42
-2.8325 -16.789 -13.052 -18.02
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.782 6.964 -11.5352 1.236
-7.629 -17.964 3.2822 -1.671
-2.784 -3.717 -0.7822 1.977
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-9.928 1.9591 7.124 -7.651
-7.041 -0.5823 -8.405 -4.108
8.479 2.1150 -4.779 -7.700
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-8.920 -8.282 -8.6695 -3.239
-1.793 -2.779 0.9009 -10.542
-4.062 -2.199 -11.4485 3.501
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.734 -6.3593 28.983 15.850
1.544 -6.7951 -6.524 7.336
13.375 -0.6484 12.595 14.139
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.27208 6.501 -0.7488 -5.399
0.01143 15.030 19.7218 15.520
2.57076 7.968 1.7134 -1.108
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.948 -26.1172 2.679 -0.695
2.797 4.7494 1.481 -9.031
13.398 0.6909 -5.348 15.054
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-8.812 3.251 -0.01904 9.212
6.506 -1.189 -0.01776 -6.733
-1.709 5.625 -5.63321 -3.270
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
12.793 8.179 8.922 6.600
3.944 -3.455 -8.408 2.493
-11.437 1.440 -1.099 4.594
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.661 -3.036 -19.911 -11.5275
3.659 4.607 1.474 8.0672
9.286 -1.486 15.378 -0.9612
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-20.399331 -19.010 1.685 15.94
0.754409 5.628 7.592 -10.97
-0.006227 16.143 28.985 28.17
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
47.25 -3.192 8.906 8.1585
49.18 -4.242 16.554 0.4496
66.09 -3.236 71.972 6.0293
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
27.42 -5.259 7.808 3.640
26.92 -2.174 -2.688 2.961
61.23 9.728 10.373 -3.049
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
13.70 -0.4219 -27.307 4.250
-14.09 2.7423 2.497 -24.843
-18.83 2.1858 -11.205 1.852
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.258 11.87 18.381 4.639
10.015 11.06 5.155 -1.689
-2.411 13.20 23.679 22.328
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-14.18261 3.616 -6.267 62.92
2.00476 9.497 -4.884 47.74
0.09762 -0.642 -6.608 60.31
rnd_95776.volume rnd_95787.volume
15.103 -16.36
6.976 -12.10
7.102 -40.37
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.446 0.8355 2.753 1.662 2.078 0.2866 0.9709 2.239 2.578 1.827 1.225
[2,] 1.913 1.0978 3.710 2.565 2.688 0.3725 1.2127 2.882 3.283 2.909 1.588
[3,] 2.234 1.2578 4.322 3.275 3.432 0.4264 1.3899 3.298 3.808 3.627 1.820
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.746 1.326 3.414 3.098 1.995 1.946 1.994 3.076 2.472 4.279 1.212
[2,] 2.597 1.943 4.480 3.853 2.609 2.753 2.892 4.057 3.099 5.960 1.448
[3,] 3.049 2.553 5.129 4.516 3.081 3.600 3.511 5.051 3.519 7.028 1.642
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.712 1.914 0.4185 2.217 1.870 1.333 1.591 0.4270 1.804 1.407 0.5943
[2,] 5.615 2.938 0.5737 3.296 2.997 1.732 2.639 0.5516 2.655 1.826 0.8115
[3,] 7.023 3.721 0.6835 4.070 3.984 2.062 3.387 0.6888 3.249 2.322 1.0382
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.021 1.694 1.630 1.793 1.290 1.007 0.3588 1.025 0.4148 1.146 0.8878
[2,] 2.616 2.287 2.348 2.388 1.893 1.256 0.4783 1.304 0.5567 1.697 1.4491
[3,] 3.242 2.989 3.128 2.721 2.193 1.413 0.5711 1.521 0.6940 2.025 1.8519
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.180 0.6753 1.313 1.698 1.546 0.8954 1.462 1.030 0.8167 1.301 1.085
[2,] 1.451 0.8639 1.851 2.139 1.910 1.1329 2.334 1.260 1.0446 1.828 1.505
[3,] 1.666 0.9887 2.138 2.481 2.179 1.3370 2.983 1.476 1.2494 2.419 2.009
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.152 0.7329 1.190 0.5476 0.9858 0.7174 1.014 1.075 1.162 1.481
[2,] 1.609 1.4019 1.600 0.6513 1.5382 0.8503 1.369 1.334 1.646 2.494
[3,] 2.053 1.7548 1.957 0.7823 2.1057 0.9590 1.741 1.523 2.050 2.909
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6304 1.363 0.9236 1.203 0.5473 1.899 1.791 1.758 2.045 2.158 2.239
[2,] 0.7772 1.875 1.1516 1.776 0.6754 2.378 2.398 2.096 2.697 2.668 3.179
[3,] 0.9126 2.140 1.2940 2.289 0.8190 2.814 2.689 2.442 3.387 3.159 3.746
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.918 0.2828 2.676 1.041 3.074 0.918 0.8393 0.4330 0.9373 0.9205
[2,] 4.219 0.3472 3.819 1.481 4.049 1.150 1.0203 0.5646 1.5858 1.2696
[3,] 5.630 0.4095 4.654 1.780 4.754 1.365 1.1904 0.6712 1.9877 1.4595
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.739 2.010 0.8892 0.9336 1.306 1.458 0.9228 0.5093 0.3255 7.113
[2,] 3.590 2.472 1.1095 1.3687 1.869 2.039 1.2708 0.6773 0.3741 9.406
[3,] 4.072 3.006 1.3668 1.7918 2.395 2.822 1.5210 0.8196 0.4150 11.445
[,97] [,98]
[1,] 3.845 1.914
[2,] 6.246 3.009
[3,] 7.723 3.826
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.837 1.061 3.496 2.11 2.639 0.3639 1.233 2.844
[2,] 730.879 415.881 1453.094 1141.36 995.352 138.9957 424.410 1059.628
[3,] 674.803 358.655 1294.570 1189.03 1247.001 121.1491 396.562 936.536
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.273 2.32 1.556 2.217 1.684 4.335 3.935 2.534
[2,] 1187.009 1322.21 590.405 1123.190 829.833 1694.183 1337.867 981.771
[3,] 1127.699 1265.41 518.717 932.673 966.864 1458.183 1375.930 956.751
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.472 2.532 3.907 3.139 5.433 1.539 4.714 2.43
[2,] 1137.236 1223.566 1544.476 1091.203 2423.413 462.933 2460.110 1302.04
[3,] 1354.561 1163.148 1757.941 974.888 2174.658 452.449 2464.494 1333.78
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5314 2.816 2.375 1.692 2.021 0.5422 2.291 1.787
[2,] 229.1919 1424.601 1367.946 646.276 1229.778 203.9850 1137.847 679.546
[3,] 217.0751 1394.211 1533.092 653.028 1239.794 240.9920 1094.028 837.901
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.7547 2.567 2.15 2.07 2.277 1.638 1.279 0.4556
[2,] 322.7620 969.626 897.93 986.50 920.933 808.688 437.985 184.7229
[3,] 378.1901 1118.302 1123.95 1207.63 761.703 647.193 378.612 182.2763
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.302 0.5268 1.455 1.127 1.499 0.8575 1.667 2.156
[2,] 470.457 216.8049 731.407 668.887 493.106 314.6870 762.482 760.306
[3,] 456.988 242.0537 645.644 673.489 477.621 280.9244 624.200 733.915
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.964 1.137 1.857 1.308 1.037 1.652 1.378 1.463
[2,] 655.278 405.377 1062.625 423.834 380.364 750.118 609.212 655.994
[3,] 611.910 414.747 1084.833 448.746 400.375 925.430 776.917 745.093
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9306 1.512 0.6953 1.252 0.9109 1.287 1.365 1.476
[2,] 698.0341 624.488 206.0036 689.696 266.6464 536.987 461.894 680.392
[3,] 616.4564 658.551 253.0521 839.908 258.9742 628.414 428.697 714.547
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.88 0.8005 1.731 1.173 1.528 0.695 2.412 2.275
[2,] 1172.01 265.5471 751.847 401.738 763.121 231.142 835.642 931.172
[3,] 874.20 279.4060 602.075 344.777 843.400 270.547 878.385 710.375
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.232 2.597 2.741 2.843 3.706 0.3591 3.398 1.323
[2,] 666.987 1027.044 916.307 1318.012 1779.407 117.6902 1591.089 614.721
[3,] 731.993 1196.806 988.004 1157.636 2177.374 126.7817 1553.888 576.937
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.903 1.166 1.066 0.5499 1.19 1.169 3.478 2.552
[2,] 1539.441 404.339 338.883 211.5959 747.14 510.730 1355.906 840.990
[3,] 1454.685 429.628 358.235 212.0195 699.93 420.418 1121.560 998.469
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.129 1.186 1.658 1.851 1.172 0.6467 0.4133 9.033
[2,] 387.604 584.524 781.358 833.157 510.355 260.8109 107.7332 3594.579
[3,] 466.235 675.436 874.116 1139.026 488.103 269.5378 104.9348 3808.533
[,97] [,98]
[1,] 4.882 2.43
[2,] 2874.791 1356.09
[3,] 2653.520 1380.83
[1] "--- VAR model 2017-10-02 01:01:00 completed"
[1] "Completed training sample: 2017-10-02 01:01:00 - 2017-10-02 09:00:00"
[1] "SpVAR; training sample: 2017-10-02 01:31:00 - 2017-10-02 09:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
9.917 4.2974 -27.94 11.40
12.887 2.8922 -37.37 17.71
9.850 -0.9245 29.42 13.65
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.960 3.494 9.180 32.202
-3.524 -0.354 6.058 28.345
-1.630 3.998 -1.485 7.349
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
46.88 28.80 6.547 -17.5170
28.35 43.88 11.543 0.3272
22.38 18.80 -1.498 -14.0660
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
11.207 -20.469 -0.6331 23.094
2.439 32.272 -1.0976 8.385
2.624 6.735 50.3181 17.959
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
23.807 9.934 -1.449 -41.34
8.723 -12.028 -33.719 -19.21
45.682 21.990 9.614 16.97
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-46.27 -1.9944 24.37 -12.23
-60.19 2.0820 -56.85 21.00
26.85 0.1717 -43.93 -27.86
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.314 -2.470 -22.165 8.335
-1.922 23.085 10.890 -29.123
-3.559 3.872 3.424 15.165
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.062 0.6788 33.616 -2.451
17.668 -0.8989 -8.133 -18.768
7.792 -0.7687 -10.944 -13.405
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.784 -25.0326 -24.778 -24.590
-5.701 -0.2403 -16.523 -17.752
-8.626 -23.7304 -6.259 -2.086
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-13.4979 -6.267 -3.8903 -1.8432
-4.7253 -2.509 -5.3393 -2.2672
0.1597 9.807 -0.6116 -0.1616
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
15.3386 1.9799 7.556 -11.951
0.6174 -1.0335 2.843 -9.122
-1.1928 0.5551 -9.610 -4.372
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.340 4.294 1.744 2.730
12.552 7.012 -4.362 5.216
7.287 8.225 -17.528 -2.939
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.160 -3.166 1.745 -10.578
4.130 10.184 -13.361 -3.761
-7.736 11.169 -6.274 -4.424
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.863 -0.2775 -1.173 -1.345
12.649 -25.9247 -18.260 -11.705
6.123 -18.1003 -21.085 -12.584
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.993 11.8237 -6.169 20.047
7.171 -0.6173 -5.319 14.090
-20.447 9.5697 2.314 -7.574
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.7246 -0.6735 8.393 1.321
0.4298 10.6112 -5.367 6.279
0.4107 -1.8671 6.264 10.356
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.562 1.3068 6.333 -8.875
-3.405 0.7376 10.283 3.407
11.754 1.4151 -8.463 3.502
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.166 -4.6626 4.2026 25.19
4.743 -4.3132 -0.9675 13.24
13.265 -0.2622 22.7005 14.72
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.795 25.944 3.544 -0.5507
7.341 -5.496 -1.612 -11.4507
-19.518 -11.534 25.188 -9.6907
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.674 1.9911 -2.0325 9.790
-8.453 0.8264 -4.9439 3.875
14.853 2.0121 -0.8694 8.524
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.372 0.1781 2.572 -0.6555
6.480 -1.0461 0.218 -1.8497
-31.392 -7.3921 -6.150 -5.8292
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.381 9.4434 18.39 10.679
6.310 9.5303 -1.48 2.909
2.142 -0.4185 10.71 17.772
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.9341 7.881 -22.09 -3.201
-5.5958 13.066 -19.85 -15.138
0.7622 -4.034 -17.13 -7.620
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.468 -0.08376 -6.443 21.27
10.616 1.31043 -6.470 73.00
-1.236 -4.03183 -4.415 53.02
rnd_95776.volume rnd_95787.volume
-15.298 -11.14
54.459 19.15
3.549 -25.58
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.730 0.9341 3.634 1.831 2.255 0.3654 1.084 2.719 2.894 1.994 1.465
[2,] 2.215 1.2105 4.705 2.795 2.959 0.4644 1.368 3.355 3.824 3.459 1.836
[3,] 2.537 1.3567 5.600 3.537 3.727 0.5303 1.564 3.776 4.491 4.220 2.125
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.901 1.520 3.934 3.278 2.221 2.201 2.326 3.252 2.655 5.256 1.297
[2,] 2.793 2.135 5.043 4.164 2.875 3.059 3.154 4.413 3.444 6.899 1.520
[3,] 3.288 2.792 5.794 4.914 3.289 3.978 3.882 5.607 4.077 8.131 1.746
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.541 2.275 0.4916 2.371 2.102 1.688 1.679 0.4852 2.106 1.812 0.7266
[2,] 7.032 3.321 0.6793 3.677 3.358 2.158 2.768 0.6444 3.021 2.344 0.9989
[3,] 8.395 4.320 0.7974 4.726 4.429 2.553 3.587 0.7756 3.721 2.848 1.2838
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.173 1.992 1.928 2.291 1.443 1.186 0.4605 1.114 0.4750 1.384 1.076
[2,] 2.784 2.685 2.798 2.760 2.065 1.433 0.5865 1.431 0.6370 2.077 1.801
[3,] 3.535 3.364 3.696 3.166 2.430 1.605 0.6647 1.733 0.7892 2.496 2.334
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.302 0.8018 1.488 1.858 1.612 1.029 1.685 1.109 0.8602 1.381 1.149
[2,] 1.598 1.0215 2.113 2.355 2.054 1.266 2.618 1.404 1.1258 1.969 1.699
[3,] 1.815 1.2269 2.461 2.693 2.363 1.501 3.158 1.622 1.3484 2.516 2.250
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.138 0.8229 1.320 0.6008 1.083 0.7668 1.163 1.237 1.245 1.653 0.7216
[2,] 1.789 1.5196 1.799 0.7243 1.748 0.8892 1.559 1.530 1.780 2.770 0.9133
[3,] 2.181 1.9893 2.114 0.8492 2.388 0.9875 1.943 1.710 2.272 3.275 1.0376
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.463 1.035 1.210 0.5759 2.232 2.067 1.922 2.322 2.531 2.495 3.391
[2,] 2.086 1.278 1.906 0.7389 2.760 2.713 2.288 3.079 3.092 3.523 5.065
[3,] 2.407 1.450 2.420 0.9133 3.269 3.101 2.670 3.841 3.598 4.093 6.548
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.3068 3.136 1.351 3.192 0.9463 0.9025 0.5564 1.069 1.130 3.513 2.188
[2,] 0.4018 4.365 1.802 4.445 1.2159 1.0932 0.6966 1.781 1.493 4.258 2.799
[3,] 0.4816 5.042 2.098 5.158 1.4375 1.3175 0.8307 2.205 1.726 4.797 3.364
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.974 1.185 1.605 1.622 1.067 0.6074 0.3337 7.489 4.198 2.235
[2,] 1.321 1.752 2.344 2.353 1.408 0.8032 0.3908 9.697 6.902 3.389
[3,] 1.587 2.248 2.946 3.242 1.715 0.9827 0.4381 11.618 8.575 4.436
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.197 1.186 4.615 2.325 2.863 0.4639 1.377 3.453
[2,] 695.588 387.122 1502.702 1061.759 963.787 144.1241 419.245 988.227
[3,] 622.176 307.980 1526.967 1090.285 1138.998 128.7587 381.453 871.236
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.675 2.532 1.86 2.414 1.931 4.995 4.163 2.821
[2,] 1257.306 1421.062 556.51 1029.095 753.445 1586.941 1290.555 918.028
[3,] 1183.399 1215.466 537.69 871.531 904.870 1434.262 1312.187 802.952
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.795 2.954 4.13 3.371 6.675 1.647 5.766 2.889
[2,] 1068.513 1071.049 1499.75 1102.782 2246.526 398.833 2699.775 1216.261
[3,] 1278.716 1138.078 1739.03 1097.616 2164.198 431.473 2305.715 1389.191
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6243 3.01 2.669 2.143 2.132 0.6161 2.674 2.301
[2,] 235.7280 1413.40 1316.995 676.136 1106.732 213.2588 1088.671 747.560
[3,] 209.9396 1492.77 1451.937 685.855 1146.963 216.9599 1092.369 812.907
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.9227 2.759 2.529 2.448 2.909 1.832 1.507 0.5848
[2,] 344.6471 875.137 905.334 1019.309 774.028 742.963 404.322 182.5861
[3,] 405.4481 1095.549 1019.062 1214.659 779.231 644.018 362.754 157.3331
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.415 0.6032 1.757 1.366 1.653 1.018 1.89 2.359
[2,] 451.439 213.4355 778.368 725.880 466.139 318.276 753.71 728.066
[3,] 491.421 234.2081 696.078 746.994 432.891 341.696 634.70 656.736
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.047 1.307 2.14 1.408 1.092 1.753 1.459 1.445
[2,] 640.089 370.684 1007.14 432.949 365.195 705.994 629.640 693.642
[3,] 587.314 405.306 888.51 408.341 373.113 787.491 741.464 627.546
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.045 1.677 0.7629 1.375 0.9738 1.477 1.571 1.581
[2,] 642.313 614.620 203.4466 689.617 226.2947 522.127 452.721 639.684
[3,] 645.486 557.505 222.9159 818.173 216.0030 582.763 383.658 709.655
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.099 0.9163 1.857 1.314 1.537 0.7313 2.834 2.625
[2,] 1117.190 281.5198 747.657 376.661 740.093 232.7681 816.385 883.757
[3,] 878.688 247.5468 604.290 344.172 750.326 269.9061 881.013 755.315
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.44 2.949 3.214 3.168 4.306 0.3896 3.982 1.716
[2,] 624.67 1016.597 893.179 1250.433 1891.870 130.4503 1526.620 599.405
[3,] 691.58 1154.095 924.985 1047.767 2086.406 133.4944 1268.400 540.487
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.053 1.202 1.146 0.7066 1.357 1.435 4.461 2.778
[2,] 1555.711 383.845 310.148 210.6866 716.049 490.582 1209.733 877.631
[3,] 1315.564 385.585 369.770 227.5629 653.974 435.853 1111.292 938.473
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.237 1.505 2.038 2.059 1.354 0.7713 0.4238 9.51
[2,] 448.700 648.746 859.158 857.475 462.058 264.2100 102.2568 3097.11
[3,] 441.916 707.903 897.192 1121.381 492.565 284.7093 99.5567 3217.34
[,97] [,98]
[1,] 5.331 2.838
[2,] 2754.731 1280.788
[3,] 2558.106 1439.377
[1] "--- VAR model 2017-10-02 01:31:00 completed"
[1] "Completed training sample: 2017-10-02 01:31:00 - 2017-10-02 09:30:00"
[1] "SpVAR; training sample: 2017-10-02 02:01:00 - 2017-10-02 10:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-15.4403 -5.8722 11.67 8.189
-0.5525 1.0166 36.64 -15.942
11.5571 0.8746 -4.44 -15.460
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
5.139 3.6279 0.796 6.727
10.133 -2.6694 4.448 3.975
-4.085 0.6862 2.656 9.392
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.904 7.393 5.602 -16.40
5.183 -2.493 8.024 -28.04
12.949 11.922 18.900 -25.96
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.789 1.344 31.198 30.84
-12.498 -14.098 -11.311 35.76
-23.149 8.105 -5.784 40.83
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.531 -1.1705 36.72 21.18
-1.847 9.0442 -12.38 20.35
-6.296 0.9046 22.39 11.17
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-36.42 -0.2163 -25.11 4.851
23.13 -9.5988 -11.48 -6.078
13.94 2.8947 13.77 1.954
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.985 -0.9538 -43.25 9.235
-2.425 -8.2484 25.65 8.754
-3.374 -11.0318 20.04 17.560
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
14.04 4.047 4.709 7.471
-24.76 -0.211 -32.683 -5.113
-18.88 2.429 5.112 21.905
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.3613 -6.6862 12.418 1.423
0.7629 0.9181 1.366 13.006
-7.4277 8.7547 -6.403 -13.474
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.074 8.326 8.637 2.8374
9.307 6.259 5.697 -0.5388
20.761 6.706 5.022 -1.1015
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.363 -3.194 -7.366 -17.5243
-7.645 -4.646 9.681 0.4709
-2.747 1.166 -2.077 -8.1521
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.614 -4.310 5.242 7.1856
1.901 -6.656 -4.795 0.6807
10.422 2.151 5.054 0.7892
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-13.468 11.126 2.752 6.525
5.814 -5.005 -2.749 1.218
-4.697 7.911 -3.199 4.062
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.5646 1.704 9.013 9.477
-0.7326 -8.440 -2.324 -1.165
1.9257 4.524 -7.711 -6.603
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.3040 5.993 4.927 14.447
11.2269 -6.246 1.646 -5.180
-0.6924 2.606 1.963 2.505
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5903 -10.91571 10.646 -17.71
-7.2541 -0.05105 -2.436 9.70
-1.8627 12.13007 1.878 -14.51
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.872 -5.077 1.491 -12.241
-13.626 3.866 -12.481 3.155
5.584 -1.858 2.974 5.752
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.061 -1.375 -3.377 -24.981
-26.539 5.642 -1.171 2.216
5.710 -5.748 1.509 13.158
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-20.930 -14.77 19.875 6.502
-5.942 -11.83 2.438 -9.683
4.787 10.86 17.293 17.236
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.247 0.6768 -8.297 8.073
-12.483 -0.2249 6.537 -7.581
-1.918 2.6444 -17.981 -4.889
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.009 6.385 -4.247 -3.214
20.010 5.706 1.336 -1.261
-0.554 -3.371 -1.336 -1.942
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.458 -9.803 -4.901 -10.117
17.915 5.138 -33.057 2.194
12.617 2.686 -8.299 9.452
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.937 -15.162 -10.202 -3.0823
-2.474 6.667 5.987 -16.4090
2.359 -19.275 2.460 -0.6785
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.334 -0.9254 -6.798 -24.61
4.805 -0.9568 -5.720 -18.01
8.963 1.6981 -5.287 -24.13
rnd_95776.volume rnd_95787.volume
3.075 4.8880
-8.547 0.2099
-2.063 -6.0623
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.901 1.019 4.033 2.180 2.707 0.4662 1.238 3.019 3.082 2.271 1.537
[2,] 2.504 1.336 5.098 3.455 3.522 0.5478 1.566 3.663 4.099 3.800 1.938
[3,] 2.929 1.463 6.017 4.284 4.316 0.6305 1.731 4.143 4.774 4.634 2.294
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.030 1.663 4.402 3.570 2.371 2.618 2.520 4.074 2.838 5.865 1.490
[2,] 2.979 2.296 5.491 4.531 3.122 3.618 3.585 5.438 3.760 7.547 1.775
[3,] 3.467 2.933 6.350 5.432 3.617 4.649 4.328 6.803 4.442 8.891 2.068
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.894 2.426 0.5860 2.501 2.350 1.895 2.085 0.5746 2.543 2.122 0.8382
[2,] 7.933 3.679 0.7927 4.068 3.730 2.364 3.457 0.7423 3.536 2.844 1.1125
[3,] 9.572 4.831 0.9230 5.229 4.832 2.874 4.408 0.8817 4.306 3.421 1.4642
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.699 2.397 2.252 2.586 1.653 1.292 0.5439 1.199 0.5464 1.624 1.341
[2,] 3.308 3.206 3.502 3.106 2.462 1.565 0.6865 1.621 0.7195 2.363 2.116
[3,] 4.117 3.971 4.268 3.515 2.882 1.762 0.7781 1.914 0.8932 2.865 2.689
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.472 0.8452 1.594 2.158 1.860 1.077 1.979 1.275 0.9404 1.544 1.238
[2,] 1.808 1.1550 2.435 2.622 2.304 1.395 3.073 1.523 1.2672 2.344 1.897
[3,] 2.054 1.3382 2.885 3.037 2.700 1.696 3.685 1.772 1.5379 3.008 2.539
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.144 0.8983 1.522 0.6522 1.215 0.8110 1.253 1.447 1.475 1.904 0.8001
[2,] 1.892 1.6575 2.124 0.7924 1.914 0.9346 1.708 1.741 2.083 2.977 1.0399
[3,] 2.535 2.2304 2.458 0.9229 2.537 1.0433 2.119 1.968 2.631 3.552 1.1822
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.572 1.229 1.313 0.6892 2.595 2.514 2.160 2.286 2.915 2.656 3.593
[2,] 2.237 1.540 2.136 0.8735 3.281 3.207 2.604 3.265 3.451 3.915 5.650
[3,] 2.556 1.699 2.662 1.0291 3.814 3.697 3.055 4.155 4.019 4.550 7.151
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4014 3.423 1.570 3.725 1.058 1.004 0.6385 1.074 1.184 4.058 2.643
[2,] 0.4884 5.087 2.062 5.109 1.325 1.247 0.8013 1.946 1.609 4.816 3.281
[3,] 0.5765 5.915 2.321 5.936 1.566 1.504 0.9512 2.566 1.836 5.537 3.955
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.106 1.472 1.817 1.954 1.196 0.6715 0.3274 6.736 4.609 2.408
[2,] 1.565 2.072 2.790 2.983 1.623 0.9288 0.3937 8.310 7.988 3.891
[3,] 1.802 2.642 3.418 3.925 1.933 1.1740 0.4461 9.511 9.574 5.081
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.414 1.294 5.122 2.768 3.437 0.592 1.572 3.834
[2,] 667.184 353.371 1275.801 1097.090 922.271 117.697 392.563 848.751
[3,] 621.703 244.204 1307.914 1036.672 1020.670 127.757 301.549 792.378
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.914 2.884 1.951 2.578 2.112 5.589 4.533 3.011
[2,] 1105.747 1246.837 483.404 892.239 648.039 1343.591 1142.068 830.879
[3,] 1001.906 1085.378 501.846 725.352 746.642 1304.721 1225.865 747.457
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.325 3.2 5.173 3.604 7.448 1.892 6.215 3.081
[2,] 1021.532 1043.5 1473.834 1009.532 1943.387 394.275 2555.059 1131.822
[3,] 1195.253 992.5 1673.017 967.543 1923.707 434.885 2192.147 1281.203
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7442 3.176 2.984 2.407 2.647 0.7297 3.229 2.695
[2,] 218.4262 1312.865 1185.618 578.552 1128.409 192.3105 1005.524 774.866
[3,] 193.5371 1344.687 1256.665 668.913 1119.523 194.6877 1005.637 778.018
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.064 3.428 3.044 2.86 3.284 2.099 1.641 0.6906
[2,] 299.342 782.288 871.371 1097.46 703.969 746.906 361.524 171.4294
[3,] 389.541 1003.499 959.075 998.60 673.375 613.008 330.737 149.8842
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.523 0.6939 2.062 1.702 1.869 1.073 2.024 2.74
[2,] 446.649 191.5843 702.279 670.151 429.506 322.138 753.440 609.62
[3,] 416.123 216.5886 662.838 679.158 399.168 276.575 632.974 627.47
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.362 1.368 2.514 1.619 1.194 1.961 1.572 1.452
[2,] 556.259 363.044 961.803 341.036 347.616 721.591 588.116 616.662
[3,] 575.768 394.572 832.254 371.050 356.561 771.585 690.658 690.654
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.141 1.933 0.8283 1.543 1.03 1.591 1.837 1.874
[2,] 570.040 606.441 184.1105 605.214 190.05 475.285 396.438 601.816
[3,] 610.802 506.186 193.6540 681.221 189.74 513.292 375.623 657.798
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.418 1.016 1.997 1.561 1.667 0.8752 3.295 3.193
[2,] 936.356 271.840 650.959 379.786 689.750 219.6560 821.576 814.362
[3,] 792.757 230.126 506.116 293.703 649.789 222.6224 796.355 752.723
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.743 2.903 3.702 3.373 4.563 0.5098 4.346 1.994
[2,] 594.873 954.117 755.436 1177.023 1784.324 113.8220 1540.127 546.861
[3,] 653.817 1051.527 843.095 948.940 1793.783 125.4013 1235.144 435.797
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.73 1.343 1.275 0.8108 1.364 1.503 5.153 3.357
[2,] 1431.18 327.015 302.605 198.1455 664.281 445.926 1061.891 795.606
[3,] 1236.51 340.989 343.709 209.7408 684.109 362.156 1117.567 903.763
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.404 1.869 2.307 2.481 1.519 0.8528 0.4157 8.554
[2,] 453.412 596.586 866.620 922.443 448.967 262.5989 89.4883 1991.682
[3,] 365.123 670.852 807.597 1044.148 429.702 293.8312 85.8408 1893.307
[,97] [,98]
[1,] 5.852 3.058
[2,] 2670.089 1250.667
[3,] 2159.778 1337.200
[1] "--- VAR model 2017-10-02 02:01:00 completed"
[1] "Completed training sample: 2017-10-02 02:01:00 - 2017-10-02 10:00:00"
[1] "SpVAR; training sample: 2017-10-02 02:31:00 - 2017-10-02 10:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.316 -0.1032 29.26 -25.231
10.617 2.7143 -9.63 -3.794
-4.098 11.5245 -19.89 -23.585
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.463 2.667 0.9077 -0.8935
-11.451 0.370 7.7283 2.9378
-8.864 3.684 3.8129 2.0627
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.5506 0.8889 9.499 -24.28
-0.5980 -5.7021 7.621 -26.25
6.8520 22.3200 1.974 -11.45
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.910 -27.942 -29.036 33.75
2.588 7.327 -19.702 29.86
11.396 -26.689 -2.127 33.65
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.107 13.935 25.178 11.31
2.518 -14.247 9.106 25.47
6.323 5.364 -9.043 -4.18
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.02 0.03897 -2.588 2.256
-11.15 0.81385 13.499 -15.845
-13.54 -0.74981 -14.587 24.415
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.677 -2.853 -12.194 0.2449
3.273 -4.271 -4.836 -3.1334
2.143 4.701 10.209 -3.2872
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-21.77 2.784 -13.16 -7.457
-10.18 2.606 -16.86 -1.446
-16.21 1.063 -14.02 -15.378
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.159 1.311 -5.895 -24.30
-7.098 -35.500 -15.089 -8.44
-6.966 -3.180 -19.651 -33.84
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.20 13.040 -9.9264 -0.007742
7.97 -4.808 0.4951 2.923307
10.54 12.624 -6.3817 -2.800204
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.02438 -1.6526 -7.315 1.075
3.15850 -0.5631 -6.083 -13.390
8.87845 -3.0239 -4.287 -15.933
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9223 2.8654 10.76 8.138
14.6132 0.4061 -4.59 -23.520
7.6542 6.3417 -3.33 14.232
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
15.271 4.4589 0.8293 -2.527
-5.369 5.8807 12.4806 1.957
8.089 -0.9599 -13.5293 2.304
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.6197 -3.3093 -0.3708 0.8075
2.9421 -6.9341 -9.2474 -14.1144
-0.5308 0.7668 5.6702 -0.1421
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.596 2.990 -2.375 -5.603
-2.162 5.517 -2.462 -3.278
-11.024 -3.181 2.630 -6.636
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.033 -8.298 5.634 -0.8292
-4.615 -6.895 -2.993 -1.9026
-1.130 -1.120 -0.191 -10.0112
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
17.286 1.2646 2.033 -9.1739
-5.735 8.8694 1.647 -0.6244
-3.088 -0.2379 -7.340 -5.2179
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.374 4.2800 6.7283 2.969
-4.853 1.4784 -0.3202 4.880
-10.593 0.4573 -0.8630 5.878
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.164 -10.634 4.579 3.984
6.443 16.715 -1.929 19.121
17.403 3.353 -6.294 6.907
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.4942 -0.9786 8.603 -3.719357
9.2658 1.8257 14.697 0.006358
-1.3991 1.3172 10.223 -4.607499
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.607 -2.590 -0.03845 3.5162
-7.787 2.318 0.73910 2.4902
11.505 -6.021 2.49551 -0.8139
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.485 -2.514 18.024 1.549
-2.880 2.410 -18.807 3.049
6.272 11.800 4.435 7.344
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.780 1.408 -3.079 11.57
2.709 7.447 7.962 11.32
-6.995 11.252 7.011 11.65
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.3511 -0.7487 -6.111 -13.157
6.2092 -3.9538 -7.632 10.300
0.3157 1.6228 -5.867 9.974
rnd_95776.volume rnd_95787.volume
56.87 0.1664
-13.07 -12.8936
-35.97 17.6679
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.038 1.145 4.661 2.632 3.065 0.5144 1.377 3.329 3.564 2.511 1.799
[2,] 2.757 1.465 5.715 4.048 3.968 0.6324 1.719 4.022 4.642 4.190 2.249
[3,] 3.232 1.679 6.811 4.957 4.800 0.7369 1.900 4.469 5.337 4.964 2.619
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.243 2.038 4.834 3.885 2.572 2.865 2.832 4.816 3.337 6.906 1.668
[2,] 3.362 2.720 5.971 4.922 3.380 4.072 3.960 5.928 4.181 8.596 1.984
[3,] 3.842 3.429 6.826 5.747 3.880 5.061 4.665 7.177 4.910 10.017 2.287
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.400 2.671 0.6594 2.741 2.898 2.215 2.567 0.6765 3.007 2.390 1.041
[2,] 8.887 4.196 0.8737 4.616 4.364 2.759 4.027 0.9277 4.010 3.102 1.339
[3,] 10.646 5.308 1.0320 5.811 5.619 3.349 5.050 1.0717 4.798 3.694 1.703
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.115 2.647 2.657 2.895 1.858 1.436 0.6506 1.517 0.6423 1.985 1.540
[2,] 3.689 3.582 3.913 3.497 2.588 1.764 0.7820 1.894 0.8432 2.664 2.584
[3,] 4.683 4.366 4.753 3.903 3.096 2.013 0.8880 2.196 1.0115 3.166 3.132
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.638 1.034 1.795 2.299 2.025 1.220 2.327 1.349 1.107 1.922 1.358
[2,] 2.037 1.366 2.727 2.790 2.486 1.573 3.375 1.737 1.421 2.934 2.205
[3,] 2.289 1.529 3.301 3.301 2.928 1.909 4.004 2.012 1.666 3.589 2.755
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.275 0.9612 1.824 0.6888 1.382 0.8492 1.422 1.746 1.634 2.075 0.9246
[2,] 2.088 1.8919 2.498 0.8426 2.111 0.9737 1.853 2.032 2.284 3.376 1.2180
[3,] 2.889 2.6282 2.760 0.9917 2.843 1.1182 2.263 2.271 2.930 4.044 1.3938
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.791 1.444 1.435 0.8061 2.966 2.718 2.307 2.589 3.268 3.299 4.196
[2,] 2.592 1.761 2.395 0.9966 3.672 3.581 2.855 3.712 3.791 4.529 6.166
[3,] 2.946 1.935 2.968 1.1820 4.251 4.124 3.320 4.688 4.390 5.201 7.626
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4491 3.812 1.840 4.008 1.194 1.068 0.7376 1.179 1.360 4.497 2.861
[2,] 0.5745 5.470 2.346 5.718 1.527 1.378 0.9242 2.160 1.783 5.349 3.556
[3,] 0.6562 6.367 2.645 6.678 1.777 1.632 1.0783 2.755 2.100 6.041 4.230
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.298 1.589 2.096 2.246 1.400 0.8056 0.3641 6.574 5.212 2.748
[2,] 1.778 2.204 3.156 3.377 1.891 1.1103 0.4389 7.924 8.692 4.403
[3,] 2.040 2.819 3.811 4.304 2.225 1.3513 0.4947 9.217 10.682 5.587
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.588 1.454 5.919 3.342 3.892 0.6532 1.748 4.228
[2,] 697.043 342.879 1241.562 1154.476 946.029 138.0568 386.620 847.323
[3,] 633.066 308.029 1390.523 1073.484 1013.570 141.9883 303.315 731.104
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.526 3.188 2.284 2.849 2.588 6.138 4.933 3.266
[2,] 1115.917 1258.974 506.650 939.834 675.826 1315.368 1134.256 823.248
[3,] 988.363 999.034 503.816 697.818 783.852 1241.584 1113.646 714.960
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.638 3.596 6.116 4.237 8.769 2.118 6.857 3.392
[2,] 1086.059 1039.199 1297.179 945.709 1921.275 403.627 2649.003 1214.375
[3,] 1128.463 925.417 1518.794 966.322 1930.381 426.948 2200.280 1220.381
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8373 3.481 3.679 2.812 3.259 0.859 3.818 3.035
[2,] 215.1576 1393.812 1224.921 617.832 1164.538 238.296 995.643 742.380
[3,] 206.1191 1325.287 1328.200 712.414 1143.970 201.353 988.974 752.499
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.322 3.956 3.361 3.374 3.676 2.359 1.824 0.8262
[2,] 316.236 741.375 905.924 1078.398 736.039 676.184 384.504 162.8756
[3,] 394.720 1082.925 937.013 1012.641 650.290 638.127 363.652 157.8757
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.927 0.8156 2.52 1.955 2.08 1.312 2.279 2.919
[2,] 425.312 205.0595 666.84 778.855 454.38 335.249 770.748 593.278
[3,] 416.870 209.6945 642.58 664.473 391.81 258.200 697.959 662.403
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.571 1.549 2.954 1.713 1.406 2.441 1.724 1.619
[2,] 541.401 372.477 917.747 410.860 334.199 831.924 652.244 620.466
[3,] 580.821 406.411 808.576 381.407 326.664 775.971 619.431 749.638
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.221 2.316 0.8746 1.755 1.078 1.806 2.217 2.075
[2,] 611.636 640.771 182.2015 599.003 178.800 446.007 390.410 598.975
[3,] 684.730 440.192 196.2530 714.479 206.369 487.447 380.101 688.898
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.635 1.174 2.274 1.834 1.822 1.024 3.767 3.451
[2,] 999.349 297.595 703.270 378.591 719.639 219.974 812.260 875.519
[3,] 835.811 254.379 525.631 300.962 658.180 238.524 804.170 767.523
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.929 3.287 4.149 4.189 5.328 0.5703 4.84 2.337
[2,] 631.092 998.400 721.425 1164.594 1695.826 134.5032 1472.62 546.463
[3,] 636.422 1074.589 830.633 959.969 1684.016 118.9829 1223.16 458.353
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.09 1.517 1.356 0.9366 1.497 1.727 5.71 3.634
[2,] 1530.74 356.979 326.595 209.0020 679.481 433.120 1087.20 792.347
[3,] 1294.67 341.071 328.135 208.5243 641.523 416.450 1053.90 859.873
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.649 2.018 2.661 2.852 1.778 1.023 0.4623 8.348
[2,] 456.085 573.115 885.716 946.427 477.038 286.810 91.9868 1660.496
[3,] 375.363 659.569 801.964 1001.972 440.025 289.069 85.6490 1767.089
[,97] [,98]
[1,] 6.619 3.49
[2,] 2610.534 1291.12
[3,] 2331.040 1290.89
[1] "--- VAR model 2017-10-02 02:31:00 completed"
[1] "Completed training sample: 2017-10-02 02:31:00 - 2017-10-02 10:30:00"
[1] "SpVAR; training sample: 2017-10-02 03:01:00 - 2017-10-02 11:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
21.871 -3.169 -16.04 -8.5932
5.563 7.160 -26.28 -13.1087
11.673 7.349 -15.59 0.5738
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.099 -1.1736 3.226 -14.236
2.464 4.2639 9.856 3.029
-15.716 0.1717 0.991 -9.458
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.529 3.433 12.749 -22.79
-30.017 -13.510 1.915 -14.40
1.919 -12.406 -6.161 -29.31
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-13.882 10.70 -5.393 37.81
-8.354 -36.38 -9.856 7.24
-15.909 -23.86 1.723 31.79
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
18.182 13.489 -23.40 -12.51
-2.555 2.774 -25.45 12.66
-2.895 -17.841 -43.00 10.33
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-17.99 10.2717 -20.17 -30.142
-17.66 0.8934 12.71 -4.521
-11.89 5.3037 -35.49 -4.999
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.2968 -19.589 -31.210 10.735
0.3457 6.368 -23.459 -2.821
5.5069 -10.405 -9.193 -7.527
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
5.020 1.5600 4.717 6.226
-13.576 -0.2409 -21.394 8.361
4.633 -2.2240 -7.463 -6.126
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.7834 -18.426 -0.1947 -8.977
0.9269 -9.145 -2.9712 -7.518
-7.3134 -13.199 -12.7507 -24.370
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.623 -8.0300 6.285 -1.2405
-2.195 -9.7974 -0.657 -0.9003
6.353 0.6504 3.204 -2.3318
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-14.071 2.391 18.2919 -0.008701
6.494 3.644 -0.3571 5.417149
-3.094 -5.379 -9.3638 -13.365823
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
15.7878 0.4325 4.491 -0.5899
0.3998 8.2799 -2.832 1.9107
5.1957 2.0045 6.640 10.1277
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.742 5.082 5.203 6.56956
14.629 -3.563 -6.699 -0.02721
13.282 5.062 16.922 5.09057
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3635 -17.064 -16.197 -8.459
3.1727 3.826 -7.084 -21.240
3.3847 8.258 -11.733 -6.392
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.5907 -2.28148 1.910 -2.676
-16.6232 -6.18423 -2.246 -2.528
-0.7863 -0.06859 -2.416 -24.441
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.7684 3.058 -11.836 -3.6726
-0.4882 11.783 6.342 -0.1924
-2.0745 -11.498 2.069 22.5615
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
18.888 9.013 4.296 -5.705
-8.743 -1.317 5.092 -4.292
33.708 1.902 7.174 -10.075
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.7696 3.2251 10.999 10.827
-2.4515 -0.8972 13.969 8.026
-6.7356 -2.0601 -5.037 7.750
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
18.165 8.333 0.399 -19.384
-5.549 10.433 -14.293 18.958
8.020 11.601 9.311 -1.157
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
46.239 -4.45822 3.457 -6.363
8.772 -0.04202 -8.884 -1.097
6.207 -2.15249 -13.845 -6.052
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.331 0.28983 0.9322 0.9674
-4.355 0.03777 8.3671 0.1130
-10.253 -2.58307 -6.6173 -2.9510
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.030 -4.412 0.1152 -22.308
-12.384 5.400 -4.3608 20.332
-8.595 8.681 16.7135 1.019
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.4527 1.412 0.7786 -11.67
-10.3654 4.776 -11.4834 -12.84
0.8463 -9.819 0.8756 -14.59
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.381 -3.2266 -6.125 4.089
-3.027 -0.6522 -9.218 -6.996
-4.745 -1.6925 -5.567 -0.771
rnd_95776.volume rnd_95787.volume
-8.347 -28.1742
64.454 -0.7698
10.124 -8.3308
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.216 1.406 5.504 2.987 3.288 0.5982 1.471 3.861 4.073 2.956 1.968
[2,] 2.936 1.687 6.389 4.568 4.333 0.7198 1.807 4.469 5.326 4.984 2.567
[3,] 3.458 1.960 7.415 5.521 5.274 0.8261 2.020 5.052 5.925 5.588 2.914
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.528 2.287 5.104 4.271 2.745 3.129 3.213 5.577 3.701 7.744 1.799
[2,] 3.703 2.959 6.366 5.351 3.510 4.500 4.246 7.140 4.570 9.511 2.129
[3,] 4.120 3.646 7.419 6.163 4.075 5.471 5.129 8.473 5.235 10.864 2.500
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.316 3.214 0.7695 3.145 3.253 2.547 2.822 0.8018 3.423 2.752 1.247
[2,] 10.665 4.813 1.0075 5.084 4.766 3.127 4.443 1.0773 4.453 3.543 1.620
[3,] 12.389 6.111 1.1845 6.465 6.131 3.745 5.564 1.2375 5.369 4.244 1.955
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.542 2.852 3.234 3.175 2.094 1.821 0.7200 1.691 0.7286 2.274 1.865
[2,] 4.289 3.947 4.581 3.830 2.943 2.146 0.8733 2.048 0.9747 3.047 2.901
[3,] 5.566 4.771 5.522 4.285 3.561 2.402 0.9992 2.393 1.1296 3.602 3.550
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.863 1.192 1.939 2.607 2.247 1.440 2.484 1.560 1.209 2.149 1.565
[2,] 2.245 1.496 3.135 3.211 2.798 1.874 3.574 1.939 1.523 3.177 2.407
[3,] 2.487 1.669 3.727 3.618 3.275 2.172 4.399 2.264 1.786 3.873 3.105
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.498 1.153 2.166 0.8473 1.627 0.9062 1.563 1.846 1.802 2.454 1.014
[2,] 2.321 2.180 2.849 0.9794 2.383 1.0384 2.036 2.182 2.572 3.690 1.365
[3,] 3.227 2.882 3.139 1.1245 3.120 1.1744 2.489 2.445 3.229 4.363 1.555
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.985 1.670 1.505 0.8649 3.316 2.964 2.639 2.911 3.628 3.501 4.857
[2,] 2.918 1.962 2.641 1.0487 4.097 3.811 3.174 4.223 4.270 4.760 6.949
[3,] 3.296 2.157 3.292 1.2476 4.644 4.418 3.646 5.161 4.996 5.511 8.311
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5117 4.084 2.082 4.297 1.342 1.149 0.8879 1.395 1.633 5.086 3.212
[2,] 0.6531 5.780 2.603 6.078 1.680 1.516 1.0859 2.455 2.065 5.901 3.921
[3,] 0.7456 6.749 2.906 7.142 1.955 1.792 1.2591 3.065 2.394 6.710 4.570
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.383 1.810 2.277 2.501 1.577 0.9903 0.3734 6.400 6.166 3.279
[2,] 1.888 2.523 3.400 3.720 2.138 1.2925 0.4526 7.564 9.688 4.977
[3,] 2.174 3.051 4.012 4.643 2.479 1.5263 0.5158 8.712 11.720 6.298
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.814 1.785 6.989 3.792 4.176 0.7596 1.868 4.903
[2,] 611.375 295.974 1029.596 1097.180 895.340 127.0684 333.202 714.252
[3,] 579.443 316.980 1194.405 983.782 954.225 128.6253 286.437 747.825
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.172 3.753 2.499 3.21 2.905 6.481 5.424 3.486
[2,] 1089.205 1273.718 523.090 858.92 595.782 1207.631 1023.190 694.062
[3,] 823.658 802.002 437.469 573.30 675.906 1208.943 970.341 657.131
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.974 4.081 7.082 4.699 9.834 2.284 8.02 4.082
[2,] 1026.449 880.768 1415.290 850.896 1752.191 361.339 2727.29 1136.936
[3,] 987.558 912.963 1447.758 810.611 1666.775 416.034 2000.72 1195.066
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9771 3.994 4.131 3.235 3.584 1.018 4.347 3.494
[2,] 206.3900 1267.660 1105.418 575.565 1089.067 228.332 904.018 708.213
[3,] 197.6955 1267.637 1223.979 654.062 1062.858 193.277 952.004 741.564
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.583 4.498 3.622 4.107 4.032 2.659 2.312 0.9143
[2,] 328.132 767.522 865.891 1029.694 679.870 656.320 360.505 156.8248
[3,] 347.609 1125.904 850.805 978.504 609.735 636.461 341.953 154.1214
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.148 0.9251 2.888 2.368 2.365 1.513 2.463 3.311
[2,] 366.772 205.4776 643.616 705.130 397.726 287.064 781.873 595.032
[3,] 392.591 181.2324 609.709 649.646 339.834 235.209 639.753 528.586
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.853 1.828 3.155 1.98 1.535 2.729 1.987 1.902
[2,] 529.191 380.981 815.436 365.90 294.064 742.872 580.305 562.592
[3,] 540.150 348.530 813.702 370.73 295.954 702.980 622.581 711.611
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.464 2.75 1.076 2.066 1.151 1.985 2.344 2.288
[2,] 587.381 587.55 155.916 552.675 160.865 414.176 368.991 582.416
[3,] 598.319 418.04 175.382 639.184 174.157 454.263 350.456 619.968
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.116 1.287 2.52 2.121 1.911 1.098 4.211 3.764
[2,] 874.682 290.055 679.05 326.931 688.689 188.225 763.362 760.297
[3,] 738.977 236.304 486.49 283.970 623.662 214.491 694.018 709.174
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.351 3.697 4.607 4.445 6.167 0.6498 5.187 2.644
[2,] 559.438 970.695 714.344 1023.711 1577.429 128.7987 1298.077 495.906
[3,] 569.693 941.902 823.204 881.760 1446.927 114.1813 1105.685 409.812
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.456 1.705 1.459 1.128 1.772 2.073 6.458 4.079
[2,] 1364.317 320.648 313.861 198.405 641.021 401.128 949.811 713.650
[3,] 1190.287 316.982 303.260 202.221 582.506 384.813 1013.713 745.392
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.756 2.299 2.891 3.175 2.003 1.257 0.4742 8.127
[2,] 407.849 557.631 801.469 874.082 458.235 263.630 81.1697 1279.414
[3,] 341.777 544.415 676.117 881.599 398.262 257.648 78.5045 1372.218
[,97] [,98]
[1,] 7.83 4.164
[2,] 2371.46 1188.399
[3,] 2093.45 1224.536
[1] "--- VAR model 2017-10-02 03:01:00 completed"
[1] "Completed training sample: 2017-10-02 03:01:00 - 2017-10-02 11:00:00"
[1] "SpVAR; training sample: 2017-10-02 03:31:00 - 2017-10-02 11:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8538 2.4347 -20.50 15.22
7.6266 2.7557 20.47 -18.93
5.0154 0.3163 17.29 -13.10
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
9.9947 -0.4267 -0.9664 -2.943
0.3092 3.3991 -5.2690 7.876
-14.6945 0.7119 3.9309 10.557
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
18.657 17.906 8.573 -14.63
-5.665 11.149 4.111 -17.55
5.973 2.456 11.159 -17.41
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.531 -26.747 -9.584 31.15
7.294 -17.677 -13.811 41.59
14.083 -1.191 5.113 27.34
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.242 30.292 44.04 26.779
-13.657 14.148 17.10 27.994
8.800 -6.427 35.32 9.066
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-52.7758 -7.195 -25.368 -19.45
12.5107 -7.102 -61.690 -20.75
0.3783 1.897 8.327 -29.90
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.1977 -17.4676 -15.995 -0.5172
0.1786 0.9436 -6.423 4.9180
1.7961 -31.2247 -12.969 8.6757
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
15.11 -1.99573 14.397 4.8566
-18.99 -0.06752 -25.607 -0.1234
-13.48 4.25027 -2.009 7.1118
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
6.417 3.732 2.877 2.236
3.243 8.651 -5.959 13.170
-1.552 -6.525 -9.953 -14.035
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-12.921 -4.242 0.5014 2.7954
5.004 -5.265 4.6461 -2.0779
1.395 14.419 3.0605 0.2511
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.913 -1.4961 -18.812 -14.370
-5.879 0.3926 -2.757 -29.881
3.257 -1.6298 -9.104 -2.632
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.721 4.3045 -15.135 2.221
8.874 -0.4413 -22.458 -4.278
7.683 -2.4792 -5.676 5.376
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.5954 -3.163 -13.838 2.308
-2.8219 1.787 6.132 6.679
-0.1373 4.843 -19.020 2.956
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.868 -3.984 -7.569 -0.3111
4.315 -14.905 -4.013 -2.5464
-3.628 -6.216 -2.539 -5.8811
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.5450 6.884 -6.2561 -0.5466
-10.9640 -4.922 5.1216 0.9925
0.2847 2.594 -0.8615 -4.4476
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6891 -7.725 -2.9471 -12.612
-4.0818 2.932 0.2818 -9.000
-3.4531 -12.558 6.4653 1.698
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.3001 2.259 1.918 11.113
-11.7009 -2.187 -1.085 1.362
2.8325 1.988 -4.744 -3.442
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.811 0.1757 3.451 0.8174
-5.555 2.9900 7.476 8.1922
-7.065 -3.9786 14.009 7.2155
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.24584 2.684 -0.2803 -11.1675
5.06433 9.758 -10.3567 -0.3885
-0.07202 -4.036 -1.9526 9.6038
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-25.70 0.5169 -11.561 -1.056
-8.14 -0.9138 7.132 8.865
-19.00 0.4999 -4.031 4.055
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.009 -1.038 -7.108 2.407
-7.446 -6.829 -3.227 -4.413
-3.454 -3.331 -4.966 6.023
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
12.130 0.05284 0.1907 5.048
-3.271 3.98325 1.9855 3.876
1.885 -3.60140 12.5649 -5.152
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
9.5013 -4.660 -13.301 -7.714
0.1414 -3.442 -7.339 -3.842
-3.3892 -3.410 -2.709 -10.858
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.5026 -4.615 -6.132 13.583
9.3536 -2.259 -7.209 5.188
0.5385 -1.771 -7.657 17.434
rnd_95776.volume rnd_95787.volume
10.18 -21.75
-26.03 -15.27
-85.51 -27.88
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.315 1.595 6.353 3.321 3.726 0.6735 1.616 4.212 4.229 3.273 2.159
[2,] 3.209 1.882 7.351 4.943 4.756 0.8104 1.934 5.161 5.615 5.403 2.771
[3,] 3.742 2.136 8.418 6.067 5.779 0.9064 2.163 5.757 6.265 6.183 3.116
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.882 2.465 5.667 4.481 3.143 3.630 3.523 7.622 4.024 8.529 1.916
[2,] 4.092 3.122 6.955 5.449 3.801 4.911 4.689 9.387 4.986 10.316 2.286
[3,] 4.573 3.870 7.976 6.303 4.376 5.848 5.555 10.662 5.695 11.681 2.700
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.136 3.722 0.9411 3.495 3.682 2.764 3.100 0.894 3.647 3.065 1.470
[2,] 11.548 5.250 1.1906 5.617 5.186 3.359 4.889 1.174 4.852 3.817 1.851
[3,] 13.592 6.598 1.3492 7.081 6.621 4.037 6.191 1.370 5.907 4.486 2.170
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.909 3.254 3.699 3.529 2.294 1.967 0.8135 2.000 0.8506 2.500 2.155
[2,] 4.776 4.333 5.113 4.273 3.161 2.331 0.9776 2.278 1.0813 3.281 3.279
[3,] 6.104 5.270 6.158 4.695 3.793 2.588 1.1100 2.635 1.2378 3.872 3.892
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.065 1.393 2.161 2.817 2.585 1.618 2.683 1.856 1.322 2.488 1.860
[2,] 2.474 1.704 3.506 3.470 3.125 2.088 3.942 2.333 1.654 3.460 2.678
[3,] 2.713 1.869 4.096 3.923 3.603 2.365 4.961 2.642 1.937 4.205 3.464
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.693 1.314 2.377 0.8974 1.925 1.017 1.792 2.088 2.093 2.645 1.114
[2,] 2.710 2.538 3.105 1.0574 2.797 1.170 2.302 2.485 2.953 4.007 1.468
[3,] 3.653 3.229 3.402 1.2094 3.660 1.332 2.813 2.757 3.718 4.762 1.680
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.109 1.921 1.719 0.9688 3.586 3.161 3.063 3.324 4.027 3.947 5.219
[2,] 3.117 2.328 2.918 1.1533 4.376 4.137 3.656 4.737 4.646 5.094 7.460
[3,] 3.561 2.514 3.731 1.3527 5.069 4.780 4.092 5.551 5.289 5.860 8.888
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6113 4.501 2.472 4.486 1.516 1.321 1.007 1.590 1.795 5.434 3.682
[2,] 0.7607 6.276 2.893 6.423 1.842 1.717 1.190 2.753 2.290 6.434 4.516
[3,] 0.8578 7.239 3.171 7.556 2.114 1.986 1.379 3.283 2.600 7.302 5.221
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.556 2.008 2.508 2.684 1.866 1.205 0.4111 6.003 6.581 3.679
[2,] 2.094 2.686 3.731 3.924 2.379 1.458 0.4974 7.117 10.858 5.327
[3,] 2.401 3.262 4.353 4.940 2.843 1.698 0.5539 8.244 12.822 6.774
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.94 2.025 8.067 4.218 4.731 0.8552 2.052 5.349
[2,] 634.21 285.309 1056.008 1045.127 843.713 128.6969 303.753 851.266
[3,] 549.48 288.275 1170.706 1004.295 937.157 115.8963 276.384 728.127
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.37 4.156 2.742 3.66 3.13 7.197 5.69 3.992 4.61
[2,] 1054.45 1227.250 495.864 829.13 547.21 1150.936 885.16 609.889 944.17
[3,] 793.30 858.298 406.730 582.76 652.73 1114.752 904.40 619.308 906.26
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.473 9.679 5.11 10.83 2.433 9.061 4.726 1.195
[2,] 883.687 1564.001 840.27 1656.81 355.791 2592.038 1057.223 208.214
[3,] 850.025 1443.044 785.83 1564.28 410.541 2046.287 1140.976 181.209
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.438 4.676 3.509 3.936 1.135 4.632 3.892 1.867
[2,] 1255.324 1042.711 544.990 1079.372 217.423 913.654 649.595 321.244
[3,] 1230.902 1174.823 639.190 1084.085 201.369 961.777 672.897 323.389
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.964 4.132 4.697 4.482 2.913 2.498 1.033 2.54
[2,] 783.462 816.860 1007.792 687.477 620.740 357.043 154.781 311.57
[3,] 1085.049 856.532 979.618 555.433 598.512 321.006 150.048 377.69
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.08 3.175 2.737 2.622 1.769 2.744 3.577 3.283
[2,] 190.59 606.401 705.633 388.914 280.175 788.246 578.485 501.055
[3,] 172.01 587.119 598.326 318.282 219.026 604.439 522.832 512.400
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.054 3.407 2.356 1.679 3.159 2.362 2.15 1.669
[2,] 376.910 824.494 403.787 283.574 686.508 550.171 604.23 619.859
[3,] 316.794 859.534 353.964 287.930 682.215 627.292 699.22 569.684
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.018 1.14 2.444 1.291 2.276 2.651 2.658 3.359
[2,] 570.209 159.62 579.271 165.087 412.503 384.680 594.662 859.054
[3,] 397.315 167.61 673.810 182.281 461.602 341.130 644.886 734.671
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.414 2.678 2.44 2.183 1.23 4.554 4.013 3.89 4.221
[2,] 272.940 655.247 375.46 673.122 178.64 715.879 761.999 569.44 963.269
[3,] 233.405 491.354 270.42 663.923 201.81 730.637 683.771 524.63 826.550
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.113 5.012 6.627 0.7763 5.715 3.139 5.696 1.925
[2,] 661.781 919.320 1521.599 129.2298 1248.603 428.966 1312.374 298.478
[3,] 721.169 827.100 1379.620 113.1558 1030.018 370.993 1136.173 296.476
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.678 1.279 2.019 2.279 6.9 4.676 1.976 2.55 3.185
[2,] 312.751 180.807 641.541 405.879 983.3 746.457 400.230 509.16 788.475
[3,] 285.435 199.330 510.556 351.428 986.0 747.888 335.173 528.34 640.102
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.408 2.369 1.531 0.522 7.623 8.357 4.672
[2,] 816.980 421.147 234.326 79.950 1091.297 2465.421 1099.570
[3,] 856.990 444.679 248.248 69.538 1187.900 1946.756 1194.513
[1] "--- VAR model 2017-10-02 03:31:00 completed"
[1] "Completed training sample: 2017-10-02 03:31:00 - 2017-10-02 11:30:00"
[1] "SpVAR; training sample: 2017-10-02 04:01:00 - 2017-10-02 12:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.699 11.767 -50.055 -22.38
-1.842 5.119 7.390 -18.51
13.501 -4.290 -8.453 -19.31
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.825 -0.9317 5.44599 2.958
-1.155 1.4875 2.05622 4.695
-17.313 0.6999 0.03184 21.142
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
14.26 16.9483 -2.190 0.7274
-16.27 0.7504 3.474 -15.9145
26.70 17.8901 1.949 -8.2215
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-15.070 36.326 3.824 26.89
-4.004 1.840 4.190 24.52
-7.198 7.219 -5.255 34.57
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.7302 6.145 45.27 18.471
-0.8444 9.396 20.52 15.496
-5.8408 -8.213 41.88 7.112
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-55.637 -8.9336 21.27 -17.73
-3.481 0.6775 -80.42 -17.67
4.200 -3.8005 -27.39 -32.46
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1848 4.638 5.074 6.217
0.5393 -14.364 -12.323 1.422
1.5928 -22.412 -43.667 8.442
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.815 -5.0038 -7.835 -15.614
-9.728 8.4741 -18.443 -5.996
-27.128 -0.3359 -8.489 -4.339
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5853 -16.3559 3.5634 6.128
2.5262 -28.2270 -0.2087 -36.339
-7.3963 0.8306 -20.0890 -31.367
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.836 5.579 10.171 2.0729
-1.402 -9.040 3.609 -0.8463
6.545 2.759 3.036 1.9592
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.761 -3.7017 -8.502 -0.09535
-8.358 -0.6105 1.539 -20.37771
4.609 1.0550 -5.506 -11.25602
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.047 3.704 -7.759 -19.63
8.618 6.382 -1.613 20.70
5.166 -2.832 -13.488 6.90
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.604 6.397 6.515 4.028
3.265 -1.635 -7.801 2.150
3.643 -1.302 5.271 9.787
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.5475 3.858 -11.56 -1.553
-3.0475 8.724 13.72 2.859
-0.7581 -16.990 -10.16 1.834
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.058 -12.774 -0.4936 0.4382
-15.343 1.486 -4.0564 -15.0230
16.175 -4.369 -1.8710 11.9903
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.471 18.03752 -4.623 3.0712
-1.903 -14.36616 -1.946 -0.5112
-1.522 -0.06646 3.078 -1.3908
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-15.175 5.338 -18.66 7.698
5.082 -5.451 10.86 1.455
-18.729 3.848 -19.18 -2.134
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.47567 -0.2535 -11.089 8.3975
-11.76039 1.1498 9.701 2.1313
0.09825 -1.2410 6.174 0.7213
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-16.382 6.924 -7.610 -8.285
-7.164 -5.304 -3.520 1.727
2.380 4.834 -9.469 -4.251
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.656 0.1734 14.432 -5.015
4.072 -2.0759 2.708 6.158
16.020 -0.2422 5.677 3.360
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.591 0.9616 4.192 13.04624
-21.882 -6.3125 2.354 0.66748
4.014 1.8668 -1.238 0.08672
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.237 10.389 -31.050 0.0831
-4.091 6.013 -8.258 -2.4357
-2.248 -8.509 -17.770 -23.0943
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.8208 -1.574 12.812 8.1415
0.5132 -9.411 -8.963 4.5895
3.6936 -3.988 -10.192 -0.7511
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.8480 1.285 -6.689 -1.452
-7.5282 1.275 -6.838 -5.463
0.7069 -3.443 -7.449 -1.976
rnd_95776.volume rnd_95787.volume
47.32 -13.74
-68.55 -15.80
52.14 -36.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.519 1.783 6.999 3.708 3.735 0.7386 1.778 4.468 4.579 3.608 2.342
[2,] 3.456 2.138 8.236 5.338 4.832 0.8860 2.073 5.275 5.908 5.716 2.978
[3,] 3.985 2.387 9.266 6.565 5.963 1.0005 2.285 5.860 6.544 6.415 3.331
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.088 2.668 6.023 4.638 3.597 3.894 3.675 8.706 4.332 9.503 2.120
[2,] 4.305 3.330 7.417 5.771 4.309 5.222 4.807 10.130 5.324 11.274 2.512
[3,] 4.834 4.086 8.457 6.650 4.882 6.215 5.741 11.385 5.999 12.648 2.903
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.032 4.118 1.101 3.903 4.005 3.294 3.261 1.045 3.990 3.193 1.637
[2,] 13.058 5.778 1.317 6.032 5.758 3.877 5.128 1.300 5.361 4.057 2.041
[3,] 15.149 7.365 1.494 7.760 7.296 4.426 6.573 1.548 6.578 4.729 2.321
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.429 3.511 3.891 3.886 2.535 2.271 0.8727 2.200 0.9813 3.001 2.405
[2,] 5.408 4.745 5.322 4.642 3.442 2.645 1.0451 2.494 1.2152 3.704 3.813
[3,] 6.766 5.704 6.602 5.019 4.208 2.926 1.1839 2.867 1.3580 4.268 4.317
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.294 1.597 2.357 3.121 2.999 1.896 2.859 2.072 1.454 2.666 2.064
[2,] 2.713 1.915 3.770 3.829 3.584 2.345 4.414 2.598 1.795 3.719 2.910
[3,] 2.996 2.096 4.388 4.368 3.987 2.615 5.448 2.887 2.078 4.567 3.842
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.884 1.516 2.803 1.043 2.145 1.090 1.999 2.333 2.253 2.766 1.196
[2,] 2.899 2.843 3.516 1.187 3.097 1.286 2.533 2.713 3.264 4.355 1.565
[3,] 3.863 3.521 3.815 1.314 4.045 1.449 3.135 3.049 4.017 5.138 1.790
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.330 2.043 1.849 1.032 3.789 3.438 3.352 3.965 4.563 4.416 5.622
[2,] 3.459 2.526 3.192 1.264 4.753 4.412 4.094 5.326 5.131 5.406 8.040
[3,] 4.029 2.731 4.144 1.479 5.414 5.100 4.561 6.162 5.848 6.240 9.567
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7049 4.771 2.548 4.647 1.596 1.469 1.194 1.816 2.001 5.650 4.213
[2,] 0.8745 6.456 2.978 6.728 1.946 1.869 1.435 2.869 2.519 6.701 4.929
[3,] 0.9717 7.581 3.305 8.061 2.222 2.152 1.646 3.417 2.817 7.658 5.619
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.667 2.238 2.647 2.852 2.027 1.623 0.4357 5.608 7.683 4.125
[2,] 2.187 2.932 3.858 4.087 2.610 1.900 0.5335 6.732 11.993 5.810
[3,] 2.510 3.494 4.525 5.146 3.164 2.134 0.5996 7.945 14.176 7.459
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.198 2.265 8.888 4.709 4.743 0.9379 2.258 5.674
[2,] 604.146 301.117 1108.026 979.900 782.321 124.9113 272.110 715.514
[3,] 506.367 270.483 1083.238 975.359 891.769 118.5894 245.593 651.229
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.815 4.582 2.974 3.921 3.388 7.648 5.89 4.568
[2,] 952.990 1131.395 469.412 765.550 508.756 1104.951 876.34 605.406
[3,] 717.935 743.295 381.139 561.088 604.200 1037.084 843.53 585.768
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.945 4.666 11.05 5.501 12.07 2.691 10.2 5.229
[2,] 887.900 791.097 1321.73 790.231 1548.51 344.337 2627.7 1034.444
[3,] 860.427 800.847 1326.49 705.500 1463.15 371.322 1959.9 1165.520
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.399 4.957 5.086 4.183 4.141 1.328 5.066 4.055
[2,] 184.535 1173.637 1055.953 522.031 1010.171 197.400 913.824 638.473
[3,] 179.949 1245.873 1143.682 544.758 1049.128 214.225 973.153 620.384
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.078 5.624 4.458 4.942 4.935 3.219 2.884 1.108
[2,] 311.383 792.241 814.769 926.527 648.002 594.445 346.107 146.756
[3,] 281.746 1037.875 807.935 997.335 487.167 617.795 319.671 141.998
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.794 1.246 3.811 3.054 2.913 2.028 2.993 3.963
[2,] 299.719 182.936 553.926 755.194 369.934 269.844 750.980 566.426
[3,] 361.030 154.736 541.618 516.860 324.386 217.449 573.202 536.561
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.808 2.407 3.63 2.631 1.846 3.386 2.621 2.392
[2,] 501.066 352.224 858.47 399.729 268.571 661.906 523.619 562.492
[3,] 445.500 295.466 815.10 321.517 267.493 676.423 640.186 651.665
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.926 3.56 1.324 2.724 1.384 2.538 2.963 2.861
[2,] 613.861 541.55 144.633 570.370 174.263 397.192 353.466 602.560
[3,] 530.004 378.29 143.918 663.833 170.522 471.396 354.875 597.564
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.512 1.519 2.958 2.594 2.348 1.31 4.812 4.365
[2,] 858.475 257.629 652.601 379.463 663.882 186.53 732.191 705.981
[3,] 696.013 221.646 527.138 264.470 674.443 195.67 661.965 652.815
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.256 5.035 5.794 5.607 7.139 0.8951 6.059 3.236
[2,] 600.106 907.559 598.777 795.981 1466.921 132.1173 1109.947 393.246
[3,] 512.818 790.841 716.280 795.264 1323.661 108.0967 1014.317 365.952
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 5.9 2.027 1.865 1.516 2.306 2.54 7.175 5.35 2.117
[2,] 1241.7 283.994 294.778 203.208 566.864 390.66 919.245 652.95 361.160
[3,] 1133.5 273.865 272.646 205.590 473.711 322.12 946.255 688.66 314.272
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.841 3.361 3.621 2.574 2.061 0.5533 7.121 9.757
[2,] 483.613 716.472 747.363 419.465 252.257 78.5970 950.584 2350.129
[3,] 484.898 603.243 798.037 456.637 247.699 69.8067 1076.931 1929.150
[,98]
[1,] 5.238
[2,] 1044.318
[3,] 1194.059
[1] "--- VAR model 2017-10-02 04:01:00 completed"
[1] "Completed training sample: 2017-10-02 04:01:00 - 2017-10-02 12:00:00"
[1] "SpVAR; training sample: 2017-10-02 04:31:00 - 2017-10-02 12:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.195 4.797 -18.445 -20.7515
3.519 -1.518 -5.778 0.4711
6.657 5.795 -3.486 -19.3638
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
5.382 1.9869 -0.4469 -14.633
-9.074 -0.2303 -2.5190 10.406
-5.493 -1.8507 7.5472 2.922
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-12.394 -3.479 -0.586 -17.28
-10.081 -16.043 -5.029 -25.25
3.531 -1.239 6.659 -16.68
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-10.935 -3.212 -13.52 33.14
-6.671 -22.718 12.83 38.62
-5.751 -19.901 -16.47 29.75
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
9.054 21.913 -0.6869 17.05
9.796 -2.344 36.4807 17.24
3.181 11.665 -19.7912 -10.43
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-21.7820 7.187 -14.31 -3.575
0.7154 3.660 -42.16 -7.716
-4.2639 -2.527 13.31 -12.197
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.573 -18.172 -6.578 5.4990
1.147 -14.318 -21.365 5.3642
2.435 -7.394 -16.080 -0.6493
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.9709 -0.9368 7.192 -0.3124
-0.4783 2.0215 -5.455 1.5404
-21.2635 -2.1570 -15.563 -8.7688
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.023 1.582 1.441 -13.397
-1.085 -17.154 -14.696 5.169
-1.552 2.113 -5.456 -16.100
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.967 0.7056 -5.0731 -1.2696
4.666 6.8987 1.3889 -0.8121
-1.404 2.1859 -0.6717 -1.6313
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.9957 1.208 -4.966 -16.65194
3.1839 4.089 4.838 -13.18449
-2.2982 -1.738 -10.065 -0.07716
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.5839 2.868 -16.778 9.5853
6.7952 -3.338 -2.212 5.7337
-0.7892 0.106 -4.951 0.3333
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.723 6.360 -13.29 6.775
11.839 -3.423 -10.62 4.021
-3.426 2.864 -6.49 5.251
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.0349 -7.819 -12.165 0.7091
0.8047 -7.658 -13.126 -11.8822
1.2497 -11.257 -2.879 -10.7508
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.274 7.385 -1.5308 4.8699
-14.543 -7.928 1.8300 -0.5497
-5.695 1.914 -0.1109 -19.9553
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.920 -6.0704 5.688 11.046
-5.247 9.6314 -10.150 -5.063
-1.149 0.2643 5.865 5.112
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.398 4.301 -1.528 4.858
-4.801 2.061 5.244 1.655
16.400 1.908 3.672 -3.681
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.362 -1.400 6.204 12.958
10.481 5.907 9.118 6.371
-8.463 -1.864 5.280 3.007
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.152 -2.958 -8.399 -1.424
-4.528 2.533 2.771 7.098
-2.438 3.861 4.687 3.179
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.793 -1.1620 6.940 -9.504
8.489 0.6864 -6.498 -10.048
-6.795 -1.1910 -13.207 -9.028
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.796 3.150 6.687 3.1330
-11.330 -3.283 1.818 -2.0487
-16.462 -4.373 -5.376 0.3609
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.2382 5.238 2.569 1.908
11.9772 1.509 -7.212 13.496
0.4287 3.703 6.505 6.888
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-12.989 -0.3814 3.903 -1.279
2.253 -8.4846 -13.459 -13.973
-1.410 2.0078 -14.926 -23.525
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.801 0.0219 -8.646 7.824
11.943 -4.9294 -7.621 3.374
-4.261 -1.5182 -7.690 14.766
rnd_95776.volume rnd_95787.volume
-24.994 -6.739
6.338 -3.551
-1.447 -17.076
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.831 2.039 7.394 4.033 3.905 0.7765 1.847 4.728 4.830 3.789 2.420
[2,] 3.726 2.417 8.700 5.703 5.211 0.9293 2.132 5.484 6.210 6.004 3.112
[3,] 4.207 2.690 9.468 7.021 6.418 1.0627 2.376 6.178 6.834 6.717 3.489
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.311 2.775 6.245 4.878 3.718 4.123 3.948 9.013 4.514 9.899 2.246
[2,] 4.562 3.457 7.617 5.961 4.438 5.553 5.151 10.719 5.664 11.798 2.688
[3,] 5.054 4.227 8.652 6.995 5.076 6.493 6.064 12.034 6.349 13.045 3.077
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.145 4.744 1.219 4.344 4.740 3.482 3.437 1.161 4.125 3.517 1.793
[2,] 13.764 6.386 1.454 6.403 6.389 4.147 5.449 1.429 5.666 4.322 2.200
[3,] 16.005 7.912 1.618 8.215 7.945 4.685 6.995 1.655 6.936 5.021 2.498
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.837 3.700 4.233 4.087 2.844 2.422 0.9696 2.345 1.107 3.207 2.581
[2,] 5.817 5.065 5.808 4.792 3.814 2.887 1.1758 2.676 1.317 3.995 4.002
[3,] 7.102 6.148 7.048 5.177 4.580 3.199 1.3130 3.069 1.461 4.649 4.553
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.544 1.729 2.573 3.281 3.293 1.947 2.992 2.256 1.588 3.000 2.331
[2,] 3.014 2.023 4.069 3.966 3.935 2.430 4.758 2.820 1.917 4.079 3.260
[3,] 3.264 2.234 4.757 4.469 4.315 2.701 5.834 3.150 2.221 5.032 4.176
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.104 1.617 3.033 1.146 2.392 1.148 2.299 2.668 2.551 3.102 1.388
[2,] 3.215 3.037 3.731 1.271 3.370 1.342 2.785 3.021 3.638 4.953 1.740
[3,] 4.224 3.742 4.057 1.392 4.351 1.535 3.304 3.307 4.313 5.667 1.964
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.665 2.232 2.085 1.154 4.048 3.765 3.608 4.216 4.622 4.750 6.151
[2,] 3.899 2.707 3.655 1.393 4.939 4.771 4.394 5.635 5.331 5.899 8.546
[3,] 4.496 2.914 4.617 1.642 5.521 5.422 4.855 6.484 5.983 6.665 10.007
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7809 5.176 2.721 4.861 1.775 1.520 1.407 2.198 2.234 6.356 4.633
[2,] 0.9395 6.805 3.168 7.010 2.101 1.991 1.609 3.331 2.739 7.270 5.414
[3,] 1.0514 7.988 3.507 8.458 2.390 2.299 1.800 3.823 3.080 8.115 6.050
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.788 2.292 2.782 2.994 2.199 1.778 0.4239 4.880 8.37 4.745
[2,] 2.321 3.023 3.935 4.183 2.834 2.064 0.5291 5.871 13.08 6.369
[3,] 2.639 3.622 4.652 5.239 3.379 2.317 0.6022 6.941 15.07 7.907
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.595 2.59 9.39 5.121 4.958 0.986 2.346 6.004
[2,] 549.147 294.03 1039.53 914.456 782.658 115.799 241.465 630.053
[3,] 443.218 267.85 847.46 928.825 849.726 116.885 237.475 645.137
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.134 4.811 3.072 4.205 3.524 7.931 6.194 4.721
[2,] 885.046 1056.305 443.766 711.640 467.405 988.995 777.102 549.829
[3,] 647.239 682.939 357.694 493.365 551.595 930.402 829.798 558.644
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.236 5.013 11.45 5.732 12.57 2.853 10.34 6.024
[2,] 843.453 750.438 1315.62 775.866 1455.73 334.939 2516.31 969.510
[3,] 763.121 725.461 1240.68 650.860 1261.94 339.299 1852.13 1059.230
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.548 5.516 6.019 4.421 4.364 1.474 5.239 4.466
[2,] 179.795 1066.734 971.514 511.014 958.964 188.831 880.638 569.511
[3,] 161.088 1167.252 1071.225 494.111 994.490 189.316 907.506 579.597
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.277 6.142 4.699 5.375 5.189 3.611 3.075 1.231
[2,] 288.997 733.022 784.167 902.016 567.467 576.439 356.523 150.843
[3,] 268.510 924.015 790.365 905.230 444.176 574.793 312.579 132.527
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.978 1.406 4.073 3.278 3.231 2.196 3.267 4.166
[2,] 292.044 161.720 540.195 693.434 366.401 237.951 714.921 505.410
[3,] 340.949 143.320 539.269 492.507 283.874 215.241 558.646 467.048
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.182 2.473 3.799 2.865 2.016 3.81 2.96 2.671 2.054
[2,] 488.399 329.725 839.083 383.679 243.465 626.78 516.66 551.520 582.982
[3,] 401.583 267.118 765.537 318.049 254.659 668.06 591.93 621.276 495.786
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.851 1.455 3.037 1.458 2.92 3.388 3.24 3.939 1.762
[2,] 492.944 124.650 538.307 157.859 356.39 321.332 588.17 875.504 238.115
[3,] 361.441 128.946 624.373 168.915 403.02 304.994 525.44 624.491 206.335
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.385 2.834 2.648 1.465 5.141 4.78 4.582 5.353
[2,] 645.325 347.277 680.622 177.036 641.791 664.82 568.734 847.974
[3,] 507.503 244.658 639.917 197.370 559.297 583.98 468.408 727.274
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.869 6.031 7.811 0.9916 6.573 3.455 6.173 2.253
[2,] 602.364 793.228 1345.304 118.4740 1001.956 367.767 1145.330 255.156
[3,] 615.801 703.763 1180.711 107.0064 948.325 341.250 1073.308 258.527
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.93 1.787 2.791 2.837 8.072 5.883 2.27 2.91 3.533
[2,] 291.63 176.982 567.418 359.239 800.086 635.066 335.62 447.00 630.963
[3,] 260.70 182.826 425.680 319.549 817.835 612.397 284.96 452.74 562.695
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.802 2.792 2.257 0.5382 6.196 10.63 6.025
[2,] 662.607 405.317 238.092 71.8037 740.200 2280.06 963.422
[3,] 715.238 417.343 238.667 65.2461 839.848 1698.09 1062.531
[1] "--- VAR model 2017-10-02 04:31:00 completed"
[1] "Completed training sample: 2017-10-02 04:31:00 - 2017-10-02 12:30:00"
[1] "SpVAR; training sample: 2017-10-02 05:01:00 - 2017-10-02 13:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-11.30574 3.1545 -18.7708 -1.693
-13.59336 5.2764 -0.7023 -10.895
-0.07361 -0.6282 -28.5300 -6.320
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.872 2.056 5.419 -17.250
10.760 0.933 -2.571 -1.917
-1.489 -3.860 3.128 2.651
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-11.668 6.012 -3.912 -10.72
-6.479 -13.221 -4.903 -17.45
-12.160 -12.502 -2.345 -18.03
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.719 -4.794 -8.7877 13.17
-7.391 -24.874 -12.9862 36.63
-6.095 -19.292 0.1893 30.41
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
12.032 6.226 -21.57 -5.469
2.589 11.519 19.54 14.098
-4.466 -1.887 27.50 22.185
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-40.91 7.843 -30.268 8.355
11.38 1.807 -59.888 -34.707
-15.51 -2.023 9.423 -9.642
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.2584 -6.826 5.363 -3.969
0.9889 -19.271 1.659 3.606
2.1764 -29.649 -30.368 5.723
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.70 -0.3542 -2.895 -11.890
-14.41 0.4613 3.718 -13.250
-10.09 -1.2168 1.670 -8.522
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.439 2.816 3.538 14.127
-3.149 -1.301 11.735 5.360
-1.555 -3.701 -7.282 -7.998
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
18.973 -1.760 6.913 6.175
-1.372 5.975 2.228 1.010
-2.485 -8.473 -3.866 2.672
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.015 -2.80601 -2.2549 -22.168
-11.853 -0.09782 -6.3654 -15.246
8.450 2.31638 0.3383 -8.881
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7316 7.1851 -9.297 2.117
-0.9967 -0.5172 -22.624 2.893
2.5125 1.4300 -3.537 6.994
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.755 -4.720 -12.518 12.2822
4.536 1.296 2.799 5.9471
16.716 -5.911 -14.050 -0.7123
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.840 -0.5538 -12.7373 -0.4413
-3.847 -10.2507 -0.4075 -4.5319
3.119 -4.0469 -0.1324 -9.3059
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.404 21.740 -0.2370 -4.502
-7.454 8.524 0.1096 16.666
-4.280 4.230 0.9552 -3.328
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.368 1.746 8.1790 -4.977
-7.130 5.394 -0.2994 11.620
-1.322 7.822 -4.2120 6.326
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.5253 -2.0440 4.379 -2.167
11.8346 1.6409 4.364 1.624
-0.2549 -0.3191 -1.364 3.904
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.49 1.30373 -25.898 -13.0505
-3.40 2.56694 -3.202 -10.7125
10.72 -0.09566 17.739 -0.9432
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-8.929 -17.558 24.992 17.47
1.678 -15.699 4.063 -12.67
1.554 -1.096 2.527 -7.30
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.4317 2.93267 -2.8192 -13.921
-11.7847 0.01248 0.2008 -1.459
-19.7979 0.62342 -10.0988 -5.258
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.8435 -0.2323 4.0528 -4.580
0.2877 4.9779 2.8993 1.574
-19.0586 -2.1829 -0.2324 4.086
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.275 3.146 -4.156 1.421
14.068 4.318 -8.293 5.825
-7.980 1.326 2.532 9.953
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.2117 -0.6997 -9.595 -1.696
-7.5488 -3.4999 3.077 -7.646
-0.0503 -5.5215 -12.426 -10.007
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.936 -1.5820 -8.638 0.6764
-4.816 -0.1418 -10.006 -4.1949
-3.331 -0.4371 -9.492 -2.6663
rnd_95776.volume rnd_95787.volume
-27.33 0.5561
-12.36 -33.9835
-21.46 -12.7608
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.116 2.156 7.803 4.304 4.096 0.8236 1.971 4.913 5.172 3.911 2.564
[2,] 4.015 2.516 9.205 6.046 5.409 0.9774 2.239 5.727 6.576 6.382 3.383
[3,] 4.463 2.794 9.908 7.318 6.692 1.1021 2.495 6.390 7.229 7.102 3.732
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.549 2.827 6.439 5.276 4.008 4.442 4.138 9.483 4.980 10.23 2.734
[2,] 4.753 3.569 7.687 6.234 4.847 5.955 5.479 11.105 6.152 12.23 3.232
[3,] 5.306 4.325 8.761 7.362 5.438 6.914 6.348 12.252 6.805 13.38 3.634
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.699 5.079 1.335 4.682 4.948 3.643 3.694 1.232 4.311 3.905 1.878
[2,] 14.322 6.750 1.561 6.572 6.678 4.369 5.801 1.509 5.965 4.604 2.286
[3,] 16.782 8.356 1.741 8.537 8.278 4.935 7.344 1.713 7.313 5.225 2.593
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.100 3.956 4.485 4.327 3.167 2.821 1.035 2.569 1.229 3.436 2.767
[2,] 6.094 5.285 6.155 4.954 4.193 3.344 1.276 2.924 1.444 4.239 4.290
[3,] 7.339 6.374 7.372 5.428 4.981 3.670 1.396 3.311 1.588 4.909 4.835
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.675 1.862 2.702 3.415 3.555 2.111 3.102 2.506 1.739 3.167 2.542
[2,] 3.115 2.186 4.260 4.116 4.227 2.588 4.884 3.017 2.041 4.310 3.536
[3,] 3.379 2.407 5.001 4.619 4.629 2.874 5.970 3.394 2.338 5.254 4.463
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.293 1.676 3.270 1.188 2.498 1.196 2.481 2.770 2.880 3.451 1.532
[2,] 3.450 3.304 3.997 1.325 3.628 1.401 3.007 3.170 3.950 5.260 1.887
[3,] 4.504 4.066 4.360 1.462 4.657 1.596 3.545 3.431 4.636 6.009 2.113
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.811 2.356 2.261 1.280 4.467 4.162 3.907 4.433 4.913 4.985 6.666
[2,] 4.141 2.881 3.916 1.542 5.378 5.071 4.670 5.939 5.619 6.153 8.979
[3,] 4.785 3.127 4.962 1.808 5.891 5.705 5.179 6.766 6.300 6.960 10.482
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8449 5.689 2.889 5.035 1.820 1.725 1.487 2.483 2.376 6.694 4.813
[2,] 1.0177 7.287 3.322 7.265 2.203 2.188 1.692 3.744 2.857 7.656 5.628
[3,] 1.1276 8.447 3.680 8.695 2.476 2.480 1.900 4.242 3.196 8.453 6.309
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.920 2.411 2.991 3.210 2.430 1.970 0.4533 4.123 8.748 5.033
[2,] 2.458 3.131 4.121 4.413 2.952 2.257 0.5541 5.151 13.812 6.712
[3,] 2.748 3.698 4.745 5.383 3.547 2.475 0.6291 6.196 15.892 8.321
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.957 2.738 9.909 5.466 5.201 1.046 2.503 6.238
[2,] 535.725 274.393 1033.223 898.271 747.401 111.328 224.444 622.816
[3,] 412.480 257.018 775.538 872.142 833.670 107.745 233.227 599.781
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.568 4.966 3.256 4.507 3.589 8.177 6.7 5.09 5.64
[2,] 859.241 1066.886 467.077 668.998 460.976 888.148 702.4 576.70 839.09
[3,] 635.135 659.137 333.442 498.812 516.920 889.451 828.5 521.66 743.14
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.255 12.04 6.324 12.99 3.471 11.05 6.449 1.696
[2,] 759.764 1222.67 764.063 1417.62 364.896 2406.91 940.487 170.987
[3,] 678.096 1094.79 615.428 1150.78 351.443 1850.61 1042.139 162.990
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.945 6.283 4.626 4.691 1.564 5.475 4.958 2.385
[2,] 975.638 948.997 510.413 946.187 184.603 872.220 516.022 275.830
[3,] 1152.774 1034.848 485.430 952.977 171.192 894.880 522.516 259.006
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.477 5.024 5.695 5.495 4.022 3.583 1.314 3.263
[2,] 705.670 741.289 891.802 510.403 581.198 379.918 157.910 295.293
[3,] 865.302 753.945 858.439 469.258 568.807 319.621 119.625 328.754
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.56 4.363 3.514 3.397 2.364 3.431 4.337 4.514 2.68
[2,] 160.62 525.222 693.631 337.704 242.338 696.675 486.099 483.924 316.68
[3,] 139.59 523.977 471.758 276.790 213.018 554.344 443.374 399.268 264.46
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.939 3.183 2.209 4.021 3.228 2.912 2.128 4.153
[2,] 798.007 355.120 226.044 618.383 520.009 545.274 602.451 486.031
[3,] 726.579 329.127 241.206 635.734 576.094 612.486 501.383 368.638
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.509 3.172 1.518 3.151 3.518 3.657 4.382 1.946
[2,] 124.182 556.711 154.340 359.434 326.012 571.869 839.690 233.175
[3,] 130.711 617.454 161.894 397.186 277.771 513.455 614.676 201.166
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.569 2.992 2.871 1.626 5.673 5.285 4.961 5.629
[2,] 643.395 350.765 676.388 181.847 633.478 612.807 541.217 836.267
[3,] 506.924 257.049 644.750 199.732 508.722 552.919 473.872 685.893
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.239 6.33 8.465 1.073 7.224 3.669 6.394 2.311
[2,] 576.969 763.15 1272.658 120.025 963.488 347.014 1107.915 262.460
[3,] 602.467 688.27 1144.009 102.721 903.884 334.808 1010.688 239.020
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.19 1.888 3.154 3.018 8.5 6.111 2.438 3.061 3.798
[2,] 284.95 170.872 592.681 335.648 786.0 617.308 324.454 422.611 599.883
[3,] 246.84 182.848 422.058 303.006 758.1 602.910 260.006 416.403 497.354
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.076 3.085 2.501 0.5756 5.236 11.11 6.391
[2,] 640.668 354.749 233.312 67.4229 653.035 2261.18 939.446
[3,] 652.105 415.902 214.548 63.0465 728.471 1662.98 1040.720
[1] "--- VAR model 2017-10-02 05:01:00 completed"
[1] "Completed training sample: 2017-10-02 05:01:00 - 2017-10-02 13:00:00"
[1] "SpVAR; training sample: 2017-10-02 05:31:00 - 2017-10-02 13:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-5.670 -2.64298 -21.118 12.22
10.064 0.03585 7.043 16.82
-5.227 -3.48890 3.090 -15.10
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
6.499 1.913 -2.6066 -2.744
8.401 0.862 -0.1922 20.482
3.378 2.471 1.6371 -6.446
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.090 -7.2789 3.2382 -16.19
8.018 -0.5322 4.9023 -14.91
12.452 19.0496 0.6795 -12.75
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.1405 14.9902 -16.7846 28.56
-3.8018 -3.5970 0.6775 30.31
0.8864 -0.6112 1.2157 32.49
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-13.822 -3.531 2.042 -1.466
4.973 -5.994 -15.169 15.441
17.576 15.308 17.959 2.663
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-17.25 6.1188 -21.54 18.2300
15.79 0.8611 -33.99 -29.5933
-4.05 5.5905 19.73 0.5278
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.9297 16.66 3.517 12.268
-3.4948 -22.75 4.323 3.197
3.6320 -11.60 -12.259 10.364
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
10.19 4.727 10.691 -14.5941
24.16 2.231 17.762 -3.9099
-16.33 1.331 -7.333 -0.5434
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.248 5.189 0.4786 -12.187
-2.854 -5.042 3.4900 15.002
8.300 21.462 -1.4790 6.112
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.1789 -9.692 -3.404 1.845
0.7153 -6.984 -5.385 3.019
-5.9909 -10.447 -6.539 -1.020
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.222 1.014 -7.9191 1.025
-5.039 -2.593 -7.6289 -23.078
3.322 1.129 0.3553 -10.530
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.9888 1.2351 6.058 14.8374
11.5104 2.9209 -10.192 0.6325
3.1092 0.9384 -3.914 -2.2724
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
18.560 8.196 -8.0875 4.156
-1.923 4.904 19.9183 4.283
-1.797 4.570 0.4624 6.617
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.921 6.484 8.440 5.182
5.298 5.705 -7.552 -2.088
2.560 6.373 16.581 12.704
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.741 2.250 -1.314 -0.8892
5.993 -11.561 1.864 -6.7268
-1.330 -2.652 1.441 -0.6692
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.163 2.2429 -1.331 6.973
-4.414 -2.0531 -2.490 -3.046
-4.429 0.5474 4.872 -2.736
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
11.320 0.2556 10.955 3.619
8.850 2.9415 2.668 -4.660
-1.517 1.2420 -9.161 7.117
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.309 3.947 2.621 -5.370
5.898 4.541 5.133 8.662
-7.495 2.996 -2.951 1.802
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2816 3.557 -1.390 4.046
3.8409 5.748 5.998 5.987
-1.8434 -2.455 2.815 8.720
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
30.74 1.028 22.606 1.800
17.32 2.519 35.696 2.115
27.34 -2.883 9.429 2.996
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.066 -0.2588 -1.867 -1.056
26.595 3.4612 -1.051 -1.923
10.860 -5.6732 1.711 -1.672
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-10.126 -4.0857 12.8810 8.253
-5.192 0.8644 -0.4497 -7.830
-1.746 -0.2418 12.5599 12.481
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.322 -6.980 1.310 10.665
3.298 3.891 -1.742 -3.359
-1.189 4.832 3.598 9.679
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-12.425 12.282 -7.658 3.040
-8.661 -5.059 -8.591 3.734
-1.751 7.035 -9.067 1.257
rnd_95776.volume rnd_95787.volume
57.51 23.18261
45.77 -37.68417
-15.79 -0.07748
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.277 2.205 8.230 4.509 4.306 0.896 1.981 5.243 5.555 4.126 2.549
[2,] 4.256 2.602 9.569 6.233 5.595 1.077 2.236 5.994 6.758 6.536 3.431
[3,] 4.666 2.891 10.236 7.506 6.857 1.200 2.509 6.667 7.473 7.210 3.778
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.617 2.849 6.493 4.787 4.056 4.447 4.400 9.768 5.113 10.56 2.999
[2,] 4.984 3.634 7.844 5.823 4.880 5.964 5.605 11.261 6.389 12.56 3.441
[3,] 5.508 4.410 8.998 6.935 5.420 7.029 6.498 12.475 6.972 13.78 3.833
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.716 5.262 1.425 4.885 5.239 3.789 3.886 1.401 4.478 3.996 1.981
[2,] 14.873 7.016 1.658 6.719 7.008 4.555 5.989 1.683 6.131 4.676 2.372
[3,] 17.353 8.502 1.820 8.865 8.593 5.066 7.478 1.910 7.448 5.378 2.691
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.140 4.278 4.583 4.451 3.295 2.856 1.061 2.645 1.276 3.513 2.897
[2,] 6.079 5.479 6.285 5.094 4.346 3.421 1.337 3.056 1.486 4.371 4.350
[3,] 7.382 6.515 7.449 5.633 5.051 3.796 1.441 3.434 1.643 4.990 4.917
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.750 1.959 2.925 3.480 3.779 2.158 3.437 2.666 1.718 3.263 2.701
[2,] 3.254 2.269 4.557 4.208 4.514 2.621 5.393 3.191 2.109 4.405 3.720
[3,] 3.526 2.492 5.315 4.723 4.977 2.920 6.409 3.562 2.387 5.471 4.758
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.470 1.803 3.543 1.204 2.582 1.290 2.657 2.815 2.978 3.897 1.609
[2,] 3.674 3.436 4.048 1.369 3.769 1.490 3.227 3.247 4.253 5.860 1.977
[3,] 4.720 4.302 4.426 1.507 4.783 1.689 3.767 3.505 4.920 6.665 2.205
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.131 2.525 2.439 1.369 4.569 4.232 4.094 4.535 5.105 5.173 6.743
[2,] 4.431 3.057 4.125 1.621 5.442 5.186 4.836 5.972 5.788 6.359 9.122
[3,] 5.095 3.335 5.202 1.868 5.951 5.814 5.437 6.813 6.489 7.173 10.723
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9677 5.931 3.000 5.289 1.903 1.888 1.568 2.676 2.441 6.792 5.102
[2,] 1.1097 7.633 3.437 7.415 2.285 2.308 1.777 3.970 2.958 7.759 5.859
[3,] 1.2264 8.932 3.787 8.942 2.570 2.560 1.980 4.450 3.311 8.548 6.622
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.994 2.524 3.115 3.294 2.516 2.087 0.4974 3.689 9.298 5.292
[2,] 2.540 3.205 4.171 4.463 3.046 2.415 0.6031 4.574 14.490 7.007
[3,] 2.799 3.789 4.823 5.407 3.636 2.632 0.6813 5.578 16.763 8.489
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.162 2.8 10.45 5.726 5.469 1.138 2.515 6.658 7.054
[2,] 521.795 265.5 938.04 826.843 686.559 114.723 199.300 558.304 739.715
[3,] 367.828 242.0 698.71 803.934 761.763 101.803 218.963 560.958 612.794
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.239 3.236 4.593 3.618 8.245 6.079 5.151 5.647
[2,] 974.307 441.431 658.864 433.436 845.910 637.061 521.355 763.558
[3,] 584.850 303.842 450.544 480.157 847.250 724.015 453.185 714.890
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.587 12.4 6.493 13.41 3.808 11.07 6.682 1.809
[2,] 667.315 1076.9 736.234 1307.94 324.220 2316.14 891.835 163.032
[3,] 631.844 1031.7 536.325 1090.50 324.783 1717.96 922.912 144.358
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.204 6.652 4.812 4.935 1.779 5.687 5.075 2.516
[2,] 886.533 894.757 485.666 875.795 179.444 804.607 466.456 250.468
[3,] 1111.524 955.396 426.506 860.533 173.551 812.798 510.662 244.302
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.527 5.432 5.82 5.653 4.185 3.627 1.348 3.359
[2,] 623.550 657.962 826.36 476.066 544.416 361.799 156.152 293.962
[3,] 804.907 677.296 768.42 461.864 494.904 316.396 103.397 301.252
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.621 4.461 3.679 3.492 2.487 3.714 4.419 4.798
[2,] 146.192 499.870 623.666 334.481 220.055 671.585 454.809 474.549
[3,] 134.757 462.798 440.512 260.604 197.948 525.856 412.207 402.926
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.74 4.364 3.386 2.182 4.144 3.43 3.137 2.289 4.499
[2,] 286.03 798.804 337.031 235.017 568.742 491.48 522.681 562.155 376.235
[3,] 247.32 665.481 304.178 214.739 623.364 570.07 569.405 497.567 343.778
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.529 3.278 1.638 3.374 3.575 3.782 4.948 2.043
[2,] 124.938 527.700 143.299 351.792 310.735 583.332 841.092 220.788
[3,] 121.172 566.038 153.036 373.518 253.994 475.425 610.256 187.555
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.975 3.206 3.097 1.738 5.803 5.374 5.199 5.759
[2,] 602.679 331.274 639.473 166.766 568.125 575.859 494.629 746.622
[3,] 483.201 256.185 608.892 178.696 462.793 505.463 477.476 630.213
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.482 6.569 8.562 1.229 7.532 3.81 6.716 2.417
[2,] 524.250 710.818 1180.627 104.398 923.401 322.12 998.785 243.143
[3,] 563.833 637.679 1083.518 100.358 891.434 305.60 960.589 225.735
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.397 1.991 3.398 3.099 8.624 6.479 2.532 3.205
[2,] 255.084 160.971 563.640 321.163 721.273 553.289 302.319 379.533
[3,] 213.053 167.903 386.293 285.938 689.238 593.260 225.787 388.595
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.955 4.182 3.195 2.65 0.6316 4.685 11.81 6.72
[2,] 533.264 578.705 329.805 233.40 65.5426 519.762 2135.63 882.62
[3,] 465.457 586.874 381.779 201.33 60.9160 613.634 1619.74 920.90
[1] "--- VAR model 2017-10-02 05:31:00 completed"
[1] "Completed training sample: 2017-10-02 05:31:00 - 2017-10-02 13:30:00"
[1] "SpVAR; training sample: 2017-10-02 06:01:00 - 2017-10-02 14:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
12.3286 -0.7963 -14.820 -18.428
-7.6715 5.1651 -11.023 -4.528
-0.9642 -0.2620 -4.412 -13.356
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.808 -3.314 7.0394 2.994
-3.168 3.114 -0.9012 -11.280
-16.565 1.975 0.7426 -19.560
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.359 -6.444 -1.9661 -8.824
-5.376 5.581 -0.3517 -6.992
-26.563 -10.934 -3.0952 -19.307
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.76904 11.179 6.068 19.41
-4.61977 -9.255 3.251 15.22
-0.05443 -29.214 -7.912 25.61
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.5250 -11.769 20.515 -7.144
0.8629 8.645 3.895 12.704
-6.5659 9.604 -0.782 10.279
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-31.611 1.728 -27.961 10.092
-27.997 1.633 -9.722 -11.623
-1.613 1.314 -7.994 -7.848
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.605 -6.765 -3.765 8.779
-3.039 -3.645 4.796 13.825
1.014 -1.831 -1.499 11.523
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.012 2.560 -23.998 -8.872
-9.183 1.944 -19.489 3.800
-10.541 3.474 1.191 1.302
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.4340 -4.315 -22.897 -2.375
-3.1673 -11.885 -4.962 -11.274
-0.1244 -8.802 -13.328 -16.895
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.927 -14.956 2.395 1.4032
8.247 8.043 7.390 1.2159
-4.894 2.323 1.711 -0.9445
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
7.085 0.1754 -4.177 -14.217
-6.143 -0.4936 -10.960 -16.807
-2.657 -0.1208 -8.722 -6.988
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.2789 0.2606 -6.095 -4.367
0.6047 2.1905 -22.060 1.039
-0.2952 2.3072 -9.575 2.210
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.744 -3.576 -9.623 25.499
8.111 -4.837 -3.536 12.616
7.983 -3.699 -11.176 2.913
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.929 19.9702 8.6812 4.199916
-3.397 -0.8265 -3.5708 6.320715
3.325 -5.2865 -0.6307 0.003453
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.316 2.0569 3.802 7.436
10.806 -2.0078 2.956 -7.394
1.743 0.7203 -1.234 11.813
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.935 -5.813 4.941 -12.504
-2.663 -2.490 10.103 3.742
-4.705 1.815 1.065 6.207
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.206 4.748 -0.6539 -8.111
8.316 -1.817 -7.4532 -3.317
15.174 0.652 5.4506 -1.103
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.1665 -2.366 -6.246 10.218
-13.2214 4.722 -2.422 -11.846
0.6571 -1.638 -1.571 3.822
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
12.067 3.0236 -23.8338 -27.684
-4.977 -5.2752 6.9333 -6.605
13.222 0.5337 -0.8124 -13.111
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-23.741 3.1199 7.731 -12.211
-22.345 -0.7452 -18.405 -11.809
-8.116 -1.2840 9.920 -4.025
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.808 2.300 9.281 9.795
-20.292 -2.549 6.367 -1.085
-5.449 -3.172 2.536 3.267
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.252 -1.068 5.023 4.513
-15.871 6.261 6.508 -6.642
4.780 -1.833 9.242 -7.978
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.31527 1.419 -0.2865 -9.89563
-9.43667 -4.500 -3.9519 -0.06107
-0.01658 -9.709 0.9422 -14.14657
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.374 4.639 -8.133 3.583
2.341 2.055 -9.161 10.533
2.031 -1.465 -8.827 15.235
rnd_95776.volume rnd_95787.volume
-18.52 0.7451
-11.90 -14.9680
-36.22 -7.8165
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.321 2.218 8.453 4.494 4.380 0.9144 1.984 5.305 5.524 4.053 2.507
[2,] 4.328 2.601 9.731 6.014 5.608 1.0973 2.255 6.006 6.589 6.391 3.463
[3,] 4.752 2.924 10.500 7.219 6.771 1.2188 2.509 6.716 7.398 7.151 3.813
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.563 2.858 5.991 4.262 3.674 4.564 4.450 9.956 5.045 10.57 3.198
[2,] 4.984 3.654 7.504 5.397 4.484 5.997 5.598 11.462 6.400 12.82 3.614
[3,] 5.458 4.481 8.703 6.415 5.102 6.978 6.492 12.774 7.053 14.11 3.971
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.505 5.183 1.532 4.808 4.869 3.821 4.122 1.458 4.468 3.980 2.062
[2,] 14.855 6.931 1.735 6.527 6.768 4.536 5.906 1.758 6.061 4.603 2.476
[3,] 17.592 8.420 1.904 8.588 8.354 5.100 7.238 1.988 7.264 5.228 2.739
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.343 4.427 4.522 4.298 3.423 2.933 1.178 2.883 1.282 3.577 3.012
[2,] 6.236 5.602 6.213 5.032 4.442 3.432 1.443 3.277 1.504 4.365 4.504
[3,] 7.528 6.512 7.177 5.633 5.074 3.852 1.542 3.633 1.684 5.007 5.033
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.703 2.044 3.189 3.611 3.805 2.292 3.581 3.074 1.790 3.304 2.856
[2,] 3.253 2.353 4.657 4.394 4.554 2.730 5.540 3.537 2.154 4.612 3.911
[3,] 3.573 2.573 5.435 4.883 5.111 2.986 6.631 3.862 2.418 5.707 5.024
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.707 1.845 3.674 1.209 2.586 1.290 2.747 2.940 3.076 4.149 1.660
[2,] 3.729 3.568 4.143 1.378 3.792 1.514 3.315 3.356 4.586 6.079 2.011
[3,] 4.965 4.389 4.541 1.521 4.855 1.742 3.871 3.628 5.217 6.823 2.257
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.182 2.729 2.575 1.408 4.442 4.200 4.087 4.507 4.972 5.084 7.031
[2,] 4.647 3.265 4.425 1.674 5.308 5.235 4.873 5.899 5.994 6.266 9.252
[3,] 5.377 3.561 5.673 1.935 5.972 5.835 5.442 6.770 6.668 7.118 10.902
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.013 6.096 2.903 5.048 1.995 2.035 1.575 2.716 2.474 7.150 5.183
[2,] 1.148 7.724 3.342 7.364 2.369 2.444 1.829 4.021 2.950 8.042 6.104
[3,] 1.272 9.062 3.723 8.864 2.606 2.734 2.026 4.502 3.347 8.758 6.914
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.130 2.570 3.181 3.351 2.560 2.211 0.5322 3.289 9.989 5.141
[2,] 2.637 3.286 4.243 4.519 3.109 2.526 0.6361 4.176 14.777 6.827
[3,] 2.886 3.848 4.949 5.497 3.653 2.774 0.7185 5.028 17.171 8.327
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.218 2.816 10.73 5.706 5.562 1.161 2.519 6.737
[2,] 477.945 233.906 830.03 688.289 603.065 104.464 184.619 484.855
[3,] 337.731 230.322 679.21 687.600 653.248 91.356 189.407 517.424
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.015 5.146 3.183 4.525 3.629 7.608 5.412 4.665
[2,] 618.296 850.846 411.507 600.068 392.087 778.107 570.066 442.586
[3,] 579.488 552.707 274.576 382.940 446.697 758.989 597.338 419.305
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.796 5.651 12.64 6.406 13.42 4.061 10.8 6.582 1.945
[2,] 669.925 584.977 978.05 678.129 1249.17 290.094 2097.2 792.365 140.244
[3,] 614.333 566.032 970.87 510.471 1015.12 283.434 1622.7 823.187 134.995
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.105 6.183 4.852 5.235 1.851 5.674 5.054 2.619
[2,] 760.142 809.607 421.016 728.148 169.342 705.286 398.082 235.914
[3,] 961.142 843.314 401.283 720.565 159.635 689.337 427.112 201.588
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.785 5.622 5.742 5.457 4.347 3.724 1.496 3.661
[2,] 553.706 591.063 733.763 450.792 487.544 306.779 143.486 268.070
[3,] 726.095 571.715 618.754 435.701 422.258 301.380 93.577 270.079
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.628 4.542 3.825 3.433 2.596 4.05 4.586 4.832
[2,] 135.438 430.899 576.662 311.533 200.709 584.43 430.942 430.754
[3,] 130.589 422.323 386.857 254.695 179.205 482.43 366.942 399.692
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.911 4.548 3.904 2.273 4.195 3.627 3.438 2.342
[2,] 255.257 727.734 301.222 206.490 554.021 460.044 441.515 525.904
[3,] 208.483 627.684 266.961 189.261 578.935 542.969 564.546 440.006
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.665 1.536 3.284 1.638 3.488 3.733 3.906 5.268
[2,] 329.915 113.631 477.586 136.691 319.480 278.587 585.802 765.181
[3,] 319.860 110.794 522.000 148.223 344.155 237.637 428.245 533.383
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.107 4.04 3.465 3.269 1.789 5.641 5.333 5.19 5.724
[2,] 195.521 583.15 308.623 619.773 155.907 500.333 538.255 457.01 655.161
[3,] 176.609 465.76 244.979 611.102 167.142 471.326 443.529 417.10 572.110
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.313 6.456 8.928 1.286 7.741 3.687 6.41 2.533
[2,] 576.396 630.889 1035.511 92.926 816.923 284.901 923.33 220.211
[3,] 503.348 581.438 993.152 94.355 816.074 282.681 849.48 186.660
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.584 2.0 3.449 3.141 9.08 6.582 2.704 3.263 4.039
[2,] 233.008 160.0 510.693 276.756 633.75 555.115 267.786 352.724 483.478
[3,] 211.181 150.2 348.535 272.361 597.39 559.037 202.077 344.856 438.612
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.255 3.25 2.807 0.6758 4.176 12.68 6.529
[2,] 522.140 303.78 210.513 59.9835 443.082 1875.11 773.333
[3,] 538.972 330.43 197.513 57.5325 482.125 1506.07 821.099
[1] "--- VAR model 2017-10-02 06:01:00 completed"
[1] "Completed training sample: 2017-10-02 06:01:00 - 2017-10-02 14:00:00"
[1] "SpVAR; training sample: 2017-10-02 06:31:00 - 2017-10-02 14:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.6698 -3.026 33.552 -15.36
4.0266 -0.399 -5.285 -20.49
-0.5081 2.655 8.645 14.96
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
18.600 3.802 4.0952 0.7509
2.425 3.181 -3.6966 -6.5398
-19.731 6.549 0.6076 6.6115
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.462 -3.6382 2.655 -10.57
-11.417 -0.3901 -1.335 -17.74
1.771 -1.3781 -3.891 -14.91
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-18.004 -2.8769 -4.832 12.557
-8.792 -0.8246 -3.537 7.244
-2.759 -8.1108 1.945 19.776
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.5599 -5.681 -46.2839 -21.614
11.3877 14.309 17.6294 6.435
1.4632 5.811 -0.1015 20.799
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
34.56 -2.419 3.761 6.346
13.88 14.317 42.871 1.303
17.57 -6.255 -16.021 0.795
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.622 -7.980 -10.537 10.812
-1.260 14.608 14.776 16.445
6.334 2.045 5.173 7.573
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-22.00 -0.1135 3.953 -23.422
-16.99 1.3659 -8.713 -2.056
20.94 -0.9823 5.170 2.791
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.6712 12.1765 20.4701 19.1559
-6.2902 -9.8756 0.8559 -0.1714
0.8508 0.5954 -19.6788 -10.9506
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-17.9680 0.245 7.551 3.517
9.0519 1.057 11.029 -2.798
0.4244 10.848 11.499 -1.516
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
10.710 1.756 0.7677 -7.072
2.354 -1.170 -3.4238 -9.377
3.598 1.467 -2.4271 -8.510
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.5339 -2.694 -4.035 -9.381
-2.4862 2.414 -11.475 7.844
0.5271 2.297 -12.208 -1.526
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.210 -0.8669 14.191 16.435
18.260 -0.7429 -2.621 6.785
9.832 -3.6494 9.614 15.150
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.20249 2.7312 1.4026 14.614
3.15605 19.3959 6.3807 2.424
-0.01695 0.8713 -0.7793 6.541
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
16.371 1.571 -0.8236 -3.287
7.324 3.880 0.3632 11.904
3.251 3.431 -1.7261 6.060
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.533 -2.928 8.4979 7.412
-3.354 4.767 3.9538 11.154
-7.693 5.709 0.9374 4.758
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
16.697 -0.4007 -5.543 2.556
-8.466 0.2805 13.434 3.695
25.197 1.2405 8.156 2.553
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.156 1.1502 13.890 7.650
11.423 3.3585 -8.423 10.410
-1.056 0.7922 2.420 5.782
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
10.617 -8.279 8.223 -13.438
3.697 -4.775 15.807 8.426
5.645 -11.023 17.750 -3.548
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.788 1.701 16.24 -6.4408
-2.899 0.723 15.31 -2.1873
35.163 -1.693 5.75 0.5588
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.740 2.7874 2.747 -0.1604
2.733 0.2191 8.039 -3.5068
2.274 -2.2259 1.040 -1.1479
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.672 1.710 18.73 -10.2193
-7.699 4.188 -17.68 0.9795
13.144 2.300 41.19 -6.0788
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.493 3.70012 1.968 1.309
3.339 2.49190 3.717 4.067
-2.471 0.02454 -2.308 -5.915
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.7926 9.096 -10.995 5.144
9.8673 -7.252 -9.270 3.964
-0.1569 3.545 -9.235 7.597
rnd_95776.volume rnd_95787.volume
66.997 3.979
-5.091 -1.060
16.637 8.180
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.330 2.361 8.421 4.584 4.367 1.037 1.974 5.096 5.238 4.049 2.520
[2,] 4.426 2.725 9.841 5.979 5.571 1.270 2.236 5.844 6.443 6.372 3.396
[3,] 4.875 3.050 10.675 7.256 6.763 1.401 2.478 6.467 7.142 7.092 3.761
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.459 2.954 5.512 3.844 3.713 4.479 4.459 10.28 4.937 10.25 3.234
[2,] 4.872 3.733 6.793 4.865 4.506 5.884 5.621 11.93 6.191 12.56 3.606
[3,] 5.413 4.512 8.044 5.977 5.132 6.885 6.460 13.36 6.968 13.88 4.014
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.471 5.344 1.515 4.805 4.760 3.904 4.190 1.479 4.622 4.004 2.104
[2,] 14.915 6.900 1.723 6.388 6.728 4.632 5.885 1.753 6.049 4.795 2.504
[3,] 17.707 8.487 1.934 8.475 8.310 5.210 7.304 1.977 7.341 5.449 2.795
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.387 4.335 4.556 4.100 3.326 3.241 1.228 2.953 1.275 3.568 2.899
[2,] 6.256 5.557 6.279 4.947 4.503 3.831 1.505 3.358 1.542 4.257 4.526
[3,] 7.536 6.484 7.307 5.630 5.089 4.326 1.606 3.732 1.716 4.893 5.035
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.638 1.973 3.150 3.940 3.740 2.250 3.663 3.430 1.821 3.285 2.888
[2,] 3.210 2.343 4.610 4.623 4.548 2.672 5.799 3.875 2.188 4.620 4.031
[3,] 3.553 2.513 5.353 5.140 5.189 2.962 6.898 4.228 2.458 5.834 5.251
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.792 1.885 3.897 1.237 2.623 1.296 2.762 3.064 3.070 4.323 1.681
[2,] 3.908 3.668 4.329 1.386 3.924 1.551 3.367 3.507 4.673 6.168 2.032
[3,] 5.082 4.544 4.736 1.527 4.991 1.763 3.974 3.771 5.333 6.982 2.310
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.277 2.877 2.674 1.463 4.447 4.249 4.275 4.653 4.804 5.129 5.540
[2,] 4.767 3.402 4.399 1.743 5.246 5.318 5.071 5.974 5.796 6.203 7.350
[3,] 5.468 3.717 5.629 1.976 5.901 5.937 5.677 6.938 6.397 7.093 9.167
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.043 5.228 3.044 4.512 2.048 2.132 1.632 2.690 2.764 7.044 5.366
[2,] 1.200 6.620 3.488 6.830 2.371 2.518 1.915 4.076 3.245 8.085 6.208
[3,] 1.317 8.044 3.833 8.248 2.622 2.838 2.100 4.616 3.656 8.906 7.080
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.185 2.531 3.040 3.377 2.536 2.228 0.5292 2.582 10.14 5.259
[2,] 2.632 3.301 4.165 4.520 3.099 2.534 0.6519 3.376 15.27 6.878
[3,] 2.919 3.834 4.866 5.415 3.656 2.832 0.7427 3.940 17.48 8.432
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.229 2.998 10.69 5.821 5.546 1.317 2.507 6.472
[2,] 409.993 191.472 716.47 539.916 486.437 102.943 147.660 402.232
[3,] 287.632 192.548 581.68 578.168 539.386 83.199 150.169 389.591
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.651 5.141 3.2 4.392 3.751 6.999 4.881 4.715 5.687
[2,] 527.829 692.045 320.3 482.662 321.083 558.502 419.518 358.979 536.686
[3,] 433.545 438.169 227.2 331.751 356.508 606.055 488.311 345.634 503.052
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.662 13.05 6.269 13.02 4.107 10.76 6.786 1.923
[2,] 481.504 852.57 525.403 1020.85 224.234 1726.69 613.927 115.530
[3,] 447.740 847.14 449.902 831.09 248.100 1342.52 695.051 123.458
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.102 6.045 4.957 5.32 1.878 5.869 5.084 2.671 6.84
[2,] 591.984 668.866 350.790 581.22 132.221 548.928 371.231 191.124 447.37
[3,] 783.445 685.908 335.574 608.53 128.780 585.023 363.974 174.737 591.17
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.504 5.786 5.206 4.224 4.115 1.559 3.75 1.618
[2,] 489.141 607.664 389.425 426.883 287.321 122.438 225.00 121.989
[3,] 469.843 525.592 378.163 333.649 282.634 78.855 229.08 106.165
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.531 3.681 3.35 2.505 4.0 5.003 4.749 2.857 4.651
[2,] 326.519 488.971 257.15 177.953 473.3 340.189 364.158 202.871 632.282
[3,] 339.396 310.415 214.33 127.637 382.7 316.095 351.424 179.554 525.503
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.356 2.312 4.172 3.667 3.545 2.393 4.949 1.571
[2,] 253.741 170.677 456.860 395.536 384.679 442.667 265.112 87.981
[3,] 237.603 157.490 501.052 473.303 456.907 377.223 270.202 90.234
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.331 1.646 3.507 3.891 3.898 5.49 2.135 4.161
[2,] 410.533 119.870 270.817 240.025 495.676 618.89 160.549 487.043
[3,] 433.862 117.738 296.968 194.747 361.359 460.03 154.509 376.883
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.654 3.396 1.858 5.647 5.396 5.429 5.909 6.1 6.513
[2,] 255.436 491.255 133.235 391.448 449.860 383.551 527.129 456.1 490.650
[3,] 210.567 494.050 130.929 380.206 371.057 359.116 496.254 380.8 484.102
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 7.036 1.324 6.639 3.865 5.73 2.601 2.707 2.072 3.416
[2,] 679.355 83.466 571.260 239.521 721.14 168.131 188.531 140.965 430.751
[3,] 770.446 76.521 642.776 223.545 650.43 157.423 184.045 121.135 304.575
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 3.509 8.945 6.814 2.775 3.214 3.861 4.289 3.221
[2,] 239.128 558.280 439.115 206.332 297.946 400.508 422.468 250.399
[3,] 236.866 525.347 478.684 177.679 274.479 353.865 419.614 273.010
[,94] [,95] [,96] [,97] [,98]
[1,] 2.83 0.672 3.278 12.88 6.678
[2,] 169.61 53.551 305.978 1606.31 623.579
[3,] 178.11 50.055 285.815 1197.17 685.946
[1] "--- VAR model 2017-10-02 06:31:00 completed"
[1] "Completed training sample: 2017-10-02 06:31:00 - 2017-10-02 14:30:00"
[1] "SpVAR; training sample: 2017-10-02 07:01:00 - 2017-10-02 15:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.035 3.472 20.954 -22.873
5.615 8.171 -2.889 -17.520
1.428 4.561 -8.604 1.669
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
11.1979 0.126792 3.0227 10.9272
10.2986 -0.007053 0.2462 -9.2447
-0.2765 1.170042 7.6947 -0.8083
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.253 -9.2501 -3.622 -6.453
-1.030 -0.1982 6.236 -16.132
6.106 1.8623 1.275 -21.778
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.154 -1.076 -4.939 21.43
-7.617 -1.971 -1.315 20.52
-8.464 -8.442 5.244 26.25
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.712 -4.369 9.017 13.191
17.874 12.355 8.451 4.375
8.922 18.899 30.643 3.275
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
4.929 5.296 10.846 -10.1632
11.252 3.372 16.693 9.0834
-7.023 4.549 -6.338 0.1915
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.921 -16.4019 -5.485 -3.770
-1.439 -0.4619 -6.607 -10.521
3.048 -1.7762 4.348 -7.681
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.805 1.9251 0.1793 27.75
-22.441 -0.8787 -6.1034 15.34
4.145 -0.3773 -10.1849 16.56
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.609 10.767 4.130 6.005
-5.654 4.674 8.151 26.769
-9.774 -0.168 -4.036 7.527
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
6.436 1.205 2.359 2.8409
9.106 -1.250 8.361 -0.6224
10.274 7.417 8.871 -2.4706
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
15.029 -3.0446 0.8632 -13.0558
10.784 -1.0148 3.8360 -11.1727
5.901 0.1685 4.1197 0.8773
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-13.1872 6.2677 -15.23 2.817
0.2843 -1.2179 -14.61 1.847
3.0621 0.4954 -23.58 5.309
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.7084 0.6519 -3.675 14.166
5.4360 -0.8547 -8.579 11.908
9.5813 -2.9697 -6.128 5.011
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-5.690 -4.241 -6.477 11.035
3.398 3.015 -3.351 -4.719
-2.803 -6.477 -10.142 -8.057
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
12.226 1.569 -2.5169 -4.405
-11.545 -5.060 -0.6403 11.083
3.533 -7.941 0.6479 -8.432
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.576 7.9924 -7.417 -9.638
-6.111 -8.0743 -2.055 -7.677
-3.695 -0.8498 9.686 4.513
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.836 2.7431 -7.445 3.912
-11.664 0.5567 6.908 -4.659
-14.492 2.6271 -15.821 6.010
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.7068 -0.004571 -3.735 1.347
-10.5405 -1.748332 6.169 5.070
-0.3094 -3.763665 -14.274 -0.336
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.935 -4.352 -17.7919 7.215
-8.153 -5.076 -0.1379 -1.582
-8.826 12.643 -4.2306 -3.318
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.165 -2.5527 2.383 -3.984
-19.582 -0.3559 -14.461 2.095
-13.100 -0.6842 -20.578 -4.914
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-21.230 -7.0496 2.888 3.686
-4.875 -0.6679 -3.443 3.687
-25.954 1.7512 2.681 -4.279
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.635 1.286 12.960 16.618
1.953 7.786 -6.744 5.435
-1.967 5.373 -17.880 10.244
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.3540 4.003 7.923 5.490
-6.5969 6.217 6.086 3.793
0.7839 4.153 4.191 2.581
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.713 2.220 -11.59 -0.319
-1.408 1.183 -12.47 3.573
7.792 5.650 -11.38 1.596
rnd_95776.volume rnd_95787.volume
-14.95 -8.641
-29.23 3.901
-24.48 -3.476
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.220 2.421 8.086 4.584 4.257 1.127 1.842 4.630 4.780 4.013 2.365
[2,] 4.285 2.772 9.574 6.065 5.681 1.334 2.135 5.450 6.223 6.134 3.166
[3,] 4.759 3.142 10.492 7.307 6.957 1.521 2.362 6.195 6.955 6.893 3.581
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.408 2.983 5.214 3.659 3.792 4.494 4.394 10.19 5.007 8.609 3.412
[2,] 4.564 3.709 6.393 4.688 4.502 6.036 5.468 11.88 6.148 10.779 3.925
[3,] 5.161 4.432 7.521 5.880 5.087 7.090 6.316 13.25 6.956 12.062 4.288
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.607 5.446 1.493 4.576 4.684 3.929 4.337 1.614 4.648 3.911 2.181
[2,] 14.449 6.897 1.754 6.065 6.672 4.552 6.030 1.858 6.063 4.898 2.532
[3,] 17.272 8.426 1.972 8.135 8.089 5.117 7.342 2.050 7.353 5.586 2.847
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.463 4.383 4.635 4.319 3.544 3.391 1.231 2.997 1.310 3.517 2.850
[2,] 6.293 5.793 6.387 5.154 4.661 3.987 1.513 3.506 1.555 4.164 4.448
[3,] 7.484 6.776 7.462 5.827 5.182 4.517 1.645 3.962 1.731 4.879 4.976
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.507 1.929 3.211 3.839 3.905 2.285 3.652 3.555 1.796 3.365 2.947
[2,] 3.091 2.265 4.334 4.544 4.754 2.708 5.792 4.036 2.162 4.582 4.090
[3,] 3.521 2.429 5.068 5.079 5.265 2.994 6.907 4.436 2.405 5.714 5.217
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.827 1.943 4.028 1.230 2.576 1.372 2.813 3.167 3.217 4.427 1.691
[2,] 3.996 3.677 4.451 1.384 3.974 1.615 3.438 3.662 4.840 6.487 2.071
[3,] 5.063 4.659 4.857 1.525 5.131 1.832 4.065 3.948 5.483 7.350 2.344
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.509 3.120 2.716 1.433 4.261 3.755 4.200 4.657 4.817 5.284 5.095
[2,] 4.970 3.545 4.518 1.757 5.043 4.904 5.061 5.929 5.781 6.311 7.019
[3,] 5.638 3.933 5.864 2.006 5.635 5.487 5.702 6.900 6.443 7.160 8.804
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.076 4.982 3.113 4.064 1.984 2.084 1.667 2.748 2.826 7.111 5.555
[2,] 1.240 6.465 3.541 6.348 2.320 2.492 1.947 4.156 3.257 8.172 6.366
[3,] 1.371 7.871 3.818 7.897 2.588 2.821 2.154 4.760 3.663 9.017 7.247
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.171 2.358 2.813 3.117 2.662 2.312 0.5686 1.719 10.26 5.223
[2,] 2.616 3.144 3.941 4.255 3.157 2.654 0.6807 2.034 15.08 6.857
[3,] 2.886 3.689 4.714 5.220 3.761 2.904 0.7685 2.239 17.27 8.366
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.089 3.074 10.27 5.82 5.406 1.432 2.339 5.879 6.069
[2,] 351.188 167.821 636.60 493.29 467.147 88.537 134.021 357.199 494.950
[3,] 257.110 183.745 532.96 506.17 498.709 90.880 125.644 365.858 385.629
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.095 3.003 4.327 3.788 6.621 4.647 4.815 5.707
[2,] 576.230 261.472 377.001 273.770 459.417 364.015 301.281 500.484
[3,] 390.635 207.757 299.346 301.230 491.993 440.841 294.218 461.764
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.58 12.94 6.358 10.93 4.333 10.93 6.915 1.896 5.811
[2,] 404.17 758.22 443.265 805.59 240.846 1441.40 525.693 114.338 494.395
[3,] 392.64 729.54 404.041 672.32 214.676 1175.28 601.114 112.046 673.355
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.948 4.989 5.507 2.05 5.902 4.966 2.77 6.937 5.566
[2,] 590.191 285.552 520.281 114.22 483.507 366.262 159.68 387.908 470.433
[3,] 567.890 290.338 520.210 107.72 516.612 333.466 161.75 503.185 436.596
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.886 5.485 4.5 4.306 1.563 3.806 1.664 4.466 3.619
[2,] 545.756 349.138 376.1 260.461 109.278 226.029 104.038 276.825 424.158
[3,] 479.217 337.817 281.3 263.847 80.218 229.173 94.435 315.922 276.856
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.183 2.45 4.078 4.875 4.959 2.902 4.637 4.515 2.28
[2,] 224.484 147.49 361.565 301.947 336.766 180.598 558.355 237.261 149.50
[3,] 209.637 108.86 326.185 281.973 281.118 158.555 467.350 228.582 130.92
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.273 3.742 3.59 2.468 5.115 1.562 3.271 1.742 3.573
[2,] 386.202 352.276 350.73 387.644 235.153 78.754 375.900 105.840 245.445
[3,] 423.926 402.215 386.23 355.302 241.533 79.626 402.962 107.461 269.312
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.022 4.085 5.621 2.147 4.456 3.962 3.449 1.82
[2,] 228.431 449.128 588.876 148.502 437.086 209.063 448.332 126.15
[3,] 183.174 320.055 429.126 136.295 330.824 211.460 464.415 120.40
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.411 4.768 5.333 5.913 6.117 6.71 6.47 1.367 6.327
[2,] 335.099 391.774 350.760 455.866 397.016 428.64 599.51 76.515 511.690
[3,] 312.091 305.817 326.308 438.156 353.219 420.05 660.03 72.528 557.623
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.953 5.16 2.52 2.647 2.117 3.49 3.588 9.03 7.054
[2,] 209.687 605.75 149.32 169.757 125.021 387.17 201.140 500.13 386.224
[3,] 177.136 583.37 142.55 164.116 114.261 288.16 208.333 473.18 430.091
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.757 2.995 3.572 3.958 3.38 2.936 0.722 2.183 13.03
[2,] 181.391 258.192 342.859 359.803 210.86 161.844 46.482 135.002 1373.38
[3,] 151.208 239.816 321.123 375.433 253.96 146.568 44.321 116.380 1043.19
[,98]
[1,] 6.633
[2,] 551.834
[3,] 595.270
[1] "--- VAR model 2017-10-02 07:01:00 completed"
[1] "Completed training sample: 2017-10-02 07:01:00 - 2017-10-02 15:00:00"
[1] "SpVAR; training sample: 2017-10-02 07:31:00 - 2017-10-02 15:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.338 1.145 43.759 13.24
-10.777 -3.278 -3.215 -14.85
3.640 2.793 27.120 19.00
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.221 4.597 -3.529 -23.73
16.170 -4.226 3.356 11.05
-8.351 3.623 5.721 -10.59
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-22.8809 -19.193 4.635 -32.17
-11.1704 -9.165 2.058 -33.90
-0.0052 3.874 7.401 -18.45
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.534 -10.963 -7.1485 24.16
-18.359 -19.648 -1.9795 26.68
-18.646 -7.731 -0.9804 15.86
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
9.132 19.150 34.055 -0.2499
-2.404 -7.338 16.748 13.7752
-14.933 -11.967 6.848 -8.6698
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
10.001 5.743 32.05 -10.776
4.488 8.924 49.51 6.877
20.742 8.271 24.89 31.002
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.602 -13.89 -8.814 5.5921
3.684 17.86 11.555 11.1462
-0.909 32.85 16.126 0.2737
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
8.311 5.5535 21.058 25.49
-8.985 0.5991 -1.766 30.60
14.494 0.9482 16.789 15.36
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.7145 5.927 4.983 -7.44
-0.1142 -15.635 10.678 11.24
5.0725 -10.929 -12.503 -1.52
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.817 -3.750 -8.876 1.0346
7.309 9.352 -3.065 -0.1717
2.646 -3.055 -1.864 2.5491
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.052 4.241 3.705 -0.863
1.956 -0.543 9.403 -5.771
1.658 3.495 5.513 2.958
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.0448 5.819 -16.7003 10.194
3.0591 2.170 2.0535 3.240
4.5623 4.407 -0.1895 -4.977
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.383 -5.413 -17.618 11.905
5.028 7.147 -10.393 9.924
2.294 5.739 -1.118 2.581
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.79683 -13.881 -1.458 16.63
-3.71728 -11.240 -13.665 -14.60
-0.07706 -1.007 -4.750 -6.41
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.550 -12.673 1.4401 -0.7684
1.743 6.577 2.5956 9.9511
-15.037 -1.989 -0.6796 -12.3053
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.7126 9.957 -0.6294 2.268
-5.9865 3.191 5.6237 11.520
-0.9871 2.731 -5.8693 -3.109
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.187 3.233 4.052 10.1311
23.409 4.810 3.244 0.2951
-2.177 4.336 5.250 -7.8074
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.948 -2.4082 -11.205 3.684
4.811 -0.1908 2.518 -4.881
5.352 -1.2140 11.456 3.708
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7701 2.640 1.201 7.923
-6.3027 -17.834 4.343 6.554
-8.7027 -1.123 -2.516 -2.747
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
25.659 5.89365 15.449 -3.3937
12.250 0.19755 2.323 -0.3760
6.325 0.09044 18.331 0.6471
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.752 4.885 -4.021 -1.818
4.449 2.404 -1.211 -1.095
11.457 -1.577 -5.525 -1.429
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.3425 3.437 6.857 20.622
3.5981 -4.912 7.692 10.742
-1.8308 0.751 2.945 7.799
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.793 10.183 3.8628 0.7128
1.043 -10.480 1.2480 0.4777
0.550 9.998 0.6995 -6.4435
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
11.396 -1.8412 -8.909 10.030
-5.894 0.4783 -11.858 8.598
-5.311 -0.3962 -11.351 3.565
rnd_95776.volume rnd_95787.volume
-40.80 5.892
-10.66 4.345
13.24 33.802
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.178 2.303 7.467 4.581 4.573 1.269 1.785 4.569 4.763 3.974 2.466
[2,] 4.180 2.697 9.081 6.031 5.793 1.483 2.088 5.441 6.015 5.950 3.298
[3,] 4.683 3.054 10.036 7.316 7.003 1.672 2.280 6.065 6.919 6.852 3.706
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.376 2.679 4.458 3.587 3.686 4.703 4.320 10.40 4.964 7.200 3.519
[2,] 4.623 3.466 5.672 4.630 4.387 6.279 5.721 12.28 6.184 8.997 4.045
[3,] 5.280 4.242 6.601 5.737 5.021 7.310 6.688 13.57 7.296 10.090 4.474
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.326 5.163 1.523 4.560 4.591 3.765 4.367 1.701 4.468 4.165 2.214
[2,] 14.096 6.610 1.819 6.079 6.354 4.358 6.128 1.933 5.986 5.186 2.540
[3,] 17.052 7.932 2.050 7.949 7.915 4.888 7.415 2.130 7.167 5.865 2.836
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.276 4.335 4.609 4.489 3.490 3.575 1.336 3.168 1.217 3.475 2.874
[2,] 6.275 5.620 6.384 5.225 4.675 4.170 1.538 3.693 1.496 4.278 4.384
[3,] 7.431 6.528 7.435 5.856 5.221 4.738 1.669 4.229 1.688 4.975 5.035
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.632 1.979 3.137 3.748 4.028 2.282 3.773 3.821 1.721 3.378 2.869
[2,] 3.158 2.277 4.372 4.335 4.887 2.734 6.078 4.389 2.152 4.692 4.145
[3,] 3.543 2.450 5.064 4.907 5.404 3.044 7.188 4.818 2.412 5.880 5.498
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.843 2.059 4.163 1.232 2.638 1.501 2.811 3.238 3.422 4.461 1.655
[2,] 4.061 3.729 4.648 1.392 3.964 1.723 3.368 3.685 4.980 6.329 2.103
[3,] 5.140 4.793 5.014 1.515 5.143 1.965 3.988 3.961 5.669 7.144 2.377
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.700 3.186 2.983 1.420 4.255 3.775 4.278 4.431 4.660 5.375 4.633
[2,] 4.952 3.610 4.756 1.743 5.048 4.864 5.019 5.752 5.633 6.421 6.793
[3,] 5.725 3.961 5.941 1.999 5.645 5.414 5.810 6.743 6.258 7.209 8.383
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.092 4.640 3.070 4.065 1.974 2.096 1.659 2.928 2.745 6.999 5.287
[2,] 1.254 6.011 3.486 6.051 2.311 2.505 1.948 4.192 3.220 8.208 6.559
[3,] 1.389 7.551 3.795 7.637 2.562 2.870 2.147 4.743 3.576 8.945 7.548
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.054 2.087 2.388 2.106 2.557 2.357 0.5930 1.687 10.75 5.039
[2,] 2.489 2.966 3.262 2.976 3.128 2.655 0.7055 2.097 15.32 6.677
[3,] 2.761 3.535 3.896 3.768 3.799 2.896 0.8005 2.346 17.48 7.916
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.035 2.924 9.483 5.817 5.807 1.611 2.266 5.802
[2,] 266.347 137.681 506.818 384.721 348.832 75.359 106.331 289.717
[3,] 206.954 140.565 419.072 406.094 385.823 75.637 89.790 262.855
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.049 5.046 3.131 4.287 3.402 5.661 4.554 4.681
[2,] 360.189 434.228 214.823 309.706 215.695 343.933 287.098 233.347
[3,] 335.494 333.282 165.842 250.294 239.768 331.277 332.351 239.426
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.972 5.486 13.21 6.304 9.143 4.469 10.57 6.556 1.934
[2,] 408.049 367.881 640.58 361.625 529.016 195.575 1115.49 404.772 97.475
[3,] 367.135 339.671 566.46 379.773 448.191 187.510 941.06 430.082 92.831
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.79 5.829 4.781 5.546 2.16 5.673 5.288 2.811 6.7
[2,] 394.25 430.833 215.321 421.652 90.12 390.762 303.097 122.081 333.1
[3,] 502.35 462.956 217.217 409.480 87.80 386.494 268.654 123.709 390.5
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.504 5.853 5.701 4.432 4.539 1.697 4.023 1.546 4.412
[2,] 350.871 433.287 262.181 304.971 210.691 74.704 186.051 85.321 244.736
[3,] 325.690 373.622 259.503 228.029 220.472 63.494 202.097 76.660 249.105
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.649 3.342 2.513 3.984 4.759 5.115 2.898 4.791
[2,] 324.659 171.285 110.536 298.581 213.648 271.285 147.585 467.288
[3,] 242.872 157.498 88.821 250.720 225.457 226.310 131.366 376.480
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.852 2.186 4.289 3.643 3.61 2.615 5.287 1.565 3.35
[2,] 211.757 126.727 319.423 293.346 284.40 304.890 202.709 63.433 290.13
[3,] 195.052 106.707 347.614 354.360 309.07 295.244 184.434 58.797 321.42
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.906 3.569 4.112 4.345 5.665 2.102 4.699 4.046
[2,] 83.042 182.009 172.600 354.846 440.217 127.218 322.758 166.392
[3,] 92.516 209.454 142.284 265.664 325.020 108.646 281.797 159.994
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.788 1.804 5.403 4.794 5.432 5.627 5.918 6.825
[2,] 363.204 99.037 266.511 300.771 257.472 359.686 310.401 344.481
[3,] 349.277 95.971 247.815 233.235 287.002 345.099 267.334 321.436
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.883 1.387 5.892 3.898 5.161 2.507 2.661 2.107
[2,] 487.169 60.440 374.775 162.064 439.554 117.820 134.578 100.118
[3,] 481.825 58.679 448.250 147.215 457.049 108.459 137.395 88.473
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.718 3.485 8.888 6.714 2.608 2.65 3.032 2.675
[2,] 294.180 165.175 420.432 380.744 137.944 206.74 217.934 206.213
[3,] 217.573 152.518 348.731 366.338 117.007 188.58 209.015 226.669
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.247 2.992 0.753 2.142 13.65 6.398
[2,] 176.710 119.961 37.482 122.122 1070.37 429.734
[3,] 211.527 113.450 37.094 103.232 826.61 417.078
[1] "--- VAR model 2017-10-02 07:31:00 completed"
[1] "Completed training sample: 2017-10-02 07:31:00 - 2017-10-02 15:30:00"
[1] "SpVAR; training sample: 2017-10-02 08:01:00 - 2017-10-02 16:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.3232 0.3429 -14.011 -1.576
-0.8482 -0.2923 6.049 5.270
-2.8431 2.3958 -12.183 -9.035
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.09 4.894 2.4911 15.77
-22.61 6.914 -2.4225 11.77
-13.09 1.151 -0.7992 -11.25
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
15.15 5.382 8.545 -15.70
17.01 15.320 8.704 -20.68
-18.03 1.496 4.497 -15.45
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-10.574 16.082 4.7400 40.92
-3.932 -10.984 -3.4499 21.64
-10.031 -1.913 0.4388 37.75
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-20.209 -4.553 38.314 13.925
-5.986 -24.937 -1.186 6.287
-6.469 5.606 20.460 9.497
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
7.655 -7.948 -2.124 7.938
-7.482 4.340 -27.139 19.945
-13.043 1.614 -1.798 -2.009
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6278 21.347 -27.804 -2.275
-4.4779 3.626 -2.471 2.780
-4.6076 -6.568 -4.144 1.484
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.081 -3.2630 7.126 32.13
15.441 -0.2128 -17.193 16.91
-9.499 -0.1375 12.769 21.68
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.264 8.749 -15.0748 -33.371
6.541 -12.808 -4.2623 17.287
-7.988 2.782 0.4955 -4.586
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-17.78 -15.02 -7.9676 -1.652
-23.06 -28.00 -8.5780 -5.668
-17.37 -14.29 -0.8976 -2.211
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-10.157 -1.825 -9.896 -5.968
-5.322 -1.430 -1.491 -23.346
-7.997 -2.292 11.512 -5.227
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.8996 2.475 -3.987 5.356
7.5483 3.330 -10.282 11.100
9.1602 3.527 -15.759 1.383
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.064 8.129 0.01006 3.285
2.420 5.876 1.26555 6.145
9.768 7.674 15.03882 6.464
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-7.627 8.4584 9.884 12.50612
-1.314 0.8772 -20.806 -10.29228
4.573 1.9713 6.295 0.02753
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.472 -5.393 9.998 -5.2701
24.067 -3.262 2.551 -5.3600
-26.405 -16.846 1.315 0.1984
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-9.542 -0.7789 -15.070 -3.186
-1.466 -5.5551 7.025 -11.590
-6.236 7.4252 -1.991 -1.129
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-15.844 0.79433 -12.15 -4.1858
-16.588 5.97992 -13.95 -0.4908
-4.043 0.07097 -11.82 2.9843
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-18.08 3.774 -0.1932 21.791
-8.42 -5.521 -7.2217 8.474
-16.08 -2.067 -5.1028 14.365
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.479 9.812 13.226 10.573
6.378 13.465 10.040 26.303
-10.410 -16.801 1.377 -3.121
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.947 -2.25301 10.72 -18.3843
-8.208 0.01063 -2.96 -12.2194
24.166 -0.97591 15.93 0.7756
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
18.766 4.2727 7.9896 -6.8052
7.510 1.5953 -1.8755 0.9903
-3.008 -0.6268 -0.6592 -7.3562
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-10.32 7.408 -27.655 -27.8644
-19.05 7.162 -6.805 -14.6952
-25.87 13.311 -13.190 -0.5676
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.170 3.292 12.606 16.240
2.624 5.761 2.401 5.334
1.961 5.802 12.524 10.453
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.117 2.9177 -9.602 4.853
-2.042 -0.3477 -11.752 4.131
3.767 7.1751 -10.048 4.795
rnd_95776.volume rnd_95787.volume
11.69 7.753
50.76 11.357
-38.71 -1.956
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.294 2.485 7.284 4.382 4.714 1.294 1.752 4.577 4.646 3.807 2.302
[2,] 4.460 2.939 8.656 5.793 5.965 1.565 2.006 5.402 6.021 5.923 3.130
[3,] 4.992 3.290 9.608 7.060 6.864 1.738 2.208 6.001 6.978 6.718 3.599
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.203 2.717 3.467 3.445 3.536 4.477 4.215 10.28 4.634 7.396 3.547
[2,] 4.482 3.387 4.492 4.442 4.199 5.910 5.475 11.84 6.327 9.058 3.997
[3,] 5.186 4.125 5.306 5.413 4.720 6.746 6.469 13.15 7.376 10.259 4.456
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.021 4.828 1.584 4.203 4.317 3.631 4.086 1.650 4.349 4.295 2.135
[2,] 14.171 6.518 1.859 6.165 6.024 4.379 5.912 1.913 5.943 5.185 2.469
[3,] 16.843 7.807 2.083 8.031 8.030 4.872 7.192 2.141 7.084 5.965 2.779
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.136 4.451 4.246 4.461 3.422 3.370 1.289 3.208 1.137 3.554 2.873
[2,] 6.206 5.791 6.277 5.178 4.693 4.054 1.499 3.835 1.385 4.305 4.377
[3,] 7.210 6.627 7.187 5.848 5.287 4.613 1.648 4.369 1.546 5.031 4.984
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.718 1.853 3.072 3.666 3.967 2.298 3.787 3.739 1.778 3.523 2.988
[2,] 3.128 2.229 4.297 4.269 4.931 2.811 5.828 4.380 2.137 4.840 4.328
[3,] 3.488 2.449 5.095 4.745 5.349 3.101 6.994 4.876 2.393 5.934 5.439
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.924 2.050 4.179 1.227 2.738 1.495 3.050 3.195 3.470 4.265 1.766
[2,] 4.313 3.775 4.683 1.409 3.849 1.727 3.552 3.712 5.015 6.298 2.134
[3,] 5.266 4.922 5.015 1.555 5.115 1.967 4.097 4.011 5.753 7.162 2.452
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.986 3.066 3.444 1.443 4.213 3.899 4.579 4.559 4.485 5.067 3.925
[2,] 5.353 3.584 4.951 1.746 5.140 5.103 5.288 5.716 5.343 6.082 5.613
[3,] 6.188 3.903 6.167 2.015 5.862 5.683 6.017 6.627 5.971 6.788 6.706
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.087 3.778 2.989 3.635 1.871 2.140 1.678 2.910 2.980 6.860 5.715
[2,] 1.264 4.753 3.387 4.984 2.285 2.517 2.003 3.978 3.549 7.844 7.040
[3,] 1.421 6.011 3.785 6.301 2.520 2.964 2.215 4.643 3.923 8.748 7.803
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.902 1.577 2.178 1.699 2.613 2.382 0.6261 1.927 11.36 4.702
[2,] 2.370 2.360 2.632 2.197 3.239 2.723 0.7376 2.378 15.59 6.622
[3,] 2.646 2.801 3.051 2.742 3.879 2.987 0.8423 2.699 17.47 7.899
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.183 3.155 9.249 5.565 5.986 1.643 2.225 5.812 5.899
[2,] 255.391 133.324 397.408 321.845 310.537 74.709 83.034 243.759 325.356
[3,] 190.539 125.668 354.343 342.879 288.604 64.338 78.433 222.213 299.782
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.834 2.923 4.068 3.451 4.403 4.375 4.49 5.686
[2,] 385.487 180.196 266.291 171.764 242.642 238.276 192.35 327.669
[3,] 269.384 150.977 221.733 200.104 239.913 262.727 183.20 276.499
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.352 13.06 5.884 9.392 4.504 10.19 6.131 2.012 5.337
[2,] 296.935 498.95 365.954 444.257 156.529 992.48 372.005 82.635 383.146
[3,] 292.708 485.87 322.150 409.221 167.408 773.35 365.065 79.918 437.249
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.481 4.611 5.188 2.096 5.522 5.454 2.711 6.521
[2,] 356.932 207.971 363.001 82.176 344.094 246.755 105.358 296.029
[3,] 451.123 181.523 348.057 81.634 327.593 250.562 108.331 311.844
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.652 5.392 5.664 4.346 4.279 1.636 4.073 1.444 4.513
[2,] 314.668 392.714 223.384 272.864 191.541 64.990 178.618 67.105 206.392
[3,] 273.765 297.346 230.892 206.805 186.926 58.249 177.737 58.432 221.179
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.649 3.451 2.354 3.901 4.655 5.037 2.918 4.809
[2,] 280.500 131.659 105.155 255.251 185.873 248.822 137.515 376.318
[3,] 202.577 131.074 86.328 232.620 175.968 176.120 111.341 328.517
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.748 2.258 4.473 3.795 3.713 2.604 5.306 1.558
[2,] 193.857 100.623 281.987 266.027 269.361 269.262 179.698 58.955
[3,] 182.088 91.604 291.616 279.767 256.715 268.344 152.386 55.781
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.477 1.898 3.873 4.057 4.407 5.416 2.243 5.062
[2,] 229.875 73.447 154.752 160.623 307.579 393.650 101.797 303.476
[3,] 286.210 80.147 173.518 129.017 239.506 289.898 102.610 263.780
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.893 4.373 1.832 5.35 4.951 5.814 5.789 5.696 6.434
[2,] 157.821 302.217 83.461 250.22 279.725 224.829 292.911 246.722 285.797
[3,] 131.191 312.427 85.530 239.40 212.402 243.795 284.852 226.447 256.105
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.985 1.381 4.797 3.796 4.616 2.376 2.718 2.131 3.695
[2,] 340.839 54.706 245.124 135.439 289.684 111.424 112.493 92.842 230.407
[3,] 311.723 55.254 312.560 143.431 327.556 90.344 132.978 80.386 203.549
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 3.784 8.711 7.257 2.415 2.003 2.766 2.157 3.318
[2,] 163.745 323.226 349.300 120.142 149.204 125.568 118.317 162.664
[3,] 142.211 329.044 285.880 100.030 128.127 131.050 139.392 181.277
[,94] [,95] [,96] [,97] [,98]
[1,] 3.025 0.7951 2.447 14.43 5.971
[2,] 112.091 33.1362 118.401 907.13 396.096
[3,] 104.226 34.5516 108.562 669.23 365.853
[1] "--- VAR model 2017-10-02 08:01:00 completed"
[1] "Completed training sample: 2017-10-02 08:01:00 - 2017-10-02 16:00:00"
[1] "SpVAR; training sample: 2017-10-02 08:31:00 - 2017-10-02 16:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-10.89 -18.978 -36.165 -5.089
-13.22 5.189 30.683 -19.364
-12.53 -12.193 6.133 13.106
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.82 -7.871 3.116 13.606
-18.67 4.363 4.497 -10.510
-50.37 1.696 -1.168 6.706
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.922 -18.810 0.46 -39.936
-15.329 5.877 -12.43 -6.241
6.618 -22.377 -10.85 -32.038
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
26.509 -11.877 -14.392 33.26
5.581 -11.175 -11.371 24.52
5.870 -4.466 -7.008 32.03
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-34.17 -1.51 -6.326 12.742
-24.95 -45.89 5.651 1.672
-25.92 -22.06 19.651 -22.505
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-37.54 6.732 42.98 -3.350
44.31 1.689 -53.48 4.829
19.86 5.451 40.38 -7.343
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.9416 -25.78 -12.678 -9.392
-0.3487 23.48 4.142 -25.003
7.1748 -21.67 -21.289 -7.566
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
9.198 3.4010 -11.734 -13.30
-26.992 -0.3455 -12.442 -14.60
18.904 -3.2571 9.384 -21.95
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.3277 -18.466 -7.872 -7.546
0.1068 -12.555 -2.845 -10.596
-5.0663 -8.775 -25.574 -29.137
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
10.88 5.356 6.813 -9.7378
-16.44 -20.538 21.102 0.3753
13.42 -5.324 26.725 -0.7277
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-15.32 5.779 7.8329 -20.20
-21.29 -2.565 -0.3882 -10.99
-11.51 -2.622 4.2112 -11.12
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
15.381 5.073 -10.3282 -4.448
14.261 4.196 -5.8196 0.183
-5.656 1.983 0.2168 3.989
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
22.217 -3.2698 1.426 -7.334
-2.341 0.7521 -20.525 8.960
9.847 6.8763 -24.546 22.980
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.6725 6.203 -29.249 -21.862
-1.2798 -24.000 -6.801 5.085
-0.2291 -16.039 -29.381 -31.521
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.774 1.1868 5.4443 7.595
-38.563 -2.6676 1.2976 -3.704
2.616 -0.9443 0.6198 -29.470
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-10.066 4.924 -13.30 -9.139
-10.280 -10.801 -12.21 -7.410
-7.577 -14.418 -10.79 -4.834
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.189 10.206 -9.763 -2.236
-15.035 2.434 -17.954 -3.895
-4.391 7.907 -15.430 4.170
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-40.487 3.967 -7.737 3.501
-9.782 1.756 -17.089 -7.514
-30.460 1.876 -19.640 -21.300
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
12.368 -8.393 22.90 19.312
-6.243 -12.906 19.05 -3.612
-10.219 -19.006 32.76 3.452
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-9.245 0.3217 -1.635 -2.599
11.023 0.9676 -0.277 1.391
-3.963 -3.1285 2.795 10.284
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.007 1.710 -3.937 -4.907
-12.406 2.899 6.747 1.272
18.251 4.801 -2.713 3.667
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.365 0.533 9.162 -18.152
4.555 7.291 2.928 -4.231
-22.204 -14.293 25.106 -2.552
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.616 -4.486 5.383 4.948
1.012 12.692 2.302 3.616
9.421 7.729 13.925 15.085
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.138 12.498 -12.184 3.4179
2.090 1.346 -9.736 -0.9468
-17.520 3.503 -10.634 -0.1979
rnd_95776.volume rnd_95787.volume
-39.928 -9.337
-18.577 7.248
4.363 -9.215
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.498 2.374 6.855 3.948 4.652 1.469 1.752 4.790 4.806 3.776 2.496
[2,] 4.565 2.899 8.354 5.362 6.113 1.811 1.964 5.611 6.133 6.102 3.236
[3,] 5.051 3.395 9.291 6.723 7.088 2.020 2.131 6.251 6.972 6.890 3.678
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.129 2.959 3.365 3.372 3.482 4.105 4.134 10.37 4.565 8.322 3.671
[2,] 4.470 3.695 4.355 4.368 4.132 5.439 5.358 11.87 6.204 9.994 4.227
[3,] 5.238 4.366 5.202 5.369 4.652 6.179 6.422 13.05 7.257 11.289 4.718
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.659 4.942 1.611 3.880 3.890 3.586 3.695 1.640 4.142 4.296 2.249
[2,] 14.165 6.456 1.903 5.984 5.871 4.277 5.477 1.938 5.761 5.189 2.590
[3,] 16.834 7.693 2.103 7.817 7.835 4.778 6.770 2.155 6.968 5.924 2.857
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.675 4.259 4.434 4.747 3.411 3.467 1.304 3.105 1.173 3.513 2.854
[2,] 5.903 5.668 6.225 5.510 4.568 4.238 1.524 3.732 1.405 4.388 4.262
[3,] 6.914 6.611 7.045 6.152 5.237 4.795 1.679 4.307 1.555 5.020 4.884
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.614 1.827 2.935 3.548 4.039 2.223 3.677 3.751 1.741 3.412 2.952
[2,] 3.102 2.224 4.257 4.226 4.848 2.750 5.741 4.459 2.012 4.895 4.278
[3,] 3.547 2.447 5.116 4.744 5.385 3.071 6.890 5.055 2.281 6.155 5.356
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.731 2.140 4.064 1.202 2.807 1.505 2.936 3.323 3.508 4.393 1.937
[2,] 4.166 3.856 4.559 1.393 3.957 1.730 3.426 3.710 5.012 6.404 2.249
[3,] 5.214 4.979 4.970 1.528 5.169 1.977 4.132 3.997 5.748 7.119 2.609
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.157 3.111 3.864 1.518 4.211 4.127 4.849 4.801 4.628 4.917 3.736
[2,] 5.538 3.568 5.541 1.858 5.250 5.175 5.602 5.892 5.498 6.107 5.324
[3,] 6.346 3.901 6.726 2.095 5.922 5.786 6.265 6.625 6.178 6.722 6.415
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.105 3.738 2.887 3.576 1.950 2.004 1.677 3.026 2.902 6.635 5.665
[2,] 1.285 4.603 3.331 4.800 2.341 2.443 2.007 3.962 3.472 7.705 6.862
[3,] 1.446 5.934 3.702 6.145 2.606 2.925 2.233 4.589 3.888 8.537 7.537
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.848 1.568 1.959 1.911 2.680 2.415 0.6342 1.921 11.02 4.877
[2,] 2.305 2.425 2.604 2.443 3.291 2.803 0.7563 2.356 14.83 6.565
[3,] 2.642 2.898 3.020 2.940 3.957 3.041 0.8712 2.668 17.01 7.813
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.442 3.015 8.705 5.013 5.907 1.866 2.225 6.082 6.102
[2,] 270.662 153.564 440.674 334.903 366.007 97.642 81.794 269.720 351.687
[3,] 199.503 163.037 375.223 374.175 331.107 82.669 76.494 254.437 305.961
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.795 3.169 3.973 3.757 4.273 4.282 4.421 5.212
[2,] 442.278 190.149 294.673 204.184 255.074 256.200 205.339 329.291
[3,] 295.369 161.218 251.858 214.762 262.630 288.209 197.251 270.648
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.249 13.17 5.797 10.57 4.662 11.0 6.276 2.046 4.927
[2,] 314.669 531.79 387.647 510.76 193.465 1034.5 383.276 93.463 420.391
[3,] 326.587 501.99 347.525 484.56 193.336 839.3 386.228 82.764 464.183
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.94 4.553 4.692 2.082 5.26 5.456 2.856 5.937 5.408
[2,] 405.76 215.114 373.057 95.325 369.57 268.544 118.527 332.653 345.114
[3,] 478.80 196.671 367.179 86.983 361.73 263.711 111.339 332.165 314.124
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.63 6.028 4.331 4.403 1.656 3.943 1.489 4.461 3.624
[2,] 403.22 258.125 280.450 224.885 72.760 191.038 71.424 242.670 292.108
[3,] 304.41 252.585 236.345 207.051 65.037 198.477 61.545 225.021 220.154
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.319 2.32 3.727 4.505 5.129 2.822 4.669 4.764 2.211
[2,] 154.242 117.03 284.578 211.859 247.421 149.386 406.927 222.509 93.016
[3,] 158.806 94.16 261.903 199.082 216.504 126.293 351.450 219.737 99.252
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.333 3.749 3.468 2.717 5.161 1.527 3.565 1.911 3.728
[2,] 323.914 285.629 290.365 295.995 190.758 64.890 257.389 78.728 163.012
[3,] 344.385 297.398 289.355 290.737 182.505 57.917 306.906 88.240 213.133
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.219 4.454 5.578 2.46 5.279 3.951 4.906 1.928 5.348
[2,] 152.370 330.406 430.096 105.38 337.641 161.304 366.506 98.893 289.266
[3,] 137.136 259.734 287.000 122.07 286.042 145.533 351.814 89.325 253.009
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.241 6.158 6.097 5.877 6.243 4.744 1.403 4.746
[2,] 288.086 258.919 315.139 273.831 334.252 350.054 60.563 247.983
[3,] 238.852 258.923 279.700 260.167 259.342 330.292 61.280 345.522
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.666 4.541 2.476 2.545 2.129 3.842 3.685 8.426
[2,] 153.300 295.439 119.574 128.951 101.833 236.122 175.877 361.419
[3,] 149.171 354.052 105.682 148.438 90.313 213.664 161.541 339.392
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 7.194 2.347 1.992 2.487 2.426 3.403 3.066 0.8053
[2,] 357.433 127.081 170.729 158.366 140.502 176.228 131.407 38.0316
[3,] 287.757 119.142 146.319 141.136 150.983 202.801 108.814 39.8998
[,96] [,97] [,98]
[1,] 2.439 14.0 6.192
[2,] 125.916 916.3 405.671
[3,] 115.506 767.7 390.956
[1] "--- VAR model 2017-10-02 08:31:00 completed"
[1] "Completed training sample: 2017-10-02 08:31:00 - 2017-10-02 16:30:00"
[1] "SpVAR; training sample: 2017-10-02 09:01:00 - 2017-10-02 17:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.684 6.11751 17.485 -3.600
4.133 -0.01692 -36.662 5.463
-2.065 -6.14608 -6.042 -23.841
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-28.434 7.8752 5.472 10.7533
-15.652 0.2506 4.363 0.7179
-5.549 2.3712 6.288 7.7210
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.7886 -18.696 7.999 -22.81
-8.2138 1.246 -6.561 -21.60
0.9178 -3.742 1.181 -31.43
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.988 -12.92 -16.263 31.68
-6.957 -15.26 -16.823 34.29
-2.729 -11.58 -5.969 23.68
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-25.435 2.939 -12.917 2.949
-25.535 -13.719 -1.083 4.090
-6.677 -23.533 -27.494 -10.722
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-14.138 7.195 -55.852 -8.056
-18.389 -2.318 3.445 -4.388
6.653 1.885 -55.108 -21.042
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.194 13.39 13.549 -5.1268
-5.125 -19.71 -8.797 0.6645
-5.072 2.68 -6.244 4.8014
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.4826 -4.1269 -8.240 12.4344
6.6693 -3.1521 20.878 0.2981
-21.9312 -0.9461 -2.286 11.8106
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1724 5.761393 -21.838 -33.336
-2.0460 11.586670 -5.144 -25.311
-1.3746 0.003156 -2.489 -1.293
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-18.825 -4.327 -13.089 -0.4612
-3.291 -8.838 2.635 -2.3787
-7.625 -9.114 -5.272 -0.3387
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.7249 -3.413 -14.454 -11.218
2.7560 -3.688 -1.138 -27.846
-0.2614 -1.703 -1.997 -6.946
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7423 4.766 -5.651 4.589
2.0126 2.358 -12.050 6.018
2.6808 3.605 -17.026 10.928
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-11.26 -6.518 0.1562 19.39
20.19 -3.999 0.9524 19.51
13.93 3.608 9.1359 11.97
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.5330 12.881 17.4660 12.185
1.0813 7.109 -0.5837 7.926
-0.9945 10.209 2.3797 4.316
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.897 -12.000 0.7215 -8.718
17.781 1.724 2.6554 10.947
-2.062 -6.487 1.8390 18.704
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.477 0.09146 -9.355 -5.595
-4.132 3.93047 0.234 -7.053
-5.278 5.63345 -3.088 1.695
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-20.2181 6.52819 -14.31 -8.673
-9.2935 1.64325 -10.63 -1.797
-0.8791 0.02092 -16.45 -5.120
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.624 0.3375 -9.621 7.655
-14.983 1.0644 -2.920 4.627
-2.254 -2.5745 2.595 1.581
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.040 5.248 2.6205 1.056
17.536 3.130 0.5377 -13.094
1.476 -9.192 7.4641 -2.846
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.832 0.07829 4.4947 0.8082
1.120 -0.69504 0.4728 -0.5030
-14.610 0.62120 -2.7463 3.2754
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-10.134 3.705 -0.8957 -6.230
-3.184 3.262 1.6681 -5.354
2.712 -3.878 7.0922 -6.448
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.335 5.218 19.049 -15.10
-11.789 3.567 -9.073 -17.47
-7.191 -4.347 1.077 -17.72
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.8974 1.087 -3.680 -3.325
4.5987 -1.600 -1.390 -3.527
-0.6721 -2.664 -1.513 -4.128
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.141 6.5540 -10.10 3.978
-1.386 0.2468 -10.59 7.327
3.039 -0.6735 -11.44 10.684
rnd_95776.volume rnd_95787.volume
0.7573 -4.21
0.5447 -1.94
3.3302 -24.84
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.550 2.615 7.285 3.902 4.224 1.593 1.627 4.658 4.838 3.746 2.425
[2,] 4.593 2.986 8.610 5.465 5.750 1.953 1.899 5.571 6.209 5.972 3.242
[3,] 5.114 3.408 9.386 6.945 6.826 2.205 2.075 6.254 7.068 6.660 3.687
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.075 2.407 3.026 3.175 3.414 4.148 3.763 8.609 4.636 8.327 3.438
[2,] 4.353 2.872 4.075 4.086 4.118 5.349 5.205 10.127 6.171 10.020 4.172
[3,] 5.121 3.302 4.878 5.039 4.634 6.111 6.224 11.166 7.184 11.165 4.678
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.391 4.843 1.679 4.165 4.097 3.603 3.785 1.638 4.329 4.010 2.294
[2,] 14.020 6.284 1.970 5.983 6.140 4.164 5.597 1.935 5.787 4.953 2.629
[3,] 16.843 7.833 2.157 7.706 7.876 4.546 7.025 2.152 7.086 5.642 2.882
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.469 3.980 4.423 4.700 3.554 3.552 1.281 3.443 1.163 3.416 2.844
[2,] 5.656 5.443 6.051 5.453 4.675 4.268 1.480 3.973 1.387 4.459 4.187
[3,] 6.868 6.508 6.891 6.049 5.390 4.905 1.623 4.434 1.517 4.941 4.884
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.616 1.802 3.016 3.642 4.060 2.303 3.730 3.958 1.686 3.465 3.068
[2,] 3.107 2.185 4.267 4.300 4.887 2.739 5.777 4.660 2.034 5.069 4.429
[3,] 3.565 2.376 5.122 4.766 5.349 3.044 7.020 5.213 2.285 6.112 5.416
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.882 2.210 4.063 1.118 2.850 1.510 3.001 3.241 3.426 4.429 1.944
[2,] 4.360 4.048 4.491 1.354 4.189 1.741 3.571 3.665 4.872 6.422 2.339
[3,] 5.429 5.212 4.875 1.511 5.343 2.005 4.231 3.910 5.645 7.212 2.745
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.325 3.151 4.137 1.594 4.313 4.318 4.959 4.789 4.486 4.597 3.394
[2,] 5.808 3.603 5.583 1.924 5.359 5.360 5.775 5.893 5.431 5.688 4.887
[3,] 6.481 3.942 6.680 2.159 6.009 6.095 6.455 6.568 6.238 6.414 5.888
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.114 3.460 2.874 3.592 1.887 1.955 1.716 3.192 3.103 6.528 5.398
[2,] 1.310 4.418 3.320 4.927 2.327 2.437 2.054 4.043 3.573 7.531 6.601
[3,] 1.510 5.733 3.685 6.148 2.574 2.893 2.288 4.709 4.002 8.444 7.299
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.746 1.574 2.024 2.050 2.764 2.441 0.6673 1.887 10.80 4.745
[2,] 2.291 2.515 2.675 2.600 3.343 2.776 0.7879 2.353 14.86 6.332
[3,] 2.658 2.901 3.072 2.972 3.928 3.033 0.9177 2.727 16.91 7.844
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.507 3.321 9.251 4.955 5.364 2.023 2.066 5.915
[2,] 366.959 181.576 577.734 481.850 491.363 142.148 123.309 384.925
[3,] 283.214 206.787 470.887 539.616 463.197 128.969 105.189 357.757
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.143 4.757 3.08 3.905 3.057 3.842 4.031 4.335
[2,] 490.109 585.637 270.96 387.847 197.294 343.725 323.888 290.008
[3,] 425.253 371.188 221.09 339.823 205.051 337.526 371.381 267.728
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.268 4.779 10.93 5.887 10.57 4.366 10.66 6.15 2.132
[2,] 425.212 452.751 671.55 512.971 701.80 297.672 1414.21 504.31 129.727
[3,] 372.054 429.743 592.21 462.973 620.14 266.327 1175.35 588.73 110.513
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.29 5.203 4.575 4.807 2.08 5.497 5.092 2.913 5.675
[2,] 540.85 575.807 262.921 519.219 129.61 483.651 366.016 161.563 436.409
[3,] 611.57 621.201 229.670 534.475 118.73 514.916 340.232 148.831 490.606
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.053 5.617 5.969 4.513 4.51 1.626 4.373 1.476 4.338
[2,] 467.505 519.965 348.161 382.375 298.01 93.364 249.618 95.169 360.805
[3,] 449.335 415.286 329.781 337.941 304.39 83.986 247.741 77.607 268.093
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.612 3.322 2.289 3.83 4.625 5.155 2.925 4.737
[2,] 386.890 211.205 155.604 380.00 287.699 342.578 186.597 555.458
[3,] 316.622 220.026 117.649 356.87 258.883 273.932 167.363 502.139
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 5.025 2.141 4.399 3.896 3.66 2.807 5.159 1.42 3.619
[2,] 309.792 143.240 465.876 402.314 412.03 427.032 240.931 96.18 386.525
[3,] 294.174 131.111 430.041 392.359 407.32 413.323 238.814 84.56 417.608
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.918 3.811 4.115 4.35 5.624 2.469 5.492 4.001
[2,] 109.048 243.736 215.558 436.11 585.513 163.706 488.195 220.226
[3,] 125.239 285.703 171.479 359.19 413.363 180.973 362.085 201.363
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 5.253 2.024 5.477 5.484 6.297 6.081 5.697 5.837
[2,] 472.104 135.731 400.452 399.910 372.681 432.330 385.566 421.780
[3,] 461.788 123.244 342.321 365.214 363.208 365.247 386.438 373.358
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.31 1.414 4.393 3.65 4.562 2.397 2.482 2.179 4.053
[2,] 442.80 86.725 345.961 209.34 424.543 171.437 183.338 142.295 312.557
[3,] 413.48 94.736 460.018 201.33 463.193 138.594 196.314 126.765 303.872
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.94 8.29 6.855 2.217 1.999 2.571 2.604 3.509 3.099
[2,] 223.22 472.86 478.518 186.924 247.049 220.187 201.365 236.780 166.495
[3,] 226.81 480.82 392.115 169.678 182.048 190.186 181.148 259.874 153.926
[,95] [,96] [,97] [,98]
[1,] 0.8473 2.397 13.71 6.025
[2,] 52.7616 177.050 1285.23 527.901
[3,] 59.2502 173.542 1016.91 583.037
[1] "--- VAR model 2017-10-02 09:01:00 completed"
[1] "Completed training sample: 2017-10-02 09:01:00 - 2017-10-02 17:00:00"
[1] "SpVAR; training sample: 2017-10-02 09:31:00 - 2017-10-02 17:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.239 -2.00 -16.937 -34.08
-15.255 -1.31 1.369 -22.76
-11.611 -11.15 -3.239 -43.86
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-51.47 3.922 -9.667 4.382
-28.17 6.168 -2.038 13.511
-25.44 4.068 -1.790 -4.612
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.908 6.475 13.3735 -17.52
10.189 4.135 0.5901 -21.55
11.495 10.864 0.7860 -11.46
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5732 -8.601 -12.230 16.22
-9.9400 -7.901 -9.052 30.51
6.1650 -12.071 -12.190 27.59
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
12.062 6.106 37.86 49.17
-7.528 14.489 11.15 15.12
-1.656 -18.340 32.45 20.32
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.126 -1.548 -34.575 -21.342
-7.472 3.719 -43.804 -10.252
6.768 -12.925 5.924 -1.741
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.3266 -7.081 -20.53 6.109
-0.3805 -26.227 -32.43 -1.934
0.8302 2.603 -19.91 -1.602
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-35.84 -0.2626 -25.13 -18.74
-23.73 -4.4243 -26.35 -21.04
-47.38 0.9588 -33.87 -15.06
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.6040 -19.28 -35.37 -15.408
0.5045 -32.64 -19.49 -10.266
-4.4332 -24.89 -16.24 -7.954
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-18.19 0.7874 -18.45 -3.443
-20.98 17.6496 -16.31 4.880
-12.47 -9.7493 -10.10 -1.092
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.8612 -4.073 14.287 -12.122
-0.2863 1.890 -7.137 -2.253
-3.8533 0.552 -2.098 -17.290
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.686 3.702 -11.990 15.873
9.977 1.981 -2.619 11.408
8.630 4.785 -8.541 -1.267
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
27.809 14.879 -3.275 8.008
5.897 7.435 16.169 4.749
5.021 6.471 1.522 4.410
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.952 0.03498 3.275 3.377
4.706 8.57798 12.599 3.202
3.015 4.86077 -4.750 10.592
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.2635 -12.556 0.9895 17.672
-0.6292 -10.509 -3.1394 -2.872
18.6202 -5.464 3.3794 -2.710
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.455 8.941 -2.288 -12.255
-10.116 6.980 -4.431 9.070
-5.588 -3.568 6.595 -9.473
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-13.86 -2.944 -38.219 -11.320
10.09 4.046 -20.850 -11.443
-10.21 6.003 -6.031 -2.008
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.620 11.955 -26.23 1.469
-36.801 3.453 -10.61 -4.985
-3.626 2.094 -11.97 3.561
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
38.69 25.616 31.34 16.103
10.28 -7.334 16.11 2.329
18.81 1.059 34.11 0.238
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.681 4.0598 -11.127 -6.754
9.390 -0.6001 19.602 -3.033
-9.042 1.9085 5.238 -6.646
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.158 11.5182 -3.436 -5.3083
6.249 -0.4355 -3.031 0.6149
12.693 4.4766 10.920 -3.6418
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.4385 -5.349 -4.950 -23.404
5.0510 3.150 13.597 5.228
0.4882 1.385 -8.283 -15.815
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.9376 -4.496 -0.2389 11.405
0.2989 14.160 3.2795 -2.383
3.5226 -7.879 -4.1602 -2.806
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
19.564 1.8329 -7.259 8.480
3.846 5.4513 -10.937 5.762
1.022 -0.1471 -10.044 6.421
rnd_95776.volume rnd_95787.volume
55.83 -24.366
11.11 -5.819
51.66 -3.743
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.588 2.730 7.472 4.165 4.657 1.634 1.608 5.063 5.122 3.792 2.642
[2,] 4.462 3.090 8.346 5.707 6.271 2.078 1.933 5.787 6.302 6.053 3.439
[3,] 4.947 3.436 9.228 7.015 7.246 2.306 2.103 6.455 7.228 6.678 3.973
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.975 2.763 3.118 3.290 3.359 4.262 3.756 8.622 4.422 8.496 3.713
[2,] 4.470 3.279 4.115 4.284 4.094 5.368 5.119 10.035 5.788 10.127 4.405
[3,] 5.191 3.700 4.931 5.122 4.600 6.076 6.199 11.131 6.854 11.431 4.877
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.073 4.973 1.779 4.253 4.211 3.414 3.976 1.660 4.713 3.922 2.273
[2,] 14.708 6.436 2.091 5.808 6.096 3.988 5.505 1.958 6.009 4.818 2.583
[3,] 16.921 7.964 2.310 7.916 7.977 4.400 6.795 2.201 7.056 5.761 2.824
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.479 4.357 4.590 4.674 3.686 3.629 1.232 3.493 1.185 3.281 2.585
[2,] 5.567 5.747 6.334 5.400 4.707 4.267 1.431 4.103 1.393 4.338 4.052
[3,] 6.803 6.666 7.118 6.006 5.491 4.968 1.587 4.510 1.514 4.893 4.712
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.628 1.805 3.083 3.665 4.091 2.349 3.838 4.147 1.825 3.793 3.292
[2,] 3.041 2.120 4.336 4.280 4.944 2.773 5.906 4.727 2.166 5.257 4.495
[3,] 3.531 2.314 5.114 4.764 5.422 3.050 7.128 5.253 2.403 6.411 5.512
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.898 2.281 3.976 1.172 2.877 1.522 3.034 3.292 3.560 4.469 1.870
[2,] 4.526 4.181 4.456 1.433 4.398 1.792 3.622 3.643 4.991 6.455 2.260
[3,] 5.403 5.247 4.862 1.590 5.685 2.056 4.377 3.899 5.836 7.229 2.627
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.284 3.142 4.355 1.630 4.395 4.488 4.785 4.573 4.483 4.488 3.389
[2,] 5.835 3.549 5.860 2.004 5.380 5.495 5.741 5.615 5.459 5.701 4.974
[3,] 6.613 3.874 6.976 2.264 5.962 6.320 6.365 6.439 6.332 6.333 5.973
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.172 3.442 2.878 3.782 1.865 2.061 1.717 3.106 3.353 6.518 5.398
[2,] 1.375 4.470 3.364 4.972 2.259 2.555 2.063 4.126 3.881 7.491 6.586
[3,] 1.572 5.620 3.728 6.165 2.516 2.982 2.329 4.753 4.283 8.341 7.388
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.778 1.604 2.267 2.348 2.665 2.564 0.7089 1.878 10.57 4.845
[2,] 2.424 2.574 2.836 2.861 3.332 2.840 0.8335 2.370 14.74 6.462
[3,] 2.838 2.930 3.204 3.210 3.972 3.107 0.9924 2.780 16.95 8.036
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.556 3.466 9.488 5.289 5.913 2.075 2.042 6.43
[2,] 371.075 202.421 520.267 545.755 587.617 179.566 150.074 391.98
[3,] 298.778 210.421 550.982 570.830 507.718 139.740 115.987 400.00
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.505 4.815 3.354 3.778 3.508 3.96 4.177 4.265
[2,] 513.524 660.096 307.967 466.757 247.157 375.74 383.868 327.526
[3,] 495.117 394.441 278.357 369.141 239.814 379.95 392.763 293.378
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.413 4.769 10.95 5.616 10.79 4.714 10.25 6.315 2.259
[2,] 456.608 486.522 718.23 522.475 771.08 331.611 1719.91 571.505 153.689
[3,] 398.226 489.282 673.80 513.551 741.61 292.926 1170.37 656.204 137.454
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.4 5.347 4.335 5.049 2.108 5.985 4.981 2.886 5.687
[2,] 553.3 616.609 288.452 532.653 145.183 521.325 391.457 171.690 462.511
[3,] 752.5 719.830 259.985 557.343 140.689 517.482 441.925 159.835 547.134
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.532 5.829 5.936 4.681 4.609 1.565 4.436 1.504
[2,] 524.313 610.582 378.277 409.506 313.893 101.714 300.938 102.561
[3,] 472.655 454.472 367.804 395.424 356.000 96.234 262.173 83.071
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.166 3.282 3.337 2.292 3.915 4.653 5.195 2.983
[2,] 396.977 436.558 214.098 155.445 426.499 309.491 388.328 206.195
[3,] 316.772 336.392 251.042 129.956 379.409 292.579 311.455 177.773
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.874 5.265 2.317 4.817 4.181 3.68 2.896 5.049
[2,] 627.934 317.632 163.348 509.213 428.068 486.32 490.196 281.485
[3,] 558.333 320.531 145.644 513.209 446.278 412.93 443.490 272.088
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.488 3.653 1.933 3.853 4.181 4.521 5.675 2.375
[2,] 115.455 465.434 132.357 276.792 218.214 489.268 651.594 177.582
[3,] 96.379 503.780 141.051 343.757 194.287 423.289 455.123 187.201
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 5.441 3.99 5.53 2.07 5.581 5.7 6.076 5.807 5.693
[2,] 554.170 231.03 548.42 163.04 434.229 443.6 443.928 455.823 435.644
[3,] 435.411 217.20 529.66 147.35 359.399 436.5 384.332 441.011 448.797
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.699 4.303 1.488 4.37 3.655 4.802 2.369 2.618
[2,] 491.887 509.302 100.689 398.95 243.710 451.594 178.160 211.293
[3,] 385.635 462.834 106.658 476.59 224.730 509.854 155.081 214.910
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.181 3.945 4.258 8.277 6.855 2.257 2.037 2.878
[2,] 159.806 379.916 273.346 516.517 527.678 230.623 281.692 238.428
[3,] 151.203 330.184 253.552 513.074 468.431 206.381 195.862 208.645
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.982 3.384 3.256 0.9002 2.385 13.42 6.153
[2,] 228.563 279.705 170.719 61.3179 202.259 1436.98 598.228
[3,] 203.652 302.457 176.474 75.3747 203.410 1170.72 668.273
[1] "--- VAR model 2017-10-02 09:31:00 completed"
[1] "Completed training sample: 2017-10-02 09:31:00 - 2017-10-02 17:30:00"
[1] "SpVAR; training sample: 2017-10-02 10:01:00 - 2017-10-02 18:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
15.351 -8.726 -5.185 8.894
4.094 -3.534 -19.808 -9.020
14.032 -13.932 7.449 -10.854
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-39.52 0.2383 0.7426 15.14
3.85 3.6877 4.1547 3.33
-36.90 2.0325 -1.2162 19.22
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
17.552 1.664 7.403 -14.16
3.398 7.275 13.855 -12.74
5.557 -6.874 4.097 -18.02
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-12.671 6.3557 -14.170 34.70
3.724 -9.2220 -1.002 23.33
-7.461 0.3096 -3.970 29.33
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.69 3.268 32.177 10.3832
11.86 -3.586 -13.578 0.4865
-12.14 9.424 6.757 -4.1613
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.268 -3.215 -24.27 -13.665
-15.457 3.357 14.98 -15.795
15.821 3.542 -60.57 -6.252
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.531 -15.412 -32.2913 2.1172
1.400 -7.967 -0.0157 -6.5671
-1.514 6.707 -6.0258 0.7461
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.741 -2.554037 4.926 6.9949
-6.803 1.586767 -21.556 -0.3979
-12.356 -0.008213 11.953 -11.6706
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.7305 12.469 -25.423 -37.59
2.5955 -7.308 -3.151 -11.35
-9.1309 -3.515 -23.650 -22.96
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-19.037 -13.66 13.035 4.768
-2.414 -10.34 -2.888 -6.297
-18.341 -13.69 10.644 2.355
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-27.128 -4.7997 3.991 -22.45
-17.474 -3.0112 -20.448 -10.18
-7.531 -0.1765 1.873 -26.38
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-8.1883 -0.2334 -13.43 7.438
8.1751 -1.2164 -10.61 16.879
-0.4769 3.3238 -10.05 -6.962
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.0073 -2.604 26.51808 14.22
15.1035 2.883 -0.01925 6.24
0.7287 2.621 -1.03210 10.95
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
14.996 -16.63 -0.1955 17.139
-2.090 12.61 9.4690 -10.881
6.117 -14.18 5.4398 5.857
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.034 2.406 4.085 2.727
2.682 2.465 1.112 4.726
6.579 -8.451 -3.089 8.178
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.190 3.9141 7.302 1.239
-4.203 -0.8778 2.009 5.043
-4.946 13.2604 10.362 7.854
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
11.9376 6.003 16.947 2.084
-0.1227 -6.898 1.092 1.536
5.1040 -3.369 -1.118 1.548
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.694 -2.246 -9.9584 35.944
5.739 -1.653 -0.8377 7.335
-6.904 3.341 1.1939 27.231
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7105 -12.670 10.39 13.020
-0.1340 -3.505 31.54 1.860
1.5764 -11.727 20.99 6.424
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.020 -3.598 -5.047 -5.10877
-1.508 1.231 1.896 -2.29890
2.187 -3.988 5.720 -0.09314
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.837 2.053 -13.00 3.404
-6.891 -1.465 6.40 -6.044
7.278 1.315 -7.71 -4.076
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.71 0.5764 -10.741 9.544
-13.06 1.4807 -21.994 -24.020
-10.78 -11.2923 -3.031 1.672
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
12.637 14.3699 11.357 6.521
5.020 0.7561 18.906 16.224
9.901 18.0414 9.115 7.988
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1402 0.7882 -11.059 2.494
-3.9818 2.9194 -9.943 5.911
1.0226 -0.3339 -9.998 5.093
rnd_95776.volume rnd_95787.volume
2.3637 -16.946
13.7141 -15.623
-0.1153 -3.001
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.639 2.762 7.777 4.372 5.185 1.798 1.600 4.929 5.014 3.704 2.796
[2,] 4.493 3.159 8.827 5.834 7.054 2.222 1.936 5.805 6.392 5.920 3.597
[3,] 4.946 3.503 9.840 7.274 8.002 2.464 2.129 6.352 7.279 6.569 4.121
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.997 3.045 3.240 3.396 3.252 4.243 4.070 8.091 4.997 9.136 3.694
[2,] 4.288 3.482 4.248 4.394 4.048 5.237 5.218 9.575 6.247 10.913 4.414
[3,] 5.058 4.048 4.996 5.169 4.523 6.014 6.170 10.740 7.197 12.293 4.842
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.873 5.008 1.790 4.263 4.339 3.313 4.112 1.685 4.858 4.129 2.274
[2,] 14.833 6.522 2.113 6.013 6.347 3.891 5.446 1.980 6.118 4.928 2.642
[3,] 16.973 7.855 2.355 7.712 8.055 4.346 6.876 2.196 7.135 5.859 2.852
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.701 4.616 4.759 4.583 3.675 3.830 1.230 3.552 1.159 3.320 2.602
[2,] 5.773 6.045 6.544 5.293 4.673 4.482 1.453 4.279 1.370 4.283 4.028
[3,] 6.791 6.895 7.357 5.982 5.438 5.159 1.605 4.860 1.501 4.795 4.659
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.529 1.778 3.046 3.838 4.241 2.454 3.858 4.298 1.866 4.084 3.453
[2,] 2.956 2.098 4.297 4.387 4.997 2.848 6.109 4.881 2.222 5.553 4.574
[3,] 3.478 2.287 5.123 4.916 5.520 3.110 7.391 5.465 2.477 6.767 5.707
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.010 2.392 3.737 1.168 3.098 1.502 2.985 3.223 3.516 4.710 2.018
[2,] 4.726 4.377 4.360 1.440 4.443 1.769 3.614 3.606 4.808 6.618 2.378
[3,] 5.654 5.425 4.809 1.602 5.892 2.036 4.402 3.895 5.678 7.313 2.728
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.266 3.178 4.593 1.640 4.394 4.996 4.885 4.662 4.742 4.338 3.448
[2,] 5.612 3.584 5.987 2.017 5.435 6.081 5.835 5.656 5.769 5.719 4.928
[3,] 6.387 3.852 6.892 2.264 6.041 6.840 6.540 6.394 6.745 6.256 6.011
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.217 3.417 2.913 3.919 1.984 2.144 1.789 3.372 3.631 6.474 5.437
[2,] 1.403 4.562 3.463 5.063 2.349 2.563 2.125 4.346 4.253 7.432 6.699
[3,] 1.610 5.586 3.867 6.284 2.632 2.995 2.363 4.963 4.627 8.267 7.451
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.786 1.611 2.408 2.478 2.874 2.484 0.7438 2.191 11.45 4.989
[2,] 2.518 2.681 3.003 2.991 3.502 2.799 0.9091 2.927 15.19 6.721
[3,] 2.964 3.132 3.486 3.467 4.110 3.024 1.0692 3.513 17.38 8.099
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.621 3.507 9.876 5.551 6.584 2.283 2.032 6.259
[2,] 450.099 261.941 713.333 659.897 817.005 223.033 186.332 523.908
[3,] 353.287 258.529 742.701 742.300 645.286 182.028 151.343 440.581
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.367 4.704 3.55 3.806 3.867 4.114 4.313 4.129
[2,] 677.072 788.908 386.73 523.825 288.550 469.465 476.183 411.690
[3,] 595.011 486.317 343.36 458.272 352.489 449.096 465.294 344.751
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.388 5.169 10.27 6.345 11.6 4.691 11.27 6.36 2.272
[2,] 524.442 557.627 874.66 640.666 1019.6 412.919 2030.39 713.55 191.997
[3,] 505.040 562.612 831.01 610.531 966.6 340.014 1409.51 747.87 177.569
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.414 5.51 4.207 5.222 2.139 6.169 5.243 2.888
[2,] 724.384 791.29 348.415 609.928 177.637 635.110 459.484 229.646
[3,] 824.848 847.19 330.966 716.989 162.220 627.236 541.305 183.810
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.969 5.861 6.043 5.82 4.667 4.864 1.562 4.511
[2,] 572.452 666.757 767.276 452.14 492.885 397.408 132.235 407.444
[3,] 610.900 566.816 574.158 476.08 475.324 436.557 116.284 393.765
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.471 4.216 3.304 3.212 2.257 3.868 4.874 5.385
[2,] 125.008 462.292 525.303 261.453 190.238 517.755 362.830 451.489
[3,] 104.573 368.041 399.928 313.000 155.642 476.495 379.119 400.600
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.116 4.9 5.458 2.369 5.186 4.385 3.822 3.038 4.746
[2,] 246.965 809.2 395.321 206.172 642.820 512.494 622.465 626.149 383.566
[3,] 213.181 710.5 419.988 187.070 660.503 583.069 529.947 547.478 346.539
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.483 3.934 1.907 3.79 4.093 4.464 5.98 2.563 5.417
[2,] 143.802 543.971 159.503 348.06 276.219 560.264 794.16 214.757 623.020
[3,] 120.245 661.060 172.378 429.24 251.460 515.940 531.54 228.406 520.698
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.035 5.832 2.082 5.579 6.344 6.204 5.92 6.021
[2,] 282.934 656.123 200.593 546.643 592.152 545.015 546.92 561.396
[3,] 241.429 583.257 175.809 450.431 534.962 504.586 509.59 596.930
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.508 4.378 1.545 4.339 3.699 4.977 2.52 2.723
[2,] 636.734 601.539 119.320 516.320 319.866 547.606 214.65 239.829
[3,] 433.202 587.859 134.877 550.746 294.247 635.838 203.11 264.829
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.271 4.282 4.611 8.221 6.904 2.267 2.046 3.058
[2,] 196.192 468.517 378.254 623.571 668.580 303.178 366.168 306.456
[3,] 176.373 409.394 311.403 618.720 557.230 267.374 276.384 302.249
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.147 3.649 3.154 0.9445 2.782 14.54 6.336
[2,] 286.257 341.903 220.421 89.2941 331.633 1705.45 769.218
[3,] 299.491 367.565 195.348 96.1636 331.779 1441.44 772.011
[1] "--- VAR model 2017-10-02 10:01:00 completed"
[1] "Completed training sample: 2017-10-02 10:01:00 - 2017-10-02 18:00:00"
[1] "SpVAR; training sample: 2017-10-02 10:31:00 - 2017-10-02 18:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
13.481 0.4763 -12.64 -12.616
7.996 -1.1131 -32.75 -21.851
7.906 0.9243 -17.02 -6.165
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-44.69 -1.3816 -3.6110 3.962
-41.50 -0.6514 0.1633 9.533
-20.26 1.9478 -3.2936 -4.343
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
11.562 9.017 4.038 6.068
-7.027 -9.962 -6.547 -6.157
8.200 12.011 -6.930 -5.094
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.045 5.160 -11.803 23.89
-9.486 2.575 1.805 17.54
-4.769 -10.473 -11.159 20.58
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.403 1.977 -6.9350 -14.36
-5.756 -5.072 -5.4634 -22.62
-14.399 2.162 -0.2306 -15.74
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
14.447 -8.495 5.876 -18.442
-39.606 -6.989 -11.047 4.341
-4.434 -3.820 -62.083 -24.374
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.0289 -23.358 -34.234 -18.740
3.3241 -2.394 -10.580 3.182
-0.9296 -13.098 -1.717 -4.085
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-23.430 1.2369 -20.28 7.186
-20.381 -4.7086 -20.90 3.468
-4.012 0.3989 -13.93 23.581
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.774 -10.697 -40.51 -34.61
-3.893 -27.976 -27.26 -20.95
-9.470 4.143 -14.11 -31.50
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.008 4.686 29.752 0.766
-4.300 1.246 14.851 -1.102
-4.704 2.267 8.231 2.216
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
11.897 -1.095 -14.14 -16.49
3.374 -1.934 -13.24 -18.48
1.552 -3.105 -12.29 -23.62
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.183 -2.798 1.864 -1.064
-6.152 -1.863 -9.114 -3.920
3.800 -4.011 -24.853 -2.084
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.861 -2.8915 -12.439 17.40
9.267 0.3506 -1.021 18.36
-6.237 -0.5995 3.927 10.70
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.574 11.483 7.555 -18.946
1.253 -5.319 -12.279 5.078
-1.296 22.422 2.230 1.260
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.832 -6.897 0.3579 3.444
-1.840 7.795 -1.7842 -9.174
-9.999 6.422 -1.5512 6.939
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.828 0.5879 -3.665 3.144
-4.749 3.8522 4.999 9.378
-3.343 -13.7603 2.475 7.255
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.568 11.061 1.588 -12.700
16.984 10.914 4.794 -3.304
10.852 4.464 10.153 -6.836
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.712 -0.4576 -11.854 4.518
2.592 3.2414 7.396 -6.154
3.039 -0.1002 3.675 7.616
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-10.524 -9.139 10.810 -24.623
7.579 6.203 -3.262 4.807
17.229 7.941 4.201 4.190
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.394 -1.044 7.1331 -0.7414
-11.123 1.555 -21.0501 1.7207
2.286 2.318 0.2187 2.3275
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.52 5.7405 2.6613 7.6736
-20.36 -0.1422 -0.2817 1.1884
-18.15 -0.2330 1.3852 0.2755
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.371 -6.515 3.366 -26.084
-2.451 -9.672 3.344 6.462
-2.784 3.369 -14.614 -14.701
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.053 -4.431 1.0402 -3.064
5.402 5.595 3.5312 7.487
5.617 9.700 -0.6884 -2.045
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.3271 -7.202 -6.830 99.32
4.6045 5.452 -7.462 108.88
-0.6283 -4.609 -6.676 89.64
rnd_95776.volume rnd_95787.volume
2.86 -16.405
37.94 5.591
-55.46 -16.372
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.685 2.840 7.504 4.521 5.218 1.804 1.578 5.019 5.346 3.765 2.752
[2,] 4.627 3.228 8.896 5.951 6.911 2.252 1.885 5.848 6.655 5.918 3.611
[3,] 5.108 3.548 10.087 7.315 8.038 2.531 2.089 6.313 7.602 6.562 4.133
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.065 3.040 3.306 3.489 3.280 4.210 3.998 7.811 5.504 8.805 3.899
[2,] 4.404 3.529 4.212 4.398 4.025 5.277 5.106 9.344 6.607 10.598 4.628
[3,] 5.123 4.064 4.946 5.224 4.493 6.033 6.083 10.695 7.678 12.095 5.039
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.154 5.048 1.815 4.367 4.365 3.169 4.363 1.710 4.843 4.223 2.242
[2,] 14.292 6.618 2.147 6.135 6.475 3.839 5.676 2.048 6.186 5.052 2.631
[3,] 16.873 7.849 2.416 7.597 8.091 4.263 7.104 2.280 7.355 5.807 2.819
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.873 4.815 4.935 4.760 3.873 3.794 1.232 3.736 1.180 3.197 2.740
[2,] 6.001 6.046 6.477 5.427 4.818 4.532 1.454 4.561 1.364 4.168 4.003
[3,] 6.975 6.955 7.318 6.075 5.493 5.222 1.630 5.117 1.489 4.799 4.609
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.696 1.791 3.128 4.038 4.428 2.392 3.943 4.335 1.875 4.018 3.494
[2,] 3.121 2.098 4.522 4.571 5.089 2.820 6.079 4.962 2.204 5.537 4.620
[3,] 3.565 2.280 5.278 5.074 5.608 3.113 7.374 5.574 2.444 6.755 5.721
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.127 2.356 3.804 1.194 3.203 1.540 3.100 3.093 3.517 4.898 2.033
[2,] 4.775 4.281 4.496 1.442 4.651 1.819 3.827 3.548 4.857 6.729 2.375
[3,] 5.742 5.407 4.950 1.604 6.076 2.050 4.576 3.913 5.826 7.449 2.702
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.277 3.085 4.681 1.665 4.603 5.152 4.922 4.614 4.867 3.823 3.408
[2,] 5.681 3.523 6.047 2.054 5.553 6.254 5.900 5.520 5.871 5.286 4.758
[3,] 6.546 3.782 6.917 2.318 6.158 6.952 6.607 6.288 6.876 5.900 5.841
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.227 3.391 2.845 3.962 2.023 2.112 1.781 3.674 3.741 6.445 5.682
[2,] 1.428 4.565 3.401 5.224 2.401 2.543 2.117 4.547 4.298 7.475 7.040
[3,] 1.633 5.623 3.785 6.241 2.718 2.989 2.363 5.170 4.661 8.218 7.766
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.745 1.644 2.591 2.677 2.809 2.537 0.7442 4.373 11.59 5.130
[2,] 2.707 2.907 3.197 3.213 3.502 2.842 0.9034 6.079 15.29 6.814
[3,] 3.223 3.325 3.657 3.655 4.209 3.061 1.0967 7.646 17.32 8.063
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.679 3.606 9.529 5.741 6.626 2.291 2.004 6.373
[2,] 493.901 270.979 843.564 683.115 799.995 237.916 182.111 529.850
[3,] 382.074 260.138 839.486 751.121 724.837 204.248 158.682 420.192
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.788 4.781 3.495 3.892 3.861 4.199 4.431 4.165
[2,] 699.902 806.086 412.569 558.389 316.235 460.545 472.704 411.969
[3,] 648.715 500.615 355.055 461.946 355.989 457.989 497.707 352.333
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.346 5.077 9.918 6.989 11.18 4.952 11.62 6.41
[2,] 561.535 560.595 905.342 645.415 1041.37 440.022 1937.81 755.62
[3,] 516.574 583.982 918.815 690.508 1029.13 351.942 1583.58 745.13
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.304 5.546 5.543 4.025 5.54 2.172 6.15 5.363 2.847
[2,] 202.453 760.698 844.396 382.620 641.06 198.719 679.42 489.529 243.224
[3,] 195.932 791.047 856.607 326.912 754.17 177.242 702.47 505.746 178.442
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.188 6.115 6.267 6.044 4.918 4.818 1.564 4.744
[2,] 618.372 645.484 740.532 460.497 506.072 437.571 136.585 461.941
[3,] 627.637 606.931 601.253 481.952 465.674 458.203 129.985 409.524
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.499 4.06 3.479 3.423 2.274 3.972 5.127 5.623
[2,] 120.792 472.17 515.396 277.536 193.099 576.624 378.442 442.663
[3,] 105.176 419.73 403.244 304.348 157.261 480.372 388.775 416.006
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.037 5.008 5.505 2.381 5.102 4.437 3.97 2.992
[2,] 263.625 816.837 426.340 204.488 672.594 533.539 637.26 631.133
[3,] 232.780 736.811 448.314 186.621 683.083 595.905 562.81 583.050
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.831 1.516 4.067 1.955 3.937 3.927 4.466 6.22
[2,] 422.840 142.666 595.385 170.996 396.074 306.989 591.339 814.68
[3,] 365.736 124.060 690.192 166.915 442.924 291.282 567.979 563.94
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.582 5.431 3.918 5.944 2.114 5.845 6.543 6.25 5.86
[2,] 216.690 660.123 300.157 675.965 212.349 548.513 625.850 574.48 534.71
[3,] 227.327 573.975 242.912 592.815 189.608 470.013 535.997 524.78 531.72
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.18 4.855 4.328 1.558 4.306 3.613 5.031 2.569
[2,] 579.77 644.513 586.281 128.808 539.705 328.818 601.091 228.388
[3,] 631.93 462.745 598.165 140.101 579.517 293.365 603.003 225.032
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.681 2.261 4.665 4.751 8.184 7.215 2.216 2.087
[2,] 250.213 202.304 472.980 373.444 668.724 733.878 365.248 423.333
[3,] 277.283 185.246 434.548 318.464 602.871 578.930 309.039 284.823
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.29 3.399 3.567 3.221 0.945 5.553 14.71 6.514
[2,] 330.57 313.749 369.300 226.299 90.425 745.433 1762.33 791.896
[3,] 313.66 307.642 412.308 200.604 109.790 818.650 1436.22 761.015
[1] "--- VAR model 2017-10-02 10:31:00 completed"
[1] "Completed training sample: 2017-10-02 10:31:00 - 2017-10-02 18:30:00"
[1] "SpVAR; training sample: 2017-10-02 11:01:00 - 2017-10-02 19:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.119 5.562 -22.050 11.25
5.758 -7.139 -6.005 -19.19
12.154 -1.322 -13.397 -21.05
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-23.43 -2.5904 -2.1845 14.892
-16.30 -2.5970 -0.9871 -6.165
-21.14 -0.5946 -2.2730 0.162
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.06816 1.438 -4.172 -0.732
17.72663 9.925 2.441 -10.754
-4.60844 -11.077 2.972 -7.495
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.1776 -0.5109 -11.703 17.51
4.5470 3.1618 1.476 21.71
-4.9542 -2.4989 4.906 28.66
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.035 0.1826 -6.800 26.7803
-2.742 -9.5693 -9.374 0.5281
2.063 5.6103 10.175 1.4545
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-21.1662 6.080 -44.06 -33.34
-0.2567 13.012 -78.61 -24.27
-39.0593 3.301 -32.34 -23.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.099 -24.16 -30.11 -3.6314
3.368 -10.08 -13.90 5.5798
-2.376 -44.72 -27.39 0.6508
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.767 4.834 -1.539 10.586
-22.591 -3.191 -26.051 -2.002
-25.295 -0.973 -20.528 10.002
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.7893 -21.226 -16.13 -4.339
0.5284 -1.261 -11.21 -17.306
-3.0170 -9.479 -19.31 -22.163
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.898 -3.339 3.995 0.6705
-2.527 -9.160 7.062 -2.3515
-4.703 -6.840 5.666 0.5013
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.1058 -0.02188 -11.169 -1.075
6.5529 0.66587 -6.137 -12.627
6.9080 -0.68649 -8.480 -10.610
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.994 3.5344 -17.642 -8.968
2.103 0.7005 -5.407 2.791
8.441 1.8789 -9.661 -1.589
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.9137 -4.523 2.707 11.775
9.2910 -4.605 -10.507 4.438
-3.5229 -2.917 -12.794 5.897
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7699 1.649 3.913 -2.150
0.2235 -2.686 12.829 13.541
-0.4535 -10.788 -22.333 -4.191
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.5589 -26.0746 0.6401 4.068
4.2889 -2.4485 -2.1521 -11.543
7.6131 -0.7419 1.4015 -5.316
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-8.3228 12.849 -14.4904 4.2966
0.1031 3.691 3.6382 12.6764
-1.5169 -11.029 -0.6655 -0.7744
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.225 4.724 -3.9570 3.886
5.871 3.674 0.9521 7.960
12.037 3.922 1.5647 -11.831
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.78 12.606 0.5219 8.981
-7.56 2.376 5.7231 16.109
-8.02 -1.869 7.6313 24.096
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
11.025 4.436 0.5365 10.3906
1.997 8.505 -20.4743 -0.9113
-3.085 -3.676 -5.0961 3.8688
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.765 0.8490 -6.479 6.28167
4.798 0.1132 -1.367 2.00918
-6.433 -0.4987 5.343 -0.07824
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.431 1.947 -10.159 7.2426
-0.542 -4.901 -4.444 -0.1327
10.122 2.069 1.558 -1.1220
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.281 14.820 8.537 -3.255
-9.251 -1.844 -1.735 -5.470
-20.142 5.208 11.286 -6.651
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.127 2.134 11.508 11.097
12.027 9.685 8.673 11.551
9.086 14.822 2.594 -2.742
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.735 -9.843 -9.166 60.61
-5.764 2.541 -8.680 53.24
-8.817 -4.593 -8.275 59.93
rnd_95776.volume rnd_95787.volume
-43.86 -34.71
-24.17 -25.81
-33.86 -27.83
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.728 2.943 7.712 4.494 5.624 1.929 1.579 4.946 5.107 3.739 2.762
[2,] 4.636 3.346 9.207 5.960 7.290 2.385 1.898 5.800 6.531 5.846 3.618
[3,] 5.151 3.707 10.382 7.123 8.368 2.625 2.087 6.255 7.588 6.596 4.118
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.037 3.130 3.408 3.508 3.333 4.006 4.225 6.875 5.415 8.897 3.816
[2,] 4.311 3.536 4.151 4.402 4.056 5.289 5.445 8.521 6.624 10.477 4.567
[3,] 5.038 4.085 4.884 5.217 4.464 6.000 6.300 9.913 7.829 12.229 5.035
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.288 4.860 1.805 4.371 4.469 3.245 4.476 1.731 4.786 4.287 2.181
[2,] 14.383 6.479 2.172 6.105 6.341 3.734 5.818 2.086 6.065 5.063 2.580
[3,] 16.670 7.665 2.409 7.622 8.085 4.111 7.077 2.300 7.220 5.811 2.758
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.637 4.854 4.709 4.780 4.018 3.831 1.196 3.792 1.146 3.132 2.580
[2,] 5.881 5.973 6.273 5.429 4.927 4.548 1.427 4.563 1.342 4.171 3.774
[3,] 7.102 6.813 7.080 5.920 5.549 5.178 1.616 5.104 1.472 4.838 4.495
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.755 1.671 3.100 3.979 4.294 2.432 3.954 4.374 1.891 4.024 3.490
[2,] 3.173 1.976 4.459 4.625 4.897 2.780 5.965 5.076 2.301 5.608 4.603
[3,] 3.622 2.171 5.257 5.136 5.371 3.102 7.261 5.684 2.537 6.925 5.659
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.132 2.318 3.962 1.128 3.209 1.578 3.073 3.111 3.478 4.833 2.006
[2,] 4.721 4.254 4.623 1.420 4.649 1.847 3.778 3.679 4.835 6.649 2.348
[3,] 5.720 5.422 5.130 1.572 6.055 2.087 4.650 4.056 5.867 7.390 2.684
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.471 3.104 4.562 1.734 4.568 5.336 4.772 4.642 4.945 4.022 3.587
[2,] 5.775 3.520 5.989 2.146 5.489 6.283 5.821 5.552 6.034 5.465 4.967
[3,] 6.621 3.804 6.900 2.412 6.079 7.007 6.539 6.357 7.068 5.996 5.998
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.204 3.360 2.803 4.038 1.924 2.195 1.728 3.573 3.884 6.427 5.685
[2,] 1.438 4.614 3.362 5.520 2.322 2.608 2.095 4.615 4.407 7.470 7.016
[3,] 1.631 5.751 3.752 6.658 2.676 3.061 2.329 5.338 4.765 8.310 7.718
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.789 1.717 2.629 2.789 2.786 2.628 0.7371 4.718 10.98 4.923
[2,] 2.821 3.010 3.239 3.307 3.462 2.938 0.9080 6.362 15.00 6.658
[3,] 3.383 3.434 3.679 3.760 4.187 3.167 1.0916 8.029 17.14 7.898
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.733 3.737 9.794 5.706 7.141 2.45 2.005 6.281
[2,] 536.656 310.186 978.981 762.012 902.950 272.80 205.111 589.573
[3,] 436.759 310.351 933.783 759.498 799.599 213.55 168.770 455.987
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.486 4.748 3.507 3.857 3.974 4.327 4.455 4.232
[2,] 792.262 874.769 454.909 595.451 320.408 461.290 517.486 449.884
[3,] 751.903 594.610 382.686 507.476 398.199 500.962 545.091 363.113
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.086 5.365 8.73 6.876 11.3 4.846 11.79 6.172 2.292
[2,] 672.409 668.774 980.05 742.608 1077.2 488.449 2137.77 834.100 235.102
[3,] 551.315 616.868 985.94 812.309 1227.6 412.558 1640.30 797.061 203.039
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.551 5.675 4.12 5.684 2.199 6.078 5.444 2.77 5.888
[2,] 829.470 875.628 359.65 723.522 226.608 724.992 524.192 268.10 704.209
[3,] 888.241 976.385 334.82 784.315 188.333 762.565 555.099 189.79 774.909
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.164 5.98 6.069 5.102 4.865 1.518 4.815 1.455
[2,] 677.403 806.79 501.376 555.170 477.153 151.642 494.056 135.864
[3,] 638.149 638.85 459.280 496.889 481.858 147.546 445.471 118.015
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 3.977 3.276 3.498 2.121 3.936 5.053 5.453 3.088
[2,] 536.191 536.225 306.632 205.509 623.963 458.629 458.042 262.031
[3,] 477.145 475.199 339.829 175.135 542.116 435.013 429.784 268.285
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.021 5.554 2.401 5.109 4.432 3.977 2.943 5.031
[2,] 869.378 501.651 255.482 760.501 584.260 687.532 694.380 463.953
[3,] 806.056 497.877 208.024 790.802 640.842 628.814 654.240 432.812
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.433 4.075 2.003 3.903 3.95 4.417 6.138 2.547
[2,] 167.811 654.750 186.861 427.848 382.45 653.860 888.865 237.779
[3,] 131.183 755.305 189.226 527.460 332.10 646.707 627.710 252.901
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 5.678 3.941 5.793 2.203 5.8 6.776 6.06 5.895 6.28
[2,] 711.388 323.163 755.484 245.861 592.5 645.841 648.99 592.734 673.19
[3,] 630.469 280.930 667.031 214.359 508.4 603.926 579.58 602.970 716.16
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.107 4.554 1.529 4.266 3.559 5.127 2.443 2.787
[2,] 720.212 668.893 153.059 615.647 361.207 732.763 253.130 274.261
[3,] 480.523 654.470 149.556 668.085 324.407 724.500 258.967 311.923
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.194 4.537 4.932 8.161 7.219 2.271 2.181 3.339
[2,] 230.403 568.690 405.695 741.168 800.229 424.665 481.234 368.226
[3,] 198.091 521.949 352.669 708.485 626.110 363.491 321.605 339.603
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.541 3.538 3.338 0.9359 5.991 13.94 6.252
[2,] 346.187 399.863 255.401 103.2318 830.941 1991.20 872.481
[3,] 348.003 458.641 230.432 117.9377 953.254 1611.80 827.060
[1] "--- VAR model 2017-10-02 11:01:00 completed"
[1] "Completed training sample: 2017-10-02 11:01:00 - 2017-10-02 19:00:00"
[1] "SpVAR; training sample: 2017-10-02 11:31:00 - 2017-10-02 19:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.6681 -4.062 -56.05 -34.46
0.2037 -2.317 -51.53 -13.54
-0.3141 -5.559 -44.41 -37.89
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-41.85 2.211 -0.4852 -18.26
-60.14 -3.473 0.5747 -20.44
-37.65 1.382 2.0699 -7.97
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-15.26 -16.27 -3.152 -14.00
-19.95 -22.85 -8.313 -33.57
-10.12 -10.78 -7.198 -29.05
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.636 -6.799 -14.81 29.97
1.248 -17.614 -13.33 37.61
1.543 -14.988 -20.36 31.96
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-41.94 -28.84 -56.28 -53.73
-23.06 -38.44 -35.09 -47.41
-39.55 -28.75 -42.38 -35.87
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-59.94 19.1389 -61.61 -39.53
-32.61 0.7389 -48.44 -33.05
-36.97 9.1601 -80.89 -48.55
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.433 1.218 -8.23 -3.930
-1.021 -11.870 -34.86 -7.451
-2.853 -22.536 -22.86 -9.448
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-26.95 -2.7651 -42.11 -16.95
-10.46 0.3593 -28.40 -11.05
-37.69 2.2692 -20.19 -10.39
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.6942 -12.62 -21.72 -23.88
-4.9112 -16.67 -26.12 -39.37
0.1027 -12.24 -13.50 -25.07
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
15.49 0.6094 9.543 -0.46834
14.62 -10.5190 2.696 -0.34349
13.81 0.4014 -5.793 0.07885
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.006 -2.747 -40.96 -49.48
-5.179 1.558 -13.99 -39.45
3.992 -1.405 -16.37 -24.68
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.800 0.2914 -33.37 -10.739
-8.651 -3.7460 -31.08 1.450
1.657 -0.7901 -35.23 -2.411
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-25.19 -16.18 -31.70 4.017
13.23 -16.40 -20.34 8.958
-20.75 -12.09 -48.40 1.019
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.294 -12.91 6.967 14.409
-1.157 -21.51 -22.759 -17.513
-3.525 -16.55 -9.029 -9.742
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.755 1.990 4.2585 -26.634
6.589 8.236 -0.1114 -6.431
-21.669 -4.724 1.4749 12.940
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.65444 -25.9786 -9.444 -24.037
-0.52291 -2.4645 -2.417 -26.351
0.09217 0.7944 -4.251 -9.969
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-26.90 2.132 -17.76 -7.909
-44.83 3.132 -19.27 -4.892
-16.71 -4.788 -18.53 1.452
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-12.21 -1.54945 -13.922 14.221
-18.26 -2.43956 2.531 -3.578
-13.37 -0.08995 -10.339 7.417
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-17.809 -9.71 -2.543 -4.649
-7.111 -15.22 -12.856 -9.777
-18.646 -14.97 -21.884 -16.691
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.7087 1.640492 -19.29516 -6.929
-7.4018 -0.002912 -8.47280 -1.815
-3.3316 -1.274135 -0.02393 -3.096
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-21.282 -7.443 -3.465 -1.9663
-1.643 4.116 -8.253 -1.5743
-7.513 -2.397 -6.327 -0.8097
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.787 5.0950 18.93 1.72
2.755 -4.6637 9.01 29.89
1.725 0.5928 11.58 16.63
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.4096 -2.093 0.4924 3.7173
0.7311 0.820 -1.2915 -0.3921
0.1582 2.733 -2.7133 -3.3198
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-13.067 1.3491 -8.247 199.2
-10.698 0.7794 -10.561 183.9
5.645 -8.2087 -6.732 170.7
rnd_95776.volume rnd_95787.volume
-80.08 -23.47
-77.68 -27.51
-93.21 -39.52
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.680 2.978 7.417 4.668 5.612 1.977 1.598 4.602 5.205 3.604 2.802
[2,] 4.759 3.360 8.995 6.074 7.346 2.419 1.892 5.401 6.478 5.777 3.638
[3,] 5.312 3.717 10.333 7.276 8.407 2.668 2.071 5.906 7.452 6.458 4.214
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.982 3.183 3.460 3.588 3.411 4.190 4.043 5.832 5.306 8.914 3.832
[2,] 4.133 3.594 4.158 4.498 4.128 5.381 5.372 7.263 6.595 10.473 4.652
[3,] 4.790 4.094 4.772 5.241 4.543 6.066 6.451 8.434 7.670 12.402 5.073
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.806 4.817 1.768 4.450 4.536 3.235 4.508 1.654 4.653 4.299 2.197
[2,] 14.125 6.464 2.143 6.039 6.321 3.755 5.818 2.028 6.109 5.032 2.585
[3,] 16.288 7.501 2.428 7.529 8.035 4.104 7.101 2.234 7.279 5.872 2.779
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.489 4.727 4.828 4.647 3.949 3.767 1.213 3.929 1.044 3.175 2.656
[2,] 5.941 5.914 6.197 5.334 4.870 4.508 1.411 4.642 1.271 4.231 3.916
[3,] 7.096 6.827 7.140 5.893 5.532 5.206 1.609 5.181 1.436 4.920 4.651
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.738 1.702 3.259 3.986 4.236 2.375 4.151 4.344 1.892 3.954 3.538
[2,] 3.135 2.028 4.527 4.689 5.024 2.817 5.820 5.030 2.286 5.470 4.637
[3,] 3.622 2.219 5.334 5.184 5.534 3.112 7.199 5.709 2.520 6.831 5.567
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.969 2.416 3.925 1.156 3.151 1.564 3.033 3.140 3.375 4.862 1.975
[2,] 4.496 4.326 4.585 1.438 4.409 1.845 3.785 3.678 4.745 6.607 2.307
[3,] 5.513 5.471 5.136 1.567 5.847 2.061 4.567 4.040 5.825 7.443 2.626
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.511 3.171 4.586 1.804 4.799 5.351 4.637 4.513 4.800 4.030 3.787
[2,] 5.670 3.573 5.953 2.153 5.765 6.469 5.786 5.758 6.042 5.521 5.086
[3,] 6.577 3.901 6.848 2.394 6.369 7.174 6.478 6.544 7.053 6.250 6.100
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.181 3.543 2.821 3.997 1.954 2.222 1.789 3.652 3.901 6.238 5.370
[2,] 1.402 4.846 3.409 5.588 2.321 2.721 2.092 4.622 4.384 7.212 6.697
[3,] 1.605 5.915 3.770 6.643 2.707 3.070 2.327 5.312 4.721 8.098 7.515
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.688 1.653 2.691 2.855 2.649 2.549 0.7397 6.817 10.29 4.677
[2,] 2.772 3.091 3.323 3.374 3.452 2.912 0.9049 9.875 14.69 6.437
[3,] 3.406 3.506 3.717 3.776 4.119 3.147 1.0879 13.159 16.75 7.480
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.673 3.782 9.418 5.928 7.126 2.511 2.03 5.844
[2,] 620.597 320.051 1046.988 799.399 975.170 286.744 208.15 581.372
[3,] 485.608 327.068 1046.208 823.950 840.877 231.315 173.24 491.881
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.61 4.576 3.558 3.786 4.043 4.394 4.556 4.332
[2,] 793.29 928.860 477.366 588.740 343.293 474.287 558.035 478.192
[3,] 757.74 593.924 437.395 498.272 403.391 481.641 553.607 390.347
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.321 5.134 7.405 6.738 11.32 4.866 11.18 6.116
[2,] 694.673 727.733 890.493 805.585 1130.86 542.547 2271.88 886.670
[3,] 575.903 734.698 882.034 805.699 1366.63 416.632 1668.61 782.996
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.246 5.651 5.76 4.107 5.724 2.101 5.909 5.459
[2,] 249.009 839.944 905.80 392.363 756.784 241.453 814.220 538.230
[3,] 234.623 924.921 1020.46 340.665 837.544 192.834 814.059 622.639
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.79 5.701 6.003 6.13 5.902 5.014 4.783 1.54 4.989
[2,] 280.20 800.494 731.064 799.36 538.670 586.414 509.500 148.35 508.551
[3,] 209.61 798.078 701.484 729.33 515.140 539.893 535.755 159.29 473.498
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.326 4.032 3.373 3.477 2.161 4.138 5.061 5.379
[2,] 149.326 575.096 592.070 314.205 226.939 646.442 507.947 555.901
[3,] 137.307 516.496 515.970 373.172 185.227 580.500 455.081 477.191
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.016 5.271 5.517 2.403 5.021 4.492 3.77 3.068
[2,] 311.491 839.222 521.354 264.009 777.535 616.827 694.41 738.224
[3,] 272.365 871.602 555.559 218.128 841.531 633.587 656.29 689.038
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.984 1.468 4.002 1.986 3.851 3.987 4.286 6.174
[2,] 487.512 175.881 634.389 201.236 465.851 393.906 686.014 920.129
[3,] 475.956 128.309 789.961 188.933 525.675 344.071 695.278 705.231
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.508 5.728 4.027 5.824 2.291 6.094 6.795 5.888
[2,] 245.241 706.487 338.599 780.800 241.767 656.988 747.742 712.109
[3,] 258.186 685.887 321.884 696.445 215.070 556.849 638.107 599.021
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.73 6.095 5.118 4.809 1.5 4.499 3.582 5.076 2.481
[2,] 735.84 754.920 776.164 698.320 155.2 680.199 393.848 803.309 257.834
[3,] 639.68 748.609 602.704 692.820 161.0 697.722 331.175 739.087 286.486
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.821 2.272 4.637 4.954 7.921 6.819 2.144 2.099
[2,] 323.157 222.881 582.740 411.569 744.615 823.206 452.416 537.216
[3,] 292.321 209.755 538.773 360.138 757.505 701.164 407.011 340.412
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.417 3.625 3.364 3.237 0.9393 8.657 13.06 5.939
[2,] 401.187 369.966 455.411 289.750 107.2255 1469.705 2155.71 909.857
[3,] 342.530 348.597 462.315 245.216 124.2302 1789.093 1655.07 783.787
[1] "--- VAR model 2017-10-02 11:31:00 completed"
[1] "Completed training sample: 2017-10-02 11:31:00 - 2017-10-02 19:30:00"
[1] "SpVAR; training sample: 2017-10-02 12:01:00 - 2017-10-02 20:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.290 5.8351 -26.504 8.010
-1.286 -0.4726 2.600 -13.566
2.572 3.2376 -9.109 -6.053
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.1493 2.4404 4.0002 8.296
6.5340 0.7141 -0.3233 6.629
-4.3505 1.3728 1.4917 -9.807
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.195 -5.8575 -3.3281 -26.078
2.941 -0.3372 -4.2840 -19.902
-4.192 8.6850 -0.3411 -6.932
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5379 -10.681 -9.808 21.80
-4.9528 -12.376 -12.709 22.22
1.8011 -1.346 -4.661 25.47
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-16.264 -14.844 -32.870 -16.607
-16.202 -20.830 -8.327 -9.565
-9.843 -7.287 -12.416 -6.205
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-31.775 -15.0080 -33.914 -10.65
4.664 -5.9153 -47.446 -18.93
-5.137 0.6092 -5.404 -16.08
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
7.8683 -16.61 -13.71 6.801
-0.3782 -14.77 -20.94 11.856
-2.1867 -14.49 -10.08 -4.926
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.886 2.980 3.974 -1.446
-13.494 -2.854 -15.034 -7.462
-13.689 -1.386 -15.323 5.095
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.632 -13.876 -10.439 -23.64
-5.658 4.825 4.565 -11.43
-4.188 -18.911 -13.089 -10.93
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.981 -1.395 -12.136 2.9445
1.185 -5.635 -10.033 -2.2174
3.681 -4.952 -5.147 -0.8221
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.3769 0.05962 -12.644 -12.47
-4.5004 0.32206 -10.922 -16.44
-0.8254 -0.38614 -3.622 -11.83
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.2439 -3.854 -11.827 1.853
-4.0828 -3.671 -7.751 4.521
-0.1284 -1.428 -11.907 1.246
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.272 2.0783 3.244 -3.955
2.912 -1.3782 -15.196 2.129
1.896 -0.2685 1.186 1.969
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9064 5.818 -2.755 1.315
-1.4845 -3.322 7.116 9.452
-0.2837 -18.645 -17.821 -7.623
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.9531 5.2996 0.4605 -7.178
-2.5868 6.6564 -0.2770 5.998
5.9348 0.9443 0.7457 -2.744
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.397 0.9898 -0.02593 10.243
1.255 -1.9387 1.39868 -5.831
-1.425 6.0310 5.96754 6.756
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
18.746 -2.233 8.773 2.244
11.714 3.130 15.134 4.228
2.531 -2.462 -7.960 3.480
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.2604 -0.9100 3.1098 -1.984
16.2903 -1.6340 0.3643 15.459
-0.2394 -0.9205 1.1493 3.043
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.7034 -10.393 11.137 -4.320
-3.1053 3.325 8.121 6.382
-0.2956 -5.733 1.526 1.976
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.389 -0.5448 2.843 3.2908
2.345 -0.1570 6.474 -0.4528
2.880 0.5109 3.484 -0.7024
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-18.875 -1.753 -0.7058 3.318
-1.693 -2.020 1.8529 -2.896
2.545 3.074 -0.3813 -1.513
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.919 4.952 17.251 -11.104
2.725 8.598 4.910 1.093
-6.006 4.623 2.698 4.852
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.684 2.2202 8.949 13.386
6.001 10.7871 2.711 1.455
4.236 -0.2923 5.696 1.855
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.5959 -5.978 -14.01 76.32
-3.5721 -4.567 -15.01 88.48
0.2336 -3.192 -10.35 82.64
rnd_95776.volume rnd_95787.volume
-30.21 -14.01
10.68 -16.25
-24.74 -20.23
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.745 2.954 8.179 4.692 5.724 2.004 1.573 4.631 5.208 3.713 2.755
[2,] 4.772 3.360 9.876 6.043 7.486 2.443 1.863 5.481 6.466 5.744 3.596
[3,] 5.275 3.766 11.247 7.219 8.574 2.694 2.030 5.970 7.366 6.389 4.194
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.958 3.256 3.408 3.771 3.547 4.243 4.210 5.880 5.510 9.317 3.935
[2,] 5.136 3.694 4.104 4.582 4.346 5.329 5.571 7.450 6.725 10.723 4.644
[3,] 5.921 4.198 4.703 5.348 4.891 6.002 6.449 8.526 7.753 12.671 5.036
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.102 4.883 1.797 4.520 4.550 3.241 4.512 1.716 4.708 4.223 2.200
[2,] 14.227 6.563 2.196 6.158 6.398 3.674 5.804 2.093 6.017 4.987 2.564
[3,] 16.574 7.814 2.458 7.626 7.934 4.051 7.126 2.280 7.282 5.765 2.788
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.421 4.759 5.117 4.515 3.778 3.706 1.163 3.981 1.024 3.131 2.682
[2,] 5.733 5.921 6.426 5.248 4.741 4.546 1.415 4.721 1.249 4.268 3.931
[3,] 7.030 6.833 7.350 5.706 5.370 5.191 1.612 5.335 1.388 4.925 4.726
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.661 1.690 3.404 3.990 4.204 2.397 4.260 4.609 1.789 3.772 3.531
[2,] 3.019 1.964 4.776 4.684 4.902 2.835 5.827 5.231 2.207 5.425 4.663
[3,] 3.468 2.147 5.489 5.129 5.358 3.142 7.172 5.935 2.442 6.602 5.670
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.054 2.603 3.598 1.152 3.226 1.538 3.057 3.006 3.405 4.843 1.962
[2,] 4.517 4.352 4.266 1.416 4.619 1.830 3.795 3.542 4.809 6.473 2.286
[3,] 5.504 5.489 4.894 1.553 5.982 2.078 4.520 3.900 5.792 7.292 2.632
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.407 3.068 4.764 1.854 4.497 5.340 4.592 4.433 4.625 3.852 3.829
[2,] 5.441 3.455 5.976 2.180 5.471 6.417 5.800 5.715 5.945 5.510 5.051
[3,] 6.368 3.797 6.951 2.394 6.211 7.134 6.549 6.411 6.839 6.271 6.247
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.151 3.605 2.896 3.962 1.981 2.299 1.716 3.766 3.767 6.190 5.457
[2,] 1.393 4.945 3.413 5.698 2.342 2.745 2.005 4.685 4.297 7.066 6.764
[3,] 1.582 5.865 3.791 6.658 2.706 3.123 2.258 5.394 4.680 7.871 7.488
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.616 1.708 2.652 2.822 2.637 2.357 1.770 7.774 10.51 4.661
[2,] 2.696 3.101 3.322 3.358 3.504 2.716 2.266 11.043 14.03 6.406
[3,] 3.359 3.549 3.711 3.759 4.150 2.901 2.770 14.178 16.74 7.519
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.755 3.751 10.39 5.958 7.268 2.544 1.998 5.881
[2,] 652.706 353.291 1221.17 840.204 1064.580 308.439 220.221 646.797
[3,] 495.931 375.207 1187.32 871.256 922.324 250.627 177.755 522.312
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.613 4.715 3.499 5.026 4.134 4.327 4.788 4.505
[2,] 845.447 966.818 509.779 722.237 385.039 504.494 574.263 554.026
[3,] 778.271 616.998 476.363 649.990 440.245 506.732 608.631 494.683
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.388 5.346 7.466 6.996 11.83 4.996 11.56 6.201
[2,] 711.047 804.978 1009.419 850.643 1171.18 544.052 2412.32 967.233
[3,] 609.544 716.874 914.484 851.133 1489.33 430.007 1875.87 935.974
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.281 5.739 5.778 4.116 5.73 2.179 5.978 5.363
[2,] 278.402 922.666 992.421 381.915 805.51 264.214 826.588 585.187
[3,] 244.064 992.383 1035.211 376.207 911.88 199.365 904.875 638.319
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.794 5.614 6.044 6.497 5.734 4.797 4.706 1.477
[2,] 290.526 805.313 777.070 857.636 590.215 632.094 581.006 177.736
[3,] 241.387 897.639 752.309 787.148 494.025 556.422 552.696 170.545
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 5.056 1.3 3.976 3.406 3.379 2.146 4.323 5.067 5.338
[2,] 559.665 157.8 639.995 633.967 314.665 220.632 738.988 541.240 556.318
[3,] 548.338 133.5 541.986 579.021 376.578 191.638 596.909 460.887 476.827
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.044 5.41 5.852 2.271 4.79 4.484 3.878 3.306 4.568
[2,] 333.729 877.05 545.826 285.472 860.18 671.808 734.401 769.329 505.784
[3,] 298.879 922.57 618.494 230.215 829.99 711.831 693.807 738.133 528.984
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.462 4.097 1.953 3.882 3.817 4.324 6.15 2.491
[2,] 181.818 729.152 218.714 496.294 413.516 749.359 947.51 258.966
[3,] 140.578 838.710 217.119 541.637 359.845 711.951 740.69 287.656
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.596 3.896 6.049 2.354 5.711 6.781 5.831 5.629
[2,] 704.163 350.352 796.017 253.045 687.485 784.908 781.718 795.973
[3,] 729.772 347.711 783.315 218.515 648.746 687.961 671.000 640.835
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.873 4.891 4.862 1.461 4.577 3.678 5.031 2.515
[2,] 824.162 869.233 726.821 173.214 746.707 398.384 903.344 275.934
[3,] 745.913 660.857 810.901 165.549 695.836 364.163 759.972 299.043
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.92 2.179 4.782 4.784 7.861 6.929 2.052 2.169
[2,] 330.69 228.593 614.965 455.850 751.807 881.779 476.187 571.096
[3,] 328.56 229.412 589.580 409.131 765.152 708.530 441.812 380.582
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.367 3.583 3.349 2.993 2.247 9.871 13.34 5.919
[2,] 441.570 401.402 509.088 297.636 312.159 1730.473 2050.91 969.570
[3,] 364.910 372.781 490.574 225.334 351.629 1961.635 2016.84 868.326
[1] "--- VAR model 2017-10-02 12:01:00 completed"
[1] "Completed training sample: 2017-10-02 12:01:00 - 2017-10-02 20:00:00"
[1] "SpVAR; training sample: 2017-10-02 12:31:00 - 2017-10-02 20:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7731 1.728 -30.90 -9.039
-0.5301 -3.060 -18.11 -4.230
-8.2356 3.383 -16.93 -21.491
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.842 2.045 0.1637 -12.153
-6.511 3.611 0.6573 -3.373
2.147 2.326 4.5752 1.132
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.846 5.6030 0.04739 -4.15
-2.893 -12.4695 -1.97513 -12.59
-8.660 0.7743 1.27149 -18.08
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.014 1.852 -6.614 35.61
-2.587 -1.035 4.293 26.47
4.534 -4.093 -4.807 29.86
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.164 -8.605 -4.720 1.8501
-2.187 -5.740 -7.572 0.3093
-2.145 -4.904 13.843 13.9012
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.82 -7.991 -17.32 -9.657
-23.65 7.237 -55.12 -15.685
-18.09 -2.962 -21.87 -25.585
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.160 -8.009 -18.12 -8.32695
2.496 -13.504 -14.26 -0.46426
-4.150 -25.024 -17.25 0.03556
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.411 1.714 -15.03 -9.2127
-7.008 -1.329 -11.30 0.4095
-19.323 -2.604 -5.89 -5.7018
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.806 -25.967 -17.041 -3.988
-5.100 5.511 -9.788 -10.609
-1.051 -9.165 0.982 -5.341
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6108 -2.216 5.102 3.255
-0.6452 6.771 -4.079 4.203
1.2035 4.590 -2.723 -1.352
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.318 -0.9014 1.669 -5.444
1.043 -2.5543 -11.633 -10.914
5.034 3.5320 -3.835 -15.650
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.041 -0.24779 -9.240 9.053
2.305 -3.42966 -6.372 -3.775
5.297 0.08508 -13.774 5.167
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.443 -0.4494 5.050 11.774
9.784 2.3793 2.536 15.108
4.538 0.8513 -8.803 3.501
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.678 -7.534 -4.479 -4.9067
-2.560 6.662 9.033 0.7384
-1.837 9.648 12.726 7.7966
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.817 -8.3094 0.2765 2.815
-8.214 -0.4847 0.9495 -10.215
7.415 5.3861 -1.8748 -7.733
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.707 -3.282 11.171 0.4934
-0.540 -8.990 2.508 -0.9168
-3.174 1.465 1.650 -4.3015
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.5837 -4.7038 -9.489 6.3364
3.0784 0.7858 6.900 -1.9161
-7.8670 -2.0527 5.904 -0.9161
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.488 1.666 5.725 -7.301
1.634 -3.800 -1.351 5.109
8.543 1.543 -2.793 -5.960
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.3454 -2.918 -8.652 -16.236
7.6673 7.648 1.907 -2.274
0.4040 4.622 8.795 1.214
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-17.176 0.06583 -4.596 -6.6472
-9.564 -2.05145 -17.818 -0.6079
-3.186 -0.50848 -12.222 -5.3219
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-14.373 1.2850 1.782 0.4666
-9.657 0.2142 -3.496 0.1080
-19.413 -1.9780 -1.937 -2.8814
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.139 -3.7263 -3.279 5.052
9.709 0.7688 5.146 3.957
5.671 7.5244 1.608 -4.697
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.08994 -1.088 -0.3922 -0.3467
1.58746 1.381 -3.2475 -1.6570
-0.09349 -1.818 2.8822 1.4980
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
8.003 -2.5426 -11.28 128.7
4.492 2.6855 -7.76 122.3
-6.929 -0.8197 -11.09 106.5
rnd_95776.volume rnd_95787.volume
0.6623 -7.445
10.5371 -14.725
-4.1180 -19.221
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.688 2.800 8.328 4.670 5.520 1.960 1.534 4.592 5.047 3.738 2.523
[2,] 4.700 3.230 9.899 5.935 7.315 2.388 1.787 5.376 6.434 5.895 3.381
[3,] 5.180 3.569 11.135 7.106 8.507 2.652 1.988 5.889 7.321 6.514 4.074
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.913 3.276 3.358 3.643 3.716 4.151 4.041 5.530 5.482 9.373 4.005
[2,] 5.047 3.651 4.060 4.489 4.512 5.208 5.507 7.157 6.720 10.582 4.663
[3,] 5.841 4.159 4.687 5.227 5.014 5.894 6.452 8.170 7.758 12.428 5.065
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.854 4.771 1.806 4.326 4.455 3.308 4.550 1.701 4.754 4.124 2.147
[2,] 14.006 6.380 2.183 6.063 6.283 3.731 5.640 2.104 6.103 4.868 2.445
[3,] 16.439 7.668 2.430 7.494 7.785 4.113 6.955 2.301 7.293 5.690 2.677
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.588 4.648 4.896 4.442 3.707 3.615 1.085 3.906 1.065 3.082 2.683
[2,] 5.861 5.883 6.230 5.141 4.648 4.520 1.320 4.657 1.237 4.089 3.888
[3,] 7.014 6.857 7.206 5.608 5.246 5.112 1.531 5.248 1.381 4.762 4.613
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.610 1.646 3.349 3.943 4.298 2.443 4.298 4.569 1.737 3.738 3.510
[2,] 2.944 1.924 4.681 4.621 4.915 2.875 5.953 5.254 2.134 5.375 4.699
[3,] 3.372 2.096 5.308 5.030 5.355 3.189 7.005 5.880 2.373 6.556 5.656
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.985 2.598 3.631 1.129 3.097 1.566 2.965 2.980 3.293 4.725 1.977
[2,] 4.622 4.390 4.232 1.384 4.517 1.813 3.646 3.503 4.781 6.311 2.286
[3,] 5.503 5.605 4.824 1.522 5.978 2.069 4.380 3.865 5.668 7.082 2.620
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.276 2.710 4.768 1.811 4.649 5.151 4.465 4.291 4.670 3.816 3.776
[2,] 5.403 3.173 5.940 2.121 5.562 6.322 5.668 5.696 5.987 5.581 5.124
[3,] 6.317 3.590 6.880 2.356 6.239 7.081 6.398 6.327 6.925 6.238 6.274
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.132 3.503 2.892 3.908 2.036 2.340 1.619 3.616 3.700 6.264 5.340
[2,] 1.373 4.794 3.418 5.660 2.378 2.805 1.852 4.491 4.267 7.219 6.644
[3,] 1.544 5.792 3.762 6.609 2.690 3.204 2.072 5.250 4.620 8.082 7.395
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.528 1.592 2.665 2.804 2.618 2.333 1.751 8.087 10.66 4.614
[2,] 2.681 3.051 3.283 3.289 3.436 2.660 2.238 11.261 13.64 6.326
[3,] 3.317 3.477 3.704 3.733 4.012 2.846 2.711 14.441 16.13 7.428
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.684 3.555 10.58 5.93 7.01 2.489 1.948 5.831
[2,] 654.742 361.962 1202.27 823.05 1078.64 306.686 205.691 628.111
[3,] 488.934 341.039 1145.93 878.30 975.99 259.225 195.982 540.336
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.409 4.746 3.203 4.968 4.16 4.264 4.626 4.719
[2,] 896.769 1024.191 505.764 716.532 361.87 513.032 589.397 574.949
[3,] 784.870 622.917 510.658 660.691 447.69 526.162 601.927 491.383
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.271 5.131 7.022 6.962 11.9 5.086 11.24 6.059
[2,] 706.609 840.827 1020.853 873.081 1103.7 536.615 2438.71 951.638
[3,] 620.288 755.092 885.840 871.058 1464.4 444.487 1933.63 955.824
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.293 5.494 5.657 4.201 5.778 2.16 6.037 5.237
[2,] 275.407 954.332 995.555 387.736 748.872 278.05 859.837 581.259
[3,] 240.295 989.673 1033.020 389.016 914.440 209.66 897.234 661.900
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.726 5.825 5.902 6.217 5.641 4.708 4.59 1.377
[2,] 262.769 819.733 810.263 865.951 581.361 630.001 609.63 169.137
[3,] 245.375 865.713 791.520 813.667 503.596 546.642 536.56 174.194
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.959 1.352 3.914 3.407 3.315 2.09 4.253 5.007
[2,] 570.071 141.578 603.792 632.247 305.684 224.11 734.760 541.642
[3,] 543.458 137.706 548.278 558.024 369.747 186.70 562.414 446.140
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.458 3.103 5.458 5.802 2.206 4.747 4.458 3.79
[2,] 535.401 340.277 925.679 582.668 278.618 867.737 701.775 792.90
[3,] 477.790 310.361 829.586 593.353 233.192 843.523 707.673 671.37
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.299 4.611 1.434 3.932 1.988 3.766 3.784 4.182 6.0
[2,] 795.159 488.468 179.904 738.770 205.484 476.813 413.916 779.001 940.0
[3,] 783.108 520.532 142.355 880.094 223.974 545.460 366.836 684.106 722.2
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.51 5.43 3.442 6.054 2.3 5.904 6.54 5.67 5.449
[2,] 257.78 741.91 370.681 796.102 248.1 686.118 823.78 784.62 841.568
[3,] 287.80 735.42 377.363 780.276 230.2 635.291 716.74 666.64 619.212
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.93 4.846 4.795 1.438 4.448 3.673 4.963 2.585
[2,] 841.79 915.190 778.145 174.516 735.395 409.346 919.947 276.453
[3,] 782.27 626.076 813.742 158.468 730.180 352.858 766.936 282.324
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.972 2.056 4.591 4.699 7.954 6.78 1.941 2.021
[2,] 347.600 201.897 598.667 477.213 806.409 888.51 494.962 584.916
[3,] 347.948 209.038 610.951 398.222 816.319 729.36 439.029 374.412
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.384 3.56 3.325 2.963 2.224 10.27 13.54 5.859
[2,] 430.871 386.23 500.139 287.329 312.998 1760.99 1912.51 972.311
[3,] 385.690 397.07 465.402 227.464 343.913 2031.55 1934.17 874.873
[1] "--- VAR model 2017-10-02 12:31:00 completed"
[1] "Completed training sample: 2017-10-02 12:31:00 - 2017-10-02 20:30:00"
[1] "SpVAR; training sample: 2017-10-02 13:01:00 - 2017-10-02 21:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.077 6.0202 21.0860 -9.857
4.016 -5.2720 -9.5356 -16.928
5.190 -0.2802 -0.9495 -14.183
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.620 8.128 -0.9053 -6.1686
2.885 -1.853 0.6710 0.7698
-8.009 1.815 0.1450 0.5172
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-9.0325 -2.766 -3.50777 -3.400
-0.5432 -6.873 0.03925 -17.049
-7.6772 -2.534 1.28604 -6.868
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.930 -1.841 -3.598 14.04
5.012 1.197 5.743 15.91
-2.383 -7.874 -3.820 15.39
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.977 -14.223 2.880 3.108
-5.670 3.281 4.644 -4.134
-2.108 7.622 5.505 14.764
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.7321 -0.2430 -6.23 -12.795
-15.8511 -4.2936 7.05 -3.473
-10.7507 -0.8173 -8.95 2.948
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.527 -20.8098 -25.185 -7.045
2.639 -7.1104 -12.893 -3.324
1.485 0.4417 -1.315 1.608
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.30 -3.137 -16.868 -10.597
-23.62 -7.190 -5.477 -2.557
-12.09 0.841 -13.904 -1.204
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.305 -3.71 -16.179 -15.341
-2.071 -13.20 -5.360 -3.210
-7.403 -14.02 -9.603 -7.863
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
10.554 5.259 -4.002 -2.0569
4.228 -4.952 -8.569 4.6896
2.038 -7.592 -6.418 0.8085
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.5051 0.05536 5.1155 -8.573
0.5118 -1.66706 -4.5638 -3.337
0.7855 0.81635 -0.0226 -6.988
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.0429 1.0256 -12.9776 -1.1834
3.1824 2.0260 -7.3817 -0.6468
-0.1676 -0.8526 0.5379 4.9974
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
12.062 3.930 6.009 8.343
1.369 -1.738 1.565 10.798
2.283 -1.751 -17.821 6.229
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.2286 3.9246 -0.5039 5.287
1.2768 -0.9155 11.0774 8.514
-0.3915 -1.1235 -6.3546 -7.051
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.2583 1.111 -2.0883 -7.16
-0.7385 -1.337 0.8709 1.38
18.6248 1.630 -0.7867 -0.19
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.0799 -2.995 2.520 2.071
-0.1397 -5.685 4.258 5.661
2.2550 4.903 2.457 -5.623
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.701 -3.7972 -0.7357 3.356
8.711 0.6352 -1.4176 2.971
-7.037 -1.3456 -2.4466 -2.757
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.015 -1.60841 4.434 0.3993
-1.698 -0.32915 5.830 1.3273
5.238 0.07125 -3.389 3.6006
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.051 0.3102 -0.07382 -11.651
-5.903 -8.5034 -5.34966 -2.404
-11.471 -1.9492 -12.59644 -1.902
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.0210 2.875 -12.188 -5.405
-8.4838 -1.354 1.907 -5.607
-0.8194 1.625 -1.860 -1.283
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.802 1.316 -2.2830 2.906
-7.400 3.633 -0.2128 1.821
-6.315 -6.091 -1.9560 -3.806
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.06496 6.677 4.026 16.754
10.94471 -5.921 -8.175 6.306
-2.63245 -3.557 -8.772 10.068
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.9594 4.2189 -2.667 0.2273
0.0173 -0.8386 5.867 4.0530
5.2062 2.5217 -0.349 -1.2366
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.8835 -2.877 -5.350 86.61
0.2877 -0.623 -3.423 88.61
6.5420 -3.807 -6.618 79.65
rnd_95776.volume rnd_95787.volume
11.689 -9.446
-28.881 -5.097
8.087 1.237
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.638 2.824 8.513 4.705 5.621 1.983 1.460 4.559 4.845 3.676 2.517
[2,] 4.608 3.237 10.140 5.909 7.338 2.453 1.707 5.329 6.214 5.692 3.273
[3,] 5.072 3.559 11.553 7.070 8.468 2.693 1.916 5.808 7.069 6.269 3.978
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.820 3.203 3.196 3.319 3.455 4.115 3.976 5.488 5.180 9.312 3.857
[2,] 4.992 3.603 3.837 4.171 4.283 5.057 5.586 7.176 6.468 10.437 4.470
[3,] 5.709 4.067 4.552 4.969 4.813 5.745 6.509 8.269 7.543 12.271 4.860
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.721 4.626 1.793 4.301 4.248 3.257 4.618 1.705 4.313 4.146 2.102
[2,] 13.434 6.197 2.159 5.948 6.140 3.760 5.608 2.148 5.678 4.909 2.417
[3,] 16.180 7.441 2.433 7.292 7.543 4.074 6.951 2.332 7.057 5.751 2.620
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.596 4.778 4.774 4.134 3.608 3.320 1.039 3.806 0.9893 3.238 2.653
[2,] 5.922 5.882 6.222 4.932 4.499 4.285 1.263 4.677 1.1458 4.093 3.842
[3,] 6.980 6.701 7.157 5.390 5.002 4.899 1.473 5.261 1.2691 4.723 4.560
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.568 1.617 3.246 3.864 4.115 2.475 4.265 4.485 1.759 3.700 3.476
[2,] 2.909 1.891 4.510 4.485 4.836 2.924 5.924 5.147 2.142 5.440 4.669
[3,] 3.307 2.042 5.102 4.826 5.326 3.227 6.939 5.787 2.337 6.599 5.662
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.895 2.600 3.548 1.074 3.246 1.524 3.004 3.001 3.409 4.619 1.855
[2,] 4.645 4.361 4.066 1.313 4.591 1.780 3.679 3.519 4.898 6.233 2.166
[3,] 5.485 5.604 4.663 1.467 5.972 2.022 4.344 3.880 5.713 7.016 2.480
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.146 2.564 4.706 1.719 4.555 5.255 4.499 4.170 4.749 3.778 3.747
[2,] 5.347 3.017 5.885 2.000 5.444 6.288 5.464 5.611 5.872 5.305 5.050
[3,] 6.220 3.469 6.761 2.253 6.135 7.009 6.229 6.317 6.737 5.943 6.030
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.112 3.561 2.850 4.007 2.069 2.304 1.542 3.656 3.735 6.142 5.363
[2,] 1.353 4.796 3.351 5.601 2.350 2.762 1.802 4.436 4.190 7.082 6.627
[3,] 1.495 5.683 3.717 6.516 2.657 3.089 2.007 5.107 4.552 7.864 7.470
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.416 1.576 2.655 2.838 2.654 2.199 1.781 7.977 10.15 4.501
[2,] 2.654 3.025 3.272 3.276 3.300 2.540 2.261 11.133 13.14 6.134
[3,] 3.280 3.457 3.704 3.725 3.988 2.718 2.751 14.201 15.62 7.211
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.62 3.586 10.81 5.975 7.138 2.518 1.854 5.789
[2,] 651.96 364.410 1269.48 823.992 1087.365 332.766 203.951 636.231
[3,] 488.07 341.357 1276.42 894.681 973.980 256.091 200.439 532.226
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.153 4.668 3.197 4.851 4.067 4.058 4.215 4.387
[2,] 896.738 1001.668 482.024 740.866 380.197 489.443 582.052 583.370
[3,] 776.462 605.336 521.299 638.465 434.802 564.632 622.458 505.882
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.225 5.049 6.969 6.578 11.82 4.898 11.07 5.874
[2,] 677.626 904.450 1065.521 892.670 1086.58 521.010 2355.02 950.531
[3,] 628.519 770.083 947.092 894.529 1487.42 439.171 2078.59 949.132
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.276 5.461 5.394 4.136 5.865 2.165 5.477 5.264
[2,] 277.251 947.020 1021.834 432.958 733.445 301.212 851.004 605.892
[3,] 258.794 972.332 1010.064 361.942 946.415 209.226 966.088 690.477
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.67 5.836 6.068 6.062 5.25 4.581 4.215 1.32 4.833
[2,] 274.67 861.025 790.615 919.794 619.94 619.705 624.627 165.47 626.775
[3,] 233.41 851.368 740.059 815.253 501.14 503.731 547.331 174.58 554.905
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.256 4.112 3.368 3.261 2.053 4.122 4.906 5.225
[2,] 133.245 576.903 640.680 314.965 226.223 721.756 524.976 585.551
[3,] 125.747 543.311 565.891 362.288 177.209 549.786 410.820 514.335
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.143 5.416 5.696 2.234 4.699 4.414 3.676 3.302
[2,] 358.762 947.516 582.036 281.697 919.256 718.428 837.288 806.795
[3,] 314.610 832.746 609.703 215.195 860.785 738.344 672.361 811.318
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.506 1.364 4.121 1.935 3.814 3.811 4.329 5.865
[2,] 457.481 174.070 748.435 212.120 489.466 423.579 810.519 964.589
[3,] 526.222 150.655 880.167 220.708 532.547 377.001 678.149 742.593
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.355 5.265 3.256 5.976 2.183 5.784 6.673 5.713
[2,] 257.962 778.167 366.414 814.552 235.518 687.098 796.053 714.780
[3,] 278.436 732.315 394.655 766.836 239.347 652.277 713.399 689.178
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.295 6.03 4.797 4.758 1.413 4.522 3.62 5.088 2.627
[2,] 865.173 795.96 858.455 780.578 177.361 740.454 406.03 901.882 257.014
[3,] 668.875 761.34 617.315 759.350 146.956 702.736 370.63 767.514 285.419
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.926 1.958 4.642 4.743 7.8 6.81 1.798 2.001 3.371
[2,] 351.265 214.989 579.260 437.762 812.6 897.03 517.481 595.247 440.900
[3,] 318.827 203.475 583.263 409.656 787.9 794.58 444.000 385.350 400.120
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.604 3.37 2.793 2.262 10.13 12.89 5.716
[2,] 376.890 452.07 292.756 321.038 1789.81 1923.54 960.528
[3,] 408.916 516.30 223.358 361.116 2031.97 1946.53 873.827
[1] "--- VAR model 2017-10-02 13:01:00 completed"
[1] "Completed training sample: 2017-10-02 13:01:00 - 2017-10-02 21:00:00"
[1] "SpVAR; training sample: 2017-10-02 13:31:00 - 2017-10-02 21:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.62 -0.0468 -25.07 -9.326
-14.79 -3.7036 -15.76 -15.255
-2.01 -4.2830 -18.06 -22.781
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
11.613 2.519 2.561 -6.3433
-18.779 2.166 -2.079 -0.7013
-4.012 3.115 1.547 -6.3468
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.04656 -8.730 -0.3605 -15.59
-1.73462 -5.858 -0.6933 -15.42
-17.47991 -3.137 0.6585 -12.93
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.312 5.204 -7.723 26.40
-3.399 -15.571 2.490 24.66
3.861 0.911 -6.451 24.38
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.427 -9.363 -13.182 0.8512
-2.225 -3.085 -8.889 -4.0707
-3.767 -6.310 -4.366 -5.2598
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-28.26 10.875 -47.64 -21.67
-32.41 -6.670 -41.62 -22.42
-21.42 7.059 -48.41 -23.62
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.163 -11.27 -3.676 6.6305
2.767 -22.56 -33.040 -0.5729
3.217 -22.70 -10.325 5.3376
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.89 2.0256 -17.108 -12.77
-13.37 -0.6755 -1.096 -14.24
-18.74 -2.0732 -23.254 -12.65
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.401 -8.932 4.222 -9.341
-3.884 -15.824 -20.533 -14.098
-1.340 -19.324 -5.043 -10.039
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.842 3.815 -3.2548 4.168
2.899 8.419 0.1838 -3.261
3.598 6.686 0.5104 1.637
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-10.051 0.7754 -14.175 -9.436
-2.241 4.1953 5.835 -13.450
-6.508 -0.8141 -4.304 -2.965
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4353 -0.5269 -0.5921 -1.80663
-0.5946 0.6880 -9.2235 -0.06851
5.2177 0.7215 -7.0866 2.03632
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.0871 -1.804 -12.9735 -11.75
8.5051 -5.545 -6.0610 12.93
0.9198 -3.808 -0.8648 -3.54
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.9495 -18.073 -14.039 -8.170
1.0178 -17.355 -8.802 -11.270
-0.5653 3.748 -7.713 -9.757
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.449 0.8633 -0.9626 7.009
-13.030 -2.0534 -1.6216 -9.064
-10.989 3.6879 -1.2663 -11.752
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.1100 2.463 7.206 -9.9674
-0.2886 -7.889 2.135 -0.7924
0.8408 -2.878 2.469 -8.8180
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.8519 2.193 -3.068 1.4957
0.7512 -1.278 6.332 -2.1410
-3.6314 -5.778 -4.303 -0.6273
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.085 2.431 -8.829 -8.9876
-2.158 2.040 -9.237 -5.1723
9.044 1.462 -1.272 -0.4221
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.147 0.06134 -5.59813 -9.889
-10.677 -13.45740 2.58741 1.412
-4.012 -9.89793 0.03825 -16.399
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.465 3.2972 -10.343 -1.312
-7.719 0.3219 -7.146 4.008
-3.753 0.1074 1.063 1.302
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.822 1.5383 -0.9512 2.1770
-4.767 0.3213 -6.4035 1.3551
1.651 1.9521 -6.3275 0.4262
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.252 -0.9012 7.381 16.539
-1.582 -2.1172 4.846 4.235
6.656 -1.8066 12.998 16.984
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.986 -3.212 -1.911 3.184
-1.603 2.359 2.392 -3.405
1.306 -4.692 -2.637 -1.004
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9343 -4.146 10.793 99.56
4.5749 -3.463 13.169 103.32
-0.2724 -5.303 9.575 94.34
rnd_95776.volume rnd_95787.volume
-48.78 -20.09
27.88 -16.02
-36.38 -24.24
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.287 2.794 8.269 4.619 5.614 1.972 1.456 4.460 4.971 3.529 2.536
[2,] 4.237 3.156 9.797 5.788 7.488 2.381 1.687 5.191 6.139 5.621 3.268
[3,] 4.810 3.468 11.203 7.041 8.486 2.640 1.903 5.666 6.885 6.186 3.916
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.620 3.044 3.135 3.155 3.549 3.952 4.064 5.783 5.358 9.079 3.610
[2,] 4.879 3.532 3.802 3.934 4.382 4.941 5.600 7.472 6.793 10.078 4.265
[3,] 5.474 3.980 4.377 4.676 4.837 5.571 6.467 8.654 7.998 11.765 4.661
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.802 4.706 1.786 4.260 4.266 3.169 4.426 1.639 4.239 4.003 2.007
[2,] 13.172 6.139 2.127 5.839 6.160 3.678 5.445 2.059 5.656 4.800 2.347
[3,] 15.703 7.315 2.387 7.226 7.539 4.019 6.833 2.246 6.929 5.616 2.610
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.783 4.746 4.713 3.909 3.452 3.180 1.003 3.858 0.9571 3.200 2.662
[2,] 6.138 5.959 6.197 4.613 4.372 4.234 1.247 4.625 1.1264 4.061 3.954
[3,] 7.175 6.700 7.114 5.066 4.866 4.837 1.431 5.283 1.2462 4.654 4.642
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.464 1.583 3.282 3.883 3.987 2.450 4.179 4.290 1.677 3.529 3.443
[2,] 2.853 1.864 4.509 4.438 4.640 2.915 5.925 5.019 2.029 5.111 4.695
[3,] 3.218 1.986 5.097 4.794 5.123 3.240 6.884 5.767 2.222 6.566 5.643
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.962 2.537 3.489 1.045 3.237 1.505 2.895 2.889 3.324 4.237 1.831
[2,] 4.565 4.249 4.017 1.271 4.527 1.716 3.591 3.472 4.895 5.826 2.122
[3,] 5.345 5.633 4.522 1.420 5.902 1.959 4.265 3.841 5.642 6.615 2.441
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.117 2.624 4.653 1.723 4.446 5.042 4.302 4.175 4.432 3.689 3.613
[2,] 5.423 2.989 5.974 2.003 5.367 6.137 5.416 5.598 5.596 5.091 4.968
[3,] 6.162 3.375 6.827 2.236 6.072 6.833 6.194 6.164 6.521 5.708 5.944
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.067 3.520 2.801 4.105 2.103 2.331 1.502 3.590 3.701 6.081 5.170
[2,] 1.286 4.695 3.317 5.495 2.363 2.746 1.771 4.375 4.099 7.015 6.333
[3,] 1.435 5.571 3.706 6.446 2.660 3.070 1.974 5.036 4.444 7.797 7.239
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.398 1.524 2.732 2.859 2.559 2.066 1.993 7.854 9.368 4.572
[2,] 2.630 3.084 3.307 3.298 3.314 2.381 2.691 10.914 12.715 6.104
[3,] 3.253 3.500 3.717 3.722 3.989 2.624 3.302 13.841 15.138 7.097
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.174 3.547 10.5 5.865 7.129 2.504 1.849 5.664
[2,] 644.499 354.072 1267.1 841.250 1194.756 321.539 205.447 640.509
[3,] 548.726 346.686 1309.8 966.638 962.576 275.155 212.458 547.201
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.312 4.482 3.22 4.597 3.866 3.98 4.006 4.506
[2,] 868.528 1054.775 497.08 788.742 431.626 518.69 566.633 619.821
[3,] 751.414 623.068 520.08 598.628 442.514 523.17 609.506 494.037
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.019 5.16 7.344 6.804 11.53 4.584 11.18 5.975
[2,] 714.923 929.00 1140.610 1006.888 1054.70 547.737 2362.75 950.775
[3,] 620.509 779.88 1052.528 1017.927 1463.38 453.354 2061.11 958.773
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.269 5.41 5.417 4.024 5.62 2.081 5.383 5.083
[2,] 278.283 962.72 1071.243 450.149 764.96 300.603 902.798 638.648
[3,] 261.330 1026.34 1048.054 390.418 995.10 215.934 964.983 702.831
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.549 6.074 6.026 5.984 4.964 4.384 4.038 1.274 4.9
[2,] 293.185 927.360 869.003 970.312 590.806 646.939 674.283 178.539 615.0
[3,] 275.162 896.191 738.370 842.353 504.833 514.996 563.604 169.478 615.3
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.215 4.063 3.38 3.129 2.01 4.167 4.931 5.062 3.111
[2,] 143.218 602.788 704.77 346.825 237.43 745.654 518.101 572.447 380.986
[3,] 128.552 548.448 586.42 358.962 165.36 572.828 437.171 523.516 340.917
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.307 5.447 2.13 4.481 4.372 3.762 3.221 4.431
[2,] 1012.659 628.284 275.53 891.441 769.448 837.572 821.796 479.731
[3,] 844.918 684.651 218.20 993.746 754.959 670.332 891.806 500.816
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.327 4.111 1.912 3.676 3.669 4.221 5.381 2.325
[2,] 174.139 763.006 198.813 512.237 464.185 866.445 964.034 258.820
[3,] 153.143 913.089 227.801 554.674 396.339 676.425 755.388 290.504
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.228 3.332 5.909 2.189 5.646 6.403 5.462 5.302
[2,] 850.974 345.483 903.310 246.076 724.749 843.691 793.377 899.082
[3,] 705.747 377.806 796.689 239.511 684.869 724.455 724.672 621.864
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.627 4.685 4.588 1.355 4.47 3.557 5.213 2.67 2.961
[2,] 823.856 845.720 822.092 173.141 749.01 428.486 880.715 259.86 349.621
[3,] 807.236 622.693 787.057 153.532 723.04 398.471 812.674 294.27 331.328
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.907 4.559 4.7 7.721 6.565 1.776 1.935 3.469 3.631
[2,] 226.595 602.861 425.0 843.384 881.875 537.153 646.350 449.621 396.503
[3,] 209.740 601.323 414.0 820.684 845.816 461.591 399.008 408.798 415.809
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.25 2.623 2.531 9.973 11.9 5.805
[2,] 507.64 285.174 435.961 1827.283 2072.6 975.203
[3,] 535.50 266.093 461.554 2052.457 1980.9 873.069
[1] "--- VAR model 2017-10-02 13:31:00 completed"
[1] "Completed training sample: 2017-10-02 13:31:00 - 2017-10-02 21:30:00"
[1] "SpVAR; training sample: 2017-10-02 14:01:00 - 2017-10-02 22:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.08131 -2.4360 -26.607 -13.61
-1.58156 -0.6663 -8.904 -21.29
-9.56364 -8.1396 -10.121 -15.33
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.490 0.4611 0.3562 2.5849
-1.763 -2.1675 1.3460 0.8392
-9.793 2.6839 0.9601 -11.8647
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.260 -9.892 3.6764 -10.23
-5.389 -3.911 5.6346 -12.77
-5.873 -5.034 0.2768 -12.67
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.8113 -7.934 -3.033 28.12
0.8250 -5.542 -8.712 31.04
0.8929 -4.226 -3.555 26.29
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.00 -9.109 5.387 -2.4115
-14.10 -4.824 -4.867 0.9090
-13.28 -17.909 -13.142 0.5138
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.948 -7.197 -19.45 -14.94
-4.086 -2.890 -43.36 -19.81
-17.004 3.755 -14.46 -17.32
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.153 -10.68 -9.077 1.11166
4.729 -18.80 -14.032 -1.19256
1.898 -13.03 -29.742 0.09589
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-17.80 2.3027 -4.675 -9.434
-19.50 0.3911 -14.249 -5.868
-18.21 2.8356 -18.417 -3.727
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.950 -15.00 -3.926 -7.598
-2.912 -13.10 -3.263 -7.676
-4.031 -11.56 -14.372 -7.945
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.02822 -5.025 -11.283 -0.4667
2.96426 -6.542 -10.199 -0.5226
0.32920 -5.962 -3.017 -2.5449
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.177 0.9042 -4.975 -17.01
-3.203 1.1620 -10.809 -11.49
-1.277 -0.5535 -6.872 -15.51
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.871 0.006856 -11.570 -0.976
3.887 -0.981242 -4.542 4.476
2.869 -1.641523 -8.871 -0.450
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.484 -8.038 6.604 -9.331
1.168 -1.502 -7.702 7.115
2.197 -6.683 -9.554 9.545
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3513 -6.161 2.082 -2.5865
0.6652 2.953 1.355 -0.7446
-2.2380 -8.966 -1.837 5.3931
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.9013 -10.813 -0.8753 -0.7296
-0.8063 2.225 -1.5804 -13.2012
0.4605 1.542 0.5330 1.3494
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.794 -4.8579 1.735 1.309
-2.846 -4.4704 2.477 -3.085
-1.855 -0.3088 -1.257 -1.258
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.525 1.3262 -11.827 4.692
-3.907 -0.6905 4.145 5.105
-2.214 -1.8452 2.050 -4.532
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.255 -4.2202 2.742 -6.356
1.753 -2.7342 -5.097 -3.595
-8.195 -0.9418 -7.117 -16.559
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-9.595 -4.422 6.425 3.075
-6.456 -9.305 12.482 -6.206
-4.560 -13.879 11.222 1.645
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.523 2.2715 -5.958 0.5133
3.870 -0.8481 -2.205 3.5205
-5.909 1.9200 -4.239 -0.2063
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.506 -2.471 -1.596 -0.9172
-7.678 0.308 -1.060 -4.0381
2.187 -2.142 -1.954 0.1941
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.9530 -5.780 -2.5537 -3.9679
-7.8330 -1.871 -5.5149 -5.5234
0.8327 -10.205 0.8116 0.2073
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.89404 -0.2531 5.694 6.850
0.05445 3.0682 -2.526 -3.115
4.23117 -1.7134 1.313 1.768
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.182 -4.2754 6.604 93.20
-1.684 0.7367 4.889 84.31
-1.648 -2.4323 8.723 80.83
rnd_95776.volume rnd_95787.volume
-13.377 -17.71
-44.097 -18.83
-5.224 -14.91
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.010 2.632 8.173 4.439 5.488 1.931 1.443 4.373 5.040 3.491 2.501
[2,] 4.072 2.997 9.704 5.669 7.338 2.305 1.679 5.044 6.157 5.422 3.222
[3,] 4.655 3.363 10.984 6.883 8.351 2.584 1.879 5.537 6.871 6.025 3.884
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.650 2.800 3.038 3.119 3.315 3.778 4.059 5.732 5.279 8.877 3.461
[2,] 4.841 3.345 3.646 3.951 4.205 4.773 5.533 7.581 6.718 9.870 4.196
[3,] 5.492 3.822 4.215 4.563 4.770 5.442 6.342 8.570 7.877 11.571 4.654
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.664 4.275 1.751 4.166 4.099 3.212 4.218 1.660 4.249 3.725 2.014
[2,] 12.756 5.691 2.125 5.543 5.772 3.671 5.334 2.052 5.581 4.586 2.366
[3,] 15.186 6.923 2.355 7.045 7.214 4.014 6.605 2.229 6.760 5.402 2.586
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.567 4.421 4.453 3.706 3.427 3.149 1.009 3.918 0.8937 3.101 2.631
[2,] 6.029 5.700 5.905 4.392 4.190 4.140 1.186 4.634 1.0539 4.023 3.779
[3,] 7.016 6.515 6.859 4.784 4.815 4.673 1.358 5.170 1.1781 4.596 4.506
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.364 1.510 3.125 3.763 4.065 2.422 4.065 4.080 1.673 3.387 3.448
[2,] 2.825 1.790 4.419 4.285 4.630 2.876 5.731 4.886 1.996 4.998 4.613
[3,] 3.163 1.925 5.064 4.647 5.120 3.218 6.619 5.535 2.207 6.394 5.524
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.816 2.372 3.342 0.9714 3.109 1.395 2.705 2.827 3.133 4.338 1.796
[2,] 4.397 4.124 3.893 1.1957 4.364 1.625 3.458 3.371 4.761 5.805 2.096
[3,] 5.163 5.467 4.429 1.3530 5.796 1.861 4.084 3.717 5.580 6.526 2.400
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.877 2.522 4.363 1.658 4.269 4.768 4.377 4.153 4.082 3.428 3.121
[2,] 5.256 2.845 5.880 1.917 5.284 5.934 5.260 5.391 5.260 4.827 4.458
[3,] 5.990 3.202 6.639 2.171 5.934 6.600 6.035 5.961 6.191 5.499 5.639
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.063 3.325 2.655 3.997 2.092 2.239 1.462 3.571 3.421 5.363 4.938
[2,] 1.263 4.365 3.176 5.325 2.373 2.689 1.733 4.319 3.899 6.493 5.972
[3,] 1.406 5.375 3.546 6.176 2.640 3.057 1.926 4.877 4.253 7.405 6.959
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.392 1.523 2.684 2.770 2.464 1.994 2.045 7.897 9.509 4.141
[2,] 2.618 3.005 3.202 3.165 3.206 2.299 2.718 10.785 12.586 5.649
[3,] 3.128 3.358 3.565 3.566 3.842 2.514 3.337 13.420 15.300 6.738
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.822 3.342 10.38 5.637 6.969 2.452 1.832 5.553
[2,] 707.804 369.815 1350.27 910.353 1257.405 324.934 221.560 648.862
[3,] 582.671 393.749 1328.35 1007.383 1029.009 301.135 217.811 589.621
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.399 4.432 3.176 4.635 3.556 3.858 3.961 4.21
[2,] 913.283 1070.892 524.285 820.979 472.188 520.570 625.886 667.86
[3,] 787.011 678.213 560.176 669.504 477.634 545.602 589.102 581.16
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.797 5.155 7.278 6.704 11.27 4.395 11 5.428
[2,] 753.179 970.566 1280.708 1072.234 1113.60 612.538 2417 969.987
[3,] 674.713 800.038 1031.938 1061.885 1558.81 519.481 2127 1017.666
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.224 5.29 5.205 4.079 5.356 2.108 5.395 4.73
[2,] 310.624 944.01 1049.107 458.801 843.168 311.210 934.029 690.76
[3,] 262.188 1122.38 1116.967 419.426 1005.448 224.740 985.036 736.56
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.557 5.799 5.614 5.654 4.707 4.351 3.998 1.281
[2,] 320.830 1016.198 928.698 1001.116 608.408 622.289 693.830 161.110
[3,] 268.886 926.326 814.587 900.695 489.655 612.585 559.260 170.761
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.975 1.135 3.937 3.34 3.002 1.918 3.969 4.779
[2,] 638.931 144.196 661.494 700.32 399.083 247.854 806.528 528.682
[3,] 591.234 135.913 574.067 633.46 367.462 182.991 637.994 464.319
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.162 3.075 5.162 5.181 2.125 4.302 4.379 3.576
[2,] 572.126 400.511 1042.786 693.679 280.891 948.757 791.086 871.590
[3,] 564.412 372.737 855.090 671.598 243.208 1029.121 784.186 698.706
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 3.012 4.244 1.234 3.948 1.771 3.434 3.59 3.979
[2,] 870.898 515.609 179.970 790.586 215.146 556.284 473.81 925.333
[3,] 926.343 544.985 163.449 984.550 234.060 560.877 404.34 751.320
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.509 2.28 4.924 3.202 5.541 2.105 5.421 6.054
[2,] 995.574 278.95 916.046 339.716 1017.628 248.512 803.837 912.048
[3,] 770.014 301.96 741.314 379.461 795.805 262.991 696.697 745.769
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.558 5.273 5.183 4.353 3.963 1.35 4.222 3.371
[2,] 752.991 887.304 856.590 877.422 821.745 176.02 730.221 450.120
[3,] 763.709 656.823 842.418 679.993 891.189 159.65 809.692 406.839
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 5.075 2.657 2.843 1.857 4.534 4.344 6.81 6.27 1.767
[2,] 908.272 288.777 384.512 240.219 627.058 483.126 945.06 867.17 572.239
[3,] 807.602 299.095 374.910 216.670 584.925 438.279 918.69 922.23 441.955
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.934 3.409 3.518 3.129 2.533 2.596 10.03 12.07
[2,] 668.735 450.591 395.296 529.565 295.040 462.187 1895.97 2128.67
[3,] 386.735 404.806 423.854 546.658 263.015 499.966 2061.42 2245.30
[,98]
[1,] 5.258
[2,] 991.685
[3,] 948.422
[1] "--- VAR model 2017-10-02 14:01:00 completed"
[1] "Completed training sample: 2017-10-02 14:01:00 - 2017-10-02 22:00:00"
[1] "SpVAR; training sample: 2017-10-02 14:31:00 - 2017-10-02 22:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.1705 2.720 1.402 -11.862
-5.0638 2.346 -13.878 2.711
-2.3819 -4.770 3.857 -7.556
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.793 0.8493 1.0542 -2.5846
-12.287 1.8866 -2.3031 -0.8167
1.472 -3.6920 0.4762 1.7512
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.657 -6.357 0.9074 -21.92
-11.165 -3.846 -3.0153 -14.70
-5.290 -4.368 -1.4868 -10.09
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5721 -2.140 0.8995 25.80
1.1333 -4.270 -5.2583 23.96
0.4068 -6.255 -6.5773 24.61
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.143 -8.755 -11.7943 -0.2021
-11.737 -1.444 -4.1459 0.6679
-6.776 -6.109 0.7272 6.5872
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.348 -2.106 -13.79 -13.1429
-25.145 -2.111 10.88 6.4786
4.101 2.862 -33.04 -0.2051
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.2885 5.1044 3.2366 2.14280
-1.0689 -7.3149 -8.9485 0.08295
0.5599 0.7716 -0.1754 3.28969
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.3934 -1.2730 -12.1811 -3.194
-0.3672 -0.5439 -0.8121 2.366
-11.6670 1.2313 -11.2091 -5.163
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2484 -16.655 -17.0149 -2.985
0.9612 -1.276 -13.5313 -10.535
0.5221 -9.944 -0.0582 -1.343
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.292 -4.435 3.8909 -0.8544
-5.032 -5.045 -0.8539 0.5734
2.258 4.846 0.9707 -0.1323
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.653 -0.7486 -10.629 -16.311
4.835 -0.1630 -3.757 -6.422
1.450 -0.2744 -6.068 -10.104
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.1837 -1.5146 -8.473 2.816
0.9713 0.2353 -9.513 -7.754
0.1173 -1.8478 -5.241 6.074
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.785 -1.176 -2.646 -2.714
-1.353 -1.825 1.236 2.695
3.619 -4.465 -11.325 2.472
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.75742 6.685 -0.4633 -1.606
0.01358 -11.315 -3.5588 -1.982
1.06412 -2.586 -2.2650 -5.306
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.383 4.270 -1.721 4.340
-2.254 -3.013 1.413 4.642
-2.021 -4.579 2.390 -3.827
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6769 3.023 2.891 4.691
-0.9963 5.661 0.482 4.739
-2.1774 -4.303 4.043 3.197
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.3234 0.9378 3.4026 -3.0787
3.5051 -0.9754 0.5228 1.7083
6.6975 2.1779 -3.2749 0.5513
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.052 -1.0396 -3.9029 -4.643
-1.287 0.5078 0.7189 -2.494
2.860 0.9355 2.3039 -5.150
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.977 -6.728 -7.859 -0.2361
-1.233 -12.232 -13.085 -12.0106
-4.917 -3.392 -6.840 -5.9532
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.8283 -1.4471 -8.906 0.7422
-0.8858 -0.8080 -2.911 -0.5405
-13.3545 0.2576 -3.592 -7.4569
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-11.738 -4.4998 -1.769 1.5822
-6.996 -0.1156 3.039 2.6410
-2.205 0.8311 -1.706 -0.2314
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.0021 2.546 -2.105 10.4364
-0.4015 1.030 -2.907 -4.5692
2.5773 -4.895 -14.660 -0.3808
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3029 -4.613 -3.619 -5.149
-2.5528 -5.879 -3.935 -3.827
-5.5769 -0.255 -1.905 0.545
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.764 -0.8114 14.48 103.84
9.379 -0.9848 12.22 104.37
1.599 1.1070 13.97 84.79
rnd_95776.volume rnd_95787.volume
-27.92 -10.673
-14.07 4.459
-21.91 -3.641
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.789 2.539 7.817 4.404 5.382 1.771 1.363 3.922 4.683 3.331 2.478
[2,] 3.714 2.896 9.546 5.487 7.120 2.123 1.608 4.659 5.707 4.949 3.199
[3,] 4.309 3.222 10.810 6.614 8.067 2.444 1.800 5.100 6.445 5.597 3.803
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.616 2.794 2.980 3.082 3.308 3.716 3.863 5.720 5.265 8.707 3.378
[2,] 4.766 3.288 3.591 3.889 4.208 4.870 5.439 7.295 6.685 9.995 4.109
[3,] 5.427 3.752 4.070 4.375 4.796 5.458 6.274 8.372 7.835 11.516 4.585
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.323 4.218 1.750 4.172 3.973 3.116 4.226 1.684 4.257 3.460 1.965
[2,] 12.277 5.539 2.066 5.437 5.710 3.538 5.230 2.045 5.538 4.385 2.270
[3,] 14.754 6.735 2.266 6.758 7.057 3.872 6.437 2.241 6.732 5.083 2.504
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.571 4.286 4.298 3.494 3.231 2.865 0.956 3.737 0.8568 3.014 2.551
[2,] 5.788 5.525 5.843 4.129 3.982 3.757 1.139 4.513 0.9915 3.875 3.631
[3,] 6.788 6.300 6.809 4.489 4.566 4.276 1.313 4.956 1.1164 4.441 4.348
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.411 1.466 3.013 3.480 3.850 2.344 3.926 3.862 1.602 3.269 3.148
[2,] 2.788 1.735 4.197 3.876 4.489 2.804 5.354 4.702 1.941 4.844 4.274
[3,] 3.084 1.871 4.828 4.305 4.944 3.145 6.234 5.354 2.168 6.064 5.103
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.712 2.224 3.148 0.9257 2.957 1.363 2.616 2.837 2.945 4.036 1.677
[2,] 4.269 3.831 3.666 1.1410 4.170 1.603 3.305 3.285 4.569 5.545 1.969
[3,] 4.992 5.113 4.167 1.3070 5.668 1.828 3.954 3.603 5.247 6.178 2.253
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.702 2.373 4.141 1.594 4.041 4.376 4.383 4.132 4.021 3.291 2.681
[2,] 5.030 2.702 5.651 1.887 5.040 5.536 5.139 5.245 5.302 4.624 4.138
[3,] 5.828 3.040 6.462 2.158 5.712 6.219 5.789 5.789 6.125 5.340 5.270
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.012 3.357 2.519 4.085 2.056 2.176 1.363 3.482 3.161 5.235 4.998
[2,] 1.213 4.146 3.011 5.150 2.306 2.694 1.648 4.172 3.685 6.174 6.001
[3,] 1.333 5.048 3.387 5.956 2.567 3.065 1.862 4.660 4.041 6.964 6.881
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.395 1.429 2.571 2.648 2.378 1.940 2.087 8.061 9.474 4.166
[2,] 2.548 2.875 3.095 3.058 3.116 2.256 2.818 10.895 12.338 5.474
[3,] 3.054 3.248 3.477 3.475 3.722 2.474 3.469 13.683 14.886 6.525
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.541 3.225 9.926 5.593 6.834 2.249 1.731 4.98
[2,] 655.603 372.005 1464.772 875.001 1246.149 312.902 228.103 672.18
[3,] 584.413 377.836 1356.026 987.405 1013.771 323.636 216.043 554.96
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.946 4.23 3.147 4.591 3.548 3.785 3.914 4.2 4.718
[2,] 872.284 978.52 540.848 829.978 463.398 535.491 633.989 695.2 841.504
[3,] 800.666 698.84 549.571 694.189 483.502 512.060 535.899 615.4 658.847
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.906 7.263 6.685 11.06 4.29 10.57 5.356 2.223
[2,] 1023.502 1210.548 1101.359 1312.08 625.52 2412.68 959.652 293.484
[3,] 836.044 1097.829 1092.687 1529.03 543.65 2187.59 1024.569 248.838
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.298 5.046 3.956 5.366 2.138 5.406 4.394 2.495
[2,] 932.178 1096.141 448.106 823.879 310.236 947.025 720.117 303.573
[3,] 1072.729 1108.992 420.558 1003.376 245.106 1022.947 687.224 282.726
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.804 5.443 5.458 4.437 4.103 3.639 1.214 4.746
[2,] 949.220 931.991 1058.236 588.160 622.302 649.685 165.727 676.385
[3,] 948.280 809.064 934.462 470.972 597.130 545.881 174.219 547.681
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.088 3.827 3.239 3.062 1.861 3.826 4.419 4.889
[2,] 133.411 651.196 690.769 374.231 248.329 780.985 456.398 617.201
[3,] 137.160 580.037 639.443 352.745 186.713 638.221 500.827 553.664
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.977 4.986 4.904 2.035 4.151 3.998 3.444 2.825
[2,] 411.462 972.977 717.226 292.902 955.733 772.811 881.228 833.727
[3,] 380.545 853.796 684.429 258.087 974.976 745.269 691.986 905.180
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.998 1.176 3.756 1.731 3.322 3.602 3.74 5.125
[2,] 501.811 178.309 785.807 225.783 539.933 442.609 933.78 1016.458
[3,] 529.936 170.419 1026.254 234.617 580.432 395.877 689.84 728.163
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.13 4.701 3.014 5.259 2.025 5.131 5.557 5.565
[2,] 275.51 910.617 345.281 1027.944 269.911 805.135 906.595 717.600
[3,] 292.94 786.500 372.700 837.576 279.685 718.774 757.372 712.467
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.247 5.106 4.179 3.404 1.286 4.263 3.199 5.187
[2,] 863.487 923.863 868.451 842.854 178.571 650.207 440.724 838.398
[3,] 655.294 819.629 714.216 872.134 148.060 770.030 415.012 799.582
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.611 2.763 1.731 4.422 4.014 6.647 6.347 1.772
[2,] 279.054 424.727 247.561 614.291 506.353 875.368 888.034 569.905
[3,] 301.890 390.568 231.388 554.856 443.765 860.843 899.814 450.289
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.815 3.264 3.362 3.02 2.463 2.65 10.24 12.03 5.29
[2,] 667.044 460.756 409.191 538.09 308.142 506.30 1959.39 2112.75 949.28
[3,] 403.707 423.813 441.037 544.11 271.512 540.74 2213.29 2226.82 949.47
[1] "--- VAR model 2017-10-02 14:31:00 completed"
[1] "Completed training sample: 2017-10-02 14:31:00 - 2017-10-02 22:30:00"
[1] "SpVAR; training sample: 2017-10-02 15:01:00 - 2017-10-02 23:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.9185 2.016 -23.467 -0.523
5.8621 -1.559 -1.181 -7.164
0.9544 1.085 -14.526 -10.143
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.387 3.0870 1.5862 1.748
4.287 -1.8631 0.8727 -1.053
-4.505 0.7994 0.4395 4.519
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.5674 -0.2200 2.160 -0.0972
-1.3090 -5.7018 1.346 -11.8241
-0.5753 0.1462 1.922 -7.8478
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7635 -1.0075 -2.186 16.92
1.1814 0.9161 1.867 24.98
2.8689 -3.6506 -2.721 18.18
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.442 -0.6682 6.197 3.279
-5.881 0.2257 4.851 3.727
-3.436 3.1530 7.088 7.237
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.574 -2.091 -27.374 -12.80
5.003 -2.020 -37.400 -13.12
-12.823 1.740 3.543 -5.93
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.1446 -11.00 -12.770 1.612
-0.2988 -7.81 -5.795 4.955
-1.8834 -16.87 -12.697 -1.800
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.796 0.07528 -3.477 -2.788
-9.219 -0.72232 -4.456 -3.509
-9.573 -0.98083 -14.402 -1.249
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.358 -2.751 -8.748 -9.276
-2.169 -9.167 -6.534 -2.138
-2.207 -18.040 -12.953 -12.523
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4632 -0.4512 4.3040 -0.8090
0.2817 -3.8918 2.4148 1.0058
1.2378 -4.7539 0.9469 0.7332
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.733 0.7039 -8.384 -3.375
1.395 0.9642 -8.907 -7.537
1.782 0.7857 -1.302 -9.642
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.6531 -0.4828 -3.844 1.676
-1.6880 -0.9872 -3.045 5.349
-0.4501 0.3473 -6.176 3.892
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.7691 0.6511 -0.7921 1.983
-0.3132 -4.1669 -2.9451 3.063
4.8892 0.8802 0.1012 5.493
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.458 -4.2786 -3.4306 -3.243
-1.217 1.1307 0.1465 -5.306
-3.094 -0.8436 1.5405 5.507
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.674 -4.852 1.8968 -4.017
-2.083 1.031 -0.4742 -1.355
-3.860 2.520 -1.1936 -4.020
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.03742 3.264 -1.926708 -1.182
-0.23662 -4.142 0.004792 6.172
-0.19954 1.418 0.647766 -4.325
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.3637 -1.23619 2.368 4.038
3.7735 -0.03845 4.642 5.318
-0.3978 -0.29803 3.758 0.503
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.775 1.0995 1.3604 -1.7279
6.020 0.5729 2.7124 4.0706
6.712 -1.0817 0.5599 -0.7699
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.836 4.1531 -7.338 -2.142
0.833 -0.7791 -5.980 -4.303
-1.593 -3.3023 -3.549 2.326
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.853 1.601 0.1696 4.008
-4.706 1.260 -3.2493 1.412
-1.220 0.697 -4.5949 4.546
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.299 -0.8501 -2.5728 -0.3427
1.678 -3.1424 -2.2929 -0.7846
-6.676 -1.3874 0.2668 -2.4312
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.786 0.6188 11.466 1.420
1.907 -1.8527 6.306 -10.897
-3.465 -0.3840 2.074 5.098
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8899 0.8206 1.2547 0.6051
-0.7221 -0.4332 -0.8718 -1.2430
0.5432 -0.6767 -1.5989 -4.3851
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.20509 -2.174 -4.683 100.21
-3.89884 -3.056 -7.421 102.68
-0.05341 -1.425 -8.931 95.41
rnd_95776.volume rnd_95787.volume
-0.9945 -9.469
-0.5220 -12.616
5.9551 -4.003
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.674 2.346 7.309 4.413 5.127 1.630 1.329 3.710 4.560 3.260 2.393
[2,] 3.534 2.702 9.013 5.437 6.817 2.012 1.561 4.487 5.540 4.787 3.073
[3,] 4.149 3.065 10.269 6.588 7.766 2.365 1.718 4.962 6.204 5.325 3.680
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.631 2.635 2.868 2.964 3.243 3.509 3.703 5.378 4.965 8.338 3.120
[2,] 4.656 3.174 3.483 3.788 4.160 4.607 5.155 6.944 6.442 9.605 3.838
[3,] 5.347 3.580 3.925 4.210 4.765 5.081 6.104 8.044 7.560 11.161 4.331
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.961 3.953 1.639 4.030 3.856 2.979 4.204 1.634 4.148 3.315 1.908
[2,] 11.773 5.317 1.929 5.321 5.445 3.383 5.132 1.961 5.421 4.119 2.235
[3,] 14.119 6.399 2.121 6.596 6.795 3.698 6.386 2.175 6.577 4.729 2.433
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.318 4.154 3.943 3.150 3.035 2.772 0.9142 3.351 0.8032 2.835 2.480
[2,] 5.701 5.339 5.382 3.693 3.727 3.574 1.1055 4.001 0.9322 3.629 3.472
[3,] 6.616 5.989 6.458 4.139 4.353 3.989 1.2570 4.416 1.0601 4.153 4.114
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.347 1.454 2.957 3.075 3.670 2.321 3.552 3.640 1.603 3.335 3.005
[2,] 2.711 1.707 3.984 3.541 4.287 2.748 4.889 4.498 1.864 4.764 4.072
[3,] 2.990 1.853 4.639 4.022 4.812 3.064 5.737 5.052 2.080 5.928 4.853
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.585 2.119 2.856 0.9051 2.757 1.233 2.395 2.511 2.822 3.730 1.607
[2,] 4.144 3.732 3.426 1.1287 4.019 1.469 3.019 2.921 4.171 5.007 1.880
[3,] 4.823 4.938 3.919 1.2657 5.318 1.696 3.693 3.279 4.761 5.639 2.136
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.521 2.209 4.000 1.547 3.945 4.237 4.170 3.944 3.864 3.160 2.555
[2,] 4.662 2.486 5.334 1.831 4.903 5.355 4.895 5.047 5.093 4.523 3.937
[3,] 5.391 2.762 6.031 2.068 5.551 6.107 5.544 5.530 5.899 5.156 5.080
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.003 3.229 2.370 3.933 1.968 2.074 1.229 3.240 3.027 5.096 4.449
[2,] 1.171 3.967 2.950 4.968 2.260 2.606 1.515 3.981 3.530 5.976 5.477
[3,] 1.257 4.806 3.347 5.768 2.502 2.945 1.709 4.428 3.920 6.674 6.414
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.382 1.337 2.432 2.459 2.359 1.815 2.099 8.112 9.046 3.823
[2,] 2.428 2.650 2.905 2.890 3.040 2.060 2.835 10.989 11.650 5.214
[3,] 2.892 3.077 3.293 3.332 3.623 2.271 3.560 13.622 14.042 6.259
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.395 2.979 9.282 5.604 6.511 2.07 1.687 4.711
[2,] 688.009 398.885 1569.636 945.236 1336.868 350.89 243.870 750.955
[3,] 646.895 430.626 1464.394 1107.301 1107.593 370.11 213.339 630.545
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.79 4.139 3.038 4.611 3.346 3.642 3.763 4.119
[2,] 936.25 1043.142 573.873 867.391 526.720 588.354 702.064 775.298
[3,] 831.16 694.247 602.489 782.368 492.664 538.294 547.183 691.275
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.456 4.702 6.829 6.305 10.59 3.962 10.11 5.019
[2,] 888.627 1067.450 1307.349 1221.621 1419.00 665.040 2580.95 1058.613
[3,] 637.659 972.609 1208.761 1177.394 1691.66 597.370 2319.88 1059.398
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.081 5.118 4.896 3.783 5.338 2.075 5.267 4.209
[2,] 302.664 1033.803 1144.160 476.655 876.296 322.577 1038.661 727.857
[3,] 262.541 1160.321 1209.851 444.522 1130.703 279.911 1108.203 691.046
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.423 5.484 5.274 5.007 4.0 3.855 3.521 1.161
[2,] 346.284 1107.715 998.501 1090.106 573.9 643.762 671.475 184.969
[3,] 285.901 998.795 807.345 1062.624 556.2 669.235 526.874 178.040
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 4.256 1.02 3.6 3.15 2.98 1.847 3.755 3.904 4.66
[2,] 650.321 140.82 674.4 723.16 404.10 266.262 794.429 522.760 659.18
[3,] 556.540 150.26 601.2 656.39 375.24 214.112 707.431 567.287 650.92
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.948 4.511 4.623 2.035 4.235 3.816 3.282 2.691
[2,] 437.832 999.891 786.379 282.997 1012.438 817.829 963.867 914.060
[3,] 403.270 893.262 684.170 274.840 1049.867 785.564 734.750 962.404
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.626 1.149 3.5 1.566 3.041 3.189 3.584 4.737 2.04
[2,] 563.232 200.702 870.2 237.607 546.828 444.228 913.979 993.996 290.54
[3,] 566.629 170.432 1036.7 251.963 633.324 443.318 682.964 772.085 301.51
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.471 2.806 5.079 1.965 5.01 5.38 5.296 5.009
[2,] 909.731 339.453 1050.122 291.600 866.13 974.60 762.889 937.063
[3,] 805.182 357.780 837.746 285.799 774.88 873.67 774.762 672.790
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.906 4.013 3.245 1.274 4.1 3.009 4.995 2.499 2.634
[2,] 987.312 963.000 891.233 179.779 685.8 522.890 903.304 330.929 469.620
[3,] 886.116 736.655 955.628 136.126 807.6 470.289 871.957 319.577 408.053
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.561 4.115 3.843 6.471 5.649 1.755 1.698 3.088
[2,] 263.537 688.050 540.569 929.161 950.698 594.114 680.955 472.986
[3,] 235.494 577.460 507.815 884.508 993.395 467.674 465.309 461.438
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.123 2.995 2.305 2.665 10.3 11.49 4.854
[2,] 451.548 570.900 289.699 567.282 2206.4 2184.73 1055.234
[3,] 493.917 586.581 284.854 640.784 2395.8 2333.23 1030.626
[1] "--- VAR model 2017-10-02 15:01:00 completed"
[1] "Completed training sample: 2017-10-02 15:01:00 - 2017-10-02 23:00:00"
[1] "SpVAR; training sample: 2017-10-02 15:31:00 - 2017-10-02 23:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.629 -3.452 -5.434 -14.264
2.257 -1.194 -16.640 -14.228
2.802 -2.216 -10.333 -5.527
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.584 -0.5005 -0.90116 2.692
-11.973 2.4833 -1.72251 -1.974
-13.279 -1.3669 0.02374 -4.787
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.706 1.35228 5.3972 -5.661
-1.935 -0.09684 0.5818 -3.768
-4.717 -1.55816 -0.2628 -9.215
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.049 -2.7711 -3.417 16.94
-1.395 0.6787 -0.106 10.85
-0.690 -1.9362 -1.449 15.05
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.652 -3.890 2.4203 3.367
-6.962 -1.188 0.3983 -3.708
-6.147 -3.235 -5.1307 1.837
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.805 -0.5689 -19.37 -12.06
-13.963 6.9501 -20.71 -11.52
3.845 4.2559 -17.54 -13.93
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.07235 -18.461 -11.925 0.9738
0.68745 -2.832 -10.137 -0.7985
0.18135 -12.084 -6.868 1.5921
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.191 0.4898 -17.07 -3.8980
-15.908 -2.6493 -16.38 -6.3370
-4.906 0.9689 -12.42 -0.6469
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.493 -14.307 -3.764 -4.245
-1.195 -5.891 -12.198 -13.696
-1.990 -16.840 -14.246 -8.217
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3674 -0.934 -0.08541 -0.02851
3.7514 4.559 -0.05028 -1.33364
1.0961 1.872 1.27334 0.35391
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.583 -0.2209 -3.523 -7.297
3.638 0.2319 -5.869 -10.027
2.145 -0.1346 -7.040 -7.084
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6951 -1.8777 -6.663 -4.343
2.1684 -0.1162 -7.548 -1.398
0.6347 -0.2087 -3.777 1.747
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.7172 0.8687 0.8915 -0.8437
-5.0353 -1.9628 -11.8618 -0.8989
-0.3526 -4.1748 -10.2819 5.7089
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.7323 2.777 0.06097 -0.5571
0.7525 -1.529 0.65962 1.0422
-2.9732 -6.298 -9.82251 -2.7786
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.2668 0.3605 0.5502 -2.348
-0.8918 7.8298 -0.2483 4.199
0.8358 0.1085 1.6268 1.655
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.8233 -0.8486 1.296 -3.164
-0.8714 1.8458 -3.672 -2.272
0.2568 -2.4763 1.149 1.183
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.288 0.117 -10.678 1.7681
-2.167 1.397 3.721 -0.9040
-1.764 -2.947 2.733 -0.8956
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.851 -1.6270 1.4537 -1.3159
2.486 -3.6084 0.4914 1.5310
3.030 0.1471 0.3427 0.4416
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.6576 -0.0912 -7.4311 -0.9102
-2.8969 -0.1818 -0.6918 -2.9335
-0.3202 -1.1763 -5.7067 -0.4390
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.856 0.3603 -0.3014 -3.044
-1.708 -0.2989 -4.5778 1.486
-2.716 0.8524 -2.3518 -2.315
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.369 -0.1230 -1.5497 0.5461
-2.729 -1.2295 0.5247 1.2987
-5.387 -0.2766 -0.1833 -0.6760
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.364 -1.125 2.6008 0.1332
3.400 -3.203 0.0445 -0.3732
4.219 -2.421 2.2589 -2.6497
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.1361 -3.4763 -1.15154 -0.1734
-0.7349 0.5902 0.06345 0.2630
0.9915 -0.5212 -0.66981 -0.8870
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.9043 -1.454 -2.304 95.37
2.2070 -1.896 -2.652 104.56
2.9797 -1.013 -3.150 100.24
rnd_95776.volume rnd_95787.volume
-29.90 -13.917
-28.63 -7.374
-12.41 -11.358
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.588 2.199 7.372 4.087 4.676 1.390 1.318 3.552 4.214 3.118 2.210
[2,] 3.372 2.558 8.942 5.035 6.169 1.768 1.528 4.265 5.350 4.558 2.887
[3,] 3.926 2.873 10.158 6.165 6.818 2.085 1.681 4.691 5.939 5.085 3.485
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.367 2.520 2.806 2.871 3.216 3.363 3.341 5.211 4.727 8.483 2.942
[2,] 4.411 3.032 3.403 3.623 4.113 4.398 4.716 6.594 6.048 9.692 3.751
[3,] 5.102 3.447 3.853 4.058 4.623 4.845 5.479 7.522 6.957 11.236 4.169
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.572 3.806 1.592 3.791 3.591 2.726 3.911 1.535 3.949 3.219 1.794
[2,] 11.640 5.140 1.884 5.060 5.182 3.170 4.818 1.825 5.222 3.928 2.172
[3,] 13.735 6.304 2.035 6.538 6.627 3.485 5.965 2.038 6.233 4.470 2.367
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.928 3.731 3.621 2.880 2.954 2.640 0.8839 2.980 0.7774 2.802 2.459
[2,] 5.360 4.900 5.030 3.392 3.652 3.421 1.0687 3.610 0.9052 3.488 3.396
[3,] 6.144 5.433 6.114 3.902 4.172 3.770 1.2072 3.978 1.0327 4.044 3.982
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.289 1.325 2.766 2.875 3.530 2.218 3.459 3.334 1.487 3.190 2.950
[2,] 2.629 1.563 3.773 3.352 4.059 2.644 4.676 3.993 1.769 4.617 3.974
[3,] 2.896 1.718 4.388 3.826 4.605 2.969 5.476 4.389 1.975 5.722 4.713
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.491 1.915 2.698 0.8606 2.530 1.165 2.242 2.426 2.518 3.596 1.301
[2,] 3.810 3.461 3.173 1.0530 3.713 1.379 2.883 2.771 3.729 4.725 1.571
[3,] 4.634 4.637 3.632 1.2055 4.921 1.541 3.480 3.121 4.272 5.349 1.870
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.491 2.165 3.666 1.478 3.658 3.684 3.873 3.835 3.770 2.987 2.433
[2,] 4.563 2.416 4.830 1.761 4.566 4.956 4.559 4.848 4.953 4.328 3.780
[3,] 5.187 2.647 5.546 1.992 5.111 5.640 5.167 5.344 5.705 5.009 4.909
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9884 3.146 2.223 3.743 1.861 2.007 1.154 3.055 2.796 4.872 4.328
[2,] 1.1327 3.893 2.776 4.714 2.149 2.528 1.420 3.753 3.345 5.780 5.325
[3,] 1.2373 4.764 3.165 5.558 2.375 2.827 1.617 4.230 3.747 6.433 6.109
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.283 1.175 2.252 2.333 2.161 1.665 2.048 8.259 8.401 3.672
[2,] 2.312 2.549 2.741 2.733 2.721 1.930 2.797 11.222 11.093 4.991
[3,] 2.735 2.939 3.125 3.181 3.224 2.120 3.542 13.953 13.473 6.083
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.286 2.792 9.362 5.19 5.938 1.765 1.673 4.511
[2,] 657.339 397.991 1539.205 894.25 1223.737 332.415 235.418 717.924
[3,] 611.879 397.276 1465.536 1082.23 882.996 335.902 213.163 594.326
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.352 3.959 2.807 4.275 3.201 3.563 3.645 4.084
[2,] 1002.510 1011.116 565.095 866.879 512.485 585.847 672.216 779.939
[3,] 784.083 685.523 593.548 779.763 498.691 549.327 556.334 641.702
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.271 4.243 6.617 6.002 10.77 3.736 9.616 4.834
[2,] 861.967 1012.466 1228.995 1147.547 1426.13 707.822 2688.556 1050.565
[3,] 618.456 847.782 1100.999 1046.024 1728.67 553.129 2217.936 1109.964
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.021 4.814 4.559 3.462 4.967 1.949 5.015 4.088
[2,] 306.660 1019.242 1136.607 491.806 855.613 300.211 1038.900 684.470
[3,] 233.843 1259.339 1256.003 440.868 1069.790 276.002 1034.977 648.949
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.278 4.988 4.738 4.598 3.657 3.751 3.353 1.122
[2,] 372.134 1109.296 966.146 1062.105 545.134 653.081 661.534 182.703
[3,] 286.682 913.147 713.316 1057.272 586.484 613.273 482.124 170.730
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.785 0.9871 3.559 3.123 2.907 1.682 3.512 3.65
[2,] 619.649 141.0487 631.608 712.558 392.971 252.110 780.779 524.23
[3,] 508.460 151.1979 622.547 632.076 369.607 217.004 681.166 561.19
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.483 2.817 4.393 4.234 1.889 4.051 3.746 3.163
[2,] 609.451 437.437 956.762 668.500 290.985 1015.383 809.933 876.958
[3,] 661.046 410.590 866.905 553.750 267.459 1028.010 770.885 802.348
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.432 3.426 1.093 3.213 1.479 2.847 3.081 3.198
[2,] 876.834 507.988 184.544 826.514 224.653 551.024 407.187 836.476
[3,] 938.514 537.621 178.499 982.330 209.022 592.697 436.943 634.273
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.567 1.653 4.433 2.749 4.655 1.876 4.645 4.678
[2,] 932.281 267.525 893.611 326.165 956.416 291.309 831.089 1008.258
[3,] 762.081 308.772 750.439 328.931 829.382 283.478 698.902 818.657
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.918 4.87 4.788 3.792 3.09 1.255 3.995 2.822 4.753
[2,] 731.550 901.76 977.043 952.536 879.91 168.274 697.427 505.959 871.716
[3,] 739.190 684.12 860.645 767.253 952.51 151.461 834.965 462.373 895.568
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.363 2.548 1.466 3.879 3.55 6.186 5.496 1.629
[2,] 326.875 467.535 251.322 663.322 558.36 945.790 943.535 584.886
[3,] 307.603 384.672 235.271 593.078 514.04 859.245 910.450 444.675
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.492 2.86 2.963 2.745 2.115 2.6 10.49 10.67 4.662
[2,] 687.810 475.36 433.047 502.575 296.678 579.3 2310.78 2202.94 1028.433
[3,] 444.906 456.02 495.165 526.042 267.251 661.2 2521.94 2325.72 1057.661
[1] "--- VAR model 2017-10-02 15:31:00 completed"
[1] "Completed training sample: 2017-10-02 15:31:00 - 2017-10-02 23:30:00"
[1] "SpVAR; training sample: 2017-10-02 16:01:00 - 2017-10-03 00:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.132 -0.1076 -0.8801 -6.377
1.519 0.9621 -4.9042 -7.559
1.009 -1.7116 -7.5009 -4.709
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.287 -0.3115 0.8886 1.392
-9.207 1.2436 -0.5268 1.754
-6.599 -0.2906 -0.0955 1.343
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.4764 -1.280 -0.3657 -0.5491
-0.4931 3.285 0.9645 -3.6962
0.1063 -2.951 0.3642 -7.6015
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.0662 -2.4623 2.276 14.44
0.9885 0.6834 -2.041 13.17
-1.8043 -0.9198 2.011 12.99
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.48200 1.179 -3.9299 1.638
-0.07157 1.613 -0.3135 2.574
-0.39470 1.855 4.3891 1.847
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.172 9.449 -20.7793 -9.6127
-5.444 -1.809 -5.6515 -3.4757
6.374 2.576 0.8751 0.1392
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.5629 -1.0787 3.081 -1.1989
-0.7689 -3.8882 -8.779 4.3145
-1.0628 -0.1696 -4.834 0.7801
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.903 0.8507 -7.847 1.3928
-6.137 -0.2519 3.288 0.8061
-3.325 -0.5260 -9.002 -1.8036
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.254 -2.713 -12.325 -11.5501
-1.206 1.738 -2.530 -5.5499
-1.359 -8.225 -2.084 -0.1587
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.691 -5.5276 2.838 2.1746
2.832 -2.9605 5.460 -0.1954
-4.339 0.4707 4.730 0.9986
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.354 -0.05435 -7.750 -8.217
0.484 -1.10495 -7.057 -13.433
1.228 -0.01108 -4.309 -10.095
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.50671 0.0895 -4.672 4.5007
-0.65591 0.5348 -10.312 -0.8502
0.06539 -1.0932 -10.690 -0.3854
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.0268 -2.088 -4.178 4.5419
0.8339 -1.650 9.039 -0.3357
-4.3546 -2.613 -1.187 0.1388
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.352 0.3604 -2.083 -0.3778
1.002 3.1219 -1.964 -1.3056
1.330 2.5849 2.169 0.8713
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.118 1.827 -0.4741 -3.855
1.028 -0.599 0.4646 1.931
-3.841 2.280 0.3649 1.916
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.27906 -4.552 1.7033 0.4363
-0.33626 1.567 4.4758 5.4763
0.09097 1.743 -0.7024 0.4161
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.790 0.1640 -2.487 2.6966
-3.213 -1.8283 -4.780 -0.6306
3.693 -0.1791 2.958 0.2657
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.1131 -1.9677 -1.4505 7.9917
-2.7102 -0.6917 -2.2982 -0.5766
-0.4353 0.1805 0.3917 1.1280
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.788 -6.280 3.176 -8.03854
-4.390 -1.449 -3.588 0.09514
-2.120 -4.896 -3.717 -4.62233
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.598 0.62575 3.1147 0.9671
-6.464 0.80463 -5.2993 1.2191
2.194 -0.09002 -0.3499 -0.2132
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.667 -0.1042 3.6267 1.5469
1.032 0.8250 1.8667 -0.5791
-2.739 -1.4906 0.2061 1.0094
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3608 2.8091 -9.0315 -0.2425
-4.4530 0.1748 -0.7737 6.3022
-0.8276 0.6486 -5.6661 -3.1876
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.8189 0.2904 -0.9751 -1.3727
1.2824 -0.3204 1.7164 0.7449
0.6195 0.1929 -0.1375 2.4006
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.224 1.5193 -2.111 118.4
1.022 -0.4505 -2.042 114.4
1.891 -1.0535 -2.812 111.8
rnd_95776.volume rnd_95787.volume
5.210 -8.092
-8.508 -2.309
-27.489 1.188
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.438 2.016 7.240 3.808 4.288 1.258 1.213 3.380 3.973 2.790 2.093
[2,] 3.117 2.340 8.476 4.800 5.712 1.624 1.446 4.008 4.864 4.042 2.766
[3,] 3.616 2.672 9.819 5.745 6.305 1.955 1.608 4.405 5.454 4.482 3.261
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.164 2.414 2.590 2.765 3.117 3.073 3.144 4.957 4.402 8.039 2.882
[2,] 4.275 2.847 3.321 3.468 3.934 4.061 4.555 6.402 5.886 9.125 3.671
[3,] 4.883 3.259 3.796 4.022 4.399 4.605 5.291 7.139 6.696 10.320 4.021
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.364 3.627 1.503 3.497 3.588 2.645 3.618 1.408 3.496 2.893 1.746
[2,] 11.513 4.927 1.790 4.784 5.053 3.083 4.516 1.699 4.750 3.491 2.051
[3,] 13.298 6.109 1.956 6.273 6.324 3.353 5.465 1.925 5.748 3.873 2.236
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.789 3.456 3.401 2.571 2.785 2.511 0.8518 2.738 0.7168 2.692 2.304
[2,] 4.941 4.711 4.724 3.152 3.469 3.198 1.0274 3.361 0.8537 3.373 3.210
[3,] 5.716 5.187 5.614 3.666 3.911 3.613 1.1522 3.705 0.9779 3.939 3.863
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.123 1.270 2.692 2.712 3.34 2.103 3.220 2.807 1.345 3.062 2.657
[2,] 2.519 1.514 3.649 3.178 3.89 2.536 4.326 3.400 1.649 4.422 3.728
[3,] 2.803 1.632 4.238 3.571 4.38 2.835 5.294 3.888 1.840 5.324 4.394
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.355 1.823 2.460 0.7374 2.452 1.144 1.976 2.283 2.349 3.355 1.198
[2,] 3.579 3.282 2.925 0.9145 3.610 1.308 2.594 2.633 3.530 4.647 1.458
[3,] 4.396 4.451 3.383 1.0877 4.679 1.472 3.186 2.917 4.081 5.277 1.720
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.298 2.085 3.255 1.357 3.267 3.257 3.388 3.643 3.770 2.833 2.358
[2,] 4.353 2.346 4.416 1.611 3.949 4.423 4.155 4.648 4.811 4.150 3.675
[3,] 4.907 2.606 5.069 1.807 4.421 5.022 4.705 5.089 5.607 4.790 4.756
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8976 3.053 2.148 3.358 1.678 1.890 1.047 2.706 2.423 4.699 4.109
[2,] 1.0555 3.722 2.653 4.363 1.971 2.380 1.273 3.420 2.882 5.595 4.872
[3,] 1.1602 4.549 3.008 5.156 2.188 2.691 1.478 3.902 3.293 6.265 5.599
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.190 1.159 2.018 2.070 2.019 1.493 1.940 8.499 7.387 3.423
[2,] 2.054 2.337 2.477 2.468 2.506 1.815 2.684 11.238 10.331 4.744
[3,] 2.466 2.703 2.880 2.900 2.936 2.005 3.393 13.959 12.636 5.886
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.096 2.56 9.194 4.835 5.445 1.598 1.54 4.292
[2,] 661.418 404.38 1500.661 994.946 1284.777 349.444 267.77 733.171
[3,] 624.014 439.47 1687.590 1074.873 909.026 370.898 240.07 622.130
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.045 3.543 2.657 4.018 3.066 3.288 3.511 3.958
[2,] 955.430 995.714 615.606 978.864 513.583 708.155 712.643 817.152
[3,] 840.393 659.379 588.415 803.816 540.150 626.219 694.134 670.270
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.902 3.993 6.294 5.59 10.21 3.66 9.352 4.606
[2,] 904.029 1122.389 1379.413 1330.28 1470.42 773.93 3013.344 1135.565
[3,] 739.431 916.125 1076.121 1087.39 1641.20 559.09 2266.071 1229.721
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.908 4.441 4.556 3.359 4.594 1.788 4.439 3.673
[2,] 330.911 1111.699 1211.607 539.453 920.392 323.784 1095.121 665.574
[3,] 268.409 1381.361 1294.820 448.257 1048.072 307.993 1102.281 570.844
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.217 4.811 4.388 4.319 3.265 3.536 3.189 1.082
[2,] 366.411 1079.790 1090.127 1116.368 621.113 704.428 674.050 195.617
[3,] 303.420 978.631 739.248 1032.597 637.100 615.023 573.134 177.580
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.477 0.9103 3.419 2.926 2.696 1.612 3.418 3.444
[2,] 663.563 157.8722 692.024 761.047 461.705 280.733 839.043 564.260
[3,] 530.849 162.3786 692.654 731.437 418.784 207.065 734.014 554.803
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.242 2.67 4.089 3.564 1.708 3.888 3.374 2.99
[2,] 678.661 482.67 983.803 653.598 325.049 1086.465 890.653 917.61
[3,] 686.012 431.33 1039.223 642.188 277.947 1009.264 791.841 869.35
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.315 3.124 0.9364 3.114 1.453 2.509 2.899 2.983
[2,] 929.298 538.470 184.1784 901.920 215.704 572.049 446.898 897.025
[3,] 1023.918 578.752 200.5181 1013.713 230.336 630.110 427.009 697.412
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.26 1.521 4.188 2.648 4.134 1.723 4.149 4.136
[2,] 1095.04 283.376 967.580 366.085 1016.065 296.057 755.289 1018.840
[3,] 851.38 310.838 770.916 385.933 847.601 278.400 676.970 810.206
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.302 4.627 4.787 3.597 2.994 1.14 3.876 2.728
[2,] 818.971 982.926 1017.875 1032.475 959.660 189.12 724.911 530.002
[3,] 752.128 705.607 980.815 814.766 1028.422 163.94 890.699 482.796
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 4.264 2.13 2.4 1.329 3.437 3.077 5.967 5.218 1.511
[2,] 948.412 352.19 492.5 247.024 711.786 531.104 1034.109 891.313 570.210
[3,] 935.778 323.94 427.3 255.516 639.651 542.770 959.737 939.787 464.276
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.471 2.562 2.629 2.564 1.896 2.464 10.79 9.38
[2,] 690.940 489.548 457.607 505.400 351.084 631.551 2503.97 2459.53
[3,] 462.783 499.921 518.479 520.805 290.343 706.747 2819.50 2477.46
[,98]
[1,] 4.346
[2,] 1118.641
[3,] 1186.129
[1] "--- VAR model 2017-10-02 16:01:00 completed"
[1] "Completed training sample: 2017-10-02 16:01:00 - 2017-10-03 00:00:00"
[1] "SpVAR; training sample: 2017-10-02 16:31:00 - 2017-10-03 00:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7924 -0.57869 -2.050 -2.180
-1.5502 0.04958 -11.285 4.872
-2.7273 -0.52894 -1.847 -5.367
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.4836 -2.3295 -0.7919 -1.294
1.6550 0.2172 1.4809 1.392
-0.4325 -1.7938 -0.5521 -4.328
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-12.379 -4.656 0.7505 -9.224
3.757 -1.359 -2.5632 -8.828
-6.117 -2.173 1.9979 1.446
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.7087 0.08909 -1.556 9.108
-0.8731 -5.59765 -2.647 8.446
0.7153 0.35398 -1.327 8.199
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.2180 0.9642 -0.848 -0.5617
-0.3507 -0.8090 -1.624 1.5188
-2.6544 -4.9776 1.924 3.4493
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.737 -1.820 -7.760 -10.619
-7.767 -3.351 -7.065 -2.565
1.196 -1.152 -11.358 -5.996
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2089 -0.1438 0.6448 2.941
-0.1337 -1.6250 -6.5464 0.913
0.4484 -0.7040 -2.3568 -0.280
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.727 2.222 -4.195 2.599
5.317 1.040 1.195 -5.558
-6.616 0.103 -6.984 -1.650
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.6323 -2.37801 0.8445 -2.270
1.6343 -0.09957 -5.1921 -2.151
0.3606 -5.83057 -1.4801 -2.947
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4647 -0.6571 -2.4475 1.2465
1.2114 1.7722 3.8565 -0.2320
0.4619 3.5520 0.6401 0.6446
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8384 0.1923 5.1023 0.3993
-2.0431 0.3950 0.7984 3.0228
0.4830 0.8426 -1.4246 0.2068
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4049 -0.6217 0.4629 -1.097
2.4652 -0.1122 0.9182 -1.161
2.3418 0.3451 -0.1236 -1.265
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.555 -1.359 -0.8400 2.301
1.420 -2.109 0.6295 -2.868
-1.348 -1.787 3.6651 2.952
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4858 -2.140 0.1248 -0.06407
1.3957 -1.897 1.7423 -2.35933
1.4774 2.261 0.2362 -0.39426
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.1396 6.2395 0.2143 -0.19447
-1.7707 -0.9775 -0.4134 3.03629
0.8940 -0.6305 -0.2043 0.02683
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.9770 2.302 1.908 0.7272
-1.7866 -1.659 1.249 4.5327
-0.9806 1.110 3.686 -0.2686
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.5488 -1.74331 -1.532 2.8774
4.8148 -0.03416 6.041 0.4103
1.8255 -1.11813 3.547 0.5458
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.328 -0.5940 -3.808 -2.627
2.730 -0.1664 -4.523 4.312
3.126 1.6061 -4.621 -4.730
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.872 -1.502 5.701 1.5194
4.780 1.048 5.447 0.7212
-1.394 -2.067 2.589 3.6384
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.970 0.2845 -0.1823 -2.5801
-2.578 -1.1823 -5.6189 2.5777
2.099 0.1153 1.0471 -0.8795
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.9551 -2.814 -1.6864 0.9793
-2.7656 -2.217 -0.6473 -0.2654
-0.5068 -1.116 2.5595 0.3246
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.850 -1.5836 8.722 -4.67281
4.161 2.5114 1.018 3.86372
7.651 0.1276 4.171 -0.02091
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5159 -0.8166 -0.07389 0.6911
1.0998 -0.5363 -0.72268 0.1877
-0.1315 -0.2823 -0.08548 -0.4094
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.01987 -1.4770 -2.236 94.56
3.28997 2.1359 -1.669 98.12
0.97367 -0.8631 -3.342 93.13
rnd_95776.volume rnd_95787.volume
-1.861 -9.051
3.039 -1.321
0.689 -8.055
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.086 1.843 6.760 3.383 3.768 1.169 1.129 3.102 3.532 2.654 1.955
[2,] 2.852 2.137 8.038 4.304 5.167 1.527 1.370 3.641 4.479 3.836 2.552
[3,] 3.283 2.403 9.397 5.288 5.810 1.812 1.517 4.068 5.028 4.214 3.107
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.039 1.833 2.355 2.514 2.892 2.961 2.983 4.607 4.084 7.278 2.617
[2,] 4.007 2.209 3.190 3.384 3.744 4.016 4.439 6.028 5.356 8.381 3.281
[3,] 4.697 2.602 3.688 3.881 4.250 4.507 5.090 6.851 6.266 9.295 3.629
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.722 3.523 1.387 3.171 3.171 2.438 3.097 1.366 3.094 2.727 1.708
[2,] 10.881 4.787 1.684 4.489 4.665 2.933 4.098 1.636 4.344 3.290 1.987
[3,] 12.554 5.910 1.849 5.967 5.928 3.221 5.163 1.837 5.343 3.607 2.147
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.638 3.212 3.072 2.494 2.478 2.315 0.8176 2.606 0.7040 2.598 2.328
[2,] 4.658 4.413 4.294 2.986 3.182 2.994 0.9827 3.265 0.8324 3.175 3.154
[3,] 5.488 4.955 5.204 3.452 3.632 3.368 1.1149 3.575 0.9454 3.786 3.700
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.042 1.165 2.449 2.402 3.128 2.008 3.010 2.608 1.250 2.904 2.448
[2,] 2.388 1.397 3.499 2.900 3.749 2.408 4.115 3.204 1.555 4.096 3.569
[3,] 2.661 1.535 4.022 3.307 4.249 2.753 4.947 3.706 1.721 4.860 4.211
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.098 1.662 2.377 0.7111 2.218 1.058 1.946 2.009 2.117 3.091 1.053
[2,] 3.250 3.089 2.832 0.8681 3.342 1.254 2.466 2.478 3.279 4.328 1.324
[3,] 4.058 4.170 3.198 1.0150 4.351 1.399 3.028 2.743 3.928 5.059 1.583
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.983 2.052 2.915 1.271 2.700 3.090 3.263 3.400 3.594 2.632 2.089
[2,] 3.911 2.349 4.044 1.490 3.325 4.300 3.953 4.369 4.615 4.025 3.413
[3,] 4.586 2.575 4.789 1.666 3.902 4.861 4.478 4.765 5.335 4.723 4.446
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8242 2.713 1.930 3.207 1.550 1.824 0.9845 2.317 2.273 4.405 3.997
[2,] 0.9765 3.371 2.434 4.126 1.827 2.249 1.1831 3.156 2.669 5.185 4.696
[3,] 1.0837 4.206 2.712 4.913 2.054 2.557 1.3481 3.605 3.022 5.798 5.344
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.051 1.054 1.743 1.874 1.837 1.400 1.939 7.976 7.085 3.341
[2,] 1.797 2.078 2.207 2.253 2.313 1.694 2.664 10.921 10.003 4.556
[3,] 2.220 2.473 2.611 2.612 2.731 1.880 3.365 13.378 12.289 5.624
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.65 2.34 8.585 4.296 4.784 1.485 1.434 3.939
[2,] 672.09 373.67 1502.607 919.265 1222.241 339.304 268.380 659.222
[3,] 561.68 380.08 1682.480 1062.165 918.043 337.218 225.369 626.827
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.485 3.37 2.483 3.859 2.328 2.991 3.192 3.673 3.76
[2,] 951.931 957.09 566.958 902.722 426.334 743.553 782.907 821.898 937.47
[3,] 789.541 603.32 612.519 847.194 474.970 639.898 656.768 694.659 707.61
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.788 5.85 5.186 9.242 3.323 8.536 4.473 1.761
[2,] 1136.229 1343.60 1198.100 1436.570 684.096 2957.213 1120.236 330.315
[3,] 861.131 1125.49 1123.651 1389.142 536.337 2164.168 1197.901 263.516
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.027 4.027 3.095 3.933 1.735 3.928 3.463 2.17
[2,] 1098.397 1182.422 563.621 927.268 311.015 1053.862 635.697 350.70
[3,] 1358.583 1264.465 460.692 1085.875 289.121 1075.314 511.098 281.46
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.619 4.079 3.901 3.167 3.147 2.939 1.038 3.309
[2,] 1005.447 1045.692 1036.943 567.437 689.739 656.066 188.427 679.622
[3,] 1003.006 779.269 1015.946 598.617 605.133 533.348 182.003 503.881
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 0.8939 3.299 2.956 2.593 1.48 3.11 3.05 3.971 2.55
[2,] 153.5072 630.922 735.451 427.595 266.59 864.04 561.87 714.217 459.29
[3,] 154.9636 712.854 668.907 406.089 219.87 685.23 549.26 691.168 461.12
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.823 3.312 1.587 3.687 3.109 2.664 2.11 3.018
[2,] 969.615 643.249 319.888 998.302 897.651 857.985 900.14 532.367
[3,] 949.301 643.883 254.894 904.452 772.462 839.985 968.14 513.503
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.903 2.816 1.344 2.471 2.551 2.688 3.925 1.337
[2,] 172.062 864.157 232.611 523.652 501.384 865.499 1046.894 277.729
[3,] 181.824 962.980 214.203 607.539 406.771 747.281 905.294 299.821
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.788 2.606 3.701 1.614 3.429 3.924 4.143 4.317
[2,] 873.890 395.245 968.988 268.726 670.629 1033.364 771.272 948.468
[3,] 828.002 364.531 886.450 257.356 705.516 783.732 727.499 657.614
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.563 3.342 2.653 1.047 3.445 2.451 4.073 1.969
[2,] 1000.794 1052.426 933.019 180.988 691.823 512.365 897.209 334.235
[3,] 925.272 854.296 984.728 162.419 869.447 413.613 921.419 323.974
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.317 1.25 2.943 2.886 5.594 5.075 1.334 1.339
[2,] 454.740 226.77 740.314 483.914 945.029 851.995 503.897 618.801
[3,] 420.651 223.37 602.172 489.625 897.067 881.907 450.763 463.743
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.213 2.379 2.333 1.778 2.462 10.13 8.997 4.242
[2,] 467.777 432.239 485.444 329.096 631.561 2578.30 2440.749 1070.713
[3,] 482.354 457.075 502.053 281.887 710.584 2670.68 2467.206 1139.391
[1] "--- VAR model 2017-10-02 16:31:00 completed"
[1] "Completed training sample: 2017-10-02 16:31:00 - 2017-10-03 00:30:00"
[1] "SpVAR; training sample: 2017-10-02 17:01:00 - 2017-10-03 01:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.3301 1.9863 0.3875 -1.162
0.9197 0.8517 3.0529 4.641
0.9886 0.3046 -1.3322 -5.331
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.860 2.726 0.42960 0.7851
-4.307 0.916 -0.40930 -2.5727
5.566 -1.019 0.02436 -0.9589
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.3257 -0.8745 -0.7446 -6.920
0.7766 -0.7826 -0.5304 -4.789
-2.2588 -0.0899 -0.5564 -2.915
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.219 2.881 -1.28584 12.867
1.496 -3.130 0.07206 11.524
-1.909 -2.225 -3.73564 6.157
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.789 -0.5206 -8.848 -2.407
-3.464 -2.7864 -5.818 -4.747
-4.810 -2.4695 -1.101 -1.373
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3445 -1.243 -8.857 -6.782
3.5236 1.687 -4.804 -2.534
-7.0743 1.615 -0.797 -3.145
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.1252 -1.400 5.084 5.4716
-0.2429 -2.659 -5.533 -0.3956
-0.2657 -3.551 -1.469 1.6660
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.3801 -1.4947 -3.3839 -4.9070
2.7080 -1.5625 2.9016 -0.7036
-5.0234 -0.5727 -0.2132 -0.2065
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.3251 -1.9717 -1.836 4.3791
0.7708 0.2365 -2.926 0.7919
-0.1250 0.1350 5.454 2.0258
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.28219 -0.4941 1.8472 0.2305
4.07769 -1.6822 0.9639 0.4705
-0.02505 0.1252 0.3833 -0.1327
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4115 0.8423 0.09833 -0.1514
2.5208 -0.5257 0.41653 -4.4996
1.1476 -0.3937 -1.21939 -2.2361
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.1791 1.0659 -1.519 -0.3925
-0.5694 0.2825 -2.820 1.8756
-1.3164 0.3167 -4.218 -2.3263
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.604 2.1362 -2.058 0.775
-3.213 -0.1935 6.475 3.623
1.336 -0.4859 -1.201 -1.179
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.0564 0.7881 -0.2104 -3.1263
0.7933 -1.7308 0.3335 1.2600
0.6841 3.7773 3.1377 0.7678
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.4763 -1.185 0.4151 -0.2758
-0.3426 5.191 0.3164 -0.7779
0.2334 1.149 1.2055 -0.7171
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6090 0.76225 -0.08358 -2.547
0.2932 -0.07303 1.10643 1.180
0.1321 0.25448 0.90441 2.323
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.5330 -0.5614 -1.888 3.547
-1.6764 0.3348 -3.327 -1.673
-0.4221 1.2583 0.854 1.192
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.437 -0.2754 1.48048 0.01422
-1.477 0.4182 1.72559 0.94134
-1.001 -0.9536 -0.08605 0.65786
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.7818 -4.1910 0.2689 -1.6851
2.8851 2.6164 -1.4051 1.5061
0.1336 -0.7702 0.2784 0.1764
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.868 0.6609 -3.147 -0.6646
3.465 0.5850 -6.222 -1.1855
1.093 -0.4569 1.716 -0.1652
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.01575 2.1271 0.4402 2.0392
-8.07618 -0.1564 -0.4836 1.3075
-2.00377 0.3561 -1.0384 -0.3767
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.746 0.62952 0.3011 -1.577
3.187 -0.02605 -0.3657 1.476
1.813 -1.43637 1.4433 -1.076
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.504 -0.6357 -2.0625 -1.785
-1.226 -0.8278 -0.3669 -2.051
-1.239 -0.4592 -0.2869 1.502
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.749 0.66098 -1.925 82.22
2.693 0.19780 -3.325 88.57
-1.757 0.09657 -3.306 76.55
rnd_95776.volume rnd_95787.volume
7.980 -6.238
-3.963 -2.408
1.068 -3.580
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.026 1.696 6.139 3.007 3.185 0.9967 1.015 2.767 3.190 2.453 1.632
[2,] 2.707 1.997 7.488 3.817 4.686 1.3646 1.238 3.298 4.109 3.402 2.264
[3,] 3.097 2.228 8.957 4.796 5.311 1.6026 1.378 3.659 4.643 3.719 2.714
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.839 1.696 2.181 2.273 2.737 2.744 2.840 4.162 3.780 5.856 2.501
[2,] 3.828 2.082 3.052 3.212 3.449 3.758 4.195 5.624 5.034 6.984 3.125
[3,] 4.526 2.400 3.588 3.742 3.943 4.262 4.847 6.365 5.873 7.971 3.454
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.077 3.303 1.201 2.862 2.733 2.354 2.807 1.188 2.805 2.642 1.576
[2,] 9.874 4.555 1.476 4.089 4.318 2.873 3.722 1.485 3.978 3.112 1.839
[3,] 11.584 5.451 1.648 5.498 5.584 3.115 4.835 1.688 4.993 3.403 2.001
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.377 2.939 2.724 2.333 2.320 2.238 0.7711 2.276 0.6814 2.433 2.110
[2,] 4.390 4.045 3.952 2.815 2.944 2.824 0.9384 2.927 0.8097 2.925 2.968
[3,] 5.216 4.613 4.861 3.310 3.418 3.191 1.0429 3.259 0.9104 3.530 3.472
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.885 1.087 2.352 2.136 2.827 1.844 2.853 2.500 1.129 2.500 2.250
[2,] 2.179 1.322 3.300 2.646 3.419 2.236 3.935 3.032 1.450 3.741 3.306
[3,] 2.460 1.448 3.760 3.028 3.949 2.545 4.656 3.498 1.623 4.461 3.994
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.891 1.529 2.225 0.6556 1.986 1.034 1.882 1.936 2.017 2.676 0.9621
[2,] 2.867 2.734 2.652 0.8020 2.880 1.195 2.287 2.311 3.205 4.042 1.1758
[3,] 3.689 3.681 2.971 0.9286 3.772 1.319 2.761 2.599 3.652 4.684 1.3898
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.299 1.936 2.281 1.131 2.561 2.809 3.120 3.118 3.145 2.470 1.834
[2,] 3.393 2.278 3.598 1.367 3.118 3.818 3.751 4.116 3.990 3.779 3.105
[3,] 4.063 2.500 4.383 1.533 3.648 4.274 4.165 4.488 4.633 4.447 4.173
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7473 2.518 1.798 2.819 1.392 1.703 0.8562 2.125 2.011 4.106 3.741
[2,] 0.8933 3.176 2.254 3.738 1.699 2.129 1.0511 2.833 2.322 4.904 4.335
[3,] 0.9862 3.874 2.486 4.507 1.900 2.424 1.2184 3.340 2.628 5.473 4.977
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9192 0.947 1.486 1.577 1.733 1.280 1.708 7.771 6.665 3.200
[2,] 1.5317 1.754 1.908 1.933 2.246 1.559 2.474 10.686 9.309 4.383
[3,] 1.9086 2.117 2.226 2.242 2.618 1.754 3.167 12.890 11.316 5.260
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.573 2.154 7.795 3.819 4.045 1.266 1.289 3.514
[2,] 664.959 390.406 1589.338 871.318 1273.702 345.382 262.449 665.065
[3,] 557.983 366.062 1821.275 1076.025 926.584 311.467 224.286 587.652
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.051 3.114 2.073 3.605 2.154 2.77 2.887 3.476
[2,] 959.430 873.858 581.554 951.726 447.270 790.89 840.671 777.895
[3,] 801.407 556.921 554.844 894.945 442.256 699.68 711.353 708.420
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.485 3.607 5.286 4.799 7.436 3.176 7.717 4.195
[2,] 951.744 1144.265 1401.372 1232.544 1410.389 693.949 2883.927 1162.122
[3,] 744.923 899.724 1105.133 1120.475 1423.754 545.583 2245.327 1110.183
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.526 3.635 3.47 2.989 3.564 1.509 3.562 3.355
[2,] 317.582 1082.230 1239.00 610.432 905.776 330.052 1045.387 609.289
[3,] 271.926 1361.810 1312.40 446.161 1143.701 297.743 1118.049 510.623
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.001 4.288 3.732 3.459 2.963 2.946 2.842 0.9792
[2,] 350.926 1039.528 1029.885 1061.374 583.459 672.058 638.207 198.1840
[3,] 293.025 1044.063 821.817 1048.724 645.512 643.041 551.093 168.6507
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.89 0.8653 3.089 2.68 2.393 1.38 2.986 2.712 3.59
[2,] 682.36 162.0890 601.625 773.27 404.965 278.91 858.142 578.883 712.47
[3,] 530.76 154.2059 732.188 668.07 423.228 219.03 667.503 545.542 732.21
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.342 3.623 3.174 1.433 3.174 2.858 2.402 1.942
[2,] 468.265 1004.396 635.977 337.380 1031.381 897.297 798.495 840.043
[3,] 450.839 922.074 646.421 270.291 900.446 830.449 860.281 913.380
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.825 0.8325 2.522 1.312 2.39 2.458 2.561 3.398
[2,] 534.981 171.2140 773.000 222.501 481.50 467.512 922.985 1122.498
[3,] 496.589 173.4260 902.744 206.538 573.54 441.071 649.186 877.376
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.222 2.919 2.459 2.896 1.436 3.253 3.567 3.962
[2,] 250.484 924.969 444.302 1031.102 284.583 659.140 958.514 771.582
[3,] 274.632 828.076 382.020 927.526 257.357 701.605 711.140 670.507
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 3.96 3.993 3.137 2.328 0.9489 3.198 2.283 3.579
[2,] 995.37 910.445 1059.866 928.574 181.3694 716.995 503.986 909.835
[3,] 663.33 872.433 869.067 1033.084 154.8954 822.483 388.387 933.325
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.768 2.163 1.087 2.699 2.553 5.214 4.751 1.167
[2,] 360.616 473.013 225.936 693.959 430.122 993.717 811.443 454.084
[3,] 315.581 430.046 228.374 655.916 456.519 900.614 906.342 421.975
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.203 1.887 2.002 2.201 1.626 2.169 9.868 8.463
[2,] 547.323 443.174 414.443 529.506 329.821 663.473 2718.169 2408.306
[3,] 438.765 424.931 420.417 498.846 297.703 732.557 2671.444 2384.808
[,98]
[1,] 4.064
[2,] 1109.633
[3,] 1077.876
[1] "--- VAR model 2017-10-02 17:01:00 completed"
[1] "Completed training sample: 2017-10-02 17:01:00 - 2017-10-03 01:00:00"
[1] "SpVAR; training sample: 2017-10-02 17:31:00 - 2017-10-03 01:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.8524 -0.2519 3.302 11.950
-1.8631 1.0718 2.919 -1.733
0.4963 -1.9612 4.543 3.385
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.271 -0.9494 2.1431 -2.7779
3.767 1.0831 0.3184 -0.7894
5.824 -0.1578 0.2046 -2.4145
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.972 3.940 2.2724 -6.414
-4.109 -6.160 -1.5029 -5.732
-4.678 -2.915 -0.8633 -6.033
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.9802 -0.4923 1.926 9.413
-0.5020 -2.9045 -2.654 10.959
0.7892 -4.7040 -2.137 8.063
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.110 2.545 0.07517 6.1659
-6.008 3.461 3.52748 0.2658
-1.565 -6.542 -2.61445 1.0136
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.625 -2.3086 0.8621 2.740
1.450 -1.4210 -3.9629 1.406
1.328 -0.2126 -0.2561 -1.603
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5989 -0.6831 3.042 0.3117
-0.1181 2.4426 3.385 1.3776
0.1265 -3.3062 -1.861 -0.4593
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
10.652 -1.5742 6.885 -0.2737
-2.270 0.4877 3.878 -0.6666
4.248 0.4613 2.090 -1.1450
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.4411 -0.959 -6.601 -3.871
0.9643 7.418 4.139 2.736
-0.3987 -2.928 3.773 6.445
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2282 -0.6686 0.9914 0.44077
2.6789 1.0011 0.9309 -0.03044
1.4765 2.6123 -0.1655 -0.07396
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.515 0.12724 1.7160 -2.8160
-1.386 0.21262 -0.5996 -0.5516
3.397 -0.02272 3.4515 -2.8879
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3479 0.8198 -5.3832 3.2990
1.2316 0.4606 1.8839 0.5171
1.3193 0.1092 -0.8407 -0.7747
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.1147 -0.1453 -3.3994 0.1125
1.8475 -1.1287 -0.8349 3.7731
-1.2089 -1.1053 -1.3157 3.6945
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.5588 0.6999 0.1328 -0.11127
1.0003 -3.0869 -3.7578 0.09595
0.3878 -0.5519 2.6201 -2.15008
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.2297 -0.2740 -0.1783 -3.2922
0.4553 -0.3197 0.7823 0.8384
-2.6844 1.2785 0.1206 0.3846
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2214 -3.287 3.472 1.243
-1.1971 -2.095 -1.025 -1.264
-0.6442 1.125 2.902 -3.036
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.274 -0.84343 1.987 -2.0605
-3.618 0.09053 -3.571 -1.1628
-4.594 0.42140 -1.326 -0.2369
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.1253 -0.1890 0.8699 1.4301
-0.3693 1.6120 -1.1577 -0.8235
-6.5337 -0.9679 -1.2778 -0.1142
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6181 -1.643 0.10603 -2.465
3.7483 3.134 1.55844 2.652
1.5264 -3.464 0.03905 1.097
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.0627 -0.43324 -0.2987 -1.3622
-2.5975 -0.74911 -0.8653 1.7129
0.7471 -0.05018 -1.1301 0.1669
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.606 -1.4057 0.03686 -0.4512
1.262 -0.8547 -1.28670 -0.2052
-3.032 -1.3201 -0.74771 2.0330
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4112 -0.8103 4.780 -5.1407
2.6754 0.8474 -5.216 1.4496
0.9911 -0.8149 -1.544 -0.6585
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.04483 0.8526 -0.2282 -0.97443
0.26500 -0.9780 0.7972 0.04476
1.42211 0.6374 -0.7232 1.44191
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.7793 0.4698 1.371 90.12
1.3026 0.4232 -2.056 92.11
-0.6057 -0.6869 -1.861 81.37
rnd_95776.volume rnd_95787.volume
2.757 -0.07852
-3.273 1.19638
9.780 -2.74034
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.822 1.608 5.755 2.436 2.763 0.893 0.9584 2.261 2.899 2.252 1.478
[2,] 2.454 1.864 7.029 3.429 4.023 1.175 1.1242 2.750 3.828 3.190 2.006
[3,] 2.835 2.083 8.515 4.396 4.704 1.351 1.2584 3.059 4.288 3.538 2.375
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.644 1.556 1.862 2.016 2.728 2.599 2.495 3.678 3.227 5.062 2.229
[2,] 3.613 1.895 2.769 3.042 3.403 3.568 3.726 5.252 4.595 6.225 2.694
[3,] 4.233 2.175 3.296 3.506 3.824 4.084 4.554 6.056 5.491 7.085 3.036
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.397 3.155 1.088 2.464 2.462 2.288 2.254 1.099 2.411 2.477 1.475
[2,] 8.890 4.239 1.330 3.572 4.024 2.750 3.447 1.361 3.549 2.941 1.704
[3,] 10.380 5.067 1.485 4.952 5.287 3.031 4.492 1.545 4.700 3.250 1.880
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.091 2.396 2.631 2.034 2.162 2.010 0.6890 2.017 0.6057 2.174 2.031
[2,] 4.036 3.488 3.722 2.598 2.683 2.495 0.8357 2.531 0.7624 2.754 2.806
[3,] 4.856 4.160 4.524 3.057 3.080 2.872 0.9266 2.875 0.8667 3.327 3.295
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.750 0.9517 2.237 1.946 2.749 1.686 2.512 2.259 1.001 2.216 2.030
[2,] 2.053 1.1722 3.078 2.357 3.299 2.044 3.599 2.819 1.289 3.430 2.899
[3,] 2.332 1.3380 3.540 2.715 3.785 2.345 4.246 3.152 1.446 4.155 3.571
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.663 1.426 2.094 0.5616 1.850 0.9775 1.695 1.758 1.996 2.430 0.841
[2,] 2.504 2.519 2.497 0.6785 2.665 1.1063 2.078 2.112 3.032 3.617 1.030
[3,] 3.271 3.334 2.747 0.7876 3.455 1.2394 2.446 2.377 3.473 4.163 1.200
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.100 1.859 1.900 1.033 2.343 2.228 2.918 2.774 2.878 2.166 1.792
[2,] 3.087 2.204 3.117 1.270 2.931 3.168 3.485 3.744 3.629 3.418 2.953
[3,] 3.740 2.423 3.861 1.424 3.398 3.506 3.861 4.165 4.221 4.196 3.957
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7189 2.231 1.485 2.58 1.242 1.571 0.7872 1.957 1.773 3.995 3.130
[2,] 0.8509 2.861 1.858 3.51 1.523 2.017 0.9802 2.529 2.022 4.680 3.805
[3,] 0.9335 3.586 2.058 4.26 1.743 2.353 1.1194 3.004 2.234 5.221 4.516
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7939 0.8394 1.092 1.141 1.630 1.165 1.580 7.68 6.392 3.013
[2,] 1.2279 1.3870 1.535 1.457 2.093 1.440 2.338 10.36 8.788 4.019
[3,] 1.5522 1.6782 1.767 1.687 2.413 1.635 3.026 12.54 10.820 4.807
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.313 2.041 7.308 3.093 3.509 1.134 1.217 2.871
[2,] 614.942 352.791 1509.766 902.783 1094.039 285.591 219.829 585.776
[3,] 531.097 347.919 1797.957 1029.353 911.557 249.402 211.525 500.895
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.681 2.86 1.876 3.358 1.976 2.365 2.56 3.464 3.3
[2,] 935.413 844.84 507.384 920.907 404.518 766.570 852.22 761.181 914.8
[3,] 722.886 573.08 476.057 825.295 399.602 668.849 652.27 652.789 743.5
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.169 4.671 4.098 6.428 2.83 6.853 4.006 1.382
[2,] 1035.269 1402.646 1223.983 1355.494 565.91 2642.561 1059.411 285.975
[3,] 979.382 1128.011 1124.476 1265.259 523.66 2004.713 1038.218 247.173
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.129 3.127 2.905 2.862 1.396 3.062 3.145 1.873
[2,] 967.346 1190.558 571.317 975.810 299.942 974.276 593.194 319.437
[3,] 1283.347 1283.174 476.888 1077.665 274.219 1152.774 517.757 296.582
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.925 3.043 3.341 2.582 2.746 2.552 0.875 2.562
[2,] 970.491 948.223 985.027 605.039 594.367 553.051 176.903 572.022
[3,] 1010.511 848.157 961.969 602.415 565.943 531.964 149.696 510.209
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.7691 2.76 2.579 2.222 1.209 2.84 2.472 3.491
[2,] 173.2356 632.72 724.351 401.550 255.984 791.14 497.140 682.578
[3,] 154.2146 698.24 646.289 414.045 241.398 653.96 503.981 694.272
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.141 3.189 2.869 1.271 2.815 2.578 2.112 1.81
[2,] 432.556 964.605 630.580 304.146 979.208 774.032 700.357 776.79
[3,] 429.348 842.533 527.510 244.812 877.183 780.342 787.116 817.24
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.659 0.7131 2.349 1.241 2.152 2.232 2.534 3.086
[2,] 508.843 142.4405 717.639 193.882 449.716 438.137 854.118 1002.101
[3,] 428.487 149.6599 822.807 209.012 482.392 408.145 633.040 770.948
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.068 2.667 2.36 2.412 1.312 2.975 2.83 3.705 3.522
[2,] 222.508 846.216 443.12 924.760 276.241 658.665 842.38 712.522 940.831
[3,] 230.378 789.805 377.11 852.097 241.460 643.501 561.50 622.224 682.667
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 3.654 2.751 2.275 0.9128 2.833 1.885 3.276 1.577
[2,] 827.355 989.016 878.358 170.3482 670.306 418.251 890.681 329.889
[3,] 806.380 910.315 985.406 143.6141 808.482 330.829 903.240 317.201
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.994 0.9996 2.485 2.251 5.073 3.974 1.008 1.066
[2,] 473.648 218.5213 599.272 363.701 911.925 809.786 350.404 413.065
[3,] 453.316 202.2713 606.711 355.812 865.576 909.571 355.217 353.465
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.387 1.449 2.069 1.48 2.006 9.753 8.116 3.826
[2,] 403.336 339.182 491.392 316.60 644.728 2599.016 2256.341 995.150
[3,] 327.611 318.075 448.949 289.55 718.863 2643.826 2361.686 986.678
[1] "--- VAR model 2017-10-02 17:31:00 completed"
[1] "Completed training sample: 2017-10-02 17:31:00 - 2017-10-03 01:30:00"
[1] "SpVAR; training sample: 2017-10-02 18:01:00 - 2017-10-03 02:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.9031 2.7713 0.377 2.941
0.8782 -0.1437 -2.065 3.021
0.8201 0.1444 -3.781 5.578
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.551 0.69628 0.07336 -1.1982
1.936 -0.57327 0.19048 1.3380
3.796 0.09583 0.20263 -0.9058
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.7736 -3.3369 0.66042 -2.2238
0.7184 1.5308 -0.06972 -8.7769
-1.8609 -0.6808 0.36064 -0.7751
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3245 -0.6210 -0.1651 8.973
2.1651 -3.6683 -1.5615 8.110
-1.7764 -0.7588 -1.9497 7.722
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.6102 -2.904 -0.1598 -2.9234
-0.2677 -6.192 -5.8429 -0.6545
-5.3179 -1.299 -5.8552 -6.7195
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.8566 2.4938 7.030 3.391
-3.5143 2.0793 -4.957 0.788
-2.6469 0.3075 -8.788 -1.847
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6619 4.170 7.7950 -0.7388
0.5303 3.825 1.5369 -0.9946
-0.5152 -0.850 -0.1883 0.8904
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
3.640 0.3672 -3.553 0.6919
3.571 0.5526 6.779 -0.4518
3.567 0.4621 3.084 -1.2954
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2236 -1.897 0.3510 -0.3313
0.7226 2.513 -0.1917 -2.2874
0.7989 2.679 2.2832 2.6004
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.243 0.03419 -0.5238 0.9432
-1.780 -1.98149 0.9385 0.5546
-3.052 -0.67610 -0.9869 1.0754
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.3172 -0.900668 -5.7162 -3.6913
1.9567 1.103504 0.4558 -1.9660
-0.4045 0.007431 -2.4441 -0.8798
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.9521 0.2095 -2.47860 -0.5044
1.4190 0.2511 -8.58827 -0.9109
0.1368 0.7300 -0.04955 -0.5668
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.06428 0.6471 -2.125 -1.5152
1.12204 0.3876 -1.132 -1.7486
2.31328 -4.3261 -3.448 -0.2706
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9048 -1.8882 -1.830 0.04727
0.9324 -0.7193 -1.734 -1.55743
-0.8342 -2.7733 -1.051 -0.13281
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.232 0.2762 -0.9934 -2.929
-3.612 -1.1760 0.6481 4.390
1.079 -0.5386 0.1081 -3.070
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0102 -0.09596 -0.7211 0.06311
0.3344 1.46325 -0.5733 -0.39395
0.3403 -1.34257 -0.5908 1.46637
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.4616 0.7839 0.8800 -3.579
-1.8303 -0.4272 -1.3947 1.844
-0.3288 0.4516 -0.2583 3.103
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.6833 -0.1377 2.115 -0.3156
0.3805 0.3141 -0.963 0.3875
0.2470 0.2805 1.400 1.6769
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.0838 2.938 -0.4411 -0.2991
0.7377 1.014 -3.2635 5.4565
-4.3547 -3.028 -1.0835 -2.5045
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.886 0.1402 -3.387 2.1373
-1.024 -0.3386 2.860 -1.3774
4.155 0.4342 1.282 -0.6243
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.2335 0.8254 0.7143 -0.9402
0.5703 0.2900 -0.1642 -0.8908
1.8188 0.4084 -0.8246 0.2140
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.246 1.76028 -1.2671 2.234
-2.194 0.20837 0.8367 -2.206
-1.269 0.09376 -2.3691 -3.147
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.48745 0.2097 0.5751 0.81191
-0.48522 0.7129 -1.1996 -1.28798
-0.07484 -0.8898 0.0050 -0.07724
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.7071 0.55720 -2.9113 95.19
-0.8108 -0.03722 -4.0983 89.07
1.9367 0.09349 -0.4395 84.36
rnd_95776.volume rnd_95787.volume
5.289 3.085
-9.777 0.501
-16.969 -2.225
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.721 1.419 5.427 2.191 2.399 0.8045 0.8832 2.082 2.503 1.976 1.292
[2,] 2.356 1.699 6.647 3.146 3.511 1.0020 1.0040 2.477 3.426 2.903 1.745
[3,] 2.701 1.938 8.068 4.073 4.192 1.1475 1.1408 2.808 3.826 3.204 2.064
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.493 1.522 1.727 2.284 2.477 2.357 2.256 3.517 3.015 4.476 2.109
[2,] 3.378 1.759 2.579 3.100 3.180 3.313 3.266 4.840 4.242 5.412 2.537
[3,] 4.037 1.959 3.144 3.569 3.595 3.797 4.146 5.518 5.033 6.243 2.893
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.030 3.095 1.004 2.296 2.263 2.107 2.030 1.016 2.187 2.236 1.324
[2,] 8.264 4.128 1.249 3.352 3.826 2.520 3.221 1.261 3.243 2.663 1.569
[3,] 9.711 4.892 1.371 4.563 5.072 2.829 4.170 1.467 4.320 2.919 1.737
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.897 1.946 2.295 1.919 1.949 1.801 0.6262 1.694 0.5730 1.987 1.886
[2,] 3.627 3.160 3.222 2.532 2.461 2.239 0.7552 2.156 0.6927 2.530 2.575
[3,] 4.395 3.771 3.948 2.932 2.893 2.608 0.8527 2.480 0.8106 3.082 3.124
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.651 0.8828 1.953 1.779 2.522 1.425 2.324 2.087 0.9273 2.018 1.866
[2,] 1.964 1.0953 2.769 2.119 2.997 1.788 3.415 2.546 1.1698 3.084 2.603
[3,] 2.225 1.2389 3.225 2.482 3.479 2.121 4.021 2.927 1.3381 3.740 3.230
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.474 1.262 1.915 0.5115 1.633 0.9336 1.641 1.635 1.896 2.165 0.7536
[2,] 2.205 2.189 2.302 0.6140 2.402 1.0758 1.999 2.009 2.781 3.296 0.9400
[3,] 2.932 2.865 2.525 0.7092 3.023 1.1763 2.352 2.244 3.297 3.861 1.0920
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.891 1.689 1.743 0.8917 2.123 1.856 2.429 2.389 2.759 1.986 1.669
[2,] 2.799 2.012 2.907 1.1385 2.653 2.530 2.960 3.262 3.383 3.215 2.804
[3,] 3.335 2.265 3.533 1.2924 3.079 2.838 3.346 3.727 3.986 4.041 3.779
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6574 2.119 1.395 2.368 1.118 1.518 0.6964 1.647 1.411 3.746 2.891
[2,] 0.7840 2.660 1.683 3.217 1.410 1.956 0.8771 2.274 1.667 4.318 3.419
[3,] 0.8647 3.314 1.887 3.980 1.597 2.254 1.0057 2.664 1.853 4.824 4.164
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5668 0.6952 0.8556 0.8949 1.524 1.064 1.462 7.53 5.758 2.942
[2,] 0.9719 1.1163 1.0628 1.0966 1.933 1.326 2.180 10.23 8.036 3.886
[3,] 1.1553 1.2958 1.2737 1.3315 2.266 1.503 2.862 12.38 9.899 4.570
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.185 1.802 6.891 2.783 3.046 1.022 1.121 2.644
[2,] 571.978 332.228 1364.097 802.130 910.908 212.222 169.703 476.441
[3,] 469.018 331.171 1624.931 919.409 813.780 198.767 192.452 470.143
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.178 2.509 1.64 3.165 1.933 2.193 2.9 3.146 2.992
[2,] 831.576 755.943 417.15 810.396 313.411 680.640 745.1 708.758 827.372
[3,] 604.928 481.768 391.44 785.263 306.458 638.765 628.0 595.565 659.145
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.865 4.466 3.829 5.684 2.679 6.388 3.931 1.275
[2,] 839.285 1181.478 1060.395 1081.238 500.845 2329.917 970.244 264.123
[3,] 907.268 941.605 962.680 1106.103 494.259 1812.114 933.383 200.560
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.915 2.874 2.676 2.577 1.29 2.777 2.84 1.681
[2,] 867.716 1096.458 490.955 888.655 265.43 850.716 513.78 299.508
[3,] 1100.074 1183.112 456.803 941.304 265.91 1014.017 424.56 264.872
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.678 2.472 2.914 2.437 2.475 2.287 0.7952 2.151
[2,] 775.740 884.720 803.353 587.290 534.222 472.824 150.0104 473.807
[3,] 881.932 731.294 810.962 525.185 540.228 475.161 140.6848 435.488
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.7276 2.523 2.395 2.097 1.121 2.479 2.259 3.203
[2,] 138.3331 556.311 622.628 377.702 230.415 697.510 409.042 575.447
[3,] 149.5970 625.345 628.868 372.170 205.709 587.707 459.686 627.541
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 1.81 2.952 2.65 1.178 2.563 2.37 1.872 1.603 2.432
[2,] 383.81 889.194 518.36 253.396 828.574 644.96 582.633 635.596 454.015
[3,] 405.36 753.909 513.40 230.822 751.721 679.38 687.002 656.818 368.740
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.6495 2.074 1.186 2.084 2.076 2.408 2.75 0.9569
[2,] 120.7218 626.065 189.973 405.273 414.896 722.836 882.78 199.6663
[3,] 126.1265 651.958 169.013 440.659 355.562 629.250 714.48 197.4955
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.402 2.145 2.214 1.132 2.695 2.357 3.084 3.033
[2,] 733.073 388.720 826.594 251.540 565.620 611.153 601.041 789.248
[3,] 644.556 368.966 713.651 217.400 555.129 456.970 554.438 641.060
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 3.504 2.522 2.12 0.8348 2.691 1.771 3.007 1.42
[2,] 695.832 898.142 800.40 151.8077 571.178 334.851 773.897 305.04
[3,] 748.520 870.240 900.43 129.6174 702.506 303.367 832.603 266.57
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.928 0.8844 2.091 1.792 4.757 3.671 0.7197 0.8828
[2,] 438.031 189.4850 556.910 315.243 762.890 648.467 280.5351 310.3798
[3,] 398.016 174.8719 493.359 287.663 764.293 845.043 221.9409 233.7643
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.086 1.136 1.935 1.351 1.857 9.562 7.312 3.735
[2,] 224.029 225.246 422.277 281.395 574.617 2460.630 1991.830 902.042
[3,] 249.472 268.376 420.636 251.196 658.682 2475.934 2054.389 854.618
[1] "--- VAR model 2017-10-02 18:01:00 completed"
[1] "Completed training sample: 2017-10-02 18:01:00 - 2017-10-03 02:00:00"
[1] "SpVAR; training sample: 2017-10-02 18:31:00 - 2017-10-03 02:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8543 0.4198 -5.783 0.45217
1.2421 -1.5209 5.576 -0.02101
-2.2920 0.9129 5.042 -4.59010
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.661 0.7241 1.3686 0.8472
1.600 -1.1553 0.6447 0.5131
-4.001 0.7110 1.0446 -1.0105
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6959 -0.3461 -1.101 -7.1741
-0.7504 -2.4249 0.551 -2.8121
0.8463 -1.0343 -0.566 0.1243
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.2571 0.3646 -0.7791 16.682
-1.3536 -2.0184 -0.2135 8.462
-0.4647 -2.4980 -1.4095 10.962
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.114 -1.468 -7.460 -2.0866
-4.575 -6.515 -3.239 -0.2263
-2.771 -1.255 -5.485 -5.6525
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.9343 0.4533 -15.149 -0.4716
-0.4673 2.2847 -6.924 -3.3873
-3.8241 0.6310 3.766 3.2674
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.7951 0.8162 -3.785 -3.739
-1.1874 -5.7404 -4.048 3.751
-0.6211 2.6581 -3.835 3.412
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.9356 -0.85430 1.802 -1.102
-0.8064 0.03626 -4.218 -1.385
-3.1983 -1.99073 -2.167 -3.677
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.3105 0.2901 -3.261 -1.90333
-1.5174 -4.6264 1.792 0.01358
-1.0862 -0.2601 -4.160 -6.12746
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2851 -0.2151 -1.763 -0.4936
0.2574 -0.3568 -2.152 1.1288
5.4593 2.4947 1.339 -0.8964
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.1094 -0.24117 -5.2571 -7.243
-0.1920 0.02493 -0.6995 -4.927
-0.3026 -0.45282 0.4460 -3.059
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.154 0.5295 -2.333 -1.7774
-3.346 0.9238 -6.040 1.4943
-0.800 0.4935 -4.184 -0.2839
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.663 -0.6007 -1.010 1.135
-2.642 -1.3598 -3.048 4.246
-1.081 0.3365 -4.020 -1.114
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.5642 2.594 2.2531 -0.1931
-0.6773 -1.917 0.8321 0.5715
-1.4488 1.019 -0.1433 -0.8769
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.097 -0.4538 0.16041 0.1211
1.354 -1.6246 0.02627 4.6345
2.285 -0.2154 0.42939 1.4641
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2630 -0.3697 1.5070 -1.1669
0.4885 3.2109 0.4794 0.3941
-0.4560 0.3728 0.5672 2.7860
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.321 -0.4848 -0.3611 0.7937
-0.955 0.7578 -5.8789 1.6056
-1.278 0.1946 -2.0431 0.3940
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.898 -0.4668 0.4355 1.891
-1.470 -1.2701 -1.0586 1.819
-2.528 -0.3899 -7.7003 -1.271
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.3314 2.9242 -2.802 4.280
-0.8610 -2.6470 -1.982 -2.306
-0.5261 0.8719 2.553 2.013
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.391 -0.1026 -1.612 -1.1015
3.443 0.2304 1.314 0.3468
-2.223 0.1063 -1.291 -0.1597
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.4875 0.2026 -2.64628 -0.3605
3.1228 -1.3430 0.01401 0.6781
-0.3933 -0.5640 0.92811 0.5594
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.3405 -0.1980 -4.268 -5.485
0.6109 -0.6723 -4.917 2.142
-2.2651 1.5553 -0.624 5.621
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8311 0.4492 -0.8316 -0.09893
-1.7262 0.3517 0.4853 0.29968
0.3520 0.1502 -0.4789 -0.83712
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.8214 -2.092 -1.71085 97.35
1.6187 -2.839 -0.06918 91.28
2.2735 1.427 0.89404 87.99
rnd_95776.volume rnd_95787.volume
-5.772 -0.2447
-6.859 -5.3756
-11.396 2.0599
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.529 1.211 4.780 1.886 2.336 0.6911 0.8008 2.034 2.247 1.799 1.206
[2,] 2.118 1.479 5.825 2.851 3.270 0.8374 0.9114 2.387 3.177 2.696 1.663
[3,] 2.447 1.728 6.957 3.662 3.992 0.9385 1.0534 2.685 3.487 3.026 1.945
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.155 1.366 1.572 2.308 2.362 2.199 1.956 2.970 2.412 4.225 2.006
[2,] 3.107 1.625 2.370 2.966 3.017 3.002 3.002 4.179 3.636 4.959 2.380
[3,] 3.640 1.804 2.931 3.465 3.413 3.579 3.743 4.792 4.358 5.669 2.671
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.400 2.836 0.8883 2.014 2.118 1.941 1.890 0.9621 1.984 1.995 1.228
[2,] 7.450 3.801 1.1190 3.035 3.402 2.342 2.953 1.1519 2.919 2.409 1.445
[3,] 8.543 4.525 1.2417 4.162 4.595 2.614 3.800 1.3645 3.768 2.707 1.621
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.692 1.830 2.135 1.818 1.668 1.633 0.5551 1.450 0.4947 1.833 1.670
[2,] 3.327 2.888 2.963 2.331 2.286 1.991 0.6888 1.760 0.6274 2.339 2.353
[3,] 4.093 3.500 3.550 2.630 2.660 2.345 0.7736 1.977 0.7324 2.902 2.866
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.561 0.8296 1.741 1.579 2.388 1.303 2.190 1.937 0.8881 1.790 1.749
[2,] 1.840 0.9950 2.532 1.856 2.823 1.593 3.064 2.332 1.0938 2.742 2.432
[3,] 2.091 1.1318 2.915 2.161 3.232 1.849 3.712 2.684 1.2532 3.359 2.980
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.406 1.176 1.775 0.4786 1.534 0.8358 1.448 1.449 1.629 2.066 0.6787
[2,] 2.030 2.103 2.114 0.5893 2.264 0.9791 1.809 1.831 2.479 3.058 0.8366
[3,] 2.672 2.671 2.325 0.6598 2.837 1.0766 2.149 2.030 2.912 3.590 0.9735
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.782 1.575 1.508 0.8138 2.056 1.514 2.263 2.155 2.321 1.643 1.443
[2,] 2.564 1.914 2.682 1.0564 2.510 2.199 2.656 3.036 2.901 2.857 2.329
[3,] 3.060 2.138 3.307 1.2003 2.951 2.570 3.034 3.486 3.372 3.571 3.333
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6090 1.910 1.211 1.890 1.030 1.332 0.5953 1.399 1.202 3.547 2.719
[2,] 0.7265 2.431 1.423 2.696 1.212 1.806 0.7745 2.097 1.440 4.121 3.310
[3,] 0.8103 3.019 1.642 3.297 1.399 2.118 0.8850 2.436 1.646 4.639 3.919
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.4681 0.5497 0.6970 0.7303 1.297 0.9359 1.333 7.676 5.313 2.668
[2,] 0.7674 0.9051 0.8563 0.8926 1.754 1.1557 1.996 9.991 7.326 3.590
[3,] 0.9326 1.0406 0.9677 1.0229 2.089 1.3312 2.648 11.949 9.208 4.186
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.942 1.537 6.07 2.394 2.966 0.8776 1.017 2.583
[2,] 552.279 319.969 1254.43 805.431 862.016 178.1072 163.942 470.878
[3,] 461.365 336.433 1432.72 866.320 862.421 159.6755 199.000 463.192
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.853 2.285 1.531 2.736 1.735 1.997 2.931 2.999
[2,] 846.574 756.660 431.294 843.383 331.092 668.065 701.853 707.628
[3,] 540.980 517.613 380.389 714.127 295.159 649.474 674.653 600.583
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.792 2.484 3.772 3.062 5.366 2.547 5.588 3.601
[2,] 769.970 858.010 1107.449 1025.364 977.758 482.558 2264.933 953.388
[3,] 734.416 841.822 883.321 905.096 1034.785 456.990 1575.022 924.873
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.128 2.557 2.689 2.465 2.401 1.222 2.519 2.533
[2,] 256.425 855.335 1003.118 493.587 854.639 238.646 806.905 508.714
[3,] 202.780 1072.908 1163.655 437.857 901.143 275.554 897.220 465.592
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.559 3.419 2.324 2.711 2.309 2.118 2.074 0.7048
[2,] 287.004 736.274 841.677 774.079 549.827 589.211 428.995 153.6788
[3,] 276.805 898.076 745.178 736.804 458.223 512.544 466.939 132.6284
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.841 0.6282 2.327 2.121 1.982 1.053 2.211 2.005
[2,] 376.064 145.3950 547.492 624.356 366.934 206.968 692.713 367.222
[3,] 339.355 142.3665 646.941 616.663 374.127 203.267 543.786 417.002
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.033 1.654 2.78 2.46 1.128 2.273 2.221 1.785 1.493
[2,] 566.938 345.184 807.46 489.36 240.547 782.341 636.537 551.659 656.731
[3,] 592.960 354.196 789.76 500.59 230.391 730.880 648.775 654.364 620.505
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.254 0.6077 1.948 1.061 1.838 1.84 2.068 2.624
[2,] 432.282 129.5199 627.131 192.126 408.986 422.02 704.010 849.274
[3,] 364.665 111.8422 644.190 168.694 436.531 329.85 576.095 708.408
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.8619 2.263 2.0 1.915 1.033 2.611 1.923 2.874
[2,] 184.2821 694.684 409.5 835.529 253.764 542.360 600.785 523.992
[3,] 187.5188 628.692 358.7 729.126 214.664 584.864 501.203 552.578
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.737 2.948 2.086 1.832 0.7733 2.426 1.538 2.399
[2,] 805.891 655.770 880.447 688.859 149.2483 566.440 281.418 724.500
[3,] 645.257 647.037 807.650 898.132 135.1815 674.805 308.810 715.228
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.308 1.692 0.7559 1.777 1.526 4.504 3.452 0.5945
[2,] 241.029 459.426 186.6305 588.562 299.159 790.185 711.669 229.0738
[3,] 262.985 417.066 161.3817 467.177 300.404 802.902 790.574 199.6794
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.698 0.8851 0.9273 1.647 1.188 1.692 9.747 6.747
[2,] 270.876 187.3880 193.3905 444.790 255.458 559.795 2409.601 1899.942
[3,] 193.480 169.8416 188.1928 427.354 248.864 655.902 2469.030 2101.957
[,98]
[1,] 3.388
[2,] 905.332
[3,] 810.851
[1] "--- VAR model 2017-10-02 18:31:00 completed"
[1] "Completed training sample: 2017-10-02 18:31:00 - 2017-10-03 02:30:00"
[1] "SpVAR; training sample: 2017-10-02 19:01:00 - 2017-10-03 03:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.3147 -0.6598 -1.619 1.7221
2.5201 0.2457 3.836 -0.5561
0.6263 0.3898 2.036 3.4049
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.5921 0.231842 0.6714 0.0206
1.0050 0.009407 0.3668 0.1546
-0.8915 0.042776 -0.5416 0.9333
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.453 -1.3071 -1.5808 -5.872
2.042 -0.8194 -0.7058 -4.035
-1.965 0.9011 0.4154 -1.206
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.6693 -5.815 -2.005 8.369
-1.6191 -4.491 -1.701 6.511
-0.3386 1.256 2.883 8.197
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.3794 2.610 0.6829 3.159
-4.4218 -2.172 2.1810 3.720
0.6659 -3.202 -2.3767 1.659
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.910 3.596 7.165 4.541
-2.606 1.443 2.063 2.655
-3.075 -3.454 4.785 1.787
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.45362 0.2372 2.514 -2.9180
0.06376 4.2514 2.916 0.5312
0.08620 1.5743 -1.810 0.9582
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.7507 1.142 -2.564 -2.0666
-0.1305 -1.192 1.163 -1.6490
3.6257 1.439 2.529 -0.8103
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.3858 -2.571 -2.3747 1.76678
1.2164 -2.692 -0.6602 0.04431
-0.6743 0.534 -1.5600 -1.63260
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.5617 -0.0268 -2.256 0.33363
1.3879 -0.2991 -3.339 0.29710
0.5030 -1.3301 1.048 0.08209
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.01719 0.9036 1.4172 1.9183
-1.31649 -0.1694 1.0016 -0.2284
0.39428 -0.1226 -0.2694 0.5927
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.7332 1.5630 2.418 -0.7337
0.8321 0.1132 3.982 0.4232
-0.2511 -0.9582 3.555 0.6685
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.7332 2.0718 -1.366 -1.537
-0.1067 0.6889 4.139 2.064
-0.3335 0.6605 4.665 -2.624
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2495 -0.4165 -0.98913 -2.2068
0.4154 -2.3291 0.05481 -0.5079
-0.5142 3.8784 1.33563 -1.9304
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.338 2.994 0.3146 0.982
-2.495 2.430 1.1398 -0.201
2.380 1.102 0.9556 -2.973
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6691 1.8487 -0.22430 4.5010
0.6663 -1.0031 -0.03371 0.6472
0.6817 -0.4882 1.91047 -0.5157
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.650 1.067 1.9323 0.7988
2.651 1.081 4.6931 2.3796
1.481 0.541 0.8175 -2.2925
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.321 1.177 3.2024 3.6024
8.191 1.199 1.4476 2.2606
2.636 0.173 -0.7503 0.4052
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.5736 4.6717 -0.823 -0.3396
-2.7159 2.5891 -1.015 4.2100
-0.3122 -0.6013 -1.693 0.1999
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.038 1.1669 1.325 -0.04398
2.842 0.7827 1.629 0.02955
3.628 -1.1851 3.262 0.26631
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.2779 0.9774 -0.1507 -1.0808
3.0398 0.9859 1.3673 -0.9655
2.1259 0.2721 -0.2004 -0.1803
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.8537 -0.45497 7.4165 -3.859
2.1260 0.03456 4.9730 -1.489
-1.9704 -0.41282 -0.9878 1.651
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.05241 0.4697 -0.10853 0.5295
-0.25040 0.4613 -0.44838 -1.7763
-0.91626 -1.7132 0.04203 0.3042
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.210 0.48807 1.1534 112.3
-2.644 0.77415 0.9359 107.2
-1.194 0.03859 1.1465 105.2
rnd_95776.volume rnd_95787.volume
11.080 4.498
8.445 1.288
2.376 0.119
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.363 1.102 4.250 1.703 1.939 0.5688 0.7355 1.876 2.042 1.705 1.089
[2,] 1.713 1.334 5.203 2.540 2.609 0.6935 0.8310 2.176 2.840 2.536 1.503
[3,] 2.003 1.562 6.075 3.330 3.233 0.7726 0.9624 2.444 3.181 2.878 1.761
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.042 1.238 1.435 2.263 2.205 1.764 1.757 2.511 2.254 3.769 1.782
[2,] 2.872 1.487 2.057 2.855 2.729 2.481 2.498 3.631 3.192 4.608 2.147
[3,] 3.377 1.662 2.576 3.322 3.141 3.102 3.193 4.273 3.848 5.169 2.488
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.890 2.619 0.7465 1.865 1.892 1.720 1.787 0.8842 1.793 1.861 1.161
[2,] 6.763 3.557 0.9708 2.693 3.125 2.078 2.704 1.0892 2.591 2.242 1.364
[3,] 7.792 4.169 1.0815 3.709 4.228 2.305 3.488 1.2846 3.419 2.448 1.523
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.326 1.544 1.979 1.720 1.449 1.544 0.5280 1.263 0.4515 1.651 1.501
[2,] 2.964 2.352 2.691 2.117 1.983 1.849 0.6358 1.570 0.5813 2.169 2.106
[3,] 3.684 2.889 3.213 2.381 2.345 2.114 0.7120 1.825 0.6896 2.605 2.611
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.457 0.7669 1.600 1.489 2.273 1.243 1.941 1.791 0.8121 1.478 1.477
[2,] 1.702 0.9111 2.206 1.724 2.656 1.495 2.687 2.192 1.0068 2.350 2.126
[3,] 1.921 1.0331 2.511 1.959 3.059 1.751 3.263 2.473 1.1554 2.948 2.621
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.257 1.028 1.626 0.4639 1.332 0.7666 1.326 1.391 1.471 1.894 0.5859
[2,] 1.863 1.868 1.922 0.5703 2.080 0.9051 1.661 1.683 2.177 2.780 0.7577
[3,] 2.422 2.393 2.100 0.6384 2.594 1.0050 1.968 1.874 2.611 3.270 0.8758
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.669 1.358 1.286 0.7209 1.728 1.374 2.049 2.024 2.023 1.500 1.315
[2,] 2.369 1.623 2.469 0.9004 1.996 1.800 2.398 2.679 2.484 2.416 2.110
[3,] 2.735 1.820 3.005 1.0288 2.353 2.098 2.721 2.994 2.906 2.982 2.893
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5044 1.766 1.125 1.660 0.9485 1.256 0.5240 1.263 1.096 3.197 2.555
[2,] 0.6386 2.217 1.307 2.241 1.1095 1.642 0.6874 1.842 1.308 3.782 3.043
[3,] 0.7255 2.733 1.478 2.896 1.2804 1.907 0.8072 2.102 1.512 4.277 3.659
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.3808 0.4377 0.5978 0.6486 1.280 0.8472 1.236 7.192 5.075 2.431
[2,] 0.6220 0.7484 0.7490 0.7904 1.641 1.0554 1.874 9.065 6.948 3.322
[3,] 0.7787 0.8655 0.8523 0.8998 1.944 1.1983 2.463 10.894 8.415 3.803
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.731 1.399 5.397 2.163 2.463 0.7223 0.9339 2.383
[2,] 419.865 304.066 1214.406 762.544 706.007 160.5524 156.5893 446.168
[3,] 419.894 328.702 1269.012 871.666 772.651 137.8232 196.3982 449.840
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.593 2.166 1.383 2.594 1.573 1.822 2.874 2.8 2.241
[2,] 799.105 759.530 419.018 816.949 333.447 596.568 703.902 650.7 705.740
[3,] 579.867 550.833 371.589 719.117 300.117 627.688 687.281 629.3 753.595
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.231 3.188 2.863 4.786 2.262 4.939 3.326 0.948
[2,] 718.586 1061.325 914.483 1072.654 485.014 2239.030 974.111 251.160
[3,] 804.838 911.719 869.898 947.601 508.974 1565.751 879.515 192.832
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.369 2.402 2.185 2.269 1.123 2.277 2.363 1.474
[2,] 785.933 1006.436 471.638 821.068 257.386 756.751 506.103 289.463
[3,] 1032.279 1152.841 403.599 892.127 275.627 902.814 397.717 274.471
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.954 1.96 2.513 2.184 1.84 1.96 0.6705 1.604
[2,] 743.327 718.38 737.508 499.606 547.52 411.92 143.3261 377.160
[3,] 885.456 678.91 710.976 440.607 506.55 414.41 129.6582 376.522
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.5733 2.097 1.906 1.851 0.9738 2.032 1.891 2.887
[2,] 148.1650 569.387 597.913 355.373 199.0676 614.272 351.532 556.072
[3,] 150.1549 583.700 624.736 360.514 197.1491 485.328 376.930 613.610
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.579 2.465 2.274 1.031 1.877 1.876 1.597 1.305
[2,] 336.205 751.741 511.042 240.852 739.496 618.931 556.321 631.330
[3,] 368.819 749.424 463.281 229.352 720.408 620.262 626.263 604.934
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.064 0.589 1.692 0.9734 1.684 1.766 1.867 2.406
[2,] 415.269 134.233 646.450 194.7392 405.020 383.717 649.520 823.144
[3,] 341.793 116.155 627.244 176.8165 427.139 333.203 583.262 696.970
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.744 2.119 1.724 1.632 0.9154 2.194 1.744 2.603
[2,] 194.429 680.177 359.710 852.821 218.2790 404.273 470.681 503.600
[3,] 177.740 553.617 333.669 693.643 201.4078 504.339 435.983 520.891
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.57 2.569 1.905 1.67 0.6405 2.243 1.428 2.108
[2,] 710.59 582.972 766.182 667.79 158.4851 542.119 269.763 609.354
[3,] 540.51 610.686 707.584 800.76 139.3066 646.615 279.037 742.301
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.204 1.594 0.6654 1.603 1.392 4.059 3.245 0.4836
[2,] 232.925 428.131 180.0559 542.996 288.720 818.090 668.822 199.0308
[3,] 258.666 392.659 171.2282 409.487 306.732 808.362 822.229 189.5734
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.5558 0.7591 0.8236 1.625 1.076 1.57 9.132 6.445
[2,] 245.6661 182.6508 182.8060 415.690 254.736 570.00 2233.273 1920.423
[3,] 175.9420 164.5903 174.0145 421.803 229.612 646.79 2445.197 1920.926
[,98]
[1,] 3.087
[2,] 916.268
[3,] 748.860
[1] "--- VAR model 2017-10-02 19:01:00 completed"
[1] "Completed training sample: 2017-10-02 19:01:00 - 2017-10-03 03:00:00"
[1] "SpVAR; training sample: 2017-10-02 19:31:00 - 2017-10-03 03:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2899 -0.4370 -6.5561 -1.330
4.1327 1.6131 0.5222 2.315
-0.1567 0.6381 4.4630 -1.525
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.94709 -0.7723 0.3076 0.006309
-1.10696 0.4414 -0.3042 -0.614437
0.09852 0.4503 1.2999 -2.974336
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.7024 -2.097 -3.0708 -0.5826
-3.3773 -1.060 3.6656 -0.7652
-1.5949 -1.970 0.6377 -4.4018
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.9789 -1.1835 -0.7883 6.537
0.8691 -0.8563 -0.7892 3.880
1.3200 -2.3977 0.5170 6.462
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.643 -1.8641 5.355 2.7808
-1.541 -3.7862 -3.982 0.2175
-1.048 0.2283 -7.876 -4.3556
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.214 0.4990 2.729 -0.2890
-5.145 -0.8082 -2.798 1.6219
2.665 0.8916 -2.708 0.3269
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.67627 4.2815 0.0587 0.5717
0.04716 -0.4196 -2.3961 2.0592
-0.14963 2.0197 2.0348 2.2540
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.1588 -2.14645 1.886 4.8283
3.0382 1.59392 -1.792 -1.6191
-2.5495 0.06846 -1.647 0.3751
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.205 1.854 -1.5449 0.2029
-1.232 -4.518 0.4530 2.6474
1.197 2.367 -0.9466 -3.5104
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.575 4.5143 1.516 -0.25283
-1.629 -4.5640 1.713 -0.05894
1.055 0.5037 1.964 -1.04294
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.717 0.1961 -0.2347 -3.9605
0.803 0.2184 0.2927 0.8972
1.075 0.2108 1.0011 0.6036
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.9508 -0.08542 5.324 0.2335
-0.5571 0.10458 -1.507 -0.6947
0.7377 0.03796 1.253 2.3947
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.064 0.9076 -5.3614 1.985
2.114 2.7502 1.0862 -2.157
1.876 0.5879 0.1031 1.208
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.93072 -6.600 -3.306 1.598
-0.92319 -4.527 -1.459 -6.595
-0.04833 3.545 -1.664 -1.972
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.4677 0.7885 0.2764 1.996
-1.9411 1.1358 0.4082 -2.243
-4.0693 -0.6070 0.4013 0.926
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.9820 2.170 0.7589 -1.0984
-0.5659 -2.697 -0.1366 2.3030
0.3794 1.403 -1.1328 -0.7487
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.2508 1.3903 1.3710 1.9481
2.9356 0.4346 -0.4376 -0.3072
-0.3025 -0.0912 -0.3870 -0.2452
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.9930 0.3651 1.9550 -0.8271
-2.4926 -0.2246 1.6631 3.5836
0.2126 0.2188 -0.2373 1.1717
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.8463 5.939 1.597 5.518
-2.3386 -1.050 -3.509 -2.294
2.8139 4.305 5.918 2.428
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.135 -0.2358 -0.2607 1.7424
5.384 1.4029 1.7242 1.1612
-1.228 -0.3938 1.1505 0.8801
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.2417 1.573 -1.6081 1.57256
2.4093 2.131 -0.7132 0.08458
3.0121 0.947 0.4044 -0.55292
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.3410 0.4913 0.6563 2.9493
0.4667 1.4343 -3.9311 -1.4134
-1.3541 1.4521 2.9346 0.7474
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9194 0.44555 0.19346 0.7900
0.1560 -0.03246 -0.66117 -1.0750
-0.7642 -1.16512 -0.01555 -0.1616
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5515 0.09674 0.01482 75.04
0.1337 0.21069 -0.96447 88.51
0.5103 -0.24466 -0.94359 84.96
rnd_95776.volume rnd_95787.volume
-6.833 -3.1958
14.100 1.4531
-1.616 0.7735
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.24 0.993 3.469 1.551 1.624 0.5119 0.6598 1.750 1.918 1.593 1.003
[2,] 1.58 1.230 4.172 2.242 2.306 0.6424 0.7621 2.128 2.578 2.291 1.332
[3,] 1.86 1.431 4.896 2.928 2.850 0.7230 0.8869 2.322 2.894 2.647 1.568
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.828 1.153 1.346 2.276 2.112 1.499 1.419 2.198 2.059 3.376 1.576
[2,] 2.579 1.390 1.971 2.830 2.548 2.175 2.153 3.287 2.894 4.139 2.003
[3,] 3.038 1.553 2.451 3.251 2.894 2.699 2.785 3.862 3.507 4.730 2.336
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.674 2.327 0.6726 1.725 1.719 1.537 1.607 0.8452 1.591 1.647 1.051
[2,] 6.115 3.114 0.8748 2.553 2.768 1.859 2.467 1.0173 2.298 2.041 1.236
[3,] 6.999 3.600 0.9751 3.410 3.784 2.047 3.111 1.1908 3.041 2.270 1.394
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.918 1.442 1.734 1.610 1.396 1.394 0.4397 1.136 0.4015 1.472 1.291
[2,] 2.487 2.192 2.386 1.924 1.843 1.698 0.5572 1.467 0.4911 1.939 1.854
[3,] 3.188 2.655 2.788 2.165 2.157 1.915 0.6317 1.664 0.5733 2.366 2.304
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.269 0.6842 1.496 1.396 1.987 1.166 1.807 1.493 0.7505 1.388 1.298
[2,] 1.548 0.8408 2.028 1.640 2.264 1.398 2.438 1.853 0.9356 2.171 1.842
[3,] 1.762 0.9366 2.342 1.827 2.614 1.631 2.911 2.167 1.0563 2.642 2.323
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.230 0.9715 1.411 0.4535 1.189 0.7336 1.221 1.218 1.311 1.711 0.5528
[2,] 1.758 1.6879 1.712 0.5515 1.902 0.8817 1.569 1.509 2.011 2.552 0.7096
[3,] 2.254 2.0641 1.882 0.6086 2.410 0.9766 1.802 1.668 2.462 2.994 0.8104
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.534 1.216 1.207 0.6303 1.495 1.209 1.766 1.804 1.800 1.410 1.265
[2,] 2.200 1.441 2.237 0.7917 1.747 1.653 2.111 2.490 2.289 2.243 1.930
[3,] 2.521 1.620 2.786 0.9360 1.995 1.950 2.341 2.710 2.671 2.674 2.637
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4448 1.493 0.9997 1.478 0.8322 1.111 0.4735 1.172 1.035 2.917 2.372
[2,] 0.5688 1.890 1.1700 1.898 0.9711 1.473 0.6009 1.701 1.253 3.450 2.820
[3,] 0.6539 2.406 1.3304 2.470 1.1350 1.718 0.7123 1.945 1.435 3.916 3.343
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.3231 0.3970 0.5452 0.5731 1.176 0.6613 1.150 6.324 4.484 2.197
[2,] 0.5651 0.6618 0.6509 0.7035 1.486 0.8240 1.699 7.878 6.263 2.996
[3,] 0.6898 0.7758 0.7417 0.8062 1.776 0.9629 2.195 8.998 7.590 3.382
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.575 1.261 4.406 1.969 2.062 0.6501 0.8378 2.223
[2,] 364.468 270.124 862.370 602.605 609.384 144.4265 141.9648 450.107
[3,] 365.007 271.860 953.578 700.948 623.044 123.4701 168.8568 346.579
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.435 2.022 1.273 2.321 1.464 1.709 2.89 2.681
[2,] 641.482 612.772 326.359 677.172 288.663 536.019 626.11 530.571
[3,] 489.576 493.748 308.162 597.433 258.215 541.950 595.17 511.072
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.904 1.802 2.792 2.614 4.287 2.002 4.665 2.955
[2,] 586.583 602.570 909.538 756.877 891.403 459.755 1819.380 770.226
[3,] 594.446 657.255 754.228 737.043 852.140 447.284 1267.523 672.145
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8541 2.191 2.183 1.952 2.04 1.073 2.02 2.092
[2,] 208.1682 700.436 807.468 389.446 696.95 210.738 617.21 448.563
[3,] 160.3624 841.213 959.838 318.850 705.03 230.334 741.60 369.584
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.335 2.436 1.831 2.202 2.044 1.773 1.771 0.5584
[2,] 242.187 589.351 614.603 609.809 392.125 447.776 360.750 127.3911
[3,] 239.924 742.174 557.571 537.145 369.661 416.938 328.977 110.6922
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.443 0.5098 1.869 1.639 1.611 0.8689 1.899 1.772
[2,] 345.074 105.2568 469.445 495.398 330.477 181.8719 509.977 320.801
[3,] 292.716 110.1243 505.022 508.961 312.933 153.5879 435.522 299.463
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.523 1.481 2.295 1.896 0.953 1.762 1.648 1.562
[2,] 403.805 286.995 609.041 408.606 207.907 621.541 486.431 467.362
[3,] 486.311 312.275 591.889 417.701 182.513 559.948 527.139 524.944
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.234 1.792 0.5759 1.51 0.9316 1.55 1.547 1.665
[2,] 513.692 360.521 116.7576 552.33 181.9882 366.81 331.325 567.513
[3,] 442.178 291.398 95.8412 551.11 156.3195 329.99 264.173 528.550
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.173 0.702 1.948 1.544 1.533 0.8004 1.898 1.535
[2,] 704.761 165.544 587.125 287.594 700.941 178.3000 336.178 419.457
[3,] 582.404 145.700 457.547 275.575 617.822 185.8552 359.058 384.827
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.242 2.291 2.286 1.791 1.606 0.5648 1.896 1.27
[2,] 430.847 638.429 526.527 648.980 542.693 131.9743 431.331 226.23
[3,] 376.328 398.240 511.802 541.855 668.690 120.0191 554.185 235.69
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.876 1.057 1.41 0.6013 1.488 1.314 3.704 3.012
[2,] 443.400 186.242 360.17 137.6641 458.781 263.258 685.839 567.919
[3,] 588.029 218.626 329.04 142.3454 351.278 260.147 689.182 667.947
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4103 0.5041 0.6923 0.7277 1.493 0.8397 1.46 8.031
[2,] 172.5602 197.0726 132.3250 151.8283 338.097 182.9752 465.42 1748.504
[3,] 147.1929 150.6902 132.3801 146.5408 362.043 185.4024 517.56 1617.682
[,97] [,98]
[1,] 5.693 2.79
[2,] 1627.562 758.26
[3,] 1595.923 583.93
[1] "--- VAR model 2017-10-02 19:31:00 completed"
[1] "Completed training sample: 2017-10-02 19:31:00 - 2017-10-03 03:30:00"
[1] "SpVAR; training sample: 2017-10-02 20:01:00 - 2017-10-03 04:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6078 1.4689 6.756 -2.078
1.4512 1.1519 -3.924 2.655
1.4506 0.8869 -3.922 -4.559
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.987 0.5522 1.8369 0.3839
3.908 -0.7647 1.2695 -2.7053
-4.999 0.7997 0.4478 2.9756
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.100 -0.2125 0.1858 -3.783
-8.935 0.2197 1.2988 -1.755
4.868 -3.0705 -2.5094 -3.842
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.3724 1.150 0.93364 3.692
1.2043 -3.374 -1.82328 5.032
-0.7461 -4.754 -0.02304 5.782
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.2491 -7.602 -5.7019 -2.889
-2.8920 3.438 -9.2209 -3.549
-0.1815 -4.040 -0.4662 -2.704
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.2343 3.0802 -8.9538 3.3334
3.0632 -2.8160 8.3658 -3.6827
-3.9228 0.6932 0.4706 -0.6492
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.0635 -0.1596 3.084 1.7244
0.7346 -0.5893 1.371 1.0479
0.7056 -0.9846 -1.950 0.1256
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.3303 0.3639 2.689 3.8487
-0.3383 0.2817 -2.961 -0.7692
-3.8328 0.4325 1.364 1.3278
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.7951 -3.391 -5.771 1.6042
0.1539 -2.847 6.872 -0.2635
1.6765 2.012 -5.345 -7.0539
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.346 -0.2055 0.5251 -0.5087
-5.573 -2.9524 -1.0978 0.4143
3.362 4.2059 1.8781 -0.2697
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.199 0.03348 2.025 -3.408
0.315 0.34831 -4.544 3.351
-0.602 0.49197 -1.345 -3.726
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.9781 0.4702 0.06389 2.086
0.9234 0.3330 0.22017 -1.566
0.1523 -0.5260 -1.85597 5.047
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.884 -0.1988 -5.746 -3.535
-1.453 1.1988 8.908 3.200
5.327 -4.0372 -1.014 3.869
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.144 -0.9904 0.5247 -0.519
-1.765 -2.7482 -5.0469 2.950
3.102 2.4684 3.2784 -3.640
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.7941 1.574 0.3400 -1.626
2.6567 -3.499 -0.3017 1.986
-6.5657 -2.377 0.8315 -3.687
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.24338 0.6156 -3.448 3.326
-1.13491 -2.2041 2.751 -6.096
0.08212 0.2835 1.510 1.023
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.228 0.4221 6.6893 2.367
-1.224 2.0410 0.4403 2.404
-2.923 -1.9359 -2.2600 0.292
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.081 -1.720 1.633 0.4442
7.961 2.041 2.385 -0.6280
-1.750 1.214 -1.989 5.4785
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.8998 -3.472 -0.9317 3.7661
-0.8599 0.920 3.9799 0.4344
3.0526 6.283 -1.1892 2.5473
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.234 -0.2521 -0.09829 -0.35442
1.345 -0.3303 1.35282 0.02621
0.931 -0.7301 0.86263 1.58004
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.6222 -0.9814 0.1357 1.9900
-0.2577 1.6406 -2.0196 0.6566
-1.8417 0.0630 4.8698 -0.4689
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.541 1.090 2.79414 -3.859
3.972 1.650 6.68856 -8.744
-1.775 1.111 0.08515 7.695
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3658 -1.133 -0.1179 0.1772
0.8170 1.090 -0.5883 -1.6464
-0.8571 -1.938 -0.2009 -0.1985
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.250 0.07373 1.997 86.42
1.360 0.21291 3.378 77.03
-2.934 1.20244 2.662 60.22
rnd_95776.volume rnd_95787.volume
-3.971 -1.41442
-1.319 -3.61022
5.724 -0.05281
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.153 0.8937 3.305 1.333 1.587 0.4565 0.6275 1.551 1.833 1.423 0.935
[2,] 1.507 1.0953 3.906 2.077 2.150 0.5601 0.7365 1.891 2.361 2.080 1.266
[3,] 1.756 1.2493 4.442 2.677 2.606 0.6332 0.8573 2.122 2.676 2.356 1.425
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.238 1.073 1.302 2.260 2.037 1.431 1.319 2.024 1.935 3.141 1.512
[2,] 1.840 1.305 1.882 2.820 2.361 2.017 2.030 2.929 2.726 3.908 1.880
[3,] 2.130 1.453 2.275 3.152 2.633 2.497 2.601 3.527 3.275 4.422 2.127
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.364 1.960 0.6197 1.662 1.419 1.475 1.447 0.7979 1.472 1.494 0.9838
[2,] 5.641 2.884 0.7776 2.431 2.267 1.784 2.232 0.9334 1.984 1.866 1.1364
[3,] 6.615 3.265 0.8544 3.215 3.367 1.975 2.842 1.0695 2.582 2.132 1.2957
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.787 1.392 1.468 1.434 1.283 1.281 0.3871 1.036 0.3603 1.344 1.202
[2,] 2.285 2.058 2.058 1.798 1.714 1.609 0.4918 1.268 0.4489 1.705 1.643
[3,] 2.864 2.440 2.438 2.032 1.980 1.799 0.5662 1.475 0.5230 2.085 2.105
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.234 0.6361 1.248 1.314 1.803 1.096 1.607 1.373 0.7417 1.322 1.241
[2,] 1.491 0.7922 1.730 1.549 2.138 1.289 2.239 1.704 0.8884 1.931 1.743
[3,] 1.692 0.8911 2.075 1.706 2.429 1.477 2.829 1.985 1.0234 2.381 2.133
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.040 0.793 1.195 0.4510 1.007 0.7731 1.129 1.088 1.212 1.484 0.5060
[2,] 1.477 1.471 1.491 0.5359 1.581 0.8823 1.400 1.319 1.821 2.178 0.6739
[3,] 1.949 1.898 1.671 0.5942 1.992 0.9609 1.653 1.525 2.139 2.578 0.7557
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.317 1.133 1.217 0.5966 1.361 1.152 1.571 1.590 1.765 1.305 1.172
[2,] 1.938 1.344 2.026 0.7653 1.588 1.574 1.939 2.240 2.150 2.031 1.805
[3,] 2.224 1.483 2.566 0.8763 1.802 1.854 2.207 2.494 2.495 2.412 2.402
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3996 1.347 0.8808 1.260 0.7491 1.017 0.4135 1.068 0.9223 2.633
[2,] 0.5052 1.696 1.0438 1.642 0.8857 1.321 0.5479 1.616 1.1269 3.201
[3,] 0.5856 2.193 1.1951 2.238 1.0628 1.527 0.6309 1.891 1.2949 3.575
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.093 0.2958 0.3465 0.4843 0.5198 1.146 0.5553 0.8549 6.468 3.871
[2,] 2.575 0.5021 0.5845 0.5811 0.6168 1.413 0.7096 1.1612 7.931 5.856
[3,] 3.114 0.6252 0.6779 0.6749 0.7225 1.565 0.8325 1.5088 8.957 6.924
[,98]
[1,] 1.837
[2,] 2.736
[3,] 3.075
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.464 1.135 4.196 1.693 2.015 0.5796 0.7968 1.97
[2,] 314.725 205.422 675.470 516.657 470.794 105.3115 125.1292 350.64
[3,] 292.401 194.972 686.381 548.169 477.444 95.7917 142.3450 312.58
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.327 1.807 1.187 1.572 1.363 1.654 2.87 2.587
[2,] 482.984 492.173 276.767 441.400 240.864 440.968 547.12 387.227
[3,] 408.617 358.890 212.125 348.088 207.454 414.711 456.95 377.843
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.817 1.675 2.57 2.457 3.989 1.92 4.272 2.489
[2,] 461.341 500.667 687.07 623.155 754.342 362.38 1469.039 686.478
[3,] 477.708 527.353 637.34 588.659 671.621 322.74 1120.696 496.265
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7869 2.11 1.802 1.874 1.838 1.013 1.869 1.897
[2,] 152.4075 575.74 573.708 325.253 551.389 157.090 431.679 362.808
[3,] 114.8499 682.75 807.639 274.804 570.486 169.385 536.070 334.514
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.249 2.27 1.768 1.864 1.822 1.63 1.627 0.4915 1.315
[2,] 184.566 461.75 491.856 467.968 351.448 368.67 315.995 98.4203 237.305
[3,] 201.903 560.23 425.272 424.257 307.687 321.78 260.607 91.0405 244.717
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4575 1.707 1.527 1.567 0.8078 1.585 1.669 2.29
[2,] 86.8663 340.089 363.461 271.716 153.1953 388.663 266.296 372.55
[3,] 87.0533 389.555 426.739 259.171 132.3408 371.648 231.366 374.24
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.392 2.041 1.743 0.9419 1.679 1.576 1.32 1.007
[2,] 219.760 505.996 327.563 158.6240 456.552 397.163 340.16 402.076
[3,] 233.859 560.920 330.014 164.8647 452.131 398.440 412.67 389.024
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.517 0.5727 1.278 0.9817 1.433 1.382 1.539 1.884
[2,] 289.505 93.8944 395.402 137.9581 268.532 241.809 440.863 517.518
[3,] 244.606 83.2775 393.270 123.4667 285.506 248.166 364.371 447.484
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.6425 1.673 1.438 1.545 0.7576 1.728 1.463 1.995
[2,] 144.3796 461.096 234.669 525.368 155.5348 265.706 347.782 368.802
[3,] 110.9572 354.207 203.370 510.971 138.4375 276.194 318.263 341.402
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.019 2.241 1.657 1.488 0.5074 1.71 1.119 1.6
[2,] 512.125 398.164 504.871 445.458 100.2764 334.13 181.723 341.7
[3,] 355.162 411.132 422.304 514.348 96.1138 451.09 188.834 493.3
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 0.9512 1.292 0.5251 1.357 1.171 3.344 2.658 0.3756
[2,] 153.3406 273.541 116.6421 393.438 210.085 590.446 486.802 131.6296
[3,] 190.5556 248.244 101.4914 318.481 206.934 516.391 567.954 120.8685
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.44 0.615 0.6601 1.455 0.7052 1.086 8.213 4.915
[2,] 152.70 104.166 107.7137 268.527 143.2950 254.942 1489.259 1425.571
[3,] 111.43 111.397 122.0938 218.148 141.2695 312.579 1350.143 1199.023
[,98]
[1,] 2.332
[2,] 658.055
[3,] 454.953
[1] "--- VAR model 2017-10-02 20:01:00 completed"
[1] "Completed training sample: 2017-10-02 20:01:00 - 2017-10-03 04:00:00"
[1] "SpVAR; training sample: 2017-10-02 20:31:00 - 2017-10-03 04:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.485 -1.5645 -8.2518 -0.4014
3.015 -0.2128 -0.3931 6.7448
1.517 -1.3879 -1.4183 2.3185
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.4007 1.4107 1.31273 -2.600
-0.8964 -1.4367 0.70602 2.198
2.4472 0.7461 -0.05298 4.397
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.7910 0.2243 -0.4533 0.7555
-0.8159 -0.2223 0.9234 -0.1854
1.5284 2.5372 3.0203 -2.3985
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.301 -3.2504 -6.36264 5.108
1.117 -0.8718 -3.00748 2.394
1.665 1.7905 -0.07587 5.484
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.3553 2.9155 -4.455 -7.055
0.2836 -0.8639 8.218 5.672
-1.6139 3.4478 6.858 7.276
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.4026 0.8179 14.978 3.258
-8.4346 2.0511 -1.149 6.458
-1.7574 -2.9839 -2.282 -2.177
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.6018 5.1007 7.589 0.2303
1.0968 2.6405 4.221 -2.5369
0.6844 0.9215 4.916 0.6557
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.6025 -0.3588 -1.4752 -3.8244
8.3862 -0.5154 10.0220 -2.6687
3.5497 -1.8530 0.8344 0.1309
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.085 0.8258 -0.6701 -6.560
-2.742 -1.1563 -1.8655 1.215
3.420 5.4182 3.5541 5.269
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.041 0.08329 2.0520 -0.9046
2.203 3.06830 -0.2236 0.2039
4.390 0.59948 1.4050 -0.4159
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2042 -0.002015 1.2597 -0.7379
-0.3653 -0.265765 -0.3885 0.3178
0.3543 -0.240620 3.0776 0.4233
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.687 0.3478 -0.6976 4.496338
3.177 -0.8164 1.0713 0.722370
1.147 1.1247 2.1160 -0.007733
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.166 -0.4828 -1.970 3.5185
2.485 1.2647 7.064 1.2597
5.256 1.1963 -0.436 -0.3947
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9255 3.253 3.979 1.5026
1.9309 -0.378 -1.152 5.5886
0.1843 5.855 4.980 -0.6275
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.5331 1.1097 1.6304 -3.723
3.8209 -0.3381 0.2220 2.904
1.9550 2.6509 -0.1705 1.296
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0890 -2.58003 2.46059 -0.001649
-1.8362 3.97205 1.54645 3.110575
-0.5437 0.06437 0.01473 1.657137
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.0946 0.4764 5.3379 2.0809
0.0154 0.5789 -0.7697 -0.0184
9.7582 0.9359 4.6638 1.0822
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.905 0.5762 4.0962 0.8205
-2.991 -0.8319 0.4756 3.9720
6.044 0.3126 2.1932 0.5805
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.04604 2.392 7.2614 2.392
-1.42760 0.611 0.8404 5.812
0.02674 2.298 1.4149 2.046
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.066 -0.1583 0.872 -1.286
2.895 1.7331 4.119 0.547
4.579 -0.1081 4.307 2.737
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.910 1.6029 -3.9119 -0.8644
-1.205 0.4337 1.5459 0.9220
6.873 2.3983 -0.6645 -0.1244
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.9738 -1.6308 0.9743 0.2904
3.3602 -0.3833 9.3590 2.1814
-0.3967 -0.9740 4.4968 3.1105
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1517 0.1213 -0.7369 -1.3224
-0.1959 -0.2535 -0.2693 -0.5233
-1.1683 -0.7393 -0.8974 -0.3013
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9101 0.8493 -0.7992 84.52
-2.0289 1.2319 1.9306 78.29
0.9052 1.2989 0.1131 89.83
rnd_95776.volume rnd_95787.volume
8.904 7.198
11.847 5.293
8.487 -2.003
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.124 0.8491 3.097 1.278 1.411 0.4446 0.6228 1.433 1.522 1.278 0.8626
[2,] 1.463 1.0587 3.563 1.955 2.045 0.5479 0.7335 1.729 2.056 1.909 1.1271
[3,] 1.684 1.1896 3.951 2.451 2.493 0.6078 0.8323 1.941 2.309 2.127 1.3272
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.124 1.042 1.243 2.245 1.976 1.394 1.265 1.877 1.780 3.016 1.290
[2,] 1.665 1.246 1.738 2.806 2.264 1.947 1.769 2.727 2.397 3.671 1.680
[3,] 1.951 1.387 2.106 3.129 2.529 2.368 2.314 3.342 2.946 4.107 1.934
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.997 1.952 0.5771 1.590 1.403 1.384 1.308 0.7310 1.268 1.542 0.8439
[2,] 5.018 2.712 0.7123 2.212 2.130 1.655 2.084 0.8787 1.771 1.848 1.0080
[3,] 5.985 3.087 0.7933 2.866 3.132 1.830 2.585 0.9946 2.396 2.108 1.2150
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.646 1.172 1.351 1.464 1.195 1.178 0.3595 0.9274 0.3198 1.296 1.125
[2,] 2.144 1.881 2.013 1.714 1.591 1.441 0.4487 1.1251 0.4033 1.635 1.521
[3,] 2.672 2.305 2.440 1.925 1.853 1.582 0.5200 1.3174 0.4572 1.972 1.896
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.120 0.5838 1.120 1.185 1.663 0.9899 1.438 1.185 0.6964 1.229 1.211
[2,] 1.365 0.7191 1.549 1.406 1.988 1.1969 2.064 1.502 0.8515 1.738 1.667
[3,] 1.570 0.8365 1.849 1.598 2.285 1.3867 2.511 1.755 0.9768 2.195 2.008
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.037 0.7246 1.140 0.4527 0.9963 0.7301 1.032 0.9654 1.148 1.423
[2,] 1.379 1.3907 1.377 0.5340 1.4929 0.8356 1.289 1.1710 1.721 2.005
[3,] 1.776 1.7423 1.563 0.6041 1.8802 0.9242 1.534 1.3699 2.007 2.425
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5359 1.261 1.014 1.165 0.5110 1.241 1.091 1.575 1.476 1.640 1.167
[2,] 0.6833 1.753 1.189 1.912 0.6959 1.483 1.519 1.860 2.125 2.011 1.938
[3,] 0.7494 2.042 1.339 2.329 0.8082 1.702 1.772 2.147 2.437 2.216 2.253
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.146 0.3485 1.232 0.8158 1.150 0.6566 1.017 0.3712 0.9769 0.8503
[2,] 1.629 0.4564 1.553 0.9944 1.491 0.8100 1.263 0.4729 1.4121 1.0628
[3,] 2.259 0.5341 2.066 1.1273 2.048 0.9292 1.434 0.5512 1.6845 1.2264
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.506 2.025 0.2444 0.3185 0.4179 0.4359 1.050 0.4805 0.8018 6.322
[2,] 3.036 2.517 0.4084 0.5159 0.5029 0.5230 1.317 0.6069 1.0757 7.858
[3,] 3.391 2.951 0.5209 0.6123 0.5891 0.6169 1.483 0.7007 1.3864 8.969
[,97] [,98]
[1,] 3.684 1.860
[2,] 5.371 2.635
[3,] 6.354 2.972
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.427 1.078 3.932 1.622 1.791 0.5646 0.7909 1.819
[2,] 317.415 214.319 597.171 501.726 501.625 108.4907 131.2758 327.847
[3,] 282.716 183.910 578.478 500.678 483.370 89.1579 133.3027 299.224
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 1.933 1.622 1.095 1.428 1.323 1.578 2.851 2.509
[2,] 468.177 480.744 245.855 416.267 231.752 411.703 570.487 375.042
[3,] 356.699 318.175 237.558 344.582 206.450 403.523 469.081 381.799
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.77 1.607 2.383 2.26 3.83 1.639 3.806 2.478
[2,] 460.76 419.220 670.452 543.99 709.38 364.401 1363.876 638.119
[3,] 456.73 505.488 654.956 580.48 624.07 324.704 1105.924 500.276
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7329 2.019 1.781 1.757 1.662 0.9282 1.611 1.959
[2,] 141.4970 521.457 543.432 307.673 549.568 165.2434 419.003 344.858
[3,] 118.3224 617.613 778.223 264.892 518.324 157.9662 546.930 343.796
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.072 2.09 1.488 1.715 1.86 1.518 1.496 0.4565 1.178
[2,] 186.864 465.39 498.565 505.777 302.07 355.850 281.513 91.0342 215.883
[3,] 229.870 540.64 451.535 467.446 297.11 321.647 221.394 89.0415 232.258
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4061 1.645 1.429 1.422 0.7414 1.423 1.504 2.111
[2,] 83.2971 338.195 347.020 264.604 142.2965 362.288 256.327 369.260
[3,] 72.9527 373.718 383.293 262.939 144.8164 342.556 258.012 382.124
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.257 1.826 1.505 0.8843 1.561 1.538 1.317 0.9201
[2,] 228.057 501.753 312.825 166.0893 416.455 388.146 307.949 402.2851
[3,] 237.354 484.991 307.941 162.1803 454.634 379.715 379.546 355.7091
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.447 0.5749 1.265 0.9272 1.31 1.226 1.457 1.808
[2,] 261.976 95.9971 376.836 137.6987 261.70 224.606 434.856 478.671
[3,] 250.496 95.7442 387.336 133.8507 281.98 240.966 349.609 462.371
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.6806 1.601 1.288 1.48 0.6489 1.576 1.386 2.0
[2,] 143.6376 412.634 209.954 513.76 160.1027 275.011 358.246 335.4
[3,] 104.3113 354.961 209.272 450.81 139.2558 283.153 309.021 363.8
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 1.874 2.082 1.482 1.455 0.4426 1.564 1.036 1.46
[2,] 518.031 394.541 524.296 392.347 99.8724 320.565 192.699 321.74
[3,] 404.473 315.265 389.241 530.237 94.0450 461.783 179.984 475.77
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 0.8338 1.292 0.4714 1.241 1.08 3.183 2.572 0.3103
[2,] 160.7735 253.807 99.3314 345.562 216.09 580.555 506.366 110.9011
[3,] 154.2613 229.924 95.9361 311.260 207.41 512.367 522.182 109.6012
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.4045 0.5306 0.5535 1.334 0.6101 1.018 8.028 4.678
[2,] 137.5662 94.8246 97.9549 269.413 125.6809 243.033 1581.459 1324.811
[3,] 111.7655 103.9924 110.8462 230.630 118.6648 296.411 1465.951 1150.525
[,98]
[1,] 2.362
[2,] 632.651
[3,] 466.048
[1] "--- VAR model 2017-10-02 20:31:00 completed"
[1] "Completed training sample: 2017-10-02 20:31:00 - 2017-10-03 04:30:00"
[1] "SpVAR; training sample: 2017-10-02 21:01:00 - 2017-10-03 05:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.1946 2.4779 12.032 2.584
0.8602 -0.2035 -5.359 -5.256
1.4292 -0.6237 -2.473 -1.465
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.019 -1.9451 -0.2194 -4.1190
-2.724 0.3708 -1.0609 3.2094
-7.501 1.5729 -1.7928 0.8455
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.0865 -5.6067 -2.1379 -2.872
0.5696 -0.6377 0.7179 -8.898
5.8511 4.8694 1.8288 -4.042
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.411 -5.30469 -4.5650 10.900
2.714 -6.34712 -7.2563 2.899
1.694 -0.08225 0.4995 8.601
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.6363 -3.476 -0.4124 -0.8441
-10.0907 -10.034 0.3947 0.4963
-6.6263 -11.782 -5.2147 -3.5116
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
5.176 -4.0421 -10.21 -8.3731
-12.017 -1.0188 12.10 5.2679
-1.432 0.1557 -12.25 0.1136
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.7886 -7.942 -9.107 1.768684
0.7524 -2.639 -5.544 -0.756066
-1.3001 1.572 2.255 0.002546
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.621 -0.2978 -3.0153 2.493
-8.743 -1.7802 -6.4417 -3.271
-1.345 -1.8794 0.6242 3.050
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5852 3.424 1.572 2.483
-0.8832 -1.148 0.246 -3.676
-1.3092 -3.810 -8.228 -1.066
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.341 -1.329 1.1435 0.3001
-1.959 -2.842 0.6243 -0.2884
-2.436 -1.419 2.1180 1.3141
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.1228 0.2392 1.22466 2.885
-0.3972 -0.2522 -1.28015 3.645
4.1512 0.6312 0.07668 -2.752
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.220 -1.4219 1.052 4.4934
2.863 0.4852 6.157 -0.9965
3.382 0.9554 -3.332 2.0782
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.2420 5.735 -5.373 1.7385
0.9668 -3.946 2.773 0.8883
4.2510 3.025 1.204 -4.4769
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4065 7.790 0.8739 1.460
2.8765 -10.320 -3.6050 -1.245
-0.1295 3.374 1.1067 -7.966
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.195 3.210 1.6476 -2.440
3.367 1.251 -1.9357 3.059
-1.535 -5.524 -0.3335 4.574
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.04147 1.806 2.008874 3.1558
-1.97623 2.087 0.007745 2.8592
-2.44582 2.273 -1.189875 -0.5159
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.994 1.2508 -2.9155 -0.6482
2.203 2.4111 0.6531 -2.2450
1.258 -0.1232 0.4364 -1.3607
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.0425 1.8854 -2.2878 -0.3071
-0.3486 0.6636 4.4446 -1.9567
-2.1484 -0.6401 0.7639 1.6777
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.1580 -4.872 -0.06265 -5.2701
2.8209 -3.671 1.12861 -0.9467
-0.8754 1.374 -2.76474 0.8890
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.872 -1.0550 -3.179 0.5501
-5.817 0.8076 -1.908 -0.0231
2.885 1.0480 -1.822 -0.5149
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.7409 2.037 4.8978 -0.6747
0.2499 3.124 -0.2576 0.0663
-5.3790 -1.413 1.1836 0.4205
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.403 2.32616 -8.956 4.588
-3.589 0.09297 -5.663 10.529
-5.402 -0.44411 -1.945 -4.220
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.60324 -0.50421 -0.63264 -0.1538
0.81552 0.09866 -0.06434 0.5528
-0.08245 -0.08338 -0.63866 -0.1030
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.246 -2.1839 2.494 103.18
-1.129 1.2479 -1.205 109.77
-0.570 -0.1545 2.798 83.57
rnd_95776.volume rnd_95787.volume
-5.973 -11.3111
2.847 3.7792
-3.461 -0.4512
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.143 0.7892 2.577 1.225 1.427 0.4053 0.6160 1.395 1.498 1.214 0.8584
[2,] 1.470 0.9749 3.188 1.873 2.061 0.4723 0.7038 1.657 1.981 1.827 1.1028
[3,] 1.642 1.0797 3.604 2.414 2.525 0.5254 0.8135 1.881 2.224 2.045 1.2805
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.171 1.022 1.219 2.264 1.954 1.361 1.260 1.723 1.729 2.782 1.242
[2,] 1.646 1.219 1.713 2.761 2.257 1.932 1.841 2.649 2.316 3.587 1.570
[3,] 1.915 1.353 1.974 3.037 2.529 2.320 2.277 3.327 2.861 4.017 1.795
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.914 1.710 0.5192 1.536 1.337 1.260 1.264 0.7003 1.157 1.603 0.850
[2,] 4.852 2.505 0.6487 2.151 2.022 1.510 2.043 0.8589 1.635 1.879 1.024
[3,] 5.831 2.956 0.7448 2.756 2.986 1.679 2.554 0.9571 2.187 2.100 1.205
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.630 1.218 1.250 1.442 1.123 1.168 0.3205 0.7731 0.2975 1.279 1.119
[2,] 2.110 1.909 1.944 1.727 1.566 1.364 0.4023 0.9566 0.3630 1.601 1.555
[3,] 2.618 2.351 2.341 1.961 1.785 1.513 0.4587 1.1001 0.4173 1.903 1.876
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.052 0.5900 1.128 1.104 1.648 0.9377 1.407 1.152 0.6894 1.175 1.117
[2,] 1.267 0.7167 1.510 1.338 1.922 1.1691 2.022 1.457 0.8368 1.642 1.575
[3,] 1.480 0.8237 1.804 1.490 2.144 1.3128 2.430 1.640 0.9425 2.076 1.898
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.9817 0.7256 1.194 0.4776 0.9172 0.6992 1.006 0.884 1.077 1.412
[2,] 1.3379 1.3028 1.342 0.5591 1.4473 0.8235 1.226 1.092 1.535 2.006
[3,] 1.7052 1.6728 1.490 0.6261 1.7545 0.8890 1.462 1.261 1.818 2.393
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5516 1.202 0.9702 1.107 0.5098 1.282 1.143 1.589 1.503 1.610 1.203
[2,] 0.6627 1.677 1.1295 1.793 0.6639 1.491 1.511 1.821 2.052 1.956 2.016
[3,] 0.7344 1.988 1.2730 2.188 0.7644 1.680 1.684 2.059 2.296 2.171 2.337
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.104 0.3394 1.074 0.7259 1.026 0.6510 0.9075 0.3668 0.9531 0.8259
[2,] 1.633 0.4347 1.470 0.9142 1.406 0.7597 1.1405 0.4501 1.3746 1.0115
[3,] 2.285 0.5013 1.981 1.0375 1.944 0.8478 1.2923 0.5115 1.6412 1.1334
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.283 1.885 0.2294 0.2678 0.3594 0.4021 0.9733 0.4070 0.8417 6.573
[2,] 2.797 2.392 0.3573 0.4459 0.4498 0.4808 1.1959 0.5053 1.1110 7.972
[3,] 3.229 2.766 0.4463 0.5361 0.5352 0.5545 1.3259 0.5807 1.4214 9.090
[,97] [,98]
[1,] 3.908 1.669
[2,] 5.100 2.468
[3,] 6.037 2.863
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.451 1.002 3.273 1.555 1.812 0.5146 0.7822 1.771
[2,] 313.982 194.216 636.724 480.978 504.540 82.3366 115.5359 303.797
[3,] 248.239 157.476 570.261 516.938 495.276 78.1040 138.4455 301.728
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 1.902 1.542 1.09 1.487 1.297 1.548 2.875 2.482
[2,] 439.928 463.331 234.93 392.516 225.854 408.382 536.024 382.980
[3,] 342.571 311.742 220.86 331.928 199.108 333.006 429.650 387.354
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.728 1.601 2.189 2.196 3.533 1.577 3.7 2.172
[2,] 465.617 455.177 682.423 522.713 768.214 325.914 1316.4 620.984
[3,] 435.855 455.061 683.166 570.264 613.871 295.278 1097.5 532.672
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6593 1.951 1.697 1.6 1.605 0.8892 1.469 2.035
[2,] 132.0098 510.766 514.775 282.2 544.428 168.7706 392.356 332.659
[3,] 124.1650 585.080 745.636 249.8 520.066 143.3230 492.589 318.708
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.079 2.069 1.547 1.587 1.831 1.427 1.483 0.407
[2,] 193.635 454.582 498.902 505.459 322.819 370.217 239.518 82.519
[3,] 215.669 526.072 465.209 442.175 314.769 290.427 221.655 74.757
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9818 0.3777 1.624 1.421 1.336 0.7492 1.432 1.402
[2,] 191.1603 70.5844 326.669 366.229 239.475 138.0780 340.613 256.459
[3,] 184.3058 69.8703 348.827 356.395 259.659 137.8024 335.110 222.461
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.093 1.191 1.787 1.463 0.8754 1.492 1.418 1.247
[2,] 335.719 236.919 492.656 302.604 160.9397 389.099 376.674 308.440
[3,] 322.125 202.634 457.548 255.262 147.2056 431.372 359.604 358.763
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9213 1.516 0.6065 1.165 0.8878 1.278 1.123 1.368
[2,] 367.1574 208.034 98.6446 379.898 147.6668 237.633 217.697 371.152
[3,] 356.0832 219.874 95.6522 336.545 113.6087 270.449 213.666 330.093
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.793 0.7004 1.526 1.232 1.406 0.6473 1.628 1.452
[2,] 483.732 124.6513 396.664 196.253 478.547 144.3103 257.964 335.303
[3,] 442.703 107.3643 362.165 199.211 425.522 128.5672 263.026 252.606
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.018 1.909 2.045 1.528 1.402 0.431 1.364 0.9218
[2,] 301.304 473.921 376.974 549.032 408.456 92.178 340.563 188.5560
[3,] 326.369 349.907 319.483 401.119 542.063 84.711 450.789 166.4891
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.303 0.8266 1.152 0.4658 1.21 1.049 2.899 2.393
[2,] 326.280 132.8944 234.432 88.5209 336.09 198.162 548.286 499.949
[3,] 455.406 127.6834 206.180 82.4760 304.26 173.532 547.178 470.978
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.2913 0.3401 0.4563 0.5106 1.236 0.5168 1.069 8.347
[2,] 92.9464 120.9650 91.8011 89.4613 235.794 101.6351 246.064 1530.270
[3,] 90.7825 100.9718 98.4062 93.7146 194.276 97.0750 300.871 1482.165
[,97] [,98]
[1,] 4.963 2.119
[2,] 1111.675 616.957
[3,] 1096.113 492.832
[1] "--- VAR model 2017-10-02 21:01:00 completed"
[1] "Completed training sample: 2017-10-02 21:01:00 - 2017-10-03 05:00:00"
[1] "SpVAR; training sample: 2017-10-02 21:31:00 - 2017-10-03 05:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.553 1.6089 4.175 -0.6693
-1.428 -0.2749 6.810 9.9357
2.312 3.9193 2.219 -4.0886
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.608 -1.507 -2.265 0.4041
6.038 0.749 2.371 2.7290
9.970 0.030 1.670 2.0626
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.342 -2.139 8.046 -1.520
6.226 7.048 2.816 -8.632
-1.399 -1.567 7.820 -15.724
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.253 12.233 12.950 29.75
-2.019 -2.529 3.078 28.86
4.253 2.617 0.451 29.27
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
6.521 -4.328 4.471 0.1176
7.685 11.196 6.073 12.4971
9.158 7.596 15.422 8.9301
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
21.071 1.037 5.035 0.8219
2.298 -3.230 3.107 13.6735
15.551 6.457 -2.679 -7.8197
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.196 7.2793 15.850 2.020
-2.568 0.8103 1.934 3.709
-1.184 1.9724 2.318 5.297
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.168 -1.583 -4.8300 -1.889
8.183 6.326 6.0289 -1.329
1.047 1.027 0.5394 -1.834
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.997 -5.3719 -13.378 -4.959
-2.671 5.8560 2.134 1.944
3.225 0.8018 6.574 2.402
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4343 6.680 1.995 0.8055
-0.2270 3.107 6.046 -0.4518
5.9062 -1.582 2.859 0.8873
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.4873 0.95888 4.154 -3.616
-0.1137 -0.04897 -4.195 6.168
8.2069 0.78650 -2.383 -1.332
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7302 -3.49696 2.067 -0.3127
9.3512 0.33574 1.645 2.0915
6.3049 0.08952 2.721 -5.9737
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.5294 2.1078 -0.8831 10.4289
-0.2396 0.2226 10.2731 0.3862
1.3106 -0.8109 -5.6993 -1.8900
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.7610 -0.3073 2.4307 6.37669
6.8493 -4.4556 3.2863 4.33693
-0.5743 3.1375 -0.3809 0.02959
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.8698 4.2204 2.167 6.7855
6.7942 -0.6152 1.102 -0.8698
3.2569 0.9304 -1.335 4.8072
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.331 3.450 -3.108 8.439
-0.229 2.016 3.259 2.014
-1.088 5.131 -1.801 3.609
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.268 1.950 3.668 6.922
-9.747 1.132 -2.955 5.858
8.430 1.929 2.292 -1.893
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.685 -0.74459 -0.7231 0.9066
10.305 0.05033 2.5416 -1.2630
-3.956 -1.52099 4.6303 1.7153
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.755 -4.7554 6.807 9.963
3.000 3.2273 1.637 2.688
4.566 -0.9385 2.204 6.492
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
18.004 -1.555 14.403 1.172
6.027 3.112 7.545 -1.090
1.745 2.042 1.472 5.034
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.514 -1.833 -5.035 0.3681
17.428 3.464 -3.994 0.7284
-3.716 3.136 2.756 0.5271
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
9.0266 0.3856 -2.6659 -0.05051
3.0093 1.1942 -14.3870 4.88168
0.9424 3.5275 0.4128 2.07784
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8064 -1.3859 -0.3553 0.00728
-1.3159 -1.1908 -1.7710 -1.62812
0.6160 -0.5002 -0.4291 1.02757
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.425 1.562 -1.6082 85.78
1.232 1.152 0.8352 108.82
-3.280 3.227 1.1334 92.59
rnd_95776.volume rnd_95787.volume
25.2244 -0.1451
0.4186 8.8273
8.7313 -5.1796
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.209 0.7783 2.780 1.210 1.452 0.3471 0.6503 1.405 1.535 1.217 0.8444
[2,] 1.514 0.9356 3.303 1.771 2.110 0.4253 0.7421 1.658 2.010 1.869 1.0814
[3,] 1.695 1.0304 3.663 2.335 2.562 0.4721 0.8383 1.885 2.284 2.183 1.2487
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.132 1.026 1.247 2.244 1.929 1.296 1.275 1.336 1.599 3.149 1.269
[2,] 1.673 1.235 1.689 2.697 2.224 1.829 1.804 2.027 2.054 3.924 1.625
[3,] 1.925 1.372 1.956 2.980 2.554 2.251 2.181 2.552 2.418 4.399 1.844
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.079 1.650 0.4951 1.500 1.361 1.259 1.181 0.6534 1.185 1.569 0.8444
[2,] 5.223 2.450 0.5907 2.179 2.078 1.494 1.903 0.7939 1.669 1.910 0.9923
[3,] 6.124 3.028 0.6538 2.814 3.040 1.668 2.411 0.9040 2.280 2.060 1.1616
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.596 1.246 1.250 1.490 1.135 1.109 0.2808 0.7677 0.2739 1.276 1.119
[2,] 1.923 1.911 2.007 1.782 1.549 1.277 0.3679 0.9141 0.3313 1.590 1.550
[3,] 2.444 2.314 2.305 1.986 1.732 1.429 0.4174 1.0279 0.3766 1.848 1.911
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.017 0.5670 1.105 1.025 1.500 0.9034 1.389 1.075 0.6513 1.180 1.055
[2,] 1.215 0.6860 1.528 1.255 1.789 1.0930 1.981 1.360 0.7947 1.637 1.571
[3,] 1.422 0.8063 1.779 1.410 2.006 1.2253 2.404 1.501 0.9065 2.034 1.845
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.9525 0.718 1.077 0.5232 0.9126 0.6989 0.9511 0.8183 1.067 1.505
[2,] 1.3558 1.258 1.274 0.5923 1.3782 0.8271 1.1848 0.9900 1.466 2.071
[3,] 1.6667 1.654 1.406 0.6633 1.6613 0.8861 1.4234 1.1399 1.763 2.450
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5705 1.194 0.9183 1.071 0.5076 1.366 1.234 1.521 1.490 1.596 1.173
[2,] 0.6979 1.677 1.1000 1.679 0.6483 1.602 1.590 1.765 2.036 1.951 2.045
[3,] 0.7694 1.972 1.2161 2.082 0.7323 1.815 1.766 2.026 2.243 2.122 2.426
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.143 0.3217 0.9483 0.6845 1.015 0.6496 0.8645 0.3451 0.9133 0.8319
[2,] 1.736 0.4030 1.3481 0.8535 1.349 0.7488 1.0500 0.4210 1.4274 0.9804
[3,] 2.309 0.4587 1.9412 0.9815 1.967 0.8366 1.2285 0.4736 1.6581 1.0763
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.265 1.722 0.2012 0.2535 0.3067 0.3263 1.002 0.3701 0.7450 6.500
[2,] 2.677 2.141 0.2903 0.3751 0.3919 0.4003 1.151 0.4366 0.9689 7.944
[3,] 3.097 2.430 0.3973 0.4637 0.4712 0.4660 1.281 0.5055 1.2534 9.163
[,97] [,98]
[1,] 3.712 1.662
[2,] 4.790 2.439
[3,] 5.800 2.895
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.535 0.9883 3.531 1.536 1.844 0.4407 0.8258 1.784
[2,] 300.834 171.2918 588.397 426.926 504.984 81.1142 117.9711 290.622
[3,] 251.501 142.4919 522.384 501.642 479.290 67.6152 128.6169 295.927
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 1.949 1.545 1.072 1.437 1.303 1.583 2.849 2.45
[2,] 428.136 467.768 222.886 406.685 226.945 376.134 493.476 364.98
[3,] 357.863 372.374 205.983 313.693 196.655 325.536 418.306 414.38
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.646 1.619 1.696 2.031 3.999 1.612 3.909 2.095
[2,] 425.681 420.904 503.047 425.408 772.616 334.872 1392.145 597.481
[3,] 433.209 404.436 511.329 420.721 655.492 287.728 1054.727 587.102
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6287 1.904 1.728 1.598 1.5 0.8297 1.505 1.993
[2,] 106.2621 521.542 517.919 265.513 492.3 148.7740 387.611 359.432
[3,] 92.4638 587.311 732.379 244.806 488.6 142.6664 512.407 254.490
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.072 2.027 1.583 1.587 1.892 1.441 1.408 0.3565
[2,] 171.941 354.059 477.711 517.966 322.164 347.612 209.018 78.4397
[3,] 199.253 497.697 430.597 374.351 289.339 255.983 211.410 65.0323
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9748 0.3478 1.62 1.421 1.292 0.7199 1.403 1.302
[2,] 163.7586 61.5216 313.16 353.880 218.837 127.4019 348.071 239.088
[3,] 155.0701 59.0676 310.68 368.826 243.872 139.7823 301.019 211.843
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.904 1.147 1.764 1.365 0.8271 1.498 1.34 1.21
[2,] 321.554 203.005 465.959 274.714 150.2388 374.218 384.01 318.32
[3,] 299.594 182.668 449.216 209.985 143.9080 398.387 319.38 319.81
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9118 1.367 0.6644 1.159 0.8875 1.208 1.039 1.355
[2,] 340.8768 224.958 91.6093 340.743 145.9327 233.094 183.866 331.794
[3,] 354.2063 196.221 98.5346 306.051 104.8296 260.267 186.430 322.907
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.91 0.7244 1.516 1.166 1.36 0.6446 1.734 1.567
[2,] 469.40 132.6372 388.518 199.797 426.66 133.0591 276.026 330.528
[3,] 431.89 106.8197 342.382 171.057 406.13 112.3250 281.597 253.762
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.932 1.893 2.027 1.49 1.451 0.4084 1.204 0.8693
[2,] 295.191 457.489 370.275 552.42 431.011 80.0825 316.120 168.1770
[3,] 328.258 310.995 274.946 431.09 502.403 72.3297 460.810 159.9072
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.289 0.8249 1.098 0.4383 1.16 1.056 2.876 2.186
[2,] 293.371 122.9183 196.608 79.5609 361.91 171.136 470.901 420.102
[3,] 472.433 123.0750 210.419 71.5187 278.34 146.553 513.895 378.657
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.2555 0.322 0.3895 0.4143 1.272 0.47 0.946 8.254
[2,] 69.0380 91.205 80.4764 76.5464 187.036 76.41 204.382 1506.728
[3,] 89.4766 89.962 86.2888 78.6811 185.606 84.07 262.359 1506.768
[,97] [,98]
[1,] 4.713 2.111
[2,] 999.089 588.787
[3,] 1078.755 514.414
[1] "--- VAR model 2017-10-02 21:31:00 completed"
[1] "Completed training sample: 2017-10-02 21:31:00 - 2017-10-03 05:30:00"
[1] "SpVAR; training sample: 2017-10-02 22:01:00 - 2017-10-03 06:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.2982 -1.998 -5.175 25.794
5.7219 7.113 9.470 9.507
4.9037 2.318 -5.699 -8.593
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.325 -1.3128 -2.0352 -7.619
13.948 -1.7037 1.5118 5.716
7.453 -0.4919 0.5018 9.030
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.748 10.368 4.529 -10.913
2.981 -5.930 2.858 -26.253
-1.107 -2.837 4.063 -9.569
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.462 5.902 8.009 24.579
1.824 -3.936 7.052 25.167
-2.062 1.956 -2.619 9.567
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.646 -6.378 -21.718 -3.555
10.081 -3.187 -3.312 8.070
-8.315 2.356 11.967 8.496
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.464 0.1194 -18.20 2.661
30.566 3.5181 -24.78 -18.825
-14.083 -1.4178 30.99 4.469
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.54197 11.634 29.5746 -1.376
-0.03292 -13.346 -9.6060 7.983
0.84978 -2.533 0.2164 -6.918
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
27.639 -2.0912 28.973 4.959
9.766 0.3391 23.159 -3.975
-1.637 -1.9716 3.698 4.869
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
5.294 -0.8167 -2.523 0.1975
5.411 15.7700 19.809 19.3593
11.311 0.2693 4.199 14.0030
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.739 -4.767 4.3115 1.1303
9.897 4.929 0.7117 -0.3718
8.748 2.533 -9.1963 0.2519
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.317 -3.284 11.034 -2.352
3.139 1.808 -1.904 7.249
5.664 2.788 4.103 -1.068
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.818 -4.844 0.9297 -8.389
4.161 0.460 2.6206 5.900
3.050 2.274 6.7597 -3.337
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.5314 0.08558 -3.498 -4.896
0.9697 -2.23349 -1.292 -1.895
-2.1389 8.97342 -8.299 11.036
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.405 2.577 3.788 -8.251
-4.052 1.253 -8.669 5.840
2.512 -3.640 1.453 -1.148
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.5388 -9.167 2.926 0.9867
0.2516 -2.788 -1.436 -10.6672
-4.7334 -8.476 1.679 5.5048
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.578 8.7868 1.0420 -1.219
-6.713 -1.7178 -0.4123 2.509
-1.166 0.3153 4.5816 -2.477
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.19110 4.925 -4.3046 -0.1213
-0.04047 1.216 0.7362 1.1433
-7.97783 -2.196 -2.4123 1.4402
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.457 -0.403 -1.597 -0.2241
2.089 -3.365 -2.481 11.1752
-5.696 1.470 2.888 5.2686
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
13.2515 8.030 0.5976 7.113
16.1293 25.821 -2.0439 4.363
-0.8264 2.445 -0.7489 12.398
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.058 -0.9873 -3.27125 0.519
-1.646 2.1668 -0.04721 1.803
24.188 -0.3328 5.19785 4.003
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.5166 1.8811 0.3380 1.5070
0.1183 0.6507 0.1852 0.9483
1.1025 1.7561 0.6247 1.4265
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.9876 0.5022 17.058 0.6368
0.3721 5.3405 -15.475 5.3959
4.4896 4.4352 -5.945 -10.1420
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.3749 0.8886 -0.3600 -0.2203
0.4067 2.4231 0.3923 -0.9657
-0.7442 -0.4098 2.5993 2.3438
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.298 0.6452 0.9349 103.15
-3.117 2.6524 -3.5357 82.71
-2.282 0.4448 -2.8069 58.95
rnd_95776.volume rnd_95787.volume
-9.358 -0.1971
-13.881 -8.0913
3.648 3.7965
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.263 0.7045 2.603 1.254 1.434 0.3433 0.6508 1.480 1.556 1.316 0.8452
[2,] 1.580 0.8578 3.152 1.833 2.169 0.4009 0.7769 1.796 2.054 2.063 1.0926
[3,] 1.745 0.9606 3.549 2.334 2.683 0.4494 0.8759 2.082 2.351 2.384 1.2773
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.219 1.009 1.286 2.298 1.866 1.365 1.350 1.432 1.596 3.255 1.256
[2,] 1.776 1.222 1.770 2.857 2.255 1.957 1.963 2.117 2.088 4.067 1.617
[3,] 2.044 1.365 2.071 3.163 2.505 2.408 2.379 2.682 2.515 4.575 1.813
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.159 1.910 0.4763 1.590 1.328 1.256 1.258 0.6392 1.218 1.610 0.8515
[2,] 5.091 2.544 0.5671 2.148 2.101 1.441 2.018 0.7747 1.747 1.873 0.9877
[3,] 5.998 2.947 0.6289 2.779 2.988 1.575 2.495 0.8695 2.435 2.052 1.1379
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.694 1.240 1.235 1.531 1.047 1.121 0.2652 0.7987 0.2748 1.303 1.138
[2,] 2.028 1.913 2.124 1.829 1.509 1.264 0.3471 0.9116 0.3370 1.663 1.625
[3,] 2.654 2.403 2.495 2.023 1.691 1.402 0.3904 1.0272 0.3799 1.941 1.960
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 0.9254 0.5667 1.163 0.9826 1.514 0.8516 1.376 1.015 0.6391 1.229
[2,] 1.1554 0.7045 1.541 1.2104 1.741 1.0474 1.986 1.259 0.7795 1.705
[3,] 1.3149 0.8190 1.818 1.3694 1.954 1.1775 2.343 1.374 0.8939 2.065
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.04 0.9562 0.7001 1.019 0.5402 0.9693 0.7075 0.9417 0.8586 0.998
[2,] 1.47 1.3161 1.2183 1.224 0.6306 1.4181 0.8066 1.1560 1.0224 1.394
[3,] 1.74 1.6336 1.5658 1.405 0.7056 1.7218 0.8737 1.4431 1.1485 1.623
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.388 0.5766 1.167 0.9336 1.055 0.5317 1.443 1.372 1.492 1.526 1.533
[2,] 1.883 0.7372 1.645 1.0854 1.634 0.6383 1.797 1.683 1.767 2.089 1.901
[3,] 2.254 0.8149 1.977 1.2175 2.000 0.7256 2.062 1.835 2.056 2.391 2.098
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.211 1.160 0.3115 0.9181 0.7062 1.086 0.7090 0.8644 0.3473 0.8335
[2,] 2.089 1.726 0.3865 1.3725 0.8554 1.378 0.8075 1.0154 0.4274 1.3654
[3,] 2.491 2.270 0.4305 2.0097 0.9795 1.995 0.9030 1.1758 0.4760 1.5944
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.7425 2.218 1.713 0.2444 0.2954 0.2850 0.3279 0.9733 0.3589 0.7249
[2,] 0.8789 2.609 2.095 0.3281 0.4059 0.3780 0.4068 1.1487 0.4262 0.9782
[3,] 0.9695 3.012 2.367 0.4164 0.4803 0.4306 0.4660 1.3022 0.4833 1.2176
[,96] [,97] [,98]
[1,] 6.480 3.620 1.804
[2,] 7.790 4.801 2.447
[3,] 9.011 5.657 2.795
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.604 0.8946 3.305 1.593 1.821 0.4359 0.8264 1.879
[2,] 281.958 145.4234 528.534 397.473 483.891 61.5707 126.1142 302.499
[3,] 220.604 128.5188 484.550 429.500 469.079 60.3325 120.2199 312.993
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 1.976 1.672 1.073 1.548 1.282 1.633 2.918 2.369
[2,] 398.711 472.202 205.787 383.686 204.820 361.289 504.898 376.638
[3,] 340.041 355.110 196.662 300.930 180.465 319.888 403.253 324.065
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.733 1.714 1.818 2.027 4.133 1.595 4.011 2.426
[2,] 416.664 423.649 463.472 400.237 724.665 302.619 1186.791 499.419
[3,] 416.898 399.204 489.690 416.734 622.900 243.582 942.524 442.299
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6049 2.019 1.687 1.595 1.598 0.8116 1.547 2.044
[2,] 91.4606 429.412 483.798 210.132 468.987 130.0947 372.083 284.623
[3,] 80.8317 524.125 631.642 189.037 436.081 117.3836 504.167 249.421
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.081 2.151 1.574 1.568 1.945 1.33 1.424 0.3367
[2,] 148.774 331.480 432.911 513.546 297.076 322.82 173.182 66.5828
[3,] 167.950 508.584 432.251 389.256 257.176 227.29 180.755 53.1280
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.014 0.3489 1.655 1.445 1.175 0.7196 1.476 1.248
[2,] 130.619 57.9692 307.057 345.030 205.631 124.3932 300.482 210.045
[3,] 140.703 52.1316 297.783 325.532 186.551 124.1248 286.948 190.353
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.923 1.081 1.748 1.289 0.8116 1.561 1.321 1.214
[2,] 255.268 181.234 425.395 221.365 132.6283 351.132 308.623 268.801
[3,] 263.871 159.904 369.949 163.249 130.0894 346.229 276.970 287.606
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.8891 1.294 0.6859 1.231 0.8984 1.196 1.09 1.267
[2,] 296.3375 201.248 96.7011 307.664 115.1145 199.273 164.97 289.309
[3,] 292.3327 204.996 94.0811 290.267 99.8005 256.738 155.49 247.002
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.763 0.7322 1.482 1.186 1.34 0.6751 1.833 1.742
[2,] 378.045 136.5126 344.598 164.570 370.99 104.9797 318.099 289.973
[3,] 368.364 103.2364 325.834 163.885 342.70 102.5340 300.811 216.911
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.895 1.938 1.946 1.537 1.473 0.3956 1.166 0.8967
[2,] 281.358 424.020 334.288 505.860 380.125 67.9698 303.219 143.4599
[3,] 312.593 345.476 264.104 403.628 438.140 56.3598 436.355 141.8400
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.379 0.9003 1.098 0.441 1.058 0.9429 2.816 2.175
[2,] 252.221 114.8890 158.329 74.065 321.443 139.7517 408.448 358.462
[3,] 428.587 120.0773 176.218 62.246 244.702 121.6243 447.395 327.524
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.3103 0.3751 0.3619 0.4164 1.236 0.4558 0.9205 8.229
[2,] 65.0584 82.7651 73.8158 71.5618 181.336 68.3027 195.1917 1285.117
[3,] 76.2395 76.2886 61.2446 67.5317 182.275 67.7065 215.5002 1345.898
[,97] [,98]
[1,] 4.596 2.291
[2,] 937.409 491.166
[3,] 889.214 401.871
[1] "--- VAR model 2017-10-02 22:01:00 completed"
[1] "Completed training sample: 2017-10-02 22:01:00 - 2017-10-03 06:00:00"
[1] "SpVAR; training sample: 2017-10-02 22:31:00 - 2017-10-03 06:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.769 -10.005 39.26 -20.531
11.081 -4.796 -29.62 -10.265
6.146 -1.997 -10.76 -5.382
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-35.707 4.057 3.4569 -19.678
-32.727 -1.395 8.6444 -8.725
-7.801 1.388 0.9573 7.723
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.000 -22.121 5.303 -37.72
-4.074 7.509 -1.691 -35.88
3.922 -9.639 -5.982 -32.27
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.149 -29.521 -27.05 39.68
12.814 -2.662 -20.77 40.17
6.789 4.330 11.65 37.71
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.390 -23.01 -28.323 -21.84
-47.137 -43.84 -3.841 -16.19
2.385 1.99 -55.980 -35.32
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
4.787 -14.441 -23.42 3.075
-3.701 -5.706 84.02 1.727
-4.019 -3.945 -59.15 8.105
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.08458 2.773 -3.48 -0.4533
1.62763 -4.900 -18.60 6.3363
-0.50330 20.073 41.52 10.6310
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.240 11.683 -40.102 -3.288
4.054 2.284 -8.213 -9.546
-16.859 2.085 -3.703 -14.904
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.7948 -31.581 -3.793 -13.178
-9.4658 -11.085 -29.797 -53.282
0.8593 -5.275 -2.842 3.454
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-10.43 -13.257 -12.267 -0.3259
-22.17 -1.178 9.104 1.3782
-21.08 -13.382 -15.521 2.0447
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-11.685 3.078 -19.16 -5.921
4.277 -2.456 -8.01 -13.435
4.550 -1.270 -18.90 -19.862
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-16.094 2.102 -7.897 3.7101
-2.135 -5.167 -24.353 -0.2891
7.869 1.415 -14.722 -3.5329
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.856 -4.528 12.7429 3.556
-2.974 -2.398 -0.5565 11.843
2.055 -12.339 -25.6960 3.093
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
7.368 -3.458 2.370 8.997
2.576 7.971 -2.361 0.616
6.297 -7.463 8.940 7.286
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.310 -1.902 -1.847 -17.92
-2.757 -11.328 2.261 11.41
1.764 -9.206 6.979 -22.19
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.894 -3.097 10.2319 21.238
-1.967 -1.515 5.1004 3.119
4.183 -6.608 -0.5399 4.544
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.407 3.084 -14.93 -12.252
8.742 -1.192 16.33 -6.758
-2.852 -1.071 -10.80 -1.706
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.427 -1.3617 5.409 11.294
6.805 0.7163 12.937 7.490
1.958 6.9570 25.066 7.447
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-21.18 -3.077 6.567 -12.86
2.63 13.993 24.850 11.67
-23.65 -6.856 8.231 33.26
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.5875 -3.291 -3.925 -0.5517
-0.6439 -2.616 -8.217 -2.3545
11.2582 2.721 2.928 -2.8532
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.566 -2.361 -0.7113 -3.888
4.308 10.357 2.7914 4.144
-1.427 -4.196 -11.8020 -1.730
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.391 -12.997 -9.64 -9.71
-16.546 -6.084 -16.06 10.19
-5.807 -3.045 -17.59 -17.01
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.704 0.9091 2.288 2.768
-1.744 -2.9387 -5.396 -6.737
3.145 -6.1430 -6.644 -6.990
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.5648 2.3194 -4.997 30.60
-0.3873 0.8267 -4.574 49.24
-10.8313 -1.3565 -1.850 22.76
rnd_95776.volume rnd_95787.volume
-24.58 6.22822
-5.09 0.02721
-70.37 5.13508
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.448 0.7070 2.469 1.316 1.421 0.3173 0.6671 1.757 1.801 1.237 0.9074
[2,] 1.776 0.8451 3.226 1.884 2.270 0.3803 0.8321 2.130 2.406 2.234 1.1862
[3,] 2.078 0.9557 3.694 2.393 2.743 0.4326 0.9499 2.375 2.722 2.666 1.3794
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.452 1.018 1.310 2.287 1.881 1.382 1.327 1.592 1.732 2.976 1.131
[2,] 1.998 1.226 1.749 2.845 2.319 2.003 1.980 2.244 2.200 3.775 1.453
[3,] 2.300 1.354 2.129 3.186 2.608 2.574 2.420 2.811 2.641 4.292 1.668
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.159 1.762 0.4639 1.602 1.336 1.221 1.224 0.6243 1.301 1.579 0.8851
[2,] 5.547 2.470 0.5480 2.278 2.129 1.431 1.954 0.7416 1.787 1.821 1.0712
[3,] 6.744 3.042 0.6286 3.026 3.126 1.593 2.467 0.8493 2.444 2.026 1.2486
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.830 1.229 1.213 1.629 1.153 1.075 0.2577 0.8145 0.2801 1.216 1.152
[2,] 2.191 2.000 2.183 1.921 1.590 1.209 0.3538 0.9588 0.3354 1.652 1.666
[3,] 2.722 2.442 2.503 2.149 1.829 1.366 0.4054 1.1442 0.3809 1.938 2.029
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 0.9866 0.6155 1.240 0.9816 1.508 0.830 1.359 0.9538 0.6176 1.150
[2,] 1.1933 0.7698 1.580 1.1900 1.732 1.033 2.000 1.2286 0.7465 1.672
[3,] 1.3113 0.8758 1.832 1.3544 1.946 1.177 2.331 1.3424 0.8571 2.098
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.030 0.9967 0.706 1.078 0.5239 1.026 0.7467 0.9289 0.9095 1.009
[2,] 1.441 1.2640 1.204 1.278 0.6303 1.491 0.8368 1.1514 1.0648 1.459
[3,] 1.761 1.6012 1.539 1.420 0.6941 1.809 0.9223 1.4121 1.1838 1.708
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.469 0.5676 1.211 0.9451 1.082 0.5267 1.599 1.494 1.509 1.620 1.509
[2,] 1.949 0.7309 1.706 1.1086 1.662 0.6226 2.133 1.824 1.819 2.245 1.848
[3,] 2.348 0.8070 2.055 1.2407 2.078 0.7138 2.565 2.041 2.105 2.573 2.091
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.168 1.159 0.2793 0.936 0.7122 1.009 0.6790 0.8366 0.3493 0.8363
[2,] 2.173 1.805 0.3514 1.411 0.8645 1.350 0.8074 0.9854 0.4297 1.3996
[3,] 2.561 2.360 0.4090 2.152 0.9881 2.090 0.9065 1.1413 0.4798 1.6428
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.7364 2.181 1.712 0.3163 0.3567 0.3064 0.3322 0.9551 0.3695 0.6038
[2,] 0.8762 2.632 2.040 0.4390 0.4777 0.4189 0.4230 1.1724 0.4522 0.8244
[3,] 0.9797 3.029 2.324 0.5054 0.5452 0.5185 0.5189 1.3451 0.5110 0.9939
[,96] [,97] [,98]
[1,] 6.347 3.952 1.667
[2,] 7.620 5.024 2.403
[3,] 8.975 5.784 2.896
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.838 0.8977 3.135 1.671 1.804 0.403 0.8472 2.231
[2,] 292.531 131.7325 590.786 383.624 503.714 59.647 141.4559 342.921
[3,] 307.174 126.9204 511.770 419.748 438.095 58.639 130.3357 298.699
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.287 1.571 1.152 1.844 1.292 1.664 2.904 2.389
[2,] 453.758 528.977 217.304 390.416 194.422 329.549 481.174 385.959
[3,] 362.167 413.958 200.276 323.979 163.602 345.528 408.137 339.474
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.755 1.686 2.021 2.199 3.779 1.436 4.012 2.237
[2,] 412.346 417.979 449.847 385.742 660.960 259.541 1296.826 492.492
[3,] 459.711 395.715 481.887 415.656 580.586 232.803 1091.439 505.069
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5891 2.034 1.696 1.551 1.554 0.7928 1.652 2.004
[2,] 82.9641 460.564 471.499 212.085 433.126 113.8589 348.642 258.342
[3,] 87.5895 566.717 651.136 199.510 428.592 117.7712 474.231 252.835
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.124 2.324 1.561 1.541 2.069 1.464 1.365 0.3272
[2,] 171.632 342.719 448.783 516.061 289.263 311.630 157.347 68.9462
[3,] 182.482 459.465 398.470 348.575 274.387 257.053 180.776 56.3399
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.034 0.3557 1.545 1.463 1.253 0.7816 1.575 1.246
[2,] 143.932 52.4819 317.838 342.230 190.956 131.5010 278.256 191.344
[3,] 177.596 51.3280 288.602 329.461 154.667 118.8351 263.824 184.005
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.915 1.054 1.726 1.211 0.7843 1.46 1.308 1.266
[2,] 242.227 175.041 417.185 220.283 119.3030 345.32 286.896 221.111
[3,] 252.379 160.494 340.918 153.899 119.7752 360.45 287.801 279.617
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.8965 1.369 0.6652 1.303 0.9482 1.18 1.155 1.281
[2,] 277.4903 195.341 99.6951 307.916 107.4547 193.53 157.531 299.820
[3,] 272.4889 176.270 82.6756 291.083 110.3080 232.55 147.123 252.774
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.865 0.7208 1.538 1.2 1.374 0.6688 2.03 1.897 1.916
[2,] 364.603 130.9760 341.700 164.8 358.848 94.4475 401.77 297.694 289.242
[3,] 372.322 97.3342 326.056 158.5 354.710 99.3347 404.96 260.277 300.980
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.057 1.916 1.483 1.472 0.3547 1.189 0.9044 1.281
[2,] 441.977 303.744 521.314 393.534 60.6220 300.177 139.3802 255.249
[3,] 357.954 278.396 385.399 432.609 59.5367 462.311 136.1276 453.826
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 0.8623 1.062 0.4436 1.062 0.9351 2.77 2.174 0.4016
[2,] 124.2634 148.148 71.1772 319.240 135.0988 419.27 315.701 86.5925
[3,] 117.2368 163.768 60.7510 244.697 124.6453 426.50 316.837 71.2465
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.453 0.389 0.4218 1.213 0.4692 0.7667 8.059 5.018
[2,] 90.359 81.285 74.5056 193.411 74.1637 159.6688 1199.402 882.262
[3,] 74.780 86.910 85.4972 187.555 67.7180 157.9427 1349.032 815.670
[,98]
[1,] 2.117
[2,] 492.029
[3,] 460.176
[1] "--- VAR model 2017-10-02 22:31:00 completed"
[1] "Completed training sample: 2017-10-02 22:31:00 - 2017-10-03 06:30:00"
[1] "SpVAR; training sample: 2017-10-02 23:01:00 - 2017-10-03 07:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
18.338 -1.8119 -48.00 -63.895
-8.347 -4.4809 -24.20 1.571
-13.512 0.3821 -28.74 -13.458
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.127 1.0990 0.757 13.89
-58.870 -0.7185 2.853 24.40
-4.029 1.4522 11.298 25.88
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
35.38 34.037 -1.238 -27.69
13.58 -2.776 4.284 -18.20
38.98 30.608 -7.114 -29.04
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.9278 26.614 38.76 25.36
1.4520 9.904 1.41 46.69
0.6471 -1.279 -20.21 34.45
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
12.366 -7.714 -9.974 13.62
12.265 35.555 11.721 11.26
1.762 -11.702 43.408 42.11
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-43.998 2.151 -43.19 -11.16
-16.639 5.982 -80.91 -51.65
-1.153 -11.510 -47.43 -38.28
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.02302 -6.628 10.87 1.983
0.05156 -23.483 -34.98 6.312
4.49133 -38.861 -49.29 5.043
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-50.718 -4.211 -45.00038 -4.508
5.317 1.692 0.05601 -9.529
-13.444 -2.282 -15.27045 -5.034
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.366 -38.97 -17.134 -11.30
-7.231 -12.14 -55.895 -24.74
2.562 -14.86 -4.599 -33.26
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
29.8693 12.201 -0.6964 -0.4045
6.8857 -1.553 -0.1283 2.3719
-0.8389 14.344 -2.4697 -3.1212
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.270 2.130 12.41 -1.180
-4.575 1.145 -20.45 3.499
1.124 2.006 -22.68 -36.039
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
19.040 4.8726 3.533 -3.791
15.886 5.6823 7.991 8.308
4.735 -0.3917 15.505 1.815
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-13.838 -4.057 -40.056 11.8257
20.569 -3.558 6.347 -0.6797
8.233 8.584 11.551 -2.6771
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-10.101 -2.180 -0.5644 -12.2376
-3.899 -10.198 -23.5983 4.5712
-1.375 5.174 9.2105 -0.6312
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.274 0.1953 -0.2428 -4.942
-11.798 -0.1330 -3.6881 5.735
-7.866 -2.3027 -0.4037 3.145
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
3.360 -2.648 -6.61 1.22
-3.794 0.788 -12.15 -11.42
3.582 -17.702 3.84 -12.40
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
14.663 8.7095 -18.875 7.275
-15.225 6.5937 7.967 3.709
-7.408 -0.1926 -20.079 1.670
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.8163 5.950 0.2105 20.006
0.6753 -3.267 -20.8967 -7.359
-12.2023 0.507 3.9461 -16.607
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.880 21.822 23.671 6.119
-9.498 -17.931 1.588 20.441
18.744 -9.359 13.653 -19.757
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.564 -3.0169 4.0723 -3.364
27.842 -0.6652 -0.4214 -11.838
-11.595 -1.9389 14.7715 -4.542
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-18.182 -2.684 2.9545 -0.085318
7.879 -6.771 -5.7468 -2.200327
21.082 -2.388 0.2237 0.008079
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.063 0.4524 39.4610 -2.404
15.000 -7.3175 -0.7337 6.491
-1.584 1.9813 20.3492 8.442
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6272 3.010 6.3536 5.215
-1.9151 -11.104 0.4649 9.265
-1.9042 8.015 -8.5361 -11.287
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.964 3.2032 8.778 11.29
-1.304 0.4986 3.112 57.02
7.721 -3.1418 -2.563 34.69
rnd_95776.volume rnd_95787.volume
-29.033 -4.747
6.283 -44.845
62.965 -44.597
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.353 0.6891 2.676 1.446 1.499 0.3128 0.6743 1.972 1.901 1.389 0.9582
[2,] 1.768 0.8543 3.489 2.010 2.373 0.3777 0.8684 2.382 2.612 2.498 1.2990
[3,] 2.108 0.9877 4.077 2.573 2.930 0.4262 1.0019 2.716 2.994 2.980 1.4909
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.457 1.070 1.365 2.371 1.852 1.465 1.537 1.731 1.823 3.068 1.200
[2,] 2.059 1.268 1.785 2.901 2.296 2.081 2.223 2.474 2.366 3.942 1.503
[3,] 2.437 1.396 2.173 3.255 2.593 2.615 2.621 3.012 2.790 4.549 1.725
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.224 1.916 0.4594 1.622 1.488 1.256 1.297 0.6282 1.395 1.611 0.8575
[2,] 5.740 2.770 0.5465 2.366 2.241 1.496 2.053 0.7520 2.002 1.858 1.0507
[3,] 6.866 3.392 0.6146 3.213 3.240 1.718 2.629 0.8606 2.664 2.104 1.2144
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.799 1.208 1.281 1.702 1.131 1.001 0.2791 0.8908 0.3097 1.312 1.106
[2,] 2.303 2.128 2.276 1.970 1.586 1.145 0.3700 1.0382 0.3888 1.694 1.637
[3,] 2.794 2.624 2.768 2.209 1.849 1.286 0.4196 1.2404 0.4400 1.990 2.011
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.005 0.6398 1.220 1.042 1.478 0.8286 1.365 0.9831 0.6525 1.128 1.136
[2,] 1.172 0.7737 1.553 1.281 1.687 1.0691 2.022 1.1729 0.7863 1.572 1.551
[3,] 1.333 0.9103 1.837 1.440 1.861 1.2295 2.411 1.2871 0.9113 2.064 1.834
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.9517 0.7575 1.021 0.5365 1.017 0.7464 0.9096 0.9808 1.020 1.491
[2,] 1.2445 1.3440 1.241 0.6609 1.525 0.8490 1.1395 1.1147 1.474 2.055
[3,] 1.5509 1.6667 1.371 0.7331 1.866 0.9268 1.4410 1.2422 1.688 2.402
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5849 1.259 0.9296 1.077 0.5656 1.719 1.332 1.527 1.654 1.742 1.319
[2,] 0.7527 1.770 1.0495 1.647 0.6614 2.413 1.787 1.768 2.162 2.150 2.275
[3,] 0.8555 2.060 1.2021 2.145 0.7485 2.892 2.044 2.029 2.545 2.427 2.744
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.301 0.2904 0.9936 0.7532 1.075 0.7051 0.8625 0.3570 0.8238 0.7200
[2,] 1.875 0.3467 1.5400 0.9005 1.519 0.8566 1.0210 0.4522 1.4437 0.8703
[3,] 2.438 0.3968 2.2903 1.1000 2.035 0.9725 1.1935 0.5225 1.6715 0.9945
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.235 1.828 0.4302 0.4023 0.4383 0.3939 0.9112 0.4285 0.5427 6.229
[2,] 2.651 2.170 0.5647 0.6172 0.6101 0.5335 1.1387 0.5263 0.6718 7.697
[3,] 3.073 2.448 0.6639 0.7615 0.8095 0.7243 1.3337 0.5751 0.7918 8.869
[,97] [,98]
[1,] 4.087 1.876
[2,] 5.243 2.746
[3,] 6.224 3.305
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.719 0.875 3.398 1.836 1.903 0.3973 0.8562 2.505
[2,] 360.431 160.054 709.343 442.423 583.293 67.1064 173.4588 423.369
[3,] 363.941 157.145 669.026 509.424 544.550 62.5791 158.3867 413.250
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.415 1.764 1.217 1.85 1.358 1.733 3.011 2.352
[2,] 567.495 658.046 277.993 461.13 215.566 364.789 529.884 430.316
[3,] 463.962 514.914 231.951 413.20 185.120 392.603 468.057 381.650
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.861 1.952 2.198 2.315 3.896 1.524 4.094 2.433
[2,] 468.208 508.975 560.186 478.146 784.424 286.680 1505.274 634.131
[3,] 502.340 440.110 544.697 468.927 719.564 268.171 1194.349 620.348
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5834 2.06 1.889 1.595 1.647 0.7977 1.771 2.045
[2,] 93.8395 546.18 531.079 257.910 504.274 131.0624 455.276 293.407
[3,] 89.1407 688.68 741.731 267.380 520.732 132.6565 557.177 312.906
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.089 2.284 1.534 1.626 2.162 1.436 1.272 0.3544
[2,] 192.462 455.887 555.240 596.307 314.217 352.670 176.212 77.0009
[3,] 192.968 501.553 486.700 499.496 317.048 301.186 185.314 62.7594
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.131 0.3933 1.666 1.404 1.276 0.8125 1.55 1.323
[2,] 169.062 74.4915 339.454 382.794 191.424 137.8943 304.67 235.924
[3,] 215.171 65.3006 330.916 370.076 201.460 152.0443 310.62 208.737
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.877 1.052 1.733 1.248 0.8285 1.432 1.443 1.208
[2,] 257.533 214.147 473.153 202.801 139.1134 347.103 334.709 254.201
[3,] 249.053 192.452 415.759 168.011 146.0194 423.945 309.985 293.370
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9619 1.296 0.6812 1.292 0.9479 1.155 1.245 1.295
[2,] 351.9156 223.566 122.3288 359.988 128.2368 217.573 167.905 337.442
[3,] 312.4479 184.927 100.6077 341.316 117.7622 279.605 173.786 260.765
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.893 0.7428 1.598 1.181 1.367 0.7182 2.183 1.692
[2,] 448.127 150.1756 394.635 154.372 395.041 108.6987 537.033 377.415
[3,] 394.495 128.8704 334.050 185.819 435.390 111.1012 505.017 314.470
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.939 2.101 2.212 1.676 1.652 0.3688 1.262 0.9565
[2,] 282.311 441.140 399.642 587.430 427.916 60.0085 372.965 156.4224
[3,] 315.376 425.674 356.795 486.338 493.893 61.1642 537.330 200.2427
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.366 0.8954 1.095 0.4533 1.046 0.9143 2.838 2.322
[2,] 339.852 154.2027 173.193 87.9750 375.812 154.9688 451.975 370.538
[3,] 429.541 145.8900 195.942 83.0004 266.986 152.5324 492.477 359.021
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.5462 0.5108 0.5565 0.5002 1.157 0.5442 0.6892 7.909
[2,] 115.9544 148.3965 134.5287 114.0171 216.470 96.8621 125.4721 1433.398
[3,] 110.6513 141.3479 168.6525 155.3181 220.090 73.4640 132.8421 1396.482
[,97] [,98]
[1,] 5.189 2.383
[2,] 1041.187 635.631
[3,] 1063.119 583.135
[1] "--- VAR model 2017-10-02 23:01:00 completed"
[1] "Completed training sample: 2017-10-02 23:01:00 - 2017-10-03 07:00:00"
[1] "SpVAR; training sample: 2017-10-02 23:31:00 - 2017-10-03 07:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-02 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.508 4.670 -54.72 -12.00
-21.975 8.333 -24.32 -23.38
-15.785 11.648 14.66 -41.65
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-22.531 -1.129 20.982 59.06
9.705 -1.415 -10.422 14.86
-25.498 -3.019 5.259 19.15
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
69.93 4.757 12.35 -28.0207
45.19 72.429 28.73 0.1096
9.22 31.924 22.52 -1.0882
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-15.169 9.599 51.363 30.33
16.265 -13.885 -7.744 43.58
5.753 2.342 2.835 74.61
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.256 -1.275 1.811 41.28
-33.950 19.683 48.276 16.01
18.040 -39.534 85.721 16.57
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-37.954 5.5314 -22.03 -36.803
-20.710 16.7344 -73.91 -3.060
1.354 0.1308 -30.72 1.648
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8641 -14.990 -21.94 -3.2990
-2.2733 -7.995 -32.97 -8.2282
-5.2372 -20.906 -22.99 0.5619
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.056 -0.8178 -44.70 -12.77
-34.701 -9.3145 -30.96 12.57
-40.531 5.9165 -66.82 16.81
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2071 -19.511 -31.62 -12.50
-21.6195 -1.646 19.09 -27.62
-4.7261 -26.985 -22.74 15.74
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-36.586 -1.250 5.4112 2.92397
7.734 -1.586 -1.8633 4.92137
5.882 -8.092 -0.4712 0.09928
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
13.627 -3.567 -29.308 -19.560
-2.367 7.296 -3.377 -27.048
9.771 -2.786 16.194 2.733
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.251 -15.837 0.2414 -17.061
15.670 12.986 -34.6518 18.010
20.749 9.155 -8.9243 4.338
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.1740 -6.008 -6.681 21.872
22.5133 7.481 13.615 10.736
0.1909 5.527 -24.710 5.544
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.400 -8.736 -13.551 -6.8422
-7.864 2.776 6.764 -0.6587
-8.871 -1.383 13.398 13.4703
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.433 -22.53 1.0871 -8.811
-16.020 1.68 -0.4471 -12.612
10.324 11.75 -2.3374 -12.127
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.647 -16.1757 -2.704 -6.255
-11.707 -0.9661 13.734 -22.343
-7.915 -7.1857 -9.630 3.278
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-31.660 0.04748 -0.7598 -3.2840
-17.058 -9.61127 -15.5189 -1.9102
-1.835 -3.49856 5.6420 0.6558
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.543 5.1302 7.552 12.471
-27.488 0.6672 -16.899 -24.618
-5.476 2.2367 -30.503 -3.782
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.251 -8.175 7.413 8.912
-9.859 -16.300 10.711 14.783
13.541 -19.611 -8.101 -38.058
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.929 4.7868 11.9787 3.257
7.277 0.6087 20.7049 -5.192
-7.150 4.0292 0.7182 10.217
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.79 7.824 -13.207 3.119
28.95 -4.976 -6.254 -5.059
32.15 9.774 10.848 -5.345
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.003 6.039 -39.104 -1.516
-8.448 9.208 8.577 1.615
6.813 17.888 -24.055 14.927
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-5.871 -1.553 1.941 -5.4104
-1.364 -1.177 -7.738 0.2513
-5.709 1.721 9.545 7.2809
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
6.152 -1.7949 -6.471 -62.370
-12.287 5.3681 2.998 7.113
-9.915 0.6273 6.076 14.131
rnd_95776.volume rnd_95787.volume
35.65 -22.457
-58.60 -10.415
-20.40 3.628
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.485 0.7300 2.744 1.621 1.597 0.3027 0.7556 2.088 1.974 1.706 0.9519
[2,] 1.933 0.9165 3.468 2.166 2.468 0.3610 0.9301 2.642 2.708 2.615 1.3123
[3,] 2.211 1.0560 4.156 2.667 3.154 0.4072 1.0734 3.138 3.264 3.090 1.5478
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.529 1.110 1.470 2.516 1.858 1.671 1.618 2.657 1.867 3.133 1.143
[2,] 2.078 1.353 1.906 3.057 2.329 2.271 2.363 3.437 2.488 4.175 1.325
[3,] 2.446 1.487 2.277 3.401 2.665 2.882 2.770 4.073 2.931 4.841 1.542
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.267 1.878 0.4501 1.574 1.657 1.258 1.496 0.6071 1.627 1.600 0.859
[2,] 5.920 2.853 0.5384 2.311 2.356 1.621 2.253 0.7158 2.323 1.868 1.046
[3,] 7.140 3.549 0.6064 3.354 3.434 1.882 2.802 0.8295 2.807 2.155 1.220
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.832 1.265 1.304 1.752 1.145 0.9515 0.2802 0.943 0.3241 1.372 1.138
[2,] 2.399 2.201 2.323 2.030 1.605 1.1227 0.3557 1.133 0.4200 1.748 1.688
[3,] 2.849 2.803 2.759 2.287 1.894 1.2823 0.3945 1.363 0.5033 2.017 2.067
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.074 0.6126 1.251 1.026 1.375 0.7856 1.329 1.047 0.6806 1.144 1.195
[2,] 1.257 0.7695 1.640 1.337 1.658 1.0732 2.055 1.229 0.8307 1.685 1.612
[3,] 1.432 0.9153 1.959 1.530 1.848 1.2383 2.516 1.361 0.9600 2.144 1.942
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.9425 0.7982 1.113 0.5508 1.071 0.7396 0.953 0.9748 0.9751 1.555
[2,] 1.2821 1.4655 1.319 0.6776 1.550 0.8414 1.152 1.1159 1.4430 2.165
[3,] 1.6322 1.7982 1.462 0.7487 1.936 0.9306 1.448 1.2596 1.7323 2.486
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6568 1.340 0.9742 1.075 0.5695 1.915 1.559 1.427 1.645 1.726 1.457
[2,] 0.8086 1.859 1.1134 1.570 0.6722 2.541 2.011 1.722 2.236 2.119 2.310
[3,] 0.9108 2.207 1.2524 2.167 0.7635 2.943 2.354 2.073 2.654 2.341 2.725
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.313 0.2854 1.063 0.7791 1.104 0.7071 0.8503 0.3653 0.8099 0.7598
[2,] 1.850 0.3579 1.664 0.9548 1.696 0.8588 0.9834 0.4599 1.4513 0.9898
[3,] 2.342 0.4084 2.285 1.1405 2.244 1.0062 1.1751 0.5421 1.7143 1.1718
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.261 1.821 0.6432 0.5118 0.5030 0.4177 0.9042 0.4227 0.5543 6.613
[2,] 2.666 2.241 0.9233 0.8325 0.8124 0.6970 1.1689 0.5389 0.6914 7.852
[3,] 3.132 2.535 1.0818 1.0727 1.0673 1.0074 1.3708 0.5952 0.7983 8.925
[,97] [,98]
[1,] 4.235 1.893
[2,] 5.375 2.842
[3,] 6.673 3.470
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.886 0.927 3.485 2.059 2.028 0.3843 0.9595 2.652
[2,] 457.289 204.926 783.968 531.021 695.585 72.7770 200.5488 598.221
[3,] 397.240 193.998 846.877 575.734 726.515 69.6296 198.1585 626.262
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.506 2.166 1.209 1.942 1.409 1.867 3.195 2.359
[2,] 685.664 733.059 334.057 519.939 286.100 448.684 641.943 519.571
[3,] 673.953 608.266 303.492 477.418 228.458 460.724 551.363 478.918
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.122 2.055 3.373 2.37 3.979 1.452 4.148 2.385
[2,] 568.968 636.984 806.500 608.03 1020.672 247.885 1825.591 794.319
[3,] 656.177 534.637 808.206 572.92 905.999 291.667 1476.134 780.625
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5716 1.998 2.104 1.597 1.899 0.7709 2.066 2.031
[2,] 109.2426 626.027 619.743 378.045 623.171 140.2018 613.141 356.604
[3,] 103.1838 898.840 923.686 353.651 615.734 155.0565 582.888 397.482
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.091 2.327 1.607 1.655 2.225 1.454 1.208 0.3558
[2,] 220.634 572.518 665.934 711.115 379.197 415.845 220.358 81.0053
[3,] 232.559 568.355 641.931 550.421 389.577 371.909 229.077 63.0880
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.198 0.4115 1.743 1.445 1.364 0.7779 1.589 1.303
[2,] 232.500 98.8227 400.113 461.030 241.425 172.2052 391.975 316.732
[3,] 280.248 102.5274 372.058 441.173 253.806 183.2942 396.561 274.941
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.745 0.9976 1.687 1.33 0.8643 1.453 1.518 1.197
[2,] 342.880 270.3921 579.850 238.14 176.0983 457.436 399.972 321.419
[3,] 302.129 228.4533 536.657 215.98 177.9362 490.189 400.635 373.506
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.014 1.413 0.6994 1.36 0.9392 1.21 1.238 1.238
[2,] 454.474 262.089 145.9694 414.60 148.3379 239.37 200.872 393.352
[3,] 385.334 233.063 117.7627 428.50 147.0215 324.18 216.004 354.426
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.975 0.834 1.701 1.237 1.366 0.7232 2.432 1.98
[2,] 556.950 174.396 476.576 199.355 422.868 132.0228 617.292 469.66
[3,] 451.641 155.045 439.930 212.063 552.574 133.8996 549.401 452.66
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.812 2.089 2.192 1.851 1.668 0.3624 1.35 0.9893
[2,] 356.432 560.229 454.573 662.526 481.967 79.8961 473.69 204.0754
[3,] 426.589 528.825 368.204 535.111 531.184 72.6861 578.98 230.7097
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.401 0.8979 1.08 0.4638 1.028 0.9649 2.871 2.312
[2,] 476.265 180.2556 182.68 103.3549 445.329 234.5679 522.384 483.401
[3,] 543.344 193.8515 237.89 106.0935 337.428 231.9532 607.861 437.697
[,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.8167 0.6498 0.6387 0.5304 1.148 0.5368 0.7038
[2,] 244.9544 242.7964 235.9210 206.3350 273.943 123.5879 152.8608
[3,] 208.4860 250.1732 255.9449 268.9682 264.756 93.5011 147.5751
[,96] [,97] [,98]
[1,] 8.398 5.377 2.404
[2,] 1565.361 1224.217 783.897
[3,] 1568.950 1462.246 736.138
[1] "--- VAR model 2017-10-02 23:31:00 completed"
[1] "Completed training sample: 2017-10-02 23:31:00 - 2017-10-03 07:30:00"
[1] "SpVAR; training sample: 2017-10-03 00:01:00 - 2017-10-03 08:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
25.179 3.78251 -6.4865 -14.29
6.849 -0.04892 -0.7647 -38.49
11.528 -1.55807 -33.0916 -28.06
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-61.46 1.809 8.215 18.86
-19.33 4.769 8.686 20.58
-13.12 3.597 7.000 22.56
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.176 -8.774 -4.2109 0.3278
17.801 17.690 4.7810 -8.5629
31.140 12.762 0.5545 -5.4361
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.5582 4.190 -6.416 16.95
-0.7232 6.203 5.461 25.41
-15.8164 13.144 31.959 33.67
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
19.92 12.870 20.62 -19.396
18.58 7.759 13.53 2.903
15.40 30.159 32.61 12.705
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
31.9477 7.21792 -41.29 -19.029
0.5475 -0.08965 -12.98 -19.877
-43.0133 -8.21880 -10.71 1.943
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.787 -21.77 -28.06 2.220
4.185 -28.50 -36.37 -3.457
2.330 -21.80 -23.53 -9.244
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.41 -0.8609 -13.85 -1.817
-31.20 -0.3617 -24.68 21.229
-26.60 -1.4114 -23.28 12.451
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.11915 -48.251 -41.1181 -27.861
-0.03191 1.464 -0.3602 -41.622
-2.99290 4.464 0.1374 1.323
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.731 -2.3487 -1.669 -4.3580
11.508 23.8444 6.565 0.2847
-13.829 -0.7978 -0.501 1.6586
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.057 -1.346 4.111 -18.61
3.890 2.886 -1.981 -10.86
12.621 1.817 5.963 -10.90
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.724 0.1776 -8.988 -6.1452
-6.639 4.3871 -15.564 0.6941
-2.466 -0.9987 -19.849 10.8778
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.427 1.3928 9.465 -7.101
3.558 6.7746 8.691 -1.142
1.784 -0.8417 -18.432 -4.183
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.341 7.487 4.243 -6.931
-2.105 -13.554 2.023 5.673
-4.203 7.965 -4.593 -8.521
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-20.470 -2.939 0.01496 -3.392
10.727 5.219 4.44061 -19.786
-5.017 -1.576 1.73446 6.574
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
3.4644 -7.014 6.238 -6.533
2.7807 -14.495 -1.732 -11.345
-0.3167 -16.951 6.267 -19.578
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.149 -5.6353 -9.121 -14.407
-4.446 -0.3344 4.401 -1.357
-8.775 -0.7999 -9.963 -5.032
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.288 -1.2402 21.11 9.8100
-5.674 0.1499 16.58 -5.9815
-9.941 -5.1155 12.28 -0.8079
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
11.323 10.58 5.164 -7.259
-1.366 12.46 1.117 26.362
-1.467 11.08 -5.895 14.600
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.059 0.6190 8.289 -6.749
21.388 -0.6454 -5.954 -6.439
11.022 -0.1794 18.691 -4.299
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.735 -3.895 2.380 1.4206
4.888 -5.149 -2.459 2.0993
12.910 4.636 10.151 0.7319
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.706 1.333 12.339 -23.36
-1.267 -5.449 5.796 -30.18
19.653 -5.593 32.682 -19.74
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.695 9.657 17.844 -3.442
4.620 2.528 -3.099 6.435
5.818 5.468 6.616 7.402
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
10.001 1.299 -9.136 -0.5897
4.513 -1.037 -10.755 5.5436
12.061 1.747 -5.793 -13.5840
rnd_95776.volume rnd_95787.volume
7.492 -22.89
11.599 -17.44
-9.043 -11.14
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.586 0.7237 2.860 1.878 1.654 0.3334 0.7801 2.043 2.063 1.927 1.095
[2,] 2.056 0.8972 3.668 2.292 2.537 0.4036 0.9682 2.766 2.765 2.755 1.470
[3,] 2.388 1.0498 4.273 2.836 3.205 0.4653 1.0942 3.256 3.355 3.388 1.740
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.534 1.337 1.582 2.557 1.970 1.701 1.666 2.707 1.971 3.426 1.234
[2,] 2.149 1.618 2.105 3.054 2.418 2.334 2.539 3.596 2.565 4.459 1.437
[3,] 2.508 1.890 2.469 3.369 2.801 2.943 2.999 4.423 3.093 5.105 1.686
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.536 2.082 0.4749 1.764 1.838 1.359 1.832 0.6237 1.752 1.559 0.872
[2,] 6.574 3.065 0.5804 2.637 2.562 1.792 2.442 0.7468 2.436 1.846 1.032
[3,] 7.718 3.835 0.6693 3.824 3.582 2.086 3.036 0.8497 3.062 2.222 1.202
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.006 1.337 1.357 1.756 1.209 0.980 0.2648 1.011 0.3550 1.385 1.125
[2,] 2.650 2.223 2.331 2.072 1.627 1.176 0.3504 1.188 0.4689 1.747 1.759
[3,] 3.047 2.734 2.906 2.291 1.930 1.355 0.4040 1.466 0.5501 2.032 2.217
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9879 0.6068 1.307 1.107 1.360 0.9232 1.352 1.060 0.6816 1.194 1.162
[2,] 1.2119 0.8044 1.691 1.388 1.658 1.1420 2.102 1.244 0.8403 1.685 1.626
[3,] 1.3801 0.9376 1.979 1.676 1.902 1.2929 2.686 1.395 0.9878 2.238 1.983
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.9658 0.8829 1.216 0.5528 1.127 0.7515 0.9238 0.9794 0.9624 1.610
[2,] 1.3793 1.5460 1.483 0.6813 1.621 0.8467 1.1834 1.1880 1.4817 2.127
[3,] 1.7377 1.9096 1.609 0.7699 2.137 0.9339 1.4558 1.3744 1.7625 2.510
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6611 1.349 0.9379 1.173 0.5699 1.858 1.635 1.502 1.677 1.880 1.565
[2,] 0.8070 1.898 1.1091 1.626 0.6918 2.699 2.118 1.859 2.194 2.340 2.435
[3,] 0.9177 2.311 1.2584 2.164 0.7908 3.274 2.465 2.187 2.658 2.648 2.866
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.402 0.2876 1.192 0.8228 1.296 0.7513 0.8482 0.3555 0.8971 0.7708
[2,] 2.096 0.3408 1.776 1.1109 1.897 0.9253 0.9982 0.4827 1.5725 1.0218
[3,] 2.550 0.4089 2.387 1.3290 2.386 1.0672 1.2074 0.5579 1.8473 1.2231
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.246 1.832 0.7010 0.5590 0.5662 0.4824 0.9704 0.4835 0.6051 6.657
[2,] 2.651 2.342 0.9409 0.9736 0.9188 0.7791 1.1954 0.5968 0.7409 7.864
[3,] 3.152 2.719 1.1493 1.2574 1.1905 1.1530 1.4031 0.6856 0.8516 8.777
[,97] [,98]
[1,] 4.347 2.059
[2,] 5.575 2.966
[3,] 6.595 3.765
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.014 0.9189 3.632 2.385 2.1 0.4233 0.9906 2.594
[2,] 576.622 233.7191 1011.518 578.581 848.0 100.2689 252.7084 821.682
[3,] 535.345 240.1322 965.866 736.246 863.0 102.0285 224.5971 756.433
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.62 2.447 1.391 1.948 1.698 2.009 3.247 2.502 2.16
[2,] 811.24 867.865 432.305 663.078 401.300 611.727 735.284 617.623 704.14
[3,] 837.43 868.875 409.664 569.980 430.427 568.479 626.796 622.804 789.80
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.116 3.438 2.503 4.351 1.567 4.49 2.644 0.6031
[2,] 844.212 1043.063 722.788 1257.541 324.316 2442.19 990.913 147.0068
[3,] 703.180 1134.826 761.729 1095.279 388.494 1781.33 1015.714 146.9053
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.24 2.333 1.725 2.327 0.792 2.224 1.98 1.107
[2,] 863.72 786.822 515.210 711.648 181.013 745.802 435.26 243.469
[3,] 1220.35 1102.883 469.987 794.658 178.559 817.350 545.28 271.464
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.547 1.697 1.723 2.23 1.536 1.244 0.3363 1.284
[2,] 762.942 782.557 834.999 484.51 479.233 286.200 101.0899 274.496
[3,] 662.860 701.301 764.525 431.19 457.552 296.837 88.5796 378.459
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4508 1.759 1.429 1.254 0.7706 1.66 1.405 1.728
[2,] 134.9360 469.391 595.750 309.317 232.6329 472.88 368.856 417.274
[3,] 126.7425 456.964 594.504 290.878 212.3189 452.81 414.395 411.062
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.172 1.717 1.346 0.8655 1.516 1.476 1.226 1.121
[2,] 296.205 709.409 286.911 216.5169 524.078 501.176 433.861 559.215
[3,] 267.034 736.351 278.202 228.8079 649.146 499.808 465.739 493.905
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.545 0.7019 1.432 0.9543 1.173 1.244 1.222 2.045
[2,] 373.542 175.4767 513.097 171.8617 325.934 296.292 496.378 612.075
[3,] 275.135 157.9997 613.620 173.6737 373.559 304.457 420.571 587.148
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.8395 1.713 1.191 1.489 0.7237 2.359 2.077 1.907
[2,] 203.8804 588.533 260.805 496.202 172.8146 862.559 592.980 482.508
[3,] 192.5767 580.594 262.035 629.470 168.8218 816.774 555.629 507.580
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 2.13 2.387 1.988 1.78 0.3652 1.514 1.045 1.646 0.954
[2,] 623.45 613.851 822.120 686.51 80.5675 579.857 328.896 610.096 237.977
[3,] 661.06 546.709 665.923 640.21 99.5664 703.165 321.385 637.972 234.315
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.077 0.4514 1.139 0.9788 2.852 2.327 0.8901 0.7099
[2,] 231.845 143.8624 569.036 295.5220 620.651 642.514 276.5566 351.2430
[3,] 299.291 123.2599 427.162 296.1984 751.312 609.135 290.8110 350.5803
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.719 0.6126 1.232 0.614 0.7683 8.454 5.52 2.614
[2,] 318.853 269.5734 307.607 154.105 188.4229 1844.590 1538.22 940.850
[3,] 333.564 374.5277 323.715 148.702 184.9531 1717.558 1551.95 1022.101
[1] "--- VAR model 2017-10-03 00:01:00 completed"
[1] "Completed training sample: 2017-10-03 00:01:00 - 2017-10-03 08:00:00"
[1] "SpVAR; training sample: 2017-10-03 00:31:00 - 2017-10-03 08:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.391 -9.900 5.136 -37.09
-5.628 3.084 17.184 -64.77
-5.382 -3.191 8.259 -27.31
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.906 3.575 -4.085 5.095
-36.865 -3.422 7.010 6.541
-38.578 3.888 4.224 17.109
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
23.75 43.35 20.801 -16.537
19.92 13.23 27.076 -7.845
15.80 -16.32 -5.778 -21.507
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-7.787 -38.02 -28.739 41.40
5.383 -7.37 -0.507 48.46
8.900 13.15 16.948 43.17
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-16.52 1.044 36.28 3.390
-13.49 -15.428 27.19 8.548
6.53 -5.603 22.94 5.570
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.008 4.655 13.59 -34.00
24.641 2.164 32.91 -14.62
13.496 4.498 10.70 22.61
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.663 -46.30 -64.78 1.055
-1.199 -5.05 -10.57 10.006
8.691 16.23 23.89 13.535
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-51.37 1.2473 -27.58 8.008
-58.75 2.5358 -74.19 1.054
-26.23 -0.7183 -33.42 9.984
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-17.556 -18.54 -4.191 0.3613
-4.720 -15.41 -16.668 29.6156
-2.149 -50.48 -30.494 -38.3766
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.652 17.026 2.570 3.8554
2.134 -9.206 -1.213 -0.1856
11.563 10.135 -5.103 1.2505
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-8.8009 -4.653 -7.319 -15.452
12.2917 1.132 13.902 -3.881
-0.3204 6.353 4.699 9.110
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.360 3.1796 1.332 4.352
1.846 -0.8452 -10.350 -5.144
-8.126 -6.9264 -12.783 18.140
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
16.252 8.7190 4.568 5.14771
-2.719 -0.2803 0.071 -1.08395
-7.617 4.8724 -18.819 -0.02889
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
8.796 -4.002 14.514 7.355
2.163 -10.167 -11.760 -6.193
-4.112 -4.655 -8.009 -24.432
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.288 19.2450 3.597 -4.912
12.468 -0.4729 -1.427 20.278
-14.150 -2.9172 1.086 23.051
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.051 0.80331 4.770 2.6375
-3.508 9.72614 3.830 0.4907
-5.219 -0.03562 1.915 4.2363
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
17.445 -2.964 -18.42 -1.334
8.478 4.815 16.94 3.368
20.970 -3.163 12.68 7.408
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.469 6.150 -3.674 -2.080
4.828 3.235 -15.453 -6.547
23.580 2.944 8.517 -2.848
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.6456 -13.20 -8.253 -9.169
-0.4144 13.92 -5.480 9.379
-13.9806 -13.89 9.062 2.579
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-12.758 2.7655 -18.471 1.042
-4.489 1.5263 -21.256 6.216
12.688 -0.2575 3.226 -0.201
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-13.22 12.795 -12.134 1.553
-32.13 -2.834 5.372 -3.574
14.95 5.555 3.850 -3.549
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.906 -7.7899 5.921 -35.994
11.690 3.9469 23.102 -3.105
2.087 -0.2267 -8.362 -7.522
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.117 4.883 12.722 3.205
-5.906 -4.520 9.726 6.850
-2.223 -3.422 -3.251 -11.591
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.555 -4.685 -0.6095 35.62
2.998 2.628 -3.8177 14.61
8.793 10.308 -4.4095 46.24
rnd_95776.volume rnd_95787.volume
-9.768 -28.722
-2.496 0.224
-55.742 19.669
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.622 0.8364 2.957 1.955 2.179 0.3498 0.8188 2.176 2.398 1.889 1.139
[2,] 2.073 1.0054 3.804 2.631 3.046 0.4349 1.0294 2.982 3.249 2.755 1.595
[3,] 2.412 1.1804 4.526 3.223 3.761 0.5234 1.2016 3.598 3.874 3.524 1.945
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.583 1.386 1.610 2.615 2.044 1.974 1.800 2.714 2.088 3.671 1.390
[2,] 2.209 1.712 2.196 3.187 2.607 2.547 2.743 3.907 2.799 4.737 1.720
[3,] 2.615 1.996 2.605 3.511 3.074 3.180 3.228 4.736 3.334 5.439 1.952
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.477 2.181 0.5245 1.950 2.402 1.477 1.896 0.6065 1.749 1.666 0.9088
[2,] 6.446 3.001 0.6584 2.869 3.136 1.909 2.671 0.7352 2.656 2.005 1.0781
[3,] 7.779 3.800 0.8001 3.906 4.075 2.249 3.245 0.8695 3.403 2.322 1.2521
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.105 1.778 1.640 1.787 1.254 0.9748 0.3058 1.157 0.3996 1.491 1.208
[2,] 2.851 2.558 2.555 2.211 1.827 1.1873 0.3977 1.460 0.5136 1.887 1.804
[3,] 3.322 3.178 3.239 2.477 2.198 1.3760 0.4664 1.745 0.6131 2.249 2.251
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.062 0.6283 1.387 1.231 1.465 0.878 1.366 1.092 0.7043 1.272 1.181
[2,] 1.330 0.8237 1.783 1.636 1.742 1.154 2.115 1.310 0.8646 1.767 1.615
[3,] 1.546 0.9714 2.046 1.959 2.008 1.316 2.713 1.444 1.0361 2.327 2.011
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.022 0.8682 1.295 0.5861 1.212 0.7553 1.008 1.024 1.025 1.603 0.6831
[2,] 1.483 1.5451 1.577 0.7190 1.720 0.8803 1.328 1.253 1.629 2.209 0.8555
[3,] 1.880 1.9436 1.737 0.8110 2.253 0.9734 1.540 1.436 1.980 2.737 1.0037
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.389 0.8734 1.190 0.6005 2.149 1.673 1.597 1.815 1.894 1.629 1.567
[2,] 1.976 1.0817 1.669 0.7200 2.864 2.239 2.028 2.397 2.345 2.476 2.201
[3,] 2.435 1.2562 2.249 0.8427 3.471 2.628 2.397 2.865 2.706 3.014 2.643
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.2701 1.384 0.8682 1.365 0.8396 0.9038 0.3899 0.8995 0.861 2.370
[2,] 0.3314 1.947 1.2691 2.007 1.0488 1.1207 0.5157 1.5989 1.151 2.832
[3,] 0.4088 2.554 1.5734 2.519 1.2020 1.3294 0.6105 1.9092 1.375 3.398
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.886 0.7628 0.6793 0.6959 0.6593 1.082 0.5365 0.6077 6.552 4.356
[2,] 2.407 1.0689 1.0656 1.0874 1.0335 1.314 0.6675 0.7578 7.856 5.816
[3,] 2.836 1.3005 1.3865 1.3418 1.3527 1.584 0.7645 0.8787 8.861 6.941
[,98]
[1,] 2.124
[2,] 2.994
[3,] 3.787
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.059 1.062 3.755 2.483 2.768 0.4442 1.04 2.763
[2,] 556.218 240.348 1030.586 758.242 916.944 111.2770 268.74 878.767
[3,] 531.108 266.447 1056.884 801.914 950.313 125.5070 267.11 866.879
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.045 2.399 1.446 2.01 1.759 2.045 3.321 2.596
[2,] 944.946 863.944 481.427 663.73 433.322 643.459 784.809 697.122
[3,] 908.602 946.253 479.271 602.95 442.121 603.700 634.467 701.638
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.507 2.286 3.446 2.651 4.662 1.765 4.415 2.77
[2,] 693.637 891.532 1210.929 803.114 1289.871 436.124 2338.456 888.06
[3,] 819.718 733.610 1152.945 780.375 1151.169 398.362 1876.551 1004.22
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.666 2.476 3.051 1.876 2.408 0.7702 2.221 2.116
[2,] 171.483 906.864 868.078 520.961 810.573 179.0052 861.138 480.341
[3,] 195.830 1141.738 1121.221 512.403 794.227 200.0177 916.550 504.986
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.154 2.673 2.258 2.082 2.269 1.592 1.238 0.3883
[2,] 249.878 828.861 792.549 844.263 560.621 572.755 292.030 109.5369
[3,] 274.398 734.577 812.260 857.876 481.129 526.119 299.615 104.9985
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.469 0.5074 1.893 1.534 1.348 0.7979 1.761 1.563
[2,] 383.741 138.9808 498.649 577.172 345.099 229.4416 482.812 464.445
[3,] 411.922 144.2989 527.061 580.015 339.361 221.9036 432.441 464.361
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.86 1.115 1.734 1.387 0.8944 1.615 1.499 1.297
[2,] 406.25 322.644 695.975 311.318 216.0532 528.559 474.658 463.072
[3,] 430.72 272.152 732.220 261.601 245.9988 652.055 516.332 497.675
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.102 1.645 0.7443 1.539 0.9591 1.28 1.3 1.302
[2,] 550.680 387.928 179.3971 525.833 194.7702 372.25 310.9 545.108
[3,] 507.961 313.372 161.6573 626.865 179.0521 335.72 302.4 485.256
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.035 0.8674 1.764 1.109 1.512 0.7626 2.729 2.124
[2,] 654.595 221.8624 605.628 274.883 503.838 171.1065 815.807 641.436
[3,] 696.625 226.1536 612.891 275.175 649.932 188.6466 844.462 592.098
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.028 2.305 2.406 2.069 1.99 0.3429 1.758 1.103
[2,] 538.649 674.273 595.727 803.454 665.91 82.7808 589.978 398.790
[3,] 550.513 676.408 581.525 740.221 630.55 103.0878 711.803 400.725
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.733 1.066 1.148 0.4952 1.142 1.093 3.01 2.396
[2,] 634.009 270.814 285.537 145.3826 569.515 328.888 668.19 644.324
[3,] 655.693 253.035 308.046 140.8206 449.474 324.278 808.95 645.988
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.9687 0.8626 0.8837 0.8373 1.374 0.6813 0.7717 8.32
[2,] 322.5869 353.7505 359.9613 342.8760 321.184 171.1082 195.0116 1867.73
[3,] 319.1688 382.1853 338.7077 376.0113 381.143 160.5608 191.6775 1766.12
[,97] [,98]
[1,] 5.532 2.697
[2,] 1660.239 908.913
[3,] 1632.054 999.668
[1] "--- VAR model 2017-10-03 00:31:00 completed"
[1] "Completed training sample: 2017-10-03 00:31:00 - 2017-10-03 08:30:00"
[1] "SpVAR; training sample: 2017-10-03 01:01:00 - 2017-10-03 09:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.079 1.6520 10.6528 -25.49
11.503 0.0246 0.2215 -33.51
-18.771 -5.9357 -16.7441 33.46
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-17.49 -1.629 9.470 9.76
-12.37 2.439 -6.440 -15.47
-25.58 1.662 7.264 35.05
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
38.10 -9.315 -13.773 -4.686
-33.02 11.979 6.845 -4.544
14.95 -34.361 -4.130 -24.636
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-24.549 -4.1615 -11.038 39.09
11.796 0.2247 3.704 28.26
3.131 6.4922 7.063 49.53
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
9.067 9.2579 -16.566 -13.92
11.780 0.7046 15.208 24.33
-2.477 -3.3780 8.414 41.47
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
29.07 -3.064 38.806 -2.034
10.03 9.284 28.715 34.726
-14.62 6.404 -9.225 -9.565
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
10.367 -31.731 -13.811 1.723
1.507 36.434 -1.706 -9.331
-2.456 -4.641 24.510 -8.113
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.93 -0.8421 -14.7499 -2.243
-19.03 -6.7877 -12.7828 7.854
31.78 3.9182 0.8549 -4.615
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.181 -22.376 -4.613 -11.70
-1.823 -18.537 -6.974 -16.61
-13.700 -9.158 -17.055 -24.53
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
6.767 -9.172 22.704 -3.079
17.306 7.918 1.674 -1.412
-2.843 -4.595 4.937 -1.782
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
13.692 7.712 -8.477 -29.414
-8.304 -1.256 -8.049 -2.787
14.967 -4.782 9.851 -13.703
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.148 -1.112 1.333 -4.945
-6.961 -9.652 -15.998 2.026
12.671 2.612 -15.321 1.973
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-9.348 -4.113 -4.900 11.576
12.836 -5.277 -3.935 2.009
12.831 -3.736 5.495 -1.068
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2881 -16.2056 -27.793 -6.645
6.6336 -11.8835 -3.533 -15.952
0.1063 -0.2714 -1.914 6.463
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.029 -10.455 -6.133 2.994
-27.338 -4.892 -1.157 1.201
-5.225 -9.256 -1.955 -23.118
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.656 4.282 7.390 -9.194
3.231 10.706 -3.612 16.408
-4.507 -18.082 8.864 16.219
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.098 0.5553 -4.010 -0.5959
9.474 -1.7129 1.975 -10.0820
11.980 2.5029 12.323 -3.1644
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.2923 1.964 -9.838 -7.356
-0.7657 6.204 11.902 -4.506
19.1287 2.539 -5.597 -28.347
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.1135 10.025 9.930 28.496
-0.5313 -4.512 2.568 4.842
-0.8175 11.522 -5.923 35.633
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
20.340 -2.4193 1.23 -0.8475
14.419 1.2105 14.40 5.4072
2.961 -0.3389 16.41 4.8103
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.675 2.741 4.369 0.4731
7.241 -1.214 -5.526 0.9771
7.847 -2.671 -2.280 2.9936
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-17.266 -0.4714 14.400 7.6790
-3.520 -0.4625 -0.248 -11.3398
-3.909 -11.1000 6.028 0.1972
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6683 1.366 -11.282 -9.014
8.1249 5.516 16.071 -4.103
4.6255 6.078 1.906 10.050
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.6363 8.152 -1.274 21.73
-0.6842 2.390 -7.992 -32.89
-7.4275 3.450 -7.674 -30.15
rnd_95776.volume rnd_95787.volume
-10.445 4.497
4.299 35.800
46.532 -10.998
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.687 0.9374 3.450 2.124 2.484 0.3880 0.9188 2.339 2.638 2.160 1.318
[2,] 2.275 1.1223 4.357 2.904 3.336 0.4801 1.1586 3.191 3.470 3.114 1.849
[3,] 2.753 1.3492 5.032 3.689 4.108 0.5610 1.3587 3.846 4.206 3.858 2.217
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.642 1.526 1.735 2.686 2.301 2.099 1.860 3.053 2.201 4.242 1.540
[2,] 2.366 1.936 2.412 3.328 2.808 2.692 2.886 4.302 2.977 5.181 1.932
[3,] 2.755 2.263 2.710 3.698 3.237 3.355 3.545 5.136 3.609 5.792 2.247
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.931 2.227 0.5794 2.057 2.396 1.500 2.154 0.6867 2.187 1.793 0.9271
[2,] 7.295 3.191 0.7600 3.072 3.337 2.016 2.984 0.8177 3.182 2.176 1.1325
[3,] 8.780 4.020 0.9083 4.054 4.300 2.393 3.676 0.9496 3.973 2.507 1.3158
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.203 2.028 1.857 1.928 1.440 1.073 0.3716 1.402 0.4206 1.495 1.297
[2,] 3.027 2.821 2.807 2.462 2.035 1.348 0.4948 1.816 0.5442 1.947 1.995
[3,] 3.747 3.482 3.494 2.812 2.391 1.558 0.5665 2.156 0.6738 2.358 2.467
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.142 0.7564 1.551 1.415 1.518 0.951 1.471 1.160 0.8428 1.325 1.283
[2,] 1.477 0.9525 2.004 1.870 1.814 1.221 2.323 1.431 1.0142 1.891 1.801
[3,] 1.693 1.1394 2.444 2.205 2.101 1.420 3.018 1.608 1.2074 2.631 2.358
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.119 0.9116 1.422 0.6554 1.326 0.8459 1.081 1.066 1.062 1.777 0.7688
[2,] 1.690 1.6724 1.783 0.7859 1.904 0.9755 1.477 1.359 1.696 2.458 0.9254
[3,] 2.173 2.1863 2.009 0.8803 2.521 1.0898 1.688 1.589 2.119 2.979 1.0581
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.470 0.9498 1.265 0.6492 2.584 1.827 1.678 1.980 1.983 1.779 1.703
[2,] 2.048 1.1933 1.748 0.7722 3.335 2.443 2.178 2.621 2.550 2.618 2.339
[3,] 2.488 1.3609 2.379 0.9209 4.072 2.998 2.597 3.088 2.923 3.200 2.939
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.2947 1.631 1.140 1.620 0.9157 0.9419 0.4830 0.9756 1.022 2.551
[2,] 0.3661 2.245 1.714 2.459 1.1719 1.1554 0.6112 1.7985 1.353 3.115
[3,] 0.4463 2.812 2.265 2.984 1.3388 1.3916 0.7060 2.2101 1.648 3.646
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.039 0.8728 0.7901 0.8281 0.7489 1.201 0.5474 0.7352 6.452 4.656
[2,] 2.577 1.2931 1.2680 1.2178 1.2264 1.444 0.6831 0.9718 7.813 6.331
[3,] 3.036 1.5208 1.6562 1.6270 1.6788 1.720 0.8120 1.1662 8.880 7.670
[,98]
[1,] 2.336
[2,] 3.237
[3,] 4.032
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.142 1.19 4.381 2.697 3.154 0.4928 1.167 2.971
[2,] 664.047 268.50 1157.871 861.798 968.996 122.9919 307.107 944.201
[3,] 674.599 325.92 1095.640 989.763 1043.366 126.3494 308.850 934.090
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.349 2.743 1.674 2.085 1.938 2.203 3.41 2.922
[2,] 981.227 975.955 564.293 741.574 518.106 729.261 855.45 700.642
[3,] 1034.288 991.147 531.746 613.616 510.238 537.341 701.55 700.222
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.665 2.362 3.876 2.795 5.387 1.955 4.992 2.828
[2,] 733.211 960.209 1319.110 872.541 1294.409 507.636 2673.919 994.327
[3,] 871.279 895.771 1220.415 887.761 1126.396 499.142 2126.603 1064.057
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7357 2.612 3.043 1.904 2.735 0.872 2.777 2.276
[2,] 214.0571 992.718 1010.460 586.375 898.258 193.193 1005.716 536.794
[3,] 216.3904 1151.297 1180.180 561.239 934.291 210.081 1035.110 542.045
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.177 2.798 2.575 2.358 2.448 1.828 1.363 0.4719
[2,] 283.024 903.624 853.623 915.566 666.766 625.590 354.791 142.1838
[3,] 291.516 960.511 887.756 905.452 590.443 546.292 339.749 120.0497
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.78 0.5341 1.898 1.647 1.45 0.9605 1.97 1.797
[2,] 502.25 150.2697 543.035 659.562 407.53 251.8958 552.30 531.655
[3,] 505.32 172.9086 578.780 631.202 360.68 272.0992 608.32 508.728
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.927 1.208 1.868 1.473 1.07 1.682 1.629 1.421
[2,] 431.860 332.924 782.172 365.185 245.44 587.066 550.230 550.864
[3,] 461.451 315.738 838.924 318.483 285.09 795.856 661.990 594.845
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.158 1.805 0.8323 1.683 1.074 1.372 1.353 1.349
[2,] 610.141 467.998 188.7053 595.027 211.457 437.845 366.740 575.325
[3,] 612.777 403.445 172.5502 718.517 211.433 356.187 358.991 552.646
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.256 0.9763 1.867 1.206 1.607 0.8244 3.281 2.321
[2,] 738.742 224.1497 620.607 314.337 525.078 181.9301 917.282 705.571
[3,] 733.016 223.2642 614.456 284.702 702.254 218.3772 1017.084 755.887
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.131 2.514 2.518 2.259 2.163 0.3743 2.071 1.447
[2,] 604.094 747.153 697.194 835.585 697.801 94.4978 671.396 556.745
[3,] 615.314 710.710 621.669 800.512 773.905 111.0709 736.514 644.506
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.057 1.163 1.196 0.6134 1.239 1.298 3.239 2.59
[2,] 805.376 318.194 291.161 162.9557 657.429 385.719 778.054 685.60
[3,] 735.053 281.744 337.547 153.7479 558.946 409.583 824.462 698.69
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.108 1.003 1.052 0.951 1.524 0.6951 0.9336 8.193
[2,] 415.187 431.593 388.516 422.625 349.467 177.8237 276.5232 1917.107
[3,] 348.302 463.595 469.514 498.853 406.327 191.0051 280.5331 1836.671
[,97] [,98]
[1,] 5.912 2.967
[2,] 1866.702 974.976
[3,] 1884.051 1046.107
[1] "--- VAR model 2017-10-03 01:01:00 completed"
[1] "Completed training sample: 2017-10-03 01:01:00 - 2017-10-03 09:00:00"
[1] "SpVAR; training sample: 2017-10-03 01:31:00 - 2017-10-03 09:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.287 8.770 -2.367 -61.691
-4.967 7.845 37.576 -7.032
-22.353 -1.610 35.356 -28.762
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.20 -3.6256 12.459 44.112
-30.52 -0.7240 8.579 28.885
-43.77 -0.2955 6.800 -1.718
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
24.2332 41.71 21.615 -21.422
22.2075 18.95 -2.993 -5.912
0.6026 47.00 6.291 17.200
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
9.970 14.3816 11.68 18.89
8.860 0.2744 18.80 45.14
-4.784 16.3158 13.89 41.24
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
13.848 -20.233 -3.500 3.627
-1.454 19.104 -1.987 9.029
3.029 -3.789 -41.687 -8.126
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-18.66 -3.9682 5.576 12.150
31.84 -0.8086 4.481 -14.258
24.64 8.5897 75.549 9.683
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1041 -1.300 -12.31 0.4217
2.7333 -7.748 -34.83 12.5772
1.1713 -1.055 -37.93 -8.7932
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-42.12 3.779 -47.28 19.288
-18.76 13.321 -32.02 -7.801
-14.40 1.835 -11.40 -25.836
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
9.069 2.131 -6.642 -18.73
-3.763 -45.933 -35.027 -36.43
10.308 -6.732 -40.323 -28.13
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
45.188 10.96 -3.268 2.603
13.883 13.57 -1.149 6.254
6.952 23.77 -15.512 6.836
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2687 4.644 0.9996 -10.840
-7.2047 2.915 -1.5222 -2.478
1.8985 2.086 -9.3980 -5.995
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5299 2.310 -5.514 -13.219
1.5038 -6.493 -18.993 12.706
1.4152 4.739 -6.511 -6.484
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.926 -7.434 10.43 -7.200
16.782 4.695 -10.75 -16.677
3.193 -4.480 -11.69 -1.857
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5558 -5.932 -0.37088 -8.410
-5.1343 -3.954 0.05727 -14.478
-8.6775 -6.835 6.65093 -2.308
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.4657 6.170 -0.009807 4.907
-9.7483 6.486 0.772980 -1.067
2.6496 10.853 1.845323 -6.885
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.4546 -5.645 -4.283 -4.768
4.7041 -5.119 5.767 -2.864
-2.7956 -15.784 -7.108 -9.186
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
26.406 -4.8690 12.99 2.287
5.558 -0.3172 19.81 9.887
-16.284 -8.4482 16.26 9.647
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.492 2.6756 23.777 9.50
15.856 -2.9842 -5.604 -14.65
8.975 0.5636 5.956 -36.84
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.390 9.009 -35.17 27.57
2.839 15.051 -32.01 11.15
-1.724 -16.795 -32.27 -16.51
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
16.604 -0.2397 10.52 -2.593
20.857 2.5141 18.89 -4.544
-8.718 1.0677 26.53 -5.943
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.879 -15.404 -6.3354 -3.5550
8.329 4.380 4.4511 -4.3711
16.674 5.413 0.1099 -0.1113
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
21.147 10.681 21.77 11.500
9.206 12.886 -6.49 -10.992
8.246 -9.388 -18.03 8.031
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
16.9944 13.526 2.573 2.236
0.8193 1.476 10.590 24.189
2.4520 -4.191 -3.916 -1.649
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
9.672 -7.438 13.966 8.95
5.739 -6.216 6.657 32.81
8.766 -9.679 -2.300 -30.10
rnd_95776.volume rnd_95787.volume
-12.85 3.776
-38.87 -13.511
22.87 13.790
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.896 1.016 3.796 2.367 2.743 0.3861 1.042 2.544 3.046 2.415 1.408
[2,] 2.418 1.230 4.841 3.263 3.763 0.4938 1.366 3.403 3.938 3.331 2.085
[3,] 2.958 1.483 5.634 4.119 4.660 0.5853 1.591 4.102 4.599 4.310 2.458
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.880 1.645 1.927 2.824 2.402 2.274 2.070 3.354 2.531 4.663 1.745
[2,] 2.573 2.073 2.566 3.390 2.972 2.916 2.988 4.582 3.396 5.628 2.176
[3,] 3.045 2.441 2.874 3.793 3.443 3.679 3.659 5.371 3.939 6.286 2.444
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.395 2.576 0.6670 2.286 2.612 1.619 2.341 0.7722 2.541 1.815 1.020
[2,] 8.181 3.520 0.8515 3.431 3.687 2.102 3.232 0.9158 3.700 2.310 1.253
[3,] 9.714 4.550 0.9823 4.562 4.737 2.480 4.017 1.0718 4.488 2.683 1.483
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.577 2.191 2.463 2.104 1.538 1.253 0.4377 1.584 0.5056 1.878 1.565
[2,] 3.641 3.229 3.554 2.668 2.125 1.542 0.5713 2.101 0.6228 2.521 2.405
[3,] 4.310 4.039 4.341 3.030 2.507 1.769 0.6423 2.487 0.7488 2.996 3.035
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.277 0.8104 1.524 1.711 1.588 1.049 1.638 1.184 0.8896 1.360 1.397
[2,] 1.624 1.0188 2.026 2.199 1.938 1.331 2.554 1.459 1.0977 2.000 1.907
[3,] 1.837 1.2563 2.542 2.546 2.230 1.520 3.161 1.714 1.2761 2.769 2.516
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.182 1.011 1.488 0.6876 1.541 0.8474 1.146 1.187 1.165 1.943 0.8633
[2,] 1.806 1.835 1.871 0.8180 2.038 1.0060 1.529 1.474 1.851 2.721 1.0370
[3,] 2.313 2.322 2.202 0.9345 2.709 1.1144 1.764 1.777 2.205 3.185 1.2063
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.591 0.9566 1.437 0.7534 2.712 2.026 2.133 2.032 2.077 2.032 1.965
[2,] 2.229 1.2731 2.023 0.9551 3.585 2.601 2.641 2.737 2.751 2.842 2.663
[3,] 2.659 1.5029 2.641 1.1009 4.316 3.152 3.084 3.247 3.196 3.527 3.207
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.3497 1.856 1.358 1.752 0.9403 0.9563 0.5525 1.094 1.106 2.838 2.470
[2,] 0.4401 2.561 1.973 2.642 1.2162 1.2361 0.6792 1.944 1.448 3.486 3.123
[3,] 0.5195 3.172 2.581 3.310 1.4214 1.5069 0.7783 2.417 1.781 4.006 3.678
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9728 0.7666 0.9253 0.8541 1.295 0.6631 0.9188 6.504 4.596 2.670
[2,] 1.5256 1.3368 1.3761 1.3990 1.593 0.8514 1.2735 7.706 6.719 3.581
[3,] 1.7381 1.8536 1.8412 1.8533 1.879 0.9931 1.5215 8.840 8.153 4.550
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.408 1.291 4.82 3.005 3.483 0.4903 1.324 3.231
[2,] 593.862 274.355 1189.55 889.440 1020.266 121.8717 349.582 894.762
[3,] 675.175 328.083 1141.19 995.217 1088.151 124.4335 322.799 907.114
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.868 3.067 1.788 2.387 2.089 2.447 3.585 3.051
[2,] 988.173 908.436 608.697 695.276 499.474 671.076 743.062 693.114
[3,] 940.960 1082.751 515.753 644.829 510.439 511.895 673.095 687.852
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.888 2.629 4.26 3.214 5.922 2.216 5.581 3.27
[2,] 722.325 852.997 1236.15 896.392 1247.325 514.291 2732.022 949.95
[3,] 888.726 836.053 1109.16 790.298 1108.816 440.714 2074.374 1141.59
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.847 2.903 3.317 2.055 2.973 0.9806 3.227 2.305
[2,] 209.595 1012.996 1030.574 530.719 882.261 194.8975 1065.134 565.757
[3,] 193.895 1190.761 1177.390 521.187 944.217 220.5331 1005.436 540.699
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.295 3.272 2.782 3.128 2.672 1.953 1.591 0.5558
[2,] 288.574 1018.640 939.053 1014.165 649.397 580.420 356.105 145.3858
[3,] 313.792 913.159 960.544 987.194 569.023 527.252 342.757 116.2504
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.012 0.6421 2.385 1.987 1.622 1.029 1.935 2.173
[2,] 546.711 143.9953 665.988 723.136 397.475 244.453 528.549 546.945
[3,] 526.401 164.5653 641.145 733.237 340.021 291.053 607.925 508.265
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.017 1.331 2.08 1.503 1.13 1.727 1.774 1.501 1.284
[2,] 439.473 324.525 776.21 337.469 254.62 580.533 513.868 540.500 606.292
[3,] 436.995 290.495 737.21 356.627 257.69 758.150 649.750 572.050 563.701
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.89 0.8731 1.957 1.076 1.455 1.507 1.48 2.468
[2,] 448.59 175.4554 528.108 214.673 400.528 346.066 569.48 754.145
[3,] 459.87 178.9391 706.481 189.779 348.779 393.379 474.16 655.099
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.096 2.021 1.215 1.825 0.9567 3.444 2.573 2.709
[2,] 227.508 618.129 332.626 563.422 232.4240 927.987 645.663 616.627
[3,] 243.966 573.778 316.245 672.100 216.7774 951.937 705.193 629.981
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.58 2.638 2.58 2.495 0.4441 2.356 1.725 2.224
[2,] 726.06 714.014 786.94 711.492 105.7997 698.975 566.575 783.071
[3,] 691.74 643.949 826.99 707.781 109.2562 740.876 659.034 789.533
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.194 1.214 0.7016 1.389 1.405 3.604 3.137 1.235
[2,] 305.426 310.097 156.4142 636.506 369.894 801.503 756.474 465.310
[3,] 291.313 341.273 150.4514 568.586 410.959 781.728 769.302 329.778
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.9734 1.175 1.085 1.644 0.842 1.167 8.259 5.836
[2,] 433.6408 403.331 438.709 367.827 211.453 349.143 1636.473 1940.821
[3,] 508.4354 484.338 481.338 394.268 202.423 329.676 1715.001 1828.275
[,98]
[1,] 3.391
[2,] 944.940
[3,] 1111.380
[1] "--- VAR model 2017-10-03 01:31:00 completed"
[1] "Completed training sample: 2017-10-03 01:31:00 - 2017-10-03 09:30:00"
[1] "SpVAR; training sample: 2017-10-03 02:01:00 - 2017-10-03 10:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.4835 -1.447 3.778 21.160
0.7507 -1.227 2.153 -5.548
4.7435 1.064 20.193 4.069
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.908 3.9939 9.607 0.8408
3.274 -0.3882 4.867 -5.0463
7.578 0.6649 3.447 17.4111
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.757 13.010 7.165 -13.02
8.020 -9.489 -5.638 -22.95
-1.606 -2.024 -13.134 -10.60
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.695 20.184 18.867 58.56
-6.282 -3.257 5.172 30.15
-12.115 18.572 20.514 34.61
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
29.477 19.706 -24.96 3.279
14.728 29.868 13.69 17.160
-0.501 -6.915 15.68 14.156
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-14.928 -4.052 -0.5768 -17.31
-22.079 -2.110 -9.4178 18.60
-7.067 -3.807 -29.2165 -14.09
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.3365 -24.51 -28.940 -3.803
1.1485 20.56 -5.573 2.175
0.6405 -19.33 9.521 5.921
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
19.49 5.779 -18.586 -7.7156
-10.80 -1.926 6.577 0.8275
13.59 1.154 10.468 -0.3921
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
5.008 -32.255 -41.156 -17.358
6.504 8.533 3.819 -33.234
-0.532 -5.888 -2.020 -2.697
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.628 5.621 -2.655 0.3455
-1.778 -9.625 5.660 1.7301
-20.527 -9.624 -1.122 -1.2634
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
14.275 -5.4426 1.817 -11.486
-4.364 -3.8098 -15.343 -4.034
8.956 -0.5716 -12.970 -22.873
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.445 3.2233 1.319 -9.0442
1.207 1.8867 -9.621 0.6537
4.623 -0.8535 -16.877 3.6930
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.935 7.161 8.646 1.799
-1.928 -9.957 4.763 -7.128
10.798 1.010 -15.426 7.256
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
8.8432 10.403 8.046 6.998
-4.0893 -4.364 3.246 8.906
-0.5289 -1.649 5.648 -1.444
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.9387 3.888 1.813 -17.2932
3.4035 7.567 2.467 -0.8855
2.5543 8.310 1.257 8.3588
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.6028 -1.295 6.643 5.944
1.8541 -4.271 3.242 -1.843
0.9024 7.104 -7.318 6.409
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
17.0577 6.7277 11.577 5.164
-0.7216 -5.4767 4.651 -1.862
2.6442 0.7627 3.004 1.085
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.749 -1.0661 -1.5687 -5.949
9.170 -0.5419 7.2035 -15.235
1.282 0.6959 0.1856 2.158
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.924 -4.0746 -19.099 3.198
-5.573 0.4018 -5.387 -10.387
11.643 9.5451 4.923 4.788
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.426 -1.1054 -0.6579 4.331
-6.708 0.4066 11.6965 3.551
7.349 -0.6298 -9.3546 5.620
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-14.220 0.71736 -2.683 1.740
3.015 1.03447 -1.954 4.274
6.286 -0.03256 -3.013 -2.338
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.606 -0.3547 -5.254 3.731
-9.249 -9.4810 1.279 6.245
2.227 0.9547 25.864 -7.106
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.023 0.7159 -0.05775 0.3023
8.049 2.1155 -4.40750 0.1037
5.567 8.1402 5.23298 4.5899
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-14.350 1.806 -0.9523 33.31
8.403 3.508 -5.6629 25.30
4.740 -1.717 7.6125 36.63
rnd_95776.volume rnd_95787.volume
6.064 -19.799
-24.300 6.525
8.647 -17.754
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.138 1.224 4.633 2.925 3.030 0.4640 1.236 3.117 3.247 2.866 1.572
[2,] 2.753 1.548 5.604 3.975 4.466 0.5994 1.540 3.955 4.231 3.884 2.198
[3,] 3.367 1.757 6.462 5.012 5.348 0.7005 1.878 4.769 4.955 4.688 2.576
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.347 1.764 2.079 2.892 2.485 2.622 2.214 4.022 2.661 5.298 1.997
[2,] 3.098 2.217 2.641 3.495 3.088 3.281 3.223 5.280 3.573 6.143 2.418
[3,] 3.491 2.612 3.037 3.970 3.659 4.009 3.891 6.118 4.245 6.908 2.723
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.089 2.869 0.7630 2.784 3.242 1.797 2.787 0.8433 2.847 2.090 1.197
[2,] 9.737 3.803 0.9384 3.936 4.430 2.334 3.870 1.0346 4.093 2.501 1.441
[3,] 10.859 5.167 1.0753 5.322 5.532 2.823 4.862 1.1912 4.988 2.856 1.655
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.827 2.412 2.977 2.457 1.757 1.460 0.5439 1.731 0.6136 2.088 1.75
[2,] 4.089 3.775 4.056 2.992 2.473 1.785 0.6770 2.248 0.7403 2.784 2.59
[3,] 4.906 4.562 4.763 3.343 2.863 2.046 0.7790 2.723 0.8951 3.303 3.22
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.465 0.9053 1.704 1.989 1.799 1.201 1.711 1.318 0.9513 1.539 1.413
[2,] 1.813 1.1706 2.404 2.597 2.132 1.580 2.681 1.661 1.2210 2.228 2.056
[3,] 2.054 1.4287 2.903 2.898 2.504 1.774 3.382 1.925 1.4034 3.202 2.639
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.245 1.089 1.585 0.7562 1.680 0.8438 1.228 1.279 1.431 2.204 0.9654
[2,] 1.998 1.986 2.014 0.8935 2.334 1.0157 1.633 1.675 2.023 2.986 1.1605
[3,] 2.578 2.602 2.379 1.0258 2.986 1.1646 1.947 1.984 2.419 3.429 1.3465
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.881 1.150 1.554 0.8116 2.954 2.352 2.393 2.268 2.396 2.175 2.088
[2,] 2.676 1.503 2.339 1.0138 3.958 2.999 2.970 2.980 3.204 2.996 2.744
[3,] 3.063 1.728 2.941 1.1974 4.645 3.566 3.417 3.521 3.696 3.618 3.243
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4332 2.010 1.564 2.250 1.137 1.001 0.6086 1.268 1.322 3.065 2.781
[2,] 0.5700 2.747 2.308 3.152 1.426 1.340 0.7551 2.188 1.766 3.869 3.520
[3,] 0.6785 3.410 2.903 3.840 1.653 1.622 0.9210 2.704 2.034 4.516 4.146
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.156 0.8788 1.014 0.8758 1.425 0.8385 1.108 6.566 4.994 2.892
[2,] 1.660 1.5128 1.567 1.4835 1.775 1.0316 1.573 7.714 7.402 3.842
[3,] 1.975 1.9421 2.077 1.9893 2.104 1.1875 1.915 8.775 9.325 5.127
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.715 1.555 5.883 3.715 3.848 0.5892 1.57 3.958
[2,] 578.066 315.739 1050.286 896.799 1093.023 126.4418 305.94 811.208
[3,] 645.463 276.668 1072.314 1017.110 980.433 120.7442 358.14 888.104
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.124 3.639 1.997 2.98 2.24 2.64 3.673 3.156 3.329
[2,] 903.460 873.294 511.673 673.92 447.45 542.50 653.933 610.408 657.505
[3,] 859.311 874.905 447.904 536.13 460.07 499.74 626.927 653.879 767.117
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.811 5.107 3.38 6.727 2.536 6.463 3.643 0.9689
[2,] 780.445 1139.644 794.44 1036.468 454.027 2765.608 831.921 182.0287
[3,] 726.358 1029.676 763.83 1052.534 416.992 1601.842 1165.488 174.9751
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.535 4.116 2.282 3.539 1.071 3.615 2.654 1.52
[2,] 927.219 1006.095 496.404 894.859 199.679 979.949 457.816 267.31
[3,] 1193.578 1103.789 528.958 980.773 196.723 949.584 459.186 271.40
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.59 3.062 3.781 3.12 2.232 1.854 0.6906 2.198
[2,] 984.54 967.753 917.535 569.22 579.765 342.154 134.3181 478.138
[3,] 902.94 853.392 832.282 496.81 480.509 333.476 128.4205 511.678
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.7792 2.651 2.222 1.86 1.15 2.164 2.525 2.285
[2,] 137.9957 613.424 636.471 356.09 247.29 564.983 556.486 380.838
[3,] 167.6402 592.324 637.185 321.60 272.91 542.055 428.401 437.624
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.525 2.173 1.674 1.208 1.954 1.794 1.58 1.383
[2,] 342.186 687.902 336.648 255.050 536.797 497.535 520.65 553.344
[3,] 268.837 686.868 324.028 230.539 766.290 551.547 543.12 560.382
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.012 0.9602 2.133 1.071 1.56 1.624 1.818 2.799
[2,] 414.091 158.5813 539.864 188.397 358.57 360.025 476.504 671.435
[3,] 422.185 167.8967 620.485 189.843 353.05 354.371 441.428 561.553
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.226 2.388 1.46 1.974 1.031 3.751 2.986 3.039 2.88
[2,] 214.569 634.345 322.61 582.285 202.403 877.649 619.995 585.815 644.23
[3,] 227.528 496.336 284.35 594.310 212.307 809.955 643.169 562.873 624.51
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 3.042 2.762 2.651 0.5502 2.553 1.987 2.857 1.444
[2,] 708.618 686.503 593.422 123.4055 623.799 565.414 735.644 286.635
[3,] 614.018 675.622 575.864 122.6202 672.959 586.852 731.050 278.347
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.272 0.7729 1.611 1.679 3.893 3.532 1.467 1.116
[2,] 296.864 148.9167 594.111 390.088 786.549 718.826 397.213 410.281
[3,] 304.585 175.7066 529.279 336.293 775.993 729.639 356.099 405.764
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.288 1.112 1.81 1.065 1.407 8.338 6.342 3.672
[2,] 397.985 398.952 352.63 200.179 372.034 1348.861 1820.205 842.899
[3,] 454.301 441.570 376.26 195.983 363.728 1393.644 1889.544 1131.178
[1] "--- VAR model 2017-10-03 02:01:00 completed"
[1] "Completed training sample: 2017-10-03 02:01:00 - 2017-10-03 10:00:00"
[1] "SpVAR; training sample: 2017-10-03 02:31:00 - 2017-10-03 10:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.013 -5.807 28.772 -0.6006
6.943 4.057 0.774 -13.8598
-3.402 3.073 10.765 3.9655
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-32.214 1.175 4.366 20.30
-15.983 2.506 5.615 17.17
-6.712 -3.054 4.718 15.97
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-22.48 -21.2001 5.581 -13.69
19.12 0.7518 -4.578 -18.91
25.37 24.0526 12.551 -16.77
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.004289 -2.6858 0.8031 36.45
-4.480621 -2.0192 -1.7824 24.59
-7.892883 -0.9106 -0.2234 34.72
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-16.671 14.317 -14.95 -0.1838
-16.596 -17.182 17.12 3.0356
4.644 -3.272 -12.05 1.6875
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
9.281 -5.777 -30.74 -2.309
-12.202 -6.896 47.62 7.325
7.760 -7.219 -27.34 9.962
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.252 -12.237 -36.229 12.994
1.161 -10.973 3.847 0.636
-2.250 -4.072 17.830 10.476
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.290 5.976 -18.15 -5.276
-10.374 1.051 -13.83 -9.623
-3.852 2.453 -20.52 -5.113
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.071 -9.463 -33.529 -19.36
3.017 -22.269 -12.665 -14.81
-3.555 -17.460 -5.822 -27.11
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.937 5.189 5.86792 3.9314
6.479 2.655 0.04632 2.5085
10.035 5.003 -2.93873 0.2313
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
8.8981 -2.513 -15.060 -17.63
0.1746 3.099 -19.588 -12.50
2.0586 1.381 -9.749 -14.52
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
15.255 -2.784 1.476 1.397
4.838 6.880 3.250 9.300
-3.699 -1.460 -10.638 1.326
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.233 -11.47307 -29.055 -0.8406
5.729 -0.08437 8.174 3.0213
2.295 1.71728 11.158 14.1635
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.7895 0.7314 8.176 18.486
-4.4497 -19.7512 -17.325 -6.988
-0.3573 2.4157 1.380 -13.735
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.080 9.471 4.3769 5.926
9.119 -3.657 4.8018 -3.132
-10.972 2.520 0.6915 13.969
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6476 -0.08124 -11.4262 -1.372
-3.3376 1.99172 0.9912 -2.087
-3.2206 13.06656 -0.3989 -3.793
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.557 -3.147 5.637 -3.786
6.456 -2.440 -5.278 -8.108
9.174 -1.248 12.310 -4.373
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.150 2.012 -9.371 -6.436
-1.627 -1.744 -5.261 -4.895
-2.254 -1.821 -2.835 -6.470
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.899 0.144 -6.142 21.051
2.321 -4.052 -3.768 -4.264
3.678 0.294 15.225 3.047
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.7088 -0.7777 12.112 15.397
-4.8178 2.6927 18.160 11.356
0.2938 1.9001 3.395 -5.151
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
18.465 7.3072 1.1603 1.7882
16.113 4.6275 -6.1428 3.9574
1.959 0.5551 0.8542 -0.4337
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
9.072 -11.178 6.715 7.276
-12.686 1.499 5.724 12.157
8.008 1.728 19.798 13.282
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6753 2.100 -8.4971 -6.618
-3.0569 -1.663 3.2479 1.389
2.4129 7.224 -0.5013 2.982
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.9397 -2.131 -4.1722 8.627
1.5360 -5.153 1.8893 8.905
5.2437 -4.375 0.3129 -2.692
rnd_95776.volume rnd_95787.volume
-50.70 -7.0110
25.65 -0.7654
18.93 11.4086
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.353 1.348 5.115 3.363 3.267 0.5690 1.330 3.715 3.678 3.369 1.738
[2,] 3.030 1.643 6.141 4.405 4.840 0.6968 1.652 4.564 4.628 4.581 2.390
[3,] 3.659 1.883 7.159 5.476 5.871 0.7966 2.000 5.239 5.366 5.335 2.782
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.583 1.984 2.262 2.998 2.755 2.953 2.575 4.418 2.913 6.004 2.318
[2,] 3.412 2.396 2.993 3.695 3.426 3.660 3.753 5.887 4.072 6.877 2.734
[3,] 3.770 2.766 3.466 4.218 3.974 4.356 4.384 6.708 4.830 7.699 3.085
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.834 3.423 0.8795 3.317 3.545 2.040 3.034 0.8712 3.400 2.208 1.346
[2,] 10.536 4.439 1.0629 4.493 4.925 2.630 4.119 1.1090 4.547 2.691 1.721
[3,] 11.912 5.726 1.1954 5.811 5.998 3.116 5.258 1.2611 5.515 3.149 1.945
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.171 2.728 3.410 2.714 1.877 1.623 0.7139 2.041 0.6482 2.411 1.958
[2,] 4.509 4.191 4.611 3.327 2.674 2.041 0.8384 2.522 0.7872 3.155 2.904
[3,] 5.297 5.068 5.242 3.709 3.194 2.298 0.9574 2.980 0.9452 3.712 3.604
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.682 1.023 1.920 2.274 2.026 1.348 1.987 1.555 1.244 1.840 1.644
[2,] 2.054 1.343 2.694 2.861 2.374 1.865 3.131 1.903 1.483 2.539 2.381
[3,] 2.327 1.607 3.219 3.200 2.725 2.078 3.921 2.183 1.698 3.514 3.043
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.641 1.173 1.920 0.8143 1.837 0.9053 1.357 1.422 1.595 2.393 1.062
[2,] 2.427 2.153 2.294 0.9539 2.553 1.0804 1.876 1.954 2.254 3.184 1.304
[3,] 3.003 2.868 2.689 1.0925 3.316 1.2140 2.270 2.249 2.748 3.804 1.480
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.084 1.249 1.708 0.8823 3.105 2.629 2.753 2.596 2.740 2.289 2.230
[2,] 2.952 1.684 2.621 1.0996 4.231 3.346 3.323 3.363 3.606 3.309 3.041
[3,] 3.440 1.938 3.241 1.2860 4.895 3.930 3.825 3.857 4.137 4.013 3.623
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5259 2.258 1.802 2.414 1.214 1.246 0.7606 1.434 1.496 3.538 3.054
[2,] 0.6861 2.987 2.459 3.264 1.513 1.571 0.9060 2.453 1.937 4.368 3.980
[3,] 0.7948 3.852 3.110 4.027 1.758 1.866 1.0697 2.997 2.239 4.986 4.701
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.281 1.067 1.156 0.9403 1.549 0.9655 1.275 6.103 5.511 3.445
[2,] 1.856 1.741 1.735 1.6812 1.904 1.2219 1.711 7.351 8.312 4.440
[3,] 2.146 2.172 2.266 2.2031 2.321 1.3991 2.103 8.198 10.364 5.613
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.988 1.712 6.495 4.27 4.148 0.7225 1.688 4.718
[2,] 540.698 265.822 962.715 805.98 1011.472 113.9111 277.883 750.660
[3,] 580.969 260.986 1041.979 921.49 941.101 109.4000 318.978 729.021
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.671 4.278 2.207 3.281 2.519 2.873 3.807 3.499
[2,] 795.716 879.218 464.454 631.322 380.337 555.236 611.669 576.668
[3,] 769.085 774.510 403.491 454.082 391.759 494.920 576.267 570.262
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.749 3.27 5.61 3.699 7.624 2.943 7.408 4.347
[2,] 612.638 773.29 1101.86 805.659 950.229 411.041 2485.141 800.256
[3,] 669.139 641.58 910.81 735.972 980.507 404.699 1573.930 1024.442
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.117 4.212 4.502 2.59 3.853 1.106 4.318 2.804
[2,] 169.076 858.541 968.294 470.32 788.963 194.353 855.308 435.567
[3,] 154.933 1043.773 969.636 473.39 925.905 170.049 883.705 463.326
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.709 4.026 3.465 4.33 3.446 2.384 2.06 0.9065
[2,] 303.853 908.116 900.941 879.17 545.075 539.359 350.48 124.5476
[3,] 256.699 787.141 807.051 706.15 464.442 494.884 299.35 130.9035
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.591 0.8232 3.062 2.486 2.136 1.298 2.438 2.888
[2,] 419.581 126.5050 576.286 607.384 333.530 246.821 535.555 491.610
[3,] 450.022 148.1669 554.214 604.903 309.931 249.868 499.016 405.905
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.573 1.712 2.523 1.975 1.58 2.337 2.088 2.084
[2,] 350.738 364.920 685.435 310.370 228.50 495.507 487.727 506.634
[3,] 378.853 259.901 668.380 303.253 234.56 688.064 536.661 500.942
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.489 2.437 1.034 2.333 1.15 1.723 1.805 2.025
[2,] 511.421 355.865 140.724 502.021 167.03 366.820 379.672 451.260
[3,] 536.563 397.172 150.888 599.322 156.82 361.971 315.675 445.195
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.038 1.349 2.647 1.586 2.168 1.12 3.943 3.338
[2,] 595.137 214.130 592.014 320.074 563.224 185.86 814.048 586.424
[3,] 589.240 198.574 500.555 271.377 540.021 188.92 697.081 583.992
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.496 3.296 3.48 2.906 2.832 0.6678 2.868 2.288
[2,] 526.901 605.532 663.85 676.695 585.674 124.8116 553.676 473.837
[3,] 536.693 534.971 574.59 643.183 557.840 113.6617 688.958 539.561
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.066 1.541 1.583 0.9658 1.821 1.9 4.493 3.878
[2,] 622.206 255.988 270.761 139.4496 563.612 348.7 725.215 723.091
[3,] 668.035 253.638 285.153 161.0812 487.933 317.6 681.082 708.481
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.627 1.355 1.468 1.194 1.967 1.226 1.619 7.75
[2,] 380.298 389.614 366.303 394.747 313.710 212.097 323.207 1160.36
[3,] 305.289 368.055 413.065 403.274 375.902 193.067 346.393 1027.99
[,97] [,98]
[1,] 6.998 4.374
[2,] 1762.418 793.211
[3,] 1753.608 973.016
[1] "--- VAR model 2017-10-03 02:31:00 completed"
[1] "Completed training sample: 2017-10-03 02:31:00 - 2017-10-03 10:30:00"
[1] "SpVAR; training sample: 2017-10-03 03:01:00 - 2017-10-03 11:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-12.477 -2.962 -14.32 -13.048
-7.392 1.467 -32.23 3.446
-2.389 -2.067 -17.16 -39.322
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.908 -0.002653 -5.851 1.284
-11.718 1.935814 5.308 3.749
-9.636 1.008228 1.859 14.290
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.772 9.4213 4.045 -7.389
-7.732 -10.7599 0.640 -8.117
23.709 0.1201 2.020 -11.128
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-8.0341 -10.556 0.9904 27.81
-8.7192 -3.444 3.1916 20.90
-0.5296 -7.528 0.7193 18.53
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.546 -10.6104 11.83 0.1417
-12.347 0.5476 -2.68 -5.6642
-13.710 5.9540 23.53 1.4466
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.95 1.017 -76.360 -31.95
-28.20 1.879 8.826 -31.26
-18.50 2.264 -59.212 -20.72
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.9098 -24.23 7.074 3.410
2.9080 -30.47 -26.489 3.789
-0.3514 -11.43 -13.531 1.521
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.730 2.401 -10.651 5.138
-3.719 2.862 -1.639 3.009
-37.571 -3.339 -35.931 -5.587
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.697 -24.663 -0.8948 8.325
-8.007 -8.613 -14.0337 -11.037
-8.293 -8.525 -9.0230 -13.722
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
9.275 5.937 -2.8388 0.8556
-1.924 5.413 0.2766 2.3164
-1.907 7.291 4.5186 1.0761
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
8.35446 -0.7971 -9.594 3.039
-0.03471 1.2514 3.685 -11.654
1.53665 0.0358 -6.058 3.311
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.532 3.6261 -11.00 2.7046
5.055 -0.8018 12.33 0.5974
-1.853 4.4589 -10.57 -2.4522
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.202 3.719 2.190 7.350
-4.524 -3.914 -9.693 6.282
4.576 5.771 -3.232 10.718
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
8.4983 13.7891 7.629 0.4705
-2.1940 -5.6167 6.139 12.5347
0.9418 0.3009 5.651 -0.4924
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.189 1.41732 3.491 5.973
9.511 0.11234 1.600 1.959
2.272 0.09452 -2.249 4.410
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.9452 0.1796 -3.204 1.184
-4.5015 -9.7888 6.000 -5.094
0.6103 -0.6175 -2.659 -2.211
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.800 5.658 -20.270 4.172
-4.610 1.369 3.380 -3.426
4.856 -1.671 -4.894 -2.141
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.283 -7.353 9.215 1.206
-4.328 5.993 -11.120 -1.187
-3.208 3.247 -14.228 -5.269
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.400 8.251 14.40 14.453
1.826 11.181 16.30 7.372
-10.199 -12.869 13.99 1.253
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.887 0.8577 -11.492 4.375
10.188 -2.3226 3.754 8.625
9.469 -1.5678 4.905 6.174
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.525 7.0743 6.863 1.0118
-6.207 -0.9422 -8.826 -0.9887
11.037 -3.5049 -4.873 1.8951
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
10.109 0.9771 -9.215 -6.389
4.472 3.5545 -1.616 15.622
2.822 -0.2620 -5.944 8.321
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.791 -1.121 -4.749 -0.1346
6.457 8.172 -5.496 -6.8055
-3.632 6.570 13.679 8.6458
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.652 -5.1399 -2.355 18.18553
1.123 0.5798 3.878 0.01079
5.925 0.9670 -2.052 -5.56439
rnd_95776.volume rnd_95787.volume
-28.04 -31.09
10.66 -25.38
15.73 -23.64
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.641 1.602 5.855 3.640 3.653 0.6571 1.394 4.001 4.067 3.508 1.901
[2,] 3.526 1.870 6.990 4.723 5.173 0.8097 1.776 5.007 5.012 4.858 2.587
[3,] 4.070 2.138 7.984 5.947 6.219 0.9248 2.140 5.734 5.847 5.794 2.990
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.703 2.286 2.422 3.492 2.969 3.214 2.925 4.932 3.140 6.474 2.548
[2,] 3.608 2.729 3.211 4.572 3.642 3.945 4.175 6.267 4.399 7.419 2.948
[3,] 3.970 3.080 3.711 5.331 4.196 4.644 4.744 7.163 5.136 8.217 3.306
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.59 3.916 1.056 3.502 3.948 2.337 3.259 0.9127 3.750 2.535 1.456
[2,] 11.61 4.980 1.245 4.807 5.319 2.952 4.466 1.1603 4.938 3.013 1.828
[3,] 13.07 6.449 1.387 6.189 6.353 3.444 5.711 1.3396 6.168 3.533 2.092
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.545 3.161 3.805 2.946 2.013 1.877 0.7763 2.223 0.7446 2.543 2.184
[2,] 4.911 4.688 5.061 3.626 2.824 2.331 0.9159 2.745 0.8915 3.336 3.269
[3,] 5.792 5.560 5.631 4.043 3.397 2.668 1.0398 3.185 1.0611 3.888 3.894
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.901 1.230 2.063 2.611 2.219 1.522 2.239 1.705 1.323 1.962 1.714
[2,] 2.271 1.560 2.925 3.249 2.661 2.054 3.375 2.088 1.534 2.737 2.550
[3,] 2.549 1.806 3.546 3.591 3.025 2.335 4.161 2.388 1.762 3.837 3.330
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.834 1.269 2.092 0.8862 2.095 1.040 1.593 1.564 1.775 2.782 1.185
[2,] 2.612 2.270 2.531 1.0331 2.760 1.208 2.063 2.105 2.582 3.705 1.484
[3,] 3.215 3.037 2.917 1.1841 3.591 1.338 2.482 2.437 3.016 4.485 1.647
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.276 1.466 2.098 0.9591 3.542 3.151 3.213 2.985 3.067 2.722 2.452
[2,] 3.260 1.930 2.981 1.1930 4.645 3.925 3.787 3.830 4.046 3.901 3.407
[3,] 3.812 2.198 3.796 1.3939 5.264 4.485 4.344 4.345 4.670 4.522 4.096
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6308 2.549 1.987 2.519 1.315 1.293 0.8207 1.554 1.855 3.997 3.481
[2,] 0.7955 3.239 2.693 3.414 1.667 1.709 0.9989 2.638 2.192 4.814 4.339
[3,] 0.8916 4.252 3.354 4.298 1.914 2.003 1.1495 3.115 2.541 5.456 5.137
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.519 1.200 1.351 1.101 1.643 1.138 1.478 6.029 6.133 4.058
[2,] 2.023 1.974 1.997 1.872 2.000 1.462 1.970 7.147 9.145 5.056
[3,] 2.291 2.439 2.592 2.537 2.457 1.623 2.312 7.986 11.398 6.368
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.354 2.034 7.435 4.622 4.639 0.8344 1.77 5.08
[2,] 618.130 255.179 1009.903 796.362 969.150 125.1887 291.17 796.39
[3,] 537.806 274.606 1020.731 955.790 912.986 118.1951 315.86 739.56
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.165 4.455 2.414 3.433 2.903 3.076 4.434 3.771
[2,] 774.789 889.029 464.082 632.181 394.314 557.704 781.045 557.845
[3,] 796.562 835.531 396.723 437.942 377.494 491.961 725.154 551.564
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.081 3.714 6.263 3.988 8.221 3.236 8.368 4.973
[2,] 605.299 788.313 1022.900 814.959 958.437 392.143 2528.094 813.691
[3,] 648.385 595.866 917.662 701.448 934.430 395.687 1587.679 1084.278
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.34 4.447 5.014 2.968 4.139 1.159 4.762 3.219
[2,] 174.64 871.219 942.732 477.004 807.682 189.533 849.877 430.775
[3,] 162.06 1031.452 919.336 469.590 941.688 177.161 977.703 488.081
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.849 4.502 4.014 4.831 3.741 2.556 2.384 0.9857
[2,] 292.291 899.057 916.051 882.994 559.447 524.068 365.751 128.6067
[3,] 269.075 812.534 790.764 653.151 473.051 499.568 342.933 130.2244
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.823 0.9455 3.229 2.774 2.414 1.562 2.62 3.316
[2,] 426.053 129.7068 571.270 643.297 328.567 253.756 548.60 511.301
[3,] 427.363 152.2433 528.566 560.127 306.428 240.801 530.28 404.541
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.818 1.933 2.843 2.164 1.68 2.492 2.176 2.329
[2,] 388.672 365.067 668.295 319.195 205.10 504.800 499.544 491.845
[3,] 380.265 293.683 643.656 306.330 229.45 711.335 566.457 496.050
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.611 2.657 1.125 2.66 1.32 2.023 1.986 2.254 3.533
[2,] 497.950 376.991 140.507 475.41 162.83 346.830 372.842 495.931 647.088
[3,] 533.779 383.255 153.063 608.03 152.40 364.788 324.634 412.678 668.640
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.505 2.89 1.862 2.664 1.218 4.498 4.002 4.08 3.791
[2,] 236.559 617.57 332.078 560.461 187.689 794.945 618.875 530.06 634.683
[3,] 188.652 522.76 278.379 621.831 190.722 655.466 574.160 563.30 542.888
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 3.895 3.457 3.114 0.801 3.236 2.523 3.199 1.67
[2,] 698.072 739.328 625.803 128.238 528.763 480.815 609.556 270.92
[3,] 617.068 605.046 601.444 106.509 728.697 528.965 690.588 248.88
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.642 1.042 1.974 2.356 5.076 4.42 1.929 1.524
[2,] 295.583 150.643 563.722 308.981 709.893 685.46 353.390 414.710
[3,] 276.308 150.451 438.506 339.781 679.000 727.46 284.268 378.788
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.715 1.398 2.086 1.445 1.877 7.656 7.788 5.153
[2,] 389.210 400.424 301.950 243.056 344.702 1015.648 1794.694 797.724
[3,] 437.041 453.087 377.574 186.437 320.254 942.705 1799.647 1024.130
[1] "--- VAR model 2017-10-03 03:01:00 completed"
[1] "Completed training sample: 2017-10-03 03:01:00 - 2017-10-03 11:00:00"
[1] "SpVAR; training sample: 2017-10-03 03:31:00 - 2017-10-03 11:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
20.0223 1.771 10.462 -0.9241
-8.0189 -1.830 -4.859 -8.6365
-0.6172 4.840 0.149 0.2004
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.789 0.2448 -2.918 -9.326
1.631 -1.7787 9.820 4.856
7.950 3.1688 -5.821 -6.098
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.776 4.090 4.4087 -26.438
15.935 2.909 -0.7208 -24.688
-5.151 6.332 7.7633 -5.034
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.405 3.178 9.723 38.41
-2.863 5.535 3.188 29.75
-12.437 4.946 -1.577 34.67
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
28.63 11.441 6.777 20.479
-9.29 7.287 6.996 22.327
2.67 -6.032 24.241 9.485
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.504 -0.7191 -38.28 6.032
12.478 3.4481 34.41 -8.630
-2.511 9.1042 -23.05 -4.450
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.9195 12.13 -2.868 -12.200
1.7093 -14.70 9.787 5.608
-3.7973 12.41 7.501 -2.705
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.527 -1.919 -4.190 -3.8764
-10.417 -3.832 -5.759 -7.7696
4.028 0.432 -11.497 0.9576
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.06082 -29.553 -6.8823 8.679
0.05268 3.944 -8.4464 -11.554
-2.17807 8.966 -0.5649 11.949
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.353 2.008 6.690 -1.8673
-2.745 -4.421 11.155 0.8074
6.681 2.760 -2.365 -2.1103
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.094 2.387 -0.6084 -3.187
2.182 -5.604 9.8411 -3.520
-7.076 1.427 -1.9078 -2.497
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.392 -2.406 -3.988 5.54
9.068 2.357 -6.165 -10.67
9.958 6.316 -1.123 16.48
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.765 -0.8789 -8.564 8.857
10.463 0.8831 3.533 3.490
3.509 8.2364 -6.318 9.822
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.482 -6.0185 12.894 5.473
3.547 1.1173 2.674 8.376
2.250 -0.8455 1.208 -5.481
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.391 3.176 3.9732 -2.971
14.013 -4.431 0.2336 5.766
3.089 6.055 3.6617 10.395
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1633 -6.497 -1.602 -6.8063
-3.8342 2.607 -2.187 4.4755
-3.6938 6.522 -1.657 0.4459
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.283 -4.024 -5.095 -4.1046
-12.939 8.193 -8.791 3.2976
0.466 -2.042 4.760 -0.9159
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.928 -4.837 18.733 1.496
2.866 3.358 -1.483 -4.556
1.004 -4.165 7.688 2.832
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.246 -8.1021 -0.8238 -6.557
-10.516 16.1292 10.7462 8.320
6.765 0.1997 5.7042 -5.819
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.025 -2.404036 -2.762 -0.635
-4.195 -0.406775 -3.002 -7.905
2.611 -0.007988 11.532 -6.220
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.497 -7.2117 -0.1584 1.392
-6.969 -1.2714 -4.2836 4.010
-3.405 0.4007 3.4137 4.577
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.203 -0.2057 15.177 18.9797
-8.076 -2.0214 9.212 16.7496
6.640 7.1976 13.676 0.3313
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.597 -4.750 -11.700 -10.258
2.886 7.615 9.922 1.330
-8.499 -0.636 1.769 -0.591
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.3188 -5.234 1.8550 4.600
5.1654 5.875 1.2405 1.608
0.6116 4.267 0.9651 -13.738
rnd_95776.volume rnd_95787.volume
6.198 8.050
19.334 -5.730
-16.893 5.874
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.964 1.848 6.353 3.829 3.889 0.7557 1.528 4.224 4.474 3.840 2.088
[2,] 3.778 2.145 7.568 5.106 5.396 0.9141 1.894 5.224 5.448 5.276 2.899
[3,] 4.293 2.371 8.502 6.434 6.445 1.0207 2.238 5.915 6.291 6.182 3.322
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.934 2.530 2.753 3.638 3.143 3.474 3.174 5.347 3.397 6.983 2.682
[2,] 3.964 2.986 3.721 4.938 3.892 4.458 4.488 6.701 4.742 7.937 3.071
[3,] 4.369 3.370 4.170 5.611 4.513 5.181 5.158 7.785 5.494 8.767 3.497
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.351 4.384 1.201 3.862 4.260 2.542 3.571 1.001 4.094 2.767 1.708
[2,] 12.817 5.682 1.368 5.356 5.726 3.245 4.881 1.260 5.191 3.291 2.124
[3,] 14.565 7.068 1.511 7.007 6.916 3.738 6.245 1.427 6.565 3.815 2.392
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.845 3.438 4.133 3.300 2.317 1.969 0.9552 2.528 0.8601 2.780 2.431
[2,] 5.173 4.954 5.257 4.021 3.211 2.542 1.0914 3.117 1.0236 3.659 3.547
[3,] 6.219 5.806 5.814 4.459 3.854 2.890 1.2023 3.538 1.2078 4.261 4.279
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.053 1.318 2.304 2.782 2.603 1.673 2.512 1.940 1.433 2.180 1.964
[2,] 2.459 1.656 3.201 3.475 3.038 2.186 3.741 2.410 1.617 2.967 2.751
[3,] 2.715 1.880 3.858 3.839 3.365 2.477 4.612 2.679 1.866 4.235 3.571
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.976 1.422 2.375 0.9841 2.388 1.180 1.812 1.781 1.947 3.038 1.266
[2,] 2.792 2.611 2.848 1.1342 3.123 1.356 2.363 2.280 2.848 4.053 1.563
[3,] 3.402 3.322 3.256 1.2756 3.997 1.518 2.818 2.631 3.328 4.775 1.746
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.597 1.828 2.234 1.053 3.754 3.498 3.620 3.272 3.449 3.079 2.679
[2,] 3.537 2.198 3.189 1.277 4.961 4.231 4.304 4.188 4.470 4.282 3.734
[3,] 4.166 2.494 4.022 1.541 5.569 4.842 4.811 4.788 5.126 4.905 4.444
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7147 2.747 2.238 2.915 1.450 1.443 0.9152 1.711 2.170 4.411 3.847
[2,] 0.8915 3.544 2.941 3.790 1.801 1.927 1.1385 2.837 2.558 5.358 4.803
[3,] 0.9988 4.622 3.584 4.672 2.066 2.217 1.2977 3.351 2.848 5.972 5.580
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.706 1.263 1.462 1.240 1.753 1.363 1.762 6.101 6.592 4.390
[2,] 2.190 2.121 2.170 2.068 2.138 1.681 2.255 7.195 10.279 5.604
[3,] 2.496 2.631 2.753 2.756 2.555 1.880 2.561 7.982 12.886 6.930
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.763 2.347 8.067 4.863 4.939 0.9597 1.941 5.364
[2,] 526.773 244.832 924.465 759.026 840.736 115.5904 251.415 691.079
[3,] 458.247 226.943 870.695 879.899 792.423 102.1052 268.097 623.466
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.681 4.876 2.651 3.726 3.213 3.496 4.619 3.991
[2,] 698.812 813.244 452.102 599.083 356.604 562.804 750.542 516.034
[3,] 707.146 724.092 364.734 412.881 350.893 423.115 598.872 513.501
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.411 4.03 6.79 4.314 8.868 3.405 9.335 5.568
[2,] 628.117 713.43 908.04 743.739 847.679 336.436 2360.169 812.411
[3,] 593.242 571.42 890.70 623.574 837.221 376.132 1554.998 944.776
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.525 4.904 5.41 3.228 4.535 1.271 5.199 3.514
[2,] 147.277 834.215 859.96 453.198 747.965 172.170 717.275 400.497
[3,] 144.415 1015.291 871.89 417.267 875.458 150.610 903.483 433.927
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.169 4.883 4.365 5.248 4.19 2.943 2.5 1.213 3.211
[2,] 283.879 777.731 801.671 730.337 516.48 499.672 361.5 118.713 409.681
[3,] 247.301 776.110 680.820 558.501 433.02 478.965 308.8 113.362 376.310
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.092 3.53 3.087 2.607 1.673 2.926 3.533 3.306
[2,] 124.754 534.94 580.489 303.984 225.604 499.548 467.820 352.155
[3,] 144.090 490.79 537.949 258.986 200.005 484.129 366.842 325.118
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.124 3.189 2.464 1.819 2.769 2.493 2.51 1.806
[2,] 316.409 623.293 321.441 168.803 452.344 433.160 443.38 492.145
[3,] 261.534 606.309 262.730 209.296 679.137 511.818 437.00 461.725
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.016 1.25 3.032 1.499 2.301 2.262 2.472 3.858
[2,] 353.127 126.71 452.417 149.909 340.811 319.766 467.281 602.967
[3,] 354.570 131.25 560.839 153.678 345.335 295.043 386.931 567.782
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.608 3.298 2.321 2.837 1.337 4.767 4.442 4.596
[2,] 205.918 539.881 274.416 511.641 162.661 729.043 535.064 523.401
[3,] 175.070 494.664 265.028 550.639 193.793 569.110 529.180 483.333
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.155 4.379 3.91 3.402 0.9075 3.489 2.842 3.702
[2,] 587.454 639.198 668.70 584.650 119.8023 503.287 428.840 544.306
[3,] 521.788 564.248 537.75 541.725 101.2384 667.028 460.588 614.288
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.842 1.832 1.162 2.172 2.756 5.602 4.885 2.167
[2,] 239.993 287.134 152.210 508.755 304.451 683.354 646.331 308.392
[3,] 227.704 246.210 140.028 400.872 281.491 593.167 638.632 269.512
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.604 1.857 1.575 2.226 1.731 2.237 7.747 8.37
[2,] 382.988 360.303 371.895 275.160 220.895 316.337 857.445 1772.82
[3,] 349.756 380.945 409.689 314.521 189.384 272.942 776.700 1746.99
[,98]
[1,] 5.574
[2,] 782.910
[3,] 916.409
[1] "--- VAR model 2017-10-03 03:31:00 completed"
[1] "Completed training sample: 2017-10-03 03:31:00 - 2017-10-03 11:30:00"
[1] "SpVAR; training sample: 2017-10-03 04:01:00 - 2017-10-03 12:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.7238 8.698 -0.3628 7.256
-11.2837 -3.162 -7.1837 9.193
-0.4448 1.681 17.2701 -16.862
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.0870 2.6388 -1.183 -27.676
-7.1105 -1.0314 2.702 -2.795
0.8929 0.2952 2.282 -5.039
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-13.874 2.295 -4.115 -7.950
6.272 -14.192 -3.163 -15.693
-11.652 -4.323 -6.037 -8.654
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.357 -1.181 -0.2852 18.78
2.760 2.598 -9.0764 15.91
-5.528 9.161 14.6142 18.04
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
14.57 0.536 9.734 11.23
13.28 5.543 2.052 8.46
11.51 9.637 30.073 7.78
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
11.296 7.420 -27.901 7.42
-6.053 -1.174 -13.317 -22.39
8.525 8.582 -9.941 2.79
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.2927 0.239 -5.126 -5.08841
-2.4462 -24.616 -0.276 -0.14405
-0.8509 11.076 2.896 -0.09992
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.274 2.171 3.730 -4.3008
14.712 -1.217 4.695 0.6006
-14.886 1.514 5.416 -1.7635
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.018 7.271 -14.058 -7.529
6.259 -17.364 1.343 -1.844
2.768 6.166 7.645 -12.210
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.8666 3.013 -5.789 -4.6727
-0.7143 -3.712 5.772 -0.8618
15.5312 12.665 -4.426 -2.2708
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-10.155 1.6991 -8.716 -4.29680
-3.344 0.8678 -3.556 -26.72912
2.161 -1.6261 -5.465 -0.07869
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.835 -2.7214 4.654 11.664
2.859 0.6565 -2.454 1.971
3.152 1.6338 -8.574 6.968
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.583 -3.364 -1.958 11.936
3.462 2.127 14.190 1.987
11.459 1.676 7.953 4.201
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.275 -0.6242 -16.375 4.442
-1.888 -10.5410 -3.209 -5.467
3.157 20.2617 10.858 -5.153
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
10.125 11.377 -0.7947 -8.983
-11.627 -2.169 0.8943 21.064
-6.143 5.384 -4.0000 -7.873
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.061 -1.0807 -5.662 3.608
-2.670 1.6702 10.817 -3.025
-3.507 0.8862 5.919 16.950
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.135 -1.610 -5.974 -10.357
-3.796 7.257 -1.203 3.903
17.673 -1.884 6.349 4.163
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.211 5.0898 -8.650 7.352
-5.783 -0.4583 -1.576 -2.406
2.786 1.4062 16.962 -3.155
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.007 -7.3308 3.940 -13.818
12.768 -13.9484 4.738 5.802
3.202 -0.3591 4.440 -1.348
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.383 0.3264 9.964 3.0784
-5.211 -0.8927 -8.457 0.8159
5.659 1.2006 5.514 7.1092
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.1357 5.8811 5.273 0.5289
5.6002 -0.6823 1.323 2.4520
0.1135 0.2945 1.197 -0.5139
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.2374 8.719 2.989 10.471
4.7529 1.840 11.505 -11.364
0.6172 2.213 -4.263 8.438
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.896 0.2848 0.5148 1.3389
-1.441 -5.1724 -0.9944 2.8817
1.986 2.2637 -1.4372 -0.7504
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.4957 3.779 7.4460 -10.9062
11.2769 -3.064 1.9597 0.2446
-5.8319 3.066 0.9298 -7.8295
rnd_95776.volume rnd_95787.volume
-14.468 6.038
36.150 -17.783
1.106 1.937
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.418 2.053 6.955 4.186 4.316 0.8604 1.684 4.657 4.882 4.007 2.285
[2,] 4.190 2.401 8.216 5.412 5.723 1.0257 2.029 5.608 5.901 5.538 3.138
[3,] 4.659 2.620 9.192 6.640 6.753 1.1400 2.372 6.312 6.637 6.511 3.598
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.059 2.646 2.930 3.803 3.378 3.712 3.343 6.097 3.677 7.502 2.880
[2,] 4.052 3.138 3.992 5.192 4.085 4.621 4.737 7.461 5.035 8.522 3.262
[3,] 4.497 3.567 4.411 5.807 4.749 5.334 5.432 8.329 5.797 9.305 3.691
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.937 4.679 1.311 4.111 4.651 2.830 3.883 1.105 4.363 3.088 1.818
[2,] 13.700 6.130 1.488 5.667 6.207 3.490 5.292 1.363 5.580 3.673 2.237
[3,] 15.429 7.572 1.640 7.391 7.585 3.965 6.549 1.551 6.729 4.182 2.491
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.973 3.816 4.459 3.584 2.652 2.200 1.067 2.747 0.9575 3.049 2.551
[2,] 5.474 5.253 5.792 4.201 3.458 2.742 1.185 3.284 1.1614 3.960 3.872
[3,] 6.417 6.127 6.385 4.662 4.182 3.071 1.314 3.697 1.3390 4.507 4.609
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.143 1.465 2.553 3.048 2.925 1.800 2.845 2.032 1.490 2.525 2.036
[2,] 2.591 1.809 3.544 3.772 3.439 2.323 4.150 2.528 1.733 3.294 2.911
[3,] 2.852 2.023 4.243 4.152 3.798 2.633 5.158 2.830 1.994 4.654 3.870
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.115 1.474 2.622 1.088 2.536 1.239 2.073 1.966 2.049 3.340 1.422
[2,] 3.074 2.678 3.088 1.207 3.411 1.472 2.617 2.616 3.045 4.404 1.681
[3,] 3.658 3.517 3.441 1.353 4.296 1.643 3.067 2.946 3.559 5.155 1.874
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.967 2.007 2.213 1.151 4.216 3.955 3.828 3.516 3.874 3.499 2.860
[2,] 3.985 2.413 3.385 1.409 5.266 4.948 4.568 4.614 4.892 4.720 4.138
[3,] 4.586 2.708 4.317 1.669 5.946 5.420 5.077 5.108 5.599 5.331 4.780
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8014 2.934 2.391 3.143 1.671 1.590 1.001 2.027 2.431 4.856 4.126
[2,] 0.9709 3.829 3.124 3.972 2.039 2.064 1.257 3.289 2.853 5.810 5.178
[3,] 1.0850 5.077 3.759 4.933 2.292 2.373 1.447 3.728 3.122 6.404 6.096
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.790 1.332 1.608 1.390 1.931 1.567 2.009 5.459 6.937 4.605
[2,] 2.287 2.271 2.347 2.197 2.344 1.870 2.510 6.626 11.205 6.115
[3,] 2.581 2.733 2.924 2.932 2.826 2.096 2.838 7.515 13.886 7.450
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.34 2.607 8.831 5.316 5.48 1.093 2.138 5.914 6.2
[2,] 477.57 245.426 862.082 675.961 740.52 110.025 223.037 615.392 653.2
[3,] 401.63 206.729 812.317 757.971 706.29 98.058 242.026 571.068 598.6
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.088 2.902 3.884 3.359 3.721 4.829 4.289 4.714
[2,] 753.324 423.647 523.755 332.555 534.323 696.627 452.800 542.080
[3,] 674.697 346.772 384.345 334.095 369.614 512.352 477.282 525.050
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.246 7.742 4.669 9.526 3.657 10.08 5.942 1.665
[2,] 661.319 847.525 677.758 796.785 301.713 2200.27 780.268 138.672
[3,] 523.591 729.387 566.181 736.382 340.396 1398.50 875.862 135.623
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.221 5.905 3.594 4.931 1.403 5.541 3.921 2.309
[2,] 768.365 810.042 402.587 708.489 157.241 685.304 391.867 256.787
[3,] 934.934 858.949 370.698 760.212 145.882 741.055 394.010 215.924
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.045 4.846 5.662 4.551 3.368 2.794 1.355 3.488
[2,] 742.011 711.151 728.492 432.172 437.220 322.376 101.411 354.914
[3,] 659.698 621.468 529.390 398.014 463.345 272.588 112.085 334.210
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.216 3.872 3.24 2.722 1.86 3.242 3.87 3.714 2.286
[2,] 129.538 497.877 573.92 286.705 209.27 484.364 437.77 356.496 289.251
[3,] 131.292 423.916 492.48 234.936 178.49 459.765 342.16 317.868 244.254
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 3.612 2.58 1.892 3.206 2.585 2.686 1.872 3.33 1.382
[2,] 595.398 296.43 174.361 416.881 409.863 439.426 440.559 321.28 103.017
[3,] 603.477 250.49 194.171 647.934 502.443 390.861 449.223 299.09 120.248
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.22 1.574 2.632 2.496 2.602 4.242 1.805 3.768
[2,] 449.46 156.691 314.732 340.033 443.845 565.604 176.722 523.988
[3,] 514.66 143.832 315.200 267.039 363.210 528.068 163.202 447.441
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.548 2.811 1.461 5.353 5.022 4.86 4.465 4.92 4.443
[2,] 264.112 504.754 160.113 621.636 585.950 491.43 588.882 588.62 624.272
[3,] 242.117 527.797 176.239 544.427 435.574 436.24 431.567 536.34 488.189
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 3.632 1.018 3.725 3.036 3.991 2.122 2.019 1.272
[2,] 589.196 107.995 484.764 396.114 478.454 230.364 259.478 149.571
[3,] 471.637 95.424 656.897 411.940 576.435 206.181 230.588 141.250
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 2.574 3.087 6.166 5.24 2.274 1.691 2.042 1.765
[2,] 510.328 294.499 628.504 616.50 280.463 362.498 336.936 335.379
[3,] 346.091 249.407 531.072 633.86 235.601 299.716 343.550 382.561
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.453 1.99 2.551 6.932 8.809 5.847
[2,] 261.871 201.08 296.380 740.037 1733.903 792.833
[3,] 311.095 186.53 261.089 698.334 1616.013 838.491
[1] "--- VAR model 2017-10-03 04:01:00 completed"
[1] "Completed training sample: 2017-10-03 04:01:00 - 2017-10-03 12:00:00"
[1] "SpVAR; training sample: 2017-10-03 04:31:00 - 2017-10-03 12:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.6295 9.2205 -8.3462 -17.774
-2.3197 3.4414 0.7663 -9.587
-7.1815 -0.4028 5.2197 -15.957
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.967 3.682 -11.1490 -0.7928
-17.648 -1.254 -0.9877 4.0542
-15.379 3.102 2.5835 -5.8863
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.0493 -4.242 -3.9170 -27.03
6.2946 -1.604 0.5885 -25.63
10.7855 14.920 9.4843 -15.87
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.192 1.275 -4.535 24.51
-10.882 -7.645 -10.659 37.80
-1.800 -14.236 -13.295 26.18
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.3475 -12.853 -21.4242 7.798
0.3364 1.640 4.0100 -2.234
6.1737 -2.098 0.3109 7.052
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.4284 -9.300 -35.722 5.723
-18.9990 1.519 -19.931 -29.775
0.9469 -3.206 -3.354 -8.694
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.3409 5.223 -23.873 -1.3130
-3.1584 -23.779 3.201 0.5243
0.2583 -13.195 -16.843 1.7919
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.881 2.3547 3.429 -7.070
-12.863 -2.3525 -8.225 1.052
-19.608 0.6705 -5.334 2.325
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.9746 -15.160 5.618 -9.452
3.6931 -8.418 -19.903 -29.133
-3.9859 2.394 -11.318 -6.776
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
30.62 11.36 22.435 -0.8382
12.45 16.99 1.820 2.4995
12.42 11.04 4.132 2.9634
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.458 1.913 -10.267 -21.58
-4.261 -1.474 -3.961 -13.50
2.071 1.419 -14.128 -16.52
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.067 -0.9842 1.081 -0.81326
4.983 -2.1072 -17.143 -5.79717
13.732 2.7924 -11.569 0.06233
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.507 3.0870 0.8770 7.577
-2.684 4.9908 0.9071 14.951
-2.644 -0.7251 -11.8600 12.841
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.231 -6.1176 -1.317 3.818
-1.641 -0.3929 4.222 2.905
2.703 4.9436 2.942 -5.100
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.1076 5.461 -3.7585 5.573
0.7149 9.729 1.8125 -3.495
0.7076 -5.994 0.6456 2.320
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.761 4.952 -7.674 -3.244
-3.774 -4.351 1.825 -6.447
-8.191 0.290 -5.160 1.368
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.2476 -1.859 4.033 -4.180
-11.0829 0.783 -7.485 -3.355
0.8169 -2.802 -3.400 6.597
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.671 -3.725 0.3258 7.297
-4.025 4.760 4.5139 7.705
-11.661 2.154 -8.5689 11.007
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-13.182 9.578 -10.75 -9.590
-9.635 2.859 -15.61 2.936
-8.099 2.987 -15.14 -2.389
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.209 0.9453 17.1694 1.113
4.755 1.2086 0.8018 -11.596
-5.873 -1.6683 6.3110 -1.520
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.077 -0.2586 2.675 0.7391
4.206 1.6552 -7.264 1.4394
1.427 -2.1415 2.504 -0.5187
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.228 13.870 -6.740 -1.899
18.433 5.541 -9.454 6.873
10.920 7.571 -10.931 -2.609
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
8.1127 4.409 -0.2949 -4.447
-3.9996 5.136 -1.3299 1.917
0.2361 -3.363 -0.5038 3.285
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.342 -1.25396 7.648 14.316
2.957 -0.09164 9.269 2.614
-1.478 4.80063 2.297 -2.043
rnd_95776.volume rnd_95787.volume
0.7348 -5.683
-4.7881 -26.778
-44.6424 -3.695
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.572 2.238 7.388 4.383 4.695 0.9516 1.768 5.066 5.275 4.279 2.443
[2,] 4.396 2.597 8.593 5.649 6.249 1.1311 2.106 5.964 6.292 5.959 3.301
[3,] 4.898 2.806 9.482 6.934 7.190 1.2534 2.465 6.594 6.951 6.824 3.716
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.198 2.827 3.076 4.697 3.567 3.829 3.490 6.190 4.011 7.821 2.923
[2,] 4.238 3.414 4.105 6.175 4.362 4.845 4.911 7.534 5.251 8.824 3.352
[3,] 4.711 3.847 4.575 6.957 4.988 5.593 5.647 8.495 6.093 9.667 3.831
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.761 5.068 1.450 4.374 5.032 2.989 4.146 1.188 4.619 3.273 1.914
[2,] 14.679 6.530 1.634 5.925 6.549 3.624 5.613 1.444 5.846 3.893 2.339
[3,] 16.294 8.068 1.783 7.856 7.987 4.136 6.858 1.636 7.032 4.439 2.615
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.641 4.214 4.902 3.784 2.782 2.661 1.201 3.093 1.058 3.150 2.713
[2,] 6.006 5.786 6.261 4.439 3.681 3.156 1.319 3.616 1.250 4.172 4.062
[3,] 6.889 6.635 6.912 4.996 4.431 3.493 1.468 4.021 1.422 4.742 4.831
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.407 1.515 2.702 3.275 3.171 1.942 2.979 2.257 1.598 2.794 2.302
[2,] 2.878 1.883 3.820 4.090 3.756 2.457 4.525 2.726 1.848 3.621 3.159
[3,] 3.126 2.092 4.502 4.497 4.103 2.740 5.588 3.055 2.123 5.138 4.267
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.380 1.573 2.960 1.104 2.616 1.311 2.201 2.257 2.303 3.472 1.542
[2,] 3.463 2.957 3.428 1.247 3.717 1.556 2.782 2.853 3.370 4.756 1.816
[3,] 4.106 3.787 3.794 1.393 4.654 1.743 3.242 3.166 3.866 5.441 2.017
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.135 2.189 2.434 1.219 4.444 4.107 4.298 3.837 4.248 3.781 3.036
[2,] 4.234 2.621 3.705 1.494 5.559 5.077 4.956 5.035 5.301 5.086 4.365
[3,] 4.875 2.949 4.624 1.759 6.224 5.611 5.495 5.588 6.018 5.669 5.030
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8943 3.170 2.641 3.358 1.929 1.774 1.151 2.271 2.624 5.322 4.523
[2,] 1.0472 4.089 3.323 4.253 2.275 2.249 1.409 3.570 3.052 6.162 5.637
[3,] 1.1697 5.346 3.941 5.235 2.517 2.566 1.599 4.012 3.325 6.817 6.521
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.920 1.437 1.715 1.463 2.074 1.708 2.178 5.077 7.518 4.921
[2,] 2.426 2.346 2.484 2.341 2.535 2.043 2.767 6.215 12.170 6.482
[3,] 2.729 2.820 3.033 3.013 3.045 2.295 3.098 7.147 14.934 7.863
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.536 2.842 9.382 5.566 5.962 1.208 2.245 6.433
[2,] 459.686 236.203 787.218 639.185 739.841 109.695 205.181 564.643
[3,] 387.502 190.641 719.199 721.462 637.935 96.868 229.734 504.469
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.698 5.433 3.103 4.061 3.59 3.906 5.965 4.529
[2,] 615.331 744.057 398.276 498.951 343.26 487.633 719.138 450.522
[3,] 530.034 596.542 305.958 368.788 318.33 362.524 574.777 433.809
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.862 4.432 7.861 5.093 9.932 3.711 11.12 6.435
[2,] 532.466 619.846 770.543 607.819 732.709 294.662 2112.84 738.740
[3,] 501.489 500.029 703.980 554.441 708.428 332.452 1269.03 850.065
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 1.842 5.554 6.39 3.795 5.265 1.509 5.865 4.156 2.43
[2,] 134.967 717.026 751.80 367.541 678.821 147.214 642.801 378.002 241.26
[3,] 127.912 925.401 820.17 357.646 706.641 138.043 701.211 382.798 209.82
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.893 5.351 6.224 4.805 3.533 3.379 1.525 3.927
[2,] 683.867 711.093 698.821 416.251 432.509 304.496 97.846 336.012
[3,] 605.625 582.859 525.362 411.529 442.502 268.656 115.408 315.441
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.344 4.0 3.445 3.057 1.923 3.431 4.159 4.027 2.466
[2,] 119.138 490.7 542.387 283.124 200.733 484.496 439.536 361.025 269.870
[3,] 121.922 404.5 468.959 218.607 163.318 427.298 335.453 296.286 217.667
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.783 2.866 2.029 3.548 2.924 3.022 1.998 3.759
[2,] 611.133 274.405 166.647 413.294 388.114 451.371 449.207 310.125
[3,] 588.178 247.194 187.587 653.908 514.508 395.867 424.296 291.807
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.402 3.321 1.665 2.795 2.866 2.925 4.409 1.958
[2,] 103.819 473.781 150.118 305.196 312.878 441.329 583.067 172.152
[3,] 111.442 502.431 140.937 298.597 246.366 339.627 474.180 157.278
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.981 2.78 3.091 1.548 5.643 5.216 5.458 4.872
[2,] 510.579 258.43 501.016 154.991 599.259 535.360 442.710 584.853
[3,] 433.541 242.65 496.377 166.529 502.088 428.496 425.748 435.013
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.394 4.802 3.856 1.136 4.025 3.354 4.265 2.45 2.253
[2,] 568.735 610.086 562.584 97.727 463.233 361.765 468.087 216.15 247.973
[3,] 511.180 449.525 448.487 93.516 617.910 380.201 547.499 193.15 221.642
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.462 2.884 3.332 6.758 5.743 2.438 1.825 2.178
[2,] 145.823 494.105 279.728 557.428 603.430 266.114 332.642 322.302
[3,] 135.394 328.489 236.678 522.764 588.347 223.880 280.746 312.318
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.858 2.634 2.169 2.766 6.447 9.547 6.248
[2,] 327.823 261.439 201.036 306.014 643.314 1716.703 757.067
[3,] 340.184 302.591 187.717 249.990 632.825 1552.860 798.499
[1] "--- VAR model 2017-10-03 04:31:00 completed"
[1] "Completed training sample: 2017-10-03 04:31:00 - 2017-10-03 12:30:00"
[1] "SpVAR; training sample: 2017-10-03 05:01:00 - 2017-10-03 13:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.7708 -0.3775 21.200 -9.630
0.6807 5.3511 2.977 -16.648
3.7902 -2.5883 15.838 -1.311
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
13.3275 1.375 -1.898 -17.025
0.6558 1.570 -1.069 -3.682
-29.0370 1.878 6.285 -4.018
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
12.460 9.3688 -3.7350 -13.18
-5.180 -2.9366 10.2263 -12.91
-5.967 0.4558 -0.4314 -19.06
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.09123 1.907 6.391 22.14
-15.57938 5.185 -10.002 44.86
-2.65846 -6.350 1.115 31.86
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8782 -8.142 18.21 15.908
-6.9124 -4.586 13.74 6.958
-6.4622 4.001 10.80 5.877
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.726 -4.356 -16.09 11.764
13.232 5.951 11.20 7.418
-0.211 4.507 16.68 11.845
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.0245 -7.958 -6.243 5.839
-0.5549 8.525 -4.311 14.077
2.6222 5.073 -5.489 -5.130
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-17.967 2.304 -7.394 3.949
-14.823 2.787 -7.915 4.390
2.151 3.042 -2.754 4.344
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.359 4.897 10.417 4.637
-4.188 -10.358 2.134 -13.556
2.505 1.296 -26.524 -15.312
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.793 -9.5021 -1.9940 3.5558
-2.339 0.1113 -0.1536 0.8862
3.676 5.1033 -7.3733 2.6356
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.187 -2.697 -16.213 -15.87
1.430 1.523 -12.573 -24.89
-3.671 5.183 -8.838 -14.23
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.732 -7.1021 -16.30 -3.570
1.127 -0.3514 -26.09 4.127
-7.347 3.4403 -18.03 4.423
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.6018 -2.614 -16.568 5.15822
8.5706 -2.806 -5.131 0.05948
-1.7925 -6.047 -1.910 3.93503
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-8.067 -21.563 -1.396 5.787
0.716 4.983 -10.687 -9.056
1.277 -10.470 -3.579 3.515
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.2795 20.75 1.5529 6.791
2.1378 10.46 0.4898 11.680
-9.8662 15.36 2.6097 8.782
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.584 -1.5731 -1.8154 0.8854
-9.181 5.6750 0.4615 1.9435
-3.863 -0.8099 10.9091 7.2180
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.51673 7.093 6.7133 1.29894
0.08176 4.734 0.1409 0.03539
12.70834 -3.691 9.0702 -2.50757
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
14.769 0.9906 1.494 -0.2591
2.162 -2.3511 14.110 2.4036
6.854 2.5869 10.327 3.3022
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.49293 16.792 -4.004 -1.131
0.03516 -2.832 8.812 11.294
-2.97653 12.721 16.464 16.683
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.996 3.392 3.770 11.999
12.201 -4.175 15.598 14.131
8.406 2.469 6.724 5.641
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.126 2.099 0.635 -0.8237
23.732 6.394 -5.067 -0.1623
5.410 6.413 -2.569 -3.3090
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.112 2.9803 7.964 -15.1246
-2.653 9.3768 8.505 -12.6879
11.036 -0.4215 8.373 -0.2248
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4172 -3.743 -2.2860 1.082
-0.3165 1.295 -0.2143 -3.636
0.9238 1.378 3.2937 4.129
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.260 5.9589 2.915 7.468
9.301 -4.5377 4.751 14.188
10.443 0.6796 1.959 11.226
rnd_95776.volume rnd_95787.volume
-5.126 2.341
-25.680 1.822
-44.235 17.162
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.730 2.376 7.686 4.676 4.895 1.016 1.895 5.356 5.358 4.314 2.616
[2,] 4.561 2.691 8.928 6.034 6.454 1.197 2.239 6.204 6.390 6.045 3.474
[3,] 5.059 2.892 9.888 7.391 7.519 1.317 2.620 6.796 7.046 6.968 3.880
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.470 2.983 4.031 5.255 4.962 4.035 3.673 6.522 4.317 8.012 3.076
[2,] 4.446 3.603 4.919 6.706 6.099 5.167 5.060 7.880 5.523 9.093 3.479
[3,] 4.950 4.065 5.408 7.549 7.058 5.766 5.831 8.837 6.491 9.918 3.946
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.263 5.397 1.565 4.492 5.395 3.175 4.281 1.281 4.711 3.407 2.073
[2,] 15.279 6.827 1.785 6.171 6.846 3.866 5.870 1.539 6.084 4.063 2.512
[3,] 16.834 8.209 1.921 8.070 8.448 4.395 7.248 1.769 7.322 4.633 2.838
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.908 4.343 5.044 4.036 3.027 2.888 1.259 3.294 1.161 3.309 2.859
[2,] 6.157 5.863 6.450 4.783 4.055 3.319 1.378 3.817 1.336 4.327 4.311
[3,] 7.107 6.792 7.121 5.323 4.781 3.672 1.552 4.261 1.492 4.941 5.102
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.508 1.630 2.908 3.537 3.340 2.075 3.352 2.390 1.659 2.969 2.439
[2,] 3.012 2.032 4.010 4.360 3.997 2.510 4.960 2.885 1.953 3.872 3.367
[3,] 3.301 2.256 4.773 4.744 4.358 2.788 5.991 3.244 2.250 5.545 4.541
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.453 1.675 3.158 1.187 2.812 1.428 2.450 2.491 2.638 3.662 1.588
[2,] 3.587 3.030 3.651 1.333 3.968 1.663 2.982 3.071 3.663 5.001 1.889
[3,] 4.339 3.921 4.010 1.465 4.833 1.859 3.411 3.402 4.248 5.724 2.099
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.322 2.472 2.639 1.254 4.628 4.422 4.768 4.246 4.483 3.924 3.230
[2,] 4.465 2.943 4.052 1.579 5.707 5.363 5.434 5.463 5.450 5.335 4.585
[3,] 5.133 3.300 5.081 1.837 6.361 5.856 5.930 6.057 6.241 5.944 5.267
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9666 3.305 2.714 3.477 2.030 1.882 1.246 2.408 2.762 5.571 4.957
[2,] 1.1146 4.309 3.421 4.436 2.423 2.377 1.530 3.788 3.140 6.584 6.031
[3,] 1.2599 5.567 4.045 5.442 2.660 2.722 1.725 4.294 3.401 7.277 7.020
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.008 1.557 1.772 1.551 2.340 1.844 2.323 4.359 8.406 5.028
[2,] 2.531 2.526 2.549 2.418 2.777 2.243 2.996 5.384 13.336 6.647
[3,] 2.819 2.981 3.101 3.125 3.289 2.499 3.327 6.091 16.059 7.961
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.736 3.017 9.759 5.938 6.215 1.29 2.406 6.801
[2,] 432.476 208.352 748.545 628.358 693.065 104.28 196.659 516.029
[3,] 360.628 174.350 700.166 703.255 635.772 90.56 224.136 457.240
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.803 5.478 3.322 4.407 3.787 5.119 6.673 6.3 5.123
[2,] 573.694 697.694 376.547 458.041 333.201 464.418 686.293 584.4 531.886
[3,] 489.265 571.210 284.676 358.468 310.047 370.284 571.149 585.1 421.634
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.665 8.282 5.483 10.17 3.907 11.76 6.854 1.987
[2,] 573.495 728.632 567.439 708.56 267.571 2001.96 688.669 141.591
[3,] 477.378 659.091 561.900 652.56 306.763 1164.53 751.239 117.092
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.704 6.851 4.032 5.436 1.627 5.982 4.327 2.632
[2,] 697.152 694.203 363.190 661.786 140.488 634.263 364.791 233.785
[3,] 856.904 815.535 344.555 700.492 143.729 671.190 366.788 217.649
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.233 5.515 6.405 5.126 3.844 3.668 1.599 4.183
[2,] 612.518 648.839 662.530 422.862 444.697 269.316 92.129 317.553
[3,] 584.736 565.098 497.086 385.037 417.284 259.012 117.778 312.277
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.475 4.202 3.631 3.184 2.069 3.692 4.492 4.242
[2,] 108.999 459.438 531.487 275.023 200.047 454.998 419.850 361.775
[3,] 109.253 393.179 449.524 222.517 161.477 426.393 308.194 285.942
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.635 4.257 3.034 2.106 3.77 3.098 3.115 2.127 4.01
[2,] 232.774 602.378 266.221 169.699 409.45 382.261 431.228 415.964 301.85
[3,] 200.118 553.631 244.404 184.084 653.89 502.011 402.261 409.969 273.27
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.507 3.571 1.813 3.111 3.163 3.349 4.651 2.016
[2,] 100.076 461.181 140.533 279.966 295.978 418.869 560.983 168.632
[3,] 100.203 454.547 136.847 272.960 240.984 354.227 459.077 150.682
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.218 3.138 3.351 1.593 5.877 5.615 6.054 5.391
[2,] 491.639 263.239 506.572 158.053 550.135 500.034 429.594 566.334
[3,] 417.216 246.154 505.061 154.559 463.042 387.631 391.135 431.097
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.693 4.982 4.101 1.227 4.197 3.447 4.415 2.577 2.39
[2,] 510.558 595.518 536.145 91.434 455.576 342.980 453.990 217.890 239.13
[3,] 501.123 432.024 427.254 96.803 580.643 355.605 519.404 181.048 218.65
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.582 3.058 3.508 7.074 6.295 2.549 1.977 2.251
[2,] 146.155 481.754 246.058 578.219 565.863 253.937 327.642 301.884
[3,] 131.320 333.011 215.398 510.835 592.055 204.644 260.845 291.047
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.969 2.971 2.341 2.949 5.535 10.67 6.385
[2,] 305.679 246.324 210.322 311.724 520.745 1705.76 716.316
[3,] 326.220 290.308 181.831 238.633 469.319 1473.96 721.976
[1] "--- VAR model 2017-10-03 05:01:00 completed"
[1] "Completed training sample: 2017-10-03 05:01:00 - 2017-10-03 13:00:00"
[1] "SpVAR; training sample: 2017-10-03 05:31:00 - 2017-10-03 13:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-8.973 -2.6996 -16.223 -1.447
2.589 4.8893 3.785 22.025
-2.598 0.8201 -14.761 -11.647
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.437 3.520 3.625 -12.426
-13.979 2.894 3.935 -7.007
9.041 1.968 -2.019 1.915
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.410 10.296 3.906 -18.89
-9.471 -11.686 -2.413 -22.48
4.243 -3.307 8.616 -21.95
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
11.039 -1.235 1.570 34.031
1.551 5.151 7.014 15.690
1.269 -9.623 -11.326 3.532
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.7083 -12.0630 -2.434 -2.526
0.3823 0.7852 1.360 -8.896
-3.6934 -2.4398 27.245 2.038
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-17.95104 -6.9515 -42.147 14.486
-0.09273 1.7384 -55.319 -22.266
-13.29276 -0.8426 -6.092 -8.999
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1328 29.17 32.7528 -5.47422
3.6314 -16.82 -0.8584 0.09806
-3.0409 -12.00 -26.5495 5.31741
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
7.793 -2.4919 -23.994 10.990
24.598 0.7003 30.257 7.752
-14.762 1.2555 8.599 2.955
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.4054 -2.931 -5.374 -0.427
-1.8496 14.433 -1.991 -18.694
2.9406 1.069 11.548 14.451
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
13.609 3.796 2.587 3.896
15.219 12.194 -5.630 1.460
-3.006 3.235 8.749 1.695
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.516 -0.7759 -6.8262 -0.06541
2.751 -0.7405 5.2332 -16.15629
3.438 -1.1116 -0.9777 -3.29510
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.943 0.9389 -0.6499 3.569
4.052 3.6936 -4.8632 -5.704
2.547 -0.5092 -7.7893 11.961
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
15.180 4.53190 -5.214 0.3223
2.323 0.07037 4.831 10.8647
3.586 -2.82619 -6.898 10.5515
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.702 -3.996 7.722 3.086
-1.386 3.028 -6.697 -6.229
5.556 -3.146 1.383 9.049
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.882 13.0561 -0.40861 -1.172
5.938 -0.2058 1.19409 8.306
-6.593 -3.0397 0.05417 9.392
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.0103 4.539 9.184 3.267
-1.5752 4.050 -1.407 2.199
-0.9067 4.180 2.134 3.946
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.688 -1.5433 -7.962 8.3017
2.225 1.2321 14.447 7.2870
1.440 0.4751 -3.622 0.1599
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.321 -2.48598 -4.412 -6.289
10.688 3.93727 -6.945 -5.837
6.433 -0.08319 -4.878 4.414
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.102 0.7468 5.42345 -10.618
-11.274 -15.4778 -6.46396 -14.719
-4.021 -14.3158 0.02394 -4.884
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.9394 0.8607 1.6362 -7.867
8.6828 0.7765 -0.4996 -2.455
-0.6743 0.9305 -1.7931 1.359
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.531 -4.0999 3.815 -0.9787
-10.673 1.6622 -4.750 -0.9678
9.503 0.3436 2.106 0.1107
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.907 -0.6029 18.344 7.961
11.621 2.8424 -11.064 6.674
9.820 1.6551 -7.694 -8.362
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.499 -5.732 1.358 5.354
-3.789 2.728 -2.274 -2.365
1.170 -4.611 1.175 5.410
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
9.210 2.7192 4.918 0.5309
1.801 5.5230 5.987 7.9951
1.471 0.3151 -2.685 3.7683
rnd_95776.volume rnd_95787.volume
44.0700 16.83
0.1706 -20.29
-25.0263 -11.59
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.945 2.408 7.854 4.818 4.943 1.126 1.986 5.481 5.382 4.341 2.756
[2,] 4.747 2.725 9.319 6.307 6.653 1.290 2.308 6.337 6.610 6.098 3.613
[3,] 5.245 2.992 10.224 7.856 7.945 1.421 2.679 6.964 7.333 7.007 4.044
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.641 3.181 4.370 5.360 5.104 4.018 3.853 6.832 4.441 7.535 3.095
[2,] 4.728 3.809 5.295 6.914 6.366 5.242 5.339 8.177 5.708 8.982 3.575
[3,] 5.303 4.215 5.813 7.719 7.297 5.894 6.111 9.152 6.687 9.767 4.021
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.433 5.608 1.618 4.715 5.602 3.295 4.487 1.326 4.803 3.580 2.227
[2,] 15.382 6.994 1.847 6.359 7.156 4.037 6.261 1.597 6.102 4.220 2.628
[3,] 17.423 8.436 1.990 8.204 8.748 4.550 7.697 1.815 7.523 4.755 2.927
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.184 4.471 5.285 4.131 3.155 3.029 1.331 3.449 1.189 3.339 2.984
[2,] 6.380 6.117 6.666 4.955 4.169 3.500 1.461 3.960 1.363 4.419 4.390
[3,] 7.382 7.244 7.396 5.509 4.922 3.906 1.618 4.393 1.517 5.091 5.229
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.651 1.660 3.133 3.774 3.482 2.186 3.426 2.593 1.735 3.193 2.602
[2,] 3.115 2.096 4.226 4.551 4.165 2.665 5.133 3.187 2.090 4.125 3.551
[3,] 3.443 2.331 4.944 4.993 4.570 2.901 6.292 3.597 2.367 5.864 4.723
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.555 1.836 3.412 1.236 2.887 1.483 2.624 2.634 2.728 3.633 1.662
[2,] 3.712 3.266 3.903 1.389 3.988 1.719 3.158 3.201 3.807 5.156 1.974
[3,] 4.450 4.147 4.266 1.521 4.932 1.917 3.573 3.542 4.412 5.831 2.212
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.452 2.588 2.773 1.295 4.663 4.806 4.973 4.496 4.509 4.486 3.410
[2,] 4.690 3.125 4.153 1.633 5.755 5.627 5.626 5.669 5.623 5.862 4.812
[3,] 5.332 3.478 5.222 1.887 6.390 6.138 6.125 6.274 6.397 6.447 5.625
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.02 3.400 2.869 3.599 2.037 1.967 1.283 2.594 2.898 5.802 5.304
[2,] 1.17 4.501 3.613 4.646 2.502 2.507 1.591 3.962 3.269 6.850 6.366
[3,] 1.30 5.700 4.166 5.702 2.766 2.819 1.804 4.572 3.546 7.547 7.303
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.065 1.620 1.852 1.583 2.373 1.990 2.387 3.936 8.794 5.293
[2,] 2.578 2.603 2.617 2.452 2.862 2.382 3.135 4.787 14.038 6.842
[3,] 2.863 3.071 3.194 3.202 3.400 2.628 3.464 5.470 16.788 8.229
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.009 3.057 9.973 6.118 6.277 1.43 2.522 6.959 6.834
[2,] 400.012 193.376 759.848 616.501 674.305 95.49 178.118 481.699 581.046
[3,] 337.567 187.022 636.756 709.229 657.795 90.16 205.864 437.423 481.123
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.512 3.499 4.624 4.039 5.549 6.806 6.481 5.103
[2,] 648.582 353.858 456.584 317.358 452.964 661.464 576.299 509.929
[3,] 522.892 275.339 363.824 273.476 363.129 519.580 540.037 407.855
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.893 8.675 5.639 9.569 3.93 11.98 7.122 2.055
[2,] 559.794 680.586 543.090 740.308 271.15 1840.03 632.955 134.924
[3,] 450.032 622.606 527.611 581.230 278.75 1239.51 714.294 112.206
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.987 7.113 4.184 5.698 1.684 6.1 4.547 2.827 6.582
[2,] 646.158 674.468 353.422 661.346 134.911 569.8 338.258 211.370 563.353
[3,] 785.114 761.997 317.664 677.897 130.593 666.5 332.036 195.071 562.436
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.677 6.711 5.246 4.006 3.846 1.69 4.38 1.509 4.24
[2,] 632.344 615.267 414.435 412.708 265.790 91.13 294.54 100.965 438.52
[3,] 587.535 485.418 364.789 396.366 262.576 105.35 287.97 100.876 382.74
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.789 3.367 2.107 3.978 4.792 4.421 2.776 4.351
[2,] 487.669 247.738 193.784 429.454 385.225 346.204 231.007 578.752
[3,] 430.367 222.008 154.658 388.665 310.940 284.870 173.604 551.142
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 3.293 2.204 4.054 3.304 3.244 2.332 4.333 1.569
[2,] 280.658 176.440 395.564 365.931 407.769 408.928 287.036 96.153
[3,] 252.415 168.126 631.243 471.568 371.832 387.058 260.831 93.855
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.666 1.883 3.332 3.345 3.464 4.614 2.11 4.384
[2,] 416.723 131.662 266.135 275.518 402.262 553.950 161.44 480.659
[3,] 439.373 128.349 253.167 229.695 337.519 412.416 150.99 384.203
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.286 3.522 1.644 5.921 6.103 6.315 5.709 5.726
[2,] 265.196 468.196 150.780 510.959 443.158 398.516 523.039 508.722
[3,] 231.162 479.369 143.126 420.328 371.275 366.793 407.215 461.985
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.697 4.33 1.295 4.317 3.643 4.57 2.587 2.497 1.629
[2,] 571.314 514.24 86.782 446.767 332.683 445.10 219.993 235.396 142.498
[3,] 406.454 440.99 85.880 529.680 314.030 500.46 178.394 195.288 128.599
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.294 3.68 7.367 6.735 2.623 2.057 2.352 2.011
[2,] 453.531 229.02 551.474 533.116 233.577 308.552 279.988 283.469
[3,] 345.375 208.30 480.052 542.240 188.590 246.934 277.307 311.994
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.013 2.527 3.032 4.998 11.17 6.721
[2,] 242.272 198.140 307.700 412.778 1657.15 656.689
[3,] 278.096 168.442 223.105 400.858 1394.36 692.413
[1] "--- VAR model 2017-10-03 05:31:00 completed"
[1] "Completed training sample: 2017-10-03 05:31:00 - 2017-10-03 13:30:00"
[1] "SpVAR; training sample: 2017-10-03 06:01:00 - 2017-10-03 14:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.3733 0.4765 11.6122 -6.315
0.2616 -2.5098 -9.1327 -19.909
2.3350 1.7069 -0.1381 -2.269
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-15.7517 0.2278 4.98226 12.949
-0.3452 1.9865 -0.07782 7.475
-12.5569 2.9157 -1.11850 2.097
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
8.123 10.588 1.013 -19.010
16.501 12.274 1.711 -14.064
5.493 3.202 -1.471 -5.697
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
15.9656 7.5802 -11.217 33.81
6.4274 -0.1111 -8.507 27.25
-0.1491 9.0480 9.418 32.13
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.375 -2.9488 33.862 30.908
7.246 -2.1558 8.975 6.772
-4.715 -0.5752 23.680 18.562
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.286 4.813 23.421 -3.466
1.188 5.943 -2.386 -2.100
-6.071 4.456 -7.545 5.157
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.484 -18.279 0.3566 7.3234
3.465 4.019 3.6097 -0.4257
-1.224 5.447 0.6885 -1.7490
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.207 3.1714 -14.511 -5.7277
-18.183 3.1232 -8.123 -5.8311
-2.508 -0.3622 -8.288 -0.6971
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.474 -6.175 -10.373 -4.585
-6.566 -2.641 1.825 6.246
-3.611 -9.786 -8.663 -3.264
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-14.565 -0.5431 0.5033 2.467
6.800 -2.1391 -5.8216 1.561
-1.849 -2.0136 2.9034 -2.193
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.200 -3.0396 5.087 -11.84
6.602 1.9220 -5.158 -18.35
-7.962 0.3999 1.746 -11.96
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.372 1.579 -3.090 9.431
5.676 -1.336 -8.764 2.951
5.235 1.150 -7.764 1.728
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.641 -4.0330 0.8044 7.739
8.566 -0.6227 0.4936 23.912
14.576 -2.5759 9.5073 7.938
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-7.559 0.9437 -0.03421 -7.413
3.414 11.1017 5.15327 -1.166
1.580 8.5402 6.40027 9.400
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.69195 4.335 -0.8244 -3.6743
-1.73255 3.670 -2.0424 1.8899
-0.07534 -1.424 -2.3909 -0.1887
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.351 -3.041 3.8156 5.5655
-5.242 1.185 -0.5817 -0.1225
-4.158 -1.678 -1.9309 4.7734
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.5897 -2.4210 7.064 0.2485
-0.4366 2.0317 -2.763 1.2973
7.9054 -0.3317 5.157 1.3356
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.303 0.5423 1.1151 -8.5236
6.090 7.1509 -3.7035 -0.1637
-1.309 -0.1131 -0.7834 1.1968
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.966 -1.7529 -6.897 4.609
1.245 -3.3380 -12.096 -12.626
-3.685 0.2117 -8.761 -7.128
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.362 -1.0654 7.038 -2.054
-4.401 0.5829 -2.747 1.986
-4.344 0.2014 -6.757 8.277
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.524 0.962 -2.033 1.4485
2.726 -6.713 -1.265 -7.2258
-7.448 -1.189 5.774 -0.7928
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.115 -1.747 -13.192 19.431
-1.183 -3.012 4.526 -15.093
3.074 2.489 5.093 2.398
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.889 6.170 6.295 2.787
2.712 3.986 4.957 5.134
-2.149 -1.029 6.387 2.832
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.449 -8.1311 -8.794 -4.211
1.274 0.5466 -4.123 -5.735
2.026 -0.1887 -2.253 1.668
rnd_95776.volume rnd_95787.volume
27.733 -11.156
23.093 -2.151
5.518 6.335
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.111 2.437 7.865 4.707 4.978 1.216 2.055 5.429 5.481 4.463 2.885
[2,] 4.876 2.772 9.410 6.353 6.791 1.394 2.393 6.305 6.559 6.306 3.760
[3,] 5.452 3.093 10.336 7.950 8.103 1.520 2.695 6.953 7.268 7.167 4.174
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.660 3.295 4.528 5.565 4.977 4.077 3.862 7.033 4.655 7.596 3.235
[2,] 4.763 3.853 5.661 7.070 6.308 5.242 5.479 8.530 6.005 9.030 3.698
[3,] 5.359 4.259 6.187 7.852 7.282 5.952 6.228 9.566 6.979 9.929 4.132
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.644 5.613 1.714 4.795 5.682 3.478 4.363 1.384 4.851 3.649 2.180
[2,] 15.357 7.092 1.937 6.541 7.338 4.230 6.279 1.667 6.365 4.230 2.621
[3,] 17.538 8.432 2.088 8.361 9.030 4.737 7.739 1.917 7.811 4.825 2.938
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.296 4.537 5.340 4.086 3.209 3.164 1.393 3.725 1.214 3.477 3.003
[2,] 6.443 6.344 6.744 4.940 4.293 3.629 1.523 4.206 1.391 4.572 4.459
[3,] 7.457 7.517 7.468 5.497 5.092 4.062 1.671 4.629 1.591 5.249 5.335
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.627 1.700 3.153 3.851 3.869 2.292 3.617 2.724 1.770 3.380 2.791
[2,] 3.142 2.141 4.278 4.611 4.567 2.766 5.381 3.281 2.109 4.318 3.800
[3,] 3.494 2.391 5.014 5.042 4.952 3.018 6.538 3.720 2.426 6.069 4.922
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.632 1.908 3.356 1.285 3.025 1.539 2.764 2.806 2.758 3.684 1.686
[2,] 3.809 3.497 3.892 1.428 4.214 1.801 3.287 3.324 3.915 5.335 2.042
[3,] 4.523 4.334 4.293 1.544 5.193 1.992 3.748 3.705 4.567 6.033 2.252
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.435 2.730 2.739 1.303 4.762 4.742 5.151 4.507 4.931 4.436 3.681
[2,] 4.747 3.250 4.215 1.598 5.723 5.610 5.837 5.750 5.868 5.760 5.312
[3,] 5.440 3.578 5.458 1.922 6.385 6.216 6.266 6.394 6.625 6.371 6.140
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.075 3.767 2.932 4.070 2.074 1.992 1.382 2.602 2.890 6.044 5.519
[2,] 1.208 5.010 3.615 5.209 2.565 2.622 1.706 3.921 3.353 7.050 6.625
[3,] 1.337 6.210 4.213 6.240 2.827 2.952 1.927 4.573 3.655 7.712 7.578
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.082 1.782 1.893 1.733 2.444 2.066 2.517 3.039 9.275 5.271
[2,] 2.615 2.695 2.667 2.566 2.949 2.475 3.266 3.720 14.297 6.933
[3,] 2.904 3.140 3.230 3.267 3.478 2.724 3.571 4.391 17.213 8.215
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.22 3.095 9.988 5.977 6.321 1.544 2.61 6.894 6.96
[2,] 365.45 184.169 720.145 594.903 644.000 95.109 170.86 446.981 502.37
[3,] 340.17 191.156 596.140 666.182 616.362 84.559 173.03 408.719 436.39
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.667 3.663 4.648 4.184 5.75 7.066 6.32 5.177 4.905
[2,] 621.015 336.144 424.974 278.364 473.61 608.016 540.18 459.428 541.849
[3,] 475.054 252.881 342.406 253.093 348.00 476.334 507.33 393.069 412.761
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 8.93 5.911 9.646 4.108 12.25 7.127 2.177 6.089
[2,] 673.00 529.005 680.541 249.823 1666.13 604.454 125.879 620.359
[3,] 603.68 495.754 575.847 256.982 1180.84 635.814 108.463 725.929
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 7.215 4.416 5.54 1.757 6.16 4.633 2.768 6.726 5.761
[2,] 647.395 335.640 629.49 129.662 574.51 298.326 202.739 511.604 618.223
[3,] 733.546 297.312 630.92 131.767 631.19 323.588 185.063 523.177 562.089
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.78 5.189 4.075 4.017 1.769 4.73 1.541 4.415 3.813
[2,] 574.27 386.867 397.483 247.845 85.751 272.53 94.613 413.884 459.494
[3,] 447.40 336.261 381.681 254.530 95.812 269.49 107.892 359.577 408.490
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.336 2.159 4.004 4.891 4.913 2.911 4.593 3.459
[2,] 240.236 181.358 402.970 353.385 338.286 215.916 555.452 254.910
[3,] 213.061 148.532 364.812 284.322 266.790 168.239 517.656 244.500
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.248 4.292 3.544 3.342 2.423 4.261 1.632 3.841
[2,] 159.844 374.545 359.508 383.828 408.643 274.769 86.840 408.979
[3,] 167.085 594.622 436.182 340.242 356.972 252.508 81.658 423.109
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.955 3.51 3.563 3.502 4.678 2.14 4.361 3.466 3.478
[2,] 130.193 247.83 248.604 387.400 538.061 160.76 456.854 245.771 446.700
[3,] 118.783 251.21 228.184 327.850 392.758 132.15 370.528 208.722 483.382
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.654 6.047 6.022 6.541 5.723 6.261 5.633 4.675
[2,] 129.098 442.423 417.864 382.565 497.842 443.497 512.263 533.853
[3,] 148.874 394.957 373.217 317.783 390.074 428.737 379.506 429.341
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.365 4.783 3.723 5.168 2.634 2.53 1.754 3.305 3.67
[2,] 76.816 460.388 294.802 453.136 210.446 237.72 139.639 408.930 236.90
[3,] 79.940 511.601 301.753 479.135 165.646 189.11 124.789 328.117 202.90
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 7.675 7.008 2.644 2.263 2.404 2.201 3.104 2.624
[2,] 506.098 510.954 220.725 281.774 261.927 263.873 230.117 190.060
[3,] 435.832 512.946 175.922 224.632 254.068 281.948 257.042 158.460
[,95] [,96] [,97] [,98]
[1,] 3.196 3.859 11.78 6.693
[2,] 290.111 299.129 1516.83 627.910
[3,] 201.503 325.257 1336.25 614.259
[1] "--- VAR model 2017-10-03 06:01:00 completed"
[1] "Completed training sample: 2017-10-03 06:01:00 - 2017-10-03 14:00:00"
[1] "SpVAR; training sample: 2017-10-03 06:31:00 - 2017-10-03 14:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.902 -2.279 -1.1209 -0.8653
2.265 -1.655 17.7982 -3.3791
5.276 5.711 -0.5268 1.9808
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.67134 1.6290 2.363 -7.491
0.06955 0.3669 7.297 11.803
-17.75325 0.3856 1.724 -5.294
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-13.062 -7.017 -6.8282 -14.55
11.263 5.962 -0.1574 -26.87
-3.652 -8.682 1.9950 -8.07
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.942 26.569 17.768 3.280
6.854 -1.374 9.470 -5.555
5.729 12.948 6.126 8.829
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.509 -3.035 2.5504 12.009
13.586 1.505 0.8551 8.159
-7.218 6.760 17.4841 12.492
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
12.081 3.261 -8.08 -9.112
16.604 -5.514 -19.52 -16.107
4.274 3.834 36.33 3.510
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.8811 -11.928 -19.596 18.687
-0.1621 -8.066 5.063 13.394
0.6107 -11.817 -17.238 8.633
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.525 1.35610 13.869 1.0421
-13.597 3.70618 -19.140 0.3006
-5.700 -0.05083 -2.517 2.0140
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.295 1.316 -2.925 8.176
6.199 -3.160 -1.485 -2.409
-2.612 -14.449 -19.334 -11.294
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.021 -5.116 -0.6449 1.450
10.089 -1.360 1.9266 -1.538
-6.083 -1.132 0.8746 2.958
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
10.1781 1.589 2.664 -9.345
0.9033 -3.710 -3.989 -11.362
9.8157 -1.592 2.182 -18.494
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.043 7.504 -11.738 -9.086
1.150 6.312 -13.497 6.357
9.571 1.191 -8.358 2.231
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.0368 -0.9829 3.699 22.305
16.2147 -2.2079 -5.156 13.293
9.0481 1.2573 -7.176 7.721
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.646 -2.494 13.199 6.7148
4.206 11.707 9.226 14.5165
-2.931 -4.561 -2.486 0.2316
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.537 -0.1495 1.606 -17.57
5.987 5.8293 2.122 11.76
14.041 10.6259 -1.001 8.69
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.324 -11.394 -7.274 -5.759
-3.657 5.648 3.088 -1.664
-5.728 9.161 4.037 7.317
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.477 -0.3488 28.52 -9.565
-11.264 0.2817 -16.26 10.171
9.340 -1.8513 3.37 -7.201
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.82363 2.225 17.2408 3.5105
-0.05728 2.569 1.1392 10.5720
-5.13181 -1.436 -0.7764 0.2235
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.973 14.407 -2.4927 8.1609
-14.959 -1.703 0.4888 -0.3883
5.598 3.881 -7.6762 -12.5626
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.165 -2.215 5.310 8.714
2.465 -1.613 7.447 7.704
5.127 -3.095 3.623 9.318
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.793 -2.10684 1.485 -4.6420
7.785 0.01395 -1.698 -0.8963
16.368 7.61715 3.732 0.1819
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.416 -1.7305 27.243 14.023
1.166 0.6526 -9.303 13.081
4.455 6.7090 16.129 8.563
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.178 2.369 -2.463 -2.4438
10.108 5.122 -2.176 0.4873
-1.230 4.166 8.750 7.6386
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.289 8.8055 7.8790 5.7103
2.989 -2.0995 0.9812 0.7453
5.462 0.1908 6.6203 3.1363
rnd_95776.volume rnd_95787.volume
-5.228 -14.482
-17.894 -9.006
1.130 -3.929
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.045 2.481 7.540 4.848 5.133 1.315 2.062 5.117 5.218 4.291 2.925
[2,] 4.669 2.819 8.890 6.266 6.721 1.506 2.362 6.091 6.484 6.034 3.650
[3,] 5.285 3.192 9.704 7.899 7.999 1.650 2.666 6.691 7.177 7.065 4.056
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.507 3.409 4.554 5.751 4.858 4.029 3.850 6.560 4.720 7.631 3.387
[2,] 4.496 3.965 5.665 7.139 6.099 5.250 5.173 7.973 5.924 8.973 3.783
[3,] 5.085 4.401 6.129 7.781 7.102 5.864 5.986 9.211 6.711 9.833 4.215
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.932 5.640 1.665 4.658 5.669 3.478 4.605 1.404 4.853 3.766 2.269
[2,] 14.906 6.981 1.935 6.352 7.457 4.250 6.405 1.704 6.323 4.394 2.663
[3,] 16.758 8.069 2.099 7.816 8.925 4.820 7.788 1.943 7.926 4.910 2.959
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.380 4.604 5.249 3.836 3.274 3.247 1.410 3.825 1.235 3.428 3.128
[2,] 6.482 6.305 6.509 4.835 4.298 3.757 1.577 4.304 1.448 4.548 4.568
[3,] 7.593 7.369 7.321 5.473 5.129 4.191 1.717 4.742 1.644 5.252 5.403
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.530 1.726 3.222 4.039 4.065 2.295 3.677 3.010 1.805 3.389 2.997
[2,] 3.174 2.173 4.397 4.787 4.748 2.707 5.446 3.563 2.143 4.467 4.087
[3,] 3.515 2.432 5.111 5.254 5.157 3.017 6.621 4.024 2.475 6.254 5.231
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.791 1.962 3.582 1.286 3.005 1.530 2.858 2.950 3.021 3.797 1.757
[2,] 3.886 3.757 4.195 1.446 4.190 1.857 3.374 3.452 4.108 5.434 2.124
[3,] 4.683 4.644 4.562 1.570 5.391 2.066 3.977 3.847 4.742 6.117 2.339
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.476 2.937 2.924 1.341 4.407 4.946 5.236 4.521 4.696 4.526 3.553
[2,] 4.764 3.379 4.309 1.683 5.296 5.683 5.979 5.810 5.651 5.866 5.321
[3,] 5.515 3.743 5.424 1.972 5.847 6.327 6.391 6.379 6.492 6.438 6.224
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.118 3.969 2.953 4.231 2.182 2.050 1.465 2.753 2.955 6.307 5.590
[2,] 1.279 5.387 3.626 5.224 2.660 2.644 1.800 4.061 3.441 7.328 6.636
[3,] 1.442 6.411 4.191 6.451 2.905 2.984 2.002 4.661 3.778 7.831 7.628
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.120 1.830 2.017 1.880 2.525 2.225 2.654 2.274 9.164 5.329
[2,] 2.625 2.739 2.758 2.606 3.059 2.661 3.418 2.936 14.466 6.863
[3,] 2.928 3.164 3.217 3.278 3.624 2.941 3.733 3.409 17.152 7.969
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.136 3.15 9.574 6.157 6.518 1.669 2.618 6.498 6.625
[2,] 311.541 178.78 629.318 530.300 579.717 98.033 153.900 441.307 514.237
[3,] 330.773 200.07 519.908 642.603 579.406 90.084 165.388 370.267 411.313
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.449 3.714 4.453 4.329 5.783 7.303 6.169 5.116
[2,] 566.758 291.641 375.904 270.599 450.119 565.062 492.705 449.645
[3,] 491.009 236.582 317.515 254.991 312.752 413.506 486.210 349.008
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.889 8.33 5.994 9.69 4.301 12.61 7.162 2.114 5.915
[2,] 461.633 605.31 478.317 630.79 225.322 1484.93 549.684 131.664 577.081
[3,] 402.336 616.19 421.260 537.32 248.264 1023.18 540.436 108.855 608.325
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 7.199 4.416 5.848 1.783 6.163 4.782 2.882 6.832
[2,] 647.122 326.455 594.593 128.993 541.495 302.621 186.041 482.994
[3,] 655.214 303.765 592.018 124.646 638.458 292.697 172.497 528.307
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.847 6.665 4.871 4.157 4.123 1.791 4.857 1.569
[2,] 575.546 514.420 393.110 372.094 252.426 94.369 263.703 101.021
[3,] 509.414 447.559 342.698 373.965 248.268 90.601 266.017 104.029
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.353 3.972 3.212 2.192 4.091 5.128 5.162 2.914
[2,] 399.234 444.874 256.120 176.291 399.840 343.409 327.679 191.851
[3,] 351.044 385.364 201.902 145.979 348.088 289.204 268.939 177.933
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.669 3.822 2.292 4.304 3.806 3.544 2.491 4.548
[2,] 536.715 254.607 154.220 388.783 371.195 361.252 428.098 291.683
[3,] 503.036 249.948 165.467 584.769 436.198 349.070 364.724 239.691
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.633 3.816 1.943 3.629 3.746 3.836 4.821 2.231
[2,] 88.295 390.217 140.614 239.746 239.523 371.992 519.362 159.445
[3,] 81.758 453.076 120.815 281.153 226.724 316.317 375.141 130.694
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.414 3.729 3.714 1.703 5.596 6.28 6.648 5.741
[2,] 435.170 223.374 422.736 135.888 392.296 374.07 385.644 487.562
[3,] 371.306 214.958 440.195 137.382 331.086 371.59 301.997 351.596
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.963 5.747 4.512 1.42 5.04 3.75 5.373 2.77 2.603
[2,] 419.918 498.624 529.098 83.04 486.65 281.24 409.265 203.37 223.073
[3,] 427.027 354.290 431.422 88.86 464.37 280.68 505.772 155.92 185.063
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.861 3.495 3.752 8.009 7.098 2.693 2.323 2.562
[2,] 139.640 398.852 235.749 498.360 477.886 206.812 272.235 251.317
[3,] 117.059 305.633 208.160 369.051 502.410 173.059 211.796 221.314
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.388 3.207 2.825 3.37 2.888 11.64 6.766
[2,] 241.094 230.647 195.188 287.82 247.989 1495.28 577.893
[3,] 265.635 259.590 167.133 200.61 231.573 1231.42 541.135
[1] "--- VAR model 2017-10-03 06:31:00 completed"
[1] "Completed training sample: 2017-10-03 06:31:00 - 2017-10-03 14:30:00"
[1] "SpVAR; training sample: 2017-10-03 07:01:00 - 2017-10-03 15:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.7451 -5.358 -2.501 12.24
5.6456 6.427 2.590 34.06
0.1586 4.771 -7.682 -21.48
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
12.68 3.662 -5.2952 -4.592
-11.40 7.976 0.1304 -6.228
12.29 5.660 -3.4665 6.014
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-14.258 -0.5774 -1.7158 -15.50
-4.090 -1.0412 0.9688 -19.04
5.941 -1.9915 -4.6809 -18.61
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.1153 -1.097 -8.214 18.444
0.3079 4.038 -3.215 6.085
0.2240 5.800 5.591 4.447
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.1617 9.8748 22.9385 10.378
2.0812 -0.5786 0.9508 4.082
-0.7229 -0.8183 18.9115 3.119
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
6.765 -8.132 -13.603 7.499
2.488 14.383 6.212 1.260
8.484 2.435 8.352 2.878
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.3063 22.618 35.963 0.4969
1.1756 -6.767 -3.983 -7.4766
-0.5959 6.262 5.021 6.9619
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
10.82 -3.8505 -13.486 -1.538
35.98 -0.1508 18.473 -6.156
-23.34 1.3164 3.718 -6.027
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.526 -13.962 7.734 -2.028
5.177 8.634 -9.676 -8.435
6.191 13.106 13.763 4.515
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.036 24.333 4.439 4.0479
4.091 5.587 1.755 -0.5780
19.544 -1.107 1.140 -0.8139
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.870 -2.894 1.554 -11.54
4.837 7.322 -8.198 -17.26
5.867 2.950 1.820 -15.80
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.892 -2.669 -6.266 0.01568
-1.130 -1.529 -2.179 7.84057
4.186 3.716 -23.383 -5.75031
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.648 -6.316 -12.123 10.36
8.550 2.015 -5.468 21.78
9.480 4.977 6.189 22.13
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.9255 -9.6965 1.888 -1.313
-2.1629 -1.8121 -6.532 -12.579
0.1094 -0.7002 -1.451 3.709
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.349 -0.5157 -1.290 8.985
1.902 -2.0800 2.424 -3.518
-3.857 -6.4007 2.697 -1.818
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.004 -3.309 -9.986 4.081
-8.928 1.835 -2.952 -7.624
-3.149 2.113 -2.646 2.191
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
11.566 -6.13478 -2.310 6.117
-9.686 1.04496 -4.717 7.434
3.557 -0.01826 4.216 2.666
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.089 0.8991 -19.475 10.0940
9.002 3.4086 4.726 6.7127
-5.116 -1.0354 17.093 -0.5803
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.081 12.325 -12.449 15.588
-9.971 -4.159 -7.273 -3.376
11.377 9.132 6.883 3.982
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.350 -1.2746 10.09 -14.714
-14.955 -2.0279 14.54 -9.040
2.452 0.6463 -10.98 -2.944
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.2593 -5.493 1.497 -4.1386
3.0737 -2.403 -1.844 2.2910
-6.9230 3.661 2.303 0.9062
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
13.5986 -2.625 -2.130 3.840
17.9030 9.347 5.510 -6.329
-0.6756 5.101 7.767 10.059
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9053 -6.337 -10.29073 -10.5916
-10.7884 1.832 -0.01134 -0.4871
-5.0101 -7.593 2.99254 1.6139
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
7.062 -3.699 12.718 -5.320
5.604 3.663 -1.319 -3.608
-4.621 3.094 -0.145 -2.721
rnd_95776.volume rnd_95787.volume
1.940 2.5452
-5.186 2.1277
28.665 0.5558
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.045 2.579 7.035 4.663 5.049 1.391 1.994 4.910 5.023 4.404 2.841
[2,] 4.697 2.983 8.688 6.246 6.508 1.596 2.317 5.791 6.138 5.941 3.591
[3,] 5.312 3.324 9.541 7.771 7.839 1.755 2.578 6.268 6.713 6.852 3.999
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.552 3.517 4.739 5.725 4.973 3.838 3.894 6.574 4.357 8.025 3.634
[2,] 4.543 4.098 5.849 7.179 6.266 5.103 5.139 8.173 5.605 9.454 4.167
[3,] 5.212 4.502 6.339 7.873 7.285 5.710 5.950 9.403 6.553 10.404 4.641
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.817 5.380 1.676 4.650 5.661 3.408 4.365 1.524 4.849 3.695 2.259
[2,] 14.981 6.744 1.959 6.234 7.200 4.111 6.372 1.786 6.353 4.379 2.701
[3,] 17.105 7.772 2.170 7.859 8.659 4.683 7.649 2.032 7.888 4.891 3.029
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.228 4.631 5.052 4.183 3.523 3.265 1.403 3.892 1.286 3.566 3.099
[2,] 6.450 6.240 6.340 5.057 4.592 3.836 1.598 4.384 1.461 4.650 4.727
[3,] 7.506 7.295 7.254 5.801 5.399 4.320 1.751 4.793 1.649 5.293 5.456
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.638 1.802 3.344 4.207 4.192 2.357 3.647 3.178 1.834 3.357 3.216
[2,] 3.134 2.203 4.519 5.010 4.896 2.807 5.446 3.826 2.138 4.581 4.252
[3,] 3.460 2.460 5.198 5.501 5.278 3.118 6.740 4.210 2.457 6.511 5.411
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.909 2.002 3.791 1.277 3.019 1.602 3.046 3.136 3.106 3.855 1.765
[2,] 4.077 3.815 4.372 1.424 4.274 1.928 3.630 3.622 4.295 5.524 2.070
[3,] 4.979 4.626 4.764 1.568 5.669 2.140 4.181 4.056 4.931 6.356 2.297
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.552 2.930 3.020 1.366 4.555 4.940 5.412 4.765 4.941 4.488 3.567
[2,] 5.087 3.414 4.444 1.717 5.424 5.716 6.200 6.054 5.923 6.070 5.692
[3,] 5.903 3.813 5.644 1.959 6.010 6.403 6.607 6.706 6.686 6.653 6.592
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.138 3.772 2.949 4.186 2.280 2.058 1.568 2.792 3.031 6.497 5.263
[2,] 1.346 5.364 3.619 5.188 2.692 2.656 1.843 4.219 3.556 7.572 6.494
[3,] 1.481 6.544 4.186 6.603 2.971 3.008 2.058 4.804 3.898 8.109 7.438
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.073 1.758 1.974 1.830 2.756 2.254 2.660 1.586 9.34 5.149
[2,] 2.556 2.533 2.563 2.468 3.324 2.745 3.404 2.151 14.84 6.698
[3,] 2.886 2.966 2.967 3.068 3.883 3.026 3.773 2.510 17.58 7.704
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.136 3.274 8.934 5.921 6.411 1.766 2.532 6.236
[2,] 320.208 200.965 683.302 557.029 550.354 105.115 158.350 411.396
[3,] 332.509 196.611 528.326 619.614 585.801 97.777 151.437 321.411
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.379 5.593 3.607 4.51 4.466 6.018 7.27 6.315 4.874
[2,] 472.835 534.371 294.462 379.61 281.782 459.609 580.49 510.923 450.728
[3,] 364.389 457.717 235.701 342.56 250.081 327.324 433.37 498.271 343.538
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.944 8.348 5.533 10.19 4.614 12.47 6.832 2.129
[2,] 449.516 650.927 472.618 669.79 273.439 1516.78 544.946 135.780
[3,] 401.954 623.060 454.983 582.34 273.809 1106.46 517.856 125.244
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.904 7.189 4.327 5.543 1.935 6.158 4.692 2.869
[2,] 556.515 596.248 308.344 622.214 124.848 549.986 314.853 198.484
[3,] 641.555 644.704 300.513 567.155 129.831 626.709 292.139 183.640
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.639 5.88 6.415 5.312 4.474 4.146 1.781 4.942
[2,] 506.286 560.69 513.332 380.704 394.757 269.871 102.626 270.491
[3,] 514.596 506.49 472.420 380.964 380.664 266.521 96.056 259.593
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.633 4.528 3.935 3.35 2.288 4.246 5.342 5.323
[2,] 92.968 400.022 478.451 226.79 169.922 407.356 364.578 338.903
[3,] 102.622 338.964 365.289 196.60 146.719 344.392 304.596 264.271
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.993 4.631 4.035 2.329 4.263 4.083 3.694 2.542
[2,] 204.368 542.055 285.733 147.258 417.669 372.881 382.812 435.254
[3,] 181.872 532.283 235.338 162.322 620.090 448.426 383.147 350.670
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.814 1.621 3.833 2.034 3.868 3.982 3.944 4.895
[2,] 291.835 84.699 405.465 143.836 264.687 242.932 397.550 530.376
[3,] 253.943 87.717 499.240 124.389 277.924 244.649 324.682 421.461
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.242 4.511 3.721 3.835 1.735 5.784 6.273 6.872
[2,] 144.902 488.078 234.828 436.953 139.420 394.577 385.323 405.547
[3,] 133.381 401.261 227.501 466.336 126.445 347.120 386.783 305.965
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.05 6.274 5.7 4.529 1.445 4.79 3.745 5.315 2.895
[2,] 500.57 437.913 547.7 594.567 96.315 511.17 281.174 410.816 191.871
[3,] 386.56 415.749 365.2 445.528 83.069 502.46 281.839 547.459 168.375
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.613 1.991 3.545 3.848 8.251 6.683 2.632 2.233
[2,] 225.073 129.765 423.927 249.433 521.113 509.913 200.562 244.340
[3,] 189.151 122.852 308.102 214.099 389.251 486.069 179.452 206.914
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.507 2.324 3.5 2.863 3.377 2.014 11.86 6.538
[2,] 219.092 221.893 249.2 209.898 284.826 194.889 1544.91 574.183
[3,] 200.369 244.385 269.1 170.896 217.991 173.376 1263.09 510.301
[1] "--- VAR model 2017-10-03 07:01:00 completed"
[1] "Completed training sample: 2017-10-03 07:01:00 - 2017-10-03 15:00:00"
[1] "SpVAR; training sample: 2017-10-03 07:31:00 - 2017-10-03 15:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-5.425 3.987 -3.810 -1.831
10.376 4.233 -1.747 12.840
5.653 -4.635 -19.822 -12.722
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.134 8.48989 -0.7632 -14.086
-13.022 0.09376 0.1212 8.245
-2.730 8.01285 -1.7573 -3.456
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.1331 11.343 0.6897 -16.40
-17.6889 -14.863 1.6436 -21.87
-0.5957 3.671 -5.4014 -23.39
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.616 11.79 -2.580 -11.42
-2.890 12.88 -7.337 -13.61
-1.969 -10.26 -9.028 -19.08
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.7028 -24.869 -4.258 5.588
-0.1466 -20.051 -22.686 -4.725
-3.8860 -2.799 -4.148 6.769
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
4.134 -6.8835 10.97 -24.225
20.766 0.2827 17.01 7.199
-16.213 -0.3811 11.52 7.146
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
4.775 -12.53 13.39 13.753
1.979 -10.59 11.34 20.404
5.254 15.07 17.17 2.821
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.522 3.9936 -21.0246 8.480
9.849 3.8333 0.9723 6.058
-10.868 -0.4338 12.1479 -7.141
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.768 -14.8351 -2.737 21.529
-9.898 0.8714 -1.247 -8.938
-4.259 3.6599 13.383 -11.819
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.5739 8.992 4.494 0.9875
-14.6698 -15.971 -3.646 3.3224
-0.9726 3.432 -1.311 -5.1787
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-17.7626 -6.747 -0.08789 -18.25
-0.8675 -3.419 -12.15252 -17.57
-14.6223 -4.627 -14.24747 -19.32
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.0319 0.4364 4.984 32.299
4.2302 0.2430 1.740 -6.392
0.1011 -3.5286 -4.843 25.577
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.626 -16.3846 34.54 3.684
25.001 -0.1808 16.33 16.189
22.460 -10.0349 39.06 19.876
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5028 50.923 19.03 -4.42
-0.6058 3.721 16.48 28.29
7.0461 31.028 23.14 11.35
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.112 10.836 -2.003 -28.554
19.148 8.646 -1.847 5.798
13.190 -2.074 -1.528 28.141
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.0072 -11.128 14.77 8.723
-0.5939 -3.698 14.89 -1.183
-4.1638 5.335 11.55 15.456
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
25.368 -0.4119 -4.049 5.698
5.953 0.1191 13.919 14.674
11.331 -2.9211 17.784 23.059
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-20.704 0.7685 -2.510 -6.296
11.817 7.7246 11.979 8.618
5.366 7.4943 6.951 -1.733
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.369 -9.626 0.5122 41.789
2.270 5.819 -3.5954 7.103
-17.782 15.538 -0.4007 26.016
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
18.27 0.1907 18.56 -10.46
16.00 3.8867 24.36 -18.92
14.27 -0.8100 15.03 -20.60
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.932 -1.6938 8.853 1.917
8.882 -5.2125 6.251 -8.010
5.703 -0.8406 -4.637 -3.436
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.715 6.252 54.835 -52.68
-3.655 6.618 16.750 -46.10
-14.706 -7.649 4.579 -29.19
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-12.357 -10.867 0.1675 5.586
-1.288 -2.662 2.4383 5.206
-2.265 -4.142 -0.8124 4.375
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-11.2849 -8.236 4.219 -10.764
-0.9784 3.061 16.062 -3.561
10.6981 7.030 1.436 -7.005
rnd_95776.volume rnd_95787.volume
-22.66 -22.15231
75.42 5.82577
24.14 -0.06446
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.058 2.543 6.912 4.546 4.965 1.523 1.956 4.525 4.964 4.239 2.769
[2,] 4.685 2.981 8.391 6.350 6.650 1.774 2.259 5.390 6.076 5.853 3.525
[3,] 5.170 3.380 9.292 7.660 8.041 1.927 2.527 5.832 6.629 6.637 3.889
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.433 2.854 4.600 5.657 4.630 4.078 3.738 5.228 4.274 7.427 3.600
[2,] 4.540 3.360 5.847 7.196 5.888 5.259 5.145 6.769 5.479 8.875 4.034
[3,] 5.231 3.697 6.453 8.009 6.947 5.945 6.048 7.809 6.448 9.944 4.475
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.289 5.353 1.711 4.596 5.511 3.394 4.274 1.525 4.686 3.645 2.189
[2,] 14.664 6.792 2.011 6.060 7.108 4.139 6.467 1.781 6.198 4.416 2.610
[3,] 16.890 7.780 2.234 7.901 8.649 4.654 7.592 2.077 7.589 5.079 2.937
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.220 4.528 4.935 4.330 3.516 3.265 1.398 3.981 1.337 3.527 3.059
[2,] 6.422 6.420 6.302 5.024 4.787 3.935 1.620 4.524 1.527 4.566 4.649
[3,] 7.662 7.557 7.147 5.857 5.527 4.375 1.759 4.931 1.713 5.228 5.464
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.688 1.854 3.392 3.994 4.265 2.325 3.705 3.420 1.847 3.502 3.252
[2,] 3.194 2.228 4.649 4.931 4.924 2.780 5.598 4.117 2.072 4.709 4.322
[3,] 3.465 2.501 5.407 5.438 5.350 3.170 6.795 4.478 2.380 6.771 5.481
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.091 2.018 3.682 1.243 2.852 1.662 2.988 3.351 3.402 3.841 1.849
[2,] 4.310 3.922 4.311 1.393 4.293 1.969 3.564 3.750 4.611 5.688 2.170
[3,] 5.259 4.862 4.787 1.539 5.681 2.218 4.207 4.138 5.210 6.516 2.395
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.820 3.086 3.656 1.460 4.310 4.803 5.404 4.520 5.013 4.402 3.714
[2,] 5.311 3.549 4.943 1.805 5.079 5.432 6.257 5.867 5.831 5.998 5.738
[3,] 6.132 3.990 6.063 2.035 5.659 5.984 6.690 6.571 6.562 6.665 6.668
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.152 3.925 3.010 4.107 2.257 2.090 1.587 2.932 2.802 6.323 5.438
[2,] 1.389 5.395 3.679 5.203 2.630 2.697 1.875 4.265 3.347 7.430 6.694
[3,] 1.522 6.564 4.184 6.476 2.933 3.114 2.060 4.711 3.708 8.087 7.853
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.789 1.742 1.863 2.008 2.815 2.331 2.836 1.573 9.783 5.027
[2,] 2.272 2.437 2.363 2.633 3.360 2.710 3.494 2.082 14.861 6.762
[3,] 2.600 2.753 2.735 3.050 3.949 3.027 3.982 2.423 17.542 7.751
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.153 3.229 8.777 5.772 6.304 1.934 2.483 5.746
[2,] 298.378 198.422 606.631 565.313 564.062 115.929 144.077 373.396
[3,] 278.770 203.157 508.646 546.022 576.193 95.866 144.351 283.713
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.303 5.383 3.516 4.359 3.624 5.841 7.183 5.879
[2,] 446.850 514.473 278.133 378.878 226.143 460.153 567.041 463.849
[3,] 337.822 399.110 209.463 331.219 196.511 348.263 448.339 469.850
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.179 4.746 6.639 5.427 9.431 4.572 11.8 6.797
[2,] 423.209 450.714 548.169 437.113 619.420 231.931 1446.6 533.035
[3,] 353.554 405.285 496.466 433.396 571.767 247.064 1068.5 483.677
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.172 5.836 6.998 4.31 5.427 1.937 5.951 4.629 2.78
[2,] 134.758 503.489 572.386 301.92 618.703 117.193 517.221 317.738 181.12
[3,] 123.993 646.347 628.203 271.25 507.130 136.276 558.285 319.855 171.78
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.629 5.75 6.266 5.498 4.465 4.146 1.776 5.055 1.698
[2,] 476.801 580.21 499.628 324.845 414.026 279.950 104.284 274.081 94.078
[3,] 532.821 508.07 429.845 383.820 352.190 243.884 87.343 250.128 98.921
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.479 3.884 3.413 2.355 4.307 5.071 5.416 2.953
[2,] 369.595 446.369 220.127 157.344 405.386 368.637 313.875 194.299
[3,] 324.622 366.074 171.047 144.896 351.945 292.504 266.554 194.084
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.704 4.343 2.345 4.447 4.13 3.925 2.562 4.675 1.579
[2,] 535.022 292.223 119.672 401.329 362.96 382.911 428.700 286.036 79.944
[3,] 491.050 224.397 149.321 620.236 429.60 384.137 366.348 265.239 83.510
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.622 2.111 3.794 4.255 4.319 4.877 2.348 4.851
[2,] 409.059 134.685 247.654 214.563 396.872 534.860 144.726 470.403
[3,] 474.248 130.119 284.976 223.016 309.249 405.284 129.205 390.703
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.919 4.643 1.853 5.473 6.099 6.862 5.74 6.366 5.59
[2,] 223.476 424.090 135.323 342.490 323.591 402.187 476.77 379.819 519.40
[3,] 232.375 447.519 119.895 318.230 320.052 301.567 377.33 383.681 370.49
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.716 1.463 4.984 3.822 5.215 2.866 2.654 2.015
[2,] 557.612 98.903 471.973 269.813 407.270 172.205 217.272 127.253
[3,] 433.008 79.317 476.657 253.924 491.528 165.404 198.633 108.921
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.723 3.558 8.03 6.905 2.271 2.212 2.365 2.549
[2,] 394.852 233.380 497.29 497.641 178.593 217.175 185.418 217.125
[3,] 255.142 203.574 407.14 523.394 161.075 163.507 175.390 196.309
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.575 2.96 3.601 1.997 12.42 6.384
[2,] 233.847 176.21 260.062 173.907 1426.15 576.552
[3,] 264.472 171.89 243.619 157.900 1188.19 483.057
[1] "--- VAR model 2017-10-03 07:31:00 completed"
[1] "Completed training sample: 2017-10-03 07:31:00 - 2017-10-03 15:30:00"
[1] "SpVAR; training sample: 2017-10-03 08:01:00 - 2017-10-03 16:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
17.117 4.2199 -19.30 -2.631
8.289 0.2708 17.35 -49.231
8.098 6.2880 18.73 -46.775
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.30 -0.2874 -2.090 9.381
-25.30 1.4353 8.491 -13.214
-10.86 -5.1576 -3.058 7.563
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
10.970 9.382 5.933 -14.90
-1.838 22.509 9.196 -18.87
4.702 -10.026 1.456 -17.44
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
10.503 -20.9157 -20.120 -9.947
8.751 13.8582 7.095 -13.222
8.860 -0.6708 -6.220 -13.090
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
12.472 1.419 15.50 3.807
8.818 2.122 34.83 15.507
2.840 9.898 30.60 8.007
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.5194 16.496 -57.482 -35.90
34.9962 1.763 -8.749 -21.40
19.7964 2.683 41.289 13.02
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.7642 -33.59 -17.189 -21.885
-7.6217 -20.59 -26.979 4.152
4.3156 19.45 -3.865 -2.916
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.184 -7.193 -32.50 22.66
-44.148 -3.235 -24.14 24.27
-35.079 -4.499 -49.69 21.79
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.695 -20.22 -5.139 -7.611
2.358 -53.76 -25.976 5.767
6.823 -27.66 -17.935 -29.784
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-27.040 -7.565 12.140 0.5304
9.593 17.647 4.754 4.2655
1.104 -4.600 6.267 0.9431
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.707 -0.2339 6.053 1.832
12.346 2.4145 0.921 -9.119
9.575 4.0461 -11.653 -13.939
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-9.007 -0.8177 1.4228 27.550
3.791 5.2386 -6.7010 -14.024
5.181 -3.9708 0.1225 6.246
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
33.248 4.1908 6.348 18.62
-5.806 13.1257 23.186 15.19
12.571 -0.4728 -11.685 14.68
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.871 4.924 8.639 -0.1507
-2.249 13.270 -4.244 -3.8377
7.152 13.699 12.692 9.5822
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.433 15.192 5.0394 1.031
14.915 9.492 0.4799 -1.292
-12.475 6.458 4.6006 15.639
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.9826 -4.442 21.435 11.297
-5.0771 2.431 3.904 10.476
-7.6847 8.697 2.692 3.447
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.959 -4.5396 6.2430 4.6524
13.724 -0.2029 18.9027 2.5252
-2.327 -3.3932 -0.7157 0.7904
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
22.02 -0.7519 26.526 12.251
14.96 0.5061 9.903 14.402
30.57 5.9819 -2.940 1.083
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.632 17.266 5.10 17.393
-3.076 24.203 -16.13 7.469
-14.348 6.366 11.33 18.544
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
16.0924 -1.3089 19.888 -13.47
22.8117 0.4540 9.004 1.01
-0.3592 0.9447 24.558 -11.95
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
29.76 -4.602 7.711 1.348
20.96 7.043 7.088 8.931
35.30 4.276 8.614 3.761
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-16.489 2.732 10.213 -8.09263
-8.288 4.390 9.447 -13.62505
12.458 5.517 14.088 -0.05878
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3996 13.731 13.899 12.011
15.8293 -2.583 3.833 8.039
-0.3391 8.688 2.053 2.377
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
8.827 7.408 8.175 3.478
-2.532 -8.511 17.284 3.318
4.077 12.040 13.595 5.102
rnd_95776.volume rnd_95787.volume
52.27 -27.19
36.98 -10.39
-20.28 21.13
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.825 2.583 6.752 4.278 4.784 1.548 1.867 4.627 4.808 4.097 2.549
[2,] 4.586 3.046 8.231 6.218 6.294 1.819 2.164 5.555 6.053 5.844 3.320
[3,] 5.135 3.410 9.266 7.470 7.705 1.956 2.438 5.985 6.626 6.610 3.706
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.512 2.922 4.836 5.852 4.669 4.019 3.618 5.255 4.275 7.545 3.714
[2,] 4.691 3.334 5.936 7.181 5.846 5.035 5.059 6.896 5.521 9.226 4.209
[3,] 5.319 3.723 6.507 8.010 6.827 5.682 5.949 7.846 6.452 10.290 4.563
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.576 5.147 1.670 4.664 5.389 3.480 4.164 1.534 4.446 3.809 2.198
[2,] 14.190 6.451 1.992 6.013 6.880 4.137 6.478 1.767 6.100 4.715 2.604
[3,] 16.796 7.525 2.212 7.861 8.319 4.642 7.558 2.004 7.333 5.472 2.906
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.051 4.398 4.841 4.268 3.588 3.324 1.385 4.035 1.299 3.574 3.031
[2,] 6.461 6.193 6.328 5.039 4.848 4.027 1.611 4.478 1.494 4.539 4.424
[3,] 7.699 7.437 7.301 5.799 5.671 4.591 1.757 4.838 1.677 5.173 5.303
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.731 1.753 3.341 4.199 4.323 2.242 3.881 3.708 1.856 3.588 3.275
[2,] 3.216 2.134 4.586 5.053 4.979 2.638 5.773 4.384 2.126 4.839 4.372
[3,] 3.490 2.380 5.249 5.650 5.449 3.074 6.869 4.799 2.412 6.778 5.489
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.166 2.016 3.574 1.169 2.758 1.644 2.930 3.280 3.402 3.941 1.943
[2,] 4.358 3.910 4.258 1.347 4.091 1.936 3.594 3.788 4.494 5.724 2.308
[3,] 5.259 4.907 4.790 1.517 5.591 2.170 4.315 4.157 5.078 6.584 2.510
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.636 2.998 3.715 1.496 4.037 4.310 5.249 4.440 4.790 4.326 3.734
[2,] 5.288 3.541 5.026 1.844 4.777 5.120 6.050 5.899 5.786 5.931 5.801
[3,] 6.172 4.029 6.152 2.064 5.436 5.668 6.576 6.654 6.528 6.714 6.758
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.157 3.874 2.892 4.158 2.277 2.169 1.679 3.288 2.832 6.332 5.508
[2,] 1.394 5.386 3.449 5.267 2.592 2.838 1.941 4.631 3.376 7.383 6.639
[3,] 1.552 6.563 3.841 6.579 2.890 3.239 2.103 5.176 3.766 8.045 7.638
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.830 1.703 1.970 1.969 2.906 2.334 3.143 1.580 10.33 5.003
[2,] 2.230 2.416 2.374 2.409 3.436 2.711 3.925 1.916 15.05 6.519
[3,] 2.657 2.689 2.693 2.753 4.010 3.045 4.473 2.231 17.50 7.548
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.857 3.28 8.574 5.433 6.075 1.966 2.371 5.875 6.106
[2,] 258.030 164.68 480.206 460.300 417.067 97.361 111.523 313.511 375.121
[3,] 235.839 156.34 434.176 422.301 453.398 73.511 114.532 227.388 275.005
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.202 3.237 4.46 3.71 6.141 7.431 5.928 5.104 4.594
[2,] 425.048 216.948 317.23 163.78 351.047 424.645 358.846 309.346 360.744
[3,] 315.077 168.081 255.74 169.20 271.973 361.888 359.821 268.688 319.302
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 6.673 5.428 9.581 4.716 10.89 6.536 2.12 5.923
[2,] 455.406 356.501 541.691 202.184 1153.04 396.615 110.75 387.121
[3,] 381.757 340.502 464.879 179.628 916.67 395.326 98.31 516.510
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.843 4.419 5.288 1.948 5.645 4.837 2.791 6.415
[2,] 436.241 228.140 506.136 89.363 426.075 283.507 142.489 410.892
[3,] 477.068 214.837 397.155 96.446 415.098 283.152 131.570 427.032
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.585 6.148 5.42 4.556 4.221 1.759 5.124 1.649 4.539
[2,] 444.716 415.640 273.28 332.534 231.858 83.903 198.020 75.358 285.408
[3,] 420.082 371.557 292.71 300.076 225.038 71.678 186.838 77.654 253.101
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.849 3.468 2.226 4.243 5.332 5.49 2.848 4.928
[2,] 328.678 173.253 124.141 320.504 286.775 252.08 141.818 435.986
[3,] 298.390 138.388 107.562 260.437 257.842 225.74 160.817 379.642
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.709 2.356 4.557 4.158 4.021 2.56 4.539 1.484 3.502
[2,] 238.450 105.925 331.136 295.483 305.514 341.70 236.024 68.291 308.191
[3,] 199.342 116.155 484.024 338.530 300.215 302.36 223.836 71.059 388.669
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.087 3.721 4.165 4.32 5.005 2.467 4.618 3.807
[2,] 104.402 212.247 193.305 299.44 423.360 127.099 391.622 192.278
[3,] 99.859 243.530 174.688 241.36 331.850 100.658 324.694 196.056
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.718 1.899 5.126 5.473 6.666 5.638 6.083 5.493
[2,] 345.224 110.023 260.630 281.880 306.947 396.106 331.037 413.859
[3,] 361.899 94.518 264.543 248.210 262.831 314.053 308.457 321.126
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.741 1.469 4.92 3.672 5.28 2.891 2.754 2.132 4.176
[2,] 452.851 79.278 381.68 191.704 329.76 126.279 186.590 99.298 332.622
[3,] 353.524 69.728 382.49 172.351 402.14 130.534 159.433 82.580 235.729
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.596 8.04 6.994 2.324 2.163 2.501 2.501 3.69 2.964
[2,] 187.448 387.33 378.100 129.975 174.743 135.127 141.443 187.00 140.630
[3,] 170.225 325.94 385.219 147.302 120.555 129.701 135.938 210.92 141.504
[,95] [,96] [,97] [,98]
[1,] 3.991 2.007 13.12 6.354
[2,] 239.741 110.571 1115.85 426.191
[3,] 218.915 116.533 911.47 388.115
[1] "--- VAR model 2017-10-03 08:01:00 completed"
[1] "Completed training sample: 2017-10-03 08:01:00 - 2017-10-03 16:00:00"
[1] "SpVAR; training sample: 2017-10-03 08:31:00 - 2017-10-03 16:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
11.070 3.305 -3.733 32.000
1.067 -1.880 -1.576 1.338
2.412 10.959 -7.266 21.324
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.300 6.7353 3.84330 -8.221
27.504 -0.7139 8.79119 2.429
1.889 4.4726 -0.07202 -10.795
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
17.842 -6.618 10.946 -23.60
-3.189 2.991 6.416 -12.40
6.112 10.995 7.404 -30.99
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
7.280 -22.664 18.36 21.70
6.311 8.939 2.00 12.50
13.591 -10.545 -2.03 16.21
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.048 8.5117 34.941 3.086
-11.453 0.9321 23.476 28.302
9.210 -3.3733 1.774 4.497
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.4715 -6.672 6.438 8.311
4.7797 -4.288 -34.888 2.259
-2.2277 -9.346 -12.458 -8.836
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.8274 -8.909 -11.040 -6.551
0.6678 2.970 18.089 -2.882
1.7213 -4.572 -9.155 3.189
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
31.311 7.807 43.49 16.05
3.401 -6.542 12.06 11.69
19.485 -1.326 10.73 10.30
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2256 20.78 -8.06216 0.6422
0.7343 12.31 31.77269 21.2074
2.9096 -8.66 -0.09733 0.6590
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.002 -12.019 13.893 3.2127
13.556 -6.863 0.895 4.3814
-6.690 16.042 6.520 -0.5206
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-10.272 0.3973 -3.006 -16.397
-3.845 -0.5799 -2.905 -15.228
-2.013 2.1927 8.893 -7.548
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.231 1.0636 -17.270 1.340
10.110 3.4237 -5.486 6.720
5.208 -0.5107 -1.485 -4.632
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.519 -3.445 1.9498 15.82
-1.433 -7.671 0.4866 13.14
-9.418 -2.989 -18.4586 15.55
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.014 -8.9382 -3.0620 3.899
2.534 -6.7890 -6.6766 5.384
-4.366 0.6472 -0.1206 -12.591
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
13.841 13.482 4.1572 4.107
-3.991 15.977 -1.2581 8.902
-1.601 3.079 -0.9611 14.289
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.319 18.725 7.109 2.503
1.057 7.115 13.765 12.379
-4.972 4.166 11.610 13.185
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-15.470 -1.418 15.19 11.136
15.322 -3.607 11.09 4.779
7.979 -2.363 15.54 11.395
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
28.149 1.360 10.0179 7.418
1.122 1.138 3.1345 -4.738
27.047 7.746 -0.6731 2.348
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.097 14.3441 6.607 3.1362
8.689 0.3490 16.668 15.0195
10.040 -0.2164 17.109 0.9603
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-11.015 2.3084 -0.4444 -8.457
11.283 -2.5592 9.0428 -2.489
3.533 -0.3814 14.2784 -6.511
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.056 -3.5654 -7.339 2.871
3.101 7.7695 8.024 -4.345
20.198 -0.2144 -6.654 7.159
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-24.029 4.482 -2.8951 5.891
-6.851 -7.213 -17.4766 -31.573
9.744 15.326 -0.9298 -21.859
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.305 1.3988 -1.010 1.5848
2.278 0.8125 4.832 3.6403
5.118 7.7908 4.149 0.8773
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-12.537 -1.673 1.736 5.3141
15.606 1.745 14.137 -0.3445
9.687 -3.878 8.526 -1.1907
rnd_95776.volume rnd_95787.volume
-39.7568 -1.009
-5.0740 -8.361
-0.4548 -3.644
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.443 2.668 6.825 4.214 4.854 1.619 1.870 4.738 4.887 3.996 2.626
[2,] 4.373 3.107 8.424 5.824 6.285 1.937 2.141 5.681 5.990 5.921 3.349
[3,] 4.986 3.546 9.309 7.294 7.632 2.111 2.357 6.139 6.601 6.509 3.700
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.394 2.903 5.056 5.851 4.506 4.055 3.403 5.116 4.216 8.155 3.499
[2,] 4.689 3.358 6.006 7.125 5.801 5.133 4.926 6.841 5.596 9.687 4.046
[3,] 5.307 3.823 6.561 8.004 6.760 5.731 5.810 7.854 6.556 10.757 4.456
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.942 4.845 1.707 4.324 4.712 3.427 4.152 1.554 4.665 3.848 2.231
[2,] 14.241 6.522 2.048 6.128 6.603 4.054 6.104 1.774 6.031 4.882 2.622
[3,] 17.201 7.633 2.273 7.929 8.089 4.522 7.481 2.044 7.291 5.561 2.959
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.840 4.394 4.823 4.542 3.719 3.460 1.380 4.077 1.288 3.614 3.118
[2,] 6.335 6.096 6.128 5.318 5.083 4.208 1.621 4.663 1.476 4.479 4.473
[3,] 7.483 7.412 7.122 5.985 5.935 4.771 1.740 5.062 1.666 5.194 5.228
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.712 1.758 3.433 4.195 4.186 2.336 3.993 3.834 1.854 3.742 3.186
[2,] 3.250 2.107 4.737 5.206 4.848 2.667 5.900 4.509 2.114 5.152 4.403
[3,] 3.556 2.347 5.462 5.747 5.309 3.145 6.969 5.026 2.433 7.087 5.523
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.134 2.037 3.717 1.251 2.976 1.649 3.053 3.269 3.581 3.949 2.038
[2,] 4.412 3.935 4.367 1.432 4.283 1.950 3.726 3.802 4.692 5.752 2.359
[3,] 5.434 5.053 4.862 1.573 5.632 2.173 4.446 4.193 5.376 6.587 2.584
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.756 3.118 3.996 1.523 4.061 3.996 5.105 4.283 4.872 4.472 3.709
[2,] 5.421 3.706 5.329 1.884 4.763 5.060 6.092 5.915 5.986 5.988 5.611
[3,] 6.359 4.130 6.445 2.100 5.306 5.607 6.688 6.719 6.616 6.678 6.582
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.211 3.812 2.900 4.250 2.297 2.275 1.693 3.674 2.987 6.026 5.625
[2,] 1.447 5.357 3.373 5.267 2.620 2.912 2.009 5.132 3.525 7.037 6.717
[3,] 1.598 6.423 3.703 6.502 3.004 3.328 2.168 5.818 3.928 7.690 7.616
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.850 1.663 2.293 2.235 2.765 2.348 3.271 1.719 10.12 4.943
[2,] 2.303 2.531 2.617 2.580 3.306 2.768 4.074 2.085 14.73 6.691
[3,] 2.681 2.774 2.906 2.911 3.992 3.083 4.743 2.338 17.84 7.771
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.372 3.388 8.666 5.351 6.164 2.056 2.374 6.017 6.206
[2,] 206.223 121.822 377.816 307.582 305.402 81.334 79.762 239.728 264.934
[3,] 183.216 130.712 303.079 335.917 331.213 64.248 75.442 178.166 212.295
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.075 3.335 4.31 3.686 6.42 7.43 5.722 5.149 4.322
[2,] 334.152 159.027 247.52 129.174 247.98 311.12 279.497 240.716 272.446
[3,] 206.996 120.388 190.16 139.831 202.20 278.99 265.586 195.109 235.636
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 6.497 5.353 10.36 4.444 11.36 6.152 2.167 5.491 5.983
[2,] 347.392 281.505 400.01 155.304 847.83 334.042 86.543 332.138 353.863
[3,] 295.114 261.278 357.73 143.022 738.03 303.307 75.591 384.977 357.489
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.352 5.272 1.973 5.923 4.886 2.833 6.146 5.579
[2,] 165.725 342.322 65.490 292.413 229.847 105.381 312.683 323.267
[3,] 153.238 330.868 77.634 313.416 203.712 104.909 304.673 322.518
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.125 5.767 4.722 4.393 1.752 5.177 1.635 4.589 3.96
[2,] 289.139 211.671 265.033 183.296 65.055 173.083 55.182 202.470 245.35
[3,] 277.689 210.145 234.480 171.942 48.485 150.838 59.053 201.170 206.94
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.444 2.233 4.36 5.327 5.316 2.967 5.07 4.869 2.355
[2,] 136.987 88.856 249.65 235.780 187.054 98.369 332.26 181.448 77.656
[3,] 110.397 79.110 208.10 186.267 165.517 127.573 283.74 169.904 92.203
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.752 4.045 3.98 2.587 4.72 1.589 3.779 2.094 3.877
[2,] 270.914 232.505 237.47 257.475 175.42 53.310 235.616 79.567 163.342
[3,] 372.199 255.086 242.78 242.521 163.43 49.820 279.812 73.405 185.556
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.151 4.548 5.014 2.588 4.77 3.959 5.074 1.934 5.156
[2,] 148.581 231.873 319.944 90.922 299.05 153.332 269.662 84.890 190.452
[3,] 135.242 200.850 245.641 80.574 254.23 139.371 277.318 70.888 178.933
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.074 6.483 5.438 6.187 5.679 4.709 1.537 4.84 3.683
[2,] 237.442 254.277 312.044 265.990 304.592 322.139 60.660 287.99 131.817
[3,] 184.785 211.283 243.933 215.622 226.276 263.138 51.883 270.99 116.896
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.397 2.917 2.889 2.149 4.665 3.793 7.652 7.143
[2,] 238.019 96.394 139.069 82.807 274.091 143.114 277.993 280.863
[3,] 291.599 112.438 123.196 62.376 209.774 132.583 237.280 274.660
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.349 2.112 2.912 2.839 3.511 2.981 4.154 2.183 12.85
[2,] 104.877 145.978 96.521 98.508 138.690 112.102 185.777 90.308 818.30
[3,] 105.124 86.848 96.577 103.140 171.135 103.886 185.849 80.817 770.29
[,98]
[1,] 6.277
[2,] 344.979
[3,] 302.391
[1] "--- VAR model 2017-10-03 08:31:00 completed"
[1] "Completed training sample: 2017-10-03 08:31:00 - 2017-10-03 16:30:00"
[1] "SpVAR; training sample: 2017-10-03 09:01:00 - 2017-10-03 17:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-11.621 -6.255 -17.077 8.848
3.210 9.222 -1.515 -15.138
-6.747 19.037 -22.137 -16.140
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.651 9.481 16.932 3.266
-16.696 -1.387 3.292 10.083
-18.971 6.986 -1.033 8.513
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.863 19.506 0.1475 -16.124
2.997 1.279 0.3425 -5.758
30.991 13.783 3.7680 -21.166
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
26.279 -16.898 23.98 -3.307
6.198 -3.672 48.56 6.524
9.850 -12.654 10.11 5.767
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.724 -7.841 2.448 7.660
9.458 -2.088 3.310 5.201
7.246 13.684 23.320 3.665
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-39.547 -4.005 -10.98 -25.104
-5.149 3.908 -52.13 -5.181
-13.069 2.490 -33.66 -25.896
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.1415 -46.308 -24.26 14.975
-3.7834 -2.089 -13.58 5.107
-0.5755 -31.305 -14.99 4.201
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
9.465 -7.744 -5.307 24.94
-17.051 -4.546 -15.996 20.63
-6.427 -2.762 -7.044 30.07
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.466 -29.59 -12.668 -11.35
1.298 4.36 -8.406 -19.67
-1.066 -12.07 -6.189 -12.96
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.755 -14.210 -14.671 1.217
6.586 -1.660 -8.636 2.490
-3.206 -2.634 6.376 1.403
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
12.73 7.378 9.6621 -15.56
16.88 5.852 -0.4015 -22.45
14.40 6.777 -6.6960 -13.84
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-7.735 8.283 -18.58 3.877
5.390 3.980 -28.84 17.875
3.477 3.882 -13.54 1.763
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.721 -0.8982 -31.013 -0.5288
-10.578 -0.9761 -1.143 7.5712
-5.760 2.4921 -40.451 19.0368
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.761 0.3317 3.043 3.518
-3.930 -38.1780 -36.634 -8.260
-1.796 -12.4889 -8.264 -19.956
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.665 -16.4448 -1.3320 6.23041
2.218 -1.9808 2.0436 10.98202
-39.118 -0.1619 0.3608 -0.08847
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
3.6242 -1.698 -3.562 1.3850
0.6605 2.103 1.666 20.3749
-3.6762 0.496 -5.464 0.9967
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.332 -12.643 17.971 -14.1774
3.392 -1.187 6.537 -5.0882
12.428 -0.275 17.246 -0.5894
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
17.830 -0.6787 -10.086 -15.554
2.378 7.7081 -3.840 8.139
19.872 9.1160 -1.329 -11.066
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.958 -7.205 15.54 4.745
3.339 -9.419 21.89 -11.897
17.901 -4.738 29.54 2.663
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.578 0.8136 14.605 -4.935
-19.875 0.4087 5.541 -17.682
4.958 -5.4331 1.251 -17.261
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
25.268 1.715 -3.744 8.444
14.558 8.197 -2.791 4.240
-6.318 4.636 -1.227 4.496
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-20.3459 -10.458 -14.508 -18.0942
0.5137 6.709 2.758 0.9321
2.6147 17.583 22.760 -15.8827
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.635 1.187 -3.9690 -6.9857
2.197 -8.425 -0.8725 0.8597
-1.642 2.344 -0.5780 -2.9592
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
16.104 -4.800 5.0864 4.258
14.650 5.114 -0.4087 2.189
2.371 5.878 10.5378 -1.584
rnd_95776.volume rnd_95787.volume
-15.76 -28.591
-42.81 -5.519
-25.56 -29.035
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.831 2.716 6.565 3.906 4.758 1.906 1.767 4.890 4.764 3.792 2.759
[2,] 4.752 3.198 8.228 5.632 6.397 2.289 2.112 5.731 6.004 5.836 3.488
[3,] 5.315 3.597 9.115 7.075 7.664 2.430 2.349 6.246 6.589 6.432 3.867
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.281 3.002 5.057 6.259 4.461 4.145 3.578 5.126 4.196 8.624 3.724
[2,] 4.487 3.422 6.112 7.462 5.811 5.200 5.144 6.772 5.495 10.253 4.131
[3,] 5.095 3.982 6.721 8.340 6.698 5.801 6.009 7.733 6.524 11.450 4.640
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.183 4.755 1.690 3.882 4.208 3.531 4.113 1.573 4.382 3.835 2.206
[2,] 13.558 6.561 2.031 6.048 6.399 4.033 6.076 1.841 5.889 4.942 2.626
[3,] 16.480 7.699 2.237 7.698 8.121 4.500 7.384 2.061 7.283 5.581 2.977
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.565 4.466 4.840 4.270 4.079 3.568 1.373 3.723 1.283 3.527 3.160
[2,] 5.994 6.228 6.044 5.108 5.288 4.341 1.583 4.452 1.488 4.363 4.444
[3,] 7.345 7.511 6.966 5.783 6.148 4.866 1.712 4.971 1.659 5.116 5.082
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.677 1.723 3.156 4.144 4.269 2.291 4.061 3.801 1.806 3.721 3.244
[2,] 3.212 2.036 4.573 5.048 4.955 2.666 5.913 4.520 2.088 5.204 4.556
[3,] 3.556 2.261 5.375 5.642 5.479 3.127 7.039 5.038 2.336 7.111 5.721
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.078 2.071 3.703 1.257 2.907 1.592 2.876 3.305 3.643 4.020 2.064
[2,] 4.505 3.970 4.349 1.417 4.263 1.884 3.610 3.842 4.617 5.697 2.437
[3,] 5.520 5.227 4.853 1.550 5.671 2.130 4.446 4.171 5.464 6.563 2.653
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.776 3.044 3.946 1.625 4.155 4.183 5.161 4.532 4.981 4.317 3.758
[2,] 5.409 3.690 5.409 1.941 4.938 5.215 6.010 6.018 6.003 6.106 5.448
[3,] 6.163 4.091 6.438 2.164 5.356 5.817 6.629 6.808 6.710 6.861 6.575
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.205 3.978 2.648 4.649 2.196 2.324 1.817 3.947 3.057 5.805 5.709
[2,] 1.483 5.507 3.100 5.782 2.538 2.975 2.100 5.209 3.594 6.919 6.596
[3,] 1.637 6.594 3.444 6.817 2.904 3.352 2.238 6.024 4.006 7.582 7.435
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.748 1.709 2.400 2.417 3.024 2.299 3.566 1.630 9.659 4.818
[2,] 2.272 2.684 2.837 2.773 3.673 2.744 4.425 2.008 14.319 6.668
[3,] 2.827 2.941 3.163 3.109 4.200 3.064 5.036 2.290 17.236 7.825
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.865 3.448 8.337 4.96 6.042 2.421 2.244 6.21 6.049
[2,] 212.279 127.560 374.520 306.34 322.829 95.646 87.317 225.75 275.963
[3,] 179.698 124.380 296.096 323.38 318.747 61.719 77.604 187.41 204.943
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.815 3.503 4.166 3.812 6.421 7.948 5.665 5.263
[2,] 334.942 161.226 231.145 124.122 259.263 306.746 281.099 237.067
[3,] 204.110 126.024 182.204 153.704 211.151 281.338 251.632 194.346
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.543 6.509 5.329 10.95 4.729 11.66 6.038 2.146 4.93
[2,] 279.028 334.160 267.916 418.77 135.137 753.10 341.325 84.984 350.08
[3,] 234.531 281.926 265.542 384.89 159.455 707.48 304.215 70.988 359.59
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.343 4.484 5.223 1.997 5.564 4.87 2.802 5.797 5.671
[2,] 363.959 147.171 337.631 72.314 297.062 235.36 107.465 293.331 327.725
[3,] 377.565 150.740 316.904 69.895 323.628 195.74 105.911 320.468 317.053
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.146 5.422 5.18 4.531 1.743 4.728 1.629 4.479 4.013
[2,] 273.276 211.740 254.05 186.734 59.532 184.301 56.966 193.888 235.860
[3,] 261.604 204.667 236.80 166.069 49.161 167.015 55.407 201.753 186.232
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.4 2.189 4.007 5.262 5.422 2.909 5.157 4.827 2.293
[2,] 134.0 81.904 249.910 217.627 189.948 102.945 324.550 184.670 79.110
[3,] 115.3 74.143 213.273 190.309 176.574 123.353 288.310 167.946 79.096
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.724 4.119 3.909 2.63 4.702 1.596 3.692 2.022 3.652
[2,] 274.742 241.540 248.323 255.68 172.214 49.458 235.391 76.021 164.713
[3,] 365.923 261.260 240.822 256.77 162.723 47.403 282.318 75.121 196.017
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.197 4.625 5.105 2.622 4.795 3.866 5.011 2.064 5.276
[2,] 147.845 214.177 304.756 97.814 292.410 157.470 279.341 80.118 201.448
[3,] 122.685 220.624 246.044 79.144 222.977 133.353 263.550 72.216 156.853
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.311 6.553 5.755 6.325 5.482 4.772 1.53 5.052 3.363
[2,] 235.211 232.541 298.973 253.012 325.978 297.854 65.27 287.522 121.633
[3,] 194.631 211.338 240.355 226.453 236.404 277.901 52.40 273.846 113.353
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 5.903 2.788 2.951 2.308 5.012 3.882 7.372 7.25 2.219
[2,] 259.546 96.147 140.180 79.430 256.657 142.717 284.338 249.50 109.670
[3,] 272.705 106.621 116.759 58.541 228.529 133.694 234.184 259.02 126.980
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.171 3.048 3.07 3.839 2.92 4.528 2.07 12.27 6.118
[2,] 156.231 114.143 102.59 157.406 113.14 197.907 88.56 798.11 348.059
[3,] 90.848 105.763 106.19 153.864 102.89 181.504 83.07 724.46 309.219
[1] "--- VAR model 2017-10-03 09:01:00 completed"
[1] "Completed training sample: 2017-10-03 09:01:00 - 2017-10-03 17:00:00"
[1] "SpVAR; training sample: 2017-10-03 09:31:00 - 2017-10-03 17:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.278 11.136 -14.204 -13.502
7.982 10.012 -26.435 -20.074
12.225 4.052 -7.918 3.608
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.044 4.905 4.681 6.213
-13.184 -1.589 7.139 7.276
-12.076 4.665 3.807 -11.452
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
26.014 32.050 8.915 -9.1889
8.122 13.864 13.520 0.1358
2.063 4.077 2.393 -16.6733
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.301 -12.230 -6.574 8.022
11.689 7.704 14.257 11.482
9.524 -4.728 9.647 5.127
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
16.4424 -5.838 2.858 8.193
0.1034 5.114 28.512 18.378
21.1449 -4.284 -7.964 2.559
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-32.303 0.8039 -5.896 -11.350
-15.748 -5.4139 -33.603 -8.639
2.929 0.8406 -49.594 -4.100
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.539 -13.213 -19.895 -5.9068
3.417 -3.644 4.788 4.2143
-4.358 -3.757 -13.955 0.6819
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-12.440 7.0514 -5.5154 8.242
-18.744 -4.5626 -21.0671 -2.030
2.571 0.7138 -0.3849 2.603
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.260 23.26 6.856 25.17
-3.428 -27.53 -7.249 -10.00
1.124 -23.04 -12.056 -17.50
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.221 -3.374 0.3335 -1.9209
-12.632 -14.248 2.8832 0.8232
-18.657 -18.276 2.1345 -0.8782
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-12.237 3.5628 12.109 -8.228
-6.705 0.2811 4.487 -6.610
-1.549 -2.8307 -17.618 -10.272
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.127 -2.679 -15.237 12.391
6.392 -1.084 4.126 -4.115
10.287 1.781 -4.190 -8.206
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-7.002 -0.1727 0.04845 6.95
-2.692 -0.7084 -12.51541 11.61
4.895 1.8919 9.81326 16.58
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-7.986 -4.559 -0.01568 10.493
-2.827 5.278 -0.08127 -2.142
1.762 -7.575 -10.45726 -4.644
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
12.547 1.316 0.3976 8.778
1.411 6.429 -1.7802 5.694
-5.177 1.163 0.1132 10.931
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.358 16.397 -1.606 5.034
-4.890 9.120 6.530 18.940
-2.922 7.744 -5.984 17.712
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.387 -1.3428 9.161 2.018
19.863 1.1301 3.422 1.298
15.525 0.1124 26.080 1.919
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.432 5.874 7.0629 8.665
-3.686 4.662 0.1551 3.643
20.856 -3.643 6.1822 11.782
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.6227 -8.683 20.39 -3.806
4.4374 6.853 23.85 23.091
0.5673 12.984 18.46 18.383
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.708 -0.1875 16.962 -12.97
-5.099 -1.5223 1.261 -13.96
19.862 -4.8831 10.115 -14.59
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
28.488 4.060 -7.293 -4.9880
-2.429 1.779 -1.072 1.9473
-8.408 -6.538 2.204 0.6517
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-20.40 10.055 -4.075 -21.92
-12.35 9.585 -5.354 -17.61
-22.81 5.554 16.873 -27.61
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.450 -4.322 3.26242 6.501
-1.299 7.335 -0.08461 -6.650
2.928 -4.037 3.23824 3.426
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.080 -8.87564 19.59 -0.6592
-5.707 3.35557 16.09 3.2221
-2.280 0.09261 20.29 -0.7732
rnd_95776.volume rnd_95787.volume
-48.143 -10.256
12.590 -6.968
-3.376 -6.082
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.845 2.744 6.737 3.071 4.389 1.954 1.744 5.144 4.831 3.677 2.731
[2,] 4.742 3.238 8.510 4.805 5.935 2.329 2.083 5.833 5.905 6.009 3.579
[3,] 5.328 3.609 9.472 6.593 7.036 2.535 2.311 6.311 6.539 6.574 3.975
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.094 2.951 4.974 6.443 4.420 3.958 3.816 5.454 4.316 8.762 3.904
[2,] 4.434 3.479 5.936 7.692 5.693 5.132 5.122 6.786 5.585 10.496 4.327
[3,] 5.134 4.004 6.689 8.489 6.617 5.790 6.104 7.839 6.709 11.632 4.828
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.578 4.759 1.749 3.776 4.253 3.365 3.522 1.657 4.143 3.938 2.110
[2,] 14.185 6.570 2.131 6.226 6.514 3.890 5.215 1.956 5.483 4.943 2.567
[3,] 17.059 7.815 2.335 8.036 8.247 4.437 6.915 2.191 6.952 5.743 2.848
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.495 4.037 4.189 4.248 4.124 3.950 1.289 3.870 1.269 3.282 2.808
[2,] 5.547 5.776 5.685 5.102 5.156 4.697 1.557 4.651 1.490 3.961 3.981
[3,] 6.875 6.805 6.556 5.662 6.087 5.292 1.690 5.144 1.653 4.884 4.588
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.707 1.790 3.164 4.131 4.112 2.364 4.167 4.150 1.868 3.739 3.256
[2,] 3.258 2.050 4.566 5.167 4.953 2.703 5.948 4.846 2.198 5.385 4.583
[3,] 3.581 2.288 5.250 5.791 5.493 3.131 7.152 5.342 2.476 7.305 5.768
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.148 2.036 3.672 1.246 3.070 1.654 2.999 3.272 3.845 4.004 2.136
[2,] 4.587 4.054 4.344 1.426 4.433 1.941 3.875 3.778 4.906 5.760 2.530
[3,] 5.596 5.309 4.842 1.569 5.716 2.175 4.565 4.142 5.784 6.683 2.745
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.943 3.014 3.883 1.671 4.060 4.295 5.125 4.578 5.251 4.293 3.545
[2,] 5.347 3.606 5.427 1.956 4.906 5.280 6.066 6.004 6.300 6.223 5.263
[3,] 6.173 4.090 6.441 2.200 5.308 5.823 6.733 6.762 6.930 6.960 6.348
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.166 3.940 2.735 4.593 2.154 2.359 1.826 4.010 3.046 6.264 6.083
[2,] 1.483 5.406 3.266 5.726 2.521 2.914 2.101 5.173 3.638 7.164 7.213
[3,] 1.644 6.614 3.565 6.788 2.910 3.345 2.302 5.983 4.056 7.881 8.006
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.851 1.766 2.409 2.520 2.993 2.323 3.523 1.816 9.881 4.751
[2,] 2.456 2.606 2.826 2.804 3.628 2.686 4.314 2.215 15.221 6.607
[3,] 3.015 2.882 3.136 3.116 4.189 2.996 4.975 2.507 18.238 7.943
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.882 3.485 8.555 3.899 5.573 2.482 2.215 6.532 6.135
[2,] 197.536 122.373 370.070 263.079 284.424 90.164 81.100 195.899 241.623
[3,] 172.947 113.480 296.163 321.318 269.022 71.330 71.235 171.569 200.021
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.669 3.468 3.929 3.748 6.317 8.182 5.613 5.026
[2,] 338.261 164.600 226.058 131.143 230.621 299.026 255.442 232.557
[3,] 189.855 123.274 184.226 141.042 219.548 255.667 239.990 190.786
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.846 6.926 5.48 11.13 4.957 12.16 6.043 2.221 4.795
[2,] 243.236 287.381 252.28 411.30 132.977 744.74 322.408 86.633 352.357
[3,] 236.276 279.368 264.69 357.05 152.438 674.51 301.236 67.977 361.549
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.4 4.273 4.472 2.104 5.261 5.001 2.68 5.708 5.126
[2,] 351.2 139.031 273.760 73.924 255.602 212.572 104.06 231.368 294.017
[3,] 360.1 151.893 323.225 70.391 304.304 208.260 87.76 289.144 256.111
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.319 5.395 5.237 5.016 1.637 4.914 1.611 4.168 3.565
[2,] 273.594 201.096 220.277 180.893 62.111 183.701 55.587 157.791 200.852
[3,] 232.483 174.856 230.311 173.613 46.827 156.447 50.992 203.410 162.358
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.437 2.273 4.017 5.246 5.222 3.002 5.292 5.27 2.372
[2,] 129.089 71.048 234.356 220.930 196.446 93.286 302.099 178.19 82.485
[3,] 105.777 72.336 184.374 186.094 169.203 112.479 282.740 160.01 81.207
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.748 4.135 3.998 2.586 4.663 1.583 3.899 2.101 3.808
[2,] 275.862 229.512 237.465 249.504 165.281 49.319 227.600 72.261 174.735
[3,] 351.320 249.306 228.154 243.979 152.214 46.669 256.886 69.939 171.813
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.154 4.883 5.085 2.712 5.007 3.827 4.931 2.122 5.156
[2,] 134.459 216.894 294.674 96.482 257.120 140.958 269.795 72.365 196.053
[3,] 120.943 218.046 241.290 75.867 219.590 137.353 246.954 71.750 144.235
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.455 6.508 5.813 6.668 5.451 4.502 1.481 5.003
[2,] 218.550 231.095 276.488 247.824 320.678 276.829 65.209 263.515
[3,] 174.883 207.976 221.510 205.593 221.955 252.628 50.528 271.190
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.473 5.832 2.736 2.996 2.319 5.091 3.868 7.955
[2,] 127.105 243.385 93.165 121.704 73.920 232.667 141.602 247.376
[3,] 101.739 259.541 103.434 116.947 66.931 214.008 127.716 233.937
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 7.724 2.351 2.243 3.06 3.20 3.801 2.95 4.473 2.306
[2,] 275.928 114.912 136.399 105.13 87.60 145.879 96.01 177.242 90.242
[3,] 247.378 124.512 87.562 96.81 96.64 149.137 94.47 176.423 83.596
[,97] [,98]
[1,] 12.55 6.033
[2,] 823.99 326.780
[3,] 715.31 313.861
[1] "--- VAR model 2017-10-03 09:31:00 completed"
[1] "Completed training sample: 2017-10-03 09:31:00 - 2017-10-03 17:30:00"
[1] "SpVAR; training sample: 2017-10-03 10:01:00 - 2017-10-03 18:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.50 0.1258 -4.991 11.785
-5.84 -3.6468 1.542 7.589
1.18 0.1531 -5.713 -13.658
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
6.883 9.256 0.1189 18.359
10.885 6.726 1.7062 3.282
8.287 8.254 -1.4471 -0.384
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
20.31 0.09602 6.115 -19.654
10.40 15.45053 10.228 -8.426
-11.61 4.04343 8.152 -8.319
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3386 -16.758 -36.62 3.492
7.3465 -1.392 -22.40 1.000
14.3291 13.700 18.71 6.430
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.554 1.261 15.180 7.579
-3.146 5.744 9.338 2.961
-5.510 -3.507 9.851 12.351
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
21.249 9.464 -33.297 23.650
4.713 -2.784 -18.166 -8.507
-4.882 4.695 -7.166 -6.512
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.004 -4.650 15.519 0.3947
-5.517 -7.596 5.788 4.4709
-1.347 -2.784 -8.930 4.3213
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
19.877 2.026 2.272 -17.04
6.038 -1.016 13.021 -9.46
-16.515 3.471 -7.552 -21.19
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.352 -2.14846 2.237 -1.181
4.953 16.28313 10.581 12.191
2.966 0.09409 9.108 10.086
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
16.785 23.347 5.750 1.429
15.688 6.240 12.049 4.158
4.872 -4.304 7.114 1.267
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2906 0.1817 4.706 1.152
15.2262 0.2751 12.282 -7.762
17.3341 1.2261 1.863 -10.766
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.439 -1.816 -2.292 9.158
-2.923 1.603 1.361 4.331
4.884 1.937 -11.674 6.611
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-10.7358 -4.505 11.3006 -7.600
2.0160 -1.530 -0.3269 1.134
0.9074 6.536 12.8874 4.768
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.04656 14.212 5.312 4.568
-4.05385 -1.151 3.101 11.453
-1.68823 6.460 2.222 7.628
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.597 -1.577 -1.3171 12.435
11.240 -6.266 5.0635 8.542
10.791 10.050 -0.1134 6.488
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.785 5.910 8.566 14.107
-3.914 -1.498 6.696 9.639
1.179 7.599 4.726 10.988
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.4208 0.4942 13.49 1.249
16.0499 1.9508 18.93 12.481
5.8021 -1.6249 19.94 7.882
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.48 0.7339 7.784 -3.547
25.34 -0.2607 -2.113 -1.046
22.96 6.3696 3.813 1.503
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.826 0.5250 27.17 9.119
-3.288 -3.9894 21.61 11.469
5.285 -0.5876 12.00 -7.329
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-13.53 -3.641 10.61 -3.075
24.05 -1.946 24.66 -5.124
12.62 -3.791 26.06 -5.632
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.343 -7.7725 -2.661 -0.3651
5.013 -1.6868 -3.916 -4.2943
31.943 -0.5009 4.380 2.2147
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.114 -1.3513 8.664 -29.700
3.481 -1.0178 -6.035 -14.528
14.222 0.1275 -2.482 -9.127
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.888 -2.187 -1.565 -8.114
-4.902 -5.666 -5.515 -1.105
-5.969 -5.239 -3.090 -3.157
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.608 -0.1887 34.67 -3.031
5.615 -2.8985 22.52 -9.603
4.000 0.2051 29.18 -2.495
rnd_95776.volume rnd_95787.volume
-31.63 12.695
29.17 -8.711
13.40 -8.405
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.890 2.973 6.906 2.753 3.905 2.013 1.784 4.618 4.752 3.733 2.695
[2,] 4.729 3.454 8.628 4.708 5.680 2.471 2.104 5.385 5.686 5.915 3.511
[3,] 5.168 3.839 9.618 6.352 6.809 2.706 2.325 5.958 6.436 6.464 3.948
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.958 2.976 5.092 6.496 4.609 3.946 4.024 5.433 4.305 9.141 3.713
[2,] 4.388 3.490 6.133 7.733 5.947 5.078 5.409 6.618 5.609 10.779 4.192
[3,] 4.951 4.046 6.956 8.628 6.826 5.858 6.103 7.649 6.612 12.196 4.649
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.461 4.810 1.780 3.963 4.184 3.558 3.349 1.697 3.631 4.078 2.087
[2,] 14.913 6.781 2.212 6.304 6.431 4.094 5.245 2.012 5.415 5.084 2.548
[3,] 17.651 8.215 2.433 8.252 8.417 4.630 6.757 2.248 6.750 5.880 2.821
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.281 3.735 4.358 4.143 4.135 3.968 1.320 3.836 1.253 3.273 2.856
[2,] 5.341 5.733 5.752 5.001 5.129 4.708 1.543 4.707 1.467 4.064 4.005
[3,] 6.836 6.762 6.638 5.525 6.099 5.255 1.695 5.303 1.610 4.870 4.675
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.580 1.771 3.276 4.297 4.107 2.280 4.449 4.375 1.913 3.764 3.385
[2,] 3.129 2.038 4.760 5.358 4.976 2.730 6.254 5.091 2.202 5.658 4.904
[3,] 3.464 2.290 5.447 5.979 5.520 3.194 7.415 5.574 2.500 7.528 6.080
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.224 2.115 3.915 1.255 3.239 1.651 3.232 3.260 4.189 4.382 2.194
[2,] 4.602 4.216 4.572 1.451 4.605 1.938 4.069 3.804 5.358 6.219 2.608
[3,] 5.838 5.562 4.927 1.619 5.908 2.184 4.710 4.194 6.034 6.972 2.825
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.647 3.249 3.826 1.685 4.262 4.345 5.213 4.738 5.045 4.180 3.516
[2,] 5.271 3.803 5.533 1.968 4.961 5.318 6.244 6.204 6.026 6.223 5.482
[3,] 6.320 4.276 6.611 2.218 5.360 5.764 6.970 6.890 6.735 6.943 6.569
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.092 3.873 2.702 4.636 1.998 2.405 1.850 4.185 3.216 6.218 5.846
[2,] 1.426 5.299 3.240 5.757 2.406 2.975 2.095 5.300 3.805 7.095 7.202
[3,] 1.602 6.548 3.533 6.856 2.751 3.368 2.286 5.976 4.239 7.773 8.082
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.861 1.798 2.331 2.596 3.036 2.400 3.442 1.732 10.03 4.894
[2,] 2.485 2.728 2.913 3.009 3.656 2.763 4.228 2.097 15.75 6.921
[3,] 3.103 3.085 3.317 3.303 4.241 3.028 4.883 2.320 18.55 8.461
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.94 3.776 8.769 3.496 4.959 2.557 2.265 5.864 6.034
[2,] 191.66 125.375 368.808 272.306 294.106 102.183 79.592 197.505 222.715
[3,] 148.74 119.518 303.108 304.010 267.716 78.718 70.510 181.890 215.011
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.741 3.422 3.756 3.779 6.466 8.249 5.852 5.011
[2,] 327.141 160.497 231.135 130.013 243.761 299.178 268.010 227.870
[3,] 185.968 128.684 163.515 145.918 234.084 272.972 238.950 208.310
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.109 6.899 5.467 11.61 4.714 12.01 6.107 2.26 5.033
[2,] 257.776 269.445 256.351 407.35 138.901 821.93 340.822 93.70 349.558
[3,] 201.591 273.575 249.601 406.88 143.310 673.31 330.726 72.26 379.719
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.314 4.518 4.253 2.154 4.611 5.179 2.65 5.437 4.742
[2,] 348.184 144.385 287.785 77.080 286.395 216.461 104.27 227.666 310.170
[3,] 387.231 154.309 303.747 71.626 287.400 210.732 86.30 304.299 255.717
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.535 5.261 5.251 5.038 1.677 4.871 1.591 4.156 3.626
[2,] 267.692 199.749 216.355 180.761 56.907 194.557 54.350 171.770 200.267
[3,] 236.294 167.528 235.352 166.419 49.997 174.196 47.306 191.472 171.926
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.277 2.249 4.159 5.456 5.216 2.895 5.649 5.556 2.429
[2,] 126.238 71.841 246.269 228.273 200.360 107.050 313.420 185.611 77.787
[3,] 105.876 74.590 188.758 189.192 170.322 118.311 284.058 161.987 84.505
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.78 4.298 4.094 2.685 4.971 1.593 4.113 2.097 4.104
[2,] 301.24 253.015 234.188 260.024 168.396 51.924 233.351 72.388 176.240
[3,] 353.99 256.257 256.090 258.656 130.947 51.198 263.969 71.761 169.131
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.14 5.319 5.565 2.786 4.631 4.126 4.858 2.139 5.412
[2,] 139.82 238.224 314.593 100.469 271.343 140.987 284.960 72.516 181.041
[3,] 126.02 197.890 224.899 77.439 248.608 139.348 258.017 73.068 144.910
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.517 6.619 6.017 6.407 5.307 4.465 1.386 4.919
[2,] 218.621 245.144 285.523 234.998 328.775 299.921 65.421 257.846
[3,] 158.647 220.938 213.907 214.548 219.479 258.121 52.113 274.270
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.431 5.887 2.537 3.054 2.349 5.314 4.084 7.896 7.424
[2,] 127.519 243.331 95.575 124.937 70.206 231.911 145.088 243.699 299.930
[3,] 100.533 265.512 95.177 112.591 65.112 196.963 133.147 226.404 261.554
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.364 2.283 2.96 3.297 3.855 3.047 4.37 2.199 12.74
[2,] 117.430 146.312 124.59 108.461 145.272 97.701 175.17 84.367 865.82
[3,] 132.527 102.745 113.12 97.241 153.183 88.406 174.23 70.799 698.54
[,98]
[1,] 6.214
[2,] 348.988
[3,] 347.022
[1] "--- VAR model 2017-10-03 10:01:00 completed"
[1] "Completed training sample: 2017-10-03 10:01:00 - 2017-10-03 18:00:00"
[1] "SpVAR; training sample: 2017-10-03 10:31:00 - 2017-10-03 18:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
22.70 -1.5704 2.525 -3.399
12.68 -0.9311 -5.625 -22.683
5.40 4.5769 -2.476 2.524
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.578 1.401 -0.2352 10.84
-3.034 3.228 5.4446 18.82
-18.643 7.428 2.7208 11.66
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
14.71 8.664 1.805 -19.262
12.19 6.795 -2.994 -4.387
15.86 10.940 4.108 -5.320
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.404 2.008 -2.053 13.35
3.366 21.517 11.553 10.82
-1.764 8.910 3.661 15.63
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
17.609 4.0368 2.017 13.04
-6.982 8.2007 28.727 21.57
14.376 -0.3614 18.639 20.14
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.271 -11.459 -1.287 -13.0010
6.719 7.204 1.259 -0.2157
-18.871 3.145 -7.179 10.2598
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.711 -5.341 -15.120 -0.47746
-1.420 -3.195 4.218 17.18961
2.607 10.762 2.129 -0.03912
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.742 5.544 5.327 -20.33
-18.873 1.432 -21.520 -20.05
4.421 5.211 6.892 -20.50
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.0345 -1.953 -11.488 -9.250
0.1558 -16.605 -5.555 -15.075
3.1568 -20.991 -21.042 -5.362
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
16.93 0.9216 5.815 3.2399
16.23 5.4645 13.077 0.2164
21.66 -3.5408 8.486 3.1388
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
12.70 4.9418 -3.891 -4.683
12.53 -2.2174 -6.746 -23.907
10.51 -0.1032 -9.444 -8.843
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.843 -3.183 1.543 -0.8013
12.103 -4.360 -12.979 12.4920
1.419 1.949 -4.631 3.4099
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.6631 5.919 4.745 5.157
-3.1686 -1.869 6.497 28.348
6.0101 2.685 5.012 8.930
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.120 3.124 9.029 -6.6835
1.371 13.663 -14.700 -0.2778
3.071 2.153 19.742 14.0760
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.278 11.061 3.4748 25.277
-2.373 -2.077 0.1851 8.238
-13.837 5.462 -1.4759 -0.301
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.836 14.466 9.978 -1.101
-3.968 2.026 -7.010 31.065
-7.468 4.187 7.977 -7.186
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.685 5.913 -0.9545 6.8442
31.099 2.385 7.5413 -0.6637
7.548 5.383 14.7020 1.2548
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.514 2.7288 1.655 25.592
-5.479 -5.2953 8.498 12.853
11.473 0.2148 2.534 5.229
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.182 25.5507 5.817 4.748
-11.811 0.8550 12.289 23.032
1.094 0.3343 11.988 13.354
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.016 -2.0115 7.285 -1.079
14.987 -2.0317 9.272 -3.638
4.357 0.6229 6.605 -3.527
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.533 -0.4796 4.960 -4.2123
-11.556 1.0953 7.083 -0.8744
17.403 -2.7350 2.181 -2.1966
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
15.886 4.909 -0.4510 10.617
3.261 -2.389 -0.9129 -6.905
8.203 5.555 16.2410 -4.141
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.2301 2.16276 -2.198 -0.4038
-3.1927 -3.44909 -2.676 -3.9453
0.3009 0.09291 -1.235 6.0406
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
17.8807 5.9446 -6.142 -1.712
-0.2252 1.4837 11.615 5.152
0.7273 0.1301 1.211 3.088
rnd_95776.volume rnd_95787.volume
17.500 -8.117
1.354 -7.097
50.742 7.960
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.126 2.980 6.777 2.891 3.991 2.083 1.850 4.619 4.754 3.684 2.692
[2,] 5.029 3.537 8.690 4.798 5.737 2.533 2.151 5.450 5.686 5.939 3.482
[3,] 5.456 3.982 9.764 6.377 6.901 2.764 2.360 5.988 6.482 6.583 3.942
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.942 3.028 5.124 6.375 4.357 3.983 4.087 5.135 4.413 8.551 3.717
[2,] 4.279 3.563 6.042 7.576 5.669 5.023 5.457 6.423 5.816 10.498 4.209
[3,] 4.880 4.096 6.945 8.454 6.568 5.776 6.098 7.515 6.773 11.897 4.762
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.824 4.881 1.798 4.110 4.320 3.497 3.435 1.704 3.620 4.380 2.180
[2,] 14.417 6.874 2.275 6.285 6.358 4.074 5.214 2.079 5.492 5.425 2.570
[3,] 17.526 8.221 2.506 8.096 8.347 4.649 6.769 2.359 6.754 6.139 2.847
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.259 3.765 4.552 4.023 4.328 3.986 1.333 3.988 1.269 3.263 2.871
[2,] 5.337 5.747 5.825 4.983 5.229 4.747 1.526 4.829 1.472 4.122 4.046
[3,] 6.627 6.830 6.814 5.613 6.024 5.270 1.691 5.393 1.620 4.877 4.671
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.531 1.755 3.285 4.235 4.367 2.227 4.338 4.371 1.957 3.856 3.388
[2,] 3.101 1.999 4.690 5.466 5.268 2.715 6.269 5.242 2.262 5.869 4.858
[3,] 3.456 2.280 5.350 6.086 5.775 3.137 7.555 5.747 2.567 7.660 6.234
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.196 2.100 4.127 1.196 3.317 1.614 3.218 3.267 4.203 4.391 2.170
[2,] 4.599 4.273 4.645 1.424 4.642 1.930 3.993 3.834 5.480 6.164 2.627
[3,] 5.976 5.472 5.054 1.613 5.944 2.163 4.732 4.186 6.218 6.973 2.811
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.892 3.301 3.880 1.708 4.378 4.456 5.319 4.904 5.207 4.153 3.499
[2,] 5.546 3.875 5.637 2.045 4.979 5.482 6.137 6.514 6.228 6.143 5.591
[3,] 6.509 4.439 6.791 2.319 5.436 5.895 6.926 7.204 7.042 7.100 6.688
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.200 4.054 2.639 4.759 2.029 2.509 1.800 4.296 3.218 6.256 6.207
[2,] 1.475 5.473 3.206 5.889 2.427 3.036 2.063 5.300 3.849 7.219 7.444
[3,] 1.641 6.694 3.533 6.872 2.732 3.464 2.264 6.078 4.362 7.879 8.211
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.816 1.812 2.449 2.646 3.148 2.426 3.452 1.812 10.18 4.706
[2,] 2.545 2.840 3.048 3.080 3.736 2.832 4.341 2.180 15.62 6.799
[3,] 3.197 3.200 3.443 3.349 4.270 3.077 5.010 2.450 18.53 8.301
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.239 3.784 8.606 3.671 5.068 2.645 2.35 5.865 6.037
[2,] 202.755 134.386 383.451 269.901 290.454 101.613 77.32 203.935 219.829
[3,] 149.268 128.950 313.929 296.138 270.487 78.076 68.53 175.038 219.469
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.678 3.418 3.736 3.845 6.507 8.095 5.532 5.057
[2,] 328.351 155.726 218.973 132.357 225.658 288.634 255.738 215.788
[3,] 200.284 130.263 165.422 142.476 241.441 264.554 233.715 201.012
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.19 6.521 5.603 10.86 4.72 11.21 6.198 2.283 5.219
[2,] 254.86 271.893 267.128 429.28 139.27 803.66 341.179 98.324 335.173
[3,] 191.93 275.158 244.678 394.63 157.12 702.47 317.928 74.012 359.670
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.486 4.441 4.362 2.164 4.597 5.562 2.769 5.409 4.781
[2,] 328.843 147.294 276.467 83.882 291.144 225.691 95.902 226.749 306.012
[3,] 381.226 158.004 304.346 78.623 277.101 202.607 86.372 276.908 260.293
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.781 5.109 5.496 5.061 1.692 5.064 1.612 4.143 3.646
[2,] 256.151 207.250 206.887 181.765 52.361 191.946 52.552 177.633 200.957
[3,] 249.229 182.166 210.816 161.304 51.417 169.248 47.645 183.765 164.508
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.214 2.229 4.171 5.377 5.545 2.828 5.509 5.551 2.485
[2,] 126.271 67.459 235.974 243.567 207.696 109.484 319.044 203.987 79.948
[3,] 107.684 77.316 181.455 188.725 166.861 110.787 297.239 166.089 85.575
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.896 4.302 4.058 2.666 5.24 1.519 4.212 2.05 4.086
[2,] 311.911 245.389 233.101 262.287 150.38 54.548 228.864 74.56 166.708
[3,] 346.967 275.456 269.010 240.970 140.43 53.373 261.781 68.90 179.041
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.149 5.337 5.576 2.755 4.942 4.192 4.927 2.169
[2,] 141.488 247.864 304.860 104.377 278.499 143.091 288.221 79.253
[3,] 118.369 207.221 229.918 70.592 240.234 152.691 267.010 77.154
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 5.559 5.659 6.754 6.228 6.613 5.274 4.443 1.524
[2,] 167.249 225.055 215.782 302.154 240.862 319.058 307.391 60.497
[3,] 153.848 152.961 226.367 217.089 231.697 251.041 258.726 50.644
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.148 3.351 6.043 2.576 3.186 2.285 5.455 4.086 7.944
[2,] 259.187 128.316 244.616 93.955 120.515 71.061 218.809 148.863 253.998
[3,] 271.703 104.669 249.661 88.450 117.564 65.817 209.852 144.759 222.606
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 7.882 2.306 2.301 3.109 3.36 3.998 3.08 4.384 2.301
[2,] 289.729 125.672 154.115 127.911 111.09 141.846 103.06 185.477 85.364
[3,] 244.360 136.344 103.955 112.948 92.68 145.802 84.84 176.443 78.951
[,97] [,98]
[1,] 12.92 5.975
[2,] 835.50 345.911
[3,] 702.91 335.723
[1] "--- VAR model 2017-10-03 10:31:00 completed"
[1] "Completed training sample: 2017-10-03 10:31:00 - 2017-10-03 18:30:00"
[1] "SpVAR; training sample: 2017-10-03 11:01:00 - 2017-10-03 19:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-7.162 9.720 -13.937 5.7917
1.978 -6.758 10.160 15.7821
4.379 -1.154 -7.704 -0.1217
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.560 1.5766 -2.749 -0.5068
-1.847 5.7774 5.876 -11.5040
12.508 0.3576 8.450 4.9000
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.481 -6.495 -0.4463 -6.124
-5.253 -1.101 2.8184 -9.293
5.165 -6.516 -1.2229 -13.339
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.5165 -5.068 2.409 1.856
-0.5429 -11.485 2.356 2.893
-5.5453 -7.396 -6.926 3.117
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.069 2.649 30.40 -8.162
4.096 -12.979 19.52 18.927
-4.192 1.960 10.35 -2.579
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.777 11.142 -5.984 20.171
4.241 -3.588 -1.807 -10.252
2.348 4.978 10.387 -3.075
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
6.3352 14.560 -1.965 -8.876
3.3344 -3.500 2.934 8.116
0.1438 1.369 -4.430 -5.184
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.843 -4.834 -1.476 3.276
15.367 -2.107 14.075 -7.717
2.178 -3.088 -4.279 -2.613
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.882 12.572 1.142 -15.747
-5.087 3.764 4.641 2.836
1.776 11.783 11.018 -4.263
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.223 -1.128 -8.918 8.6623
4.269 -3.166 -6.886 0.9401
13.926 -3.678 -1.748 3.9997
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
13.318 1.4269 -10.014 -7.140
6.012 -0.5223 -7.122 -13.125
-1.791 -3.0702 -3.436 -4.346
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.708 -1.231 5.3100 -2.370
3.902 -3.049 -0.9854 8.916
-2.150 -1.977 -5.6050 2.030
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.039 3.542 -1.709 19.54
-3.213 9.548 4.072 16.80
-3.311 -1.707 -7.971 11.02
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.1627 1.024 5.103 4.969
0.6154 8.553 4.028 -4.233
1.2640 -2.712 14.712 21.913
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.375 -9.4748 0.4972 11.915
10.640 -0.2414 -2.4524 -12.842
1.369 1.7875 1.1814 4.454
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.8880 7.458 -3.216 -1.743
-4.9859 -5.526 4.201 15.117
0.8909 13.756 3.892 -5.945
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
21.807 1.142 7.268 -5.405
16.631 5.375 7.433 8.933
-1.423 3.473 8.757 3.313
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.018 3.7334 2.913 -14.353
10.245 0.2159 3.564 5.871
9.504 3.7248 10.966 4.699
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.253 -11.666 -15.353 -9.318
0.296 5.594 -3.034 -0.443
-9.866 -6.564 -11.384 -5.478
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.474 0.3711 -5.125 -4.9784
-8.822 2.0011 -8.084 2.1245
3.928 0.3953 -9.543 -0.3346
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.294 -1.5459 -4.819 0.6262
-10.625 -5.0371 -5.552 -1.0016
-9.511 0.4914 -4.346 5.2844
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.2282 5.7360 25.350 4.395
0.4529 -3.0498 12.454 -3.063
-9.7479 0.6434 2.477 13.959
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.254 -2.439 -2.403 -2.021
-2.908 4.972 5.103 5.843
4.178 2.545 9.719 4.211
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.271 -5.128 24.12 201.8
-6.528 6.425 12.96 190.3
-5.064 -3.081 10.41 168.0
rnd_95776.volume rnd_95787.volume
28.88 21.698
-15.54 -7.123
20.21 -2.880
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.901 3.157 6.907 3.107 4.056 2.162 1.842 4.710 4.495 3.828 2.794
[2,] 4.938 3.603 8.348 5.135 5.823 2.601 2.136 5.615 5.641 5.786 3.538
[3,] 5.462 4.024 9.375 6.576 7.121 2.839 2.370 6.181 6.521 6.469 3.957
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.925 3.102 5.080 5.617 4.417 4.025 4.058 6.793 4.658 8.407 3.732
[2,] 4.207 3.595 6.258 6.941 5.687 5.019 5.510 7.999 5.815 10.563 4.215
[3,] 4.989 4.139 7.006 7.698 6.581 5.818 6.110 9.325 6.921 11.919 4.762
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.41 4.835 1.861 4.052 4.386 3.573 3.453 1.713 3.641 4.372 2.135
[2,] 15.00 6.817 2.312 6.130 6.378 4.259 5.329 2.060 5.661 5.421 2.584
[3,] 17.65 8.257 2.569 8.237 8.522 4.929 6.771 2.328 6.831 6.146 2.832
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.449 3.801 4.508 3.916 4.495 3.895 1.360 4.057 1.244 3.363 2.956
[2,] 5.544 5.776 6.046 5.024 5.420 4.724 1.526 4.915 1.440 4.149 4.081
[3,] 6.948 6.981 7.024 5.640 6.180 5.210 1.701 5.522 1.591 4.920 4.687
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.661 1.792 3.423 4.496 4.574 2.273 4.283 4.514 1.965 3.864 3.309
[2,] 3.162 2.050 4.740 5.571 5.392 2.780 6.110 5.433 2.274 6.052 4.927
[3,] 3.509 2.288 5.348 6.278 5.927 3.126 7.430 5.824 2.536 7.915 6.315
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.168 2.141 4.105 1.205 3.322 1.632 3.402 3.278 4.323 4.321 2.229
[2,] 4.621 4.457 4.670 1.477 4.627 1.957 4.183 3.818 5.579 6.297 2.644
[3,] 6.052 5.592 5.081 1.659 5.937 2.208 4.761 4.184 6.269 7.178 2.827
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.987 3.260 3.903 1.775 4.282 4.358 5.142 4.725 5.172 4.183 3.530
[2,] 5.729 3.809 5.534 2.066 5.002 5.440 6.102 6.325 6.162 5.988 5.654
[3,] 6.643 4.397 6.773 2.306 5.472 5.945 6.857 7.185 7.026 7.104 6.830
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.211 4.075 2.741 4.753 2.045 2.437 1.806 4.348 3.244 6.461 6.296
[2,] 1.455 5.401 3.433 6.076 2.449 3.048 2.053 5.340 3.833 7.482 7.536
[3,] 1.602 6.583 3.743 7.121 2.795 3.439 2.284 6.116 4.376 8.259 8.272
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.798 1.699 2.453 2.693 3.295 2.481 3.402 6.677 10.11 4.674
[2,] 2.518 2.809 3.013 3.071 3.833 2.878 4.248 10.684 15.66 6.913
[3,] 3.183 3.159 3.383 3.318 4.371 3.142 4.975 13.973 18.80 8.448
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.953 4.009 8.77 3.945 5.151 2.746 2.339 5.981 5.708
[2,] 257.365 147.635 398.52 347.415 355.070 122.901 91.867 259.726 289.671
[3,] 198.314 152.283 362.62 349.184 348.406 96.633 87.429 219.697 278.005
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.861 3.548 3.715 3.939 6.451 7.133 5.608 5.111
[2,] 368.727 184.538 256.969 154.361 310.614 346.557 304.420 254.800
[3,] 245.846 150.556 227.892 174.367 267.737 282.938 281.593 250.187
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.153 8.627 5.915 10.68 4.739 10.68 6.14 2.363 5.145
[2,] 316.746 358.981 295.941 543.51 166.551 1055.60 408.33 116.686 390.954
[3,] 224.460 407.410 318.897 469.38 188.370 791.31 396.01 95.152 467.624
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.57 4.537 4.385 2.175 4.624 5.552 2.711 5.649 4.827
[2,] 393.50 197.022 344.990 97.243 368.320 272.486 123.782 281.250 369.600
[3,] 480.34 210.951 354.952 92.167 325.031 246.115 98.396 355.963 333.206
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.725 4.973 5.708 4.947 1.726 5.151 1.579 4.27 3.754
[2,] 342.451 267.409 257.454 227.115 58.842 235.811 61.601 206.60 239.114
[3,] 303.754 217.834 252.318 186.861 63.977 213.984 57.545 224.68 195.846
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.379 2.276 4.346 5.709 5.808 2.886 5.438 5.732 2.496
[2,] 145.206 84.519 278.649 279.624 242.647 136.062 370.362 257.005 97.190
[3,] 129.216 86.496 210.565 245.894 209.150 121.497 359.260 178.334 95.417
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.907 4.202 4.023 2.719 5.213 1.53 4.218 2.072 4.32
[2,] 395.888 310.214 285.896 332.167 189.282 72.59 273.699 91.775 206.82
[3,] 433.533 335.772 332.206 287.083 170.163 64.25 316.246 86.923 193.32
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.162 5.489 5.487 2.831 5.063 4.14 4.956 2.254 5.437
[2,] 166.318 299.772 389.290 120.893 349.591 167.45 333.465 89.852 219.832
[3,] 145.625 243.073 292.827 84.923 285.759 186.75 331.826 87.197 188.553
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.534 6.529 6.001 6.568 5.312 4.483 1.538 5.175
[2,] 276.717 279.331 357.312 284.714 364.164 375.317 68.600 301.200
[3,] 203.855 265.810 289.691 286.951 324.879 325.709 57.017 319.984
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.481 6.035 2.597 3.095 2.293 5.521 4.119 8.205
[2,] 175.685 321.730 114.445 155.614 83.125 263.475 173.641 320.631
[3,] 126.799 315.588 114.504 135.314 84.933 253.515 179.448 297.456
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 7.994 2.283 2.157 3.114 3.42 4.184 3.15 4.32 8.479
[2,] 352.046 149.873 190.149 148.771 125.41 166.488 124.10 216.28 708.773
[3,] 289.889 165.430 122.741 130.680 106.73 178.496 107.02 220.08 765.374
[,97] [,98]
[1,] 12.84 5.935
[2,] 1016.88 432.869
[3,] 883.74 412.743
[1] "--- VAR model 2017-10-03 11:01:00 completed"
[1] "Completed training sample: 2017-10-03 11:01:00 - 2017-10-03 19:00:00"
[1] "SpVAR; training sample: 2017-10-03 11:31:00 - 2017-10-03 19:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-9.302 5.622 4.306 11.20
-3.687 -4.536 24.577 -9.88
8.013 3.414 1.268 23.47
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.416 4.132 5.308 5.564
5.746 2.432 -2.625 7.037
-10.209 1.088 6.022 4.736
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.882 2.458 -2.966 -6.314
-3.897 12.119 9.993 -12.157
6.340 -1.380 2.944 -13.168
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.9294 -2.1809 -7.425 -19.141
9.6033 0.5178 -7.312 -6.305
-0.1699 3.1380 10.806 -13.100
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.260 5.478 -1.806 3.138
6.175 -16.908 12.270 0.353
8.373 2.332 3.623 -5.189
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-25.328 -9.6160 34.84 14.5548
9.587 0.5710 -17.04 9.6339
4.130 0.8131 14.92 0.2437
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1563 -0.6423 6.662 -4.170
-1.4159 23.5024 19.875 9.682
-1.5785 -10.4369 9.080 4.420
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
18.796 -2.0588 -1.235 -0.9813
-6.967 2.7238 -2.016 4.4710
22.918 -0.1482 12.233 4.7468
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.848 -8.414 14.121 6.876
2.453 17.994 6.881 2.266
-9.437 -4.510 -10.589 12.324
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.154 -4.627 8.962 3.9623
-1.515 -6.118 3.857 -0.6636
-3.185 0.590 13.768 1.8951
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.190 2.3009 -2.925 -4.923
-4.083 0.7636 3.970 -7.349
1.138 -0.3386 3.848 -3.616
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.8328 0.69974 -3.806 -9.268
0.5273 -1.82778 -5.999 24.162
1.3738 -0.05292 -4.554 -1.035
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.272 4.914 -1.521 0.7421
2.236 1.222 5.872 17.6633
4.862 1.260 8.622 10.3716
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.728 -6.551 -8.877 -1.615
2.158 3.113 -5.556 -17.092
-2.005 -4.340 4.931 8.501
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.841 -4.717 0.3915 11.44
-6.649 4.224 -0.6225 16.61
-9.774 -8.296 -0.7260 -18.47
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.1264 -2.998 0.9356 5.719
0.6257 7.777 2.9163 1.017
-4.8660 -10.322 -1.3165 -3.122
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.325 -0.7357 6.155 0.4504
-1.024 -0.6194 1.414 -2.9691
2.592 0.2943 -7.363 3.1197
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-14.004 -1.5330 2.239 -8.8400
-1.664 0.6807 1.134 2.7333
-1.372 -0.8000 1.262 0.6031
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-12.227 -5.208 21.606 -7.897
-17.913 -1.868 11.225 8.157
-4.714 -5.549 9.981 -1.915
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.329 -3.803 14.239 0.5074
-5.219 -1.022 -10.746 -0.9783
8.582 -1.194 2.574 0.2367
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.438 4.657 0.3557 1.0120
5.670 3.242 7.8634 2.3837
-6.889 -2.199 -2.5530 -0.5313
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
12.561 3.763 -30.094 12.922
-3.701 -4.158 -3.066 -8.731
-8.319 0.745 6.879 18.325
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.91448 0.005868 2.0569 2.0223
-0.94732 2.486294 9.5216 5.1990
-0.04472 6.500034 -0.4189 0.1193
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.999 10.661 14.17 272.6
4.537 1.169 19.85 271.0
2.529 5.857 12.50 258.9
rnd_95776.volume rnd_95787.volume
8.076 16.923
-21.924 14.509
39.001 -4.726
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.896 3.130 7.165 3.119 4.081 2.122 1.865 4.645 4.445 3.704 2.628
[2,] 5.020 3.631 8.431 5.225 5.881 2.536 2.156 5.502 5.671 5.576 3.330
[3,] 5.613 4.065 9.563 6.556 7.361 2.828 2.372 5.944 6.420 6.242 3.840
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.958 3.090 5.027 5.770 4.326 4.032 4.249 7.312 4.892 8.605 3.683
[2,] 4.163 3.583 6.249 7.141 5.705 5.020 5.620 8.794 6.008 10.554 4.215
[3,] 4.989 4.123 7.017 7.967 6.565 5.761 6.326 10.052 7.142 11.976 4.743
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.141 4.643 1.846 4.001 4.247 3.772 3.383 1.673 3.584 4.618 2.136
[2,] 14.988 6.730 2.325 5.987 6.378 4.419 5.367 2.081 5.655 5.545 2.539
[3,] 17.480 8.287 2.579 8.153 8.621 5.041 6.726 2.327 6.868 6.285 2.792
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.558 3.863 4.540 3.647 4.445 3.875 1.404 4.214 1.193 3.339 2.887
[2,] 5.877 5.843 6.094 4.742 5.393 4.712 1.586 5.005 1.418 4.145 4.074
[3,] 7.244 7.217 7.161 5.275 6.077 5.217 1.727 5.586 1.580 5.030 4.725
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.641 1.789 3.320 4.604 4.743 2.276 4.251 4.658 2.067 3.766 3.418
[2,] 3.154 2.055 4.657 5.662 5.560 2.723 6.076 5.377 2.334 5.922 4.956
[3,] 3.491 2.313 5.287 6.343 6.104 3.105 7.387 5.889 2.575 7.738 6.273
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.341 2.145 4.018 1.175 3.274 1.597 3.381 3.158 4.312 4.441 2.122
[2,] 4.770 4.420 4.610 1.449 4.566 1.935 4.263 3.716 5.566 6.322 2.599
[3,] 6.163 5.573 4.971 1.630 5.952 2.182 4.874 4.126 6.293 7.174 2.781
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.012 3.280 3.898 1.749 4.487 4.187 5.240 4.732 5.244 3.990 3.420
[2,] 5.761 3.871 5.503 2.047 5.121 5.419 6.263 6.387 6.275 5.849 5.590
[3,] 6.619 4.483 6.768 2.309 5.610 5.936 6.983 7.260 7.080 7.107 6.863
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.220 4.060 2.703 4.787 2.015 2.502 1.799 4.431 3.123 6.660 6.424
[2,] 1.433 5.294 3.366 6.096 2.409 3.084 2.028 5.617 3.736 7.886 7.580
[3,] 1.597 6.520 3.724 7.140 2.750 3.486 2.280 6.368 4.306 8.572 8.359
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.784 1.684 2.465 2.639 3.312 2.499 3.460 8.282 9.953 4.785
[2,] 2.555 2.747 3.040 3.069 3.877 2.926 4.374 11.760 15.590 7.038
[3,] 3.194 3.101 3.384 3.330 4.483 3.177 4.986 14.842 18.707 8.624
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.947 3.975 9.098 3.96 5.182 2.695 2.368 5.898
[2,] 330.219 191.971 463.626 437.25 441.764 144.863 112.768 307.654
[3,] 262.034 190.758 470.754 413.03 461.656 130.595 103.244 234.701
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.645 4.703 3.337 3.756 3.924 6.384 7.328 5.493
[2,] 367.306 434.741 213.358 305.510 189.233 387.192 438.794 388.082
[3,] 313.903 292.788 199.499 286.786 212.825 332.994 368.565 338.805
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.119 5.396 9.285 6.212 10.93 4.677 10.34 5.896
[2,] 312.041 383.638 509.757 363.841 637.47 213.709 1312.59 508.193
[3,] 294.780 303.106 507.965 402.912 590.39 227.069 938.42 504.376
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.344 5.08 5.393 4.79 4.296 2.124 4.551 5.864 2.712
[2,] 147.448 464.55 496.281 240.17 434.527 129.167 456.216 320.112 143.245
[3,] 116.301 577.26 605.105 252.90 422.885 108.590 406.538 308.804 121.126
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.788 4.906 5.764 4.631 5.644 4.921 1.783 5.352 1.515
[2,] 387.056 457.208 424.032 316.188 318.670 279.664 77.027 281.641 80.009
[3,] 441.764 441.933 392.405 240.963 292.145 233.669 71.277 258.864 72.682
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.24 3.667 3.353 2.272 4.216 5.846 6.022 2.89 5.399
[2,] 256.25 299.837 179.827 105.321 340.615 343.908 302.744 155.95 452.817
[3,] 297.18 249.519 156.174 110.777 261.107 298.233 262.874 155.68 438.124
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.915 2.625 4.782 4.341 4.242 2.724 5.103 1.492
[2,] 280.212 113.132 476.732 374.383 355.179 403.130 235.752 88.460
[3,] 250.480 113.399 519.563 401.086 407.010 353.981 193.903 77.902
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 4.158 2.028 4.294 4.01 5.475 5.639 2.695 5.095
[2,] 331.975 113.920 270.847 204.30 367.221 469.306 156.423 431.218
[3,] 398.293 105.253 246.472 186.97 306.274 353.728 103.452 340.018
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.166 4.95 2.221 5.697 5.316 6.654 6.009 6.659
[2,] 214.427 405.10 111.018 257.631 358.982 357.959 447.448 359.504
[3,] 235.895 411.03 111.417 238.900 252.683 322.033 360.099 342.153
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.067 4.343 1.549 5.155 3.433 6.078 2.558 3.177
[2,] 446.007 461.212 78.452 354.379 209.184 393.809 137.835 188.107
[3,] 421.173 415.223 73.490 397.079 166.161 387.712 138.324 169.514
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.285 5.626 3.966 8.458 8.158 2.265 2.139 3.13
[2,] 97.661 360.150 213.865 440.449 419.613 190.744 226.274 185.61
[3,] 108.677 312.884 223.354 350.511 367.710 199.910 150.267 155.15
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.351 4.205 3.174 4.394 10.52 12.64 6.077
[2,] 163.440 210.384 158.729 279.162 870.85 1251.65 538.267
[3,] 134.779 234.738 129.108 249.542 944.64 1078.50 519.990
[1] "--- VAR model 2017-10-03 11:31:00 completed"
[1] "Completed training sample: 2017-10-03 11:31:00 - 2017-10-03 19:30:00"
[1] "SpVAR; training sample: 2017-10-03 12:01:00 - 2017-10-03 20:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.487 -1.812 -8.097 12.262
-1.985 -0.965 -6.412 -4.653
4.081 1.256 -8.494 -11.168
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.127 -0.484 2.063 15.21873
8.633 -2.660 4.119 2.64946
3.483 8.743 0.100 0.07159
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
14.00 8.3078 7.418 -8.604
3.08 9.6795 2.150 -4.670
-8.61 0.4569 7.423 -2.610
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
7.5392 0.7256 -10.600 -9.375
2.2322 5.0987 3.428 -18.966
0.3069 -8.0016 -7.565 -7.834
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.080 1.223 3.386 6.750
-3.635 -3.637 26.945 6.752
-4.521 10.165 13.559 4.517
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.145 5.3303 -15.537 -12.1962
-8.068 0.0508 -21.964 -0.1481
-13.888 -0.8192 -4.582 -20.8228
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.1951 -8.056 0.3647 -13.105
-2.1210 -4.494 -16.0649 4.277
-0.7795 -14.412 -4.1483 -1.691
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
15.675 1.2255 4.682 -7.206
-10.162 1.5856 -2.650 -3.828
-5.984 -0.9501 -9.244 -1.874
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.6102 -5.332 -3.6630 -13.818
-1.5095 12.846 8.2032 7.705
0.2388 -13.416 -0.6518 10.988
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.987 14.0946856 5.549 -0.2203
-2.251 -14.6477857 2.348 0.9126
2.489 -0.0008683 -1.522 -0.5097
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.629401 1.243 -5.2563 -6.796
5.292489 3.584 0.9054 -12.313
-0.007575 -1.671 1.1079 -11.905
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6268 -3.098 0.3182 -11.766
2.5879 3.629 -13.6130 17.990
7.9720 1.741 -12.2974 1.555
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.117 0.2803 4.692 4.100
6.050 5.6575 -17.915 14.639
2.434 -5.9960 6.216 6.365
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.5530 13.488 3.163 -4.82
1.2898 4.372 10.498 9.94
-0.4421 -8.730 -4.247 2.86
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.5200 -2.6658 1.1657 -8.770
0.4857 -3.6958 -1.0709 -5.755
17.6334 -0.3633 0.6943 4.460
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.4166 -2.034 -4.394 11.394
-2.8823 3.943 -0.510 -3.406
-4.8970 -2.069 -6.849 5.946
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
23.099 -7.7357 5.537 -7.3160
-4.592 0.9009 7.027 2.9018
8.640 1.0467 2.373 -0.7203
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.821 -1.3525 8.769 7.1568
15.266 -3.5241 -5.032 -0.5936
-6.031 -0.1233 -1.428 0.7471
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.309 6.659 -5.221 6.048
6.978 -1.565 -11.290 1.489
8.636 2.717 -14.625 -9.950
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.2157 -1.455 -2.5300 -7.369
0.3274 1.171 0.3787 -1.974
-3.7144 0.930 3.4877 2.934
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-20.336 -6.16444 -1.382 -1.50141
4.994 1.15505 -2.624 6.29469
3.518 -0.05259 -4.336 -0.08646
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.109 -3.2997 13.650 7.122
-2.180 1.1257 -1.858 6.019
-9.658 -0.7727 26.247 2.713
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.9566 -4.9101 -4.4090 -2.1638
-0.9267 0.8815 3.1258 4.6058
5.8867 5.0879 0.5701 -0.7223
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.1853 -8.377 14.35 229.1
0.6257 1.689 16.81 220.0
-5.5705 -2.405 19.55 219.4
rnd_95776.volume rnd_95787.volume
13.042 -18.554
-11.754 4.286
-3.597 -17.319
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.840 3.114 7.405 3.343 4.040 2.087 1.889 4.728 4.569 3.675 2.599
[2,] 4.993 3.615 8.380 5.234 5.995 2.519 2.160 5.517 5.844 5.542 3.340
[3,] 5.536 4.059 9.463 6.425 7.341 2.811 2.374 6.014 6.524 6.215 3.875
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.910 3.182 4.969 5.772 4.606 4.020 4.189 7.368 4.820 8.883 3.908
[2,] 4.171 3.633 6.217 7.209 5.969 5.091 5.522 8.891 5.995 10.508 4.365
[3,] 4.927 4.114 6.979 7.935 6.802 5.972 6.259 10.043 7.109 11.944 4.849
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.629 4.846 1.854 3.978 4.448 3.719 3.506 1.676 3.485 4.740 2.234
[2,] 15.606 6.768 2.331 5.861 6.544 4.372 5.451 2.060 5.733 5.585 2.600
[3,] 17.404 8.377 2.570 8.406 8.815 5.014 6.615 2.329 6.858 6.348 2.865
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.511 3.922 4.460 3.690 4.304 3.868 1.408 4.246 1.155 3.410 3.012
[2,] 5.918 5.971 6.046 4.748 5.424 4.768 1.593 5.026 1.381 4.245 4.195
[3,] 7.262 7.215 7.070 5.388 6.076 5.305 1.727 5.608 1.534 5.020 4.901
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.662 1.766 3.281 4.519 4.587 2.245 4.325 4.562 2.065 3.903 3.329
[2,] 3.192 2.100 4.740 5.611 5.377 2.701 6.249 5.304 2.297 5.863 4.908
[3,] 3.536 2.329 5.452 6.290 5.931 3.121 7.518 5.894 2.535 7.669 6.198
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.313 2.275 4.042 1.197 3.223 1.566 3.471 3.324 4.325 4.618 2.101
[2,] 4.908 4.243 4.608 1.456 4.618 1.886 4.320 3.762 5.596 6.356 2.582
[3,] 6.179 5.478 4.943 1.623 5.831 2.139 4.932 4.152 6.342 7.190 2.782
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.870 3.564 3.843 1.623 4.398 4.097 5.013 4.754 5.406 3.928 3.436
[2,] 5.732 4.123 5.478 1.951 5.058 5.301 6.161 6.366 6.468 5.687 5.579
[3,] 6.567 4.620 6.727 2.222 5.512 5.808 6.967 7.177 7.319 6.929 6.860
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.243 4.066 2.750 4.779 1.962 2.682 1.791 4.475 3.121 6.581 6.444
[2,] 1.468 5.349 3.343 6.104 2.343 3.193 2.028 5.647 3.736 7.667 7.517
[3,] 1.614 6.543 3.697 7.230 2.694 3.602 2.276 6.508 4.287 8.358 8.342
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.697 1.703 2.438 2.635 3.316 2.553 3.535 9.418 9.933 5.010
[2,] 2.527 2.804 3.025 3.057 3.803 2.899 4.427 12.785 15.446 7.145
[3,] 3.132 3.151 3.352 3.324 4.400 3.183 5.004 15.809 18.603 8.738
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.876 3.954 9.403 4.245 5.13 2.65 2.399 6.004 5.802
[2,] 381.833 219.749 469.307 481.746 529.81 168.71 125.197 340.196 435.783
[3,] 285.998 220.796 525.972 445.808 506.91 149.27 118.068 286.301 346.952
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.667 3.301 3.696 4.04 6.31 7.33 5.849 5.105 5.319
[2,] 496.119 250.850 357.461 209.68 446.81 516.61 454.160 373.763 430.464
[3,] 336.687 235.046 313.733 231.02 379.37 396.71 390.317 373.334 352.438
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 9.357 6.12 11.28 4.962 10.96 6.154 2.354 5.051 5.649
[2,] 595.288 426.49 671.48 232.573 1555.49 565.211 169.132 514.887 574.143
[3,] 558.746 457.03 679.34 252.822 921.69 590.492 129.329 720.890 706.497
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.722 4.453 2.129 4.425 6.019 2.836 5.729 4.98
[2,] 275.152 499.181 143.168 544.495 353.469 159.308 458.139 538.58
[3,] 293.649 448.327 130.119 450.307 360.882 143.817 503.466 484.55
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.664 4.686 5.465 4.911 1.787 5.392 1.467 4.33 3.824
[2,] 488.246 357.339 394.877 333.536 89.222 321.664 90.638 302.53 349.330
[3,] 438.464 304.793 327.730 278.149 79.935 297.478 79.680 320.51 303.205
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.38 2.242 4.166 5.738 5.825 2.85 5.492 5.793 2.622
[2,] 210.74 135.941 409.265 397.874 335.567 179.78 539.487 323.716 120.397
[3,] 181.94 120.629 322.113 340.290 299.433 187.04 500.183 307.347 128.213
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 4.956 4.227 4.207 2.889 5.132 1.521 4.092 1.988
[2,] 523.320 431.456 433.207 428.370 264.796 99.116 395.723 125.861
[3,] 591.446 452.797 448.993 414.566 214.152 85.764 425.862 120.718
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 4.407 4.221 5.493 5.865 2.668 4.915 4.526 4.879
[2,] 307.695 210.861 424.666 522.364 179.570 505.730 247.820 467.096
[3,] 284.609 210.004 357.197 402.148 123.757 383.525 249.584 466.943
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.06 5.585 5.202 6.365 6.036 6.865 4.988 4.363 1.578
[2,] 129.65 298.817 402.506 428.516 506.563 424.721 491.928 525.812 93.383
[3,] 127.27 262.056 283.824 389.071 396.374 409.775 473.471 477.610 80.406
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 5.164 3.492 6.068 2.491 3.406 2.275 5.683 3.964
[2,] 415.802 227.414 454.368 153.317 207.175 113.852 411.979 245.533
[3,] 450.770 188.750 463.405 158.932 199.502 123.605 387.013 251.557
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 8.357 8.182 2.155 2.163 3.096 3.346 4.211 3.242
[2,] 470.559 463.183 223.998 266.444 214.177 185.325 222.809 164.317
[3,] 398.209 432.608 221.340 171.985 172.804 156.083 264.775 157.129
[,95] [,96] [,97] [,98]
[1,] 4.489 11.96 12.61 6.361
[2,] 318.814 1034.30 1414.93 609.404
[3,] 279.077 1112.44 1240.21 601.677
[1] "--- VAR model 2017-10-03 12:01:00 completed"
[1] "Completed training sample: 2017-10-03 12:01:00 - 2017-10-03 20:00:00"
[1] "SpVAR; training sample: 2017-10-03 12:31:00 - 2017-10-03 20:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.796 1.434 -24.613 -7.676
-1.974 -5.580 3.148 -13.102
3.804 1.393 -10.135 5.037
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.903 2.503 2.16379 -2.327
-10.362 4.345 1.10655 4.793
-10.566 1.232 -0.05309 1.307
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.800 -2.479 -4.634 -15.111
-4.027 -4.837 3.739 -5.992
8.416 3.963 1.761 -11.776
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.253 -9.711 -7.895 -6.2109
3.659 -9.757 -2.639 -0.2556
-1.006 -3.773 -2.169 1.0875
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.955 -3.889 -4.333 21.602
-22.950 -11.241 11.349 1.774
-5.548 -15.729 -12.546 -8.604
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.642 3.635 5.438 5.415
-11.659 -3.342 -38.100 -8.276
-6.017 -3.186 8.379 -15.307
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.6025 -1.544 -7.906 8.055
1.1786 -1.064 9.859 -1.306
0.1566 -16.077 -21.103 4.904
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.575 -0.002456 -7.625 -0.03134
-8.450 1.645671 -12.560 -1.27517
-1.113 1.740608 3.889 -3.76825
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.3681 -12.72 -5.684 -11.454
-0.9969 -5.03 -4.878 -6.671
-2.2438 -3.63 -7.643 -4.902
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.387 0.02783 6.245 1.270
-3.527 3.26664 1.749 -1.100
1.536 -3.11118 -1.231 1.623
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.153 -3.5360 -1.1158 -4.143
6.751 2.6669 -5.0278 -12.319
2.809 0.8317 -0.7006 -11.561
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.713 -2.114 -4.2474 2.403
2.301 1.674 0.4591 -3.389
-2.579 1.324 -10.2001 4.346
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.061 -2.008 1.3581 12.495
4.499 1.666 -2.6697 6.736
11.385 1.117 -0.7245 4.723
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.3375 2.824 7.300 1.050
-4.1155 -1.575 5.746 10.880
0.3986 8.953 -4.584 -7.717
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.381 0.1589 -0.06723 3.835
5.554 -4.5913 0.94744 -12.850
10.298 -0.4991 3.46284 -3.601
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.9906 0.01381 2.062 -14.183
0.9963 4.30756 2.481 10.473
-0.8646 0.92568 3.892 2.426
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-12.791 1.4245 -20.72 -6.4859
2.308 0.8004 -16.26 0.5121
5.985 2.5423 13.41 -0.5453
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.714 -3.4040 1.732 -1.158
-12.318 -1.2270 -8.008 -3.069
9.499 0.2017 -1.588 7.061
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.242 0.4453 7.882 -4.5135
7.543 2.3105 3.969 0.8454
6.420 -1.7981 4.349 1.8173
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.3059 2.4340 12.242 -6.459
3.2983 -0.9642 2.604 -1.549
4.7893 -1.2262 8.636 -2.375
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.2543 1.543 -2.81769 -3.6033
3.0923 -1.915 -0.03798 -1.8548
0.1954 -2.435 7.71242 -0.1724
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.074 3.856 -5.046 3.992
4.717 -6.596 13.497 0.536
-2.574 2.657 12.246 6.597
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.7926 -4.2812 -5.2489 -2.6275
-3.7619 -1.6898 -0.9949 -1.7268
-0.3348 0.3399 3.6649 0.4262
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.210 -1.82532 12.460 206.8
-1.599 -0.02812 7.589 188.0
-3.656 -1.56194 18.407 191.3
rnd_95776.volume rnd_95787.volume
-24.142 8.707
24.680 -9.017
-2.155 -16.765
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.736 3.153 7.625 3.385 3.985 2.062 1.789 4.717 4.527 3.531 2.576
[2,] 4.920 3.615 8.677 5.049 5.887 2.504 2.087 5.474 5.680 5.549 3.359
[3,] 5.429 4.058 9.720 6.466 7.123 2.836 2.282 5.962 6.325 6.117 3.847
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.829 3.229 4.969 4.662 4.624 3.961 4.104 7.278 4.802 8.902 3.956
[2,] 4.174 3.654 6.167 6.159 5.873 5.122 5.364 8.978 6.005 10.508 4.437
[3,] 4.873 4.094 6.896 6.939 6.650 6.043 6.149 10.072 6.921 11.902 4.895
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.996 4.678 1.915 3.799 4.309 3.953 3.550 1.720 3.596 4.856 2.168
[2,] 15.833 6.801 2.365 5.867 6.671 4.503 5.299 2.049 5.614 5.670 2.568
[3,] 17.712 8.382 2.609 8.324 8.911 5.113 6.598 2.348 6.872 6.461 2.828
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.373 3.926 4.415 3.597 4.200 3.718 1.374 4.089 1.028 3.213 2.944
[2,] 5.710 5.924 5.885 4.569 5.380 4.633 1.538 5.096 1.283 4.143 4.108
[3,] 6.992 7.051 6.860 5.267 6.071 5.194 1.674 5.602 1.444 4.940 4.882
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.634 1.868 3.184 4.481 4.435 2.266 4.291 4.476 2.029 3.830 3.257
[2,] 3.082 2.112 4.578 5.401 5.178 2.764 6.229 5.253 2.284 5.780 4.947
[3,] 3.451 2.314 5.286 6.097 5.715 3.198 7.551 5.796 2.502 7.366 6.203
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.200 2.320 4.029 1.136 3.266 1.545 3.535 3.284 4.263 4.641 2.079
[2,] 4.636 4.230 4.586 1.391 4.681 1.837 4.367 3.787 5.505 6.432 2.544
[3,] 5.953 5.559 4.949 1.561 5.887 2.107 5.007 4.150 6.324 7.131 2.731
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.891 3.569 3.870 1.597 4.126 4.040 5.079 4.901 5.314 3.985 3.478
[2,] 5.626 4.164 5.596 1.920 4.878 5.250 6.015 6.270 6.372 5.793 5.545
[3,] 6.525 4.616 6.809 2.198 5.345 5.744 6.829 7.030 7.209 6.929 6.888
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.190 4.025 2.700 4.700 1.877 2.567 1.750 4.418 3.130 6.716 6.549
[2,] 1.456 5.367 3.334 6.115 2.300 3.068 2.001 5.659 3.750 7.840 7.673
[3,] 1.611 6.525 3.694 7.223 2.658 3.522 2.247 6.488 4.308 8.477 8.510
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.623 1.667 2.492 2.641 3.346 2.515 3.436 10.68 9.846 4.867
[2,] 2.509 2.828 3.060 3.085 3.832 2.856 4.267 14.15 14.844 7.038
[3,] 3.101 3.193 3.398 3.324 4.391 3.140 4.914 16.87 17.969 8.685
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.744 4.004 9.682 4.298 5.06 2.619 2.272 5.99 5.748
[2,] 386.481 213.425 500.097 452.293 523.12 171.437 129.752 335.28 414.316
[3,] 277.157 222.457 528.775 487.720 484.05 160.688 111.427 285.17 335.850
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.484 3.271 3.592 4.1 6.31 5.92 5.871 5.03 5.212
[2,] 516.681 260.235 370.456 206.6 440.93 486.00 437.285 391.96 417.019
[3,] 310.765 226.355 303.794 222.9 372.57 385.75 376.622 387.14 363.000
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 9.242 6.098 11.3 5.023 11.42 5.94 2.432 4.824 5.472
[2,] 634.539 435.300 674.0 242.625 1572.94 595.96 167.460 539.776 614.837
[3,] 551.239 415.399 675.0 249.585 958.41 591.48 133.120 712.951 713.236
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.02 4.508 2.185 4.567 6.166 2.753 5.553 4.986
[2,] 260.23 474.837 134.323 520.463 353.429 166.008 443.313 535.463
[3,] 292.50 474.605 138.523 478.558 374.028 143.105 487.205 461.777
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.606 4.567 5.333 4.722 1.744 5.192 1.305 4.08 3.738
[2,] 469.801 340.229 405.905 333.720 83.414 367.229 92.719 315.85 345.969
[3,] 425.513 316.335 339.664 283.304 79.842 280.932 80.031 324.71 318.420
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.345 2.372 4.043 5.69 5.632 2.877 5.449 5.684
[2,] 193.251 119.015 397.199 364.05 322.748 191.185 545.137 332.040
[3,] 187.405 114.083 318.872 341.48 292.011 194.195 515.344 295.576
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.576 4.863 4.136 4.063 2.946 5.116 1.442 4.147
[2,] 126.532 522.620 449.542 404.961 426.991 264.368 96.894 404.788
[3,] 123.504 551.167 451.834 450.917 435.504 224.858 85.692 431.158
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.961 4.489 4.17 5.414 5.893 2.64 4.941 4.532 4.914
[2,] 120.174 309.592 227.77 420.391 537.637 176.98 490.512 258.951 488.003
[3,] 124.583 295.691 204.83 375.852 371.882 120.04 399.067 240.511 468.454
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.028 5.239 5.13 6.449 6.223 6.747 5.06 4.417 1.511
[2,] 128.583 314.193 404.86 389.020 472.201 424.579 507.56 521.292 101.311
[3,] 129.157 263.848 281.45 390.461 383.701 406.970 459.10 493.331 83.124
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 5.111 3.429 5.968 2.383 3.26 2.223 5.61 3.975 8.528
[2,] 428.639 236.195 472.373 160.532 202.91 117.030 426.95 249.393 488.328
[3,] 447.974 191.957 463.976 160.848 208.81 123.388 383.08 255.898 389.467
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 8.316 2.061 2.117 3.165 3.353 4.249 3.194 4.364
[2,] 482.898 231.003 275.813 214.343 192.607 225.349 163.412 305.412
[3,] 444.336 220.036 178.939 178.458 149.412 259.067 157.412 294.293
[,96] [,97] [,98]
[1,] 13.56 12.5 6.18
[2,] 1121.05 1341.1 613.74
[3,] 1109.84 1222.6 614.29
[1] "--- VAR model 2017-10-03 12:31:00 completed"
[1] "Completed training sample: 2017-10-03 12:31:00 - 2017-10-03 20:30:00"
[1] "SpVAR; training sample: 2017-10-03 13:01:00 - 2017-10-03 21:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.7059 -5.58192 -25.6483 -12.498
-3.9963 5.46901 -1.0485 -4.234
0.2636 0.09093 -0.1689 2.766
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.519 0.94879 -0.2178 -2.0206
-19.890 5.80001 0.8479 1.1591
-13.794 -0.04201 -0.5620 -0.2002
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
10.546 0.49890 1.570 3.028
-13.924 0.03129 2.735 -13.144
8.594 -7.57160 -5.745 -17.280
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.368 9.399 14.150 8.4235
5.237 -4.222 6.302 5.4203
-3.405 -0.523 12.608 0.8986
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.886 -11.490 13.869 -8.808
7.094 -1.592 25.439 20.962
-1.749 8.689 3.334 10.251
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-29.03349 6.874 4.746 5.938
0.08198 -2.639 -44.534 -6.791
-9.68983 5.449 -8.749 -16.190
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.980 -0.3871 -19.15 -8.041
-2.697 0.4414 12.44 3.221
-1.061 -17.5944 -11.47 2.801
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.311 4.179 -9.594 -2.696
-6.232 3.908 -17.863 -6.064
8.400 3.108 13.016 3.375
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8872 -7.417 -4.98 -12.15
-1.6113 -12.426 -17.59 -20.97
-1.5149 5.633 -13.53 -12.02
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
14.505 10.961 5.722 2.2887
6.751 12.188 9.191 0.6595
7.492 2.124 5.057 0.7989
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4642 -3.14084 -15.322 -17.16
-5.0854 -0.05603 3.467 -14.98
1.6236 -0.40365 -9.219 -5.73
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-5.540 -0.7011 -8.204 0.19560
7.923 -0.5710 -11.682 1.10412
5.080 -0.6644 -3.454 -0.02884
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.055 -0.7870 2.371 5.544
8.129 -0.5107 -13.016 6.451
2.142 -3.2041 16.803 4.644
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8867 -12.349 -7.335 1.5381
0.1932 -1.577 2.846 -13.3215
2.6439 -6.856 -10.333 0.7812
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.298 2.795 -0.2342 -4.0595
-11.534 5.065 1.1481 0.6531
1.991 4.393 1.0872 -9.4449
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.516 -4.143 -4.306 1.950
1.386 -1.113 2.514 -13.475
-1.258 2.952 1.290 8.973
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.673 -0.2283 9.038 -4.306
-10.272 -1.4081 -7.824 8.400
6.485 3.3319 -1.941 -5.312
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.234 2.6834 0.0727 -0.9686
5.431 3.1609 3.8420 -0.6776
-7.052 0.4485 3.4528 1.5145
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.184 -9.660 4.1446 0.02586
5.283 -5.121 -0.9827 -6.74142
8.216 3.051 -0.7067 -1.23795
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.966 -0.5237 12.217 -2.252
-1.500 -1.3105 -2.665 -4.239
-3.364 -1.2824 1.490 -2.996
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.991 -2.244 -1.130 4.2064
9.909 5.233 1.199 0.4424
-3.583 3.914 -2.290 2.0546
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
14.304 -5.485 -3.716 7.099
11.227 4.586 2.013 8.077
4.352 1.422 2.140 6.994
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.937 -2.158 -0.5232 -0.1555
-4.608 2.124 2.9199 0.8722
2.373 -3.333 -4.0301 -2.7115
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.376 -6.026 21.79 213.7
4.161 6.228 14.33 200.1
-1.667 -1.491 19.37 199.0
rnd_95776.volume rnd_95787.volume
-1.578 6.766
18.053 -11.016
-17.718 -13.138
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.484 3.120 7.641 3.409 4.122 2.067 1.806 4.558 4.575 3.445 2.643
[2,] 4.804 3.572 8.704 4.988 5.884 2.500 2.085 5.381 5.738 5.533 3.448
[3,] 5.356 4.039 9.801 6.177 6.972 2.800 2.258 5.904 6.431 6.135 3.908
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.901 3.083 4.096 4.305 3.818 3.814 4.009 7.033 4.789 8.685 3.983
[2,] 4.196 3.614 5.388 5.727 4.488 5.062 5.196 8.630 6.004 10.378 4.523
[3,] 4.894 4.032 6.080 6.487 5.005 5.966 6.092 9.749 6.949 11.760 4.987
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.55 4.740 1.879 3.849 4.227 4.041 3.559 1.671 3.628 4.687 2.142
[2,] 15.65 6.913 2.317 5.821 6.528 4.466 5.253 2.026 5.529 5.557 2.482
[3,] 17.57 8.470 2.580 8.282 8.992 5.046 6.418 2.277 6.750 6.364 2.733
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.321 4.160 4.406 3.589 4.163 3.734 1.294 4.081 1.008 3.330 2.875
[2,] 5.627 5.946 5.824 4.382 5.413 4.593 1.489 5.130 1.268 4.189 4.125
[3,] 6.912 6.926 6.829 5.079 5.974 5.188 1.636 5.590 1.426 4.817 4.856
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.638 1.704 3.046 4.722 4.546 2.256 4.126 4.488 1.923 3.731 3.299
[2,] 3.140 1.942 4.437 5.521 5.235 2.781 6.120 5.230 2.218 5.724 4.750
[3,] 3.497 2.177 5.127 5.992 5.775 3.204 7.225 5.797 2.441 7.329 5.918
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.269 2.167 3.979 1.137 3.248 1.544 3.618 3.182 4.116 4.678 1.959
[2,] 4.747 4.128 4.492 1.371 4.567 1.824 4.366 3.681 5.412 6.425 2.465
[3,] 5.979 5.287 4.842 1.531 5.687 2.093 5.008 4.053 6.214 7.076 2.677
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.774 3.480 3.743 1.558 4.013 3.822 5.231 4.943 5.321 4.058 3.436
[2,] 5.568 4.086 5.525 1.905 4.745 5.190 6.082 6.046 6.372 5.848 5.427
[3,] 6.374 4.528 6.676 2.182 5.238 5.728 6.848 6.737 7.155 6.751 6.738
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.171 3.936 2.587 4.492 1.870 2.632 1.650 4.197 3.193 6.978 6.575
[2,] 1.433 5.397 3.148 5.901 2.254 3.117 1.914 5.581 3.790 8.207 7.722
[3,] 1.589 6.532 3.561 7.027 2.553 3.541 2.151 6.399 4.322 8.828 8.571
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.587 1.569 2.502 2.611 3.262 2.375 3.543 11.04 9.971 4.992
[2,] 2.439 2.815 3.097 3.064 3.755 2.721 4.269 14.45 14.913 7.222
[3,] 3.073 3.171 3.459 3.340 4.263 3.063 4.885 17.19 17.749 8.806
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.424 3.961 9.703 4.329 5.235 2.625 2.294 5.788
[2,] 398.049 209.246 501.601 438.116 505.215 169.278 125.351 344.026
[3,] 285.056 226.952 542.117 438.374 449.941 151.568 104.266 292.564
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.81 4.374 3.357 3.684 3.914 5.201 5.466 4.848
[2,] 416.68 520.950 266.465 364.826 226.950 421.260 454.496 283.807
[3,] 349.37 319.098 221.362 303.092 215.173 338.857 366.545 266.815
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.843 5.091 8.931 6.082 11.03 5.057 10.86 6.019
[2,] 400.433 397.847 601.833 435.691 683.64 257.960 1576.57 605.548
[3,] 379.875 382.601 545.723 421.044 665.61 252.791 962.14 588.921
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.386 4.887 5.368 5.132 4.519 2.122 4.607 5.952
[2,] 163.134 525.447 598.593 228.721 464.831 137.956 502.001 359.055
[3,] 136.702 708.855 744.169 282.547 443.705 125.008 465.909 373.354
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.72 5.487 5.283 5.595 4.557 5.286 4.742 1.643 5.182
[2,] 150.90 433.839 511.117 458.312 302.661 416.302 321.921 88.661 374.074
[3,] 137.83 482.912 427.554 429.173 308.920 304.255 290.194 81.594 267.185
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.281 4.229 3.651 3.35 2.164 3.868 5.996 5.773 2.865
[2,] 92.516 305.829 355.858 205.08 112.174 388.227 344.298 312.335 195.678
[3,] 78.606 286.214 308.487 185.02 118.241 309.119 280.124 293.457 191.578
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.24 5.699 2.442 4.738 4.19 4.151 2.752 5.053 1.444
[2,] 543.86 323.049 133.115 522.334 411.25 414.262 422.726 250.922 92.096
[3,] 462.19 301.020 122.544 550.662 424.79 437.443 397.572 217.348 82.019
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 4.125 1.961 4.594 4.04 5.227 5.941 2.487 4.792
[2,] 386.350 116.791 294.131 222.75 422.768 529.848 180.100 492.703
[3,] 407.852 123.605 295.085 204.01 367.464 356.841 125.579 373.277
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.418 4.752 1.979 5.096 4.853 6.643 6.277 6.757
[2,] 257.715 489.132 131.800 304.692 422.447 373.405 418.903 421.880
[3,] 234.731 450.953 128.069 267.093 291.770 378.804 357.591 391.606
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.153 4.363 1.487 4.998 3.285 5.704 2.375 3.342
[2,] 506.644 505.556 99.314 444.354 215.955 460.574 151.431 201.006
[3,] 406.074 480.415 82.724 442.766 200.319 459.146 144.223 202.262
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.095 5.329 4.054 8.861 8.35 2.016 1.993 3.178
[2,] 116.875 442.672 245.792 519.854 487.31 222.747 281.264 219.507
[3,] 117.903 376.761 250.050 391.251 447.43 224.980 175.600 185.334
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.316 4.142 3.016 4.499 14.02 12.66 6.339
[2,] 192.884 223.855 159.719 286.642 1122.51 1334.44 627.995
[3,] 160.008 242.856 169.361 285.745 1119.66 1158.12 606.291
[1] "--- VAR model 2017-10-03 13:01:00 completed"
[1] "Completed training sample: 2017-10-03 13:01:00 - 2017-10-03 21:00:00"
[1] "SpVAR; training sample: 2017-10-03 13:31:00 - 2017-10-03 21:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-9.553 3.6575 14.40 -15.651
-4.718 -0.3354 -10.97 -1.345
-1.086 -0.4078 -12.11 -19.677
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.647 1.7637 4.1249 12.156
-10.080 -0.2929 -0.2195 6.260
-2.147 0.8908 2.1344 1.761
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.197 -5.292 1.126 -12.133
2.544 1.009 -2.242 -10.844
3.646 8.173 2.808 -9.457
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.947 -7.970 2.109 -1.932
-5.063 -2.500 -10.506 4.943
1.573 3.989 6.643 -7.625
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.799 -17.722 -11.6464 -8.582
-1.173 -6.030 5.1912 -3.948
-4.753 -2.056 0.9348 4.706
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
17.241 2.211 -37.38 -22.093
5.263 2.387 17.12 -2.391
-15.983 1.414 -15.64 3.895
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.553 -9.163 1.470 4.799
3.936 -12.163 -13.722 3.621
1.964 14.240 -2.088 -4.430
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-22.95 -0.8370 -16.3647 -5.599
-1.06 3.9091 0.5335 -11.853
-17.52 -0.1836 -18.8321 -5.598
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.7223 -11.34 -11.844 -2.855
-1.4804 -16.66 -9.490 -8.698
-0.8286 -11.49 -7.598 -21.740
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.44 13.913 5.090 1.9771
14.50 9.579 -6.176 1.3566
13.44 7.777 -4.622 0.9675
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.734 -0.1145 -9.264 -10.35
6.762 -2.8052 -8.278 -13.21
2.316 0.4719 -9.130 -13.93
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.6088 -0.8142 2.351 -13.813
0.9163 -1.6404 -9.503 5.741
-1.9690 -2.5189 -5.622 7.082
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.476 2.58918 16.869 2.974
-2.127 -2.46354 7.367 3.180
0.412 0.05134 -5.013 5.653
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.421 13.0232 7.603 10.774
1.395 17.4327 9.336 1.779
-2.581 0.7358 14.282 11.959
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.869 3.966 1.24034 -7.814
6.413 1.268 3.06703 6.239
13.832 6.247 -0.04387 6.877
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.385 1.804 6.437 2.1913
2.133 8.395 3.493 0.2361
-1.119 1.221 2.121 9.4910
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.938 6.5049 -2.713 1.843
-3.674 0.2815 -4.935 6.612
8.120 1.3819 8.740 2.202
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.512 0.8203 -8.123 -12.7991
-2.426 3.8258 -2.767 -4.0814
9.203 -0.2343 7.856 -0.3768
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.076 -2.173 -1.293 -1.648
6.201 -7.694 9.771 -4.216
-5.631 -4.101 4.073 -6.275
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.104 -0.6624 3.8158 5.440
-3.744 -3.9341 -1.3208 -2.641
5.474 -0.2830 -0.1255 -1.052
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.135 -1.551 6.950 5.235
-11.652 -4.608 3.329 -1.417
1.577 -1.043 -1.016 2.216
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.101 0.9650 5.664 11.901
9.575 0.9414 -1.277 -4.146
10.338 0.8853 -9.103 5.797
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.425 -0.3478 2.5685 3.8692
1.620 3.0482 2.4440 0.7883
4.016 -2.9327 0.2176 2.2131
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.358 -2.869 21.60 225.2
8.343 1.183 23.43 243.6
2.504 -4.016 17.15 267.3
rnd_95776.volume rnd_95787.volume
26.864 -16.445
-8.643 -6.931
2.653 6.689
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.367 3.133 7.522 3.504 4.123 2.123 1.811 4.472 4.570 3.399 2.542
[2,] 4.496 3.581 8.633 4.798 5.658 2.548 2.088 5.277 5.773 5.425 3.347
[3,] 5.031 3.981 9.725 6.078 6.660 2.822 2.256 5.752 6.457 6.080 3.851
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.829 2.988 3.574 4.219 3.851 3.717 3.799 7.030 4.683 8.881 3.827
[2,] 4.061 3.549 4.668 5.584 4.525 5.056 5.035 8.656 5.865 10.344 4.455
[3,] 4.716 3.977 5.349 6.364 5.010 5.799 5.977 9.761 6.762 11.752 4.964
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.465 4.981 1.923 3.711 3.907 3.914 3.556 1.777 3.669 4.485 2.180
[2,] 15.243 6.942 2.308 5.703 6.089 4.298 5.012 2.144 5.385 5.406 2.532
[3,] 17.165 8.484 2.561 8.068 8.411 4.923 6.290 2.427 6.543 6.223 2.764
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.403 4.166 4.341 3.777 3.886 3.731 1.294 3.814 1.056 3.336 2.910
[2,] 5.599 5.679 5.646 4.550 5.114 4.586 1.479 4.796 1.246 4.189 4.088
[3,] 6.774 6.568 6.631 5.142 5.733 5.175 1.643 5.249 1.410 4.708 4.861
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.560 1.606 3.080 4.676 4.497 2.407 4.289 4.414 1.922 3.776 3.226
[2,] 3.087 1.887 4.475 5.435 5.141 2.823 6.237 5.074 2.191 5.803 4.739
[3,] 3.403 2.103 5.190 5.925 5.703 3.201 7.368 5.663 2.393 7.239 5.886
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.200 2.175 3.897 1.095 3.183 1.512 3.497 3.206 3.998 4.516 1.925
[2,] 4.792 4.099 4.431 1.302 4.647 1.782 4.278 3.678 5.354 6.312 2.430
[3,] 6.011 5.331 4.803 1.463 5.620 2.027 4.885 4.034 6.136 6.916 2.635
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.743 3.363 3.691 1.574 3.850 3.478 5.033 4.664 5.446 4.020 3.255
[2,] 5.538 3.957 5.400 1.899 4.581 4.630 5.866 5.790 6.457 5.628 5.191
[3,] 6.281 4.399 6.478 2.143 5.125 5.189 6.652 6.554 7.221 6.374 6.413
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.152 3.226 2.604 4.168 1.843 2.645 1.575 4.281 3.108 7.095 6.596
[2,] 1.386 4.695 3.161 5.380 2.218 3.202 1.844 5.540 3.640 8.063 7.911
[3,] 1.569 5.843 3.564 6.290 2.501 3.615 2.065 6.366 4.081 8.719 8.777
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.495 1.420 2.417 2.559 3.040 2.349 3.607 11.61 10.26 5.069
[2,] 2.342 2.737 3.082 3.088 3.604 2.730 4.316 14.83 14.90 7.103
[3,] 3.034 3.145 3.440 3.353 4.162 3.044 4.921 17.40 17.65 8.653
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.275 3.979 9.552 4.449 5.236 2.696 2.299 5.678
[2,] 370.102 215.225 525.924 407.127 481.155 174.900 129.098 348.101
[3,] 280.342 216.025 556.046 463.217 436.286 150.795 106.124 283.996
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.804 4.317 3.228 3.592 3.795 4.539 5.357 4.89 4.72
[2,] 438.025 525.018 270.392 361.882 237.698 372.909 454.332 295.10 425.58
[3,] 359.075 341.018 236.560 297.648 222.821 324.411 379.175 266.99 352.67
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.825 8.927 5.947 11.28 4.859 10.75 6.325 2.442
[2,] 410.291 627.130 438.358 658.67 283.206 1574.18 600.499 158.409
[3,] 399.952 560.403 418.032 692.57 271.937 980.10 605.506 137.801
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.712 4.961 4.971 4.516 2.256 4.658 5.695 2.768
[2,] 537.681 580.024 220.534 438.539 149.053 489.591 374.680 160.067
[3,] 708.805 720.435 297.977 471.906 141.210 461.578 382.958 137.681
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.592 5.29 5.512 4.797 4.935 4.737 1.643 4.843 1.341
[2,] 429.482 479.31 448.247 314.918 412.843 331.191 89.034 361.124 82.098
[3,] 473.468 409.70 431.866 297.515 321.875 297.711 88.823 264.781 81.883
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.237 3.695 3.251 2.04 3.911 5.937 5.711 3.057
[2,] 314.613 356.592 214.238 123.10 403.126 344.110 309.327 183.212
[3,] 266.838 326.753 177.697 115.17 326.509 293.134 306.524 187.315
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.446 5.605 2.441 4.795 4.097 4.063 2.762 4.949 1.39
[2,] 562.264 310.682 130.665 547.172 431.135 442.951 431.437 261.925 87.58
[3,] 487.254 312.386 119.286 537.428 433.520 450.743 423.290 229.971 82.85
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 4.042 1.921 4.441 4.071 5.077 5.735 2.445 4.753
[2,] 420.387 117.092 306.036 223.960 442.143 547.616 184.044 506.803
[3,] 392.631 119.824 292.886 205.686 372.200 351.107 126.516 368.125
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.271 4.686 1.999 4.888 4.416 6.392 5.923 6.916
[2,] 258.854 489.463 131.957 308.462 379.648 374.001 426.034 430.622
[3,] 238.685 444.474 123.311 285.161 290.751 389.566 381.391 401.487
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.104 4.133 1.462 4.096 3.306 5.293 2.34 3.358 2.0
[2,] 489.243 502.089 95.653 423.722 222.541 422.454 153.40 224.066 119.2
[3,] 371.572 467.655 91.550 431.824 204.648 404.645 143.42 208.507 115.4
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 5.436 3.947 9.009 8.375 1.898 1.804 3.069 3.249
[2,] 436.680 235.311 475.732 542.445 223.891 290.523 237.425 214.656
[3,] 389.571 229.011 411.977 472.301 239.492 192.306 189.759 162.250
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.861 2.983 4.581 14.74 13.03 6.437
[2,] 240.245 172.679 294.294 1147.49 1342.29 617.760
[3,] 258.697 167.250 293.681 1128.26 1174.18 613.795
[1] "--- VAR model 2017-10-03 13:31:00 completed"
[1] "Completed training sample: 2017-10-03 13:31:00 - 2017-10-03 21:30:00"
[1] "SpVAR; training sample: 2017-10-03 14:01:00 - 2017-10-03 22:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.04184 -1.6694 -10.37 -9.828
3.52723 1.9462 -10.74 -13.807
3.46709 -0.4722 -11.54 -6.772
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-24.573 -4.4571 -2.78866 7.4026
-9.099 5.5029 -0.91826 -0.3391
-17.562 0.2821 0.08065 6.2374
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.871 2.7106 0.1415 -14.715
8.087 8.6309 1.7647 -13.152
-1.912 0.9028 11.2044 -7.191
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.311 -4.947 7.4725 6.331
-1.671 2.649 -7.5517 -1.144
5.174 1.256 -0.4524 2.244
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.7951 -7.915 -10.5319 -2.6056
0.4856 -2.487 0.5205 0.9237
-3.3918 -6.389 9.1444 2.1335
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.025 5.621257 -21.725 -2.750
-4.529 3.622871 -18.254 -15.960
-9.286 0.001191 -1.812 -5.416
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.2323 -9.294 -18.740 6.55511
-3.5982 -9.939 -8.672 0.07611
-1.3898 -7.643 -5.550 4.85062
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.663 1.5232 2.135 0.7803
-13.516 0.6788 -17.702 1.6721
-7.286 2.3640 -8.100 -6.9598
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.527 -5.619 -25.38 -25.808
-2.398 -10.227 -10.69 -6.112
-1.918 -10.866 -14.41 -10.880
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.8646 -5.1806 0.2951 0.1986
-1.6546 -2.8999 2.2541 -0.5740
-0.9931 -0.9546 -0.2261 1.8030
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.349 -0.3531 -8.877 -9.001
6.853 1.4393 -10.519 -17.285
-1.666 -0.8953 -6.588 -14.612
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.720 -2.5582 -18.675 8.298
-1.761 2.9927 -7.029 7.216
2.038 0.2619 -16.217 4.471
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.200 -4.344 0.3202 -2.732
-7.285 -5.237 -7.6252 4.066
3.253 5.059 -8.0117 8.873
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.8559 -18.590 -3.8251 0.01427
-0.3141 9.839 -6.3920 -14.42560
-3.1760 -11.977 -0.3094 7.27217
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.895 1.8977 0.01748 -0.5666
-4.919 -4.0067 -1.07107 8.5318
-5.533 -0.5978 -0.80233 -5.1695
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.802 0.1615 -1.341 10.030
-3.174 4.3331 -5.211 -3.196
-1.160 2.7548 1.975 1.514
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.2736 -5.3541 -5.636 7.383
0.8586 -2.8052 2.394 -4.586
4.6265 -0.1324 3.349 5.864
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.9323 -4.3641 -2.883 1.756
-0.2693 0.2307 6.598 2.097
-0.9224 1.7045 3.388 3.908
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.0023 0.6609 7.657 5.783
-0.3848 5.2924 -2.353 1.803
1.6752 -2.9426 5.830 2.685
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
19.044 0.5678 7.6226 1.3693
1.790 0.7308 10.4358 -3.5083
4.879 0.8252 -0.5886 0.3777
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.102 1.9025 -6.351 2.6951
3.671 -0.9138 5.260 -0.2587
2.882 2.7533 -4.093 -0.8462
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.375 -2.313 -10.67 1.0245
-7.320 2.727 16.69 0.6417
-3.350 -1.348 10.38 4.8921
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.907 -5.3876 -11.404 -10.238
-5.290 -8.9723 -3.070 -4.310
-6.943 -0.7689 -2.194 1.061
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1762 1.325 13.50 238.6
-0.1757 -2.271 11.53 251.7
3.3378 -1.824 15.21 228.0
rnd_95776.volume rnd_95787.volume
6.429 -1.478
-37.397 -15.410
-8.348 -3.424
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.308 3.174 7.460 3.403 4.057 2.027 1.838 4.374 4.563 3.364 2.477
[2,] 4.360 3.586 8.590 4.815 5.436 2.489 2.059 5.222 5.853 5.263 3.308
[3,] 4.875 3.960 9.595 6.033 6.366 2.787 2.235 5.710 6.489 6.060 3.819
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.797 2.988 3.244 4.185 3.857 3.627 3.769 6.897 4.690 8.805 3.736
[2,] 3.943 3.489 4.261 5.669 4.489 4.943 4.888 8.441 5.848 10.254 4.350
[3,] 4.694 3.890 5.015 6.466 4.937 5.763 5.794 9.588 6.749 11.630 4.910
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.47 4.959 1.848 3.733 3.794 3.865 3.581 1.813 3.644 4.361 2.243
[2,] 15.20 7.010 2.239 5.524 5.946 4.375 5.012 2.119 5.271 5.294 2.556
[3,] 17.29 8.448 2.503 8.064 8.314 4.904 6.230 2.426 6.409 6.131 2.788
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.212 4.164 4.264 3.719 3.841 3.633 1.289 3.705 0.9858 3.332 2.680
[2,] 5.358 5.511 5.566 4.461 5.077 4.481 1.453 4.638 1.1878 4.193 4.000
[3,] 6.499 6.320 6.509 4.997 5.606 5.054 1.631 5.163 1.3505 4.683 4.829
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.516 1.647 2.958 4.535 4.393 2.303 4.139 4.386 1.822 3.629 3.152
[2,] 3.096 1.906 4.391 5.251 5.016 2.781 6.008 4.970 2.115 5.793 4.655
[3,] 3.410 2.076 5.134 5.760 5.505 3.155 7.143 5.584 2.335 7.100 5.772
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.222 1.994 3.814 1.016 3.191 1.489 3.299 3.086 3.828 4.887 1.890
[2,] 4.732 3.983 4.285 1.246 4.448 1.760 4.111 3.663 5.095 6.350 2.334
[3,] 6.032 5.226 4.605 1.419 5.323 1.990 4.725 4.022 5.931 6.958 2.531
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.754 3.350 3.609 1.506 3.698 3.466 4.955 4.480 5.398 3.831 3.211
[2,] 5.456 3.900 5.309 1.819 4.397 4.578 5.742 5.621 6.443 5.522 5.192
[3,] 6.151 4.313 6.329 2.075 4.917 5.112 6.490 6.374 7.241 6.320 6.469
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.152 3.301 2.596 4.020 1.831 2.555 1.498 4.308 3.139 6.851 6.447
[2,] 1.358 4.645 3.129 5.290 2.210 3.150 1.768 5.564 3.620 8.047 7.850
[3,] 1.551 5.823 3.467 6.283 2.500 3.562 1.983 6.380 4.067 8.681 8.634
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.503 1.392 2.408 2.578 3.032 2.258 3.487 11.56 9.909 5.041
[2,] 2.318 2.694 3.084 3.077 3.632 2.638 4.198 15.03 14.688 7.062
[3,] 2.985 3.136 3.435 3.340 4.146 2.969 4.874 17.68 17.295 8.627
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.201 4.03 9.473 4.321 5.151 2.574 2.334 5.555
[2,] 360.716 211.98 540.898 432.622 459.509 183.353 117.765 362.298
[3,] 276.811 213.37 542.973 461.473 420.771 159.382 110.516 293.190
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.795 4.271 3.146 3.551 3.794 4.12 5.314 4.898
[2,] 465.520 514.038 278.433 353.005 228.856 350.85 485.538 291.754
[3,] 355.651 381.557 242.376 323.336 218.465 335.89 395.100 260.869
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.605 4.785 8.758 5.955 11.18 4.745 10.76 6.297
[2,] 426.577 395.400 618.026 443.620 667.19 282.972 1602.93 629.265
[3,] 376.171 395.035 577.425 427.798 696.92 288.982 1046.90 598.591
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.347 4.74 4.817 4.909 4.548 2.303 4.627 5.537
[2,] 160.535 517.07 581.360 260.105 445.286 139.292 483.682 381.319
[3,] 141.907 746.00 738.034 281.604 469.834 150.036 463.049 392.550
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.848 5.348 5.288 5.415 4.722 4.878 4.614 1.637
[2,] 155.540 420.515 458.340 454.283 312.837 421.482 333.094 85.351
[3,] 141.552 467.267 393.066 428.574 286.036 302.117 296.750 93.928
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.705 1.252 4.231 3.403 3.194 2.091 3.757 5.758
[2,] 354.247 84.150 323.187 377.029 229.220 121.877 412.070 336.251
[3,] 288.199 81.624 264.880 343.693 181.391 104.577 337.809 300.515
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.578 2.924 5.256 5.57 2.314 4.608 4.003 4.092
[2,] 307.590 198.042 553.075 296.87 136.467 573.372 434.918 440.117
[3,] 288.005 189.102 490.575 323.26 125.501 521.402 433.460 475.063
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.533 4.843 1.291 4.052 1.891 4.189 3.918 4.861
[2,] 437.839 248.148 91.539 393.458 119.159 311.587 250.539 426.866
[3,] 429.705 214.138 86.268 371.411 117.897 295.788 210.943 385.692
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 6.206 2.4 4.767 4.254 4.583 1.912 4.696 4.401 6.292
[2,] 514.834 174.0 502.817 253.700 494.517 129.602 302.134 379.717 368.547
[3,] 361.254 124.3 360.729 233.907 437.558 126.803 279.304 288.882 384.194
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.689 6.855 4.865 4.077 1.462 4.192 3.297 5.105
[2,] 431.103 446.686 505.093 518.091 91.374 414.994 221.758 436.742
[3,] 381.691 419.825 390.408 490.099 95.278 445.959 189.739 430.380
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.325 3.245 1.903 5.471 3.986 8.7 8.187 1.909 1.768
[2,] 157.095 233.952 119.198 447.137 228.860 536.0 568.749 224.013 292.944
[3,] 148.467 211.010 114.064 396.404 235.434 413.4 456.623 238.852 203.674
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.058 3.274 3.851 2.868 4.427 14.67 12.58 6.402
[2,] 244.620 213.308 253.794 173.161 296.887 1220.29 1376.77 627.941
[3,] 192.045 165.078 254.042 173.063 314.469 1182.25 1159.52 629.286
[1] "--- VAR model 2017-10-03 14:01:00 completed"
[1] "Completed training sample: 2017-10-03 14:01:00 - 2017-10-03 22:00:00"
[1] "SpVAR; training sample: 2017-10-03 14:31:00 - 2017-10-03 22:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.650 -7.600 3.365 -15.178
3.072 3.926 -8.707 -7.515
1.145 -4.878 -2.274 -18.146
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.137 1.809 -2.3665 5.6768
-2.051 1.562 -0.7747 -0.6848
-8.133 -1.259 3.9778 -3.5172
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.5004 -6.489 6.794 -13.229
13.6887 5.921 4.264 -7.161
-11.7911 4.563 5.737 -4.917
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.415 1.882 -8.674 -11.1593
-3.472 -8.018 -15.659 -5.4969
2.607 -5.397 4.318 0.2526
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.029 4.546 -1.2893 -1.0348
-4.452 -3.487 1.2584 13.2869
-3.606 -11.661 -0.8613 -0.4123
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.498 -15.966 -30.0403 -13.98
-14.333 10.951 0.8601 -5.75
-12.908 -7.348 -13.5435 -11.47
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.4127 -11.515 -13.839 2.532
-1.8022 -11.619 -8.969 -1.437
0.9290 1.992 -6.577 -2.296
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.457 -1.966 -7.728 0.1699
-10.785 2.568 -8.058 7.4009
-15.911 1.899 -15.653 1.5968
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2747 3.1728 -7.4308 -1.903
-1.4432 0.0961 -4.3394 -1.705
-1.2402 -19.1349 -0.3457 2.727
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.2469 6.603 -10.838 0.5165
-0.6005 3.643 2.071 3.8826
-5.3953 1.732 6.576 0.6410
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.170 -0.53330 0.9567 4.820
8.714 0.04572 -4.7405 -8.455
6.212 -1.17208 1.4668 -1.039
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.840 -0.8971 -5.253 -9.382
2.764 5.4484 4.086 6.458
3.193 -0.5387 -5.757 3.416
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.912 6.586 -2.99 -8.551
4.477 4.714 -10.32 5.116
10.651 6.853 -10.36 5.580
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.7267 3.065 3.562 -1.355
-0.3249 -12.240 -7.369 -2.582
0.6287 -18.145 -10.089 -8.426
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.448 0.6481 0.4513 21.114
2.703 -0.1941 -0.4942 1.969
-11.640 1.2600 -1.0291 -1.140
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.564 6.379 -10.524 -5.509
2.999 7.819 1.851 4.219
-2.025 2.276 1.841 0.689
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.842 0.11534 -13.410 1.9407
1.722 -0.95089 -6.448 -7.8687
2.197 -0.03711 4.693 0.1037
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.711 1.9263 0.6345 -4.3208
-7.954 3.7347 -2.7894 0.8482
-3.095 0.9905 -3.5109 -0.7339
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-9.444 3.017 -0.3718 -7.478
-2.197 -5.447 -5.0617 -4.439
-2.555 -4.002 1.5977 2.350
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.3372 1.798 -8.757 -1.823
0.8888 -1.228 -1.297 -5.155
-0.9769 1.893 -5.713 2.008
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.748 0.84313 1.239 0.7801
-9.009 -0.02013 3.003 -0.9975
1.075 1.97110 -1.985 2.7708
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.495 -10.969 11.345 6.336
-4.712 4.095 -10.823 -2.256
-4.778 -3.996 -1.252 8.344
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.275 2.352 4.289 2.319
5.597 -1.834 -2.854 -1.725
-6.702 -0.396 1.864 3.128
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5561 -0.7581 19.94 215.1
0.4727 5.1185 18.60 241.9
0.6811 -2.6557 14.68 226.0
rnd_95776.volume rnd_95787.volume
11.42 -15.127
-27.01 -8.396
33.36 -9.427
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.260 2.989 7.322 3.421 4.308 1.903 1.699 4.404 4.348 3.159 2.361
[2,] 4.266 3.369 8.342 4.771 5.567 2.422 1.953 5.086 5.626 5.195 3.189
[3,] 4.766 3.797 9.254 5.850 6.543 2.749 2.128 5.532 6.220 5.920 3.704
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.639 2.991 3.058 4.116 3.933 3.560 3.571 6.730 4.655 8.64 3.701
[2,] 3.818 3.472 4.103 5.519 4.418 4.931 4.639 8.496 5.754 10.06 4.259
[3,] 4.621 3.848 4.807 6.340 4.795 5.771 5.605 9.538 6.702 11.53 4.865
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.828 4.759 1.757 3.717 3.745 3.756 3.563 1.786 3.480 4.247 2.210
[2,] 14.736 6.979 2.149 5.469 5.869 4.381 4.964 2.118 5.109 5.179 2.540
[3,] 16.674 8.251 2.416 7.812 8.269 4.832 6.163 2.398 6.258 6.046 2.812
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.192 4.129 4.267 3.691 3.842 3.668 1.238 3.438 0.9384 3.353 2.514
[2,] 5.229 5.446 5.513 4.438 4.861 4.473 1.426 4.274 1.1369 4.189 3.931
[3,] 6.353 6.295 6.416 4.981 5.369 5.009 1.559 4.898 1.2863 4.651 4.761
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.401 1.599 2.894 4.199 4.216 2.286 4.053 4.194 1.696 3.488 2.996
[2,] 3.017 1.876 4.297 4.970 4.997 2.780 5.713 4.792 2.041 5.526 4.580
[3,] 3.360 2.062 5.014 5.546 5.540 3.177 6.934 5.403 2.277 6.837 5.528
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.956 1.855 3.422 0.9982 3.071 1.442 3.184 2.843 3.764 4.789 1.836
[2,] 4.406 3.796 3.961 1.2198 4.319 1.703 4.030 3.408 4.826 6.124 2.273
[3,] 5.732 5.117 4.313 1.3933 5.155 1.913 4.585 3.754 5.670 6.746 2.459
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.794 3.219 3.325 1.502 3.686 3.454 4.880 4.517 5.334 3.613 3.089
[2,] 5.375 3.752 5.101 1.823 4.341 4.574 5.697 5.708 6.431 5.277 5.139
[3,] 6.052 4.086 6.132 2.046 4.814 5.082 6.430 6.341 7.156 6.045 6.205
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.100 3.248 2.549 3.870 1.820 2.463 1.454 4.115 3.009 6.666 6.520
[2,] 1.297 4.396 3.089 5.168 2.229 3.076 1.669 5.421 3.479 7.772 7.820
[3,] 1.478 5.540 3.444 6.124 2.497 3.530 1.889 6.149 3.958 8.422 8.615
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.508 1.404 2.369 2.425 2.987 2.131 3.398 11.98 9.36 4.860
[2,] 2.321 2.603 3.026 2.971 3.532 2.457 4.173 15.58 14.53 6.986
[3,] 2.941 3.057 3.378 3.246 4.052 2.745 4.792 18.32 17.28 8.402
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.139 3.795 9.297 4.344 5.471 2.417 2.157 5.593
[2,] 359.721 203.312 522.555 434.592 460.916 195.814 125.886 332.438
[3,] 277.793 228.961 523.484 442.448 449.157 170.016 110.510 284.640
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.521 4.011 2.998 3.352 3.798 3.883 5.227 4.994
[2,] 466.701 538.975 280.205 360.498 230.513 357.473 480.621 262.934
[3,] 346.568 371.108 246.241 340.270 216.821 327.476 407.841 243.777
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.52 4.534 8.546 5.912 10.97 4.699 9.941 6.043
[2,] 446.02 387.095 677.638 442.054 674.68 275.605 1631.611 667.143
[3,] 391.70 411.007 566.742 449.058 735.99 307.308 1019.810 575.282
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.231 4.72 4.755 4.77 4.524 2.268 4.419 5.393 2.806
[2,] 161.784 524.23 590.541 294.82 451.715 148.620 488.812 387.380 163.654
[3,] 144.330 729.12 761.387 266.48 477.460 146.928 472.474 407.719 157.640
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.323 5.244 5.418 4.687 4.879 4.657 1.572 4.365 1.192
[2,] 408.608 464.014 456.325 322.127 389.162 334.618 92.495 331.854 83.904
[3,] 471.611 412.783 428.870 295.481 297.850 294.617 82.447 312.757 78.628
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.258 3.193 3.049 2.03 3.675 5.332 5.353 2.903
[2,] 328.068 394.830 238.681 128.45 415.196 347.656 350.570 206.777
[3,] 264.217 351.126 193.526 111.68 337.756 321.506 312.675 200.808
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.146 5.326 2.153 4.429 3.804 3.754 2.356 4.346
[2,] 526.316 303.090 148.470 560.258 452.678 427.033 432.781 260.496
[3,] 513.490 325.995 132.021 526.175 404.591 479.129 448.416 223.172
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.268 3.9 1.832 4.043 3.611 4.78 6.082 2.331 4.817
[2,] 91.636 396.8 118.330 322.862 245.579 394.67 498.852 175.152 497.713
[3,] 87.995 367.9 113.879 285.736 205.854 389.18 369.737 122.514 363.394
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.088 4.222 1.907 4.68 4.386 6.197 5.736 6.774
[2,] 251.797 505.548 135.045 299.78 391.973 384.305 456.080 469.537
[3,] 211.548 444.741 121.543 271.77 289.314 389.594 360.975 410.134
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.587 3.923 1.397 4.124 3.237 4.914 2.311 3.127
[2,] 502.643 536.794 89.765 387.236 228.022 447.579 168.148 240.952
[3,] 385.545 454.340 92.507 440.536 199.074 429.519 147.141 226.270
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.847 5.225 3.821 8.465 8.279 1.915 1.783 3.008
[2,] 107.175 461.222 228.322 522.259 564.473 230.570 286.448 246.180
[3,] 115.405 379.352 246.595 424.166 472.462 236.166 209.531 196.168
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.079 3.793 2.706 4.314 15.22 11.89 6.172
[2,] 224.500 246.428 159.810 316.694 1302.01 1453.18 655.796
[3,] 170.867 259.440 159.949 307.771 1259.03 1222.03 610.061
[1] "--- VAR model 2017-10-03 14:31:00 completed"
[1] "Completed training sample: 2017-10-03 14:31:00 - 2017-10-03 22:30:00"
[1] "SpVAR; training sample: 2017-10-03 15:01:00 - 2017-10-03 23:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-12.37072 -3.253 -5.663 8.055
-5.87410 -5.613 1.260 -11.363
0.09559 -4.714 -4.289 -12.670
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.711 -0.10122 -0.26865 2.116
-3.252 1.60599 -0.02715 3.038
-5.727 0.03174 2.04155 -1.278
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.483 -2.804 4.3590 -10.674
-2.163 4.332 -0.6287 -7.012
-2.016 -1.600 1.1159 -6.763
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.192 -2.723 2.8281 1.339
-1.945 -6.041 -0.7882 3.077
2.410 2.183 4.3529 2.915
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.431 3.841 6.891 17.6550
-4.184 -3.329 12.905 0.9593
1.177 -2.216 -15.827 5.1698
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.108 -1.234 -22.632814 -8.770
-2.466 8.042 -4.449400 -2.392
4.219 4.859 0.006084 -4.103
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.5930 -3.514 -3.0108 -1.8892
-0.8612 -7.592 -13.7001 2.1535
2.3338 -4.341 0.1124 0.1135
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.477 -0.7698 0.04392 -3.604
-8.226 3.2141 -5.60626 -2.155
-11.237 2.4405 -15.79713 -3.858
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.5418 2.893 -6.957 -7.620
1.7822 2.448 -6.012 -5.984
0.4463 -11.455 -8.795 -5.785
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6579 1.588 -8.407 1.0726
2.0078 11.245 -5.322 -1.3205
1.1809 -1.403 4.202 0.3883
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.205 2.1686 -8.484 -8.575
-2.967 0.5527 -3.071 -15.203
-7.013 0.1089 -3.509 -3.095
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.622 0.7899 -3.193 0.5742
-2.058 1.8557 -2.803 4.4442
2.572 -3.4128 -12.466 0.3151
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.678 -1.5559 1.370 8.569
-1.137 0.9757 -3.844 5.141
12.020 1.6929 5.667 1.324
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.8337 -0.9163 -4.331 -0.6099
-0.5019 3.7487 4.306 -2.2697
1.1650 -4.5304 1.017 7.1084
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.499 -5.9175 -0.06679 3.342
-3.632 7.2698 1.11537 -2.564
1.927 -0.6357 1.20326 -5.956
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1492 -0.3702 5.130 4.715
-0.6485 1.0621 2.373 2.001
-3.8719 1.2986 3.246 2.591
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.381 2.1426 2.888 -1.5110
10.893 -0.3275 2.105 2.2756
-4.053 -1.5086 4.994 0.5266
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.982 -1.1435 -8.439 -9.1161
2.016 1.1038 -4.227 -4.1682
13.258 0.2771 -1.499 -0.6333
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.473 0.09759 2.013 -0.1236
-8.472 -13.64833 -1.942 -10.3678
-7.829 -7.38190 -8.068 -11.1153
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.8615 0.3757 8.894 0.8068
-2.4757 0.4394 4.491 3.0982
-6.1300 -1.0465 -5.822 -3.1576
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.176 -1.9464 -2.131 1.0753
8.522 1.8224 -1.782 0.7953
1.656 0.7189 -1.099 -0.3436
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
14.429 3.051 -4.001 11.811
10.490 -5.599 14.984 -2.183
2.995 -6.868 -4.480 3.814
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.0923 -0.2528 1.231 1.769
0.7335 -2.0898 2.661 3.832
-1.8831 4.8841 -1.085 -2.767
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.153 -4.90157 13.85 276.8
-7.692 0.38418 16.29 281.3
-4.370 -0.03543 16.56 270.5
rnd_95776.volume rnd_95787.volume
12.00 -9.327
-15.57 -3.168
17.13 -4.623
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.265 2.889 6.946 3.321 4.302 1.750 1.602 4.139 4.243 3.186 2.335
[2,] 4.169 3.226 8.004 4.709 5.585 2.282 1.855 4.918 5.540 5.065 3.080
[3,] 4.595 3.653 8.844 5.702 6.511 2.608 2.088 5.400 6.065 5.814 3.531
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.574 2.794 2.926 4.079 3.850 3.661 3.315 6.916 4.447 8.118 3.335
[2,] 3.626 3.288 3.908 5.447 4.286 4.852 4.515 8.552 5.494 9.463 3.849
[3,] 4.400 3.641 4.566 6.272 4.715 5.677 5.387 9.532 6.402 10.763 4.329
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.234 4.652 1.687 3.600 3.681 3.617 3.394 1.734 3.421 4.209 2.173
[2,] 13.879 6.730 2.065 5.211 5.728 4.256 4.841 2.061 4.951 5.100 2.500
[3,] 15.794 7.985 2.332 7.435 7.941 4.738 5.933 2.383 6.124 5.899 2.741
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.270 3.985 4.166 3.571 3.727 3.581 1.225 3.324 0.9193 3.124 2.489
[2,] 5.180 5.391 5.353 4.191 4.645 4.308 1.396 4.065 1.1031 4.009 3.795
[3,] 6.318 6.209 6.178 4.612 5.135 4.804 1.525 4.592 1.2324 4.503 4.482
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.324 1.540 2.840 4.003 3.991 2.289 3.690 4.059 1.741 3.282 2.894
[2,] 2.936 1.761 4.014 4.788 4.677 2.764 5.336 4.631 2.021 5.172 4.342
[3,] 3.265 1.954 4.744 5.335 5.313 3.080 6.458 5.200 2.231 6.555 5.367
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.048 1.790 3.171 0.9682 3.072 1.381 2.965 2.566 3.649 4.523 1.713
[2,] 4.260 3.713 3.706 1.1780 4.151 1.629 3.714 3.182 4.600 5.659 2.127
[3,] 5.561 4.823 4.024 1.3379 5.008 1.813 4.342 3.513 5.342 6.358 2.328
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.525 3.087 3.219 1.475 3.624 3.436 4.633 4.269 5.284 3.660 2.969
[2,] 4.946 3.592 4.890 1.800 4.144 4.439 5.474 5.348 6.297 5.136 4.867
[3,] 5.538 3.948 5.856 2.047 4.599 4.911 6.286 5.947 6.968 5.804 5.834
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.059 3.101 2.427 3.740 1.754 2.420 1.370 3.813 2.866 6.392 6.254
[2,] 1.233 4.189 2.992 4.957 2.155 2.967 1.584 5.125 3.277 7.335 7.585
[3,] 1.416 5.279 3.355 5.818 2.449 3.388 1.802 5.961 3.741 8.048 8.365
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.447 1.442 2.264 2.323 2.820 2.022 3.372 12.28 9.228 4.656
[2,] 2.303 2.544 2.935 2.922 3.374 2.384 4.142 15.73 13.966 6.666
[3,] 2.879 3.042 3.286 3.199 3.890 2.654 4.713 18.82 16.610 8.074
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.146 3.669 8.821 4.217 5.462 2.223 2.034 5.256
[2,] 352.053 194.730 540.006 453.201 483.597 198.849 127.102 360.531
[3,] 262.247 232.854 510.770 436.549 454.242 171.256 130.094 302.669
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.388 4.046 2.964 3.269 3.548 3.715 5.179 4.889
[2,] 483.491 534.452 272.684 346.609 235.440 351.844 490.104 255.595
[3,] 335.194 387.568 234.529 338.420 212.355 320.357 422.170 266.789
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.649 4.21 8.782 5.646 10.31 4.235 9.186 5.907
[2,] 432.216 416.17 682.850 438.126 660.28 260.790 1607.938 660.303
[3,] 400.106 398.82 571.678 446.252 696.19 269.154 1023.510 583.438
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.142 4.571 4.674 4.593 4.309 2.202 4.344 5.344
[2,] 161.730 511.545 595.893 304.693 468.666 151.186 485.857 390.974
[3,] 146.924 719.867 746.506 282.660 465.683 162.462 489.205 402.451
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.759 5.423 5.06 5.29 4.535 4.732 4.547 1.555 4.221
[2,] 167.830 398.018 492.94 456.36 297.761 376.381 325.201 90.980 317.666
[3,] 152.442 491.061 418.11 418.54 261.302 297.174 288.512 83.441 289.843
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.167 3.967 3.16 2.952 1.955 3.606 5.083 5.068 2.906
[2,] 82.763 341.081 388.96 243.501 115.934 385.174 356.651 330.996 210.372
[3,] 74.627 278.380 323.61 194.061 115.210 343.165 319.534 342.123 184.397
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.685 5.154 2.211 4.167 3.675 3.87 2.273 4.026 1.23
[2,] 523.286 302.828 139.290 542.688 439.380 404.04 441.635 260.624 91.10
[3,] 493.816 321.070 128.163 546.687 428.317 485.25 417.751 212.661 86.11
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.901 1.754 3.765 3.259 4.633 5.744 2.176 4.477
[2,] 378.918 117.242 303.597 255.521 380.375 461.633 171.061 471.003
[3,] 380.463 108.159 305.357 201.897 368.602 393.453 128.396 338.102
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.921 4.087 1.873 4.602 4.363 5.883 5.421 6.71
[2,] 249.171 499.684 140.129 272.720 381.551 395.756 437.249 465.02
[3,] 222.619 437.418 132.152 270.741 285.238 419.560 353.060 404.88
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.647 3.77 1.345 3.938 3.082 4.749 2.228 3.073 1.74
[2,] 489.251 523.58 85.546 382.364 237.451 441.662 169.940 233.080 107.98
[3,] 366.901 436.62 94.643 436.072 206.030 413.555 157.982 222.030 116.51
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.842 3.64 8.117 7.942 1.837 1.831 2.874 2.95 3.581
[2,] 464.841 215.58 488.511 582.652 243.173 284.588 253.719 240.66 251.346
[3,] 413.300 244.96 449.561 478.766 234.558 226.474 200.484 176.87 262.787
[,94] [,95] [,96] [,97] [,98]
[1,] 2.568 4.282 15.59 11.72 5.913
[2,] 171.476 326.382 1334.05 1423.06 647.669
[3,] 158.253 305.271 1402.52 1220.75 618.296
[1] "--- VAR model 2017-10-03 15:01:00 completed"
[1] "Completed training sample: 2017-10-03 15:01:00 - 2017-10-03 23:00:00"
[1] "SpVAR; training sample: 2017-10-03 15:31:00 - 2017-10-03 23:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.4838 -1.592 12.018 10.285
-3.8638 2.870 2.880 -3.495
0.3084 2.707 -5.094 1.903
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.527 -0.1525 1.5443 -2.780
3.946 2.0364 -1.8124 -2.831
-5.307 2.6050 0.9768 1.274
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.60556 -0.3309 1.506 -6.042
0.06926 -3.5699 1.574 -2.010
3.89491 -0.6165 -2.038 -2.762
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9077 -4.52302 -2.74234 3.653
2.2445 0.02662 0.05555 -2.639
-0.5522 3.35342 1.12700 -1.191
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.920 12.034 4.995 -5.6285
-1.906 -1.202 -1.369 0.3231
-2.531 -1.064 -3.336 -2.3160
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
13.426 -2.0312 -1.024 4.3909
2.555 2.6009 17.144 -0.5487
-6.992 -0.9052 12.096 2.4542
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.01195 0.7492 0.8669 1.5709
-0.06687 2.4905 -0.4406 0.4804
1.44427 3.4357 5.3266 3.3763
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
9.736 -2.287 12.700 -7.5282
-3.796 1.739 -1.183 -0.8856
4.020 -1.085 -1.275 -2.6792
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.63334 0.5223 -2.785 -1.569
-0.08175 4.8156 7.428 12.065
-0.99911 -0.4900 -3.935 -3.072
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.06885 2.684 -0.224 0.01495
1.76423 -1.007 -0.816 -1.00334
0.48181 1.174 4.433 0.54866
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.3315 -0.05825 -0.9724 -4.365
-1.7514 0.26488 0.6450 -4.392
-0.5632 -0.49903 1.3031 1.275
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.3461 -0.3479 -0.14862 1.673
0.7178 0.8967 -2.97973 6.618
2.2200 -0.7385 -0.06983 -4.628
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.6584 -1.06559 1.7817 8.467
-0.2044 0.01918 -0.9046 6.792
4.0641 -1.05554 0.7464 -4.508
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.9456 1.9139 0.7248 -2.23095
-0.6333 -0.1461 4.2002 3.28882
0.1379 4.0398 3.2854 0.03347
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.538 -4.8312 -0.004263 -3.490
1.757 1.0318 -0.140286 -5.877
5.293 -0.5708 0.886701 3.032
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.651 -1.758 1.164 4.2754
1.143 -1.052 3.638 -1.4081
-1.237 -3.049 -2.965 -0.3582
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.821 -0.599 11.146 1.619
-3.524 -1.028 -2.122 -3.602
-3.387 -1.359 1.496 -2.745
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.493 -0.5551 -6.339 0.16258
7.021 2.7318 1.047 -3.69505
-7.035 -1.3646 -4.060 -0.07651
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-8.37706 -7.6448 2.9631 -2.577
1.54194 -8.9916 1.1126 -9.423
0.01113 0.7021 0.5422 -2.540
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.350 1.5594 -10.287 -0.4597
-9.279 0.5621 -3.310 -0.1562
-6.030 -0.3368 -6.904 1.2770
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.2985 2.9901 -2.6123 -1.2637
-10.8665 0.2854 0.9188 0.1836
-8.3711 -2.4404 -2.2364 -1.3464
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.09644 -1.007 2.633 5.948
-0.32472 3.701 1.090 8.717
0.04626 2.604 4.105 4.041
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.890 -0.1883 3.3149 3.0747
3.587 2.6639 0.5677 -0.5448
1.446 0.2438 -2.5709 -3.1309
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.560 0.20983 10.256 226.9
-1.022 -0.09408 7.583 241.4
1.281 0.80774 11.060 236.0
rnd_95776.volume rnd_95787.volume
-9.412 1.8883
-4.796 -0.2842
19.977 3.9798
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.133 2.752 6.732 3.146 4.107 1.692 1.556 3.868 3.930 2.861 2.156
[2,] 3.925 3.132 7.760 4.343 5.252 2.140 1.785 4.673 5.318 4.915 2.851
[3,] 4.327 3.507 8.648 5.339 6.006 2.430 2.022 5.223 5.783 5.617 3.355
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.563 2.611 2.860 4.189 3.617 3.514 3.276 6.763 4.368 7.698 3.161
[2,] 3.528 3.078 3.839 5.369 4.165 4.695 4.367 8.230 5.311 8.888 3.736
[3,] 4.277 3.396 4.430 6.155 4.591 5.345 5.267 9.219 6.062 10.196 4.222
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.019 4.575 1.517 3.318 3.511 3.561 3.258 1.696 3.011 4.109 2.156
[2,] 13.400 6.491 1.878 4.890 5.543 4.066 4.543 1.977 4.571 4.886 2.469
[3,] 15.127 7.724 2.191 7.050 7.766 4.496 5.649 2.279 5.781 5.645 2.721
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.035 3.722 4.045 3.357 3.565 3.367 1.207 3.111 0.8663 2.966 2.402
[2,] 4.905 4.964 5.170 3.975 4.404 4.131 1.359 3.902 1.0581 3.807 3.602
[3,] 5.911 5.656 6.033 4.428 4.921 4.679 1.483 4.415 1.1858 4.272 4.192
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.240 1.453 2.926 3.677 3.727 2.232 3.613 3.815 1.730 3.226 2.747
[2,] 2.820 1.744 3.953 4.434 4.411 2.722 5.032 4.420 1.990 4.967 4.237
[3,] 3.113 1.910 4.584 4.925 5.068 3.036 6.131 4.961 2.199 6.235 5.133
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.797 1.694 3.020 0.9161 2.942 1.301 2.816 2.264 3.234 4.331 1.621
[2,] 4.055 3.384 3.530 1.1271 3.885 1.444 3.487 2.799 4.260 5.534 2.002
[3,] 5.254 4.589 3.831 1.2957 4.738 1.630 4.011 3.151 4.968 6.183 2.204
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.121 2.809 2.637 1.419 3.364 3.202 4.415 3.830 4.950 3.443 2.891
[2,] 4.528 3.388 4.233 1.727 3.940 4.125 5.268 5.003 5.928 4.864 4.544
[3,] 5.098 3.787 5.396 1.964 4.351 4.608 5.989 5.661 6.527 5.470 5.391
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.014 3.009 2.424 3.472 1.712 2.296 1.316 3.613 2.733 6.304 5.957
[2,] 1.194 3.980 2.942 4.676 2.079 2.803 1.489 4.906 3.164 7.307 7.039
[3,] 1.348 5.078 3.244 5.431 2.357 3.222 1.669 5.744 3.562 8.018 8.034
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.350 1.377 2.143 2.222 2.696 1.868 3.162 12.65 8.611 4.559
[2,] 2.167 2.379 2.688 2.653 3.203 2.185 3.916 15.90 13.023 6.517
[3,] 2.663 2.780 2.985 2.909 3.695 2.464 4.493 18.87 15.887 7.877
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.979 3.495 8.548 3.995 5.216 2.148 1.976 4.912
[2,] 335.755 212.447 548.387 425.312 464.938 186.070 124.245 372.554
[3,] 258.912 224.184 542.300 441.109 413.832 163.627 135.033 331.319
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.99 3.633 2.738 3.254 3.316 3.631 5.319 4.593
[2,] 509.11 567.809 264.930 344.384 231.478 363.756 477.021 293.246
[3,] 322.46 386.100 251.193 343.445 204.040 314.257 427.768 274.357
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.462 4.16 8.588 5.546 9.775 4.015 8.913 5.81
[2,] 442.433 410.25 666.233 429.155 631.143 282.904 1621.535 654.15
[3,] 362.870 418.34 590.213 415.295 709.848 279.387 996.928 594.73
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.926 4.213 4.458 4.521 4.137 2.153 3.824 5.218
[2,] 157.329 510.249 609.352 279.019 449.794 144.422 488.560 375.495
[3,] 160.387 721.423 772.687 272.503 476.872 160.911 502.710 401.751
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.737 5.124 4.726 5.137 4.263 4.526 4.276 1.532 3.95
[2,] 171.037 396.163 466.587 457.264 302.407 367.455 339.956 88.999 334.54
[3,] 162.580 468.598 385.202 441.750 277.208 312.005 312.149 84.225 293.56
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.10 3.766 3.051 2.844 1.845 3.716 4.67 4.733 2.834
[2,] 86.29 339.003 381.289 243.432 136.985 377.447 351.99 335.080 221.387
[3,] 76.05 275.483 304.470 187.265 110.847 329.891 304.55 354.367 190.898
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.588 4.844 2.197 4.097 3.489 3.552 2.151 3.835
[2,] 497.571 317.195 139.801 536.548 458.154 417.119 416.110 259.536
[3,] 497.468 319.936 132.842 535.278 411.657 474.560 440.306 211.743
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.163 3.736 1.653 3.576 2.875 4.107 5.499 2.058
[2,] 93.279 360.294 88.741 292.063 233.782 393.903 489.508 166.981
[3,] 90.793 385.436 107.542 281.475 205.722 363.134 391.568 130.884
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.963 3.566 3.349 1.802 4.272 4.066 5.607 4.864
[2,] 465.930 269.150 470.233 139.933 291.245 369.471 408.188 457.146
[3,] 332.686 240.428 475.401 132.803 262.243 291.905 404.629 376.394
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.286 4.373 3.671 1.287 3.821 3.078 4.409 2.174
[2,] 463.294 487.945 497.885 89.625 370.121 236.862 445.002 167.488
[3,] 388.037 355.651 412.271 88.860 448.013 194.121 392.320 157.959
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.915 1.671 4.587 3.471 8.005 7.565 1.714 1.749
[2,] 228.522 98.840 471.619 226.366 524.859 532.669 240.866 275.461
[3,] 225.604 107.032 424.193 232.510 468.906 550.191 219.831 204.302
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.721 2.822 3.423 2.372 4.015 16.06 10.93 5.789
[2,] 230.566 205.754 245.824 161.128 328.208 1370.15 1387.78 661.608
[3,] 184.434 169.693 261.655 161.572 313.041 1443.10 1292.57 628.355
[1] "--- VAR model 2017-10-03 15:31:00 completed"
[1] "Completed training sample: 2017-10-03 15:31:00 - 2017-10-03 23:30:00"
[1] "SpVAR; training sample: 2017-10-03 16:01:00 - 2017-10-04 00:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.691 -5.692 -4.480 -3.505
2.671 7.355 6.468 -8.423
-2.121 1.910 -8.373 -1.798
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.260 0.63221 -0.7545 -6.841
3.029 0.03266 -0.9473 -7.551
-9.261 2.80130 -1.5274 -5.669
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.064 -1.474 -1.9027 -1.536
-4.523 -9.375 -0.7369 -6.275
-5.989 -6.710 -2.0349 -1.928
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.974 3.616 -6.556 -3.463
-0.983 -1.714 -2.595 -5.486
1.308 -2.068 -5.174 5.017
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.415 1.6394 -1.271 -3.832
1.123 -0.4451 -15.882 -5.919
-5.500 4.8106 -4.798 -5.209
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.520 7.122 -5.488 -4.703
22.175 4.175 -14.275 -1.775
-2.202 2.291 19.823 -6.872
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.5724 -9.3662 -3.351 1.626
-0.4613 0.6005 -5.939 2.999
1.2598 -8.2088 1.373 3.766
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.3646 2.4487 -1.154 0.3331
-10.0157 -0.2143 -4.547 0.7663
-0.9217 -0.4649 -5.953 -3.4966
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.06295 -0.8206 -5.713 -0.8763
-0.57968 -5.7884 3.958 -4.6285
0.09060 -8.7691 -7.586 -9.3580
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.516 -7.661 -2.155 -0.9666
-3.904 -1.320 -11.626 0.6435
-1.309 -4.082 -8.536 0.5091
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.5326 -0.7551 -6.114 -5.335
-1.2426 0.3613 -5.272 -3.380
0.1276 -0.6538 -3.442 -5.647
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.7076 0.1840 0.1743 3.9137
-2.9414 -0.1165 -8.9392 -2.3718
-0.1595 -1.6793 -3.8247 -0.6417
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.934 -0.2318 -4.59 1.599
1.019 0.8037 -9.72 5.714
-3.385 -1.3198 2.66 2.756
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.8083 -3.227 -1.823 -1.9647
-0.2544 -5.275 1.482 1.3462
1.4966 -1.385 -3.523 -0.0178
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.739 -1.5184 0.1253 -1.796
-1.063 -1.2678 0.3670 -5.783
-2.412 -0.3601 0.4455 1.543
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5333 2.018 2.4883 3.5101
-1.6552 -2.933 3.8594 -5.2576
-2.4221 -4.439 -0.5372 -0.6636
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.05452 -2.519 7.055 4.0163
0.75773 -1.587 4.161 1.2294
-3.94476 -1.696 -3.813 0.4751
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.395 2.0416 1.1561 0.3691
7.204 2.2973 2.4098 5.3111
-2.719 0.1368 0.1705 -1.5586
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.714 -9.2486 0.8363 -5.354
-5.063 -0.6347 -5.0051 -5.949
1.287 1.0445 -1.4465 1.572
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.220 0.4298 2.484 -2.0983
-5.235 -0.2009 -7.586 -0.4996
-2.817 0.1369 -4.326 -1.5192
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.476 -1.0877 -2.297 2.0836
5.559 0.8458 -4.468 2.0185
-5.368 -2.7288 -2.748 0.2565
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.823 -4.102 2.735 -6.222
-7.786 7.563 -7.432 -6.139
-5.144 2.142 3.556 1.975
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3295 0.4384 0.9393 -0.001813
-1.5369 -0.1611 -1.5674 -1.580084
1.2753 -2.5353 -1.7048 -2.128462
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.6053 -2.177 -0.9044 276.4
-1.5044 -1.581 -0.6935 267.5
-2.1201 -2.298 1.9094 265.0
rnd_95776.volume rnd_95787.volume
-18.26 -7.3855
11.31 -0.8721
-22.96 -5.6698
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.936 2.427 6.327 3.015 4.010 1.574 1.533 3.676 3.767 2.776 2.106
[2,] 3.550 2.868 7.525 4.181 5.043 1.986 1.732 4.481 4.969 4.603 2.765
[3,] 3.975 3.276 8.436 5.082 5.770 2.240 1.950 5.038 5.373 5.236 3.240
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.552 2.463 2.710 4.086 3.533 3.302 3.120 6.207 4.374 7.057 3.150
[2,] 3.427 2.926 3.578 5.208 4.051 4.403 4.089 7.897 5.221 8.365 3.730
[3,] 4.006 3.232 4.145 5.909 4.521 5.073 4.908 8.873 5.810 9.691 4.209
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.666 4.287 1.429 3.271 3.380 3.273 3.028 1.664 3.031 3.739 2.073
[2,] 12.651 6.142 1.811 4.696 5.352 3.832 4.299 1.890 4.429 4.389 2.436
[3,] 14.598 7.420 2.130 6.648 7.497 4.228 5.327 2.168 5.667 5.012 2.666
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.817 3.585 3.821 3.401 3.445 3.215 1.118 3.005 0.8346 2.843 2.335
[2,] 4.708 4.711 4.875 3.971 4.228 3.824 1.306 3.615 1.0230 3.680 3.479
[3,] 5.770 5.405 5.671 4.425 4.686 4.367 1.444 4.126 1.1267 4.062 4.116
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.179 1.360 2.881 3.392 3.434 2.231 3.560 3.344 1.602 3.058 2.60
[2,] 2.660 1.618 3.790 4.184 4.126 2.684 4.939 3.976 1.895 4.657 3.97
[3,] 2.979 1.799 4.352 4.652 4.779 2.991 5.991 4.545 2.083 5.913 4.91
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.818 1.556 2.827 0.9012 2.775 1.163 2.787 2.066 3.103 3.956 1.413
[2,] 3.892 3.208 3.331 1.0709 3.655 1.334 3.366 2.551 4.111 5.162 1.808
[3,] 4.890 4.292 3.619 1.2544 4.430 1.509 3.889 2.918 4.718 5.811 2.002
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.960 2.820 2.301 1.354 3.176 3.044 4.142 3.674 4.787 3.267 2.571
[2,] 4.416 3.387 3.958 1.663 3.755 3.731 4.975 4.750 5.596 4.721 4.340
[3,] 4.949 3.735 5.071 1.878 4.160 4.226 5.681 5.372 6.230 5.223 5.052
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9791 2.710 2.325 3.130 1.675 2.105 1.199 3.098 2.377 6.182 5.576
[2,] 1.1320 3.701 2.776 4.268 2.013 2.622 1.370 4.192 2.890 7.182 6.567
[3,] 1.2701 4.890 3.074 5.258 2.256 3.038 1.566 4.848 3.332 7.775 7.631
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.288 1.287 1.916 2.035 2.400 1.789 2.949 12.28 7.897 4.321
[2,] 2.033 2.286 2.405 2.417 2.976 2.104 3.503 15.71 11.930 6.224
[3,] 2.520 2.657 2.731 2.711 3.433 2.392 3.958 18.72 14.582 7.609
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.729 3.082 8.035 3.829 5.091 1.998 1.947 4.668
[2,] 295.581 226.200 603.300 428.932 452.901 179.541 119.374 379.641
[3,] 264.917 234.725 564.834 427.976 415.357 153.336 132.499 340.989
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.783 3.525 2.674 3.241 3.128 3.442 5.188 4.486
[2,] 480.080 543.841 265.356 338.693 233.918 346.067 478.422 293.577
[3,] 302.635 369.485 250.210 307.233 203.430 309.854 413.464 297.244
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.193 3.961 7.882 5.554 8.961 4.0 8.465 5.443
[2,] 431.425 391.448 722.984 422.294 665.400 295.7 1592.468 651.433
[3,] 373.169 402.184 599.313 377.472 724.664 288.8 1078.930 616.639
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.815 4.153 4.291 4.156 3.846 2.114 3.849 4.748
[2,] 164.672 499.028 614.612 295.425 451.875 132.665 478.305 340.413
[3,] 166.171 696.941 777.618 264.574 465.822 157.285 523.496 358.346
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.632 4.847 4.552 4.852 4.319 4.375 4.082 1.42
[2,] 189.529 408.217 452.627 448.463 303.716 363.041 306.685 100.04
[3,] 160.600 494.201 392.647 429.122 289.059 299.320 312.511 91.23
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.816 1.06 3.61 2.965 2.767 1.727 3.658 4.308 4.361
[2,] 297.460 87.61 346.14 381.919 225.925 129.913 364.744 362.724 338.851
[3,] 294.785 69.95 254.59 325.844 198.901 116.393 316.845 301.143 357.008
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.832 4.52 4.246 2.034 3.883 3.302 3.578 1.976
[2,] 221.021 507.06 318.509 150.066 520.255 444.360 397.731 415.497
[3,] 195.607 502.32 326.141 127.939 539.519 427.703 438.458 422.218
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.589 1.144 3.524 1.477 3.539 2.623 3.94 5.024 1.795
[2,] 260.897 85.686 352.316 96.805 279.675 221.587 399.41 490.952 166.962
[3,] 209.688 96.732 370.661 104.380 288.443 210.041 342.90 395.483 127.425
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.759 3.581 2.922 1.719 4.033 3.865 5.259 4.665
[2,] 485.385 277.894 476.915 142.884 296.692 319.474 408.198 445.849
[3,] 330.782 233.213 469.579 129.295 265.035 294.052 406.430 371.686
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.078 4.149 3.265 1.243 3.441 2.952 3.975 2.126
[2,] 429.397 504.751 517.825 84.145 373.428 224.637 429.758 165.405
[3,] 405.621 331.066 382.933 85.325 473.316 195.695 454.819 151.022
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.673 1.523 3.934 3.018 7.85 7.081 1.635 1.635
[2,] 231.576 97.979 418.233 243.375 541.43 513.857 233.061 279.849
[3,] 227.187 112.539 360.815 245.871 441.33 575.721 220.359 200.398
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.433 2.585 3.048 2.272 3.745 15.6 10.03 5.487
[2,] 215.253 193.186 260.530 164.046 279.955 1450.1 1324.53 663.425
[3,] 191.902 181.656 253.548 168.562 272.914 1508.1 1241.79 648.328
[1] "--- VAR model 2017-10-03 16:01:00 completed"
[1] "Completed training sample: 2017-10-03 16:01:00 - 2017-10-04 00:00:00"
[1] "SpVAR; training sample: 2017-10-03 16:31:00 - 2017-10-04 00:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.5792 3.1190 5.622 -0.5186
-0.6426 -0.7532 3.272 -5.5910
-2.4549 1.6402 5.510 4.8640
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.821 2.3601 -0.7208 5.1823
-2.934 2.0323 -2.2477 -1.3234
-2.619 -0.8468 0.2528 -0.7009
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7761 -3.446 -0.5649 -1.25896
2.1570 2.612 0.1214 -1.74860
-2.8767 -3.938 -1.2193 -0.03655
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.8231 0.01414 -0.7053 7.3011
-1.6346 -2.03549 1.3779 -0.2528
-0.9304 1.80077 0.9896 -1.2305
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.0969 -0.6359 2.561 1.825
-1.8290 7.0145 -3.420 4.262
-0.8612 -4.2961 -2.537 -4.030
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
6.517 3.095 12.73449 4.5894
1.486 4.890 -0.02632 -0.2849
5.943 1.520 -1.61167 0.4163
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.490 -5.1739 -1.910 0.05124
1.115 9.9825 3.434 3.90035
1.014 0.8879 4.919 2.22301
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.426 1.9537 2.3559 1.980
-5.190 -0.6159 -0.5698 1.871
7.662 2.6735 0.9608 -0.842
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.349 0.3728 -1.704 -4.9286
-2.245 2.0613 -3.491 -0.5307
-2.514 -1.0675 -3.276 -2.9761
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.301 -2.311 -1.0644 0.5461
-4.232 -1.742 -4.1298 0.4903
1.364 -3.098 0.3607 0.5981
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.746 0.3596 -0.7805 -1.560
-1.414 0.6827 -2.6893 -1.188
-2.872 -0.3808 -0.4413 -2.804
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.07143 -1.8242 3.668 -5.144
0.79278 0.1066 -5.625 -3.601
-1.89747 -0.2639 -1.528 -2.209
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.144 -2.4697 -5.913 4.387
-3.875 0.2259 1.739 2.174
2.522 1.6206 -4.925 1.918
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5169 -1.300 -3.681 -5.5200
-1.8823 1.288 -4.536 -2.9801
-0.2271 5.247 5.477 0.6136
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.564 -2.150 -1.40620 -1.088
-6.561 -1.105 0.53827 -4.217
-2.675 3.101 -0.09201 -9.169
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.7212 2.2820 1.126 -0.6982
0.3800 0.9076 -1.233 3.6924
-0.3771 -5.3679 -2.192 -2.3168
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.420 -0.4755 -7.071 -0.03124
3.152 1.8171 2.909 -0.22855
-3.759 -0.9645 1.086 1.92273
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.488 0.34986 -1.056 -3.7699
-5.027 0.02964 1.529 -0.5995
3.742 1.99456 -1.456 -1.5677
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.851 -1.791 -2.2368 -1.6049
-4.638 -2.870 3.5274 -0.6133
-5.244 -2.178 -0.9149 -0.3785
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.670 0.06439 0.1471 0.147
-2.853 -0.68661 -2.7117 1.311
2.683 -0.28114 1.1901 0.336
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.2091 1.0141 1.4254 1.5288
-4.9127 -1.4625 2.3981 1.2147
0.5272 0.2588 -0.8737 -0.5435
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.216 3.2708 -9.483 -0.04311
-1.582 0.3193 2.931 -4.02398
-2.487 1.6631 -4.197 -2.03979
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7963 -0.7532 -1.839 -2.54602
-1.7712 -1.2877 1.601 1.11701
0.6570 -0.8770 -1.650 -0.08978
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.584 -0.9662 -1.232 251.5
-2.313 1.9573 2.187 243.2
-2.533 1.8732 2.092 238.9
rnd_95776.volume rnd_95787.volume
-5.790 4.8584
-2.605 -0.3321
-2.757 2.0732
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.688 2.314 5.858 2.751 3.751 1.393 1.409 3.126 3.442 2.380 1.973
[2,] 3.397 2.692 7.045 3.981 4.649 1.790 1.603 3.666 4.494 4.036 2.606
[3,] 3.785 3.047 7.894 4.917 5.415 2.038 1.806 4.129 5.020 4.683 3.046
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.444 2.331 2.488 3.584 3.340 3.071 3.102 5.954 4.143 6.414 3.020
[2,] 3.260 2.803 3.334 4.685 3.915 4.115 4.061 7.678 4.993 7.585 3.588
[3,] 3.764 3.090 3.902 5.487 4.411 4.836 4.862 8.502 5.596 8.576 3.970
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.286 3.967 1.332 3.131 3.121 3.072 2.696 1.450 2.820 3.338 1.901
[2,] 11.532 5.684 1.640 4.463 5.128 3.628 3.993 1.736 4.185 3.976 2.279
[3,] 13.556 6.786 1.918 6.118 6.829 4.030 5.059 2.051 5.411 4.648 2.526
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.734 3.301 3.384 3.233 3.104 3.034 1.027 2.645 0.7988 2.722 2.155
[2,] 4.511 4.364 4.527 3.772 3.884 3.681 1.227 3.174 0.9479 3.438 3.142
[3,] 5.419 5.083 5.459 4.223 4.381 4.184 1.342 3.643 1.0556 3.868 3.811
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.054 1.229 2.685 3.078 3.371 2.035 3.163 3.302 1.466 2.880 2.303
[2,] 2.519 1.548 3.550 3.801 4.062 2.392 4.693 3.870 1.726 4.285 3.606
[3,] 2.871 1.730 4.090 4.243 4.673 2.704 5.605 4.327 1.904 5.551 4.617
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.560 1.498 2.634 0.8169 2.351 1.053 2.380 1.909 2.942 3.775 1.338
[2,] 3.557 2.927 3.068 0.9682 3.252 1.267 2.838 2.313 3.855 4.821 1.655
[3,] 4.434 3.942 3.372 1.1372 4.085 1.420 3.352 2.692 4.316 5.424 1.856
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.692 2.681 2.060 1.268 3.107 2.682 3.943 3.458 4.425 3.101 2.391
[2,] 4.075 3.111 3.676 1.587 3.690 3.484 4.644 4.510 5.281 4.555 4.126
[3,] 4.675 3.522 4.692 1.773 4.022 3.886 5.321 5.100 5.932 5.067 4.883
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8611 2.354 2.160 2.719 1.522 1.966 1.093 2.833 2.276 5.797 5.273
[2,] 1.0034 3.356 2.594 3.840 1.835 2.439 1.245 3.833 2.734 6.899 6.018
[3,] 1.1502 4.553 2.895 4.930 2.119 2.841 1.436 4.370 3.080 7.549 6.990
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.206 1.150 1.692 1.792 2.118 1.629 2.719 11.86 7.995 4.034
[2,] 1.809 1.980 2.097 2.067 2.682 2.006 3.158 15.26 11.516 5.802
[3,] 2.209 2.308 2.399 2.321 3.144 2.253 3.610 18.28 13.615 6.937
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.414 2.939 7.439 3.493 4.763 1.769 1.789 3.97
[2,] 335.940 222.468 633.052 465.611 444.390 181.676 123.869 309.73
[3,] 270.149 230.871 576.059 466.730 448.994 157.654 134.307 307.47
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.371 3.022 2.505 3.104 2.96 3.16 4.551 4.241 3.9
[2,] 467.447 527.414 275.399 348.906 251.86 358.90 488.204 330.528 443.1
[3,] 361.993 384.161 255.093 304.499 210.46 328.21 462.216 328.748 411.1
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.939 7.561 5.261 8.145 3.835 7.982 5.038 1.691
[2,] 424.056 784.280 450.771 654.902 313.429 1564.060 658.499 154.813
[3,] 432.348 590.607 408.786 647.770 274.860 1152.994 599.617 160.919
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.976 3.963 3.901 3.423 1.841 3.58 4.239 2.414
[2,] 514.558 658.222 312.122 476.617 154.486 500.20 349.277 203.302
[3,] 676.860 729.612 284.083 502.377 176.600 554.99 389.493 176.206
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.741 4.191 4.298 4.105 3.942 3.852 1.304 3.359
[2,] 409.408 461.852 486.496 314.391 377.635 337.341 108.626 283.814
[3,] 485.873 421.769 493.466 307.042 327.818 321.535 87.788 289.274
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.014 3.457 2.736 2.609 1.56 3.41 3.908 4.28 2.584
[2,] 82.541 339.744 369.927 235.883 152.41 375.80 360.873 366.71 203.388
[3,] 75.173 286.615 349.042 222.728 124.85 328.34 304.895 373.85 203.773
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.017 4.193 1.862 3.658 2.925 3.251 1.903 3.344
[2,] 560.878 326.532 147.406 513.145 448.785 399.514 406.760 254.553
[3,] 495.919 313.070 129.840 570.921 466.510 428.209 427.137 226.353
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.037 2.986 1.338 3.023 2.424 3.736 4.793 1.699
[2,] 84.067 363.523 113.983 250.029 211.199 402.969 485.281 157.546
[3,] 96.516 399.745 103.648 288.574 222.930 314.166 401.911 135.952
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.419 3.404 2.615 1.61 3.945 3.406 5.007 4.391
[2,] 494.895 255.534 492.600 154.40 322.046 359.814 397.016 468.375
[3,] 370.835 266.917 471.583 127.90 258.734 278.448 420.086 385.398
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.619 3.938 3.036 1.093 2.989 2.743 3.453 1.933
[2,] 466.402 539.792 543.963 83.322 386.977 232.434 438.639 165.786
[3,] 437.069 358.843 422.592 90.969 497.715 207.744 500.289 171.467
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.496 1.388 3.597 2.891 7.362 6.696 1.531 1.46
[2,] 233.510 96.539 417.675 244.812 605.011 469.074 218.181 260.81
[3,] 235.848 115.596 339.677 229.520 495.701 575.277 205.087 191.85
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.149 2.276 2.689 2.069 3.452 15.06 10.15 5.123
[2,] 200.323 166.558 266.177 189.313 260.019 1553.63 1340.87 674.668
[3,] 188.657 170.903 265.550 165.888 282.944 1628.59 1174.83 615.155
[1] "--- VAR model 2017-10-03 16:31:00 completed"
[1] "Completed training sample: 2017-10-03 16:31:00 - 2017-10-04 00:30:00"
[1] "SpVAR; training sample: 2017-10-03 17:01:00 - 2017-10-04 01:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.0053 -4.7919 -2.801 -5.332
0.1125 4.6802 8.804 -7.280
1.0726 0.7597 -4.181 -4.004
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.681 3.422 1.2742 1.019
-1.607 -1.052 0.1547 0.156
-5.868 2.597 1.2817 2.064
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.9009 2.7932 1.7187 1.4232
-4.4169 -3.5221 -0.4121 -1.2235
0.9017 -0.2805 -1.9774 -0.2761
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6205 -3.9842 -4.424 -1.578
-0.6849 0.8299 -3.898 -1.285
-2.1569 1.4200 2.973 3.799
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.807 4.580 -1.3913 2.205
-1.730 -2.947 4.9523 4.353
2.400 2.570 0.4341 -1.170
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.8148 1.2526 -11.565 -9.059
8.7570 -0.4315 2.550 -1.128
-3.9401 -2.0942 7.868 3.231
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.859 -4.8627 -6.121 -2.9665
1.595 -5.7769 -5.539 7.2831
1.700 -0.1957 -3.474 0.5835
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.307 -1.70109 -5.974 -0.6039
-7.282 0.31746 -4.433 -2.0612
-4.012 0.03328 -7.553 -2.3682
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.36380 -9.368 -6.0819 -4.152
0.05931 -3.335 -0.9536 -5.392
-1.25819 -10.119 -4.4784 -1.548
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.754 -2.3668 0.1133 -0.4161
4.279 0.0146 5.6798 1.1003
3.542 -2.7411 3.4520 0.3624
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.30174 1.0457 -6.5989 -6.845
-0.09153 0.3059 -3.5730 -4.824
1.53331 0.4473 -0.3804 -5.454
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.978 -0.016714 0.8825 0.4402
-1.872 -0.487265 -9.6944 -0.6973
3.071 -0.002173 -0.4003 6.5107
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.7762 -0.2779 -1.435 0.3834
-2.1688 -2.2135 4.782 -1.6440
-4.8274 -1.6331 -3.198 1.4818
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.1811 -2.7864 -0.0840 1.4427
0.5046 -0.5514 0.5328 -0.8601
1.1846 3.0028 2.0211 2.6436
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.4157 -1.7011 1.5310 0.6787
-2.4907 -0.2844 0.1385 -0.7345
2.0061 -3.1961 0.9657 -1.2968
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1826 3.047 3.6832 1.949
0.6309 -2.131 0.4188 3.797
0.4460 -1.535 0.7919 -2.552
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.218 0.20808 6.7029 1.550
4.082 -0.03298 2.1689 -1.115
-5.481 0.53232 0.1526 1.412
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.094 0.6592 1.962 3.2039
4.064 0.4084 1.825 -0.2447
2.247 -0.2279 -2.528 0.6097
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.2164 -6.352 1.3397 1.3337
1.1164 4.391 2.5000 -0.3503
-0.2428 -2.038 -0.1209 1.0554
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.248 -0.7717 0.2581 2.2385
-4.165 1.0928 -1.0283 -1.0129
-1.095 0.7337 -2.5523 0.5029
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.4181 0.6534 -0.4671 0.3297
-0.1189 -1.3439 -1.9759 -1.4818
-6.6663 -0.6019 -1.4389 0.2168
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.29698 -5.029 3.480 5.607
2.78108 4.171 1.805 3.450
-0.01165 1.501 -2.713 4.784
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.4757 0.1178 -0.4514 0.3739
-0.7943 0.7846 0.6189 -1.4234
0.7694 -2.9213 -2.4053 -1.6556
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.0796 0.2260 -5.4104 266.1
0.6596 -0.2849 -0.7302 266.8
0.2598 -0.9612 -2.8656 266.3
rnd_95776.volume rnd_95787.volume
3.838 -7.548
8.335 -2.338
-23.153 2.325
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.337 2.200 5.281 2.568 3.410 1.215 1.299 2.758 3.192 2.167 1.857
[2,] 3.130 2.573 6.525 3.797 4.248 1.578 1.496 3.377 4.150 3.640 2.350
[3,] 3.503 2.890 7.372 4.652 5.069 1.775 1.697 3.814 4.573 4.285 2.702
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.323 1.941 2.280 2.972 3.140 2.679 2.819 5.402 3.854 5.470 2.660
[2,] 3.103 2.459 3.061 3.955 3.797 3.681 3.779 7.300 4.832 6.556 3.230
[3,] 3.566 2.729 3.607 4.715 4.287 4.342 4.546 8.146 5.481 7.419 3.545
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.668 3.718 1.244 2.924 2.851 2.996 2.496 1.348 2.467 3.169 1.776
[2,] 10.375 5.263 1.513 4.166 4.609 3.526 3.780 1.641 3.720 3.718 2.174
[3,] 12.467 6.274 1.775 5.666 6.206 3.874 4.797 1.895 4.896 4.351 2.396
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.344 3.068 3.186 3.109 2.760 2.830 0.8984 2.369 0.7304 2.478 1.913
[2,] 4.166 4.069 4.208 3.597 3.527 3.392 1.1104 2.823 0.8627 3.214 2.748
[3,] 5.167 4.826 5.053 4.026 4.030 3.934 1.2322 3.263 0.9948 3.641 3.535
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.912 1.141 2.641 2.770 3.209 1.938 2.909 3.001 1.341 2.778 2.192
[2,] 2.380 1.435 3.417 3.377 3.780 2.293 4.435 3.577 1.598 4.035 3.345
[3,] 2.707 1.615 3.873 3.843 4.336 2.608 5.276 4.104 1.771 5.155 4.345
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.412 1.344 2.362 0.7254 2.100 1.022 2.239 1.852 2.530 3.501 1.212
[2,] 3.335 2.798 2.793 0.8797 2.879 1.233 2.717 2.215 3.560 4.554 1.458
[3,] 4.209 3.655 3.086 1.0269 3.785 1.401 3.210 2.570 4.042 5.178 1.658
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.644 2.594 1.922 1.187 2.691 2.357 3.325 3.115 3.908 2.831 2.160
[2,] 3.781 3.001 3.437 1.484 3.278 3.276 4.146 4.296 4.603 4.183 3.561
[3,] 4.394 3.400 4.436 1.636 3.616 3.658 4.784 4.926 5.111 4.650 4.534
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8422 2.162 1.987 2.408 1.375 1.728 0.9664 2.504 2.149 5.434 4.893
[2,] 0.9818 3.076 2.362 3.340 1.676 2.197 1.1279 3.571 2.585 6.489 5.702
[3,] 1.0972 4.188 2.627 4.341 1.948 2.620 1.3038 4.004 2.901 7.260 6.575
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.055 0.9049 1.360 1.380 1.985 1.536 2.467 12.36 7.844 3.677
[2,] 1.493 1.5652 1.732 1.678 2.400 1.906 2.907 15.69 11.403 5.307
[3,] 1.838 1.8548 2.013 1.926 2.906 2.155 3.308 18.79 12.880 6.394
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.968 2.794 6.706 3.261 4.33 1.542 1.649 3.503
[2,] 373.896 239.362 688.240 502.320 455.03 180.915 133.335 349.874
[3,] 282.505 236.590 616.011 482.423 496.36 146.130 143.931 318.394
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.053 2.751 2.358 2.949 2.465 2.895 3.774 3.987
[2,] 476.375 525.294 258.687 369.541 271.112 366.667 468.534 383.459
[3,] 344.712 405.985 239.262 315.638 212.501 342.838 461.165 357.214
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.401 3.58 6.86 4.893 6.946 3.377 7.198 4.722 1.58
[2,] 453.353 451.73 881.49 523.417 648.990 328.993 1560.348 668.824 154.58
[3,] 413.422 453.87 649.10 464.593 623.412 262.288 1241.376 613.119 166.81
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.713 3.62 3.804 3.169 1.712 3.132 4.024 2.255
[2,] 532.818 650.28 334.003 509.734 168.050 500.062 349.137 225.182
[3,] 689.656 746.32 288.144 530.458 170.246 571.645 405.965 180.708
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.247 3.896 4.046 3.948 3.505 3.593 1.141 3.009
[2,] 445.926 479.853 493.686 324.753 394.323 335.994 117.181 275.749
[3,] 548.946 465.999 502.181 324.627 349.940 357.780 95.921 293.765
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.9275 3.147 2.429 2.428 1.448 3.354 3.518 4.075
[2,] 82.4249 367.416 354.088 254.576 156.220 389.155 346.833 358.743
[3,] 88.9470 307.255 399.424 231.408 133.229 327.478 329.482 381.609
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.461 3.693 3.81 1.703 3.528 2.784 3.063 1.706
[2,] 220.129 601.073 349.50 156.122 525.587 453.526 413.638 440.638
[3,] 223.062 513.217 361.27 137.235 575.937 497.974 460.949 422.255
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.999 0.9211 2.666 1.298 2.843 2.352 3.212 4.446
[2,] 267.504 89.3873 353.640 123.942 276.454 218.224 449.651 522.926
[3,] 235.730 95.1270 441.182 119.149 307.051 233.864 343.731 442.482
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.539 3.358 3.294 2.441 1.508 3.417 2.993 4.222
[2,] 145.678 485.337 270.999 511.565 159.919 336.089 408.426 444.636
[3,] 141.685 401.884 286.867 503.663 123.694 274.146 292.354 428.684
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 3.955 4.963 3.596 2.742 1.069 2.745 2.523 3.057
[2,] 531.200 436.834 552.813 508.398 90.605 392.871 229.385 415.788
[3,] 433.059 398.668 364.994 504.041 87.958 510.434 206.481 497.788
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.746 2.194 1.227 3.179 2.729 6.901 6.213 1.339
[2,] 172.015 243.551 104.427 457.112 257.850 636.701 525.883 189.750
[3,] 178.192 256.400 117.459 325.468 236.397 584.582 587.628 192.389
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.149 1.728 1.752 2.52 1.951 3.133 15.69 9.96
[2,] 229.304 192.405 171.464 242.26 202.686 275.970 1735.96 1486.10
[3,] 178.712 184.154 169.876 294.20 180.491 283.417 1856.02 1075.36
[,98]
[1,] 4.669
[2,] 687.099
[3,] 640.285
[1] "--- VAR model 2017-10-03 17:01:00 completed"
[1] "Completed training sample: 2017-10-03 17:01:00 - 2017-10-04 01:00:00"
[1] "SpVAR; training sample: 2017-10-03 17:31:00 - 2017-10-04 01:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8049 -0.3143 4.839 -2.327
1.0935 2.1301 -7.492 -1.501
-1.1545 2.2259 -6.172 -0.944
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.6781 2.240 1.5674 -2.2564
-7.4406 -1.647 -0.6138 -0.2601
-0.5773 1.639 1.2725 0.3970
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.8370 4.156 1.0761 0.224
-2.2223 -3.807 -0.6877 -2.747
-0.5558 -2.410 0.9912 -1.547
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.90674 -1.211 -8.599 -5.208
-0.01838 -1.662 4.291 -1.653
0.37302 -2.552 -5.844 -1.034
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.5333 0.4026 1.353 6.2854
-2.9372 -1.4259 -4.108 -1.6070
-6.0814 3.2522 1.218 0.5732
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
8.174 4.908674 -1.959 -0.4882
-4.777 2.121061 1.699 -3.8445
-4.879 -0.002191 -5.825 -1.8748
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2667 -1.4103 -7.2816 -0.5852
0.3363 -3.4394 0.8129 1.3317
2.9132 0.1025 -0.8422 -2.2090
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.462 1.5494 -1.341 -2.9332
-2.629 -0.3857 -3.404 0.4259
-1.345 0.4216 1.947 -0.3881
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9958 -0.3457 -0.4498 -3.193
1.9287 -1.9855 -4.0663 -2.617
-0.8130 -0.8221 1.3332 -0.836
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.6361 -1.9059 3.484 -0.0452
-1.1783 -1.5077 2.533 -0.7887
-0.4268 -0.2822 0.469 1.3294
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.145 -0.3201 -3.2843 -2.264
1.005 -0.1335 0.1069 -2.965
1.506 -0.7470 -3.1330 -4.059
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.2526 -1.0395 -3.558 2.443
-0.8301 -0.6822 -2.097 1.139
0.1626 0.0176 -2.994 2.757
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.1619 -3.9002 -4.2060 3.3403
3.6437 1.6361 2.6055 -0.1537
-1.6434 0.5085 -0.8461 -5.1257
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.2227 -2.342 4.955 6.232
-0.6603 3.368 3.699 2.158
1.2062 -2.069 2.666 4.846
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.5357 -1.978 0.5243 -1.025
4.8453 -2.096 1.8711 -2.423
2.9870 -1.415 0.6888 2.453
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.7361 3.575 -1.038 -1.042
1.2950 -1.882 1.093 3.004
-0.8609 -0.417 1.402 1.661
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.419 0.5180 0.8590 3.468
3.406 0.9968 0.3397 3.995
-4.309 0.9380 2.3911 -1.970
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.41197 0.51647 -0.1467 0.2134
-0.02418 0.30808 -2.2853 1.6627
5.25313 0.06375 -1.3463 -0.6631
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.405 -2.5824 0.4724 0.1965
3.474 0.7587 0.8574 -5.6092
4.028 -1.1158 1.6721 -0.3708
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.123 0.8571 -1.170 -0.9952
-3.677 0.8069 -2.942 -0.1594
2.165 -0.1643 -3.066 1.0520
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.090 2.059 -3.4511 0.8577
-7.792 -1.273 -3.0286 0.4289
-5.313 -2.347 -0.3218 -0.4517
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.592 -0.1482 0.3285 4.730
-3.978 2.2319 0.7551 4.285
-2.857 2.1123 -3.7991 3.067
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7859 0.2763 0.4503 0.003113
0.2208 -0.3183 -1.3594 -1.591918
0.5447 -1.2993 -1.7698 -1.572121
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.268 0.6153 -1.1336 245.8
-3.728 -1.3718 -0.6007 247.6
4.394 0.3228 0.7856 246.2
rnd_95776.volume rnd_95787.volume
1.562 -0.3886
-4.137 -2.9715
-1.062 -1.6348
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.015 2.117 4.897 2.270 3.009 1.108 1.232 2.571 2.762 2.049 1.650
[2,] 2.893 2.470 6.052 3.333 3.825 1.356 1.397 3.110 3.621 3.410 2.106
[3,] 3.219 2.789 6.754 4.240 4.542 1.545 1.586 3.473 4.136 3.929 2.403
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.242 1.869 2.050 2.805 2.883 2.425 2.400 4.886 3.585 5.126 2.442
[2,] 2.883 2.279 2.891 3.750 3.585 3.399 3.513 7.023 4.539 6.108 3.022
[3,] 3.432 2.527 3.439 4.324 3.980 4.054 4.205 7.897 5.220 6.802 3.315
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.337 3.543 1.145 2.551 2.524 2.905 2.359 1.217 2.280 2.874 1.659
[2,] 9.661 4.851 1.402 3.662 4.131 3.360 3.342 1.488 3.259 3.347 2.043
[3,] 11.474 5.792 1.618 5.158 5.669 3.667 4.378 1.722 4.437 3.972 2.304
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.060 2.610 2.708 2.952 2.241 2.476 0.8686 2.097 0.6393 2.342 1.815
[2,] 3.808 3.702 3.786 3.466 3.106 3.013 1.0597 2.554 0.8168 3.062 2.591
[3,] 4.718 4.337 4.479 3.872 3.671 3.406 1.1861 2.900 0.9290 3.416 3.304
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.768 1.037 2.372 2.269 2.983 1.760 2.765 2.743 1.201 2.682 2.051
[2,] 2.189 1.326 3.035 2.990 3.604 2.096 4.105 3.273 1.428 3.663 3.164
[3,] 2.535 1.453 3.476 3.434 4.136 2.400 4.811 3.757 1.610 4.673 3.983
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.137 1.211 2.231 0.6263 1.783 0.9852 1.949 1.782 2.285 3.166 1.061
[2,] 3.217 2.571 2.646 0.7849 2.509 1.1572 2.444 2.118 3.074 4.215 1.278
[3,] 3.953 3.418 2.942 0.9085 3.339 1.2826 2.959 2.461 3.623 4.814 1.433
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.470 2.387 1.742 1.057 2.477 2.097 3.052 2.940 3.543 2.552 1.802
[2,] 3.498 2.771 3.221 1.301 3.026 3.083 3.821 4.221 4.143 3.784 3.078
[3,] 3.959 3.111 4.140 1.467 3.343 3.415 4.434 4.893 4.584 4.291 4.064
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7835 2.040 1.677 1.930 1.273 1.538 0.9285 2.258 2.074 5.102 4.453
[2,] 0.9137 2.854 2.053 2.877 1.533 1.993 1.0763 3.186 2.476 6.154 5.167
[3,] 1.0099 3.901 2.291 3.908 1.783 2.390 1.2282 3.651 2.779 6.923 5.917
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8012 0.7899 1.178 1.236 1.811 1.355 2.265 12.56 7.346 3.326
[2,] 1.1640 1.3729 1.557 1.533 2.199 1.756 2.775 15.51 10.575 4.872
[3,] 1.5409 1.6543 1.827 1.738 2.662 1.980 3.123 18.20 12.333 5.904
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.559 2.688 6.218 2.882 3.821 1.407 1.565 3.264
[2,] 416.507 255.306 713.396 489.464 473.549 156.776 131.929 351.233
[3,] 282.961 259.884 601.545 525.780 491.318 148.571 150.735 309.710
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.507 2.602 2.095 2.847 2.374 2.603 3.562 3.661
[2,] 469.602 546.635 262.495 363.403 261.358 408.785 499.188 427.292
[3,] 401.045 391.453 232.269 373.497 219.154 373.599 432.071 346.863
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.08 3.048 6.204 4.552 6.509 3.101 6.778 4.499
[2,] 477.75 514.614 1011.860 558.571 666.418 357.155 1615.297 664.820
[3,] 443.31 463.639 724.279 517.089 600.153 273.342 1241.706 634.549
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.454 3.239 3.205 3.689 2.996 1.545 2.895 3.65
[2,] 162.197 527.079 655.874 338.717 474.714 171.803 467.124 344.18
[3,] 162.065 728.549 778.806 294.778 567.389 173.856 603.971 428.85
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.107 3.885 3.314 3.438 3.748 2.846 3.145 1.103
[2,] 239.123 454.705 526.485 530.698 364.560 431.282 344.288 121.771
[3,] 213.523 558.689 453.252 480.199 345.909 392.532 318.464 106.864
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.663 0.8118 2.974 2.304 2.246 1.316 3.012 2.881
[2,] 292.582 101.9720 395.796 371.007 258.790 165.851 379.883 390.624
[3,] 275.303 88.7894 303.592 411.120 256.576 119.270 339.788 338.712
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.788 2.234 3.511 3.483 1.526 3.405 2.604 2.714
[2,] 405.824 228.556 608.487 358.161 154.979 500.415 483.215 482.237
[3,] 406.689 234.486 503.300 370.141 149.204 582.066 485.398 460.796
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.538 2.833 0.7953 2.264 1.251 2.474 2.262 2.901
[2,] 454.949 285.226 94.9052 354.100 121.771 295.780 229.721 412.399
[3,] 451.742 258.220 91.7592 441.878 110.977 334.653 251.597 384.607
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.021 1.347 3.137 3.032 2.212 1.342 3.145 2.663
[2,] 558.211 142.957 496.849 282.128 543.313 152.019 348.812 453.147
[3,] 466.465 130.101 371.947 283.801 521.627 136.289 284.849 294.692
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.875 3.733 4.499 3.241 2.289 0.9949 2.59 2.129
[2,] 461.167 607.646 430.759 560.219 500.367 94.2890 400.30 237.484
[3,] 451.146 496.453 393.574 406.128 532.527 86.2911 533.35 204.170
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.451 1.616 1.953 1.179 2.867 2.634 6.479 5.654
[2,] 427.971 171.484 254.303 109.185 450.862 271.454 690.068 525.671
[3,] 530.397 182.709 264.762 118.655 357.789 253.078 636.248 578.313
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.017 1.003 1.496 1.569 2.3 1.721 2.876 15.95
[2,] 169.382 225.246 204.028 182.006 250.2 224.037 321.750 1824.52
[3,] 202.523 185.127 191.640 164.347 300.7 183.550 287.140 1911.92
[,97] [,98]
[1,] 9.328 4.224
[2,] 1525.792 714.075
[3,] 1273.093 668.854
[1] "--- VAR model 2017-10-03 17:31:00 completed"
[1] "Completed training sample: 2017-10-03 17:31:00 - 2017-10-04 01:30:00"
[1] "SpVAR; training sample: 2017-10-03 18:01:00 - 2017-10-04 02:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8328 -3.0150 -1.4092 -1.3778
1.2995 0.7152 -0.5634 0.3755
-0.5978 0.7050 -4.4529 0.2868
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.1264 -0.6749 0.2315 2.8522
1.7610 0.2513 -0.0322 -2.8094
-1.0614 0.9039 0.8327 0.7589
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.6852 2.743 3.02366 -3.264
-4.7736 -1.753 -1.27523 -2.112
-0.9230 -3.858 0.08765 -3.630
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.7382 -2.7560 -0.9348 2.4214
-1.2353 1.4806 -0.3068 -0.6066
0.7283 0.5811 0.6847 1.0617
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.659 -1.1542 -3.542 -0.2807
-4.330 0.7028 7.059 2.4778
2.817 -0.1738 -5.827 0.6365
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.6312 -3.4808 -10.996 2.819
-0.8331 -1.8153 4.944 -3.077
-8.4145 0.8783 -6.405 -0.522
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.02279 1.120 -0.44275 -0.7504
0.31620 -2.802 0.01452 3.1340
0.06103 -1.377 1.54360 5.0304
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.1557 -0.3775 -0.003848 1.1840
0.4130 0.5866 -0.438136 0.6578
-0.5129 -1.7416 -1.075688 1.4274
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.6975 -0.1573 1.78657 -1.348
-0.1317 -1.2396 1.25937 -1.137
-0.7732 2.4327 0.03358 1.773
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.811 -0.09286 1.235 -0.16840
-1.215 -4.25023 -1.218 0.05388
-0.711 -0.58267 -0.092 -0.89087
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.356 -0.2681 -0.4206 -1.0437
1.591 -0.2544 0.5412 -4.2769
-2.538 0.9311 -0.7559 0.3544
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1127 2.6187 -5.1394 0.8195
-2.3491 0.6378 -4.6456 0.3157
0.4975 -0.1611 -0.2652 0.2173
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.5099 -2.6601 3.585 5.612
0.2328 -0.6484 -1.957 2.446
2.2747 2.3089 -3.311 5.452
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.0712 1.0575 -1.39055 -3.5417
0.6151 -0.1186 2.92998 0.5744
0.2728 -1.3630 -0.01766 -0.5138
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.863 -0.8734 0.6263 -0.03512
0.978 -2.3974 0.2984 -1.86485
1.596 0.7938 0.3117 -1.17399
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.5711 -0.8461 0.1018 -0.5139
0.4124 -0.4580 1.4779 2.8822
-0.3846 -0.7323 -0.1793 -2.6145
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.380 0.006871 1.027 -0.9103
3.464 1.232017 -2.741 -0.7303
0.676 1.272800 2.857 -0.9602
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.48483 0.5195 1.5197 -0.08545
-1.98649 -0.3717 0.6796 1.54311
0.08765 0.2131 -2.0479 -1.14525
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.7874 -2.104 4.191 -1.6688
2.4242 3.469 2.609 0.4816
-0.6010 2.159 1.105 3.9720
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.6260 -1.0756 -0.1202 -1.2050
3.8007 0.4940 -1.6214 0.9759
0.8422 0.2944 -0.5435 0.2264
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.826 -0.5304 0.3973 1.14346
-5.604 -1.3614 3.1954 0.78109
3.964 -1.0815 -0.6645 0.02274
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.216 -3.1615 -4.24889 6.480
-0.476 0.8814 0.06494 -1.856
-3.646 1.2710 1.17836 1.945
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1524 0.2413 -1.0703 -0.8944
-0.6271 -1.4283 -0.2189 0.7602
-0.5036 1.3642 -0.1943 -0.5291
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.64454 0.09396 0.3491 232.5
0.09924 1.29797 -1.8783 251.0
0.40332 -0.42031 2.1271 246.4
rnd_95776.volume rnd_95787.volume
-1.359 3.230
-6.325 -3.350
-9.834 -1.506
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.828 1.810 4.373 2.109 2.772 0.9483 1.119 2.359 2.545 1.868 1.483
[2,] 2.662 2.147 5.381 3.108 3.541 1.1462 1.314 2.928 3.341 3.035 1.887
[3,] 3.013 2.495 6.048 3.977 4.151 1.3175 1.476 3.276 3.845 3.573 2.178
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.028 1.727 1.863 2.554 2.719 2.216 2.089 4.191 3.226 4.656 2.296
[2,] 2.629 2.042 2.547 3.427 3.278 3.070 3.170 6.176 4.202 5.552 2.837
[3,] 3.123 2.295 2.979 3.914 3.723 3.775 3.773 7.127 4.895 6.164 3.112
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.252 3.267 0.9629 2.176 2.228 2.814 2.162 1.115 1.999 2.445 1.543
[2,] 8.745 4.336 1.2029 3.235 3.714 3.271 3.078 1.388 2.896 2.906 1.887
[3,] 10.383 5.134 1.3528 4.390 4.977 3.581 4.032 1.582 4.060 3.513 2.162
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.689 2.363 2.430 2.653 1.941 2.346 0.8389 1.878 0.6087 2.169 1.725
[2,] 3.443 3.337 3.342 3.123 2.760 2.852 1.0041 2.273 0.7838 2.866 2.426
[3,] 4.284 3.913 4.002 3.417 3.234 3.271 1.1144 2.572 0.9006 3.229 3.070
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.559 0.983 2.163 2.084 2.848 1.519 2.569 2.489 0.9818 2.267 1.911
[2,] 1.956 1.207 2.808 2.623 3.504 1.870 3.841 2.999 1.2277 3.403 2.871
[3,] 2.308 1.342 3.238 3.043 3.985 2.203 4.445 3.485 1.4158 4.247 3.636
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.990 1.087 1.965 0.5426 1.588 0.9514 1.759 1.718 1.866 2.862 0.9013
[2,] 2.996 2.359 2.362 0.7095 2.225 1.1592 2.239 2.062 2.625 3.751 1.1067
[3,] 3.683 3.128 2.630 0.8141 3.033 1.2754 2.764 2.346 3.104 4.337 1.2645
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.279 2.069 1.575 0.9734 2.327 1.940 2.677 2.599 3.294 2.270 1.519
[2,] 3.198 2.418 2.778 1.2313 2.834 2.875 3.406 3.940 3.817 3.621 2.886
[3,] 3.610 2.722 3.471 1.3776 3.138 3.246 3.941 4.601 4.229 4.110 3.840
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6843 1.530 1.532 1.617 1.176 1.496 0.8120 1.990 1.754 4.707 3.947
[2,] 0.8205 2.392 1.846 2.425 1.421 1.914 0.9294 2.816 2.141 5.700 4.721
[3,] 0.9176 3.558 2.007 3.517 1.634 2.234 1.0844 3.279 2.457 6.392 5.452
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6945 0.6383 0.949 0.9977 1.779 1.265 2.029 12.46 6.917 2.985
[2,] 0.9640 1.1070 1.215 1.2638 2.170 1.600 2.529 15.17 9.865 4.229
[3,] 1.2742 1.3339 1.413 1.4331 2.535 1.848 2.834 17.94 11.310 5.137
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 2.322 2.298 5.553 2.679 3.52 1.204 1.42 2.996 3.232
[2,] 448.601 267.897 727.191 529.209 511.00 149.317 159.88 402.009 502.050
[3,] 327.350 294.661 640.417 575.722 502.19 150.629 156.03 340.611 441.161
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.372 1.883 2.575 2.193 2.365 3.243 3.453 2.814
[2,] 554.771 270.690 387.911 252.736 402.909 529.886 424.572 492.706
[3,] 437.270 252.200 390.987 242.856 358.417 438.479 409.453 509.492
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.653 5.322 4.096 5.913 2.915 6.669 4.148 1.223
[2,] 552.856 1052.090 624.368 701.425 386.471 1621.569 661.071 167.209
[3,] 474.461 824.773 582.221 620.805 296.653 1298.294 637.738 143.557
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.763 2.829 3.574 2.745 1.416 2.539 3.105 1.959
[2,] 555.152 689.231 386.750 508.280 191.716 485.803 364.211 252.186
[3,] 688.404 768.194 338.064 603.910 176.155 659.897 457.570 244.454
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.415 3.0 3.086 3.368 2.464 2.979 1.065 2.384
[2,] 498.756 546.4 531.952 382.218 454.936 375.967 127.959 297.133
[3,] 591.121 473.9 510.502 321.372 391.287 371.777 112.091 279.163
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.7729 2.755 2.19 1.979 1.248 2.747 2.647 3.617
[2,] 114.5015 434.412 395.64 274.204 162.455 415.001 369.285 473.224
[3,] 102.8853 344.588 436.34 284.052 136.249 373.958 357.905 440.289
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.928 3.262 3.161 1.247 2.878 2.426 2.528 1.381
[2,] 253.168 662.182 387.979 170.942 588.601 497.028 519.341 485.582
[3,] 269.964 518.592 411.709 163.528 589.457 517.442 496.612 476.395
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.495 0.6891 2.016 1.208 2.234 2.182 2.369 3.635
[2,] 304.215 106.0160 361.336 153.573 321.108 264.238 428.309 562.108
[3,] 268.380 92.5696 477.999 123.339 375.977 259.714 383.937 505.152
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.145 2.894 2.628 2.0 1.236 2.955 2.464 3.399 3.301
[2,] 148.955 520.145 289.925 530.9 174.860 375.428 492.096 488.573 686.586
[3,] 141.852 388.417 290.033 482.3 143.312 312.109 349.416 459.620 551.004
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.183 2.883 1.929 0.8689 1.943 1.945 2.054 1.494
[2,] 446.981 654.169 568.941 104.9937 426.347 239.102 418.893 184.692
[3,] 422.636 451.128 587.481 95.2918 610.854 182.411 590.848 187.273
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.9 1.031 2.526 2.227 5.977 5.012 0.8819 0.8105
[2,] 276.8 104.842 462.233 284.890 745.434 600.717 155.0563 209.7524
[3,] 267.1 129.570 389.501 279.440 671.119 632.544 193.2241 172.5759
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.205 1.267 2.259 1.606 2.576 15.83 8.784 3.79
[2,] 175.922 179.916 288.201 227.059 350.407 2006.47 1631.071 694.65
[3,] 167.391 156.669 303.914 214.742 296.210 2219.92 1282.937 676.33
[1] "--- VAR model 2017-10-03 18:01:00 completed"
[1] "Completed training sample: 2017-10-03 18:01:00 - 2017-10-04 02:00:00"
[1] "SpVAR; training sample: 2017-10-03 18:31:00 - 2017-10-04 02:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.6415 -0.9517 -6.3053 -5.894
-0.6870 1.4430 -4.7632 -1.883
0.3568 0.9190 -0.5638 -1.362
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.042 -0.6049 0.03964 -0.8762
-3.947 -0.7949 0.16032 -2.2851
-3.437 -0.1325 -0.36461 0.9405
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.44244 -2.137 1.0702 0.4589
-2.96705 -2.071 0.3565 -0.1598
-0.08863 -1.437 -0.1114 -0.4490
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.02851 0.4784 -2.069 -4.018
2.04035 -0.2273 -1.032 -1.782
-1.16738 -0.8663 -1.042 1.591
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.252 -2.1174 -7.5893 0.4516
-1.034 -4.1325 -1.2071 -1.9224
2.702 0.1082 0.3219 1.2271
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.179 4.3255 -0.1744 1.417
-5.499 2.8761 -11.4252 -2.994
1.735 0.9353 -2.4669 -1.966
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.1347 -3.6954 -1.420 0.2668
-0.5130 -0.7487 -1.467 1.3047
0.4241 -3.0445 -2.343 -0.2926
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.1255 1.7351 -3.759 -2.9057
-3.7467 0.3490 -1.157 0.3179
0.1808 0.4652 -1.477 -1.6859
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.532 0.7034 -1.889 -0.8707
-0.448 -5.4188 -3.628 1.2457
1.400 -2.6858 -2.476 -5.6404
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2749 0.08262 -1.030 0.4315
1.6380 -2.13140 -1.788 1.4875
1.4660 -1.64776 -1.141 0.2277
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9906 0.3169 2.374 2.087
0.3962 0.3736 -1.914 -0.925
1.8119 0.3802 -2.018 -1.539
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.311 -1.625099 3.8674 -2.040
1.839 0.008053 -0.2322 1.828
1.350 0.802236 -0.1149 1.905
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.602 2.925248 -3.922 1.2628
2.883 0.444053 1.711 0.5432
-1.683 -0.005749 1.707 1.6476
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4278 -4.5054 -0.8083 1.029
-0.7195 2.6733 -1.5330 -1.340
1.1330 0.9145 3.5143 1.055
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.1446 -2.010 0.7002 -1.744
-0.9089 -2.108 0.9459 -3.401
-1.6476 -3.077 0.2959 -1.523
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3532 -1.433 -0.2181 -1.1869
0.1821 -0.405 -1.1897 0.7223
1.0175 0.501 -0.3905 -0.2110
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2019 -0.2272 -1.64696 0.3754
-1.5979 0.5401 -2.42487 0.2497
-1.0040 -0.4473 -0.03233 -0.6813
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.3407308 0.7154 0.3111 -0.01257
0.0004923 -1.6397 0.1032 -0.50929
0.0830136 -0.3233 -0.9127 1.00357
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.151 -0.4807 2.0517 -2.612
2.989 2.3900 0.4903 1.956
1.797 0.1320 2.1337 1.458
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.0417 -0.5351 1.880 0.9943
-1.3872 -0.1468 -2.854 -1.0396
0.6508 0.9073 1.536 0.1739
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.2095 -0.094255 -1.8338 -1.8178
0.3428 1.239709 0.7791 1.0979
-1.6565 0.007392 -1.5140 -0.3818
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.886 -1.070 0.9692 -2.4089
1.196 1.272 -2.7239 -0.7702
-1.009 1.179 0.6183 1.6384
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.19312 1.42958 -0.01208 0.2113
0.04008 0.51890 1.06146 0.1226
0.59552 0.02145 1.23265 1.1856
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.093 0.24920 -1.1243 252.7
-3.748 0.08809 -2.3446 250.9
1.126 -0.08134 -0.4896 253.6
rnd_95776.volume rnd_95787.volume
5.493 -0.2297
-0.480 -2.8855
6.533 -2.3756
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.804 1.577 3.975 1.958 2.532 0.7252 0.9779 2.198 2.456 1.767 1.279
[2,] 2.366 1.856 4.745 2.775 3.265 0.9273 1.1376 2.719 3.262 2.817 1.697
[3,] 2.772 2.206 5.243 3.551 3.826 1.0663 1.3109 2.971 3.645 3.327 2.039
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.849 1.495 1.751 2.257 2.593 1.927 1.873 3.860 3.029 4.227 2.164
[2,] 2.405 1.804 2.381 3.063 3.115 2.829 2.933 5.856 3.867 5.032 2.603
[3,] 2.875 2.057 2.831 3.489 3.588 3.489 3.527 6.861 4.476 5.562 2.820
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.978 3.026 0.8648 1.998 2.068 2.530 1.996 1.032 1.841 2.161 1.414
[2,] 8.111 3.960 1.0539 2.982 3.461 2.906 2.822 1.277 2.612 2.574 1.703
[3,] 9.298 4.700 1.1984 4.047 4.623 3.223 3.714 1.450 3.698 3.009 1.989
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.470 2.157 2.220 2.402 1.706 2.209 0.7386 1.647 0.5215 1.961 1.628
[2,] 3.166 3.085 3.100 2.798 2.467 2.594 0.9044 2.083 0.6952 2.689 2.285
[3,] 3.933 3.588 3.707 3.103 2.910 2.985 1.0222 2.322 0.7857 2.989 2.919
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.424 0.9083 1.925 1.799 2.627 1.367 2.318 2.316 0.907 2.026 1.764
[2,] 1.792 1.1142 2.583 2.267 3.173 1.720 3.475 2.784 1.143 2.970 2.633
[3,] 2.106 1.2390 3.059 2.582 3.560 2.017 4.091 3.164 1.320 3.814 3.291
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.724 1.065 1.679 0.4861 1.449 0.9105 1.691 1.547 1.536 2.381 0.7479
[2,] 2.689 2.234 2.060 0.6153 2.051 1.0937 2.156 1.928 2.274 3.139 0.9467
[3,] 3.319 2.875 2.316 0.7088 2.834 1.2155 2.598 2.165 2.705 3.673 1.1227
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.029 1.956 1.426 0.883 2.081 1.825 2.388 2.299 2.893 1.974 1.286
[2,] 2.927 2.308 2.521 1.109 2.622 2.514 3.056 3.433 3.430 3.263 2.675
[3,] 3.322 2.597 3.123 1.254 2.933 2.919 3.559 4.091 3.841 3.779 3.382
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5746 1.381 1.352 1.413 1.081 1.401 0.7016 1.633 1.538 4.325 3.646
[2,] 0.7092 2.144 1.626 1.951 1.313 1.752 0.8454 2.523 1.850 5.180 4.488
[3,] 0.8131 3.245 1.827 3.080 1.508 2.033 0.9596 2.992 2.173 5.789 5.193
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5024 0.4669 0.9127 0.8773 1.609 1.131 1.748 11.86 6.047 2.769
[2,] 0.7321 0.8789 1.1206 1.0852 1.960 1.432 2.122 14.83 8.625 3.858
[3,] 1.0177 1.0851 1.2887 1.2575 2.302 1.663 2.378 17.55 10.039 4.711
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.29 2.002 5.048 2.486 3.216 0.9209 1.242 2.79
[2,] 399.08 254.814 675.234 512.453 537.075 150.6102 151.465 417.24
[3,] 376.33 310.986 581.155 577.463 519.674 137.1593 169.774 312.07
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.119 2.244 1.624 2.347 1.898 2.223 2.866 3.293
[2,] 559.377 571.658 290.682 400.983 263.139 420.507 539.448 449.891
[3,] 424.041 461.328 294.647 410.516 257.393 399.204 435.732 463.835
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.447 2.378 4.901 3.846 5.367 2.748 6.321 3.843
[2,] 539.672 588.239 1147.559 626.356 711.330 377.137 1668.725 665.649
[3,] 532.066 510.252 931.564 587.741 617.528 282.653 1184.519 659.519
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.098 2.537 2.626 3.212 2.535 1.31 2.337 2.744
[2,] 156.977 577.027 723.091 372.870 519.878 196.01 482.786 364.376
[3,] 148.637 712.912 798.761 363.068 629.213 179.34 682.351 406.266
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.796 3.136 2.739 2.818 3.05 2.166 2.805 0.9379
[2,] 247.464 516.380 574.906 563.823 374.13 464.596 354.587 135.9968
[3,] 267.516 607.940 477.404 529.887 349.76 401.867 384.665 124.1243
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.091 0.6622 2.49 2.068 1.809 1.153 2.444 2.285
[2,] 332.435 119.7685 479.34 417.632 283.296 168.165 448.992 359.252
[3,] 267.429 95.4246 340.53 473.456 288.594 141.206 427.176 321.936
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.335 1.736 2.943 2.941 1.152 2.572 2.24 2.189
[2,] 464.124 271.963 674.824 402.713 181.243 565.904 509.31 537.840
[3,] 420.376 274.208 562.480 391.610 172.028 623.806 514.29 506.735
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.353 2.132 0.6173 1.84 1.156 2.147 1.964 1.95 3.023
[2,] 511.734 311.073 98.3110 378.25 157.901 348.385 299.922 437.16 532.997
[3,] 471.593 275.873 91.6964 509.77 138.175 377.809 256.900 381.36 497.191
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.9497 2.576 2.483 1.81 1.121 2.643 2.318 3.032
[2,] 151.2312 549.891 319.583 541.91 174.958 415.572 450.674 496.850
[3,] 157.2569 409.361 309.883 480.05 152.404 342.812 386.405 475.441
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.919 3.673 2.506 1.633 0.7296 1.754 1.717 1.794
[2,] 664.366 480.315 677.046 611.304 108.3387 427.308 235.557 350.330
[3,] 580.020 450.682 496.807 539.252 103.6066 634.594 217.068 621.177
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.373 1.779 0.891 2.073 1.953 5.492 4.63 0.6379
[2,] 193.959 274.469 122.903 501.185 267.992 742.949 681.88 138.7746
[3,] 193.533 268.734 118.301 419.119 297.071 673.605 680.81 184.2002
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.5929 1.159 1.114 2.043 1.436 2.22 15.06 7.678
[2,] 194.0445 169.443 166.448 291.599 228.883 313.51 2318.05 1602.826
[3,] 165.8270 165.816 165.553 314.508 220.581 279.93 2445.14 1338.386
[,98]
[1,] 3.516
[2,] 700.176
[3,] 704.416
[1] "--- VAR model 2017-10-03 18:31:00 completed"
[1] "Completed training sample: 2017-10-03 18:31:00 - 2017-10-04 02:30:00"
[1] "SpVAR; training sample: 2017-10-03 19:01:00 - 2017-10-04 03:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.84779 -1.416 -0.552 2.1086
-0.52266 2.118 -3.060 -4.0471
0.02845 -1.359 -8.732 -0.1371
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.531 -1.065 1.347 -2.8621
1.656 0.736 0.611 0.3100
-2.158 -0.210 1.407 -0.4035
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.834 -2.484 0.7333 -2.984
-4.724 -5.159 -1.0383 -1.986
-1.797 -1.476 -0.8014 -1.042
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6706 -2.048 -4.450 0.3356
-1.3410 -1.223 -3.852 0.4117
0.2527 -4.479 -2.074 0.9832
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.4435 1.4223 -0.7202 6.241
0.6304 -2.7303 5.0018 3.446
-0.8801 0.6165 -6.7005 -3.343
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
6.676 6.371 -5.399 -2.194
-1.087 2.862 -0.217 -1.288
-3.619 1.910 4.024 2.500
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04857 -3.1115 -0.8835 5.7608
-0.12510 -1.5178 -0.4955 1.4727
1.36802 -0.3721 0.1565 -0.5306
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.9812 -2.6559 1.880 -1.4411
-3.7466 0.8625 -0.244 0.9613
-2.1137 0.7328 -1.905 0.7964
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.4724 -0.7758 5.4286 7.897
-0.3775 0.6123 2.1190 -0.415
-1.5470 -1.4642 -0.5544 -1.095
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.3722 2.6778 -1.1451 0.2830
0.1169 1.0813 0.4648 0.1053
-0.8357 0.6149 -2.4182 1.0080
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.9339 0.4202 -6.2079 1.162
0.6014 0.6883 -0.9267 -5.459
0.9428 0.3017 -0.9318 -1.745
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.0219 -0.4169 1.322 0.9080
0.1815 0.8673 1.946 -0.1457
0.9019 -0.3067 -2.910 -0.4437
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.366 -1.9403 -2.761 -0.3666
2.580 -0.5756 3.047 1.9580
-3.604 -0.5043 4.637 1.0551
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2974 -2.3616 -0.2201 1.908
0.1110 -0.9127 1.2110 1.059
1.3372 5.3229 2.9361 3.546
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.6032 -1.624 -0.3550 1.5935
-0.2396 -2.261 -0.4749 0.3565
1.6070 -1.462 0.3281 -1.0576
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.4082 -3.0014 0.1328 1.6805
-1.1480 2.0165 0.8908 -1.2653
-0.1228 -0.3037 -0.7169 0.2585
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.785 0.5934 1.532 -1.130
-1.822 0.3466 -1.382 2.866
3.621 -0.4867 1.661 1.672
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.6974 0.7428 1.919 -1.5385
2.5489 -0.1074 -3.544 1.3395
0.9095 -0.5890 3.380 0.5639
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.8048 2.112 4.193 -0.9486
1.9539 3.176 3.942 4.5436
-3.8377 -6.064 3.959 0.8593
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.945 -0.4297 1.7966 0.32081
4.034 0.3488 -0.8255 1.31339
4.045 0.8511 3.7723 0.03681
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.402 0.3432 -0.9259 0.2901
-1.321 -1.6170 -2.6211 1.9136
1.420 -1.8370 -0.5369 0.9669
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.3308 -1.6930 1.7485 6.5830
0.4184 1.1518 1.4557 -1.5718
1.5968 -0.1842 -0.2181 -0.2389
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7920 0.3077 -1.0019 -0.7461
-0.8020 -0.9540 -0.2282 -0.4062
-0.8662 -0.1842 0.0487 0.6214
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.30037 2.1361 -0.1569682 265.5
0.07687 -0.3404 -0.0009452 248.3
-1.36584 0.4452 1.9446205 259.7
rnd_95776.volume rnd_95787.volume
0.6888 -1.7669
3.9659 -1.0650
-5.7721 0.8474
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.630 1.397 3.435 1.531 2.321 0.6398 0.8874 2.018 2.339 1.657 1.163
[2,] 2.086 1.693 4.286 2.262 2.997 0.8074 1.0308 2.445 3.097 2.685 1.575
[3,] 2.443 2.001 4.752 2.948 3.556 0.9285 1.1763 2.710 3.445 3.164 1.917
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.621 1.348 1.638 2.084 2.436 1.785 1.779 2.614 2.766 3.677 1.972
[2,] 2.230 1.622 2.096 2.710 2.917 2.599 2.764 3.872 3.469 4.456 2.406
[3,] 2.615 1.888 2.503 3.213 3.351 3.292 3.256 4.724 4.072 4.958 2.645
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.645 2.657 0.812 1.772 1.936 2.098 1.644 0.9744 1.641 1.919 1.365
[2,] 7.299 3.639 1.004 2.640 3.131 2.578 2.436 1.2239 2.308 2.337 1.609
[3,] 8.531 4.363 1.133 3.645 4.150 2.833 3.184 1.3831 3.248 2.789 1.845
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.263 1.937 1.958 2.083 1.512 1.837 0.6493 1.497 0.4784 1.779 1.412
[2,] 2.855 2.851 2.934 2.532 2.309 2.203 0.7958 1.947 0.5967 2.392 1.994
[3,] 3.574 3.368 3.415 2.921 2.702 2.601 0.9127 2.160 0.6913 2.677 2.623
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.351 0.8607 1.701 1.626 2.524 1.262 2.033 2.049 0.8301 1.842 1.670
[2,] 1.649 1.0486 2.300 2.056 2.880 1.551 3.088 2.489 1.0557 2.739 2.421
[3,] 1.926 1.1703 2.729 2.321 3.209 1.857 3.677 2.936 1.2332 3.457 3.015
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.489 1.003 1.586 0.4639 1.348 0.7894 1.488 1.478 1.443 2.088 0.7422
[2,] 2.392 2.050 1.890 0.5635 1.930 0.9736 1.979 1.818 2.149 2.799 0.9098
[3,] 3.093 2.686 2.132 0.6441 2.624 1.0967 2.413 2.050 2.539 3.335 1.0583
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.912 1.783 1.347 0.7915 1.791 1.655 2.209 2.119 2.652 1.859 1.200
[2,] 2.614 2.070 2.250 1.0344 2.294 2.256 2.815 3.128 3.162 3.057 2.622
[3,] 2.949 2.390 2.847 1.1574 2.603 2.630 3.295 3.656 3.586 3.435 3.202
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5234 1.167 1.214 1.265 0.9719 1.287 0.6411 1.417 1.375 3.900 3.341
[2,] 0.6365 1.991 1.454 1.822 1.2446 1.605 0.7728 2.161 1.704 4.702 4.066
[3,] 0.7551 3.022 1.608 2.941 1.3961 1.852 0.8737 2.613 1.982 5.275 4.669
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.3902 0.4150 0.7788 0.7465 1.453 0.9704 1.530 10.43 5.828 2.410
[2,] 0.5745 0.7744 0.9897 0.9549 1.830 1.2546 1.926 12.63 7.966 3.435
[3,] 0.8509 0.9671 1.1457 1.1134 2.101 1.4699 2.190 14.12 9.323 4.278
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.069 1.774 4.363 1.944 2.947 0.8124 1.127 2.563
[2,] 336.383 247.180 661.965 430.312 490.154 127.2670 135.520 356.425
[3,] 328.582 275.531 530.432 488.259 494.226 118.4363 146.410 302.022
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.971 2.105 1.477 2.059 1.712 2.08 2.646 3.093
[2,] 524.355 545.865 274.578 395.743 232.877 337.93 447.642 414.491
[3,] 390.131 432.598 282.368 352.674 249.601 353.32 445.987 426.174
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.266 2.259 3.319 3.513 4.669 2.504 5.898 3.374
[2,] 488.278 546.723 738.014 540.673 650.203 356.136 1454.701 642.617
[3,] 521.957 444.315 699.461 551.405 561.983 284.169 1141.410 621.846
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.031 2.25 2.459 2.664 2.088 1.237 2.084 2.437
[2,] 152.640 505.47 635.812 386.895 464.480 191.361 419.073 344.309
[3,] 135.566 649.40 703.843 303.940 529.894 166.469 590.726 393.242
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.733 2.873 2.46 2.486 2.645 1.92 2.333 0.8246
[2,] 220.218 449.689 540.50 564.615 371.791 450.77 313.867 118.8803
[3,] 233.102 555.690 463.22 451.547 376.343 362.85 357.230 115.4733
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.902 0.6075 2.259 1.793 1.716 1.093 2.161 2.064
[2,] 321.530 92.1273 412.904 363.801 244.294 154.750 400.036 325.027
[3,] 241.876 90.2075 310.648 440.259 257.162 134.289 379.286 278.772
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.205 1.602 2.581 2.601 1.054 2.339 2.121 1.89
[2,] 358.357 233.109 600.757 365.315 168.535 523.897 453.041 483.72
[3,] 365.532 263.801 515.426 402.460 164.676 544.984 464.331 506.68
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.274 2.015 0.5891 1.711 1.002 1.889 1.876 1.832
[2,] 462.029 265.471 82.6674 356.848 147.227 337.113 273.880 411.516
[3,] 448.407 254.644 80.6015 459.582 130.430 356.876 244.646 349.324
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.652 0.9425 2.427 2.265 1.71 1.005 2.274 2.101
[2,] 481.481 135.9384 460.582 271.594 465.81 172.055 370.441 396.324
[3,] 468.351 139.6883 353.128 308.626 450.61 134.187 317.538 349.410
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.805 2.691 3.368 2.361 1.524 0.6646 1.482 1.542
[2,] 450.990 594.522 444.664 627.178 602.423 93.5692 416.621 206.654
[3,] 442.423 488.833 437.293 404.257 474.518 104.9807 587.442 177.336
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.606 1.234 1.635 0.814 1.799 1.746 4.952 4.243
[2,] 338.744 200.895 247.513 111.506 421.500 260.149 678.404 598.437
[3,] 596.624 163.441 238.911 105.328 379.707 261.605 617.809 593.422
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4955 0.527 0.989 0.9479 1.845 1.232 1.943 13.24
[2,] 108.9552 168.919 157.774 153.8490 287.408 205.448 302.446 1843.23
[3,] 162.1714 149.670 149.140 147.9438 266.679 197.923 268.982 1627.32
[,97] [,98]
[1,] 7.4 3.06
[2,] 1403.2 632.60
[3,] 1251.6 658.94
[1] "--- VAR model 2017-10-03 19:01:00 completed"
[1] "Completed training sample: 2017-10-03 19:01:00 - 2017-10-04 03:00:00"
[1] "SpVAR; training sample: 2017-10-03 19:31:00 - 2017-10-04 03:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.947534 0.7480 -5.4547 1.3759
-0.114062 0.9971 -0.7243 -0.0549
-0.007729 1.0201 -0.1726 0.9119
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.453 -1.1555 -1.13731 -0.1768
1.137 0.4396 -0.62799 2.4258
2.999 -0.3372 -0.08485 3.4916
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.9533 -1.7907 -0.685 -1.822
-0.9191 0.1719 1.018 -2.711
5.4478 4.7697 2.031 -2.968
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.920 -1.1714 3.625 -1.182
1.278 -0.8100 -1.681 4.379
1.855 -0.6364 -2.515 2.393
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.7710 4.48705 4.998 6.753
-0.9488 0.07851 5.423 3.964
3.9182 -1.25177 -1.600 -2.100
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.706 0.7233 0.2791 -0.5058
-3.948 -0.3912 -14.4107 -3.7604
1.183 2.3842 0.2583 -2.2229
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.01075 -1.929 0.05615 -1.186
-0.47662 -1.828 -0.04218 2.695
-0.03489 -6.192 -9.68591 -0.332
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.8853 1.9850 1.6176 2.598
-0.8852 -0.4531 0.5030 1.743
0.5268 -1.0531 0.4689 -1.360
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.4002 1.3340 -0.8734 0.7513
0.2730 2.2636 2.9453 -0.8809
-0.9049 0.8595 2.0090 2.9951
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.5452 4.8557 0.7635 -0.5073
2.8574 -0.9725 4.0255 0.7373
-0.4038 -2.4239 3.1895 1.3840
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4339 -0.43227 -0.3905 -1.66880
-0.6856 0.17984 -0.4908 -0.09209
2.0636 0.05148 3.0484 -2.47282
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.0190 -0.1345 -1.3434 -0.4228
0.8342 -0.3973 3.0034 1.1487
2.5809 0.9029 -0.6011 4.6887
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.8459 2.8649 -1.89630 -0.4788
-1.0738 -0.2377 3.38903 4.3002
-0.4522 0.5518 -0.02597 2.5486
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.010419 -0.3066 -0.7607 -0.7985
0.005812 5.7083 2.2196 -0.7902
0.686304 0.8468 3.2231 5.8370
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.677 -0.9519 0.90105 2.675
-0.518 -1.9739 -0.76069 -2.705
2.459 1.4841 0.05279 -1.159
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.7793 2.0665 -2.2298 1.509
-0.2771 -0.9244 -0.5121 2.912
-0.2166 -1.1354 -2.2432 -1.275
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.36467 1.906 0.51853 -2.979
8.02733 0.779 -0.03783 1.314
0.03845 0.841 3.58420 -1.860
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.6551 0.09057 -1.0408 -3.1638
0.3336 -0.84881 -2.5302 -0.4618
4.6007 -0.41186 0.3109 -0.9408
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.641 -0.0003837 1.36135 3.297
5.037 1.5430644 0.03869 -1.085
2.435 0.0981187 0.29281 -0.321
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.9996 0.2320 0.2408 -0.04385
-2.2895 -0.4987 1.2472 -0.39406
-0.7739 -0.0845 0.4361 0.31722
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.6191 -0.9552 2.6494 -1.9966
0.5720 -0.4397 -1.3033 0.1038
-4.8295 2.2101 0.9628 -0.4028
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.294 0.7246 5.351 1.3492
5.515 0.7644 10.266 -2.5562
1.317 1.2658 -1.848 0.6898
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.108379 0.8348 -0.8632 -1.156834
-0.001001 -1.7207 -0.1832 0.040992
-0.963859 0.6983 0.0514 -0.007401
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.09595 1.2860 -2.6674 229.0
-0.02275 -0.5512 0.4694 230.0
-0.83406 -0.7743 1.3200 233.8
rnd_95776.volume rnd_95787.volume
9.543 -2.285
-3.936 -6.138
4.891 -2.735
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.477 1.289 3.114 1.408 2.100 0.5982 0.8162 1.925 2.242 1.465 1.096
[2,] 1.917 1.551 3.828 2.100 2.700 0.7320 0.9449 2.347 2.856 2.554 1.484
[3,] 2.238 1.766 4.290 2.668 3.156 0.8432 1.0826 2.586 3.216 3.014 1.759
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.562 1.317 1.530 1.719 2.218 1.737 1.527 2.764 2.514 3.421 1.814
[2,] 2.087 1.608 1.947 2.187 2.708 2.426 2.506 3.759 3.154 4.189 2.161
[3,] 2.496 1.835 2.398 2.670 3.127 3.064 2.902 4.550 3.708 4.709 2.468
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.049 2.426 0.7400 1.589 1.784 1.861 1.526 0.924 1.530 1.719 1.161
[2,] 6.744 3.272 0.9208 2.297 2.894 2.238 2.224 1.143 2.128 2.155 1.470
[3,] 7.919 4.002 1.0374 3.375 3.887 2.482 2.815 1.288 2.948 2.592 1.685
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.928 1.767 1.888 1.904 1.434 1.710 0.5509 1.127 0.4379 1.690 1.314
[2,] 2.602 2.502 2.571 2.266 2.087 2.064 0.6606 1.567 0.5440 2.168 1.887
[3,] 3.250 2.950 3.033 2.616 2.432 2.391 0.7580 1.816 0.6157 2.448 2.350
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.201 0.7507 1.546 1.421 2.366 1.151 1.755 1.837 0.7613 1.694 1.548
[2,] 1.512 0.9438 2.114 1.775 2.650 1.482 2.829 2.267 0.9596 2.503 2.173
[3,] 1.748 1.0558 2.477 2.006 2.998 1.739 3.324 2.625 1.1147 3.191 2.789
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.372 0.9079 1.335 0.4755 1.241 0.8357 1.369 1.403 1.361 1.954 0.6524
[2,] 2.178 1.8617 1.628 0.5615 1.721 0.9751 1.816 1.715 2.018 2.638 0.7754
[3,] 2.857 2.4112 1.876 0.6330 2.375 1.0745 2.210 1.944 2.393 3.177 0.9040
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.770 1.561 1.209 0.6885 1.696 1.477 2.088 1.923 2.474 1.788 1.079
[2,] 2.455 1.890 2.074 0.9051 2.083 2.076 2.549 2.752 2.952 2.770 2.322
[3,] 2.780 2.135 2.694 1.0109 2.373 2.397 2.986 3.195 3.310 3.093 2.867
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4578 1.107 1.091 1.183 0.9766 1.223 0.5506 1.356 1.269 3.349 3.145
[2,] 0.5716 1.898 1.312 1.662 1.1672 1.526 0.6637 1.945 1.557 4.059 3.717
[3,] 0.6632 2.736 1.450 2.591 1.3140 1.742 0.7574 2.327 1.763 4.759 4.211
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.3542 0.3699 0.6786 0.6474 1.226 0.8395 1.347 10.61 5.195 2.144
[2,] 0.4994 0.7044 0.8764 0.8195 1.514 1.0891 1.718 12.81 7.081 3.035
[3,] 0.7559 0.8815 1.0397 0.9738 1.767 1.2684 1.983 14.30 8.503 3.846
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.876 1.636 3.954 1.788 2.666 0.7596 1.036 2.444
[2,] 355.301 250.963 647.499 452.941 493.708 122.6490 138.390 390.580
[3,] 335.774 245.440 562.662 478.154 474.709 121.6416 153.639 315.193
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.847 1.86 1.392 1.984 1.672 1.943 2.183 2.816
[2,] 514.468 608.31 291.038 402.426 268.189 350.068 393.152 452.035
[3,] 429.443 464.92 274.325 397.986 257.238 407.237 445.196 454.445
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.206 1.94 3.509 3.193 4.344 2.303 5.142 3.08
[2,] 492.576 577.41 740.749 553.693 702.931 341.574 1567.990 638.49
[3,] 543.963 425.81 745.113 566.651 625.189 346.734 1206.375 669.74
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9397 2.018 2.265 2.363 1.937 1.173 1.943 2.183
[2,] 159.2696 482.436 662.544 361.572 470.504 195.661 429.747 378.061
[3,] 138.9271 718.729 754.315 311.484 501.621 172.556 593.353 418.617
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.474 2.449 2.243 2.398 2.418 1.821 2.172 0.6995
[2,] 262.280 507.947 514.892 507.350 357.198 440.858 336.114 105.9710
[3,] 239.480 566.123 454.506 467.451 379.694 362.783 350.455 108.0650
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.431 0.5561 2.146 1.668 1.525 0.9533 1.963 1.804
[2,] 316.596 93.8424 395.070 393.828 267.016 166.2939 418.953 309.404
[3,] 266.605 83.8067 330.382 407.079 255.294 137.5519 375.451 271.610
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.005 1.462 2.229 2.333 0.9668 2.151 1.966 1.743
[2,] 346.860 271.278 645.078 386.297 169.8001 535.721 443.095 491.493
[3,] 407.440 264.667 507.063 384.405 164.8814 575.597 508.308 537.535
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.153 1.695 0.6039 1.576 1.061 1.739 1.782 1.728
[2,] 472.489 270.874 86.7893 346.530 146.073 346.602 286.355 433.358
[3,] 445.455 271.035 84.9644 475.752 131.204 366.385 266.409 373.903
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.482 0.8284 2.248 1.983 1.535 0.8743 2.154 1.875
[2,] 515.295 121.8017 494.556 309.459 489.854 170.8000 351.338 424.171
[3,] 514.485 135.1453 379.029 289.110 499.721 130.8664 330.353 348.116
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.652 2.442 3.142 2.271 1.37 0.5813 1.405 1.385
[2,] 424.796 572.217 467.729 614.850 597.68 99.4979 448.140 211.960
[3,] 452.121 471.962 435.320 400.371 489.02 97.7791 573.139 179.199
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.502 1.24 1.553 0.6991 1.721 1.611 4.252 3.993
[2,] 339.326 185.85 265.316 107.7542 405.313 262.413 666.636 576.431
[3,] 577.827 175.44 244.032 106.0922 371.583 240.444 722.193 575.265
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4497 0.4697 0.8617 0.8221 1.557 1.066 1.711 13.47
[2,] 102.3429 174.2627 161.2366 146.0578 258.259 201.684 309.796 2086.13
[3,] 164.9839 154.0466 162.6205 152.9222 264.757 189.009 287.998 1851.93
[,97] [,98]
[1,] 6.597 2.723
[2,] 1398.785 624.223
[3,] 1368.517 687.139
[1] "--- VAR model 2017-10-03 19:31:00 completed"
[1] "Completed training sample: 2017-10-03 19:31:00 - 2017-10-04 03:30:00"
[1] "SpVAR; training sample: 2017-10-03 20:01:00 - 2017-10-04 04:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-63.15 -42.12 -3466 60.46
218.34 72.83 7126 -198.62
-439.45 -80.04 -13354 887.01
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
67.134 27.65 42.58 -39.76
-7.798 25.67 -100.59 57.86
300.691 -104.12 259.27 -192.87
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-57.44 -3.853 -60.87 -54.79
189.20 -110.561 133.42 -29.67
-336.53 401.581 -364.93 37.92
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
70.10 173.6 238.2 -278.1
-41.41 -326.3 -390.8 575.8
34.58 602.3 660.0 -1165.0
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
59.20 -51.38 52.37 -51.34
33.16 331.52 -184.65 242.26
-47.72 -642.53 262.60 -310.31
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-63.91 -41.31 1559 367.6
486.99 116.56 -3573 -679.3
-826.17 -116.44 7357 1284.1
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
10.88 51.8 -216.8 53.92
85.91 377.8 961.1 -225.55
-192.96 -991.2 -1969.1 434.66
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.18 26.868 4.536 -13.41
-29.28 8.462 -71.423 335.12
604.17 17.541 593.539 -754.44
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
129.9 27.87 128.2 7.085
-333.6 -38.88 -192.1 48.741
617.0 538.16 566.7 -55.409
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
110.3 59.41 14.82 18.45
-345.3 -179.92 -27.76 -49.05
553.5 346.43 38.05 133.22
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.926 -1.992 90.35 -1.248
77.091 -14.410 -235.94 14.725
-146.413 18.026 519.60 43.634
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-39.11 12.23 -50.89 -32.54
56.06 98.46 -49.47 140.76
29.87 -231.80 270.87 -429.35
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-51.91 -166.5 148.9 106.1
149.87 347.6 -277.2 -149.6
-179.50 -748.3 530.7 487.3
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
111.8 -181.7 -160.2 -149.4
-220.8 718.8 306.3 322.0
544.8 -1494.3 -417.2 -449.3
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
59.05 19.44 5.081 28.82
-431.12 -33.35 16.740 -112.19
944.49 -67.73 -39.347 91.75
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-43.78 19.10 -42.80 -6.426
40.07 -34.05 92.11 -73.718
-80.76 26.00 -134.06 114.943
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
96.18 -45.67 -37.69 -92.08
-285.00 104.72 176.91 137.94
779.36 -149.96 -432.04 -304.95
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
19.62 -17.22 42.51 -80.31
-23.90 16.70 -61.32 241.26
39.53 -18.79 225.49 -478.21
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
19.6 -67.24 -33.70 -118.1
-119.4 18.41 -44.64 192.7
213.6 -40.63 -101.45 -602.0
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-83.0 0.3288 114.4 -84.81
106.9 -28.1460 -341.4 74.04
-148.3 21.0733 633.0 -113.20
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
50.54 -4.574 1.578 -27.59
-173.33 20.327 22.625 170.02
293.53 -73.904 -63.671 -411.87
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
39.12 -73.88 128.63 -61.16
-260.48 130.64 -53.36 174.82
664.32 -217.80 166.92 -406.70
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.339 -8.227 -6.9814 -22.01
-10.498 39.059 -0.8116 46.51
9.385 -134.666 58.3442 -34.79
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-103.8 -4.455 -12.54 1275
283.2 37.810 44.59 -1734
-702.2 -147.807 -114.65 4029
rnd_95776.volume rnd_95787.volume
4.671 342.2
192.949 -489.1
-493.392 869.2
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.311 1.153 56.07 1.323 1.870 0.547 0.8007 1.670 1.964 1.376 1.033
[2,] 2.839 2.157 142.59 3.061 3.511 1.209 1.7965 2.531 3.403 2.275 2.609
[3,] 8.668 3.630 305.60 8.124 4.005 1.619 4.1709 3.521 7.977 4.848 5.679
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 1.568 1.141 1.378 1.591 1.996 1.669 1.372 2.801 2.247 3.217
[2,] 2.840 2.887 6.655 8.928 10.492 3.040 3.069 4.190 3.451 4.563
[3,] 3.377 3.593 14.222 17.658 24.268 3.791 12.679 8.444 9.704 18.632
[,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 1.623 3.575 2.257 0.6557 1.508 1.588 1.674 1.362 0.8669 1.410
[2,] 2.441 57.574 13.927 0.9309 2.945 8.341 2.797 2.055 1.4889 1.886
[3,] 5.165 146.806 29.459 3.2623 14.301 36.821 8.854 2.887 1.6353 3.688
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.570 1.083 1.821 1.496 1.703 1.653 1.287 1.543 0.5173 1.000
[2,] 2.133 4.968 2.569 5.313 2.353 4.497 2.837 1.915 0.8730 1.431
[3,] 12.615 13.526 3.392 9.257 3.314 13.796 7.459 2.456 2.0731 3.329
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.3839 1.548 1.170 1.122 0.6779 1.454 1.254 2.192 1.073 1.629 1.629
[2,] 0.4842 3.960 1.690 1.965 0.9733 2.628 2.061 3.141 6.336 6.101 4.333
[3,] 0.7745 9.722 2.196 3.078 3.7680 3.438 5.628 6.537 14.722 12.348 7.344
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.7057 1.404 1.420 1.245 0.8196 1.212 0.4908 1.151 0.8391 1.336
[2,] 4.1613 6.991 6.285 5.851 2.7083 1.697 0.6066 1.852 1.8748 1.826
[3,] 9.4353 27.688 13.440 13.776 16.2371 2.290 0.9133 4.808 2.5697 2.488
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.250 1.273 1.791 0.6521 1.525 1.332 1.117 0.6642 1.539 1.246 1.955
[2,] 2.177 1.901 4.239 1.8646 2.607 3.671 2.077 1.0614 2.483 3.373 2.413
[3,] 4.204 3.525 11.563 4.3590 7.223 6.515 2.781 1.3676 3.574 9.707 5.315
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.793 2.197 1.572 0.974 0.4276 0.9997 0.9947 1.107 0.9186 1.192
[2,] 3.483 2.942 5.035 3.670 0.5235 4.4776 3.3229 2.425 1.0932 1.483
[3,] 4.028 3.687 9.068 5.900 1.2123 13.6318 4.5603 7.200 1.4199 1.873
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 0.4588 1.172 1.086 2.955 2.917 0.3151 0.3272 0.6131 0.6242 1.169
[2,] 1.1760 2.264 3.130 6.120 4.101 0.5011 0.7420 0.8631 1.1278 4.073
[3,] 6.3898 10.016 5.979 7.074 7.924 0.8749 1.6650 1.0199 2.1156 11.469
[,94] [,95] [,96] [,97] [,98]
[1,] 0.6829 1.248 11.36 4.743 2.04
[2,] 0.9172 1.679 39.58 6.253 13.02
[3,] 1.7600 2.508 85.31 10.189 23.14
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.665 1.464 71.2 1.679 2.375 0.6946 1.017 2.121
[2,] 821.193 594.819 42761.6 900.276 969.129 351.7343 524.546 620.357
[3,] 2671.333 952.274 88162.1 2454.439 628.441 351.0337 1227.743 798.427
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.494 1.748 1.312 1.991 1.449 1.749 2.021 2.535
[2,] 906.660 590.932 781.321 772.288 865.135 2123.760 2865.478 3359.510
[3,] 2353.104 1396.441 1645.437 595.852 697.611 4099.356 4969.128 7137.599
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.119 1.743 3.557 2.854 4.085 2.06 4.539
[2,] 828.647 895.399 1016.519 854.342 1055.536 594.77 18742.521
[3,] 738.736 4012.360 2391.282 2958.027 5892.169 1484.53 44047.533
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 2.866 0.8326 1.914 2.017 2.126 1.729 1.101
[2,] 4482.601 215.5558 825.116 2670.832 730.758 502.014 394.822
[3,] 8467.017 1019.8275 4564.595 11697.581 2740.113 661.511 220.652
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 1.791 1.994 1.375 2.313 1.899 2.162 2.099 1.634
[2,] 408.531 470.605 1581.406 591.012 1662.940 529.478 1364.156 824.628
[3,] 1033.746 4055.419 4103.333 722.481 2472.388 761.385 4254.172 2249.910
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.959 0.6569 1.27 0.4875 1.965 1.486 1.425 0.8608
[2,] 370.423 229.3713 333.71 96.2379 1188.911 397.621 526.032 227.8167
[3,] 501.587 613.3081 980.53 197.1670 2895.858 457.533 773.063 1187.2991
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.846 1.593 2.784 1.363 2.069 2.069 0.8962
[2,] 714.277 533.465 733.453 2036.777 1917.826 1309.748 1337.6052
[3,] 723.052 1708.152 1869.898 4334.536 3501.528 1933.752 2762.0312
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 1.783 1.803 1.581 1.041 1.539 0.6233 1.461 1.065
[2,] 2233.614 1996.946 1864.587 841.951 387.215 116.2793 473.517 546.834
[3,] 8738.443 3874.777 4067.827 5221.840 501.765 222.6944 1447.001 573.217
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.697 1.587 1.616 2.274 0.828 1.937 1.692 1.418
[2,] 405.832 581.334 460.462 1253.126 569.775 689.781 1115.756 571.265
[3,] 551.524 1173.100 968.351 3508.819 1285.136 2197.033 1755.511 603.180
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 0.8434 1.955 1.582 2.482 2.276 2.79 1.996 1.237
[2,] 270.0160 635.613 1022.312 461.171 973.935 637.89 1560.098 1154.108
[3,] 281.3348 838.155 2968.834 1544.642 660.246 725.13 2459.918 1506.734
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.543 1.269 1.263 1.405 1.166 1.514 0.5826 1.488
[2,] 98.514 1423.581 1034.117 703.894 193.318 287.858 353.1680 631.780
[3,] 356.654 4199.545 1018.695 2211.314 295.526 373.182 2048.5384 3182.362
[,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.379 3.753 3.704 0.4002 0.4155 0.7785 0.7927
[2,] 957.470 1748.052 940.122 127.0812 217.2025 198.1552 306.3725
[3,] 1661.457 1156.782 2211.533 233.9139 486.1518 177.2033 583.8316
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.484 0.8672 1.584 14.42 6.022 2.591
[2,] 1272.489 199.7204 366.441 12366.79 1329.101 4193.706
[3,] 3497.013 489.9540 607.755 24649.51 2623.845 6238.600
[1] "--- VAR model 2017-10-03 20:01:00 completed"
[1] "Completed training sample: 2017-10-03 20:01:00 - 2017-10-04 04:00:00"
[1] "SpVAR; training sample: 2017-10-03 20:31:00 - 2017-10-04 04:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.455 3.32418 33.908 -0.4253
1.346 1.65143 5.064 -0.8997
-2.232 0.02174 -34.694 7.1031
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.824 -0.9534 1.6633 0.7633
-1.162 0.5012 1.4007 -2.0352
-2.311 -0.9003 0.6662 -3.2978
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.6920 2.578 -0.29749 -8.490
-0.3294 -1.605 1.72206 -3.204
-1.5823 1.052 -0.05501 -3.731
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.9478 -4.0920 -4.585 -5.440
1.5439 -0.4686 -2.399 -1.100
0.5694 1.8719 2.580 -5.642
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.709 -1.763 1.712 -0.4180
-7.570 -1.643 1.198 -1.6017
1.689 -3.611 -5.711 -0.3927
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.052 -0.03149 10.934 0.902
6.520 1.69121 -6.957 3.868
-2.896 2.67266 11.617 -4.313
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1931 1.456 -0.5428 3.3409
0.6821 3.383 4.3559 5.0239
0.5424 -3.581 1.4313 0.7717
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.944 -0.6896 1.0208 -3.8829
2.529 -0.0366 -0.5203 -0.5554
7.775 0.3313 7.8576 -6.3697
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.7731 5.4415 5.082 0.3139
0.9884 -2.0327 -1.320 1.4938
-0.4277 0.5021 -2.681 -1.3072
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.4967 0.7096 -2.237 1.2366
0.6373 1.4735 3.829 0.6101
1.6713 0.8996 -0.238 1.2177
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.456 -0.10539 -0.4479 0.9655
-1.883 -0.41519 2.3545 -3.4014
-1.449 0.04675 -2.9550 1.4600
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.043 0.5736 0.3936 2.2722
-2.270 0.5244 1.0914 -2.3529
1.210 0.0842 -2.2355 -0.2039
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.6356 0.2473 2.1078 2.361
-0.1408 -0.2891 3.0513 -2.085
6.4381 -0.3010 0.2061 2.325
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3300 -2.312 0.81998 2.959
-0.1593 2.424 1.04536 -2.785
0.4289 1.289 0.08951 1.586
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.18706 -0.254 -0.01498 1.124
0.07358 1.009 0.50359 -1.099
2.59783 -3.167 -0.21719 3.313
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.9086 1.7745 -0.3392 1.476
0.2721 -0.1447 -1.7647 1.754
1.6953 3.4538 2.7181 -2.254
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.6847 0.1129 1.360320 -2.478
1.6885 -0.3624 0.009966 3.606
0.3675 1.2824 1.038241 -1.837
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.3008 0.19414 3.4280 4.003
0.6236 0.18975 -0.4466 3.516
1.9530 0.02874 -1.5575 -1.176
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.976 5.248 8.787 2.161
3.496 4.775 4.070 6.755
4.154 4.792 -1.248 2.907
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.764 -0.2687 -2.481 0.5527
10.033 -0.3129 3.378 -1.4724
5.731 -0.7905 8.164 1.6255
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.861 -0.2771 -0.9006 -0.7141
-3.430 -1.7336 2.1321 0.8302
10.743 -0.1771 1.1163 -0.1919
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.4876 4.339 -1.670 1.148
-0.8680 1.812 4.239 3.728
0.3536 1.197 -2.357 4.630
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.56081 0.4761 0.2507 -0.2356
-0.43210 -0.5210 -0.8007 -0.9065
-0.08893 -1.2127 -1.0946 -0.6681
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.7733 0.2347 2.5278 227.1
-0.2229 -0.6295 1.3117 225.1
1.4930 0.3982 -0.4245 238.7
rnd_95776.volume rnd_95787.volume
8.030 0.2041
9.186 4.6899
3.410 -2.8280
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.231 1.034 55.92 1.237 1.693 0.5257 0.7025 1.641 1.832 1.294 0.9547
[2,] 1.706 1.281 61.43 1.757 2.237 0.6241 0.8292 1.998 2.351 2.184 1.2320
[3,] 1.953 1.452 63.92 2.410 2.698 0.7131 0.9393 2.181 2.635 2.561 1.4470
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.509 1.091 1.326 1.462 1.822 1.704 1.378 2.725 2.010 3.060 1.492
[2,] 1.951 1.335 1.745 1.919 2.224 2.182 2.201 3.668 2.609 3.632 1.774
[3,] 2.284 1.500 2.086 2.311 2.550 2.596 2.646 4.261 3.047 4.197 2.041
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.797 2.016 0.6218 1.437 1.491 1.572 1.323 0.7845 1.349 1.397 1.009
[2,] 5.732 2.807 0.7733 2.230 2.509 1.868 1.869 0.9840 1.788 1.794 1.245
[3,] 6.521 3.369 0.8621 2.976 3.310 2.110 2.538 1.1134 2.499 2.154 1.423
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.689 1.413 1.601 1.598 1.303 1.472 0.4235 0.8916 0.3312 1.395 1.126
[2,] 2.235 1.976 2.116 1.955 1.766 1.748 0.5070 1.2210 0.4311 1.784 1.646
[3,] 2.878 2.406 2.553 2.231 2.097 1.993 0.5902 1.3907 0.4828 2.013 2.011
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.016 0.6603 1.344 1.198 2.101 1.016 1.512 1.395 0.6844 1.302 1.266
[2,] 1.315 0.8059 1.841 1.521 2.431 1.310 2.288 1.679 0.8107 2.066 1.847
[3,] 1.527 0.8813 2.080 1.726 2.757 1.588 2.672 1.968 0.9644 2.717 2.402
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.197 0.7282 1.041 0.4920 1.057 0.8400 1.131 1.159 1.168 1.603 0.5809
[2,] 1.667 1.4978 1.347 0.5704 1.394 0.9774 1.421 1.453 1.688 2.188 0.6883
[3,] 2.275 2.0196 1.559 0.6317 1.878 1.0664 1.756 1.638 2.051 2.608 0.7804
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.409 1.260 0.9844 0.6301 1.459 1.135 1.846 1.732 1.985 1.479 0.8928
[2,] 2.090 1.534 1.6825 0.8058 1.809 1.720 2.223 2.554 2.410 2.338 1.8847
[3,] 2.371 1.724 2.1808 0.9273 2.063 1.975 2.469 2.925 2.704 2.719 2.4813
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3895 0.9368 0.9544 0.9917 0.8362 1.081 0.4046 1.081 0.9736 2.618
[2,] 0.4758 1.5818 1.1197 1.4289 0.9752 1.346 0.4798 1.607 1.2297 3.162
[3,] 0.5439 2.3053 1.2293 2.2067 1.0992 1.516 0.5401 1.946 1.3912 3.640
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.662 0.2774 0.2832 0.5260 0.5126 1.113 0.6033 1.101 11.07 4.532
[2,] 3.129 0.3996 0.5631 0.6947 0.6592 1.335 0.7773 1.427 13.07 6.002
[3,] 3.537 0.5879 0.7053 0.8539 0.8124 1.538 0.9353 1.625 14.50 7.053
[,98]
[1,] 1.886
[2,] 2.672
[3,] 3.284
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.563 1.313 71.02 1.571 2.149 0.6676 0.892 2.084
[2,] 457.088 292.363 9832.44 482.507 565.927 130.1187 170.412 440.753
[3,] 367.573 264.719 6829.39 637.837 583.344 133.3937 170.678 338.502
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.326 1.644 1.212 1.916 1.385 1.684 1.857 2.314
[2,] 570.065 680.516 301.175 478.224 297.551 438.644 480.785 492.832
[3,] 459.901 517.139 293.504 459.705 264.317 442.394 498.082 482.367
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.164 1.749 3.46 2.552 3.886 1.894 4.821 2.56
[2,] 526.837 663.904 949.73 643.304 756.475 371.612 1660.911 755.22
[3,] 543.850 567.661 838.26 608.720 813.399 389.644 1202.574 721.03
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7896 1.825 1.893 1.996 1.68 0.9962 1.713 1.774
[2,] 177.7911 659.594 780.281 390.473 510.62 229.7062 454.011 435.274
[3,] 147.4086 762.087 835.260 379.238 664.14 201.5006 675.056 461.475
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.281 2.145 1.795 2.033 2.029 1.654 1.869 0.5378
[2,] 282.150 566.380 534.355 534.861 435.963 461.385 364.232 107.7521
[3,] 266.232 700.796 530.491 552.786 415.516 437.294 370.213 116.8791
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.132 0.4205 1.771 1.429 1.29 0.8385 1.707 1.522
[2,] 322.651 106.7507 429.933 464.648 322.94 178.6697 486.361 362.417
[3,] 257.458 84.0845 361.331 446.674 300.13 137.9664 374.869 315.492
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.668 1.29 1.92 1.772 0.8691 1.653 1.607 1.52
[2,] 472.622 320.09 663.91 361.017 168.0427 620.573 520.196 448.95
[3,] 503.115 347.16 534.00 397.212 202.0305 682.169 593.843 598.89
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9247 1.321 0.6248 1.342 1.067 1.436 1.472 1.483
[2,] 506.2289 330.818 111.6194 351.225 193.241 332.924 338.726 471.395
[3,] 523.9225 303.412 105.0234 486.824 164.997 398.510 292.018 450.852
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.035 0.7376 1.789 1.599 1.25 0.8002 1.852 1.442
[2,] 576.145 142.8400 597.256 338.887 527.72 194.2784 414.033 499.902
[3,] 548.902 142.2071 432.978 304.265 536.61 177.4368 383.262 375.027
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.345 2.199 2.521 1.879 1.134 0.4946 1.19 1.212
[2,] 479.062 725.940 528.416 699.973 641.955 105.6733 492.92 226.453
[3,] 415.555 551.672 474.677 536.839 624.142 101.9133 648.60 196.227
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.259 1.062 1.372 0.5138 1.373 1.236 3.325 3.38
[2,] 397.891 194.088 310.019 99.7495 459.710 290.544 685.967 635.96
[3,] 650.365 196.123 270.025 95.8953 424.787 251.621 697.467 638.08
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.3522 0.3596 0.6679 0.651 1.413 0.7661 1.397 14.06
[2,] 111.2653 188.2401 175.5010 160.302 285.313 189.5926 351.100 2681.63
[3,] 166.7445 164.2696 192.0740 183.614 295.556 201.1713 301.062 2435.29
[,97] [,98]
[1,] 5.754 2.395
[2,] 1522.037 731.965
[3,] 1432.679 738.591
[1] "--- VAR model 2017-10-03 20:31:00 completed"
[1] "Completed training sample: 2017-10-03 20:31:00 - 2017-10-04 04:30:00"
[1] "SpVAR; training sample: 2017-10-03 21:01:00 - 2017-10-04 05:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.018 5.5741 -41.23 3.3134
-1.736 4.1531 188.34 2.4107
-3.474 0.2313 -58.50 -0.1913
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
6.66610 -0.47077 2.1237 -2.5727
7.76680 0.03445 0.9421 -2.8735
-0.08371 1.08286 -0.1581 -0.4326
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.9366 -3.6002 -3.5592 -5.572
0.5376 -1.8718 2.2569 -8.113
0.6462 -0.7518 -0.7866 -3.218
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.7591 0.2597 0.8604 2.9370
1.8923 -4.9502 -0.8793 0.3226
0.8419 -5.2667 -6.3619 -1.3926
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8026 -4.314 3.133 3.218
-3.7229 1.916 -2.534 -1.234
-4.3701 -1.081 2.696 1.231
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.281 4.089 0.1566 -3.971
4.637 -7.398 -6.6930 -4.208
-7.656 -1.319 5.2701 7.041
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1249 4.5797 15.241 0.07468
-1.1400 -1.0357 -4.226 2.32796
2.0076 -0.6703 0.338 -0.37135
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
5.782 -0.3613 -0.2402 2.2696
2.941 0.8767 9.3762 -6.4368
-1.761 1.4917 -2.5787 -0.7207
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.05995 -4.646 5.956 1.528
2.01562 8.549 3.721 2.340
1.70547 -2.347 -1.308 5.251
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.4815 2.062 3.802 0.2797
-0.8570 -2.832 3.454 -0.6483
0.3141 3.240 -2.209 0.2414
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.096 -0.3757 3.865 -2.599
-1.700 -0.1274 5.579 5.292
-1.683 0.6195 3.585 4.783
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.24078 -1.5268 -0.9975 -3.869
0.02818 0.8137 2.5460 -2.802
1.33522 0.1070 -0.2249 2.630
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.5213 2.220 -0.817 2.8680
5.3495 1.822 -4.400 -0.8936
-5.4893 -1.119 -1.140 1.2001
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.3001 -5.468 -0.5108 5.724
0.6317 7.213 1.7300 -6.638
-0.3448 -2.465 -2.5570 2.671
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.4189 -1.0431 0.2514 -0.2863
0.8807 -1.0047 1.5619 -1.4653
2.1111 -0.5658 -0.1451 2.2813
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.2979 4.561 -3.124 6.9005
-0.5462 1.563 3.111 -0.6095
-1.5655 -1.164 -1.437 0.1749
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.022 -0.05509 -2.775 -2.5439
2.995 0.08830 7.954 -0.3486
2.342 1.54838 3.076 2.0314
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.2603 3.30079 -0.7031 0.6414
8.1645 0.03849 0.6495 0.7638
1.1083 2.36582 -4.0725 -2.6641
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.295 -2.788 0.7101 -6.538
2.727 3.979 3.6610 6.124
1.664 1.351 3.0994 2.549
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.576 -1.03887 -1.812 -1.03424
2.264 -0.71764 -4.856 0.09597
3.990 0.06823 4.022 0.09503
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.464 2.513 -1.946 -0.6621
-8.184 -1.594 1.803 -0.7236
3.711 -1.920 -1.281 0.4891
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.5381 4.0087 7.076 13.233
-2.3308 3.9619 6.963 -4.141
0.6327 0.5465 -4.620 3.094
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7986 1.287 1.2425 1.0396
1.4152 1.307 1.5152 0.5236
1.1216 -1.035 -0.7446 -0.7450
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.4447 -0.2491 0.7743 241.3
-0.5058 1.2881 1.2160 212.7
3.5951 -0.3688 1.7376 246.5
rnd_95776.volume rnd_95787.volume
5.5899 -1.041
0.1282 -1.137
-5.1851 8.478
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.224 0.9358 54.83 1.188 1.666 0.4720 0.6805 1.538 1.663 1.180 0.8288
[2,] 1.643 1.1800 60.64 1.704 2.213 0.5722 0.8086 1.845 2.095 1.971 1.1102
[3,] 1.858 1.3631 63.55 2.299 2.710 0.6501 0.9111 2.009 2.328 2.276 1.2914
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.400 1.060 1.408 1.488 1.524 1.557 1.273 2.571 1.895 2.977 1.556
[2,] 1.897 1.272 1.783 1.916 1.847 2.139 2.096 3.464 2.506 3.502 1.851
[3,] 2.209 1.421 2.107 2.284 2.115 2.599 2.493 4.068 2.875 4.011 2.084
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.631 2.033 0.5436 1.420 1.501 1.536 1.338 0.7243 1.344 1.360 0.9283
[2,] 5.555 2.797 0.6643 2.193 2.362 1.751 1.895 0.8978 1.810 1.719 1.1808
[3,] 6.243 3.261 0.7527 2.897 3.098 1.930 2.480 1.0219 2.425 2.066 1.3603
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.619 1.488 1.575 1.538 1.151 1.279 0.3612 0.7938 0.3072 1.344 1.176
[2,] 2.201 2.048 2.049 1.838 1.561 1.501 0.4441 1.0757 0.4022 1.682 1.670
[3,] 2.749 2.416 2.426 2.059 1.820 1.750 0.5244 1.2152 0.4510 1.905 1.996
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.003 0.6266 1.354 1.057 1.961 1.036 1.448 1.369 0.6755 1.286 1.228
[2,] 1.264 0.7555 1.821 1.410 2.328 1.261 2.205 1.609 0.7894 1.986 1.789
[3,] 1.456 0.8385 2.085 1.586 2.641 1.532 2.550 1.848 0.9365 2.553 2.258
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.164 0.7007 0.9135 0.4670 1.024 0.8346 1.100 1.166 1.155 1.518
[2,] 1.638 1.4499 1.2571 0.5554 1.366 0.9688 1.382 1.381 1.604 2.154
[3,] 2.176 1.9146 1.4768 0.6165 1.799 1.0511 1.648 1.557 1.936 2.564
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5670 1.269 1.268 0.9571 0.6101 1.392 1.137 1.706 1.650 1.835 1.462
[2,] 0.6573 1.881 1.419 1.7206 0.7706 1.719 1.641 2.068 2.291 2.160 2.388
[3,] 0.7492 2.220 1.595 2.1442 0.8773 1.964 1.849 2.340 2.695 2.516 2.725
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.931 0.3580 0.8975 0.9275 0.9905 0.7475 1.003 0.4142 0.9885 0.8987
[2,] 1.789 0.4553 1.5619 1.0895 1.4031 0.9102 1.210 0.4826 1.5643 1.1344
[3,] 2.285 0.5154 2.3189 1.1915 2.0952 1.0363 1.381 0.5538 1.8316 1.3053
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.630 2.419 0.2587 0.2678 0.4930 0.4412 1.053 0.5465 1.060 10.95
[2,] 3.137 2.802 0.3701 0.5153 0.6521 0.5813 1.235 0.6897 1.350 13.00
[3,] 3.563 3.172 0.5262 0.6410 0.7701 0.6907 1.458 0.8249 1.566 14.49
[,97] [,98]
[1,] 4.137 1.924
[2,] 5.709 2.653
[3,] 6.711 3.217
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.554 1.188 69.63 1.509 2.116 0.5994 0.8642 1.953
[2,] 504.847 331.212 11931.56 562.609 671.103 149.0247 201.1561 469.627
[3,] 400.262 314.340 8759.08 711.251 720.984 142.1485 193.4599 366.348
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.112 1.499 1.053 1.778 1.346 1.788 1.89 1.935
[2,] 587.314 727.278 340.294 589.228 323.987 503.740 556.21 480.925
[3,] 467.101 524.085 303.960 521.419 292.336 517.919 572.16 474.681
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.977 1.617 3.265 2.406 3.78 1.976 4.611 2.582
[2,] 675.651 766.729 1069.578 755.939 849.85 462.357 1936.766 885.018
[3,] 680.179 622.582 982.496 649.184 900.72 440.460 1312.371 772.628
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6903 1.804 1.906 1.951 1.7 0.9198 1.707 1.727
[2,] 175.9548 769.912 840.112 387.406 617.9 244.3935 558.798 484.200
[3,] 163.0585 872.292 923.860 373.918 737.0 224.8455 743.385 528.374
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.179 2.056 1.889 2.0 1.953 1.461 1.624 0.4587
[2,] 336.216 687.003 648.649 604.2 464.083 486.095 362.121 119.0072
[3,] 311.185 758.923 590.152 598.6 427.130 431.365 414.428 128.5019
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.008 0.3901 1.707 1.494 1.273 0.7956 1.719 1.343
[2,] 334.489 119.6251 466.053 546.422 354.401 194.5121 560.803 429.749
[3,] 260.391 93.9600 412.260 503.518 333.621 167.5716 468.475 334.153
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.49 1.315 1.839 1.738 0.8577 1.632 1.559 1.478
[2,] 577.48 331.272 766.231 389.575 188.2211 697.278 599.607 530.829
[3,] 575.33 400.853 590.002 418.973 232.1217 739.122 634.641 659.851
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 0.8897 1.16 0.593 1.3 1.06 1.397 1.481 1.466 1.928
[2,] 584.8008 397.92 138.485 416.5 226.65 385.721 340.831 513.128 704.382
[3,] 576.0623 357.04 123.308 539.6 187.88 413.737 331.047 498.967 640.886
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7201 1.611 1.61 1.215 0.7747 1.768 1.444 2.167
[2,] 153.1367 639.456 293.32 658.748 216.8670 464.943 545.008 538.356
[3,] 165.6684 543.719 335.34 589.472 193.1846 437.056 392.482 504.425
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.096 2.33 1.857 1.182 0.4545 1.14 1.178 1.258
[2,] 731.807 525.28 869.680 703.771 129.6027 588.91 263.417 457.885
[3,] 653.887 594.37 605.437 654.701 111.2845 789.68 222.187 716.854
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 0.9492 1.274 0.526 1.255 1.141 3.34 3.071 0.3285
[2,] 239.3042 311.535 114.072 558.544 318.947 788.08 651.929 121.9443
[3,] 228.2025 306.639 125.177 438.937 297.480 777.96 684.459 172.3374
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.3401 0.6261 0.5602 1.337 0.694 1.346 13.91 5.254
[2,] 202.8032 196.6233 174.3786 296.920 193.840 384.914 3228.95 1812.545
[3,] 175.6698 188.7462 171.8821 357.008 208.433 366.257 2949.02 1625.597
[,98]
[1,] 2.443
[2,] 841.584
[3,] 838.632
[1] "--- VAR model 2017-10-03 21:01:00 completed"
[1] "Completed training sample: 2017-10-03 21:01:00 - 2017-10-04 05:00:00"
[1] "SpVAR; training sample: 2017-10-03 21:31:00 - 2017-10-04 05:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
9.944 -5.5239 1.797 11.018
9.056 -0.3336 153.505 1.099
6.513 5.6840 -27.698 7.350
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
6.143 0.01068 0.8833 12.91
-1.960 -0.32177 -0.5232 -3.93
-1.409 1.59025 -1.1580 11.64
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.3394 0.6408 2.737 -10.646
12.3024 10.0195 -1.832 1.352
0.3465 0.5516 4.912 1.948
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
6.338 -0.3119 -3.820 3.157
-1.491 4.3174 -1.387 -1.552
5.858 6.6747 12.323 2.277
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
6.263 3.007 -21.2257 -3.143
-2.154 -3.487 -0.5107 -1.981
6.640 7.748 -7.4734 -1.059
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
20.6075 -2.8379 16.08 -5.518
0.8924 -3.5364 11.37 17.712
9.3952 -0.8003 19.46 -3.015
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.6511 -3.8326 -1.759 3.814
2.1557 6.5332 3.515 -1.538
-0.9396 0.4645 9.730 1.227
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
12.769 0.7063 4.164 5.5959
-3.899 -1.2263 5.394 0.4826
13.782 -3.4134 5.125 10.1661
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.576 5.787 -0.3177 -0.1791
5.741 10.806 0.1553 1.6094
-4.051 5.176 2.8832 5.8023
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.0434 5.869 -5.860 0.2423
0.5951 6.636 -6.030 0.2519
1.0416 -3.760 5.707 0.2402
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.996 0.1073 2.6904 8.2503
-1.050 -0.8615 4.3936 0.4167
-1.623 0.3025 0.7121 5.7289
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.7033 2.150 3.276 0.9708
-0.4791 -1.671 5.931 -6.8300
0.4910 1.018 9.421 2.2676
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.523 -3.387 7.470 -0.1911
-0.360 4.104 -1.766 -8.2636
7.705 2.946 3.684 -7.9717
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.097 13.652 7.179 0.9735
1.983 3.653 8.289 8.9761
-1.388 -3.114 -1.750 -0.9207
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.2406 2.6534 -0.8347 -0.3081
6.0090 2.8544 0.1697 4.7686
8.6418 0.1783 0.1663 7.7218
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.4078 1.803 4.9499 3.8049
0.1213 1.547 -6.8824 3.1792
-3.3122 4.134 -0.3276 0.9954
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.2878 0.4568 5.112 -1.856
6.2642 -0.3554 6.099 0.179
0.9604 0.1535 -0.934 -2.043
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.1570 0.9164 11.121 14.404
0.1262 1.4857 6.478 10.504
6.1837 1.5144 3.693 5.722
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-10.1378 -2.840 -17.952 -2.779
-12.1532 6.047 5.841 -4.003
0.6328 1.684 -5.509 3.377
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.988 -0.01074 0.4451 1.9474
-1.713 1.21290 -5.5107 0.8054
3.851 -0.37819 5.1232 -2.3213
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.837 2.997 2.139 -2.0126
-5.790 -4.043 -1.896 0.7393
-2.986 -2.846 0.577 1.0198
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.9451 -2.906 -5.123 -4.572
5.8799 1.852 5.734 11.095
-0.9254 3.032 5.036 -5.674
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.4584 -0.3153 -0.6017 -0.1369
0.3068 0.2288 1.0599 1.7274
0.5315 1.9172 -1.4840 -2.4766
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.3347 0.7193 0.4598 238.8
0.1254 -1.1483 4.8834 223.3
0.4523 1.1263 2.3424 196.7
rnd_95776.volume rnd_95787.volume
17.055 -8.482
11.789 15.571
7.078 -4.553
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.247 0.8924 54.64 1.173 1.492 0.4315 0.7002 1.531 1.669 1.201 0.9312
[2,] 1.702 1.0653 60.33 1.740 2.140 0.5140 0.8202 1.907 2.169 1.946 1.1931
[3,] 1.879 1.2298 62.89 2.413 2.667 0.5844 0.9098 2.112 2.473 2.355 1.3489
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.366 1.050 1.466 1.414 1.486 1.528 1.124 2.725 1.803 3.235 1.464
[2,] 1.955 1.244 1.920 1.939 1.804 2.130 1.976 3.571 2.405 3.731 1.798
[3,] 2.278 1.408 2.272 2.315 2.072 2.555 2.459 4.249 2.742 4.212 2.003
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.474 1.824 0.4849 1.445 1.518 1.423 1.351 0.6581 1.306 1.322 0.9067
[2,] 5.580 2.652 0.6052 2.292 2.415 1.654 1.914 0.8166 1.823 1.635 1.1427
[3,] 6.352 3.149 0.6917 3.008 3.176 1.790 2.611 0.9128 2.486 1.964 1.2935
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.512 1.392 1.395 1.460 1.127 1.236 0.3293 0.7316 0.2839 1.386 1.174
[2,] 2.114 1.977 1.909 1.742 1.548 1.447 0.3961 0.9838 0.3674 1.659 1.749
[3,] 2.627 2.386 2.331 1.906 1.759 1.641 0.4777 1.1276 0.4102 1.856 1.976
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9462 0.6127 1.287 1.111 1.826 1.029 1.322 1.292 0.6259 1.179 1.142
[2,] 1.1901 0.7108 1.719 1.396 2.217 1.290 2.058 1.554 0.7306 1.786 1.656
[3,] 1.3869 0.7958 1.994 1.543 2.491 1.479 2.430 1.779 0.8886 2.383 2.137
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.097 0.6624 0.8818 0.4601 0.9217 0.8261 1.055 1.144 1.192 1.253
[2,] 1.572 1.3572 1.1599 0.5571 1.2995 0.9516 1.300 1.315 1.558 1.826
[3,] 2.052 1.7685 1.3128 0.6236 1.7068 1.0447 1.584 1.474 1.895 2.172
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5806 1.246 1.163 0.9476 0.6067 1.479 1.188 1.663 1.636 1.752 1.473
[2,] 0.6646 1.825 1.302 1.6322 0.7640 1.787 1.776 2.051 2.327 2.052 2.304
[3,] 0.7605 2.129 1.443 1.9584 0.8864 2.040 1.971 2.284 2.641 2.379 2.619
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.9477 0.3321 0.8809 0.8409 0.9256 0.7288 0.9769 0.4053 0.975 0.885
[2,] 1.7360 0.4307 1.5099 1.0002 1.3391 0.9045 1.1840 0.4763 1.408 1.066
[3,] 2.3065 0.4880 2.2400 1.0920 2.0077 1.0187 1.3332 0.5355 1.702 1.195
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.344 2.120 0.2658 0.2798 0.4513 0.4288 1.016 0.4853 0.9111 11.00
[2,] 2.940 2.445 0.3564 0.5082 0.5934 0.5518 1.189 0.5910 1.2319 12.88
[3,] 3.275 2.822 0.5029 0.6073 0.7096 0.6624 1.388 0.7009 1.4624 14.54
[,97] [,98]
[1,] 4.125 1.710
[2,] 5.620 2.549
[3,] 6.519 3.076
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.583 1.133 69.39 1.489 1.894 0.5479 0.8891 1.944
[2,] 561.343 281.915 12388.14 622.838 743.078 135.3493 206.9635 550.828
[3,] 385.328 297.717 8615.90 810.165 771.823 134.6729 190.6951 439.250
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.12 1.525 1.182 1.735 1.333 1.862 1.795 1.887 1.94
[2,] 670.96 741.700 361.397 677.538 323.092 600.462 643.292 495.121 718.85
[3,] 575.94 643.068 304.941 566.377 320.204 588.589 612.436 494.504 684.32
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.428 3.46 2.29 4.108 1.86 4.411 2.316 0.6157
[2,] 787.360 1117.94 770.79 900.374 505.29 2115.676 932.808 175.4288
[3,] 709.082 1116.09 638.85 947.872 428.24 1470.594 822.508 162.3642
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 1.834 1.927 1.807 1.715 0.8357 1.658 1.678 1.151
[2,] 861.873 910.480 408.833 656.967 234.2073 616.543 465.995 336.981
[3,] 944.421 998.816 331.011 860.536 197.6632 818.661 527.082 293.657
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.92 1.768 1.771 1.854 1.431 1.57 0.4181 0.929
[2,] 715.89 679.891 631.699 460.268 514.426 363.92 106.6765 318.668
[3,] 755.71 647.975 647.614 374.111 404.004 375.57 129.4186 266.947
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.3605 1.761 1.491 1.202 0.778 1.634 1.411 2.319
[2,] 112.9695 441.083 627.911 349.754 174.594 552.249 409.585 608.992
[3,] 88.4487 403.361 445.539 345.044 173.394 489.583 318.882 550.875
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.306 1.678 1.64 0.7948 1.498 1.45 1.393 0.8411
[2,] 376.803 764.417 418.38 182.6151 649.743 580.98 545.597 573.9321
[3,] 350.755 626.357 419.79 245.0969 764.514 654.33 638.589 549.3300
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.12 0.5843 1.17 1.049 1.34 1.453 1.514 1.591
[2,] 365.07 152.1638 443.84 228.883 367.78 313.492 485.737 643.531
[3,] 297.88 135.7652 536.13 208.816 438.20 323.114 522.924 569.333
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7373 1.582 1.477 1.203 0.7704 1.878 1.509 2.112
[2,] 156.6664 645.845 283.898 643.899 225.0006 486.109 639.235 581.308
[3,] 179.1172 531.366 301.804 524.292 217.6975 476.576 414.403 486.895
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.078 2.225 1.87 1.203 0.4217 1.119 1.068 1.175
[2,] 801.741 517.185 858.64 704.713 132.8431 594.138 262.421 468.864
[3,] 605.283 583.366 603.51 735.796 111.1928 801.650 212.260 724.756
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 0.9255 1.241 0.5146 1.238 1.124 2.976 2.693 0.3375
[2,] 259.5427 324.097 121.2514 492.106 287.515 860.297 590.246 115.0817
[3,] 227.0289 296.927 118.5788 463.005 262.231 699.017 682.861 171.8962
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.3553 0.5731 0.5445 1.29 0.6163 1.157 13.96 5.238
[2,] 205.5246 186.6573 168.2445 299.68 163.3585 401.747 3250.57 1849.222
[3,] 161.1401 188.5541 177.5660 346.69 182.6129 381.801 3269.75 1600.580
[,98]
[1,] 2.171
[2,] 915.957
[3,] 834.377
[1] "--- VAR model 2017-10-03 21:31:00 completed"
[1] "Completed training sample: 2017-10-03 21:31:00 - 2017-10-04 05:30:00"
[1] "SpVAR; training sample: 2017-10-03 22:01:00 - 2017-10-04 06:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.0467 -1.658 -86.30 -2.469
-0.6278 -3.900 151.28 -5.488
-5.7950 -6.179 28.83 -15.716
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.548 2.2653 6.5062 -0.6521
-20.539 -2.9443 7.8331 -11.8666
-6.084 -0.3476 0.3572 -2.6890
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.186 14.950 13.7617 -5.085
-5.523 -1.491 -0.1363 -27.093
-10.174 -19.978 -4.2643 -9.963
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
6.3778 5.491 -6.873 8.454
-3.7187 -1.169 -2.564 -8.171
0.8617 -5.411 -15.040 -6.416
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.847 -5.74157 3.435 -3.920
-4.694 -0.06415 15.886 15.393
-23.502 -6.40190 8.266 9.156
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.8562 -10.8612 -23.074 17.271
0.9521 0.5431 1.419 -27.346
-13.5913 -4.5418 -8.043 -1.502
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.372 5.538 -7.718 3.701
2.623 -23.119 4.983 -1.989
3.280 1.257 -10.688 10.642
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.960 2.086 -3.050 -9.887
4.926 2.512 -9.236 -1.518
-14.428 -1.948 -8.082 7.931
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.881 -13.56 -0.346 15.99
3.808 -16.17 -18.892 -11.20
-2.249 1.51 -9.353 -21.72
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.0123 -5.339 2.959 -1.73331
2.0614 1.967 -8.658 -0.09635
-0.1219 3.337 -4.346 2.62243
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.4430 -0.5506 1.348 -0.07509
1.5115 -0.8283 1.320 6.52003
0.6044 0.4017 -20.476 -3.81144
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.06151 -0.5337 -6.129 4.177
6.41889 -0.9933 -7.209 6.036
5.64843 0.8581 9.110 -2.556
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.7203 -0.2908 4.576 2.3591
0.6744 -4.0383 -9.504 2.3729
-8.3586 1.9799 9.146 0.6934
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.324 7.999 2.523 -0.9262
1.811 1.068 -7.248 4.1223
3.701 -4.301 -10.232 -5.4957
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.845 11.564 -4.028 1.583
7.728 9.027 4.118 4.764
-10.284 -3.244 1.791 8.983
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.245 -1.070 3.7606 5.189
-1.439 1.724 0.9018 -1.004
-3.763 4.452 1.7577 2.178
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.8974 3.627 1.278 4.2556
-7.2242 4.003 -15.807 0.7172
6.5474 -1.375 -1.980 3.7565
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.9920 2.473 2.4762 -1.9349
-0.4067 2.899 -0.9209 -0.5029
-5.4703 1.665 -5.8025 0.6962
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.809 -2.618 1.842 0.896
4.822 9.070 5.053 8.374
-1.280 -8.917 -8.428 2.166
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.155 3.2576 -11.472 1.524
-5.189 0.5177 1.463 3.462
10.418 -1.7554 17.731 3.299
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.878 -5.0862 2.155 1.551
2.647 -0.1161 7.836 2.887
3.677 -1.7063 1.588 1.055
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.922 -3.941 -17.174 13.314
-10.291 -1.990 -28.365 8.394
7.443 -3.845 7.762 8.955
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.120 -3.4330 -1.084 -2.528
-2.666 -2.8054 -3.515 -2.236
1.256 -0.4415 -1.605 -1.251
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.2756 -0.89732 0.9988 249.2
6.2561 -0.05458 -7.5979 201.8
0.7678 1.62818 -6.6557 202.7
rnd_95776.volume rnd_95787.volume
16.572 21.017
-7.158 -18.489
-9.949 -2.927
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.251 0.7891 56.10 1.125 1.308 0.4249 0.7322 1.880 1.882 1.202 0.9394
[2,] 1.738 0.9425 61.03 1.777 2.043 0.5002 0.8791 2.242 2.301 2.205 1.2009
[3,] 1.959 1.0704 63.61 2.472 2.626 0.5756 1.0162 2.468 2.555 2.552 1.3888
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.313 1.087 1.631 1.444 1.603 1.603 1.217 2.791 1.690 3.156 1.442
[2,] 2.109 1.269 2.076 1.919 1.889 2.202 2.158 3.707 2.337 3.582 1.801
[3,] 2.429 1.422 2.575 2.395 2.108 2.625 2.565 4.295 2.800 4.129 2.019
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.489 1.912 0.5067 1.498 1.569 1.385 1.238 0.6228 1.405 1.576 0.9217
[2,] 5.901 2.777 0.6203 2.353 2.457 1.645 1.917 0.8086 1.983 1.883 1.1470
[3,] 6.666 3.345 0.6829 3.150 3.324 1.851 2.645 0.9171 2.665 2.156 1.2912
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.591 1.384 1.358 1.513 1.218 1.106 0.3178 0.7399 0.2841 1.334 1.124
[2,] 2.208 2.025 2.061 1.818 1.556 1.349 0.3811 0.9455 0.3747 1.617 1.700
[3,] 2.749 2.469 2.626 2.036 1.799 1.504 0.4568 1.0635 0.4223 1.843 2.045
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9973 0.6168 1.367 1.099 1.763 1.064 1.301 1.206 0.6520 1.152 1.123
[2,] 1.2564 0.7182 1.746 1.378 2.095 1.288 2.105 1.405 0.7702 1.788 1.631
[3,] 1.4044 0.7939 2.040 1.550 2.340 1.438 2.475 1.659 0.9283 2.342 2.202
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.103 0.7249 0.7536 0.4590 0.928 0.8239 1.064 0.9781 1.133 1.323
[2,] 1.587 1.3723 1.0515 0.5788 1.294 0.9365 1.265 1.1665 1.429 1.896
[3,] 2.047 1.8011 1.2005 0.6683 1.662 1.0330 1.544 1.3125 1.740 2.190
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5769 1.214 1.099 0.9434 0.5945 1.501 1.159 1.627 1.660 1.801 1.410
[2,] 0.6710 1.811 1.242 1.6040 0.7526 1.809 1.722 1.987 2.426 2.085 2.284
[3,] 0.7675 2.111 1.377 1.9487 0.8714 1.998 1.949 2.218 2.719 2.373 2.620
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.9337 0.3189 0.9216 0.8340 0.9596 0.6063 0.9464 0.3710 0.9788 0.7793
[2,] 1.7625 0.4094 1.5582 0.9612 1.3890 0.7947 1.1689 0.4437 1.3926 0.9344
[3,] 2.3688 0.4743 2.1764 1.0347 2.1754 0.9177 1.3321 0.5062 1.6561 1.0616
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.389 1.997 0.2840 0.2716 0.4412 0.4226 0.992 0.4410 0.8234 11.30
[2,] 3.003 2.345 0.3823 0.5012 0.5842 0.5536 1.193 0.5168 1.1316 13.12
[3,] 3.319 2.727 0.5184 0.5932 0.6731 0.6316 1.405 0.6052 1.3618 14.73
[,97] [,98]
[1,] 4.415 1.838
[2,] 5.592 2.710
[3,] 6.417 3.234
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.589 1.002 71.24 1.428 1.661 0.5396 0.9298 2.387
[2,] 675.973 288.817 13468.99 771.273 879.579 147.9283 272.6592 684.449
[3,] 506.638 284.409 10057.76 963.400 924.848 159.6265 285.7390 579.139
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.389 1.526 1.193 1.667 1.38 2.071 1.834 2.036
[2,] 742.479 1035.952 419.316 925.038 367.10 720.105 707.846 559.925
[3,] 622.565 720.436 390.978 675.430 359.64 854.207 803.774 524.775
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.035 1.546 3.544 2.146 4.007 1.831 4.431 2.428
[2,] 846.662 998.948 1367.724 905.037 949.805 604.940 2667.526 1128.675
[3,] 800.955 777.074 1214.939 864.460 1150.780 511.102 1737.668 1045.826
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6434 1.902 1.992 1.759 1.572 0.7908 1.784 2.001
[2,] 200.5312 1017.208 1059.729 497.114 820.428 289.0517 784.529 578.007
[3,] 160.1557 1173.518 1254.843 476.001 1021.397 242.5083 997.673 588.260
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.17 2.021 1.758 1.724 1.921 1.546 1.405 0.4036
[2,] 382.61 857.614 828.489 868.932 565.244 542.491 432.938 117.8772
[3,] 332.44 917.802 791.284 912.385 513.756 506.560 372.017 141.1584
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9396 0.3608 1.694 1.428 1.266 0.7832 1.736 1.395
[2,] 329.9336 136.9262 512.778 714.417 428.342 206.1737 608.985 466.554
[3,] 272.9136 109.1410 495.150 637.872 351.762 189.6556 591.614 397.376
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.239 1.352 1.652 1.531 0.828 1.462 1.426 1.4
[2,] 634.639 406.805 927.554 403.787 229.818 766.402 663.177 640.1
[3,] 584.338 357.637 729.224 494.479 290.427 848.113 828.954 724.2
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9205 0.9569 0.5829 1.178 1.046 1.351 1.242 1.439
[2,] 653.1090 411.0013 197.5917 505.868 249.511 383.112 356.252 487.691
[3,] 653.8249 324.7340 187.3227 584.222 244.352 496.562 337.261 556.426
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.68 0.7325 1.541 1.395 1.198 0.755 1.906 1.471
[2,] 761.69 192.1013 753.586 324.867 727.095 258.658 565.820 713.728
[3,] 614.14 208.7997 607.232 332.709 620.299 246.182 475.306 512.314
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.066 2.108 2.287 1.79 1.186 0.405 1.17 1.059
[2,] 639.641 991.137 588.792 1006.92 837.911 143.880 704.24 267.836
[3,] 552.350 688.548 634.488 719.90 887.049 134.197 851.67 214.704
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.219 0.7699 1.202 0.4711 1.243 0.9896 3.034 2.536
[2,] 562.888 288.0108 384.535 136.4200 555.280 288.9420 1020.021 689.132
[3,] 938.410 257.2267 358.066 136.5482 502.305 282.5018 792.036 780.198
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.3607 0.3449 0.5603 0.5366 1.26 0.56 1.046 14.35
[2,] 143.4364 236.0807 214.6631 200.4339 371.04 151.07 435.099 3737.13
[3,] 196.2340 177.8499 187.3220 170.4631 416.37 176.50 424.654 3747.95
[,97] [,98]
[1,] 5.606 2.334
[2,] 1923.724 1115.952
[3,] 1763.973 989.494
[1] "--- VAR model 2017-10-03 22:01:00 completed"
[1] "Completed training sample: 2017-10-03 22:01:00 - 2017-10-04 06:00:00"
[1] "SpVAR; training sample: 2017-10-03 22:31:00 - 2017-10-04 06:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-10.515 7.256 338.30 -6.385
11.400 -6.507 146.01 -14.149
3.167 -1.845 -85.67 -5.338
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-28.77 0.7841 2.293 28.901
-16.75 -1.1251 5.913 -0.219
-23.85 -3.8592 9.712 17.927
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
21.958 26.749 1.969 -12.05
14.784 -3.060 9.821 -14.71
5.134 3.101 -1.551 -29.88
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.3503 11.7990 11.857 -7.442
-4.7773 -12.4532 3.989 2.273
3.1739 0.3655 9.584 -3.631
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
19.0877 10.809 33.094 19.00
18.5028 13.828 36.713 13.40
-0.1698 6.114 4.448 17.85
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
20.2063 10.876 -12.673 -2.541
0.4861 -3.428 12.731 -5.752
-2.8512 -2.829 -5.316 2.473
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
7.700 -0.3111 -46.7428 -6.592
-5.409 -15.8110 10.0305 -2.722
4.085 4.4062 -0.3715 20.874
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.727 -2.047 9.444 -19.464
-1.050 -1.006 -30.870 -8.587
-6.222 2.003 10.384 -4.788
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.4079 1.212 -38.009 -32.97
-6.1112 -39.242 2.244 17.75
-0.2135 11.779 -31.762 -37.53
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
12.31 5.813 11.475 2.191
-3.83 6.277 -6.833 3.906
-13.46 3.186 -3.254 -1.305
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.613 0.2284 -12.621 1.458
4.940 0.7070 0.620 -18.745
3.056 -2.7832 -6.603 7.841
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-8.073 -1.973 -2.677 -1.011
6.962 2.128 -4.661 -2.176
3.841 -0.416 -11.199 7.873
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.36 2.8469 -7.300 -2.497
11.68 0.4248 -2.083 4.688
16.57 -5.2287 17.175 -1.648
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.368 8.9946 17.244 15.315
3.765 2.5755 -2.889 -2.017
3.647 0.5098 -6.452 3.312
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.6536 -1.382 -3.7144 12.172
12.1289 6.726 0.9076 14.017
0.6053 1.566 2.4763 4.605
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.336 -2.584 8.659 8.252
5.129 8.633 1.786 4.755
3.532 13.000 2.890 1.939
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.357 -4.6513 11.698 3.907
-3.772 -0.7926 6.585 1.831
13.580 -0.1567 8.644 -1.491
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
14.766 5.6286 10.03 -8.400
7.340 -0.5597 10.42 6.346
8.495 7.4321 14.60 8.838
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-8.552 -1.071 -12.4649 1.512
-10.559 6.532 -14.2516 -18.725
-15.054 -2.163 0.9368 5.173
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.708 -2.2211 -6.513 5.884
-8.666 -0.8016 -4.438 5.285
-12.525 -0.6591 -19.612 3.217
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.044 1.504 0.2672 -3.858
27.391 7.120 -3.3658 -2.533
-15.571 -2.152 6.6471 -2.188
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.4426 6.726 0.6973 -11.62
-3.6474 -2.797 -25.3029 -5.08
15.5680 -1.757 -10.8457 20.50
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.467 4.671 2.040 -2.006
2.598 0.238 1.935 3.101
2.343 4.187 1.754 3.053
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.595 -4.5832 -2.200 291.9
6.109 0.3726 -4.645 190.0
5.085 -2.9807 -7.853 262.4
rnd_95776.volume rnd_95787.volume
-9.513 15.235
60.650 -3.687
-35.805 7.675
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.348 0.7367 56.33 1.263 1.310 0.3678 0.7441 1.860 1.914 1.455 0.9522
[2,] 1.811 0.8984 61.37 1.946 2.233 0.4350 0.9152 2.339 2.480 2.516 1.2378
[3,] 2.053 1.0021 63.70 2.703 2.842 0.5088 1.0394 2.628 2.831 2.967 1.4334
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.365 1.109 1.725 1.556 1.340 1.573 1.192 2.917 1.692 3.158 1.397
[2,] 2.127 1.324 2.241 2.060 1.511 2.291 2.090 3.709 2.322 3.676 1.727
[3,] 2.582 1.476 2.763 2.566 1.688 2.916 2.577 4.362 2.863 4.207 1.938
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.914 2.046 0.5047 1.594 1.627 1.368 1.364 0.6368 1.451 1.605 0.981
[2,] 6.231 2.840 0.6098 2.573 2.488 1.640 2.108 0.7737 2.027 1.925 1.224
[3,] 6.941 3.360 0.6575 3.338 3.418 1.834 2.915 0.9035 2.780 2.199 1.366
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.661 1.369 1.374 1.529 1.138 1.105 0.3328 0.7980 0.2684 1.319 1.120
[2,] 2.277 2.163 2.107 1.836 1.490 1.317 0.3972 0.9591 0.3543 1.637 1.605
[3,] 2.915 2.732 2.832 2.128 1.783 1.456 0.4588 1.1228 0.4140 1.986 2.037
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.057 0.6010 1.313 1.173 1.660 0.9927 1.317 1.159 0.6731 1.178 1.113
[2,] 1.300 0.7129 1.714 1.395 1.925 1.1913 2.112 1.390 0.7986 1.711 1.579
[3,] 1.462 0.7887 2.020 1.579 2.142 1.3280 2.553 1.605 0.8965 2.226 2.016
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.124 0.7709 0.8744 0.5065 0.8621 0.7991 1.105 0.9564 1.188 1.299
[2,] 1.607 1.3574 1.0748 0.6101 1.2896 0.9150 1.312 1.1340 1.529 1.880
[3,] 2.016 1.7632 1.2510 0.6729 1.7021 1.0105 1.616 1.2692 1.846 2.142
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5790 1.207 1.051 0.9877 0.5618 1.558 1.211 1.654 1.722 1.860 1.531
[2,] 0.6935 1.745 1.207 1.7254 0.6855 1.876 1.741 1.993 2.408 2.180 2.410
[3,] 0.7974 2.016 1.361 2.0843 0.8133 2.081 2.016 2.189 2.703 2.454 2.768
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.9724 0.3024 1.045 0.8361 1.029 0.6444 0.8634 0.3881 0.9696 0.7286
[2,] 1.9083 0.3797 1.705 0.9460 1.483 0.8048 1.0781 0.4530 1.3660 0.8845
[3,] 2.4582 0.4447 2.401 1.0411 2.432 0.9105 1.2276 0.5116 1.6385 1.0003
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.474 2.097 0.3266 0.2875 0.3952 0.3533 0.9531 0.4602 0.8425 11.43
[2,] 3.045 2.509 0.4518 0.4936 0.5122 0.4819 1.1333 0.5734 1.1360 12.98
[3,] 3.332 2.880 0.5519 0.5856 0.6075 0.5754 1.2907 0.6513 1.3533 14.44
[,97] [,98]
[1,] 3.961 2.038
[2,] 5.326 2.745
[3,] 6.264 3.291
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.712 0.9355 71.54 1.603 1.664 0.467 0.9449 2.362
[2,] 698.958 297.3296 14073.06 856.236 1045.634 134.367 308.0694 820.295
[3,] 559.808 256.7342 9885.81 1085.125 1016.857 152.589 284.9830 692.788
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.431 1.847 1.209 1.733 1.409 2.191 1.976 1.701
[2,] 911.790 1186.915 457.327 943.544 418.442 826.968 780.623 404.656
[3,] 788.988 909.027 418.000 846.219 376.290 935.128 884.909 434.639
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.998 1.513 3.705 2.149 4.01 1.774 4.97 2.598
[2,] 962.996 992.664 1324.473 919.728 1088.43 586.841 2803.19 1139.145
[3,] 1042.829 871.722 1327.564 968.584 1182.42 508.523 1768.84 1038.640
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6409 2.024 2.067 1.737 1.732 0.8086 1.843 2.038
[2,] 197.9065 1168.401 1088.492 523.071 929.793 254.1133 818.008 614.631
[3,] 142.2382 1229.086 1354.737 474.806 1164.426 269.8098 1100.186 614.369
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.246 2.109 1.739 1.745 1.942 1.445 1.403 0.4226
[2,] 423.435 900.744 968.463 923.327 588.160 556.309 414.226 125.3528
[3,] 350.064 1052.493 964.772 1094.893 621.769 566.764 359.836 132.7781
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.013 0.3408 1.675 1.422 1.342 0.7631 1.668 1.49
[2,] 307.606 133.7151 560.871 664.838 437.581 221.7566 636.933 435.93
[3,] 337.579 123.8734 650.374 724.908 387.521 195.0883 618.598 428.70
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.108 1.261 1.672 1.472 0.8547 1.496 1.414 1.427
[2,] 563.408 380.865 955.092 443.664 248.5360 717.698 647.138 664.098
[3,] 543.001 339.438 828.999 463.857 235.6078 823.090 724.892 704.104
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9789 1.11 0.6432 1.095 1.015 1.403 1.215 1.508
[2,] 646.1099 361.47 196.6772 554.644 257.702 409.101 352.314 556.654
[3,] 650.6793 370.14 164.1358 642.406 248.028 546.174 329.628 597.967
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.65 0.7352 1.532 1.334 1.254 0.7134 1.979 1.538
[2,] 785.36 220.7232 728.536 343.959 818.093 227.0999 604.625 723.333
[3,] 593.68 227.6043 584.239 362.795 676.246 253.1323 520.274 588.234
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.101 2.186 2.362 1.944 1.235 0.3839 1.327 1.062
[2,] 642.628 973.926 657.166 1076.146 949.482 132.8305 778.691 255.832
[3,] 523.839 709.567 651.749 788.040 896.060 133.8083 977.902 251.480
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.307 0.8183 1.096 0.4929 1.231 0.9253 3.142 2.663
[2,] 617.111 278.7895 373.382 135.0739 556.438 289.9434 1026.505 796.059
[3,] 1114.539 246.2408 339.535 137.4692 523.242 270.2063 781.431 818.575
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4148 0.3651 0.5019 0.4486 1.21 0.5844 1.07 14.51
[2,] 180.4979 232.0472 188.4308 189.5081 354.55 197.7309 440.68 3558.48
[3,] 183.3230 182.1382 188.9064 181.8117 357.17 178.6441 425.32 3664.90
[,97] [,98]
[1,] 5.03 2.588
[2,] 2058.95 1062.986
[3,] 1906.16 1049.874
[1] "--- VAR model 2017-10-03 22:31:00 completed"
[1] "Completed training sample: 2017-10-03 22:31:00 - 2017-10-04 06:30:00"
[1] "SpVAR; training sample: 2017-10-03 23:01:00 - 2017-10-04 07:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
19.657 18.773 17.71 -28.508
1.101 1.092 -269.96 -8.673
-6.782 -7.433 -27.19 11.185
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.664 -0.3636 -0.6731 38.91
-28.912 -1.7000 6.4495 17.06
3.276 3.0129 4.5165 12.13
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
18.447 19.108 -2.239 15.783
31.374 36.417 -8.344 26.497
-8.945 2.844 3.369 -1.216
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.424 1.449 1.973 -9.935
-10.880 33.860 25.441 -8.901
-3.111 11.281 19.580 25.990
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.253 -0.9701 21.57 12.425
-5.208 6.6453 -14.29 26.238
46.617 25.5457 25.20 8.258
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.493 7.651 27.35 18.388
58.848 12.205 -95.95 -9.621
-2.634 -11.540 35.90 -31.670
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.324 14.79 -21.241 14.68
3.274 19.36 8.749 3.57
4.607 -51.59 -27.840 12.30
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-17.944 -3.3994 -35.896 3.670
4.805 -0.0552 -3.385 -12.756
-12.418 0.6669 15.371 -3.058
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.128 14.8467 -12.85 -3.153
-7.247 -4.9299 -12.96 -1.946
-4.148 0.3067 -11.82 -1.873
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.242 -0.6963 -9.457 -0.0214
8.766 38.7101 -7.593 -6.6547
-14.780 -3.1284 8.767 3.3917
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-8.3107 -4.941 6.720 18.271
-0.4939 -0.900 13.592 -14.293
-5.6412 4.005 -6.872 -4.975
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1999 3.719 -24.505 -0.7355
5.0914 5.621 20.881 -2.2043
4.4658 4.154 -2.212 -6.7080
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
25.313 7.229 11.86 21.770
-19.068 11.653 -7.10 4.484
8.622 7.679 -32.53 -4.873
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
10.295 0.9873 3.449 -16.740
3.738 4.9236 4.093 8.616
-1.520 -17.0779 -21.754 3.250
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.023 6.663 -4.938 17.991
8.932 7.448 -3.413 2.653
-0.769 -10.892 -1.474 2.102
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.261 8.132 -3.18377 4.877
1.496 -8.659 -0.01373 -12.210
2.881 5.306 1.55020 -7.947
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
21.10 6.7965 6.719 -14.174
10.57 3.6875 6.115 -7.232
-15.62 0.9618 3.353 1.181
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
13.88964 -1.663 4.781 -4.894
0.01383 6.578 11.574 -4.206
-3.22679 6.618 -1.469 12.727
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
25.69 31.230 43.821 18.66
-14.03 -13.999 29.972 20.78
17.41 2.564 4.461 13.45
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
22.409 2.77341 9.995 -10.0248
21.170 3.59309 17.674 -3.5053
-4.227 0.05826 3.973 0.8748
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.850 3.691 5.9898 4.6714
8.494 -3.339 -2.4551 4.9640
19.551 5.270 -0.6439 -0.2968
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-12.95 14.037 26.55 1.56
25.43 4.178 17.78 -16.32
11.62 -3.457 -14.46 -26.18
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.430 -4.113 -3.906 -12.585
2.540 5.706 -2.839 -5.643
-3.997 -1.142 12.610 10.928
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.725 4.562 -7.770 60.55
13.503 2.389 -9.276 99.46
7.069 -4.142 -2.420 74.59
rnd_95776.volume rnd_95787.volume
60.245 -0.4238
-52.839 -15.8661
-9.442 -8.4207
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.360 0.7898 56.53 1.426 1.489 0.3490 0.7530 2.041 2.061 1.575 0.9565
[2,] 1.901 0.9076 61.85 2.119 2.292 0.4197 0.9216 2.577 2.735 2.709 1.2489
[3,] 2.154 1.0098 64.25 2.905 2.898 0.4824 1.0588 3.016 3.127 3.241 1.4758
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.428 1.126 1.718 1.451 1.449 1.673 1.244 2.552 1.765 3.207 1.448
[2,] 2.235 1.378 2.327 2.031 1.625 2.426 2.176 3.331 2.304 3.767 1.764
[3,] 2.705 1.523 2.838 2.529 1.835 2.968 2.714 4.052 2.842 4.252 1.973
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.443 2.052 0.5467 1.609 1.711 1.344 1.556 0.6337 1.563 1.644 1.003
[2,] 6.454 3.061 0.6342 2.782 2.638 1.609 2.304 0.7524 2.202 2.032 1.220
[3,] 7.362 3.585 0.7020 3.502 3.583 1.782 3.131 0.8723 2.982 2.276 1.366
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.728 1.441 1.438 1.487 1.169 1.042 0.3100 0.7591 0.3043 1.337 1.195
[2,] 2.290 2.183 2.098 1.880 1.569 1.321 0.3834 0.9602 0.3779 1.660 1.678
[3,] 3.046 2.750 2.797 2.169 1.879 1.478 0.4515 1.0989 0.4434 1.998 2.054
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.123 0.5934 1.343 1.211 1.560 0.9687 1.383 1.168 0.7348 1.179 1.253
[2,] 1.311 0.7538 1.747 1.489 1.875 1.1949 2.003 1.362 0.8646 1.771 1.709
[3,] 1.513 0.8514 2.087 1.727 2.083 1.3451 2.547 1.588 1.0031 2.236 2.094
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.155 0.8348 0.9489 0.5385 0.918 0.7797 1.088 1.023 1.189 1.371
[2,] 1.644 1.3910 1.1631 0.6528 1.347 0.9081 1.335 1.231 1.579 1.957
[3,] 2.085 1.7910 1.3364 0.7295 1.804 1.0168 1.616 1.325 1.852 2.267
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6158 1.192 0.993 0.9799 0.5422 1.665 1.272 1.677 1.672 1.844 1.599
[2,] 0.7609 1.704 1.187 1.6502 0.6807 2.007 1.870 2.018 2.551 2.204 2.424
[3,] 0.8608 2.002 1.346 2.0823 0.8156 2.206 2.230 2.300 2.944 2.487 2.884
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.144 0.2917 1.140 0.8457 0.9875 0.6874 0.8576 0.3949 0.9922 0.7217
[2,] 1.981 0.3516 1.901 0.9485 1.5494 0.8278 1.0699 0.4683 1.4766 0.8635
[3,] 2.569 0.4098 2.607 1.0666 2.3759 0.9651 1.2166 0.5401 1.7499 0.9737
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.435 2.008 0.4229 0.3839 0.3883 0.3767 0.9703 0.4701 0.7694 11.46
[2,] 3.145 2.463 0.5583 0.5570 0.5436 0.4994 1.1636 0.5720 0.9925 13.72
[3,] 3.483 2.846 0.6664 0.6918 0.6691 0.6761 1.3516 0.6632 1.2061 15.48
[,97] [,98]
[1,] 3.579 2.011
[2,] 5.097 2.833
[3,] 6.184 3.383
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.726 1.003 71.78 1.811 1.89 0.4432 0.9561 2.592
[2,] 823.880 277.315 15562.71 971.952 1081.04 144.4920 329.4927 975.767
[3,] 628.636 274.434 10794.79 1231.914 1099.76 147.5460 323.2887 971.593
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.617 2 1.215 1.813 1.429 2.182 1.843 1.841
[2,] 1114.963 1367 498.001 1066.253 492.634 973.498 880.739 455.187
[3,] 939.878 1104 487.585 945.340 402.593 1007.282 934.574 528.716
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.125 1.579 3.24 2.241 4.072 1.838 5.642 2.606
[2,] 1089.188 1107.514 1328.07 918.407 1225.730 624.629 2903.375 1407.968
[3,] 1059.937 1005.928 1430.19 1032.167 1222.550 548.790 2195.986 1157.205
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6943 2.043 2.173 1.707 1.975 0.8047 1.985 2.088
[2,] 199.3346 1407.372 1244.915 548.780 1054.061 251.5507 961.268 740.303
[3,] 186.5788 1319.420 1504.106 474.350 1314.917 273.7221 1247.185 635.535
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.274 2.195 1.83 1.826 1.888 1.485 1.323 0.3937
[2,] 430.792 931.622 1016.64 947.531 713.303 648.365 503.082 139.8301
[3,] 380.663 1245.484 1037.62 1147.125 671.484 641.845 410.909 147.9177
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9639 0.3864 1.697 1.518 1.426 0.7536 1.705 1.538
[2,] 364.6582 138.9206 610.472 730.439 420.037 288.2238 692.683 537.272
[3,] 331.4032 143.9114 688.954 734.063 467.991 245.4656 708.203 542.388
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.98 1.23 1.756 1.483 0.9331 1.497 1.591 1.467 1.06
[2,] 645.84 433.79 898.342 434.238 282.5167 819.682 720.873 725.689 689.94
[3,] 562.61 383.02 975.455 506.695 315.4468 845.864 750.093 794.542 699.62
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.205 0.6838 1.166 0.9901 1.382 1.299 1.51 1.74
[2,] 417.102 228.8600 611.056 288.7052 479.141 425.216 644.05 866.29
[3,] 408.158 201.8661 744.039 283.6918 564.832 303.680 600.50 709.25
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.782 1.514 1.261 1.244 0.6885 2.114 1.615 2.129
[2,] 277.092 755.054 403.173 823.332 255.1686 694.913 850.528 695.724
[3,] 249.593 651.751 393.001 787.498 278.5962 568.484 752.997 685.294
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.123 2.341 2.03 1.453 0.3704 1.448 1.074 1.254
[2,] 1194.709 748.406 1129.68 1002.783 121.7157 942.993 266.287 740.399
[3,] 911.487 714.737 968.71 1014.024 130.5344 1106.244 302.502 1116.930
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 0.8729 1.089 0.5014 1.26 0.9164 3.092 2.549 0.537
[2,] 285.9397 396.670 156.1637 678.10 293.9655 1234.486 885.177 226.057
[3,] 307.6638 359.179 166.8599 582.32 279.0209 927.642 883.627 225.574
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.4875 0.4931 0.4784 1.232 0.597 0.977 14.55 4.545
[2,] 250.2816 235.9343 203.3129 398.251 202.026 388.778 4680.34 2250.636
[3,] 254.3854 241.8651 282.6071 426.407 208.203 424.944 4440.06 2171.334
[,98]
[1,] 2.554
[2,] 1237.377
[3,] 1146.427
[1] "--- VAR model 2017-10-03 23:01:00 completed"
[1] "Completed training sample: 2017-10-03 23:01:00 - 2017-10-04 07:00:00"
[1] "SpVAR; training sample: 2017-10-03 23:31:00 - 2017-10-04 07:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-03 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.956 -5.371 832.8 -50.293
25.162 -10.021 -150.3 1.775
1.522 -5.459 219.2 -15.639
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-19.86 -4.0293 12.035 70.59
-44.20 0.8928 1.893 27.39
-25.36 0.6194 1.522 29.55
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
87.361 33.92 -17.2258 -16.339
-1.975 25.74 9.6486 4.089
38.855 21.94 0.3574 -35.797
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.201 18.24 11.103 -4.584
8.777 5.75 -5.983 -14.459
-9.654 15.54 12.277 5.994
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.72 -44.45 -36.65 -41.05
-27.27 -15.33 -43.10 -26.29
10.21 -10.41 -25.81 -15.12
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
54.909 -3.066 -59.088 7.378
-7.361 -18.111 58.182 -18.083
-19.250 4.285 -4.251 20.272
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.7072 18.90 -3.003 11.39
-0.8777 -55.17 -40.023 3.73
2.7767 27.20 11.976 -14.54
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-33.43 -2.973 -9.482 -31.2402
-14.16 5.500 -24.066 0.6696
-22.73 -2.266 -28.028 8.1947
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.3016 -30.74 0.8178 -1.306
0.6719 -15.39 -8.0381 -15.264
11.0895 -20.95 -22.4053 1.286
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.233 27.948 1.827 -0.1149
-21.844 -5.835 1.497 1.5258
-10.656 -14.896 -17.639 0.6485
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-12.602 3.007 34.33 14.66
-4.791 1.163 10.17 14.59
2.800 2.918 11.60 12.85
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.773 1.82370 -11.69 -2.279
9.238 -8.65011 16.26 3.395
1.709 -0.05058 14.75 -12.121
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-16.56 12.282 -18.39 3.191
14.63 -6.655 -34.24 -1.080
21.96 6.172 22.16 -7.548
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.054 9.663 6.825 -4.221
-13.499 -10.550 -10.216 11.044
-5.816 -2.069 2.337 -15.424
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.60 2.940 1.878 -3.435
23.92 3.470 8.526 -21.126
-23.26 6.793 5.852 20.820
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.488 -10.121 1.631 8.768
-3.628 -10.735 9.068 -1.714
-3.052 -6.131 6.305 -6.533
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.648 -11.829 32.243 11.705
-3.882 -1.582 4.785 14.722
7.850 -10.391 -1.758 5.525
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.431 1.768 24.305 2.25
37.164 -4.175 16.438 22.47
4.715 1.468 -2.837 17.78
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.525 -13.066 0.1393 -22.700
-17.098 -10.733 27.8760 -4.366
-18.305 8.503 25.4307 21.909
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-9.979 7.064 -13.39 3.3087
-18.859 -1.946 -29.00 0.7844
11.675 1.895 -10.23 0.6269
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-19.311 3.2577 -6.0274 -3.278
-30.420 -8.0032 3.8339 -1.975
-9.615 -0.9737 -0.5999 -4.856
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.830 -3.861 22.20 -0.786
9.229 -14.251 -18.41 -1.706
-5.651 -3.227 30.49 -13.775
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.028 7.2314 10.035 11.1715
4.149 3.6427 -0.555 -0.1923
-12.423 0.6601 5.056 -6.8921
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.467 -8.098 -3.851 -46.08
2.778 -4.584 -13.557 65.62
5.773 -2.345 -8.911 -91.47
rnd_95776.volume rnd_95787.volume
-63.96 16.920
12.12 -12.049
80.13 3.447
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.465 0.7681 56.39 1.468 1.633 0.2998 0.7734 2.203 2.171 1.721 1.082
[2,] 1.886 0.8964 62.26 2.179 2.322 0.3574 0.9541 2.850 3.030 2.740 1.428
[3,] 2.196 0.9968 64.89 2.876 2.868 0.4329 1.1267 3.393 3.483 3.371 1.629
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.693 1.083 1.890 1.549 1.435 1.738 1.346 2.663 1.883 3.573 1.492
[2,] 2.427 1.357 2.445 2.143 1.649 2.556 2.419 3.462 2.421 4.593 1.817
[3,] 2.935 1.541 2.872 2.590 1.869 3.054 2.951 4.253 2.999 5.261 2.013
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.086 2.222 0.5310 1.672 1.833 1.418 1.609 0.6145 1.603 1.599 0.9224
[2,] 7.070 3.189 0.6478 2.862 3.016 1.824 2.352 0.7306 2.312 2.023 1.1529
[3,] 8.175 3.748 0.7276 3.716 3.998 2.020 3.146 0.8553 3.223 2.271 1.3249
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.986 1.614 1.648 1.515 1.195 1.005 0.2738 0.8265 0.3409 1.342 1.217
[2,] 2.616 2.255 2.253 1.949 1.678 1.244 0.3688 1.0163 0.4318 1.729 1.738
[3,] 3.384 2.752 2.898 2.267 1.993 1.363 0.4475 1.2340 0.4963 2.100 2.081
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.046 0.6014 1.323 1.269 1.504 1.007 1.437 1.139 0.7778 1.276 1.232
[2,] 1.274 0.7573 1.709 1.572 1.810 1.211 2.118 1.309 0.9131 1.888 1.717
[3,] 1.483 0.8690 2.168 1.799 1.989 1.353 2.686 1.505 1.0549 2.328 2.106
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.199 0.9023 0.950 0.5394 1.000 0.7869 1.112 0.9753 1.114 1.486
[2,] 1.720 1.3643 1.170 0.6455 1.355 0.9189 1.356 1.2103 1.563 2.035
[3,] 2.129 1.8293 1.414 0.7319 1.753 1.0211 1.606 1.3245 1.821 2.314
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6258 1.305 1.035 0.9875 0.5563 1.687 1.324 1.744 1.798 1.929 1.582
[2,] 0.7879 1.887 1.240 1.7199 0.7255 1.983 1.875 2.181 2.567 2.420 2.472
[3,] 0.8779 2.194 1.385 2.2434 0.8333 2.283 2.279 2.445 2.981 2.900 2.913
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.207 0.2951 1.144 0.8148 1.091 0.6800 0.8244 0.3895 1.033 0.7079
[2,] 2.076 0.3439 1.827 0.9316 1.657 0.8192 1.0422 0.4788 1.545 0.8773
[3,] 2.629 0.4059 2.582 1.0539 2.552 0.9696 1.1916 0.5552 1.825 0.9884
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.634 2.115 0.5901 0.5367 0.4485 0.4077 0.9425 0.5219 0.6587 11.21
[2,] 3.252 2.588 0.8473 0.7779 0.7073 0.6724 1.1332 0.6281 0.8475 13.49
[3,] 3.632 3.012 1.0222 0.9758 0.9146 0.9198 1.2960 0.7199 0.9743 15.39
[,97] [,98]
[1,] 3.677 2.232
[2,] 5.338 3.048
[3,] 6.626 3.620
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 1.861 0.9753 71.61 1.864 2.074 0.3807 0.9821
[2,] 706.684 275.0193 15706.86 958.890 982.172 115.8665 332.5974
[3,] 669.817 259.5070 10877.33 1116.702 1001.925 145.3618 356.7011
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.798 2.757 2.186 1.374 2.15 1.375 2.4 1.966
[2,] 1075.829 1258.079 1268.957 554.665 1034.56 486.643 922.8 881.605
[3,] 1095.622 1021.808 1169.033 466.235 982.24 434.435 897.3 865.707
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 1.822 2.207 1.71 3.382 2.391 4.538 1.895 6.459
[2,] 483.545 1115.684 1196.13 1316.550 905.769 1716.894 616.973 2922.210
[3,] 523.808 994.437 1005.82 1470.701 1053.623 1528.086 515.516 2443.213
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 2.821 0.6743 2.123 2.328 1.801 2.043 0.7803
[2,] 1361.739 220.8011 1382.677 1425.749 682.625 1021.236 235.2028
[3,] 1172.119 197.1871 1410.075 1561.861 516.564 1243.455 264.6635
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 2.035 2.03 1.171 2.522 2.05 2.093 1.924 1.517
[2,] 992.274 737.55 411.707 1012.893 937.34 914.464 729.264 700.849
[3,] 1336.259 613.87 388.496 1277.512 938.29 1084.185 689.971 640.336
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.277 0.3477 1.05 0.4329 1.704 1.545 1.328 0.7637
[2,] 436.483 147.0683 351.97 157.6793 649.449 738.488 432.880 273.8978
[3,] 330.635 150.8362 416.56 145.6652 708.937 681.243 452.176 253.6631
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.679 1.611 1.91 1.279 1.824 1.447 0.9877 1.62
[2,] 644.094 551.989 599.29 400.114 926.675 383.624 284.6924 828.48
[3,] 793.616 521.236 490.80 358.841 982.736 441.467 314.3238 810.50
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.565 1.522 1.146 1.206 0.6849 1.27 0.9993 1.412
[2,] 711.286 734.005 608.993 406.467 211.0091 543.96 282.3671 461.685
[3,] 725.847 747.273 725.345 472.790 205.3414 662.03 264.9743 512.517
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 1.238 1.414 1.886 0.7947 1.657 1.314 1.254 0.7064
[2,] 426.531 652.482 828.153 284.8710 811.168 407.331 838.109 277.1783
[3,] 320.260 557.061 655.392 230.4067 666.189 366.781 857.249 243.9813
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.142 1.681 2.214 2.283 2.45 2.009 1.532 0.3747
[2,] 620.449 790.317 779.486 1090.429 869.34 1130.762 1005.195 105.0392
[3,] 673.109 771.389 658.077 902.655 951.05 916.502 960.616 128.3112
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.452 1.035 1.385 0.8634 1.047 0.4946 1.311 0.8989
[2,] 847.908 268.886 742.205 271.9705 379.449 165.7553 684.251 308.4842
[3,] 1085.593 293.293 1155.066 308.6976 343.867 167.2932 577.368 270.9476
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.345 2.686 0.7493 0.6816 0.5695 0.5177 1.197 0.6627
[2,] 1134.844 887.966 361.9380 335.0826 325.4703 318.2423 374.382 207.9653
[3,] 962.648 916.744 340.3299 350.6221 345.1114 373.5880 374.343 209.4100
[,95] [,96] [,97] [,98]
[1,] 0.8364 14.23 4.67 2.834
[2,] 317.4120 4467.06 2303.23 1235.275
[3,] 286.0136 4409.08 2336.57 1162.198
[1] "--- VAR model 2017-10-03 23:31:00 completed"
[1] "Completed training sample: 2017-10-03 23:31:00 - 2017-10-04 07:30:00"
[1] "SpVAR; training sample: 2017-10-04 00:01:00 - 2017-10-04 08:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-14.36 1.9522 18.86 -1.336
-16.39 -0.3896 47.22 -28.957
-20.10 -3.9723 95.67 -44.968
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.48 2.97389 5.093 27.00
-10.47 1.36111 -4.675 17.34
-16.94 -0.09574 10.083 22.32
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
27.9043 10.604 -0.5899 -40.91
26.9753 4.754 -5.2949 -27.04
0.4634 20.712 -3.7463 -20.86
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.416 -36.40 -27.69 -5.136
-9.167 -24.81 -30.84 5.090
-14.825 -37.79 -31.68 -14.652
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-48.20 -3.462 0.1693 -11.434
-32.39 -15.362 -30.4407 -19.147
-42.31 -20.400 -15.2253 6.873
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
18.09 -9.091 19.55 -26.24
-59.59 -9.485 32.05 -1.03
-11.78 11.056 -119.84 -11.47
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
9.246 -45.2214 -39.178 9.838
4.954 -0.5876 -41.502 -6.013
2.627 -10.7282 -3.671 -14.274
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.828 1.6453 -45.70 -18.21
-36.989 -5.4828 -28.61 30.06
-28.256 0.8345 -49.53 -26.78
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.182 -40.217 -1.294 4.816
-4.902 -4.657 -32.076 -15.222
-6.757 -22.743 -12.097 9.632
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.63 4.140 -4.122 -0.4103
-14.94 2.154 6.205 -0.7286
-15.13 -4.120 -2.752 -2.5384
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.252 2.6647 8.702 -3.529
4.825 0.6065 7.281 8.878
-2.089 -2.5000 10.678 -7.001
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-9.670 -12.343 8.7094 6.068
-4.517 -4.406 -18.1671 -1.451
-7.496 -4.095 0.7256 1.785
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.948 -6.5787 -1.198 12.129
15.762 8.3117 1.581 -5.667
2.515 -0.3232 4.092 3.877
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.8024 -9.808 -16.740 -26.358
7.7403 2.503 10.161 -5.801
0.7369 5.301 1.755 -7.711
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.533 15.74 7.7915 -14.2630
-12.694 10.56 0.6339 -18.8139
6.624 13.54 -0.5702 0.1148
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.0617 -26.955 -2.5720 -2.038
0.4979 -5.037 0.3747 -33.031
0.4517 -14.225 -13.8010 -6.720
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
24.00 -6.026 17.266 -1.249
-24.69 -1.765 -2.647 4.777
14.50 -8.164 -6.685 -1.301
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
25.974 -4.555 -8.668 -10.45
1.471 4.383 -6.061 -12.53
-12.752 -2.599 5.147 -25.64
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-18.08 -30.69 -9.5776 -38.14
-36.99 -45.72 0.2449 -22.84
-12.70 -33.52 4.3979 -44.46
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-21.21 4.023 -29.65 6.984
-25.56 4.247 -19.51 -5.955
-18.50 1.107 -25.40 5.949
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.759 0.7449 10.170 5.7726
-18.946 -5.3545 3.469 -0.4010
-6.931 4.6945 -1.849 -0.5441
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
18.102 0.8093 2.04 -22.93
-4.293 1.8356 30.49 -51.19
3.922 -4.2562 -10.48 -22.46
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
10.842 14.284 15.64 9.043
8.494 5.608 24.94 17.579
14.808 6.141 11.10 5.480
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.885 -2.7199 2.913 -69.74
5.611 -5.9454 -8.067 -36.13
-12.798 -0.4274 -5.592 -61.75
rnd_95776.volume rnd_95787.volume
2.9997 -28.324
43.4729 -12.268
0.7808 -7.015
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.542 0.8579 56.07 1.797 1.796 0.3174 0.8599 2.310 2.325 1.924 1.104
[2,] 2.010 0.9853 62.34 2.536 2.530 0.3913 1.0360 2.971 3.057 2.961 1.450
[3,] 2.290 1.0969 64.74 3.101 3.059 0.4785 1.2569 3.443 3.521 3.622 1.669
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.653 1.091 2.070 1.704 1.452 1.899 1.464 2.693 1.889 3.845 1.538
[2,] 2.379 1.389 2.698 2.354 1.662 2.768 2.483 3.566 2.386 4.806 1.808
[3,] 2.837 1.594 3.096 2.796 1.902 3.340 3.149 4.326 3.013 5.586 2.013
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.681 2.119 0.5456 1.833 1.932 1.519 1.912 0.6047 1.948 1.737 0.9747
[2,] 7.362 3.175 0.6552 2.999 3.043 1.822 2.670 0.7214 2.580 2.157 1.1999
[3,] 8.462 3.745 0.7245 3.892 4.038 2.084 3.393 0.8286 3.385 2.419 1.4212
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.031 1.816 1.841 1.499 1.165 1.105 0.3075 0.8008 0.3724 1.358 1.312
[2,] 2.751 2.453 2.524 1.888 1.647 1.336 0.3959 1.0350 0.5051 1.749 1.833
[3,] 3.492 2.942 3.254 2.236 2.071 1.479 0.4625 1.2602 0.5863 2.143 2.205
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.024 0.6350 1.352 1.415 1.526 0.9349 1.470 1.119 0.799 1.298 1.231
[2,] 1.244 0.8266 1.767 1.712 1.801 1.1511 2.205 1.349 0.968 1.854 1.684
[3,] 1.463 0.9462 2.181 1.965 2.021 1.2960 2.802 1.567 1.116 2.301 2.113
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.225 0.9057 1.044 0.5588 0.9688 0.7907 1.103 0.9464 1.140 1.621
[2,] 1.774 1.4133 1.297 0.6553 1.3884 0.9275 1.394 1.2032 1.634 2.222
[3,] 2.228 1.8186 1.551 0.7331 1.8461 1.0290 1.642 1.3028 1.868 2.486
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6367 1.297 1.107 1.067 0.5687 1.720 1.384 1.840 2.091 1.944 1.625
[2,] 0.8249 1.867 1.347 1.807 0.7127 2.098 2.014 2.170 2.934 2.569 2.658
[3,] 0.9303 2.213 1.509 2.397 0.8277 2.387 2.420 2.519 3.406 3.059 3.167
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.352 0.2834 1.192 0.8109 1.273 0.6668 0.9088 0.3912 1.033 0.8244
[2,] 2.268 0.3372 1.973 0.9666 1.854 0.8687 1.1200 0.4951 1.555 1.0267
[3,] 2.850 0.3906 2.710 1.1066 2.631 1.0420 1.2616 0.5683 1.823 1.1783
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.659 2.101 0.6414 0.5845 0.5754 0.5063 0.9984 0.5375 0.5049 11.22
[2,] 3.372 2.697 0.8843 0.9024 0.8624 0.7703 1.2744 0.6692 0.5917 13.31
[3,] 3.797 3.121 1.0883 1.1246 1.0922 1.0451 1.4721 0.7794 0.6754 15.19
[,97] [,98]
[1,] 3.813 2.231
[2,] 5.552 3.147
[3,] 6.843 3.719
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.958 1.089 71.2 2.282 2.281 0.403 1.092 2.933
[2,] 886.804 333.082 18733.9 1230.205 1224.720 157.299 397.156 1283.772
[3,] 753.046 331.483 12007.3 1226.156 1181.646 189.381 489.191 1196.615
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.952 2.443 1.402 2.099 1.385 2.629 2.164 1.844
[2,] 1364.762 1546.683 645.993 1175.474 591.281 1188.962 1115.941 555.717
[3,] 1200.727 1433.752 568.269 1062.902 537.605 1043.837 1037.787 634.950
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.411 1.859 3.419 2.399 4.883 1.953 5.944
[2,] 1384.190 1378.042 1607.301 1001.689 1981.542 653.285 3905.591
[3,] 1285.361 1331.751 1682.639 1264.800 1958.096 608.512 2868.679
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 2.691 0.6928 2.328 2.453 1.929 2.428 0.7679
[2,] 1625.015 249.3728 1631.298 1615.952 692.056 1280.873 270.3844
[3,] 1365.035 212.5533 1705.671 1825.189 694.573 1438.981 280.2027
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 2.474 2.205 1.238 2.58 2.306 2.338 1.903 1.479
[2,] 1163.076 879.714 480.956 1274.96 1133.866 1186.771 789.197 800.876
[3,] 1506.083 753.118 523.611 1479.14 1116.223 1412.041 823.499 862.866
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.403 0.3904 1.017 0.4728 1.725 1.666 1.3 0.8064
[2,] 516.475 171.4699 450.732 234.6121 757.584 880.228 485.9 363.7607
[3,] 435.731 164.3138 494.215 204.5605 850.371 842.452 528.6 316.4851
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.716 1.797 1.938 1.187 1.867 1.42 1.015 1.648
[2,] 782.314 662.694 657.066 461.706 1129.323 518.47 375.573 910.452
[3,] 879.086 662.047 630.516 409.318 1188.424 548.14 381.635 936.132
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.563 1.555 1.15 1.326 0.7096 1.23 1.004 1.401
[2,] 789.851 882.101 745.82 529.139 235.3221 683.57 333.267 585.101
[3,] 876.849 926.923 786.75 583.966 225.9537 836.38 306.341 596.899
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 1.202 1.448 2.058 0.8085 1.648 1.406 1.356 0.7222
[2,] 510.669 804.809 1045.079 360.5585 923.091 526.948 1001.800 295.2935
[3,] 343.462 622.004 765.857 295.6543 816.752 467.789 1083.355 289.2315
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.184 1.758 2.337 2.655 2.469 2.064 1.717 0.3599
[2,] 826.182 1005.907 790.484 1414.730 1154.714 1445.932 1252.236 125.5917
[3,] 781.775 921.507 879.222 1189.682 1141.673 1182.839 1186.254 135.5202
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.514 1.03 1.616 0.8467 1.154 0.4967 1.312 1.047
[2,] 1080.950 361.68 926.403 382.6979 449.978 208.6020 798.871 420.594
[3,] 1276.331 370.29 1283.618 395.5575 399.214 191.7932 654.212 397.489
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 3.376 2.667 0.8145 0.7422 0.7307 0.6429 1.268
[2,] 1425.502 1163.256 418.4845 472.5614 441.5753 399.1228 544.496
[3,] 1200.276 1078.691 436.0310 461.3460 460.6310 485.4407 506.473
[,94] [,95] [,96] [,97] [,98]
[1,] 0.6825 0.6412 14.24 4.842 2.833
[2,] 274.0002 212.1289 4932.78 2773.928 1526.080
[3,] 274.7544 223.7679 5032.37 2750.554 1362.353
[1] "--- VAR model 2017-10-04 00:01:00 completed"
[1] "Completed training sample: 2017-10-04 00:01:00 - 2017-10-04 08:00:00"
[1] "SpVAR; training sample: 2017-10-04 00:31:00 - 2017-10-04 08:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.05284 8.832 -327.2 7.179
-11.54172 8.721 -330.6 -14.811
10.21858 -2.791 -200.8 10.247
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.257 4.140 4.868 -14.54873
8.647 -1.562 -4.936 0.05346
-37.450 4.348 6.885 31.81039
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-33.3953 -9.351 1.468 -52.36
0.2341 -1.494 -2.386 -13.11
23.2091 -1.748 -7.275 -22.81
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-14.5655 -1.9562 -4.844 6.96308
0.3531 -17.1566 -20.336 -0.07636
-2.0946 0.2163 14.602 -13.53935
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-15.000 -1.98 5.156 29.6
-6.286 14.87 26.474 14.8
-6.826 -14.40 -14.813 12.5
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-39.127 0.7121 88.82 -27.99
6.707 -6.5393 -108.44 -27.51
-30.946 -0.5379 31.24 -26.34
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
6.566 -77.46 -20.49 -12.532
4.200 32.80 34.26 9.869
2.023 -52.45 -30.21 -8.184
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
22.67 0.7630 10.849 5.593
-30.01 -7.6857 -2.717 -1.256
21.08 -0.8827 -13.423 11.842
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.360 -26.060 -1.117 -4.447
-3.271 -15.251 7.494 -1.911
-7.709 -2.702 -25.145 -14.068
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
21.957 10.2019 9.4779 4.1688
5.895 12.8244 -0.8351 6.8789
-7.389 -0.6896 1.1262 -0.1136
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.248 3.1092 -13.7047 -12.685
1.368 4.2753 -0.6065 -15.090
-3.284 -0.1592 10.7921 -6.964
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.115 2.110 3.539 18.774
-4.796 -6.739 5.094 -8.559
9.858 -2.681 -9.402 13.631
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-11.562 -4.217 8.512 19.4408
5.836 1.881 17.381 2.2427
-3.957 2.685 3.601 0.9798
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.589 11.146 19.294 32.09
6.256 12.916 -2.809 -14.16
1.914 3.955 15.820 24.23
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.3934 6.115 2.17505 7.264
-1.7672 -13.152 0.03881 -1.410
16.7792 3.715 1.33179 7.620
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.298 -3.292 -3.5929 -5.094
2.003 -9.544 0.3045 13.368
-6.329 9.966 5.9982 -19.266
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.404 8.728 -14.344 3.458
10.691 -8.242 8.866 -16.218
-7.479 6.339 5.031 -1.694
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.551 2.029 0.04206 8.783
6.164 1.839 13.93988 -9.629
4.988 1.003 13.63382 8.226
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.614 -11.021 -18.325 -19.564
-19.729 -8.181 -34.873 9.967
10.506 -1.362 -8.425 -16.347
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-10.478 0.4798 3.316 4.428
-14.064 -2.8415 -9.231 8.460
2.501 1.4264 -0.257 -13.447
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.9806 -1.3302 -3.417 -3.193
-0.3209 0.5567 5.896 7.880
20.5002 5.9236 1.154 4.158
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.604 9.856 24.5356 -17.21
13.979 8.107 15.5381 -12.54
-5.175 6.826 0.9723 -10.79
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
8.616 3.0561 9.360 13.582
2.044 15.7139 4.077 1.553
3.623 0.9017 9.547 7.166
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
18.193 4.377 -9.206 12.31
-8.802 -7.825 -9.207 26.85
15.002 7.601 -10.409 34.80
rnd_95776.volume rnd_95787.volume
7.402 -28.60
56.886 -32.45
-3.577 -38.70
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.712 0.9059 58.25 1.925 1.859 0.3523 0.926 2.512 2.463 2.253 1.144
[2,] 2.147 1.0894 62.92 2.826 2.695 0.4500 1.074 3.341 3.396 3.262 1.576
[3,] 2.411 1.2591 65.26 3.453 3.372 0.5249 1.297 3.767 3.835 3.881 1.806
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.843 1.129 2.205 1.874 1.422 2.066 1.556 2.821 1.993 4.121 1.571
[2,] 2.515 1.468 2.873 2.615 1.717 2.883 2.507 3.811 2.494 5.080 1.882
[3,] 3.040 1.683 3.271 3.050 1.940 3.569 3.283 4.803 3.113 6.151 2.121
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.018 2.583 0.5790 2.394 2.129 1.695 2.114 0.6216 2.075 1.873 0.9894
[2,] 8.045 3.483 0.6971 3.443 3.231 2.012 3.015 0.7536 2.784 2.259 1.2373
[3,] 9.141 4.204 0.7811 4.462 4.091 2.328 3.670 0.8882 3.633 2.568 1.4386
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.018 1.866 1.947 1.595 1.249 1.090 0.3608 0.9836 0.4434 1.504 1.396
[2,] 2.896 2.666 2.614 2.058 1.808 1.343 0.4494 1.1853 0.5716 1.889 1.932
[3,] 3.774 3.156 3.421 2.408 2.142 1.529 0.5331 1.3849 0.6692 2.327 2.296
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.067 0.6770 1.383 1.468 1.539 0.946 1.522 1.208 0.8085 1.347 1.301
[2,] 1.262 0.8894 1.801 1.811 1.859 1.158 2.244 1.483 0.9986 2.020 1.882
[3,] 1.507 1.0118 2.126 2.083 2.078 1.334 2.898 1.688 1.2049 2.527 2.353
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.334 0.9644 1.152 0.5900 0.9797 0.7966 1.089 1.039 1.202 1.737
[2,] 1.880 1.4937 1.426 0.7074 1.4770 0.9387 1.418 1.224 1.656 2.449
[3,] 2.476 1.9889 1.750 0.7859 1.9598 1.0526 1.667 1.371 1.919 2.869
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6476 1.478 1.147 1.162 0.5592 2.036 1.523 1.825 2.279 2.125 1.924
[2,] 0.8669 2.057 1.376 2.048 0.7126 2.423 2.238 2.263 3.132 2.796 2.851
[3,] 0.9846 2.476 1.557 2.683 0.8163 2.729 2.637 2.758 3.599 3.355 3.490
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.528 0.2853 1.450 0.9812 1.491 0.7228 0.8947 0.4217 1.025 0.8669
[2,] 2.477 0.3454 2.134 1.3402 2.066 0.9326 1.1414 0.5362 1.581 1.1058
[3,] 3.103 0.4144 2.915 1.6969 2.840 1.1094 1.2999 0.6278 1.890 1.2795
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.767 2.231 0.8189 0.7459 0.7158 0.6406 1.055 0.5624 0.3639 11.23
[2,] 3.524 2.803 1.1352 1.1629 1.1434 1.1205 1.441 0.7097 0.4264 13.16
[3,] 3.953 3.370 1.3547 1.5107 1.4181 1.4152 1.695 0.8159 0.4901 15.10
[,97] [,98]
[1,] 4.022 2.624
[2,] 6.070 3.444
[3,] 7.237 4.136
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.173 1.15 73.97 2.445 2.361 0.4473 1.176 3.19
[2,] 918.009 428.40 16835.60 1464.763 1381.578 198.2355 385.727 1559.27
[3,] 777.102 447.00 12259.62 1404.880 1434.702 191.2944 514.935 1233.29
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.127 2.861 1.453 2.34 1.433 2.8 2.379 1.805
[2,] 1655.384 1670.595 767.626 1211.96 664.611 1304.3 1291.210 681.656
[3,] 1262.070 1488.820 624.328 1208.73 582.639 1106.5 1112.613 639.525
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.623 1.976 3.582 2.531 5.233 1.995 6.372
[2,] 1423.632 1392.185 1814.869 1061.450 2102.691 733.919 4452.809
[3,] 1489.953 1501.028 2069.991 1318.691 2456.569 691.664 3072.153
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 3.281 0.7352 3.041 2.703 2.153 2.685 0.7893
[2,] 1653.794 274.8303 1751.526 1720.612 767.489 1522.122 301.7373
[3,] 1666.921 249.5101 2010.227 1777.280 828.448 1481.622 332.7568
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 2.635 2.379 1.256 2.562 2.37 2.472 2.025 1.586
[2,] 1314.093 893.497 525.981 1470.878 1347.79 1234.531 920.708 925.822
[3,] 1652.541 864.191 519.717 1713.417 1196.58 1562.812 885.345 813.077
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.384 0.4581 1.249 0.5631 1.91 1.773 1.355 0.8597
[2,] 555.598 189.7422 468.216 255.4300 809.28 945.188 477.162 408.4101
[3,] 517.613 203.0952 507.141 246.3864 962.18 879.381 583.606 341.5493
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.756 1.865 1.954 1.201 1.933 1.534 1.027 1.711
[2,] 816.629 750.912 738.196 472.525 1167.064 608.669 415.009 1065.765
[3,] 800.335 728.957 657.710 468.763 1298.988 570.918 477.427 1075.210
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.652 1.693 1.225 1.462 0.7492 1.244 1.012 1.383
[2,] 962.635 937.839 807.608 594.836 276.3011 782.638 351.496 642.347
[3,] 999.975 1141.008 929.822 719.071 242.5182 912.115 337.195 620.981
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 1.319 1.526 2.205 0.8224 1.877 1.456 1.476 0.7101
[2,] 458.887 807.119 1222.648 408.0776 1012.805 538.235 1194.374 312.7308
[3,] 437.273 686.274 1057.532 330.4474 975.651 516.533 1226.719 281.9929
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.586 1.934 2.317 2.894 2.699 2.444 1.94 0.3623
[2,] 929.458 1160.930 947.875 1520.908 1286.652 1489.325 1380.60 137.9202
[3,] 888.711 987.471 1115.936 1255.190 1313.125 1425.832 1323.78 162.0136
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.842 1.246 1.894 0.9178 1.136 0.5354 1.302 1.101
[2,] 1108.092 646.334 1012.495 417.3030 501.891 234.4943 852.127 486.058
[3,] 1406.514 736.953 1379.303 425.4563 440.434 231.3051 733.178 455.763
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.514 2.833 1.04 0.9472 0.909 0.8134 1.34 0.7142
[2,] 1545.204 1201.730 556.66 631.7245 631.259 650.9269 694.41 306.4158
[3,] 1267.821 1324.818 523.50 682.7307 594.031 612.0799 631.71 285.0086
[,95] [,96] [,97] [,98]
[1,] 0.4621 14.27 5.108 3.332
[2,] 157.4068 4849.51 3219.225 1579.705
[3,] 171.0559 5247.70 2789.701 1622.020
[1] "--- VAR model 2017-10-04 00:31:00 completed"
[1] "Completed training sample: 2017-10-04 00:31:00 - 2017-10-04 08:30:00"
[1] "SpVAR; training sample: 2017-10-04 01:01:00 - 2017-10-04 09:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-23.3389 1.968 26.36 -27.741
26.8324 11.062 28.70 -12.754
-0.7833 -3.191 -28.11 -7.181
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-29.97 2.54319 9.300 22.68
-17.79 0.06004 3.164 -12.19
-21.05 2.56685 3.677 41.90
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
34.70 19.44 -2.791 -20.009
-20.63 -11.02 1.044 -6.505
34.92 32.48 -15.277 -8.134
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-11.198 16.643 13.06 -11.318
7.593 12.162 -18.59 -4.402
-13.579 -7.426 17.09 -1.099
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.146 -25.779 13.324 -1.829
-2.945 -21.570 -6.848 2.230
-9.935 -4.576 -9.946 -4.460
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
7.356 -2.556 -55.964 -19.25
-25.347 17.727 -5.950 -25.68
21.857 5.114 7.405 14.67
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.6039 -10.3210 -28.04 3.1539
3.4895 -0.7164 -15.16 9.1505
5.4136 -3.8301 -20.53 -0.9928
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-22.146 -9.1809 -2.222 4.639
-34.330 0.6296 -16.170 -16.724
-8.323 1.9691 -8.787 13.109
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
11.4307 4.398 -13.59 6.490
-5.3153 -19.509 -23.35 -7.748
0.6401 -8.404 -19.62 -18.342
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.9803 -18.584 -5.420 0.7354
1.7583 9.871 -1.325 -0.8203
0.1201 -1.752 5.927 2.4852
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.9565 -0.9683 -5.019 -5.492
-6.1929 -0.9318 20.990 -2.876
5.9572 -0.9916 -13.919 19.204
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
14.011 5.193 4.116 4.977
1.435 -3.736 -10.111 2.775
-6.384 3.725 12.493 -10.364
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.7478 -16.512 23.578 5.453
6.1608 9.472 4.955 10.275
-8.1223 -4.833 4.651 -3.116
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.743 13.73 -4.415 4.555
9.195 16.93 23.576 -3.658
2.636 11.88 -1.370 18.098
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.411 4.499 0.1446 19.183
-3.380 -7.724 2.1703 -10.150
16.235 5.184 -3.4598 -6.439
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
3.160 1.096 -1.9623 6.9298
-8.636 -9.599 -0.5418 1.7859
4.642 9.958 12.2326 -0.9466
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.980 8.828 2.283 6.1291
-4.628 5.303 -4.973 -2.8665
-14.352 1.306 -9.885 -0.7495
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.629 5.1041 15.062 -22.285
4.183 1.3584 9.144 5.356
-15.799 -0.8338 -5.632 16.898
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.072 0.7129 2.102 12.274
5.820 24.3068 5.280 -24.828
16.210 20.5476 -7.705 9.049
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-17.663 1.8781 -0.09283 9.398
-3.171 0.6451 -34.22765 4.163
7.811 -1.4268 -15.43385 12.050
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
17.35 8.066 14.166 -3.2049
1.97 13.072 2.632 -2.3096
-30.94 -7.060 3.662 -0.9096
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-11.767 5.805 -4.246 -35.478
-5.497 -3.905 -20.932 -2.639
13.109 8.922 8.857 -22.416
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.670 0.5999 10.72 3.921
-5.508 -5.9732 -11.35 -2.505
-2.736 2.6285 7.03 -1.066
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.158 -3.63529 -3.845 16.93
-13.887 -0.03753 -5.370 -14.59
3.960 1.97164 -4.927 18.14
rnd_95776.volume rnd_95787.volume
59.22 -15.86
44.52 -16.65
-69.96 23.62
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.923 0.8898 59.04 2.432 2.132 0.3889 1.009 2.833 2.738 2.414 1.197
[2,] 2.351 1.1000 63.39 3.270 3.006 0.4931 1.178 3.640 3.705 3.717 1.694
[3,] 2.673 1.3455 65.46 3.916 3.569 0.5898 1.411 4.255 4.268 4.364 2.002
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.988 1.401 2.179 2.013 1.555 2.204 1.664 2.957 2.138 4.503 1.764
[2,] 2.629 1.734 2.992 2.799 1.861 3.111 2.702 4.003 2.742 5.541 2.113
[3,] 3.148 2.023 3.451 3.182 2.143 3.925 3.399 5.025 3.320 6.686 2.399
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.532 2.844 0.6070 2.493 2.471 1.724 2.417 0.6379 2.407 1.979 0.9641
[2,] 8.584 3.748 0.7691 3.593 3.432 2.094 3.209 0.7880 3.259 2.394 1.2590
[3,] 9.694 4.595 0.9013 4.538 4.367 2.446 3.949 0.9393 4.049 2.667 1.4781
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.474 2.231 2.105 1.999 1.423 1.166 0.3677 1.028 0.5183 1.646 1.511
[2,] 3.260 3.166 2.824 2.467 1.951 1.447 0.4871 1.352 0.6892 2.099 2.141
[3,] 3.986 3.609 3.562 2.840 2.426 1.709 0.5854 1.610 0.7958 2.452 2.522
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.151 0.800 1.503 1.561 1.646 1.002 1.593 1.234 0.8796 1.467 1.323
[2,] 1.348 1.073 1.968 1.941 1.971 1.276 2.578 1.590 1.0914 2.200 1.930
[3,] 1.556 1.198 2.328 2.279 2.241 1.509 3.392 1.877 1.3282 2.721 2.507
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.602 0.9592 1.250 0.6706 1.103 0.8943 1.163 1.065 1.280 1.689 0.7782
[2,] 2.164 1.5013 1.584 0.7874 1.670 1.0209 1.508 1.249 1.828 2.561 0.9869
[3,] 2.699 2.0234 1.867 0.8723 2.194 1.1615 1.815 1.425 2.141 3.063 1.1458
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.409 1.141 1.336 0.6427 2.131 1.722 1.931 2.315 2.245 2.106 1.749
[2,] 1.958 1.410 2.171 0.7978 2.621 2.310 2.465 3.211 2.936 3.211 2.781
[3,] 2.419 1.625 2.774 0.8996 3.016 2.788 2.965 3.869 3.444 3.857 3.439
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.2664 1.560 1.052 1.641 0.8616 0.9453 0.4567 1.166 0.8861 2.917
[2,] 0.3689 2.346 1.558 2.309 1.1579 1.2082 0.5964 1.711 1.1373 3.618
[3,] 0.4376 3.138 2.055 3.217 1.3847 1.4130 0.6876 2.059 1.3767 4.113
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.400 0.9335 0.8843 0.7849 0.738 1.241 0.6029 0.3066 11.17 3.995
[2,] 3.014 1.2302 1.3012 1.3086 1.282 1.679 0.7793 0.3664 13.17 6.130
[3,] 3.576 1.4553 1.7288 1.5863 1.603 1.994 0.9247 0.4288 15.17 7.577
[,98]
[1,] 2.801
[2,] 3.624
[3,] 4.535
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.442 1.13 74.97 3.088 2.707 0.4939 1.281 3.597
[2,] 877.114 419.69 14978.70 1418.218 1374.957 196.6927 394.883 1483.338
[3,] 826.200 502.82 10590.84 1398.497 1248.705 209.9436 504.379 1429.771
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.477 3.066 1.52 2.524 1.779 2.767 2.556 1.974
[2,] 1619.143 1833.722 777.70 1116.429 663.256 1330.603 1262.397 664.217
[3,] 1374.802 1483.731 691.98 1123.964 675.645 1115.857 982.414 689.339
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.798 2.113 3.755 2.715 5.718 2.24 7.025 3.611
[2,] 1424.900 1381.335 1750.637 1114.391 2095.217 755.48 4258.793 1583.863
[3,] 1552.617 1338.526 1971.013 1213.933 2427.993 737.22 2923.209 1724.688
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7708 3.166 3.138 2.189 3.069 0.81 3.056 2.513
[2,] 306.4381 1678.355 1545.533 770.816 1370.255 300.21 1426.104 874.832
[3,] 304.9301 1798.831 1752.283 820.144 1492.642 331.69 1559.162 762.768
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.224 3.142 2.832 2.673 2.539 1.807 1.48 0.467
[2,] 525.324 1377.628 1457.672 1221.274 937.903 866.344 556.40 207.280
[3,] 502.564 1487.691 1124.611 1408.600 912.504 935.197 589.27 210.667
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.306 0.6582 2.091 1.919 1.462 1.016 1.908 1.983
[2,] 569.248 294.7573 845.198 984.378 454.949 463.667 824.625 748.192
[3,] 567.696 258.1210 822.475 865.037 504.804 345.703 806.348 774.497
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.09 1.273 2.023 1.567 1.117 1.863 1.68 2.034
[2,] 704.18 512.210 1315.155 650.734 419.217 1063.189 912.16 943.941
[3,] 692.00 522.550 1430.837 646.517 491.133 1039.750 1038.59 1046.702
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.218 1.588 0.8516 1.401 1.136 1.477 1.352 1.625
[2,] 749.437 631.219 267.7031 813.335 319.508 623.288 423.903 847.295
[3,] 880.178 641.291 243.6308 922.950 359.489 654.605 445.168 723.103
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.145 0.9882 1.789 1.449 1.697 0.8162 2.706 2.186
[2,] 1249.304 393.8797 881.888 537.162 1109.959 306.7136 990.628 999.338
[3,] 1089.826 377.6515 922.144 524.270 1120.311 269.6166 967.425 1012.623
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.452 2.94 2.85 2.675 2.221 0.3383 1.981 1.336
[2,] 994.359 1443.99 1227.54 1572.460 1403.086 165.5189 1136.524 745.590
[3,] 1069.031 1400.62 1168.26 1387.119 1312.882 152.8322 1352.967 869.776
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.083 1.094 1.2 0.58 1.481 1.125 3.704 3.047
[2,] 1054.123 501.971 488.3 248.88 812.674 462.562 1388.838 1183.690
[3,] 1453.706 492.763 475.4 222.03 742.702 503.435 1269.013 1247.988
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.185 1.123 0.9966 0.9371 1.576 0.7656 0.3893 14.18
[2,] 519.918 619.357 679.4466 680.0781 733.910 320.4183 130.2205 4527.80
[3,] 504.490 738.601 581.7951 624.1862 697.332 323.0202 144.4944 4891.88
[,97] [,98]
[1,] 5.073 3.557
[2,] 3016.595 1491.994
[3,] 2889.788 1768.860
[1] "--- VAR model 2017-10-04 01:01:00 completed"
[1] "Completed training sample: 2017-10-04 01:01:00 - 2017-10-04 09:00:00"
[1] "SpVAR; training sample: 2017-10-04 01:31:00 - 2017-10-04 09:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.889 7.3439 159.25 -3.778
16.914 -0.6878 64.23 -4.321
6.035 7.4673 -72.20 10.290
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.057 3.2347 4.448 9.609
-37.138 -0.1188 9.974 18.312
9.718 1.2374 9.810 -1.210
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.265 24.605 16.083 -20.94
-5.035 6.762 1.443 -16.34
34.665 49.364 11.584 -22.35
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.668 26.452 13.203 -0.8382
2.484 -7.437 2.334 -5.9038
0.798 -24.817 -4.765 -3.1922
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.63 7.771 18.33 24.865
28.89 12.403 -16.75 21.237
-14.83 11.588 45.25 5.726
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.268 -5.299 69.55 18.981
-2.612 1.490 -33.15 -10.148
-10.593 1.097 37.49 -6.378
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8814 12.661 -24.803 -18.51
0.1472 1.273 15.234 -11.50
2.5605 -9.193 4.059 -14.27
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-17.602 -7.053 -26.291 11.18
-4.818 -1.240 6.789 7.47
13.615 1.199 -3.150 -21.65
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5937 -30.147 10.53 19.48
-14.0768 -14.113 -25.77 -8.97
-2.1162 3.983 14.22 -14.17
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-19.9894 -2.293 -4.897 8.6800
11.0852 10.548 -11.363 -4.9143
-0.7995 -7.218 1.306 0.5958
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.707 -4.2832 2.169 -10.916
0.056 1.6724 5.280 2.331
-1.143 0.3456 -15.103 -15.876
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.414 9.207 -17.09 -16.928
6.727 -9.284 -10.66 2.676
5.273 8.410 10.11 -9.441
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.899 1.3495 -10.416 -4.501
22.880 1.9800 -6.173 -4.824
1.128 -0.7832 -11.770 -4.115
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.627 -10.471 -5.957 -16.465
-3.629 -10.800 -14.410 -8.331
-7.630 -7.648 10.924 -3.893
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.118 -3.096 -5.8732 1.906
-6.175 10.885 1.0717 -8.520
-5.081 -7.691 0.6355 -9.561
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4989 -27.452 -3.240 -2.164
-6.1730 -1.720 1.996 -11.956
0.7788 -7.669 6.589 -1.642
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-17.274 -2.675 0.9235 7.256
-2.958 -4.758 -5.4238 -8.994
-2.154 -10.903 2.3588 3.330
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.0005341 -0.7519 12.88 3.783
-0.4639189 0.3194 23.48 20.586
-6.1414820 2.7451 14.20 17.783
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-10.371 -20.5012 9.850 -0.05045
5.987 -0.7701 6.602 -9.78732
9.683 25.4810 -10.947 0.03758
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-14.796 -0.03571 9.130 1.8371
-8.664 -0.75846 -7.667 0.8397
11.832 -1.67856 5.484 -4.7170
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.694 -14.347 -0.29900 -0.2793
-3.908 1.055 0.05627 1.6636
3.625 2.318 -8.43597 -1.4431
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.574 -0.808 -8.442 -9.953
-4.944 -4.911 2.983 -15.357
14.495 7.920 7.485 -19.071
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.073 -11.676 1.140 7.823
10.494 17.028 -1.867 -5.037
-4.899 4.104 18.658 17.314
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
18.808 -3.4449 -3.321 -59.05
-3.631 3.4578 -6.851 25.87
-2.390 -0.1521 -2.971 31.43
rnd_95776.volume rnd_95787.volume
-32.672 14.444
-23.128 -24.400
2.504 -8.622
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.129 0.9953 60.16 2.707 2.367 0.4241 1.150 3.144 3.093 2.526 1.438
[2,] 2.650 1.2551 64.50 3.576 3.387 0.5281 1.362 3.979 3.963 3.994 2.024
[3,] 2.985 1.5053 66.14 4.206 4.090 0.6283 1.630 4.663 4.575 4.707 2.390
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.246 1.515 2.428 2.264 1.712 2.476 1.972 3.231 2.191 4.778 1.902
[2,] 2.858 1.930 3.134 3.147 1.996 3.385 3.104 4.475 3.177 5.841 2.195
[3,] 3.415 2.218 3.687 3.609 2.240 4.147 3.951 5.615 3.820 7.241 2.516
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.957 3.184 0.6376 2.851 2.746 1.761 2.577 0.6957 2.679 2.152 1.121
[2,] 8.978 4.143 0.8479 3.953 3.797 2.164 3.430 0.8427 3.530 2.651 1.410
[3,] 10.363 5.065 0.9978 4.907 4.741 2.592 4.254 0.9905 4.360 2.957 1.658
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.042 2.451 2.413 2.169 1.573 1.295 0.4233 1.086 0.5910 1.828 1.680
[2,] 3.948 3.527 3.228 2.706 2.233 1.588 0.5470 1.485 0.7804 2.311 2.382
[3,] 4.591 4.195 3.978 3.166 2.733 1.837 0.6617 1.754 0.9008 2.659 2.730
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.364 0.9003 1.576 1.796 1.818 1.175 1.729 1.393 1.037 1.684 1.430
[2,] 1.584 1.2111 2.175 2.340 2.294 1.464 2.827 1.758 1.261 2.416 2.099
[3,] 1.814 1.3841 2.583 2.673 2.591 1.689 3.823 2.074 1.512 3.078 2.730
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.694 1.162 1.353 0.7141 1.225 0.917 1.263 1.141 1.330 1.766 0.8963
[2,] 2.437 1.777 1.780 0.8420 1.801 1.050 1.636 1.421 1.991 2.756 1.1512
[3,] 2.933 2.309 2.116 0.9424 2.422 1.186 1.969 1.595 2.319 3.292 1.3309
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.507 1.230 1.372 0.6384 2.398 2.011 2.098 2.642 2.536 2.210 1.788
[2,] 2.262 1.474 2.237 0.8205 2.959 2.616 2.813 3.611 3.245 3.339 3.004
[3,] 2.756 1.676 2.931 0.9526 3.423 3.037 3.381 4.079 3.791 3.998 3.609
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.2904 1.804 1.293 1.956 0.9981 1.035 0.4934 1.266 1.025 3.200 2.600
[2,] 0.4362 2.633 1.836 2.598 1.3502 1.312 0.6720 1.882 1.303 3.963 3.428
[3,] 0.5303 3.384 2.380 3.392 1.6179 1.550 0.7944 2.256 1.593 4.462 4.222
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.009 1.039 0.8213 0.7917 1.370 0.7147 0.3387 11.45 4.037 3.008
[2,] 1.441 1.534 1.4227 1.4484 1.844 0.9328 0.4050 13.45 6.719 3.943
[3,] 1.661 1.904 1.7746 1.8319 2.210 1.1085 0.4638 15.67 8.734 4.984
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.703 1.264 76.4 3.438 3.006 0.5385 1.46 3.993
[2,] 931.843 451.449 13728.8 1379.438 1430.656 185.7838 431.58 1439.699
[3,] 810.617 490.614 8644.1 1307.498 1353.346 200.9990 528.32 1435.752
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.928 3.208 1.826 2.852 1.924 3.083 2.875 2.174
[2,] 1462.451 1826.731 840.506 1042.949 706.408 1170.528 1290.599 606.522
[3,] 1349.557 1469.876 750.865 1103.839 645.160 1146.386 1042.653 599.218
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.144 2.505 4.103 2.783 6.067 2.415 7.565
[2,] 1362.827 1415.422 1827.843 1358.472 1983.573 646.555 3966.012
[3,] 1414.693 1443.208 2002.339 1252.052 2527.184 726.775 3054.799
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 4.043 0.8096 3.621 3.487 2.236 3.272 0.8835
[2,] 1565.349 330.0061 1616.665 1548.209 742.672 1336.951 280.7217
[3,] 1720.063 310.6120 1716.377 1676.472 842.044 1485.714 307.2982
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 3.402 2.733 1.423 3.863 3.113 3.064 2.754 1.997
[2,] 1356.767 913.519 505.386 1485.936 1496.929 1266.142 955.683 935.496
[3,] 1511.334 774.182 514.858 1383.044 1341.132 1372.187 969.993 931.130
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.644 0.5376 1.379 0.7505 2.321 2.133 1.732 1.143
[2,] 542.651 204.5605 598.607 300.8567 834.643 997.116 476.467 478.323
[3,] 545.544 219.8066 551.067 265.6069 777.458 787.774 521.771 395.512
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.002 2.28 2.309 1.493 2.195 1.768 1.316 2.138
[2,] 885.009 886.36 825.508 515.447 1320.426 633.902 423.486 1022.511
[3,] 822.740 762.73 712.133 496.786 1519.668 648.758 492.728 1126.675
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.815 2.152 1.475 1.718 0.9068 1.556 1.164 1.603
[2,] 907.727 1034.157 793.597 682.850 263.4154 779.470 301.943 614.219
[3,] 1030.105 963.761 870.773 675.921 249.9427 956.233 325.015 646.786
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 1.448 1.689 2.242 1.138 1.913 1.563 1.742 0.8107
[2,] 499.881 874.741 1249.749 426.552 996.418 479.139 1043.607 304.2881
[3,] 427.864 701.755 1062.341 394.291 929.774 470.650 1117.507 285.7927
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 3.045 2.554 2.664 3.355 3.22 2.807 2.271 0.3687
[2,] 1023.762 987.854 1106.955 1452.734 1195.60 1477.895 1425.135 192.1697
[3,] 1015.696 910.849 1107.100 1120.967 1156.82 1298.255 1180.848 178.0775
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.291 1.642 2.484 1.267 1.314 0.6265 1.608 1.302
[2,] 1132.111 769.563 1009.466 536.853 476.060 269.4003 822.133 474.995
[3,] 1255.222 894.158 1287.831 526.261 486.821 250.0969 734.402 540.389
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 4.063 3.301 1.281 1.319 1.043 1.005 1.74 0.9076
[2,] 1380.493 1319.543 607.107 666.447 685.905 716.140 728.29 353.9596
[3,] 1210.501 1455.476 488.604 666.223 626.227 662.222 719.56 353.5610
[,95] [,96] [,97] [,98]
[1,] 0.4301 14.54 5.126 3.82
[2,] 131.0812 4159.27 3170.820 1505.55
[3,] 133.5001 4754.76 3295.267 1799.43
[1] "--- VAR model 2017-10-04 01:31:00 completed"
[1] "Completed training sample: 2017-10-04 01:31:00 - 2017-10-04 09:30:00"
[1] "SpVAR; training sample: 2017-10-04 02:01:00 - 2017-10-04 10:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-12.81 -2.461 113.77 17.653
-11.36 1.681 -13.64 -12.134
21.51 6.082 94.39 -8.181
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
33.945 3.5818 -1.032 46.074
4.317 2.7088 -7.217 -9.912
5.534 -0.4996 4.525 13.162
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
16.18 6.634 -2.188 -35.24
16.34 35.599 17.511 -16.27
-13.00 1.100 -5.513 -19.82
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-20.385 22.613 -16.01 -5.364
-16.177 -13.247 18.25 2.843
-8.165 -3.412 -26.75 -5.271
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
10.2182 42.17 8.948 -3.658
0.9031 -23.74 21.280 33.336
11.7664 15.68 12.289 11.241
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.027 -1.087 -5.567 30.866
-9.349 -5.235 -47.328 -11.431
3.955 -0.530 -22.163 -3.101
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
8.2534 -7.514 6.378 2.755
0.3988 -10.926 -20.517 13.641
3.7400 -32.817 -7.493 13.195
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
17.40 5.092 -11.1402 3.200
-18.63 -1.714 10.3928 -5.179
-7.36 9.142 -0.6595 1.152
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.394 14.32 35.076 3.421
1.213 35.84 2.948 3.925
12.270 -17.82 9.701 15.367
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
22.624 17.59 6.720 -1.644
16.529 -11.08 10.075 3.773
7.774 19.66 5.863 -5.716
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.652 0.1691 -9.515 -15.160
-9.457 2.4319 18.419 -3.339
0.329 -8.5260 -1.182 4.546
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.777 -13.135 -4.766 2.1627
8.155 12.550 -11.357 -0.2042
7.495 -7.241 -1.138 10.2128
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.697 7.422 8.852 1.546
5.568 4.164 4.588 3.728
-4.751 6.159 -3.254 5.121
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
10.828 -35.35 -8.568 2.794
10.657 26.49 2.617 1.251
-4.102 -25.46 -17.036 -5.315
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
6.342 0.9824 0.8265 -8.932
5.508 3.1786 1.0076 16.244
-6.130 2.5396 1.1888 -13.021
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.7647 2.035 -5.9651 8.7662
-0.9364 6.135 1.7937 0.3039
-6.0323 8.166 0.7879 12.5985
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.301 -0.760 1.491 3.449
8.201 -1.502 10.347 -7.360
-2.033 1.191 8.329 19.585
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.648 -2.263 9.4173 -2.852
2.474 2.530 -0.5483 -11.391
9.001 7.183 34.4324 22.480
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.710 6.243 -10.044 28.432
-16.069 -30.562 -7.001 -20.034
4.593 13.278 7.998 -9.731
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.48 -0.387 10.845 -5.2517
4.47 3.222 24.974 -0.7365
-11.07 -2.602 3.401 6.5171
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.772 1.032 -3.802 6.581
21.229 -1.095 3.182 -1.577
26.786 6.065 -3.008 -2.365
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.5943 -1.206 -20.222 12.98
-0.7534 -1.464 3.663 41.98
4.3723 14.912 11.327 30.27
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.316 -0.8561 -4.828 -5.783
13.021 3.9886 -5.633 -1.661
3.609 12.8129 2.925 1.389
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-11.532 0.2368 -5.115 -46.149
14.026 1.0830 -6.166 -4.704
-4.242 2.1570 -4.751 -29.415
rnd_95776.volume rnd_95787.volume
52.2371 -5.848
-7.7691 -8.271
0.1671 -8.130
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.224 1.076 60.70 2.890 2.722 0.4933 1.161 3.397 3.403 2.912 1.905
[2,] 2.883 1.424 64.92 3.966 3.777 0.6360 1.485 4.320 4.477 4.233 2.519
[3,] 3.226 1.668 66.60 4.648 4.521 0.7343 1.775 5.058 5.153 5.026 2.954
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.459 1.579 2.876 2.989 1.866 2.972 2.263 3.516 2.342 5.027 2.010
[2,] 3.250 2.058 3.547 3.948 2.213 3.880 3.487 4.903 3.430 6.527 2.437
[3,] 4.000 2.335 4.216 4.679 2.477 4.656 4.314 6.109 4.006 8.233 2.754
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.634 4.117 0.6666 3.288 2.915 1.919 2.930 0.7122 3.002 2.226 1.251
[2,] 9.629 5.726 0.9333 4.396 3.939 2.392 4.009 0.8816 4.033 2.873 1.554
[3,] 11.389 6.670 1.0907 5.433 5.064 2.794 4.803 1.0316 4.806 3.247 1.846
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.371 2.827 3.004 2.353 1.684 1.509 0.5433 1.337 0.7065 2.016 1.765
[2,] 4.294 3.946 3.730 3.041 2.477 1.842 0.6889 1.727 0.8742 2.520 2.576
[3,] 4.994 4.674 4.549 3.558 2.943 2.169 0.8182 1.996 1.0246 2.908 3.004
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.448 1.019 1.863 2.035 1.928 1.262 1.844 1.538 1.178 1.901 1.677
[2,] 1.799 1.314 2.407 2.553 2.462 1.584 3.095 1.992 1.443 2.835 2.376
[3,] 2.016 1.517 2.862 2.933 2.815 1.827 4.122 2.277 1.720 3.448 2.964
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.847 1.203 1.617 0.7668 1.394 0.9455 1.444 1.252 1.417 2.027 1.035
[2,] 2.666 1.932 2.152 0.9178 2.014 1.1172 1.807 1.554 2.086 3.063 1.261
[3,] 3.155 2.488 2.489 1.0075 2.702 1.2374 2.103 1.748 2.487 3.623 1.468
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.709 1.347 1.598 0.7052 2.593 2.183 2.403 2.842 2.743 2.563 1.971
[2,] 2.544 1.605 2.404 0.9142 3.247 2.881 3.123 3.806 3.546 3.548 3.141
[3,] 2.972 1.821 3.071 1.0852 3.663 3.369 3.771 4.476 4.219 4.391 3.881
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4192 2.169 1.564 2.182 1.189 1.120 0.5763 1.450 1.161 3.595 2.835
[2,] 0.5553 3.000 2.169 2.973 1.552 1.442 0.8358 2.072 1.500 4.464 3.741
[3,] 0.6731 3.756 2.756 3.823 1.821 1.670 0.9821 2.444 1.763 5.002 4.603
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.118 1.223 0.9859 0.9654 1.432 0.8319 0.3863 11.29 4.382 3.337
[2,] 1.587 1.793 1.6633 1.7298 1.919 1.0937 0.4691 13.50 7.406 4.317
[3,] 1.859 2.137 2.0732 2.1294 2.299 1.2685 0.5419 15.77 9.538 5.291
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.824 1.367 77.08 3.67 3.457 0.6264 1.474 4.314
[2,] 975.317 495.650 12252.77 1444.45 1392.415 213.5318 492.247 1419.503
[3,] 769.660 462.329 7909.04 1289.18 1321.178 195.1606 517.597 1398.291
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.322 3.698 2.419 3.123 2.005 3.652 3.796 2.37
[2,] 1547.224 1633.506 876.449 1130.361 702.503 1103.833 1372.079 632.60
[3,] 1356.861 1441.657 820.820 1240.185 586.080 1212.208 1334.922 592.25
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.774 2.873 4.465 2.974 6.384 2.552 8.424
[2,] 1326.717 1411.386 1817.365 1332.536 2213.623 733.112 3711.573
[3,] 1368.918 1350.537 1937.967 1100.989 2669.247 681.919 3234.517
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 5.227 0.8465 4.175 3.702 2.436 3.72 0.9044 3.812
[2,] 2117.066 347.4055 1551.928 1409.127 759.438 1455.46 276.3228 1431.956
[3,] 1819.083 300.1511 1698.165 1692.619 768.175 1406.49 284.9593 1390.329
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.827 1.588 4.281 3.59 3.814 2.989 2.139 1.917
[2,] 966.193 490.177 1413.993 1464.05 1175.887 1023.989 966.084 561.068
[3,] 804.411 530.222 1356.031 1332.32 1385.012 982.147 845.261 608.953
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.6899 1.697 0.8971 2.561 2.241 1.839 1.294 2.366
[2,] 225.2845 581.485 273.8590 803.942 997.942 567.196 441.059 810.401
[3,] 234.7345 532.318 284.1734 771.595 822.029 484.415 403.427 823.420
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.584 2.448 1.602 2.341 1.953 1.495 2.413 2.129
[2,] 819.837 814.273 509.465 1322.460 673.188 443.219 1119.061 895.214
[3,] 768.298 725.932 484.010 1447.386 586.734 497.823 1043.408 942.124
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 2.345 1.528 2.054 0.9738 1.77 1.201 1.833 1.59
[2,] 1022.605 804.025 754.938 268.1936 773.28 316.494 577.647 489.96
[3,] 897.074 833.627 665.075 221.0719 957.90 282.879 572.174 425.64
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.799 2.575 1.315 2.17 1.71 2.029 0.8955 3.293
[2,] 814.238 1221.259 382.701 1002.62 463.97 955.395 309.4442 1039.060
[3,] 720.358 1029.088 399.392 816.98 457.71 1016.151 310.9832 901.437
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.772 3.052 3.609 3.483 3.255 2.503 0.5323
[2,] 999.445 1060.622 1346.112 1195.177 1304.833 1300.543 193.6466
[3,] 928.734 1124.151 1253.492 1215.779 1375.914 1212.370 202.3602
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.754 1.986 2.771 1.51 1.422 0.7318 1.841 1.474
[2,] 1101.926 799.830 1074.153 530.34 482.987 321.9833 786.890 505.822
[3,] 1202.677 903.697 1278.208 506.74 447.688 274.2693 689.803 492.711
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 4.566 3.6 1.419 1.553 1.252 1.226 1.819 1.056
[2,] 1407.057 1298.0 599.451 697.130 712.480 763.372 678.842 377.564
[3,] 1199.980 1426.6 514.799 618.269 658.146 660.407 673.890 341.768
[,95] [,96] [,97] [,98]
[1,] 0.4905 14.34 5.565 4.238
[2,] 141.5607 3936.71 3175.020 1456.747
[3,] 144.2946 4331.54 3197.051 1626.858
[1] "--- VAR model 2017-10-04 02:01:00 completed"
[1] "Completed training sample: 2017-10-04 02:01:00 - 2017-10-04 10:00:00"
[1] "SpVAR; training sample: 2017-10-04 02:31:00 - 2017-10-04 10:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
18.897 -1.347 -4.088 -16.016
4.702 -4.338 50.401 -5.399
12.257 1.419 -72.980 -5.115
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
2.253 3.847 7.374 9.089
-18.398 2.885 2.363 12.366
-5.683 -1.098 6.981 10.773
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.5459 12.32 -0.5522 -24.000
20.1503 12.32 -4.8963 -23.432
0.9042 21.90 8.6646 -4.176
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.221 10.6569 34.288 -3.685
-2.748 -0.8676 3.094 -4.206
11.966 -4.6028 8.527 1.837
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.146158 -9.552 4.521 15.684
-0.009081 7.524 -1.987 9.946
6.431869 -2.349 34.507 11.716
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-28.611 3.358 -19.290 -20.40
-13.010 -6.490 -20.212 11.74
5.926 6.311 9.959 -21.25
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.796 -9.660 -0.3016 -4.852
-0.451 9.307 3.1208 -9.766
-5.294 -20.430 -2.0561 1.471
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.781 1.569 16.318 -8.313
-12.219 4.201 5.070 7.707
-8.513 5.527 3.925 -15.601
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.905 25.564 2.632 -2.8483
1.956 -7.279 -1.111 0.8813
-1.241 -16.486 -9.296 3.5823
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
6.59 10.6335 4.740 -1.471
10.22 -0.8491 3.153 2.518
6.12 19.5537 -3.036 2.171
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.541 -0.9532 0.4214 -6.127
13.840 2.6924 1.2066 -0.852
10.297 4.5234 0.4842 -4.481
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.803 2.432 -10.705 -1.170
6.987 1.489 6.141 5.011
10.466 5.022 7.489 4.928
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.329 8.1079 4.48 -12.342
9.409 0.5297 -19.02 3.944
-2.300 0.1691 27.93 2.389
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.684 -9.788 9.419 -5.0291
-2.259 -5.705 -13.808 2.2439
-3.337 10.795 7.131 0.1333
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.403 16.237 1.3736 -9.672
15.402 7.472 0.6398 9.725
-17.767 10.898 0.2816 5.835
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
5.8702 -1.424 -0.881 -10.955
-1.9072 -3.712 7.043 -7.338
-0.6654 8.220 -14.772 2.052
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.391 -1.46585 0.2186 0.6517
-9.478 -1.32181 -6.5979 -6.3756
10.361 0.07448 16.3570 -2.2315
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.3991 2.3501 5.488 11.257
0.1941 2.9222 4.877 19.266
-8.5107 0.5929 19.299 4.979
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-16.451 7.816 7.3509 -7.033
14.667 4.141 1.7230 16.212
9.515 12.591 -0.3149 10.783
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.964 -0.04819 3.890 0.8993
5.762 2.96671 -9.142 -2.6740
15.807 -0.29222 16.895 -17.2634
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
23.117 -3.4427 9.507 -0.6648
-10.291 3.1633 -3.169 2.7469
6.859 -0.7981 -9.183 2.9025
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.077 -1.006 28.37 5.602
3.906 -1.347 22.36 6.318
10.463 -4.537 13.63 8.208
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.954 0.6598 -5.180 -15.22
-5.341 0.9319 12.215 14.60
5.658 -5.9556 -7.444 2.45
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
7.6839 -3.940 -7.453 24.623
15.1327 4.719 -6.783 -25.838
0.1591 2.057 -6.633 2.499
rnd_95776.volume rnd_95787.volume
25.332 -29.55
45.996 20.21
-8.241 -13.34
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.508 1.282 61.86 3.281 2.936 0.5988 1.289 3.730 4.009 3.137 1.959
[2,] 3.258 1.656 65.63 4.459 4.064 0.7658 1.657 4.752 5.148 4.628 2.705
[3,] 3.620 1.911 67.12 5.174 4.863 0.8649 1.931 5.462 5.858 5.520 3.181
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.787 1.883 3.102 4.004 2.061 3.269 2.676 4.059 2.674 5.586 2.171
[2,] 3.608 2.273 3.867 5.372 2.509 4.332 3.812 5.598 3.879 7.055 2.654
[3,] 4.396 2.577 4.596 6.298 2.803 5.130 4.721 6.910 4.612 8.755 2.997
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.493 4.588 0.7627 3.563 3.356 2.204 3.318 0.8268 3.299 2.350 1.393
[2,] 10.747 6.286 1.0112 4.808 4.556 2.765 4.418 1.0096 4.479 3.073 1.721
[3,] 12.559 7.356 1.2180 6.007 5.597 3.183 5.166 1.1737 5.372 3.448 2.072
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.839 3.100 3.347 2.533 1.849 1.752 0.5986 1.428 0.7960 2.258 1.879
[2,] 4.781 4.445 4.113 3.377 2.728 2.077 0.7559 1.931 0.9594 2.754 2.826
[3,] 5.444 5.145 4.968 3.824 3.252 2.332 0.8948 2.276 1.1305 3.169 3.334
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.643 1.179 2.096 2.171 2.052 1.354 2.005 1.809 1.246 2.272 1.926
[2,] 1.993 1.472 2.712 2.845 2.614 1.766 3.438 2.202 1.573 3.047 2.643
[3,] 2.240 1.650 3.299 3.259 2.983 1.993 4.547 2.551 1.820 3.767 3.215
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.062 1.404 1.803 0.8291 1.442 1.010 1.561 1.489 1.704 2.336 1.171
[2,] 3.003 2.329 2.363 0.9742 2.160 1.184 1.965 1.795 2.392 3.558 1.443
[3,] 3.420 2.942 2.733 1.0643 3.109 1.348 2.329 2.041 2.791 4.129 1.630
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.832 1.625 1.845 0.8101 2.779 2.423 2.671 3.142 3.110 2.778 2.322
[2,] 2.804 1.979 2.764 1.0556 3.386 3.204 3.540 4.253 3.994 4.050 3.583
[3,] 3.297 2.221 3.397 1.2364 3.983 3.745 4.137 4.887 4.699 4.951 4.307
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5099 2.602 1.932 2.474 1.324 1.229 0.7254 1.641 1.364 4.046 3.271
[2,] 0.6579 3.410 2.481 3.375 1.672 1.603 0.9826 2.273 1.712 4.913 4.342
[3,] 0.7751 4.226 3.027 4.221 1.992 1.887 1.1398 2.735 1.995 5.479 5.361
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.268 1.380 1.073 1.141 1.591 0.9762 0.4031 11.31 5.195 3.657
[2,] 1.745 1.953 1.792 1.873 2.118 1.2545 0.4946 13.67 8.411 4.786
[3,] 2.032 2.330 2.204 2.294 2.502 1.4560 0.5755 16.02 10.865 5.886
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.184 1.628 78.55 4.166 3.728 0.7604 1.637 4.737
[2,] 878.349 442.555 9260.46 1274.555 1186.050 201.5184 439.718 1243.122
[3,] 665.513 402.247 5929.63 1108.410 1127.560 169.7172 418.011 1136.746
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.091 3.984 2.488 3.539 2.391 3.94 5.084 2.618
[2,] 1363.099 1436.302 787.131 967.583 537.724 974.60 1512.283 603.670
[3,] 1180.578 1270.482 707.142 1060.237 512.478 1048.77 1387.375 527.447
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.151 3.398 5.154 3.396 7.093 2.756 9.515
[2,] 1199.989 1146.236 1627.630 1186.167 1819.267 644.509 3252.091
[3,] 1160.057 1175.478 1710.726 1053.489 2188.406 587.875 2743.935
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 5.826 0.9685 4.524 4.262 2.799 4.213 1.05 4.189
[2,] 1813.621 280.3217 1363.068 1300.602 704.462 1231.294 244.66 1278.954
[3,] 1613.562 286.6609 1520.508 1372.736 665.954 1130.319 252.65 1252.667
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.984 1.768 4.875 3.936 4.251 3.216 2.348 2.225
[2,] 835.870 427.045 1203.282 1344.896 1008.730 942.848 846.885 470.658
[3,] 660.700 487.289 1099.352 1093.613 1176.386 758.030 746.984 448.311
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.7601 1.813 1.011 2.868 2.386 2.086 1.497 2.661
[2,] 194.8526 548.735 226.068 665.717 891.221 476.344 372.399 726.966
[3,] 202.1947 509.045 252.487 661.511 746.555 431.592 314.224 792.974
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.757 2.606 1.719 2.546 2.297 1.583 2.884 2.446
[2,] 775.989 683.261 478.806 1179.246 529.893 404.899 857.194 764.278
[3,] 671.702 606.957 389.940 1256.233 543.485 387.044 934.990 772.433
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.618 1.782 2.29 1.053 1.831 1.283 1.982 1.89 2.164
[2,] 921.505 784.541 644.56 215.973 679.048 260.266 503.684 423.67 708.446
[3,] 691.080 759.301 579.86 180.951 943.946 272.077 527.579 410.18 607.403
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.966 1.487 2.326 2.063 2.343 1.029 3.529 3.077
[2,] 1133.354 356.303 895.990 477.029 868.550 285.682 816.741 884.525
[3,] 884.543 319.955 732.201 426.043 834.158 271.825 885.804 818.729
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.392 3.989 3.95 3.527 2.948 0.6475 3.304 2.454
[2,] 980.398 1210.095 1057.49 1244.185 1152.279 175.4925 930.832 656.559
[3,] 904.299 1016.589 1045.39 1202.336 1008.798 172.9944 1053.470 732.163
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.142 1.681 1.56 0.9211 2.084 1.732 5.137 4.153
[2,] 968.775 431.470 434.37 279.8491 664.089 436.740 1177.066 1205.967
[3,] 1070.513 456.993 420.27 243.8324 641.748 432.899 1023.827 1327.555
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.611 1.752 1.363 1.449 2.021 1.24 0.5118 14.37
[2,] 505.924 583.282 605.752 627.135 590.211 332.66 120.9821 3241.85
[3,] 439.579 536.732 542.134 558.821 562.497 311.98 124.2230 3527.46
[,97] [,98]
[1,] 6.597 4.644
[2,] 2792.683 1303.189
[3,] 2903.731 1446.514
[1] "--- VAR model 2017-10-04 02:31:00 completed"
[1] "Completed training sample: 2017-10-04 02:31:00 - 2017-10-04 10:30:00"
[1] "SpVAR; training sample: 2017-10-04 03:01:00 - 2017-10-04 11:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-16.101 -1.048 53.37 -20.586
3.180 -9.672 -53.15 -13.208
-2.917 5.890 37.08 3.577
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-13.46 1.4138 1.607 11.59
-17.88 1.2758 7.005 -12.87
-8.30 -0.4698 -7.603 -4.80
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.801 14.467 6.673 -7.011
7.811 8.287 4.986 -12.214
-8.556 -22.054 4.990 -29.189
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.348 -2.056 11.453 4.0092
4.344 2.944 3.468 0.5726
2.386 -5.115 13.064 3.3984
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
10.007 15.135 -6.344 -11.651
-3.737 -1.005 -2.821 25.454
-8.228 -19.372 -8.902 -3.235
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-20.535 1.737 6.668 24.120
-7.979 1.863 -26.829 -9.038
-11.740 -9.535 -8.414 11.067
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.2895 -15.670 -27.93 -7.539
1.4307 0.171 12.25 -10.456
-0.3376 -19.850 -33.56 -12.653
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-28.037 2.7529 -24.309 -5.790
-8.162 0.7541 2.631 -9.498
2.149 -3.9872 -9.573 6.695
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.439 -17.27 -12.224 -8.955
-2.423 -24.32 -11.587 -26.015
-8.033 -18.58 -2.138 -11.372
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.429 -1.0341 -3.058 0.5866
5.776 -0.3479 -0.604 0.8136
-1.877 -4.3717 -6.402 -2.4044
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.858 -1.490 -10.389 -5.38883
4.287 -1.276 -1.872 -6.19906
-8.750 2.468 -6.826 -0.07299
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.424 -2.789 -20.1964 -14.08
3.136 6.831 -0.3194 19.67
6.666 -3.948 0.2577 -2.72
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.351 1.6377 12.578 13.170
-6.409 -6.2512 -11.563 2.532
5.287 0.0791 -9.189 9.519
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.348 -0.6131 -8.526 2.004
-9.612 6.8755 14.765 2.213
-4.485 -8.5238 -17.017 1.664
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.152 11.5337 -0.5934 -5.1153
-4.430 12.1686 -3.0825 -0.2391
8.519 -0.1587 1.4441 5.4433
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.6534 -7.455 -0.2384 -1.778
-0.9919 -2.918 4.1631 -7.253
-1.7627 1.454 1.2323 4.802
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.12036 0.3808 -5.856 -4.9636
-13.48681 -2.4668 4.363 -0.6993
-0.05863 -0.3485 -10.257 -2.0331
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.752 -1.937123 -3.0947 -0.2130
5.456 0.009961 -0.8068 -5.2254
-5.935 2.580350 2.2689 -0.4259
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.651 -6.458 11.0999 -15.670
-4.243 -18.074 0.5619 -25.195
-4.386 1.847 0.4401 -5.067
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.163 1.864 1.063 10.770
-6.678 -2.115 2.313 12.917
-28.385 -2.016 -21.902 8.931
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.585 -5.0942 9.332 -0.44687
-0.538 3.4978 1.786 1.47629
1.074 0.6049 1.701 -0.09803
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.021 -6.536 -7.2907 2.682
7.372 -4.665 -0.7989 -7.058
-7.546 10.813 -14.5865 -14.443
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.3643 -5.042 -0.8250 4.774
-0.8493 13.572 0.8911 -11.416
-11.3404 -2.059 11.6167 18.216
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.6574 0.9824 -5.347 -15.763
-4.4258 0.3423 -4.390 3.387
11.4317 1.1098 -4.566 5.447
rnd_95776.volume rnd_95787.volume
-30.61 10.379
-31.65 -21.569
32.83 -5.557
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.545 1.492 62.63 3.519 3.284 0.7271 1.429 4.018 4.345 3.425 2.069
[2,] 3.441 1.887 66.01 4.780 4.449 0.8653 1.759 5.038 5.455 5.155 2.847
[3,] 3.891 2.141 67.33 5.672 5.151 0.9618 2.054 5.769 6.220 5.982 3.310
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.058 2.001 3.371 4.504 2.294 3.362 2.964 4.530 2.897 6.007 2.536
[2,] 3.815 2.391 4.118 5.697 2.889 4.483 4.088 6.184 4.224 7.555 3.017
[3,] 4.601 2.686 4.843 6.600 3.220 5.286 5.046 7.391 4.982 9.176 3.298
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.085 4.960 0.9331 3.798 3.408 2.532 3.411 0.9132 3.538 2.760 1.542
[2,] 11.417 6.783 1.1923 5.245 4.800 3.077 4.662 1.0689 4.712 3.390 1.976
[3,] 13.568 7.883 1.3911 6.415 6.052 3.461 5.696 1.2407 5.692 3.813 2.244
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.109 3.364 3.604 2.940 2.008 1.851 0.6671 1.681 0.8757 2.405 2.116
[2,] 5.110 4.706 4.364 3.702 3.109 2.228 0.8615 2.241 1.0594 2.994 3.116
[3,] 5.780 5.415 5.203 4.102 3.647 2.556 1.0151 2.618 1.2381 3.485 3.780
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.782 1.425 2.367 2.402 2.435 1.579 2.333 2.054 1.358 2.443 2.169
[2,] 2.194 1.692 3.091 3.115 2.963 1.951 3.924 2.432 1.700 3.372 2.915
[3,] 2.461 1.871 3.708 3.530 3.333 2.198 4.975 2.749 1.967 4.173 3.614
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.268 1.541 2.038 0.8464 1.677 1.071 1.767 1.635 1.902 2.547 1.367
[2,] 3.198 2.593 2.646 1.0080 2.457 1.233 2.147 1.939 2.656 3.802 1.634
[3,] 3.859 3.275 3.010 1.1066 3.473 1.379 2.583 2.223 2.998 4.412 1.805
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.050 1.912 1.997 0.9309 2.950 2.588 2.960 3.333 3.523 3.178 2.557
[2,] 3.056 2.240 3.082 1.1699 3.668 3.491 3.831 4.750 4.388 4.514 3.852
[3,] 3.619 2.492 3.828 1.3763 4.229 4.043 4.538 5.401 5.076 5.393 4.728
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5644 2.912 2.111 2.785 1.496 1.404 0.807 1.737 1.556 4.402 3.585
[2,] 0.7191 3.730 2.833 3.813 1.822 1.769 1.107 2.570 1.932 5.222 4.805
[3,] 0.8544 4.609 3.456 4.749 2.182 2.046 1.281 3.009 2.231 5.947 5.730
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.420 1.574 1.182 1.229 1.843 1.178 0.4329 11.38 6.051 4.197
[2,] 1.875 2.124 1.982 2.045 2.368 1.447 0.5213 13.92 9.856 5.443
[3,] 2.194 2.522 2.447 2.491 2.724 1.682 0.6056 16.42 12.179 6.402
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.232 1.895 79.53 4.469 4.17 0.9233 1.815 5.103
[2,] 845.985 421.831 7617.74 1182.151 1096.64 171.3866 374.488 1110.611
[3,] 663.643 369.895 4849.14 1115.540 948.72 153.4825 387.843 1026.656
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.518 4.349 2.628 3.883 2.541 4.281 5.72 2.913
[2,] 1204.758 1407.716 714.503 833.355 477.967 864.215 1274.79 641.667
[3,] 1091.837 1109.090 617.200 939.646 447.679 931.022 1217.43 519.845
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.27 3.763 5.753 3.679 7.628 3.221 10.27 6.299
[2,] 1083.63 1028.842 1538.184 1122.978 1674.286 597.143 2945.10 1690.750
[3,] 1023.46 1080.949 1478.774 965.511 1902.987 486.652 2679.01 1466.971
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.185 4.823 4.327 3.215 4.331 1.16 4.492 3.505
[2,] 271.171 1321.913 1235.146 639.032 1161.209 202.94 1137.337 719.400
[3,] 261.863 1349.420 1347.077 578.457 1195.521 230.16 1166.628 637.635
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.958 5.217 4.272 4.577 3.733 2.549 2.351 0.8471
[2,] 451.262 1110.181 1202.606 898.851 822.156 867.303 453.377 199.1797
[3,] 389.191 986.759 978.663 1035.195 645.267 696.455 457.549 196.1938
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.135 1.112 3.054 2.686 2.263 1.81 3.006 3.05 3.092
[2,] 541.326 217.869 651.612 835.827 467.334 333.38 726.539 724.63 617.211
[3,] 494.627 234.118 651.535 782.108 408.074 291.19 748.492 607.02 557.107
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.006 2.963 2.608 1.725 3.103 2.754 2.88 1.956
[2,] 418.691 1153.028 475.562 373.864 849.083 711.873 823.79 762.183
[3,] 369.419 1117.062 468.935 361.402 898.110 780.482 789.06 730.564
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.588 1.075 2.129 1.36 2.243 2.076 2.415 3.234
[2,] 616.515 199.979 656.281 223.25 445.990 381.395 677.134 1031.557
[3,] 524.479 166.836 897.011 226.10 524.526 396.726 508.122 817.488
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.736 2.603 2.428 2.535 1.182 3.746 3.286 3.759
[2,] 326.918 828.175 426.537 858.031 258.917 796.347 855.975 888.814
[3,] 280.455 708.515 398.886 829.382 264.905 769.086 745.203 888.307
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.232 4.473 4.036 3.247 0.7167 3.698 2.68 3.536
[2,] 1236.437 955.993 1171.052 1052.502 162.8226 851.839 690.39 951.464
[3,] 939.472 932.348 1078.583 1001.636 168.5828 989.040 723.39 1034.233
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.9 1.783 1.025 2.206 1.975 5.589 4.553 1.803
[2,] 380.2 393.378 276.862 692.080 418.493 1026.525 1168.954 447.333
[3,] 438.4 375.488 235.281 571.422 408.045 1040.261 1140.228 416.134
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.999 1.501 1.561 2.341 1.495 0.5497 14.45 7.683
[2,] 521.157 581.319 597.320 543.102 306.992 106.1130 2927.58 2842.565
[3,] 496.973 524.431 519.686 492.000 313.718 112.6136 3183.29 2614.336
[,98]
[1,] 5.329
[2,] 1266.686
[3,] 1231.382
[1] "--- VAR model 2017-10-04 03:01:00 completed"
[1] "Completed training sample: 2017-10-04 03:01:00 - 2017-10-04 11:00:00"
[1] "SpVAR; training sample: 2017-10-04 03:31:00 - 2017-10-04 11:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.563 13.484 93.624 8.675
-12.963 1.608 28.933 -44.595
3.306 -11.178 6.001 -22.584
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
11.081 -2.256 5.825 -8.012
1.388 3.994 -1.852 17.350
-31.216 1.379 -1.441 -1.579
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-7.833 -24.168 1.297 -20.722
21.717 27.241 6.794 -17.439
-1.392 -9.822 1.935 -5.825
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-12.449 5.757 -12.0146 5.50
-4.408 -14.073 -0.1193 -5.43
-7.773 -2.075 -30.5251 6.67
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.947 7.508 -1.636 7.846
-15.452 -2.016 1.203 13.926
2.073 -24.607 7.650 11.199
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
31.244 -0.5191 -51.26 -50.88
-4.125 15.9981 -22.13 -43.43
-2.107 -1.8966 -16.59 -20.70
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
10.4270 -38.55 -37.36 4.53928
-0.3277 -16.24 -44.72 0.09362
5.3454 -36.25 -6.97 -1.09608
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.1995 -0.5296 0.6298 -3.269
-29.1555 2.5515 -19.5246 -4.708
-31.8429 2.0927 -50.0268 -3.572
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.032 11.42 23.16 0.6918
-4.822 14.80 11.86 7.3773
-7.849 -33.86 -25.67 -7.0293
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.726 24.468 6.141 6.005
9.936 1.300 11.775 -1.997
-9.127 6.346 -3.448 3.004
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.777 -0.7074 -6.956 -21.043
2.241 1.1186 4.986 -19.924
-3.366 -4.8513 2.197 -7.024
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.9472 3.890 -9.749 3.826
0.7583 -4.979 14.201 -1.180
1.3152 4.485 -20.142 16.181
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
24.265 -0.2002 -10.321 13.8889
10.393 11.0701 7.234 -0.2776
1.832 0.6571 -9.581 8.1772
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.2269 -2.746 -11.4215 2.754
6.5589 1.752 -3.4821 -8.389
-5.6136 -12.950 0.6656 5.009
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.9781 -1.102 -1.62461 6.751
-7.0943 -1.152 -0.04137 1.044
-0.5876 2.223 -1.98270 -6.675
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2442 -11.864 -1.502 2.130
-4.6156 4.411 -4.818 -12.331
-1.0874 7.532 13.094 5.233
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.278 4.771 19.136 3.817
-20.617 -2.033 -8.691 5.527
-5.504 -4.367 -18.455 3.082
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.413 -5.169 -1.244 -9.087
1.807 8.546 -8.033 1.981
-16.997 -2.984 -4.941 -9.670
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6699 -5.305 9.6600 3.122
-4.7873 -19.745 -17.1150 -6.086
-5.4808 -6.732 0.4973 -16.641
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.248 2.460 3.473 -13.684
-8.951 1.322 -4.073 -10.010
-25.170 1.432 -4.302 -4.012
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.148 9.590 -8.562 2.019
9.986 -5.671 -1.130 2.264
3.244 6.203 4.605 -2.211
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
11.736 6.699 -16.421 3.047
11.491 4.642 -4.970 18.213
6.924 -6.724 -1.632 -8.365
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.039 -11.739 -8.782 -9.978
1.582 3.369 -8.240 -7.156
-10.190 6.720 1.977 3.173
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.692 3.6711 -7.734 -22.464
12.388 -1.1213 -5.688 -1.673
-3.557 -0.3965 -5.130 17.601
rnd_95776.volume rnd_95787.volume
28.59 -40.14
-38.71 -20.84
59.21 -18.27
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.806 1.721 64.44 4.071 3.520 0.7701 1.637 4.441 4.658 3.721 2.336
[2,] 3.768 2.159 66.98 5.254 4.819 0.9346 1.951 5.551 5.942 5.595 3.119
[3,] 4.205 2.456 67.94 6.329 5.540 1.0588 2.222 6.249 6.597 6.345 3.581
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.583 2.134 3.614 5.064 2.631 3.448 3.287 4.748 3.462 6.454 2.640
[2,] 4.293 2.573 4.414 6.451 3.193 4.764 4.376 6.466 4.650 8.153 3.154
[3,] 4.995 2.894 5.207 7.466 3.578 5.622 5.372 7.703 5.408 9.595 3.442
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.847 5.436 1.014 4.481 3.979 2.803 3.839 0.9659 3.947 2.956 1.650
[2,] 12.441 7.347 1.281 5.981 5.474 3.421 5.097 1.1531 5.232 3.639 2.084
[3,] 14.921 8.538 1.478 7.050 6.979 3.884 6.293 1.3654 6.159 4.172 2.387
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.396 3.566 3.941 3.414 2.284 2.100 0.7670 1.922 0.9967 2.593 2.312
[2,] 5.521 5.051 4.760 4.140 3.575 2.494 0.9617 2.470 1.2105 3.231 3.425
[3,] 6.364 5.857 5.669 4.591 4.228 2.845 1.1368 2.798 1.3667 3.661 4.106
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.986 1.572 2.522 2.778 2.727 1.748 2.658 2.443 1.510 2.735 2.482
[2,] 2.421 1.846 3.367 3.587 3.242 2.081 4.270 2.854 1.865 3.768 3.245
[3,] 2.700 2.039 4.002 3.943 3.680 2.374 5.322 3.180 2.136 4.629 3.877
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.412 1.701 2.246 0.9292 1.916 1.178 1.852 1.686 2.016 2.717 1.483
[2,] 3.386 2.911 2.838 1.1064 2.842 1.322 2.260 2.073 2.824 3.903 1.775
[3,] 4.079 3.579 3.180 1.2102 4.079 1.471 2.785 2.376 3.292 4.615 1.969
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.262 2.210 2.325 1.036 3.274 3.016 3.441 3.559 3.881 3.562 2.869
[2,] 3.380 2.542 3.436 1.280 4.010 4.086 4.278 5.027 4.889 4.947 4.252
[3,] 4.004 2.814 4.221 1.497 4.587 4.574 4.876 5.666 5.687 5.855 5.154
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6656 2.995 2.282 3.254 1.650 1.612 0.9313 2.090 1.741 4.814 4.051
[2,] 0.8351 4.022 3.021 4.248 2.006 1.984 1.3080 2.897 2.162 5.642 5.212
[3,] 0.9640 5.002 3.629 5.130 2.372 2.290 1.4994 3.376 2.538 6.374 6.096
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.570 1.634 1.359 1.374 2.085 1.294 0.5108 11.28 7.265 4.729
[2,] 2.057 2.317 2.200 2.292 2.631 1.613 0.6183 13.75 10.900 6.027
[3,] 2.356 2.750 2.796 2.844 3.021 1.863 0.7132 16.20 13.667 7.006
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.564 2.186 81.83 5.17 4.47 0.9779 2.079 5.639
[2,] 814.393 421.978 5915.58 1075.65 1065.85 171.5013 343.645 1079.082
[3,] 604.837 379.685 3689.01 1143.38 885.61 161.1893 344.532 929.505
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.915 4.726 2.966 4.55 2.71 4.589 6.431 3.341
[2,] 1194.819 1353.242 669.350 765.78 465.74 821.216 1294.623 585.670
[3,] 928.157 969.361 569.989 826.95 428.74 894.843 1217.294 523.323
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.378 4.174 6.029 4.397 8.195 3.352 11.23 6.903
[2,] 1064.920 936.035 1421.491 1005.311 1613.493 559.230 2833.29 1600.957
[3,] 967.114 1009.308 1356.395 894.482 1638.916 446.308 2668.00 1408.873
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.288 5.69 5.052 3.559 4.875 1.226 5.012 3.753
[2,] 253.586 1283.28 1217.843 635.317 1085.813 204.039 1112.508 687.717
[3,] 238.565 1208.55 1402.043 595.874 1195.388 236.846 1052.107 661.063
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.095 5.582 4.528 5.004 4.335 2.9 2.667 0.974
[2,] 412.315 1082.079 1158.708 864.578 758.509 890.8 435.627 187.884
[3,] 377.051 1025.202 960.153 997.188 642.770 731.4 443.294 196.392
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.441 1.266 3.293 2.936 2.522 1.996 3.203 3.527
[2,] 502.597 222.482 624.290 818.300 448.209 313.847 722.341 735.208
[3,] 425.662 205.544 557.998 733.592 387.290 280.423 700.825 530.216
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.463 2.22 3.375 3.102 1.918 3.473 3.151 3.063
[2,] 567.979 365.89 1082.321 477.986 354.651 839.720 677.080 769.575
[3,] 563.763 369.88 1029.310 454.281 337.275 870.581 687.525 736.664
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.159 2.853 1.18 2.433 1.495 2.351 2.141 2.56 3.451
[2,] 765.269 561.613 194.53 679.990 194.394 419.618 390.809 640.64 907.253
[3,] 674.278 465.198 158.88 947.581 209.194 527.468 376.185 547.91 797.788
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.884 2.872 2.806 2.953 1.316 4.157 3.83 4.369
[2,] 315.412 813.550 407.130 819.461 243.145 749.927 893.07 823.589
[3,] 276.732 695.235 390.494 794.175 251.765 721.478 665.74 757.742
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.519 4.928 4.523 3.643 0.8452 3.803 2.897 4.132
[2,] 1149.870 962.963 1112.068 1016.589 163.3847 869.405 641.286 884.418
[3,] 846.744 941.541 1014.404 943.514 155.9608 963.504 651.371 932.023
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.095 2.048 1.183 2.654 2.211 6.113 5.144 1.993
[2,] 369.783 374.275 297.488 649.672 415.145 952.666 1062.352 430.786
[3,] 409.913 370.523 237.416 561.323 430.385 960.661 1024.125 371.708
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.075 1.726 1.744 2.648 1.643 0.6486 14.32 9.226
[2,] 532.163 560.234 594.205 519.682 311.751 112.8398 2545.69 2631.744
[3,] 479.389 558.929 545.365 480.912 302.199 115.1653 2775.80 2670.923
[,98]
[1,] 6.005
[2,] 1210.094
[3,] 1157.048
[1] "--- VAR model 2017-10-04 03:31:00 completed"
[1] "Completed training sample: 2017-10-04 03:31:00 - 2017-10-04 11:30:00"
[1] "SpVAR; training sample: 2017-10-04 04:01:00 - 2017-10-04 12:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
6.777 1.179 -1.770 27.167
-4.968 10.699 -3.152 -5.323
4.237 5.218 -10.075 6.294
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
8.684 -2.60841 3.9892 -7.1695
3.137 4.04876 0.1044 7.1691
1.674 -0.06914 8.2724 0.7619
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.7264 12.378 -8.358 -12.47
-3.7855 -8.063 8.125 -23.98
0.0904 12.217 -2.911 -27.71
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.0646 13.537 35.170 12.015
-0.3065 -7.917 -10.322 5.089
-2.7704 -7.564 -6.761 2.332
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
11.245 15.655 14.02 5.319
3.117 4.183 19.22 20.485
6.837 -4.181 26.90 20.200
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.24 -9.6075 -5.709 -1.24
13.06 8.8033 -24.560 -18.68
-16.55 0.6777 13.733 -11.38
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.5536 1.952 -2.073 10.7163
-1.8942 -24.930 21.860 0.3378
0.9132 -20.258 -29.063 1.2344
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
16.127 5.775 19.069 7.984
5.771 -4.418 -4.171 -2.515
-7.334 3.134 1.190 -6.481
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.224 -15.76 4.168 -6.1384
-1.011 29.35 0.842 5.5201
-6.054 -10.54 -1.273 -0.3194
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-14.02 -6.330 2.354 0.1772
10.39 4.748 -0.409 0.4422
13.20 2.256 -4.323 -0.6326
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-11.358 1.137 -4.854 -4.67
5.752 -2.494 4.037 -12.30
-4.531 1.426 -1.693 -2.92
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.117 9.6568 0.4673 -0.8547
4.752 -5.3609 -0.9281 9.8419
5.470 0.5744 -3.1415 -4.4741
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.911 -8.229 4.851 3.1927
11.478 -2.291 2.202 -0.3145
-4.549 -2.964 8.928 12.3028
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.062 16.38 6.882 -10.15
-2.674 -9.80 5.027 24.31
2.450 10.27 3.655 -14.86
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.728 3.847 -4.0463 3.713
11.896 -9.269 0.4121 -14.727
-1.677 2.894 4.9381 10.585
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.052 11.296 5.6496 13.8252
-2.008 -13.999 0.8741 4.3236
-3.724 2.393 0.4544 -0.7063
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.191 -1.597 -2.704 1.665
10.954 -5.167 17.160 -2.683
-8.947 1.050 5.514 3.636
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.353 -2.5999 13.386 7.059
3.818 -0.9995 -5.944 -6.659
10.542 -1.9238 -7.748 -5.590
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.449 5.368 -12.6352 3.8692
12.143 14.267 -11.5190 -1.6314
1.865 5.696 -0.3103 0.8349
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.7863 -0.4104 -15.048 1.860
9.5936 0.9276 6.897 -2.075
-0.9781 -0.7788 13.669 -1.068
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.642 -1.0332 -2.8521 5.249
9.654 -0.6071 -0.5102 -1.019
0.142 3.7867 1.3184 2.837
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.4933 -0.3126 -15.525 -16.205
0.1305 12.8473 13.403 -1.642
8.1460 4.2315 4.113 -9.258
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-8.686 6.2282 3.401 1.3012
5.803 0.1653 -1.964 5.3125
-7.158 -5.5288 1.997 -0.6342
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
7.394 4.374 -6.963 10.88
-1.829 2.018 -7.239 20.20
-2.041 -2.048 -7.125 19.87
rnd_95776.volume rnd_95787.volume
-6.464 4.131
-1.300 -28.717
17.236 -4.721
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.018 2.148 6.108 4.421 3.767 0.8201 1.710 4.735 5.168 4.151 2.625
[2,] 3.960 2.525 7.463 5.480 5.128 1.0015 2.036 5.920 6.355 5.876 3.360
[3,] 4.414 2.789 8.385 6.419 5.908 1.1244 2.301 6.642 7.090 6.743 3.804
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.877 2.226 3.687 5.798 2.935 3.648 3.695 4.936 3.770 6.968 2.714
[2,] 4.631 2.710 4.702 7.359 3.577 5.173 4.732 6.553 5.012 8.664 3.314
[3,] 5.302 2.995 5.457 8.382 3.989 6.052 5.864 7.974 5.908 9.969 3.632
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.606 5.554 1.118 4.684 4.250 3.005 4.053 1.035 4.044 3.190 1.697
[2,] 13.248 7.257 1.363 6.045 5.340 3.647 5.391 1.252 5.410 3.886 2.180
[3,] 15.545 8.645 1.587 7.516 7.142 4.140 6.484 1.451 6.269 4.403 2.554
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.851 3.921 4.085 3.630 2.493 2.345 0.891 2.165 1.092 2.767 2.470
[2,] 5.850 5.361 5.031 4.444 3.815 2.754 1.085 2.661 1.315 3.421 3.611
[3,] 6.733 6.235 5.975 4.965 4.479 3.101 1.261 3.066 1.487 3.908 4.293
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.139 1.654 2.770 2.888 3.057 1.980 2.874 2.601 1.614 2.964 2.676
[2,] 2.557 1.979 3.704 3.849 3.610 2.323 4.432 3.022 1.961 4.000 3.466
[3,] 2.818 2.194 4.367 4.219 4.007 2.608 5.744 3.385 2.221 4.898 4.211
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.585 1.828 2.577 0.9872 2.143 1.278 2.184 1.928 2.290 2.878 1.563
[2,] 3.691 3.218 3.216 1.1508 3.197 1.418 2.647 2.305 3.172 4.234 1.918
[3,] 4.526 3.872 3.528 1.2756 4.382 1.591 3.232 2.576 3.612 5.003 2.112
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.506 2.377 2.538 1.199 3.468 3.311 3.847 4.006 4.373 3.876 3.306
[2,] 3.696 2.750 3.681 1.406 4.332 4.279 4.683 5.372 5.224 5.255 4.722
[3,] 4.309 3.058 4.559 1.614 5.044 4.883 5.301 6.088 6.044 6.078 5.559
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6981 3.266 2.511 3.473 1.781 1.769 1.124 2.332 2.189 5.512 4.379
[2,] 0.9139 4.397 3.209 4.563 2.163 2.114 1.491 3.195 2.625 6.306 5.585
[3,] 1.0676 5.456 3.779 5.432 2.490 2.399 1.665 3.726 2.970 6.985 6.481
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.736 1.710 1.502 1.468 2.284 1.495 0.5343 9.492 7.634 4.698
[2,] 2.245 2.538 2.281 2.348 2.816 1.849 0.6539 12.676 11.859 5.888
[3,] 2.524 2.960 2.882 2.979 3.239 2.051 0.7476 15.299 14.437 7.227
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.832 2.728 7.756 5.614 4.783 1.041 2.171 6.012
[2,] 740.841 383.608 1239.095 935.725 1005.751 166.106 319.408 1026.979
[3,] 563.858 342.019 1104.692 966.210 847.531 147.724 310.111 870.013
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.563 5.272 3.334 4.923 2.827 4.681 7.363 3.728
[2,] 1068.703 1201.717 605.820 731.949 446.456 843.241 1309.402 590.694
[3,] 908.309 955.643 515.271 746.248 369.087 800.410 1159.665 510.423
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.633 4.692 6.268 4.787 8.848 3.446 8.389 7.053
[2,] 1059.837 854.342 1245.791 954.599 1487.664 549.770 3318.566 1349.942
[3,] 907.920 1000.825 1312.757 903.857 1425.470 429.101 2350.229 1357.702
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.42 5.948 5.397 3.816 5.147 1.314 5.136 4.05
[2,] 225.23 1104.127 934.171 597.163 1027.379 203.641 1038.265 641.57
[3,] 234.80 1290.748 1370.733 566.062 1040.797 211.803 915.539 597.80
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.155 6.16 4.979 5.188 4.609 3.166 2.977 1.131
[2,] 395.375 944.78 1056.573 848.354 741.042 834.353 417.447 179.117
[3,] 384.541 963.31 919.801 931.734 639.468 678.604 412.092 185.343
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.75 1.387 3.514 3.137 2.716 2.1 3.517 3.668 3.882
[2,] 447.24 211.510 581.459 761.133 405.036 314.4 710.534 734.989 554.825
[3,] 439.75 200.865 545.463 670.936 341.795 273.8 668.811 499.722 502.933
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.514 3.649 3.303 2.049 3.764 3.398 3.283 2.321
[2,] 351.255 974.997 444.319 322.098 776.238 636.542 761.478 765.406
[3,] 342.759 1055.878 440.995 301.403 817.066 690.867 756.927 622.215
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.272 1.254 2.721 1.623 2.773 2.448 2.909 3.654
[2,] 556.143 170.927 685.829 177.408 432.157 365.251 634.082 897.382
[3,] 419.008 159.035 865.876 208.530 536.036 332.086 499.400 770.594
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.984 3.182 3.019 3.223 1.523 4.404 4.205 4.886
[2,] 321.169 785.126 399.280 770.623 212.158 749.916 783.298 771.677
[3,] 255.508 640.239 386.881 776.954 229.177 746.606 679.669 717.613
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.087 5.552 4.922 4.198 0.8865 4.147 3.189 4.411
[2,] 1034.423 826.103 1025.475 974.176 170.4211 850.586 577.482 855.078
[3,] 827.690 878.143 882.505 847.980 159.4891 933.599 576.885 851.539
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.262 2.246 1.428 2.961 2.78 6.999 5.561 2.204
[2,] 354.438 334.413 283.064 631.345 418.61 885.414 1001.557 411.474
[3,] 356.824 328.099 214.198 553.763 401.55 868.204 950.454 333.211
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.172 1.908 1.864 2.901 1.899 0.6785 12.05 9.694
[2,] 541.926 496.134 529.716 475.756 314.187 108.9319 2427.89 2622.330
[3,] 439.813 508.871 529.670 462.657 256.696 104.7065 2475.41 2379.605
[,98]
[1,] 5.965
[2,] 1025.638
[3,] 1210.979
[1] "--- VAR model 2017-10-04 04:01:00 completed"
[1] "Completed training sample: 2017-10-04 04:01:00 - 2017-10-04 12:00:00"
[1] "SpVAR; training sample: 2017-10-04 04:31:00 - 2017-10-04 12:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
12.775 4.993 -4.138 1.745
0.180 -7.767 11.724 10.987
-2.962 4.220 -18.468 19.053
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.8304 3.8786 -3.369 14.566
17.9266 0.3501 -1.543 -3.398
-19.5476 2.0433 -3.022 5.209
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.849 -3.812 2.589 -2.590
18.068 7.435 -2.625 -9.131
-2.378 14.848 5.258 1.543
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.168 16.917 39.3603 -7.9492
-10.844 -4.915 -0.3028 0.1428
-1.254 6.052 0.7764 -1.5558
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.5714 9.53299 12.034 23.459
6.6700 -0.04296 16.174 12.812
-0.4259 3.45563 5.086 2.009
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
14.973 -8.38333 41.0060 10.556
-22.329 0.02163 -0.7091 27.536
-5.669 4.03248 3.0669 -5.812
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.177 -9.055 -3.056 -14.2010
8.285 33.663 7.899 -2.2446
-1.897 -26.719 3.607 -0.1365
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
10.734 -4.7523 8.148 4.482
-8.937 5.0131 -14.942 -20.176
27.607 -0.3452 19.677 8.872
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.314 4.887 13.46 -13.71
-3.762 8.091 22.61 18.35
-2.071 -8.319 -10.55 -11.70
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.098 17.11 -6.4060 3.553
15.259 15.11 -2.8999 2.257
-5.894 3.90 0.4963 1.262
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
9.022 0.3869 -5.366 -11.637
-12.838 -1.1433 6.633 -8.219
13.268 1.6495 11.941 9.070
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.409 3.6439 6.696 6.422
4.437 -1.9508 -8.651 3.000
4.452 0.6202 7.314 -3.677
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
15.514 1.493 21.085 7.722
-1.905 5.619 3.463 12.482
3.668 -5.559 6.515 9.201
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.706 37.226 4.954 2.059
2.950 -2.314 14.944 12.274
4.513 4.928 4.874 7.976
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.73 -8.655 -0.7597 16.73
24.05 3.720 0.3666 -15.32
10.16 -1.160 -1.6278 29.95
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
7.012 13.794 -3.404 -5.275
-6.089 -3.450 9.952 9.467
1.998 5.584 5.324 -1.474
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-21.8749 -1.592 -4.639 1.561
13.6747 2.207 -5.052 -3.269
0.9472 4.510 -2.314 2.010
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.557 1.6159 10.060 1.6397
6.353 2.4871 -2.701 -0.7115
-4.743 -0.6356 12.688 -5.2906
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.651 -1.228 -5.841 -10.756
-11.317 -6.653 -7.541 -4.715
8.189 5.208 -1.767 -8.372
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-19.822 1.402 1.355 -0.5003
-11.247 -2.294 -21.376 2.6978
-7.142 1.743 -2.470 -5.1120
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.779 -0.9467 5.872 3.347
-13.157 0.5611 5.949 9.822
2.131 -2.2320 0.837 3.352
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.183 5.173 3.048 10.565
14.106 -12.763 0.121 -1.980
10.407 9.236 -1.795 -7.916
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-5.926 5.836 7.473 4.126
3.104 -4.036 -8.165 -2.148
-3.445 -1.595 7.101 3.197
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
14.174 -6.260 -5.080 16.744
1.883 1.261 -5.293 -5.451
5.275 -3.687 -7.545 11.981
rnd_95776.volume rnd_95787.volume
30.74 10.595
27.25 3.539
-17.71 -15.694
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.380 2.282 6.715 4.909 4.461 0.9109 1.969 5.016 5.696 4.435 2.729
[2,] 4.179 2.670 8.051 5.841 5.924 1.1060 2.231 6.264 6.943 6.240 3.515
[3,] 4.680 2.944 8.771 6.788 6.895 1.2312 2.489 6.921 7.692 7.062 3.949
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.971 2.364 3.761 6.191 3.046 3.815 3.978 5.301 3.960 7.611 2.839
[2,] 4.818 2.820 4.920 7.752 3.694 5.370 5.090 6.872 5.339 9.231 3.416
[3,] 5.529 3.096 5.667 8.769 4.132 6.386 6.279 8.258 6.240 10.391 3.732
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.261 6.371 1.214 4.872 4.698 3.420 4.486 1.131 4.484 3.576 1.844
[2,] 14.492 8.015 1.512 6.316 5.930 4.093 5.702 1.369 5.862 4.127 2.351
[3,] 16.800 9.422 1.748 8.088 7.623 4.594 6.892 1.567 6.752 4.670 2.723
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.301 4.133 4.375 3.945 2.594 2.622 1.046 2.303 1.203 2.944 2.667
[2,] 6.445 5.766 5.349 4.732 3.971 3.029 1.244 2.807 1.421 3.616 3.932
[3,] 7.364 6.687 6.312 5.271 4.642 3.382 1.416 3.219 1.591 4.190 4.525
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.269 1.787 3.087 3.282 3.342 2.093 3.094 2.841 1.717 3.175 2.747
[2,] 2.742 2.115 4.155 4.200 3.916 2.445 4.750 3.243 2.049 4.516 3.602
[3,] 2.997 2.329 4.863 4.532 4.311 2.742 6.106 3.576 2.350 5.509 4.440
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.721 1.917 2.789 1.086 2.365 1.306 2.435 2.180 2.408 3.060 1.685
[2,] 3.895 3.346 3.509 1.224 3.410 1.468 2.880 2.551 3.409 4.676 2.039
[3,] 4.774 4.038 3.849 1.347 4.593 1.644 3.407 2.837 3.844 5.436 2.216
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.741 2.657 2.777 1.286 3.795 3.564 4.308 4.568 4.599 4.035 3.458
[2,] 3.981 2.991 3.962 1.516 4.608 4.503 5.079 5.917 5.405 5.622 5.159
[3,] 4.506 3.289 4.843 1.734 5.298 5.095 5.621 6.572 6.306 6.410 6.026
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8032 3.414 2.720 3.777 2.058 1.843 1.232 2.512 2.358 5.840 4.775
[2,] 1.0444 4.581 3.411 4.799 2.423 2.181 1.649 3.407 2.785 6.602 5.922
[3,] 1.1793 5.806 3.962 5.766 2.695 2.472 1.811 3.924 3.162 7.310 6.798
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.832 1.843 1.675 1.579 2.493 1.640 0.6298 8.155 8.333 4.944
[2,] 2.413 2.644 2.506 2.471 3.036 1.967 0.7595 11.478 13.031 6.300
[3,] 2.666 3.115 3.086 3.074 3.495 2.185 0.8645 14.082 15.386 7.690
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.292 2.898 8.527 6.234 5.665 1.157 2.5 6.37
[2,] 646.998 364.656 1169.021 832.839 1025.997 165.096 276.3 987.17
[3,] 554.247 326.761 916.239 910.469 928.378 142.343 290.3 774.98
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.233 5.632 3.466 5.042 3.002 4.776 7.862 3.868
[2,] 1044.834 1155.061 583.023 718.283 404.253 834.792 1227.706 550.117
[3,] 871.752 870.573 473.612 713.661 336.819 739.970 1078.914 487.277
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.845 5.052 6.731 5.028 9.664 3.604 9.22 8.091
[2,] 994.423 835.458 1151.012 942.340 1374.804 500.134 3300.62 1279.785
[3,] 909.649 967.792 1205.323 850.424 1255.477 395.857 2236.65 1303.707
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.542 6.187 5.965 4.343 5.697 1.436 5.693 4.541
[2,] 236.953 1057.808 952.509 591.634 926.362 203.154 993.635 541.944
[3,] 230.910 1329.503 1260.667 549.238 1018.554 200.609 882.182 575.320
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.342 6.731 5.249 5.556 5.01 3.294 3.329 1.328
[2,] 383.614 964.893 1058.089 810.096 687.63 791.199 399.118 177.319
[3,] 361.595 937.561 891.301 881.900 611.13 632.602 395.823 178.008
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 2.925 1.527 3.738 3.387 2.882 2.27 3.92 4.168 4.244
[2,] 422.111 199.135 552.582 760.156 404.889 297.48 732.02 689.672 537.006
[3,] 415.022 188.449 557.199 589.523 318.381 256.53 664.77 448.297 474.504
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.658 3.928 3.608 2.181 4.032 3.488 3.456 2.434
[2,] 332.294 948.452 411.634 294.387 845.028 613.337 733.383 721.584
[3,] 327.078 1009.896 396.466 302.555 830.404 683.195 726.242 594.948
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.542 1.379 3.003 1.658 3.092 2.768 3.057 3.885
[2,] 560.488 148.387 646.633 176.529 404.686 348.521 634.995 930.606
[3,] 416.205 148.070 809.820 194.690 478.876 327.177 467.547 729.319
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.139 3.48 3.374 3.527 1.633 4.819 4.526 5.471
[2,] 302.319 759.85 361.239 743.852 211.255 688.009 724.402 708.076
[3,] 228.473 555.78 360.165 732.717 221.431 688.170 627.017 633.785
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.801 5.84 5.124 4.391 1.02 4.335 3.454 4.796
[2,] 989.851 747.09 1030.212 1007.830 175.70 803.776 541.726 779.087
[3,] 752.451 855.02 810.500 819.429 144.12 939.008 530.711 841.228
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.613 2.34 1.565 3.19 2.994 7.416 6.064 2.327 2.34
[2,] 336.489 306.88 288.214 605.70 390.186 809.973 921.791 413.060 498.90
[3,] 310.422 306.50 197.424 512.68 394.086 825.934 878.183 298.648 433.37
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.128 2.004 3.165 2.082 0.7997 10.36 10.58 6.278
[2,] 490.512 500.195 455.990 286.216 111.7448 2125.82 2636.64 1027.774
[3,] 473.689 481.342 455.923 250.369 108.6277 2147.10 2152.54 1160.456
[1] "--- VAR model 2017-10-04 04:31:00 completed"
[1] "Completed training sample: 2017-10-04 04:31:00 - 2017-10-04 12:30:00"
[1] "SpVAR; training sample: 2017-10-04 05:01:00 - 2017-10-04 13:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.963 2.7404 27.0683 4.2675
12.981 -4.5300 1.0267 0.5971
3.154 -0.3346 0.1216 18.6819
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
32.42 -1.303 4.390 -30.50
19.29 2.191 -1.102 -12.01
10.38 4.276 -1.538 12.68
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-12.721 7.021 5.399 -0.2116
-18.862 -28.199 3.031 -28.7985
-4.093 -8.463 -3.912 -17.9426
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-7.501 4.4035 6.300 -3.614
-4.726 0.8088 15.328 -2.734
-6.473 -5.6557 -8.411 9.261
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.127 6.149 13.669 3.141
7.851 2.698 3.996 6.328
4.947 13.565 27.319 25.986
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
9.005 -12.176 28.175 9.67
14.374 -5.638 15.732 19.39
-4.081 2.049 9.205 15.30
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.791 -15.103 9.210 10.214
-7.442 30.218 8.924 8.935
-1.466 5.999 12.059 6.507
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.096 -2.4933 17.474 10.8579
-1.270 -0.8047 17.489 0.5472
13.318 3.7578 7.777 1.6448
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.956 31.666 15.3587 -5.783
3.737 12.039 9.6055 18.753
2.094 6.399 -0.6148 7.443
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.2033 4.303 -4.293 4.547
13.8785 9.621 -9.938 1.397
-0.1246 3.911 1.917 2.143
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.818 0.5706 -2.3883 -1.813
-3.086 2.4186 1.0059 -14.932
-5.479 -1.2058 0.2856 -16.401
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.527 6.1135 -14.426 -0.2764
4.805 4.2119 3.108 -14.0089
5.002 0.1606 -10.484 5.7252
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.393 -0.2399 2.754 14.858
7.550 0.5799 -5.602 6.867
8.338 -7.0824 11.944 13.112
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.326 0.9958 7.143 12.899
-2.537 20.2239 4.148 -4.224
-1.533 3.8291 -2.313 20.148
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.752 -9.7477 0.7062 1.6387
8.697 0.2427 2.9478 -13.8194
6.347 1.1656 1.3924 0.9732
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.027 -8.310 3.6545 1.021
-8.390 -15.120 1.4450 -6.438
-6.462 -2.638 -0.1498 -4.460
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.9912 2.07085 -2.252 4.2500
0.8057 -0.69701 -3.753 6.1039
-9.0609 0.02647 -3.841 0.4293
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.126 -2.998 13.726 7.522
5.314 2.144 4.276 11.172
-2.474 2.724 2.240 9.553
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
14.273 16.927 -5.993 16.000
1.826 14.787 -12.654 1.759
1.167 1.032 -4.136 16.223
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.287 -2.0121 11.8869 -3.631
5.406 2.4332 21.0242 -6.366
12.813 -0.9585 -0.1827 -17.956
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.457 -8.1955 9.8597 0.6564
3.448 1.8273 -0.1976 0.9705
2.024 0.7385 -2.2445 4.6846
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.632 2.546 11.32 10.12
-1.597 -5.879 15.70 22.36
11.152 -1.322 27.11 13.64
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.9444 -3.8900 -7.1347 -8.6404
-1.8302 -0.9356 -7.0538 -0.8642
-1.6607 -4.7446 0.5945 -0.7081
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4798 4.0808 -5.956 -21.47
2.0103 -0.5776 -5.095 -26.69
2.1114 3.6644 -8.490 -18.24
rnd_95776.volume rnd_95787.volume
27.501 -7.606
7.327 18.162
-19.001 9.805
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.734 2.502 7.065 5.110 6.564 0.9443 2.075 5.287 6.052 4.571 2.784
[2,] 4.618 2.918 8.266 6.063 8.174 1.1713 2.363 6.589 7.180 6.405 3.615
[3,] 5.125 3.203 9.044 6.983 9.456 1.2886 2.595 7.391 8.011 7.224 4.067
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.016 2.544 3.997 6.579 3.235 4.086 4.130 5.590 4.044 8.076 2.901
[2,] 4.944 2.925 5.136 8.000 3.842 5.591 5.253 7.204 5.515 9.599 3.503
[3,] 5.669 3.191 5.881 8.883 4.258 6.606 6.430 8.540 6.431 10.900 3.796
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.458 6.800 1.405 5.084 4.762 3.573 4.726 1.228 4.674 3.866 2.004
[2,] 14.931 8.406 1.723 6.391 6.108 4.241 5.926 1.476 6.099 4.433 2.507
[3,] 17.171 9.972 1.921 8.409 7.876 4.746 6.998 1.672 6.987 4.979 2.822
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.459 4.357 4.604 4.346 2.792 2.880 1.106 2.597 1.282 3.058 2.785
[2,] 6.605 6.049 5.745 5.052 4.216 3.292 1.323 3.090 1.487 3.747 4.109
[3,] 7.623 6.994 6.684 5.576 4.908 3.629 1.519 3.478 1.672 4.343 4.729
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.260 1.845 3.142 3.511 3.614 2.174 3.348 3.104 1.838 3.451 2.871
[2,] 2.763 2.206 4.328 4.421 4.249 2.539 5.110 3.563 2.164 4.740 3.774
[3,] 3.089 2.452 5.051 4.808 4.613 2.862 6.372 3.855 2.450 5.743 4.637
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.835 2.121 3.154 1.148 2.452 1.339 2.621 2.398 2.550 3.283 1.834
[2,] 4.141 3.589 3.832 1.298 3.627 1.497 3.033 2.726 3.625 4.869 2.184
[3,] 5.075 4.292 4.150 1.424 4.833 1.703 3.606 2.981 4.063 5.589 2.360
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.969 2.843 2.951 1.336 4.179 3.823 4.510 4.776 4.862 4.326 3.604
[2,] 4.193 3.184 4.283 1.560 4.930 4.861 5.379 6.047 5.711 5.898 5.291
[3,] 4.734 3.530 5.214 1.795 5.540 5.499 5.985 6.863 6.537 6.827 6.132
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8931 3.566 2.987 4.170 2.126 1.962 1.393 2.644 2.551 6.017 4.958
[2,] 1.1307 4.795 3.750 5.156 2.462 2.306 1.786 3.578 3.036 6.873 6.162
[3,] 1.2740 6.041 4.280 6.137 2.797 2.589 1.947 4.113 3.377 7.695 7.035
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.920 1.905 1.741 1.661 2.621 1.873 0.7106 7.801 8.934 5.183
[2,] 2.548 2.701 2.632 2.557 3.223 2.154 0.8507 11.058 13.739 6.437
[3,] 2.796 3.208 3.187 3.144 3.646 2.404 0.9453 13.620 16.137 7.997
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.742 3.177 8.972 6.489 8.335 1.199 2.635 6.714
[2,] 619.794 342.674 979.058 744.517 1111.780 158.147 258.181 897.370
[3,] 507.327 301.434 837.030 790.359 1084.573 122.558 244.729 763.827
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.686 5.804 3.535 5.1 3.231 5.075 8.355 4.108
[2,] 881.207 1023.828 526.361 658.1 329.465 735.897 1038.371 473.059
[3,] 810.990 762.598 424.848 632.7 290.742 653.756 881.325 418.724
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.188 5.244 7.098 5.136 10.26 3.684 9.471 8.635
[2,] 870.820 740.872 1036.812 855.419 1183.66 447.890 2951.347 1127.477
[3,] 802.767 846.243 1046.579 755.097 1178.76 333.651 1935.103 1224.312
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.784 6.456 6.047 4.537 6.002 1.559 5.935 4.91
[2,] 227.601 883.855 872.715 521.331 815.868 186.826 894.160 494.83
[3,] 193.874 1246.855 1134.715 486.323 849.379 179.591 777.539 517.11
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.545 6.932 5.533 5.847 5.518 3.545 3.657 1.404
[2,] 343.854 848.535 957.381 784.134 587.958 720.907 364.281 165.811
[3,] 295.694 868.409 801.094 779.486 538.600 573.290 348.419 170.163
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.298 1.628 3.883 3.537 2.869 2.343 3.989 4.458
[2,] 381.942 171.655 494.203 689.298 362.837 275.814 679.249 613.260
[3,] 364.421 174.596 500.637 534.343 315.106 244.076 594.268 431.278
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 4.589 2.76 4.251 3.941 2.334 4.382 3.646 3.6 2.694
[2,] 509.881 299.62 880.845 399.262 260.635 741.367 558.738 688.6 660.462
[3,] 409.721 301.28 868.497 336.205 262.224 739.901 614.995 669.4 537.073
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.005 1.457 3.114 1.7 3.328 3.046 3.238 4.169 2.329
[2,] 496.673 138.402 609.874 152.6 348.076 295.479 587.981 820.298 270.374
[3,] 363.366 133.684 728.799 185.5 445.207 275.551 418.830 626.315 204.476
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.771 3.61 3.747 1.697 5.306 4.855 5.727 6.065
[2,] 675.461 326.81 708.389 183.728 596.744 685.172 669.017 846.004
[3,] 501.704 348.18 678.343 202.396 576.753 586.663 598.735 740.950
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 6.174 5.494 4.576 1.134 4.528 3.793 5.295 2.7 2.492
[2,] 683.691 914.842 883.854 158.227 731.467 517.403 691.832 283.5 276.370
[3,] 725.502 784.279 707.584 133.910 838.610 470.562 759.700 302.6 268.398
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.769 3.357 3.239 7.64 6.296 2.438 2.419 2.21 2.11
[2,] 255.094 550.187 375.488 758.08 834.813 382.345 437.059 450.63 443.64
[3,] 176.532 462.947 337.386 789.41 774.778 262.525 394.780 409.82 417.43
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.328 2.378 0.9023 9.906 11.34 6.582
[2,] 427.940 242.849 106.7088 1788.416 2381.55 871.184
[3,] 388.849 243.347 94.0999 1814.269 1931.55 1082.482
[1] "--- VAR model 2017-10-04 05:01:00 completed"
[1] "Completed training sample: 2017-10-04 05:01:00 - 2017-10-04 13:00:00"
[1] "SpVAR; training sample: 2017-10-04 05:31:00 - 2017-10-04 13:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.403 2.1339 -29.146 9.055
5.273 -2.7894 -5.161 12.736
15.036 -0.3185 -24.506 7.502
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.635 2.076 5.729 -19.27025
14.506 3.312 0.440 2.48437
2.212 2.004 -0.282 -0.01407
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.8393 -2.1391 -3.521 -18.809
-9.0082 -7.8796 -1.622 -23.621
0.6552 -0.4517 -3.644 -9.787
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-15.1820 -4.881 14.938 10.860
-4.4966 6.286 3.498 5.890
0.9639 2.388 -6.002 4.684
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
10.673 39.357 33.88 33.24
10.897 17.327 46.57 28.05
9.744 2.664 47.07 25.93
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-41.35 -12.409 -32.55 5.507
-11.14 -3.743 -29.62 -2.615
-22.62 -5.500 -14.27 -18.641
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.2143 3.732 -1.761 0.1221
-0.8573 13.154 5.303 11.5460
3.9308 -27.260 -23.034 11.7398
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
24.3576 -1.9187 6.031 6.12021
13.5814 0.6977 -1.084 0.05104
-0.1792 2.6291 5.465 -4.92242
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.965 14.316 1.185 1.420
3.952 -3.488 3.070 14.355
-4.244 9.658 -1.758 -7.663
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.686 15.619 -2.386 -1.3486
-9.822 -15.351 -6.269 3.4556
-4.380 -7.083 1.181 -0.4611
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.013 1.4079 2.675 -12.197
13.379 2.0689 4.050 -2.608
0.133 -0.5597 3.865 -8.992
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.430 -0.7511 -6.318 -9.594
5.795 4.9106 2.074 -4.865
16.542 2.4385 0.398 1.377
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.400 2.466 -11.996 11.649
2.161 -4.625 7.769 6.113
-7.774 3.580 -1.399 3.103
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.783 5.692 8.076 21.048
2.390 16.451 2.610 7.407
2.805 -18.684 2.913 4.249
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.990 1.0356 2.504 9.012
11.159 0.1441 -2.394 12.967
5.806 4.0740 -1.240 8.265
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.279 12.221 -0.3548 7.841
-3.678 5.425 0.9551 16.811
-5.678 11.788 5.0648 5.428
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
18.713 -1.0976 -5.511 3.8245
18.546 6.6262 19.115 0.2808
-2.467 -0.4331 11.887 3.0684
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.076 -4.0795 20.33 10.23
12.104 0.0855 23.67 11.61
13.606 4.8051 17.45 19.02
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
12.22 13.79 16.482 -5.464
11.43 11.43 4.023 11.709
-11.11 13.46 -2.617 18.366
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
14.286 -5.7790 16.269 -4.102
0.808 -0.3184 6.611 4.375
5.472 1.3277 6.970 3.985
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.213 -0.4903 0.2816 3.0586
4.492 -5.3003 -1.8394 3.5376
10.654 -1.1831 1.6301 0.4615
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.9084 6.819 11.0195 -3.610
-3.5558 -3.004 -0.9002 16.050
-0.6813 0.841 4.1091 4.996
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
9.749 0.5084 0.3924 1.447
8.578 10.9194 3.6591 3.292
2.744 0.5157 4.0308 5.733
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.656 4.171 -6.877 14.96
-2.357 5.391 -7.607 28.87
4.862 -1.730 -10.103 57.91
rnd_95776.volume rnd_95787.volume
29.84 -3.5277
-32.16 0.5908
-7.66 -18.1580
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.046 2.588 7.185 5.310 8.254 1.013 2.110 5.693 6.353 4.728 2.843
[2,] 4.827 2.982 8.439 6.336 10.223 1.239 2.420 6.799 7.492 6.796 3.715
[3,] 5.295 3.283 9.170 7.416 11.560 1.355 2.667 7.619 8.261 7.500 4.144
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.029 2.592 4.046 6.623 3.292 4.322 4.258 6.103 4.251 8.267 3.029
[2,] 5.159 2.995 5.318 8.114 3.893 5.708 5.442 7.906 5.847 10.032 3.576
[3,] 5.844 3.316 6.048 9.040 4.386 6.755 6.644 9.393 6.703 11.255 3.907
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.106 7.091 1.524 5.207 5.054 3.874 4.845 1.327 5.035 3.964 2.091
[2,] 15.372 8.866 1.831 6.627 6.324 4.483 6.132 1.585 6.488 4.597 2.603
[3,] 17.587 10.276 2.029 8.713 8.046 4.966 7.336 1.790 7.427 5.177 2.929
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.890 4.853 4.847 4.489 2.943 3.048 1.231 2.855 1.346 3.082 2.898
[2,] 6.965 6.416 6.115 5.241 4.369 3.482 1.440 3.349 1.564 3.842 4.310
[3,] 8.074 7.350 7.095 5.749 5.142 3.806 1.639 3.691 1.738 4.485 4.960
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.250 1.892 3.251 3.599 3.822 2.217 3.377 3.251 1.905 3.728 3.020
[2,] 2.825 2.246 4.507 4.558 4.483 2.635 5.230 3.721 2.261 4.991 4.024
[3,] 3.162 2.530 5.295 5.023 4.874 2.945 6.582 4.081 2.560 5.972 4.968
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.881 2.093 3.335 1.164 2.638 1.401 2.796 2.723 2.635 3.513 1.891
[2,] 4.349 3.696 3.995 1.328 3.944 1.608 3.249 3.030 3.815 4.990 2.246
[3,] 5.352 4.536 4.375 1.458 5.127 1.774 3.850 3.296 4.337 5.706 2.448
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.242 2.924 3.065 1.355 4.328 3.949 4.818 5.045 5.204 4.480 3.777
[2,] 4.602 3.372 4.400 1.627 5.028 4.930 5.670 6.400 6.078 6.199 5.502
[3,] 5.093 3.778 5.357 1.867 5.659 5.506 6.392 7.134 6.944 7.100 6.458
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9826 3.585 2.986 4.351 2.146 2.053 1.509 2.755 2.649 6.450 5.323
[2,] 1.2315 4.877 3.879 5.334 2.515 2.367 1.844 3.776 3.129 7.261 6.579
[3,] 1.3808 6.276 4.475 6.254 2.853 2.658 2.039 4.373 3.496 8.212 7.486
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.018 1.944 1.812 1.699 2.776 2.069 0.8305 7.033 9.273 5.347
[2,] 2.627 2.802 2.737 2.692 3.396 2.318 0.9617 10.410 14.026 6.782
[3,] 2.863 3.300 3.271 3.276 3.861 2.566 1.0744 13.055 16.837 8.330
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.138 3.287 9.123 6.743 10.48 1.286 2.68 7.229
[2,] 558.308 314.101 938.923 733.064 1279.19 151.322 251.29 788.227
[3,] 461.830 291.147 761.264 817.345 1145.01 116.261 237.51 729.664
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 8.067 6.004 3.61 5.116 3.291 5.138 8.411 4.18
[2,] 842.506 1035.579 507.19 683.416 318.393 732.126 994.171 440.77
[3,] 738.289 672.727 389.70 582.424 301.885 611.092 845.280 428.27
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.488 5.407 7.75 5.398 10.5 3.846 10.29 9.004
[2,] 790.768 718.774 1066.05 851.711 1205.5 403.371 2770.25 1128.931
[3,] 766.117 808.421 1075.84 695.129 1082.4 333.826 1812.67 1101.803
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.935 6.611 6.417 4.919 6.152 1.686 6.394 5.034
[2,] 215.165 869.710 806.419 478.314 797.358 183.631 867.731 493.984
[3,] 185.671 1199.647 1055.257 453.563 853.996 176.733 766.648 504.725
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.656 7.48 6.162 6.155 5.701 3.737 3.87 1.564 3.625
[2,] 328.676 788.52 890.404 790.974 573.721 685.040 357.11 158.334 371.124
[3,] 285.131 866.00 760.646 763.160 501.068 574.975 326.23 166.098 329.195
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.709 3.913 3.68 2.857 2.402 4.128 4.571 4.853
[2,] 169.076 486.689 676.82 362.375 256.682 662.079 593.005 496.952
[3,] 160.747 490.598 520.31 301.209 247.321 589.511 447.678 405.900
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.815 4.288 4.129 2.419 4.734 3.835 3.658 2.658
[2,] 302.104 847.208 383.880 258.344 703.761 563.896 691.076 646.125
[3,] 278.998 847.673 355.556 254.745 695.824 618.055 661.658 557.539
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.235 1.478 3.35 1.779 3.551 3.458 3.346 4.461
[2,] 466.502 135.495 622.00 167.284 350.922 281.978 585.220 751.625
[3,] 378.459 127.810 694.54 158.925 438.152 274.980 437.689 587.056
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.401 4.117 3.713 3.892 1.72 5.496 5.015 6.119
[2,] 257.277 692.799 356.274 669.677 191.15 542.726 625.950 633.909
[3,] 206.546 462.926 361.419 647.974 194.46 550.871 520.007 625.725
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 6.406 6.608 5.689 4.796 1.248 4.553 3.791 5.525
[2,] 835.476 665.900 908.856 848.485 157.439 701.092 525.232 654.331
[3,] 668.379 712.484 734.209 717.221 132.480 838.030 473.347 692.512
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.725 2.607 1.916 3.499 3.364 8.19 6.759 2.562
[2,] 278.248 250.124 224.831 547.789 353.344 707.15 820.037 356.675
[3,] 285.522 256.443 184.724 467.812 330.602 813.66 757.820 241.776
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.469 2.301 2.158 3.525 2.627 1.055 8.93 11.78
[2,] 428.035 435.194 442.958 414.988 221.944 102.860 1627.92 2232.16
[3,] 369.658 379.766 395.989 389.682 233.168 101.623 1671.17 1975.42
[,98]
[1,] 6.79
[2,] 884.95
[3,] 1025.92
[1] "--- VAR model 2017-10-04 05:31:00 completed"
[1] "Completed training sample: 2017-10-04 05:31:00 - 2017-10-04 13:30:00"
[1] "SpVAR; training sample: 2017-10-04 06:01:00 - 2017-10-04 14:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.529 6.828 -30.7594 -6.332
-8.229 -4.921 -0.5163 -1.756
-1.238 2.540 2.2611 3.444
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.604 -2.908 -0.4347 11.531
13.867 4.658 0.1643 4.336
5.238 2.869 2.2504 26.083
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.0028 -7.2152 2.769 -10.62
-0.4178 10.5866 7.642 -21.28
25.7199 -0.2697 3.503 -18.52
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9098 0.218 29.696 -8.164
-3.4042 -0.102 -9.466 4.322
-7.9952 6.829 13.553 -1.067
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
14.728 14.516 30.52 4.92
-1.541 7.216 35.62 16.33
8.271 -5.040 11.49 15.75
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.592 8.935 -9.298 -15.496
-1.905 -6.281 -64.621 -25.896
3.053 2.046 -19.594 -9.817
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.8656 -15.703 -21.337 2.6623
-0.2781 -6.769 -0.721 6.0091
3.5132 -28.675 -24.998 0.7392
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.07618 -3.6399 3.212 -0.5641
-10.28116 -0.5203 -2.034 -7.6024
0.94458 -2.1030 4.236 5.7194
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.5707 5.115 -17.97 -2.254
0.6581 5.082 1.84 1.515
-5.6826 -15.659 -9.34 -1.617
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.596 -7.369 5.979 -1.1258
8.384 13.042 5.497 -0.1978
3.810 5.951 -6.664 0.3401
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5283 2.030 -2.775 -29.556
9.4108 -2.537 -11.274 -6.257
0.1772 3.377 -2.168 -18.874
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.370 -3.048 -21.176 -6.903
2.405 -1.875 -7.538 5.513
2.181 -3.257 -7.299 -5.751
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.787 -8.372 -9.66997 9.433
11.309 -5.989 -13.24417 9.591
5.378 -3.231 -0.09725 13.354
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.8808 10.187 9.218 24.257
-0.1296 1.821 1.543 -5.885
-0.8033 -7.706 -2.727 11.512
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.087 2.497 1.0977 4.348
17.262 3.918 5.2977 9.984
-8.287 11.394 -0.6947 11.524
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.555 2.895 5.940 2.290
-7.557 -12.178 -3.513 -5.480
-2.483 12.376 5.656 3.372
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.911 -1.097 5.491 -7.134
5.544 -5.137 3.066 2.651
-13.857 1.916 -8.882 -5.214
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2635 -3.236 9.60 5.069
-1.6096 -2.684 -12.94 -5.647
0.5795 3.428 18.11 3.911
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-9.479 -11.0768 15.079 -2.892
-3.946 -0.7348 -1.646 8.313
-2.199 -0.1250 -4.079 -3.456
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.978 2.518 -1.251 -2.591
2.179 -2.841 1.124 1.433
-6.785 2.871 -1.998 2.690
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.037 -5.7439 9.145 -0.008371
-2.651 2.9456 -4.762 1.638286
3.373 0.4523 -7.968 0.278572
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.603 5.885 -23.037 5.506
7.560 -3.493 6.338 4.156
7.884 3.186 3.610 -5.425
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.506 -4.816 -7.424 -2.579
0.775 1.921 -3.798 -6.578
-8.041 -1.069 8.753 7.552
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
6.349 -0.9700 -8.511 4.6604
4.251 -0.5492 -6.453 0.4935
10.664 -2.9169 -7.126 2.5536
rnd_95776.volume rnd_95787.volume
-14.923 -12.41
-24.357 -23.72
-7.304 -11.06
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.869 2.627 7.197 5.260 9.648 1.05 2.050 5.711 6.395 4.643 2.838
[2,] 4.792 3.057 8.381 6.449 11.802 1.29 2.354 6.738 7.595 6.782 3.715
[3,] 5.412 3.341 9.153 7.572 13.112 1.41 2.626 7.452 8.400 7.517 4.105
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.077 2.616 3.955 6.479 3.291 4.348 4.319 6.307 4.353 8.268 2.971
[2,] 5.277 3.068 5.116 8.079 3.941 5.827 5.356 8.114 5.813 10.137 3.502
[3,] 5.926 3.354 5.918 9.075 4.420 6.729 6.589 9.581 6.650 11.289 3.910
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.839 6.917 1.608 5.121 5.097 3.836 4.917 1.392 4.944 3.919 2.146
[2,] 15.442 8.918 1.889 6.682 6.314 4.419 6.231 1.659 6.387 4.577 2.646
[3,] 17.818 10.341 2.109 8.669 8.081 4.934 7.398 1.885 7.407 5.151 2.985
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.684 5.005 4.838 4.386 3.134 3.082 1.256 3.011 1.370 3.246 2.865
[2,] 6.752 6.522 6.139 5.196 4.619 3.514 1.488 3.476 1.614 3.950 4.280
[3,] 7.862 7.360 7.010 5.740 5.339 3.857 1.671 3.793 1.786 4.646 5.122
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.322 1.991 3.198 3.645 4.006 2.238 3.400 3.347 1.955 3.670 3.018
[2,] 3.015 2.326 4.561 4.646 4.686 2.690 5.402 3.944 2.256 5.084 4.196
[3,] 3.336 2.582 5.303 5.085 5.133 3.015 6.681 4.298 2.540 6.182 5.158
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.950 2.192 3.501 1.134 2.680 1.463 2.961 2.855 2.823 4.029 1.885
[2,] 4.421 3.712 4.145 1.315 4.059 1.638 3.405 3.245 4.039 5.635 2.289
[3,] 5.487 4.694 4.512 1.467 5.244 1.829 3.924 3.532 4.580 6.362 2.499
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.533 3.011 3.163 1.460 4.373 4.049 4.972 5.148 5.329 4.429 3.762
[2,] 4.846 3.485 4.742 1.730 5.209 5.166 5.762 6.356 6.226 6.246 5.544
[3,] 5.386 3.884 5.721 1.968 5.821 5.834 6.437 7.103 7.030 7.133 6.438
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.044 3.491 3.039 4.427 2.165 1.996 1.668 2.733 2.726 6.506 5.308
[2,] 1.250 4.778 3.962 5.361 2.556 2.346 1.989 3.823 3.236 7.366 6.651
[3,] 1.407 6.157 4.545 6.233 2.909 2.671 2.163 4.392 3.553 8.253 7.652
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.118 2.056 1.935 1.719 2.897 2.225 0.8837 6.651 9.355 5.280
[2,] 2.620 2.903 2.847 2.751 3.533 2.513 1.0203 10.249 14.208 6.998
[3,] 2.865 3.359 3.364 3.366 4.063 2.738 1.1514 12.847 16.916 8.442
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.913 3.336 9.139 6.68 12.25 1.333 2.603 7.252 8.12
[2,] 513.665 283.814 780.681 678.03 1235.08 136.454 210.066 649.764 744.64
[3,] 457.396 245.239 668.526 720.91 1038.22 103.218 211.500 578.276 652.20
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.896 3.604 5.177 3.321 5.022 8.227 4.179 5.521
[2,] 898.346 435.676 609.040 291.393 589.755 877.146 393.879 704.858
[3,] 589.357 317.301 489.907 246.222 540.776 751.248 363.805 611.784
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.485 8.008 5.528 10.5 3.773 9.954 8.783 2.042
[2,] 575.466 927.736 700.108 1065.9 336.945 2417.844 1022.863 179.973
[3,] 697.697 926.148 587.091 902.8 315.915 1615.658 951.688 170.347
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.503 6.473 4.871 6.244 1.768 6.279 4.977 2.725
[2,] 780.070 677.253 398.782 695.604 163.895 734.863 429.717 281.336
[3,] 1003.694 916.500 398.617 724.729 162.771 681.543 429.517 251.033
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 7.217 6.355 6.144 5.57 3.98 3.913 1.595 3.823 1.74
[2,] 662.359 760.019 686.680 506.23 616.67 306.796 144.879 315.688 155.06
[3,] 732.174 620.032 614.935 443.49 486.61 288.902 138.335 276.012 138.73
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.122 3.638 2.949 2.528 4.061 4.628 5.087 2.842
[2,] 409.094 577.846 349.418 218.657 591.043 523.664 441.667 271.333
[3,] 444.319 511.250 259.393 203.802 491.713 375.531 380.720 247.407
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.318 4.25 2.482 4.66 3.832 3.746 2.783 4.445 1.44
[2,] 762.812 379.20 204.664 639.42 529.931 598.439 544.484 403.441 121.06
[3,] 714.303 310.35 212.099 639.23 545.009 590.494 522.037 323.802 118.03
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.403 1.857 3.76 3.626 3.584 5.116 2.393 4.486
[2,] 554.118 133.995 305.59 280.173 525.123 716.015 236.074 602.787
[3,] 603.349 147.817 354.45 253.472 392.475 536.630 182.389 427.377
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.824 4.016 1.854 5.553 5.142 6.314 6.537 6.767
[2,] 318.766 642.005 168.713 514.321 582.984 529.385 677.486 585.138
[3,] 311.690 581.888 170.559 472.318 492.791 521.367 576.210 593.224
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.624 4.777 1.326 4.433 3.859 5.621 2.749 2.535
[2,] 800.459 739.983 124.985 592.845 461.937 549.557 246.814 223.988
[3,] 625.963 594.789 117.058 705.760 404.716 577.800 252.332 231.939
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.118 3.471 3.462 8.262 6.741 2.689 2.61 2.458
[2,] 196.954 485.761 316.848 627.638 728.267 280.453 372.56 379.510
[3,] 154.148 392.757 266.693 676.520 687.690 210.696 307.00 325.554
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.183 3.678 2.825 1.122 8.446 11.88 6.705
[2,] 390.372 367.637 212.308 92.698 1417.077 1943.31 834.568
[3,] 352.332 364.530 197.877 96.953 1407.648 1668.45 857.974
[1] "--- VAR model 2017-10-04 06:01:00 completed"
[1] "Completed training sample: 2017-10-04 06:01:00 - 2017-10-04 14:00:00"
[1] "SpVAR; training sample: 2017-10-04 06:31:00 - 2017-10-04 14:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-14.350 4.648 16.5168 -9.621
15.238 -2.084 -0.8903 4.983
-4.936 -3.323 5.2959 5.005
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
17.07 2.439 -8.801 -6.824
25.75 -1.858 2.056 20.432
49.01 3.721 5.896 6.960
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.730 6.860 2.648 -14.53
9.529 -8.635 -6.589 -7.78
7.099 7.707 2.741 -22.89
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.954 -10.967 -9.531 -0.6707
-8.539 1.179 9.232 -13.8102
-2.749 1.563 -6.422 -5.5709
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.26105 16.414 39.0168 21.70
-7.48979 2.598 -0.9004 9.92
0.09394 -1.585 -1.1373 8.21
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
19.651 -0.5636 6.942 -15.52
7.625 3.7049 35.009 20.65
7.058 0.6312 -5.402 11.06
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
4.266 6.859 5.620 6.53743
1.265 5.574 3.241 14.56666
1.143 5.158 9.496 -0.08078
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-22.407 1.468 0.7989 4.8228
7.415 -2.414 -7.2406 -0.8031
13.932 -1.141 8.5726 -8.0222
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
7.2578 9.920 9.260 10.232
0.2598 -13.029 -8.212 13.948
0.8000 4.429 9.727 1.394
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-17.2855 -26.212 -10.68 -1.582
-7.6254 -1.604 18.44 -5.050
-0.5653 -3.769 10.34 2.364
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.659 5.396 -1.128 -21.444
-3.868 -1.796 3.032 -12.666
-5.064 2.083 1.052 -1.499
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.149 4.741 -6.059 3.622
10.487 -3.138 -28.471 7.735
7.007 5.771 -7.287 -2.572
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.181 -0.1205 6.1011 10.499
-3.500 -2.3229 -11.0889 4.963
10.764 -4.0277 0.5294 21.112
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.6565 16.352 22.250 -1.021
-4.1745 -7.746 -2.310 13.090
0.4573 -1.412 -1.283 -1.156
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.319 -4.877 -1.0747 18.32
22.012 4.651 -0.7739 -16.01
-5.449 -3.715 2.3663 24.90
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-9.624 8.709 -2.2651 12.951
-6.209 -5.356 -0.2494 2.622
-5.323 18.662 4.1972 -5.466
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.92 -3.4167 -2.826 0.5053
15.23 -0.3687 19.214 0.2589
1.80 -1.3894 6.639 -2.6641
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.703 0.04717 -6.290 -8.896
22.868 1.39456 -1.230 12.177
3.151 0.32846 -4.959 -1.367
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.1893 -4.578 5.570 -0.2533
-1.1945 -6.027 -14.909 -4.6017
-11.9770 -1.426 1.435 4.8631
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.450 -3.7977 0.3019 -6.702
0.778 0.1468 13.6341 -8.818
2.483 -1.2566 -6.6816 -1.415
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.211 -0.2617 1.171 0.2211
-7.885 4.8473 2.487 -1.8131
-3.477 -3.5557 -1.297 2.6717
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-19.16 3.5089 15.3634 -6.969
-23.62 -0.6429 -2.3131 -6.841
14.83 -3.9667 -0.2139 9.834
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.02381 5.73432 -0.4671 0.1185
-7.03987 -0.03024 8.1728 2.3933
-0.43467 -2.23987 -2.8821 -0.9903
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.272 -5.326 -10.176 28.92
7.809 -2.639 -8.938 27.80
-4.095 7.624 -10.980 35.13
rnd_95776.volume rnd_95787.volume
-52.759 -2.639
-22.750 10.153
-1.961 -4.425
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.661 2.692 6.855 5.158 10.47 1.169 1.971 5.320 6.101 4.405 2.814
[2,] 4.598 3.192 8.137 6.184 12.72 1.369 2.323 6.518 7.348 6.322 3.634
[3,] 5.224 3.529 8.851 7.519 14.16 1.499 2.592 7.272 8.153 7.134 4.046
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.748 2.567 3.579 6.407 3.358 4.255 4.268 6.103 4.384 8.312 3.015
[2,] 5.097 3.056 4.805 7.857 3.888 5.532 5.282 8.122 5.768 10.200 3.632
[3,] 5.872 3.356 5.560 8.808 4.437 6.535 6.440 9.535 6.701 11.336 4.097
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.592 7.076 1.728 5.305 5.091 3.885 4.914 1.477 5.038 3.950 2.182
[2,] 15.299 8.991 1.977 6.690 6.595 4.404 6.221 1.741 6.474 4.579 2.616
[3,] 17.495 10.431 2.196 8.735 8.363 4.956 7.340 1.932 7.533 5.105 2.967
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.752 4.857 4.706 4.354 3.299 3.280 1.362 3.113 1.338 3.144 2.876
[2,] 6.844 6.229 6.042 5.223 4.814 3.767 1.574 3.610 1.611 3.760 4.118
[3,] 7.871 7.101 7.056 5.729 5.487 4.208 1.736 3.937 1.806 4.415 4.877
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.362 1.979 3.110 3.953 4.154 2.345 3.358 3.465 1.886 3.661 2.949
[2,] 2.966 2.327 4.642 4.956 4.761 2.778 5.342 4.089 2.245 4.938 4.392
[3,] 3.402 2.578 5.368 5.363 5.215 3.117 6.680 4.524 2.541 6.073 5.488
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.925 2.012 3.473 1.128 2.622 1.460 3.025 3.000 3.016 4.204 1.746
[2,] 4.522 3.627 4.183 1.357 3.861 1.654 3.509 3.352 4.181 5.677 2.182
[3,] 5.612 4.833 4.608 1.479 5.244 1.876 4.004 3.713 4.759 6.415 2.456
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.400 3.089 3.110 1.478 4.397 4.080 4.977 5.174 5.363 4.417 3.758
[2,] 4.785 3.570 4.841 1.723 5.286 5.153 5.704 6.231 6.260 6.249 5.541
[3,] 5.300 3.971 5.833 1.940 5.792 5.791 6.476 6.928 7.026 7.154 6.529
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.115 3.336 3.214 4.238 2.210 2.057 1.705 2.759 2.810 6.523 5.432
[2,] 1.318 4.501 4.075 5.263 2.564 2.408 1.989 3.834 3.310 7.525 6.793
[3,] 1.466 6.009 4.627 6.077 2.868 2.746 2.182 4.350 3.668 8.479 7.766
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.127 2.065 1.999 1.779 3.053 2.211 0.9031 5.908 9.718 5.254
[2,] 2.654 2.902 2.822 2.769 3.642 2.492 1.0422 8.759 14.321 7.014
[3,] 2.942 3.321 3.383 3.374 4.155 2.742 1.1839 10.767 17.248 8.276
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.649 3.418 8.705 6.55 13.3 1.485 2.502 6.756 7.748
[2,] 398.389 245.775 627.815 488.61 1034.2 102.011 176.258 539.203 586.575
[3,] 355.147 215.545 499.131 612.62 892.9 87.325 164.491 461.994 505.791
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.593 3.573 4.759 3.259 4.544 8.136 4.264 5.403
[2,] 649.603 329.331 494.863 237.596 459.234 651.354 280.739 506.372
[3,] 473.531 254.802 417.701 198.575 400.675 570.448 306.059 498.301
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.42 7.75 5.567 10.55 3.829 9.641 8.986 2.194 6.736
[2,] 445.70 767.45 537.023 846.89 289.904 1902.421 794.431 137.537 583.944
[3,] 527.79 715.41 488.553 708.42 271.760 1215.604 757.527 136.898 804.411
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.465 4.933 6.241 1.875 6.397 5.016 2.771 7.305
[2,] 600.469 297.190 546.350 132.049 582.464 331.805 206.600 531.124
[3,] 736.636 325.670 557.870 119.931 551.474 323.103 200.620 556.793
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.167 5.976 5.529 4.189 4.166 1.73 3.952 1.699
[2,] 558.733 542.709 413.174 502.192 265.214 113.08 262.064 128.514
[3,] 488.203 522.071 337.050 377.160 268.694 104.88 224.861 117.048
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 3.992 3.652 2.999 2.513 3.95 5.019 5.275 2.978
[2,] 295.489 422.238 256.997 175.401 493.58 428.278 333.203 213.136
[3,] 331.472 374.200 238.752 158.660 386.03 293.436 304.572 202.756
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.264 4.4 2.395 4.649 3.745 3.714 2.554 4.41 1.432
[2,] 595.098 311.0 174.292 474.511 466.127 493.906 432.321 334.01 108.023
[3,] 574.523 277.4 170.554 506.339 471.376 476.085 457.448 276.72 84.426
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 3.329 1.854 3.841 3.81 3.83 5.338 2.217 4.318 3.922
[2,] 405.889 111.366 254.788 213.93 414.78 546.460 187.553 482.262 256.338
[3,] 508.333 126.789 276.220 228.78 325.55 428.043 161.327 326.534 249.266
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.949 1.876 5.584 5.18 6.32 6.571 6.81 5.609 4.772
[2,] 531.322 126.911 420.129 450.92 399.19 497.121 462.58 632.998 583.248
[3,] 466.318 127.627 339.207 378.53 439.21 433.955 456.87 499.063 494.551
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.416 4.236 4.082 5.381 2.806 2.612 2.165 3.504
[2,] 100.529 432.771 358.711 447.058 186.193 179.551 146.901 381.320
[3,] 92.074 570.259 313.950 435.096 184.283 188.980 128.366 294.363
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 3.568 8.283 6.897 2.701 2.622 2.538 2.259 3.877
[2,] 250.595 537.367 584.223 227.333 291.945 285.378 303.956 284.379
[3,] 226.316 559.954 539.182 181.847 231.525 267.201 275.989 286.314
[,94] [,95] [,96] [,97] [,98]
[1,] 2.807 1.147 7.502 12.34 6.672
[2,] 164.692 74.507 926.163 1506.78 665.582
[3,] 163.838 80.437 896.877 1376.66 629.276
[1] "--- VAR model 2017-10-04 06:31:00 completed"
[1] "Completed training sample: 2017-10-04 06:31:00 - 2017-10-04 14:30:00"
[1] "SpVAR; training sample: 2017-10-04 07:01:00 - 2017-10-04 15:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.426 5.459 18.90 -24.40
-8.797 11.121 -15.86 -21.92
-11.425 1.352 13.09 21.98
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.30266 1.4410 7.376 -1.579
23.18037 7.0187 8.625 9.844
-0.02392 -0.3585 5.887 3.919
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.211 -13.254 -9.065 -8.931
-5.752 -5.905 -6.521 -18.866
-3.566 9.394 -10.208 -5.384
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-11.9442 -4.608 -2.636 -2.0920
-0.5744 7.775 -13.766 5.3574
-1.1158 -1.383 4.519 0.9131
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.400 -13.3374 -0.4286 0.1076
3.385 -0.2504 14.6709 -13.8207
7.827 3.7587 10.0389 12.0641
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.679 0.5805 20.18 -6.863
-22.722 -4.6810 17.65 12.882
-9.452 1.9969 -39.89 -10.201
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
4.6936 -9.594 -4.5226 -9.644
3.2331 23.054 0.8084 -12.899
-0.8059 -12.934 4.1914 -11.050
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-27.936 5.551 -15.714 9.6370
-9.043 -1.650 -10.404 0.3869
21.101 -4.757 -7.063 2.3145
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
9.155 -11.30 -8.853 -1.786
-6.516 -15.65 -1.754 -13.342
-3.172 -1.28 -21.986 -2.713
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
15.441 23.629 21.99 2.2047
2.110 -4.224 14.70 1.9248
4.182 7.223 10.49 0.7777
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
8.189 -0.0253 2.950 0.4536
1.554 8.3941 -8.637 -3.0837
5.754 -0.4326 2.059 -6.3476
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.203261 3.894 -10.251 2.286
2.327911 2.092 -7.966 11.327
-0.002072 3.030 -1.958 2.276
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-16.49 -1.636 2.659 6.269
8.21 -6.543 -11.835 18.170
-6.65 5.480 9.796 13.159
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.9179 13.482 -7.696678 -0.8640
2.3635 -3.273 2.710042 1.5383
-0.9058 5.181 -0.002858 0.4502
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.879 -10.876 -4.8791 -0.6093
-9.767 0.964 -8.0566 7.1647
3.495 3.160 -0.9321 0.3919
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-8.340 -9.920 8.767 1.857
-5.037 10.179 2.793 8.934
-4.103 4.486 7.571 2.666
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
23.907 4.000 23.708 -2.2118
-23.510 -1.883 4.758 -5.2126
1.102 -6.346 -4.551 -0.7209
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.3658 3.553 9.370 3.137
-1.9195 7.297 -8.653 -2.623
0.9741 1.761 -16.163 -10.144
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
12.53 20.817 -0.5885 -8.185
20.86 10.040 27.4564 27.725
19.87 -5.408 10.3290 8.459
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.176 -1.482 -28.373 -4.2013
8.049 -3.487 1.253 -0.1001
12.178 3.380 7.488 9.2853
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-9.445 -4.940 -1.896 4.865
-15.728 -4.974 6.844 -2.627
5.475 2.284 -1.866 4.412
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.530 4.272 11.111 -9.19482
6.589 8.821 7.166 0.06379
-1.857 2.938 3.532 -7.42922
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.073 2.815 5.1033 1.901
-3.082 -3.718 0.7568 9.579
2.297 4.002 -1.2259 -4.058
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-14.922 0.4773 2.918 -8.779
5.276 -2.2733 -2.698 6.288
-2.956 1.0397 -2.933 3.454
rnd_95776.volume rnd_95787.volume
-28.964 -11.743
3.265 12.339
-14.254 -9.145
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.646 2.840 6.736 5.081 11.22 1.228 2.003 5.411 5.946 4.260 2.735
[2,] 4.672 3.352 7.933 6.168 13.48 1.413 2.313 6.277 7.026 6.137 3.587
[3,] 5.168 3.656 8.728 7.536 15.06 1.551 2.562 7.074 8.008 6.792 3.986
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.861 2.667 3.637 6.414 3.391 4.183 4.410 6.260 4.311 8.220 3.037
[2,] 5.080 3.025 4.786 7.743 3.917 5.448 5.322 7.953 5.612 9.859 3.601
[3,] 5.784 3.288 5.579 8.894 4.357 6.511 6.335 9.327 6.578 11.050 4.061
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.523 6.927 1.679 5.165 5.058 3.959 4.817 1.483 5.033 4.071 2.231
[2,] 15.091 8.674 1.947 6.509 6.694 4.483 6.180 1.755 6.278 4.720 2.635
[3,] 17.197 10.193 2.236 8.395 8.490 5.158 7.353 1.968 7.349 5.294 2.930
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.449 4.769 4.625 4.609 3.420 3.549 1.419 3.081 1.344 3.180 2.879
[2,] 6.551 6.073 6.037 5.415 4.788 3.969 1.634 3.761 1.609 3.868 4.154
[3,] 7.700 6.943 6.989 5.947 5.543 4.483 1.795 4.151 1.797 4.523 4.888
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.471 1.953 3.374 4.165 4.291 2.431 3.421 3.640 1.837 3.693 3.003
[2,] 2.975 2.236 4.829 5.088 4.845 2.856 5.482 4.411 2.212 4.900 4.299
[3,] 3.348 2.489 5.462 5.544 5.395 3.153 6.801 4.858 2.515 6.155 5.394
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.668 2.001 3.535 1.131 2.763 1.624 3.020 3.122 3.010 4.230 1.719
[2,] 4.493 3.862 4.146 1.369 4.038 1.840 3.570 3.470 4.162 5.879 2.096
[3,] 5.583 4.970 4.594 1.508 5.277 2.012 4.052 3.829 4.714 6.626 2.359
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.447 3.126 3.260 1.419 4.216 4.079 4.991 4.877 5.156 4.581 3.415
[2,] 4.885 3.628 5.023 1.713 5.107 5.184 5.895 6.042 6.031 6.215 5.475
[3,] 5.418 4.060 6.044 1.975 5.752 5.772 6.659 6.707 6.687 7.100 6.439
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.191 3.275 3.153 4.162 2.206 2.036 1.699 2.841 2.982 6.697 5.275
[2,] 1.402 4.520 4.102 5.358 2.623 2.460 2.062 3.985 3.552 7.676 6.663
[3,] 1.551 5.996 4.684 6.234 2.866 2.786 2.277 4.502 3.852 8.569 7.622
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.058 1.964 1.948 1.834 3.133 2.309 1.080 1.975 9.749 5.403
[2,] 2.483 2.756 2.730 2.679 3.694 2.636 1.350 2.406 14.661 7.109
[3,] 2.770 3.178 3.223 3.171 4.207 2.866 1.538 2.662 17.479 8.246
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.63 3.607 8.554 6.451 14.25 1.559 2.543 6.871 7.551
[2,] 371.56 226.321 532.831 444.712 949.34 88.888 147.044 404.663 475.917
[3,] 280.99 185.726 463.054 550.713 854.17 81.444 140.343 414.880 488.761
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.409 3.473 4.903 3.387 4.618 8.145 4.306 5.312 5.6
[2,] 561.792 295.145 419.696 181.481 395.691 551.650 249.286 443.922 378.9
[3,] 370.270 220.906 351.947 163.751 364.551 556.444 242.741 453.494 437.1
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.949 5.474 10.44 3.857 9.553 8.796 2.132 6.558
[2,] 623.943 456.989 692.44 246.047 1663.812 664.090 125.432 503.926
[3,] 619.747 436.481 634.62 238.592 1048.708 680.827 139.874 674.213
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.423 5.028 6.117 1.883 6.391 5.169 2.833 6.919
[2,] 557.608 267.297 492.372 119.391 477.370 303.762 178.412 462.678
[3,] 664.234 324.440 506.734 113.203 485.693 305.010 162.803 514.628
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.055 5.873 5.853 4.343 4.506 1.802 3.913 1.707
[2,] 478.212 493.505 361.541 426.102 226.095 103.198 274.270 112.568
[3,] 428.157 447.825 312.701 355.205 265.130 94.265 223.286 101.751
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.037 3.655 3.138 2.479 4.285 5.288 5.448 3.087
[2,] 280.128 380.968 210.769 138.467 439.233 371.763 286.292 190.719
[3,] 298.070 327.446 195.356 139.145 324.849 280.101 301.671 169.768
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.344 4.622 2.333 4.689 3.814 3.388 2.541 4.489
[2,] 544.744 316.761 156.748 409.684 391.194 459.773 420.133 275.483
[3,] 511.997 259.121 152.028 473.631 414.231 421.554 397.831 251.515
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.436 3.508 2.062 3.834 3.964 3.823 5.371 2.183
[2,] 98.127 374.464 110.092 242.199 192.792 365.538 519.226 152.565
[3,] 80.622 432.142 103.610 243.873 205.925 281.568 388.844 137.667
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.378 3.97 4.139 1.802 5.354 5.18 6.338 6.193 6.547
[2,] 440.133 234.07 486.069 122.201 366.592 406.86 398.867 453.532 397.931
[3,] 298.252 231.93 427.576 124.890 336.613 322.92 393.872 370.428 367.406
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.817 4.336 1.512 4.159 4.003 5.285 2.802 2.585
[2,] 534.205 544.287 94.268 396.105 333.652 429.170 180.474 175.501
[3,] 436.503 431.058 84.393 501.077 287.746 405.333 146.852 166.367
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.158 3.607 3.786 8.504 6.699 2.613 2.494 2.474
[2,] 148.592 355.537 245.449 477.026 517.624 176.799 245.817 243.145
[3,] 122.920 266.199 189.691 484.412 470.840 156.205 201.255 217.981
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.328 3.979 2.933 1.371 2.508 12.38 6.861
[2,] 248.355 248.847 161.547 103.017 174.692 1392.64 587.542
[3,] 215.865 256.013 143.349 93.775 144.767 1210.34 531.425
[1] "--- VAR model 2017-10-04 07:01:00 completed"
[1] "Completed training sample: 2017-10-04 07:01:00 - 2017-10-04 15:00:00"
[1] "SpVAR; training sample: 2017-10-04 07:31:00 - 2017-10-04 15:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
20.605 14.048 -10.147 7.805
-1.461 -1.526 -14.579 -1.452
-2.732 1.939 -6.116 -6.977
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
12.55 -1.4970 3.933 3.21
-23.39 0.5496 -9.197 13.89
25.67 0.3718 4.327 11.15
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
27.058 5.976 3.213 -25.388
4.305 6.987 13.605 1.579
14.620 12.250 8.983 -13.670
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.8677 -3.929 -20.1180 0.8248
-8.9724 4.474 14.3436 10.5137
-4.2636 1.867 -0.7331 -0.2986
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.518 8.158 18.53 7.823
-14.307 6.538 15.48 15.504
5.227 -8.048 -13.69 6.721
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-29.89 0.2678 -41.67 9.368
12.86 -9.3672 -41.10 -7.281
-22.55 6.6134 -15.76 -6.926
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5060 11.68 15.08 13.515
-0.9697 -27.12 4.80 3.004
-2.7561 -14.14 -13.45 6.757
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
13.793 0.5889 -0.0669 13.42
-2.781 -1.6464 23.1746 12.42
-7.622 2.0606 2.5559 24.11
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.517 -3.978 -17.807 -8.995
1.793 23.093 -9.723 -2.970
3.000 -3.261 12.335 13.643
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.836 -12.492 -1.707 -5.2006
-8.257 -1.691 -11.317 2.2793
10.825 4.435 -7.802 -0.8926
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
12.2404 -1.660 1.819 -4.583
0.8025 4.044 -16.580 -14.128
7.8122 -1.630 -1.784 -15.795
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.377 9.008 -8.073 15.99
3.731 1.244 2.921 -14.99
3.058 -2.672 -11.750 21.54
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.8141 -6.193 5.389 1.086
6.7847 -6.690 -1.248 21.290
0.8069 3.788 5.039 13.098
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.83976 0.7232 3.905 -10.790
0.59136 12.5293 -1.081 4.486
-0.01035 2.1071 11.642 9.625
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.066 -1.829 -0.2545 0.04065
2.792 1.785 -1.9075 -1.22182
-6.012 -4.890 3.5098 -0.18292
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-8.955 -0.8763 10.5198 -19.853
-6.365 -7.1977 -0.6922 5.698
-6.368 -4.7181 6.5904 -5.426
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-25.968 -2.547 -3.682 7.019
-4.122 2.782 -13.812 -4.377
1.137 -1.649 8.105 -1.275
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.844 5.141 7.242 25.9303
-7.687 -3.212 4.835 -4.0368
-7.877 -1.740 13.130 0.7196
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
10.755 -3.245 -7.1424 7.417
9.471 8.973 11.2433 3.690
-2.561 3.375 0.8536 3.745
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.594 -2.098 17.655 -3.3398
-10.159 1.784 -4.135 0.8023
13.648 -2.637 7.744 -10.2142
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
14.869 2.137 4.851 5.189
14.558 6.826 -1.278 -5.470
-5.377 -3.665 1.241 1.192
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.0037 13.897 7.621 12.409
-0.3282 1.131 -14.894 -5.172
6.5352 0.714 -10.647 -1.234
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.6319 3.837 1.381 0.07016
-0.8471 -9.500 2.712 4.27010
1.7392 5.379 -10.300 -10.13531
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2101 6.354 -0.478 4.678
11.1940 -5.384 -2.443 1.562
4.0286 2.864 -2.543 6.165
rnd_95776.volume rnd_95787.volume
-0.7185 12.047
22.0486 -6.126
-8.5088 -25.123
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.776 2.815 6.791 5.042 11.77 1.320 1.928 4.714 5.325 4.016 2.787
[2,] 4.673 3.277 7.941 6.026 14.35 1.548 2.227 5.641 6.467 5.570 3.566
[3,] 5.136 3.675 8.681 7.504 15.97 1.739 2.452 6.281 7.256 6.294 4.006
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.699 2.678 3.526 6.693 3.404 3.882 4.148 6.228 4.395 7.454 3.088
[2,] 4.847 3.058 4.735 7.990 4.012 4.990 5.098 7.820 5.531 8.756 3.654
[3,] 5.686 3.249 5.471 8.987 4.377 5.939 5.935 8.876 6.485 9.664 4.057
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.165 6.965 1.748 5.251 4.792 3.916 4.821 1.597 4.955 4.498 2.223
[2,] 15.157 8.721 2.036 6.913 6.548 4.479 6.185 1.843 6.274 5.217 2.606
[3,] 17.042 9.986 2.244 8.731 8.310 5.187 7.444 2.037 7.509 5.840 2.917
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.087 4.642 4.791 4.804 3.622 3.645 1.388 3.197 1.265 3.292 2.731
[2,] 6.327 6.076 6.172 5.633 4.920 4.179 1.609 3.837 1.581 4.016 4.053
[3,] 7.509 6.923 7.094 6.205 5.700 4.669 1.770 4.226 1.747 4.641 4.831
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.382 1.917 3.283 4.017 4.082 2.319 3.475 3.947 1.811 3.590 3.080
[2,] 2.872 2.224 4.756 4.990 4.761 2.824 5.345 4.640 2.208 4.894 4.288
[3,] 3.274 2.486 5.352 5.469 5.366 3.071 6.716 5.168 2.482 6.011 5.229
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.655 1.979 3.775 1.158 2.742 1.662 2.990 3.293 3.174 4.477 1.837
[2,] 4.354 3.730 4.433 1.413 3.960 1.911 3.549 3.611 4.419 6.069 2.236
[3,] 5.559 4.809 4.820 1.555 5.185 2.132 4.043 4.007 4.925 6.651 2.481
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.503 3.170 3.795 1.416 4.404 4.207 5.156 4.914 5.273 4.600 3.723
[2,] 4.943 3.668 5.342 1.695 5.154 5.245 6.098 6.163 6.135 6.279 5.468
[3,] 5.593 4.048 6.319 1.974 5.711 5.794 6.827 6.927 6.798 7.027 6.433
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.174 3.589 3.123 4.312 2.114 2.133 1.797 3.044 2.949 6.666 5.122
[2,] 1.409 4.863 3.998 5.372 2.638 2.623 2.133 4.144 3.472 7.701 6.570
[3,] 1.549 6.230 4.533 6.338 2.894 2.867 2.334 4.647 3.856 8.533 7.519
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.938 1.934 2.014 1.944 3.090 2.372 1.452 1.919 9.962 5.419
[2,] 2.389 2.708 2.666 2.573 3.596 2.659 1.756 2.361 14.548 7.212
[3,] 2.635 3.095 3.057 3.050 4.126 2.922 1.963 2.670 17.421 8.228
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.795 3.575 8.624 6.403 14.95 1.676 2.449 5.986
[2,] 335.924 204.597 502.278 402.756 1001.93 98.849 136.017 378.029
[3,] 260.051 203.038 428.062 545.712 855.80 96.604 125.067 337.193
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.762 5.1 3.539 4.697 3.401 4.478 8.499 4.323 4.93
[2,] 447.764 471.0 271.501 382.356 180.054 385.621 532.650 259.203 382.49
[3,] 401.628 357.7 222.841 362.832 134.212 334.638 502.040 213.319 393.08
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.268 7.908 5.581 9.465 3.921 9.098 8.845 2.22
[2,] 361.746 577.179 409.786 560.660 238.425 1630.016 640.527 127.41
[3,] 370.768 512.620 413.330 499.057 215.004 950.960 593.752 115.07
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.668 6.085 4.972 6.122 2.027 6.292 5.712 2.823
[2,] 548.751 544.620 265.380 472.842 112.453 469.748 322.640 166.008
[3,] 650.740 624.392 319.307 505.638 105.940 503.549 320.199 159.839
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.459 5.895 6.084 6.101 4.6 4.629 1.763 4.059 1.607
[2,] 459.251 478.497 474.868 358.845 406.3 249.496 99.209 259.003 115.704
[3,] 493.408 404.843 426.859 317.682 351.3 254.031 90.110 216.258 90.650
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.18 3.468 3.025 2.434 4.169 5.101 5.184 2.945
[2,] 280.80 365.439 195.730 137.663 420.050 361.314 299.008 196.595
[3,] 283.95 320.922 191.985 135.685 299.434 273.164 302.089 147.360
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.413 5.012 2.3 4.559 3.911 3.371 2.513 4.793 1.471
[2,] 495.696 297.673 154.2 405.920 364.164 421.074 385.842 283.803 98.851
[3,] 496.123 277.840 138.2 425.993 365.132 421.900 370.443 230.895 79.301
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.482 2.111 3.796 4.181 4.03 5.685 2.333 4.449
[2,] 348.785 115.160 233.470 181.089 375.20 500.034 155.612 425.621
[3,] 408.356 115.219 236.379 211.787 265.57 332.187 131.278 319.273
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.025 4.818 1.798 5.593 5.343 6.547 6.24 6.696
[2,] 225.195 458.833 113.690 326.800 382.142 397.394 453.88 382.694
[3,] 209.185 412.125 123.430 300.051 300.568 374.589 385.98 357.366
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.842 4.727 1.491 4.557 3.966 5.476 2.685 2.709
[2,] 521.574 488.717 95.093 400.542 304.709 391.040 192.487 186.163
[3,] 384.869 413.655 78.450 475.274 260.555 410.335 145.325 141.490
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.282 3.865 3.745 8.465 6.504 2.461 2.456 2.558
[2,] 140.243 343.231 223.603 470.581 502.183 170.423 231.326 213.091
[3,] 115.673 256.672 204.663 448.531 446.368 135.611 182.770 182.713
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.469 3.924 3.012 1.843 2.437 12.65 6.882
[2,] 205.645 224.501 146.827 120.554 167.823 1293.90 580.708
[3,] 199.874 247.027 147.715 107.025 152.300 1169.61 483.513
[1] "--- VAR model 2017-10-04 07:31:00 completed"
[1] "Completed training sample: 2017-10-04 07:31:00 - 2017-10-04 15:30:00"
[1] "SpVAR; training sample: 2017-10-04 08:01:00 - 2017-10-04 16:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.830 4.997 10.05 -0.9004
2.014 -3.195 -12.19 7.6431
5.144 4.229 -13.58 -6.7166
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-23.37 -2.9190 -0.1217 -12.860
72.38 11.3693 6.9487 5.261
-21.48 0.2701 1.3529 13.147
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.514 23.038 -2.359 -5.255
-3.471 -18.674 -2.824 -20.877
12.953 2.243 4.356 -21.808
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.722 -4.916 12.472 -2.4732
7.761 16.000 9.337 -0.7881
2.242 -10.484 -10.222 -4.8463
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-15.774 11.6312 34.09 4.249
-1.809 0.8019 14.12 8.607
6.262 14.8593 -10.79 9.050
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.158 0.8603 -27.958 0.07873
-15.297 -0.6896 -9.459 -10.73972
-3.886 1.1648 -34.333 -4.09960
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.939 -2.0643 -0.731 10.905
1.769 -21.7026 -6.241 11.566
-1.196 0.4819 4.076 7.572
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
11.105 1.44072 9.453 36.41
14.851 0.09714 20.715 50.58
-5.323 -2.05454 8.706 20.54
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.917 10.479 -14.370 -4.794
-3.715 23.200 32.975 -10.409
4.699 3.976 -3.409 31.219
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.911 -16.827 17.575687 -3.7840
-9.321 4.211 -0.005491 -0.9836
-16.448 -3.578 8.391985 1.0913
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.919 0.9668 3.055 5.221
10.011 -2.8329 3.812 -13.829
2.104 0.1065 -1.138 -19.274
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.075 4.200 -26.471 -8.7844
4.365 2.310 -6.455 0.6265
5.413 5.989 -1.729 9.5015
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-14.350 11.760 1.071 21.51
19.492 5.501 -8.663 14.46
3.592 3.599 -10.639 21.52
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.872 22.10 21.16 -12.732
0.547 13.56 13.48 30.140
2.201 -16.89 -12.52 5.881
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.66 -10.339 -0.7794 -1.661
19.51 2.864 -2.0790 -6.381
12.31 -3.162 -0.5674 11.316
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.533 4.415 6.648 -4.130
-5.450 -4.178 9.463 3.668
-4.024 2.043 -4.395 11.075
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-21.2686 0.8979 -9.334 -1.563
0.3051 -2.1200 -12.165 6.028
10.5125 -1.3918 11.888 3.309
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
28.2456 5.243 10.6045 15.956
-5.1767 -2.966 -0.2169 4.102
-0.0146 -1.626 13.2065 2.968
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.90143 4.739 -2.844 5.823
-7.76091 13.802 5.760 12.346
-0.09314 5.407 3.395 4.686
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.689 -4.1345 14.502 -12.382
7.085 -0.7929 16.222 -9.369
17.461 -1.1307 7.369 -15.611
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
14.605 -0.1849 -0.1485 2.5298
4.832 4.0014 -0.2405 0.6026
1.564 -0.2748 -2.5616 -0.9637
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.911 0.9311 -5.335 -12.42
-7.871 -2.4632 3.954 -20.53
2.171 2.6401 17.696 -21.52
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.748 -4.6684 -5.8420 0.1096
-2.741 -3.3400 -3.1916 -4.9323
-3.554 -0.8741 -0.1099 -5.7449
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
12.228 -4.422 12.219 7.502
-5.474 -2.536 10.524 -4.387
-14.320 -3.474 8.242 2.681
rnd_95776.volume rnd_95787.volume
19.78 -12.90
-12.72 -10.71
13.96 -2.91
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.010 2.756 6.868 4.520 13.24 1.382 1.795 4.610 5.178 3.486 2.696
[2,] 4.835 3.290 8.122 5.682 15.35 1.601 2.155 5.461 6.447 5.353 3.503
[3,] 5.304 3.686 8.723 7.101 17.24 1.867 2.381 6.067 7.248 6.204 3.951
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.489 2.661 3.513 6.774 3.460 3.790 4.196 6.078 4.519 7.115 3.070
[2,] 4.734 3.158 4.553 8.055 4.073 5.047 5.144 7.886 5.703 8.401 3.599
[3,] 5.499 3.418 5.402 9.072 4.497 5.878 6.012 8.898 6.649 9.161 3.959
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.806 7.064 1.789 4.887 4.522 3.998 4.285 1.609 4.783 4.528 2.271
[2,] 14.884 8.647 2.082 6.650 6.281 4.727 5.889 1.903 6.155 5.260 2.626
[3,] 16.759 9.997 2.286 8.840 8.117 5.146 7.174 2.089 7.330 5.913 2.949
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.001 4.545 4.584 4.516 3.728 3.659 1.356 3.099 1.177 3.349 2.600
[2,] 6.298 6.048 6.112 5.518 4.885 4.228 1.564 3.860 1.469 3.947 3.962
[3,] 7.506 7.066 7.104 6.232 5.615 4.697 1.713 4.293 1.631 4.473 4.692
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.419 1.941 3.162 4.128 4.196 2.193 3.383 4.160 1.831 3.448 3.006
[2,] 2.946 2.194 4.610 5.023 4.950 2.731 5.259 4.798 2.197 4.795 4.256
[3,] 3.371 2.432 5.308 5.484 5.527 3.050 6.405 5.337 2.435 6.066 5.218
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.751 2.057 3.814 1.248 2.770 1.639 3.160 3.369 3.205 4.171 1.919
[2,] 4.430 3.625 4.511 1.463 4.052 1.884 3.749 3.803 4.553 5.876 2.381
[3,] 5.600 4.773 4.929 1.592 5.060 2.108 4.313 4.199 5.103 6.561 2.653
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.809 3.113 4.191 1.482 4.327 4.167 5.100 4.760 5.223 4.561 3.443
[2,] 5.049 3.662 5.523 1.792 5.198 5.017 5.907 6.083 6.055 6.415 5.389
[3,] 5.877 4.015 6.587 2.026 5.680 5.494 6.526 6.755 6.769 7.123 6.499
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.214 3.568 3.098 4.255 2.257 2.186 1.844 3.255 2.895 6.757 5.497
[2,] 1.442 4.846 3.999 5.299 2.729 2.609 2.169 4.293 3.416 7.849 6.933
[3,] 1.585 6.363 4.599 6.269 3.023 2.831 2.371 4.844 3.742 8.630 7.655
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.903 1.856 1.918 1.874 2.930 2.485 1.662 1.971 9.909 5.451
[2,] 2.399 2.653 2.570 2.406 3.535 2.763 1.983 2.482 14.209 6.997
[3,] 2.620 3.003 2.927 2.833 4.074 3.035 2.237 2.716 17.178 8.203
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.091 3.5 8.722 5.74 16.81 1.755 2.279 5.855 6.576
[2,] 262.154 174.3 420.596 333.96 752.81 78.427 115.707 283.905 372.482
[3,] 211.566 161.1 308.511 413.16 761.71 93.106 98.181 256.488 321.300
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.427 3.423 4.431 3.38 4.461 8.602 4.393 4.813
[2,] 393.993 216.978 310.242 164.93 280.915 422.837 208.504 323.312
[3,] 304.277 177.187 271.428 126.71 282.000 404.895 184.981 292.291
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.329 7.718 5.739 9.035 3.899 8.642 8.97 2.271
[2,] 288.626 487.365 337.445 433.355 182.086 1283.895 483.88 103.286
[3,] 301.781 399.868 331.649 354.305 160.026 747.148 486.67 91.650
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.205 5.743 5.077 5.442 2.043 6.074 5.749 2.884 6.35
[2,] 437.540 422.778 244.578 391.772 98.506 375.764 259.621 127.810 371.30
[3,] 564.858 498.737 197.482 397.503 83.593 386.140 262.064 130.144 396.08
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.771 5.821 5.734 4.734 4.646 1.722 3.935 1.495 4.252
[2,] 387.017 392.091 307.590 306.247 205.574 75.481 223.233 85.216 202.619
[3,] 354.503 351.371 280.967 268.553 198.392 67.736 182.232 68.786 204.185
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.301 3.072 2.464 4.015 5.242 5.329 2.785 4.296
[2,] 289.952 163.121 99.222 325.435 277.574 254.639 157.871 390.488
[3,] 243.781 158.836 101.786 255.251 213.540 238.654 131.626 354.768
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.282 2.325 4.379 3.817 3.493 2.612 4.843 1.585
[2,] 231.928 117.697 323.230 292.229 336.838 289.512 233.610 74.118
[3,] 226.692 101.991 360.274 292.896 332.204 301.248 192.792 60.988
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.518 2.082 4.013 4.278 4.069 5.297 2.437 4.837
[2,] 286.754 90.035 195.684 171.255 313.761 401.415 136.675 321.461
[3,] 293.946 91.782 206.818 172.753 223.425 283.121 113.541 291.710
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.953 5.322 1.882 5.494 5.292 6.476 6.044 6.633
[2,] 187.049 348.891 97.742 279.472 271.006 289.056 367.471 297.165
[3,] 159.780 348.155 91.612 222.225 217.247 269.140 284.816 293.577
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.791 4.372 1.541 4.531 3.934 5.404 2.866 2.776
[2,] 437.532 402.147 75.488 318.092 245.221 306.300 148.860 138.031
[3,] 300.359 352.426 63.838 399.867 220.322 324.897 126.147 106.711
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.341 4.134 3.677 8.581 6.981 2.416 2.357 2.435
[2,] 110.889 271.544 175.923 387.353 409.833 141.680 183.928 165.987
[3,] 92.947 217.507 148.182 348.029 314.704 102.261 136.329 135.911
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.38 3.721 3.156 2.111 2.503 12.58 6.922
[2,] 146.39 191.798 117.003 104.780 146.349 987.72 425.462
[3,] 145.01 196.456 121.934 100.534 106.921 936.35 415.454
[1] "--- VAR model 2017-10-04 08:01:00 completed"
[1] "Completed training sample: 2017-10-04 08:01:00 - 2017-10-04 16:00:00"
[1] "SpVAR; training sample: 2017-10-04 08:31:00 - 2017-10-04 16:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-10.4289 7.254 -38.838 2.01
3.2875 7.921 1.769 27.91
0.7541 8.055 14.666 -12.57
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.469 4.600 -0.2672 -2.456
-1.011 12.612 4.1110 -5.353
23.547 2.503 6.0184 12.736
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
14.770 2.582 -11.2296 -16.721
-13.369 -4.114 1.1795 -6.076
5.035 -13.774 0.2907 -39.848
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.322 5.026 -4.093 -6.7072
8.273 16.818 13.344 3.7792
1.128 -8.061 -7.978 0.2668
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.148 -8.361 -7.145 5.870
1.294 -8.254 -5.784 -5.683
-3.612 14.744 20.049 15.474
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-27.15 -9.845 -11.683 -8.790
32.55 -0.769 -78.848 -29.210
16.37 -4.658 3.915 1.159
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
8.176 13.46 -19.59 0.9556
-2.264 -18.02 -12.98 -6.8599
-2.843 -28.70 -30.55 -7.5592
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.855 -4.4174 22.971 -1.141
23.178 -0.6173 -5.412 16.775
-24.593 -4.0081 4.350 17.122
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
10.357 -29.35 -17.537 -2.420
-1.588 -10.32 -7.340 -4.032
6.294 16.68 8.196 -12.243
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-15.56 -32.96 24.193 -2.266
-20.22 -16.80 5.356 1.267
-25.14 -17.17 7.455 -2.058
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
29.87 2.610 4.285 -3.992
25.18 -3.140 7.979 9.898
10.84 -0.869 5.756 -7.510
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.920 2.5917 -1.460 -6.526
7.332 7.0311 -6.927 26.481
-5.063 -0.3882 5.589 -1.420
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.872 -2.811 -17.532 22.35
-25.297 6.202 7.820 12.81
-11.678 9.634 -8.241 19.85
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.4691 -0.1315 -8.754 -23.2704
1.2600 -10.1475 -4.829 -2.2799
-0.3409 -6.9515 -2.821 -0.4621
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.881 5.371 -0.3198 5.103
-15.656 10.463 -2.1699 5.211
-4.262 3.628 -0.2550 -15.160
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6807 22.658 -8.6241 -6.347
-5.6631 -7.583 1.0223 17.481
-6.1398 -1.422 0.1851 11.051
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.752 -1.5517 5.844 6.921
11.331 -9.0388 1.697 6.843
-1.596 0.8696 -2.138 3.122
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.039 8.35718 -3.091 -0.3146
16.098 13.77405 4.886 4.3863
4.507 0.04416 -1.696 0.6550
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.446 -2.84 -14.089 13.447
9.248 24.40 -2.065 4.628
2.861 9.18 -15.568 15.253
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
19.47 -1.0961 0.916 -19.010
-11.60 4.4260 9.149 -10.970
26.58 0.6842 -8.160 -4.818
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-10.3594 1.692 5.891 -2.3772
-7.1581 2.786 -3.269 -3.5843
0.6287 1.409 5.005 -0.2973
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-21.90 9.16 8.660 -33.66
-13.42 13.59 -12.887 -22.90
-11.43 10.17 2.435 -16.31
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
16.671 6.59090 0.07866 -3.743
4.825 5.13060 -2.72144 6.760
-4.845 0.06794 9.61380 8.707
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.215 2.982 -2.852 11.396
7.741 5.903 -5.735 5.303
2.706 2.518 -4.845 1.142
rnd_95776.volume rnd_95787.volume
68.30 -7.681
-22.68 -23.419
66.82 -6.606
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.007 2.909 6.746 4.059 13.88 1.488 1.657 4.710 5.339 3.626 2.786
[2,] 4.872 3.443 8.071 5.321 16.41 1.732 1.988 5.494 6.562 5.514 3.634
[3,] 5.507 3.772 8.841 6.698 18.29 1.977 2.249 6.103 7.212 6.262 4.040
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.474 2.750 3.394 6.595 3.555 3.744 4.013 5.712 4.567 7.039 3.147
[2,] 4.826 3.282 4.609 8.033 4.075 5.059 4.978 7.481 5.901 8.626 3.662
[3,] 5.607 3.572 5.320 9.023 4.481 5.871 5.721 8.375 6.725 9.698 4.050
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.53 7.030 1.774 4.627 4.220 4.046 3.940 1.603 4.807 4.600 2.308
[2,] 14.87 8.556 2.101 6.493 5.998 4.676 5.587 1.933 6.138 5.415 2.704
[3,] 17.06 9.808 2.300 8.655 8.000 5.056 6.935 2.110 7.364 6.107 3.054
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.129 4.687 4.493 4.537 3.755 3.564 1.316 3.175 1.117 3.507 2.779
[2,] 6.498 6.129 6.012 5.462 4.894 4.215 1.573 3.957 1.399 4.149 4.135
[3,] 7.736 7.296 7.070 6.219 5.621 4.729 1.706 4.439 1.545 4.686 4.796
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.475 1.945 3.241 4.243 4.355 2.175 3.655 4.340 1.854 3.522 3.079
[2,] 2.943 2.202 4.500 5.151 5.185 2.742 5.323 4.949 2.179 4.960 4.387
[3,] 3.372 2.477 5.154 5.596 5.710 3.058 6.479 5.527 2.443 6.057 5.373
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.791 2.054 3.700 1.238 2.717 1.713 3.114 3.538 3.277 4.362 2.006
[2,] 4.424 3.722 4.365 1.431 4.108 1.956 3.777 3.988 4.672 6.108 2.442
[3,] 5.564 4.898 4.805 1.576 5.194 2.137 4.344 4.367 5.267 6.807 2.735
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.839 3.138 4.231 1.609 4.203 4.386 4.924 4.472 5.155 4.380 3.291
[2,] 5.107 3.725 5.660 1.886 5.051 5.302 5.867 6.160 6.121 6.241 5.333
[3,] 5.969 4.077 6.774 2.125 5.601 5.969 6.598 6.791 6.966 6.988 6.492
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.238 3.590 2.798 4.308 2.284 2.218 1.798 3.260 3.396 6.501 5.635
[2,] 1.454 4.862 3.556 5.500 2.784 2.640 2.121 4.426 3.977 7.683 6.906
[3,] 1.601 6.301 4.119 6.376 3.054 2.907 2.372 5.026 4.325 8.486 7.653
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.025 1.855 2.086 1.856 2.897 2.467 1.930 1.914 9.89 5.103
[2,] 2.538 2.592 2.601 2.317 3.375 2.767 2.421 2.410 14.20 7.014
[3,] 2.807 2.849 2.921 2.725 3.976 3.028 2.741 2.791 17.44 8.070
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.088 3.694 8.566 5.155 17.62 1.889 2.104 5.982 6.78
[2,] 236.074 156.940 377.423 293.036 746.07 75.484 93.605 240.798 324.94
[3,] 218.666 131.197 307.500 346.459 687.67 81.261 89.583 226.398 254.92
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.604 3.537 4.412 3.492 4.31 8.374 4.514 4.754
[2,] 353.854 198.762 285.272 152.642 265.61 390.675 169.630 289.844
[3,] 252.876 150.395 243.205 119.980 226.25 350.111 158.896 253.753
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.096 7.253 5.799 8.939 3.996 9.562 8.927 2.253
[2,] 250.775 411.534 318.330 424.595 159.633 1092.277 415.481 95.823
[3,] 240.192 320.716 274.773 377.721 147.323 711.478 408.376 79.724
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.876 5.359 5.138 5.003 2.036 6.104 5.842 2.93 6.513
[2,] 388.001 363.074 199.710 337.410 91.975 325.187 243.313 120.01 339.921
[3,] 487.436 450.872 163.845 349.914 72.003 346.569 240.477 120.99 357.560
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.952 5.705 5.761 4.768 4.526 1.671 4.032 1.418 4.453
[2,] 336.356 340.217 259.106 267.424 191.653 73.367 201.055 71.818 188.910
[3,] 337.216 316.929 253.236 235.545 182.753 56.255 171.424 55.787 185.590
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.528 3.143 2.47 4.116 5.388 5.531 2.762 4.641 5.511
[2,] 260.820 135.622 87.90 265.861 248.727 239.606 142.235 329.666 202.681
[3,] 207.022 140.189 96.60 214.045 186.392 203.918 115.269 314.548 209.632
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.354 4.473 3.91 3.545 2.608 4.699 1.573 3.45 2.175
[2,] 97.587 297.467 266.17 292.308 264.308 197.188 61.064 262.48 80.517
[3,] 94.008 296.041 264.20 287.491 271.273 171.220 56.221 270.62 73.244
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 3.954 4.493 4.161 5.539 2.547 4.875 3.985 5.373
[2,] 182.075 156.729 283.645 364.161 118.544 286.821 170.960 320.183
[3,] 182.816 151.684 207.270 255.920 104.994 263.158 141.206 317.058
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.044 5.337 5.57 6.253 5.679 6.546 5.562 4.18 1.572
[2,] 83.728 238.575 253.75 271.770 360.825 281.210 378.667 357.43 64.856
[3,] 83.453 206.170 233.47 257.068 243.478 283.166 267.740 315.25 57.126
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.558 3.553 5.47 2.9 2.817 2.284 4.14 4.313 8.256
[2,] 279.326 186.951 291.29 135.6 122.000 95.863 254.99 176.217 348.732
[3,] 341.294 176.990 274.76 106.9 103.640 90.393 202.75 144.770 307.079
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 7.156 2.572 2.356 2.648 2.357 3.678 3.133 2.451
[2,] 340.011 130.273 154.192 132.371 118.104 147.631 106.735 124.498
[3,] 281.056 102.128 100.653 113.193 122.155 178.939 104.718 109.569
[,96] [,97] [,98]
[1,] 2.431 12.56 6.48
[2,] 124.770 867.51 409.83
[3,] 119.890 863.46 340.01
[1] "--- VAR model 2017-10-04 08:31:00 completed"
[1] "Completed training sample: 2017-10-04 08:31:00 - 2017-10-04 16:30:00"
[1] "SpVAR; training sample: 2017-10-04 09:01:00 - 2017-10-04 17:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.237 -0.08975 9.434 1.064
6.013 10.18588 -20.435 16.231
2.195 2.49463 -17.308 17.151
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-20.728 11.017 8.7594 5.749
-20.592 5.522 5.6582 -1.420
-7.397 2.987 0.4173 -9.448
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
11.00 18.564 2.2565 -36.89
10.56 16.195 -0.2637 -14.47
-11.72 -5.328 -2.0729 -15.76
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.5556 -13.04 -13.588 -9.306
0.8108 6.32 -2.385 10.694
-1.3978 -13.38 -9.767 1.729
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.677 0.4451 -3.125 -10.3831
-6.199 -24.1946 21.939 -0.7173
-3.421 -6.8733 9.072 7.9931
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
21.722 -3.576 33.05 1.757
-14.884 6.996 2.15 7.654
8.014 4.191 -24.84 17.429
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.835 -4.476 14.900 14.9032
-2.932 10.010 27.531 -2.9722
-5.345 21.147 3.474 -0.9645
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.131 -4.2012 1.220 8.8474490
14.714 0.2895 17.364 -6.0047238
10.267 1.4850 7.654 0.0002608
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
5.357 2.021 -10.53 -15.678
2.049 -20.441 -14.16 -3.551
7.179 6.922 -18.65 -10.464
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-10.015 -19.271 23.287 1.889
-3.522 8.287 11.024 1.849
-11.395 -6.779 8.391 1.256
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.03934 -0.8041 2.31148 -7.574
0.07752 -1.6904 0.07544 -14.789
9.83254 -0.6624 -0.30639 -8.362
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.747 3.4729 -17.26 5.048
-7.749 2.8926 -19.36 1.498
8.430 -0.2287 -13.83 8.412
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
16.957 -0.3898 -16.399 19.52657
8.330 -8.6817 3.551 0.08701
1.586 -1.2167 7.920 13.74485
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.243 0.44912 2.9531 4.174
-5.230 5.17132 -0.1083 2.362
-6.805 -0.03073 11.6032 3.116
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
17.652 1.874 1.7475 4.1866
6.942 -12.343 -0.2045 16.7193
2.632 2.728 -0.3606 0.7737
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.130 4.285 -8.887 -2.834
2.095 11.277 7.749 6.958
-2.680 2.986 4.110 22.829
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.933 5.252 -12.946 -0.6109
13.197 1.002 5.736 0.1213
5.852 -2.095 5.651 0.9251
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.054 8.8155 7.498 3.046
-3.236 5.3869 9.090 8.495
8.923 0.5102 2.140 6.246
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
20.12 31.1655 20.86 20.36
10.96 -0.7096 21.64 12.22
13.03 15.4749 10.57 20.62
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
16.164 -2.8733 1.759 5.299
31.658 -0.5878 19.881 -2.603
3.257 4.2089 4.870 2.417
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.409 3.4798 -6.582 -2.115
7.868 0.6802 -1.256 4.959
24.753 1.7561 -2.607 -1.941
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.587 -7.379 27.0347 -25.158
4.727 14.948 0.1893 2.363
-1.407 3.820 14.8551 -14.951
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.4157 9.663 1.394 6.496
6.9565 5.125 8.678 2.820
0.3337 -1.486 5.945 9.164
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.116 8.455 -11.135 5.149
3.433 4.998 -11.159 6.626
4.317 11.772 -5.506 -1.378
rnd_95776.volume rnd_95787.volume
16.337 16.306
-1.199 2.454
-25.333 9.658
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.893 3.041 7.188 3.637 14.47 1.761 1.606 4.80 5.433 3.517 2.748
[2,] 4.861 3.472 8.351 5.138 17.17 2.086 1.939 5.65 6.523 5.552 3.599
[3,] 5.502 3.788 8.990 6.425 19.15 2.383 2.138 6.22 7.138 6.363 3.946
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.477 2.535 3.546 6.765 3.585 3.921 4.402 5.664 4.532 8.534 2.915
[2,] 4.881 3.122 4.579 8.144 4.090 5.074 5.483 7.433 5.883 9.855 3.450
[3,] 5.725 3.405 5.371 9.143 4.535 5.948 6.253 8.340 6.878 10.857 3.783
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.457 6.712 1.777 4.265 3.734 4.131 3.576 1.576 4.606 4.666 2.428
[2,] 15.476 8.617 2.126 6.147 5.712 4.693 5.459 1.933 5.927 5.344 2.752
[3,] 17.494 9.762 2.376 8.545 8.167 5.118 6.699 2.166 7.237 5.944 3.091
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.973 4.513 4.616 4.814 4.080 3.451 1.297 3.266 1.149 3.639 2.632
[2,] 6.304 5.824 6.036 5.560 5.085 4.180 1.549 4.063 1.406 4.285 4.129
[3,] 7.510 7.112 6.959 6.260 5.843 4.724 1.695 4.496 1.522 4.734 4.790
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.455 1.935 3.452 4.381 4.315 2.196 3.662 4.262 1.870 3.391 3.114
[2,] 2.994 2.161 4.684 5.215 5.151 2.773 5.442 5.027 2.230 5.060 4.535
[3,] 3.369 2.431 5.386 5.603 5.674 3.109 6.718 5.642 2.543 6.272 5.543
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.881 2.054 3.764 1.265 2.726 1.709 3.172 3.541 3.278 4.404 2.126
[2,] 4.480 3.794 4.334 1.459 4.094 1.985 3.765 4.018 4.745 6.179 2.630
[3,] 5.630 5.086 4.746 1.585 5.249 2.167 4.330 4.429 5.342 6.899 2.900
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.045 2.982 4.485 1.662 4.177 4.268 5.135 4.437 5.220 4.238 3.293
[2,] 5.171 3.715 5.998 1.920 4.968 5.221 6.045 6.003 6.224 6.092 5.434
[3,] 5.993 4.089 7.026 2.159 5.520 5.955 6.649 6.586 7.112 6.872 6.375
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.308 3.582 2.791 4.414 2.174 2.247 1.812 3.509 3.453 6.362 5.401
[2,] 1.542 4.755 3.389 5.461 2.672 2.684 2.119 4.691 4.011 7.567 6.564
[3,] 1.685 6.075 3.948 6.241 2.986 2.977 2.377 5.235 4.388 8.273 7.379
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.027 1.654 1.936 1.832 2.892 2.445 1.873 1.986 9.638 4.914
[2,] 2.565 2.365 2.479 2.262 3.391 2.763 2.435 2.522 14.987 7.182
[3,] 2.848 2.657 2.800 2.638 3.943 3.037 2.834 2.829 18.022 8.088
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.944 3.861 9.128 4.619 18.38 2.236 2.04 6.095 6.899
[2,] 222.141 127.911 324.246 276.900 704.65 85.320 82.90 227.442 275.375
[3,] 196.544 115.609 254.206 294.218 647.12 87.897 68.63 198.486 221.358
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.466 3.49 4.415 3.219 4.503 8.591 4.552 4.979 5.59
[2,] 327.705 177.23 261.394 138.962 221.010 345.917 150.369 245.659 249.35
[3,] 237.310 123.61 228.275 103.839 214.257 317.145 149.499 236.837 229.49
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.192 5.756 10.84 3.702 9.469 8.523 2.256 5.416
[2,] 367.266 286.102 376.04 140.763 1034.498 412.326 89.038 337.749
[3,] 288.601 271.982 347.78 118.395 622.408 349.982 80.962 452.753
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.741 5.246 4.54 2.002 5.849 5.925 3.083 6.315 5.731
[2,] 329.775 169.993 314.68 85.355 284.579 198.696 98.822 295.608 280.886
[3,] 445.317 155.868 296.31 74.572 316.839 198.591 107.386 311.352 311.461
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.861 6.114 5.182 4.383 1.647 4.148 1.46 4.621 3.342
[2,] 296.685 212.265 231.444 179.941 64.625 184.385 61.78 172.724 242.675
[3,] 264.320 219.500 219.655 167.999 52.578 146.864 44.44 153.549 185.394
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.117 2.458 4.383 5.564 5.48 2.788 4.65 5.412 2.375
[2,] 130.808 73.431 241.546 215.778 214.66 129.246 307.11 203.432 92.676
[3,] 117.857 84.902 202.850 156.298 181.47 107.302 300.56 195.416 93.276
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.305 3.954 3.658 2.608 4.779 1.607 3.462 2.17 4.028
[2,] 286.494 251.541 261.782 243.377 163.994 55.500 233.028 76.98 154.720
[3,] 282.864 243.083 260.067 258.364 147.471 47.213 250.633 66.38 163.247
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.497 4.163 5.593 2.699 5.136 3.787 5.696 2.111
[2,] 144.901 261.766 330.610 118.148 245.782 169.065 303.750 73.321
[3,] 142.211 187.196 234.183 93.317 231.164 130.388 279.188 75.404
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 5.304 5.419 6.521 5.634 6.629 5.381 4.181 1.662
[2,] 205.265 229.532 243.342 308.434 258.587 333.906 329.793 62.256
[3,] 183.633 218.512 211.369 206.726 262.648 242.576 254.333 51.918
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 4.548 3.544 5.605 2.76 2.854 2.301 4.456 4.385 8.079
[2,] 238.588 146.619 245.360 118.49 112.038 83.723 237.549 155.635 312.552
[3,] 288.532 154.648 230.470 101.86 98.285 82.251 177.361 135.769 255.305
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 6.858 2.574 2.10 2.458 2.326 3.673 3.105 2.379 2.522
[2,] 284.616 119.963 128.97 118.223 101.311 135.019 98.167 118.699 118.609
[3,] 257.224 94.367 92.44 99.202 103.510 153.537 96.235 110.550 97.781
[,97] [,98]
[1,] 12.24 6.24
[2,] 875.58 399.57
[3,] 763.71 283.87
[1] "--- VAR model 2017-10-04 09:01:00 completed"
[1] "Completed training sample: 2017-10-04 09:01:00 - 2017-10-04 17:00:00"
[1] "SpVAR; training sample: 2017-10-04 09:31:00 - 2017-10-04 17:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.5677 6.301 4.677 -14.794
-6.3232 2.282 3.508 2.592
-0.9038 -1.740 2.746 -26.998
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
46.937 3.9258 -0.7318 -4.879
-4.223 0.3858 -0.6337 -11.367
-1.795 5.0575 6.0854 13.311
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-14.06 7.62 3.516 -6.259
-15.29 -14.89 -9.055 -12.116
11.80 -5.41 -10.731 -25.442
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.3094 17.569 19.443 8.091
-6.6202 2.946 6.227 -6.009
-3.8073 -4.865 -23.247 -1.517
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.099 6.278 7.822 18.32
4.622 12.088 39.361 27.02
-2.848 7.574 23.946 30.64
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.885 7.469 -38.13 3.233
-11.875 13.332 25.97 -1.305
-4.902 -1.085 29.00 1.197
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.7780 -1.233 5.054 -9.786
0.3187 -12.905 -16.462 -13.997
1.8249 8.347 2.900 -3.538
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.221 -4.830 7.753 10.699
3.430 0.949 8.268 2.435
-19.484 1.644 -16.723 8.614
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2166 4.050 10.501 1.524
-0.9585 -1.390 -14.326 3.867
3.4655 -9.477 8.418 2.652
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.825 -5.7590 15.78 -3.1589
-10.483 -8.9986 26.60 -0.9392
-10.241 -0.8603 17.81 -0.1290
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.107 1.7775 -1.105 -13.566
17.920 3.2031 14.249 -4.830
6.195 0.3566 13.719 6.336
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.8319 -0.9402 9.561 2.880
0.1095 1.3176 -16.786 8.521
8.8133 2.9670 -3.397 9.859
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.220 -5.354 -7.8813 10.9884
12.031 -1.639 8.6807 0.4295
9.156 -3.256 -0.7995 4.3339
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.9883 4.4643 9.942 -6.633
-0.7844 0.4321 -1.311 8.239
2.2925 5.2211 12.391 2.307
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.200 9.9093 -4.2339 -8.504
6.291 0.7586 -2.7898 1.385
-3.134 1.7622 0.1929 9.181
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.562 14.099 8.461 10.10
-5.329 -2.579 2.156 18.44
-5.052 3.478 5.590 10.09
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-13.70 -6.5025 -5.321 4.892
12.44 0.2514 8.193 7.625
13.31 -4.4171 13.605 -2.685
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.681 2.126 2.163 -4.3361
-1.969 8.000 -10.403 -5.8375
19.998 3.825 9.599 0.1509
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
25.029 -1.327 7.666 -3.4100
25.288 10.438 27.068 23.6599
-4.049 -7.829 16.136 0.8728
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-7.284 1.130 2.2018 11.113
3.009 2.022 0.1515 6.073
11.625 1.347 18.4345 4.222
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.46 -2.596 7.888 -0.6124
-15.53 6.341 -6.732 -0.2582
12.96 -2.162 -5.974 3.9110
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-15.575 9.0736 1.8940 4.575
4.038 2.7122 8.2096 -13.622
-3.354 -0.8805 -0.3202 -5.784
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7198 -4.032 3.297 2.679
-0.3243 -2.699 -3.641 -3.054
-2.3645 1.889 -2.979 -4.619
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-7.9150 0.1083 -4.771 5.35705
-0.7786 2.9072 -1.132 -5.99691
4.8523 7.1831 -5.039 0.08546
rnd_95776.volume rnd_95787.volume
-2.671 -9.1886
56.662 0.8461
-11.021 4.7867
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.877 3.135 7.222 3.743 14.51 1.969 1.649 4.893 5.404 3.698 2.758
[2,] 4.791 3.577 8.276 5.136 17.07 2.298 1.967 5.733 6.801 5.673 3.604
[3,] 5.427 3.888 8.907 6.506 19.48 2.631 2.167 6.307 7.461 6.567 4.013
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.595 2.688 3.530 6.842 3.856 4.037 4.142 5.760 4.501 8.922 2.930
[2,] 4.940 3.235 4.607 8.252 4.275 5.336 5.300 7.200 5.610 10.107 3.495
[3,] 5.648 3.580 5.214 9.164 4.691 6.051 6.225 8.262 6.547 11.291 3.908
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.377 6.776 1.768 4.408 3.911 3.887 3.712 1.599 4.593 4.567 2.429
[2,] 15.371 8.771 2.152 6.389 5.955 4.501 5.386 1.932 5.810 5.179 2.715
[3,] 17.413 9.787 2.418 8.473 8.226 4.932 6.699 2.187 7.321 5.859 3.036
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.551 4.595 4.414 4.551 4.225 3.498 1.321 3.307 1.142 3.736 2.745
[2,] 6.002 5.850 5.818 5.246 5.167 4.213 1.519 4.214 1.370 4.365 4.233
[3,] 7.222 6.939 6.792 5.922 5.883 4.853 1.672 4.729 1.488 4.780 4.924
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.649 1.856 3.645 4.388 4.457 2.373 3.701 4.286 1.773 3.603 3.279
[2,] 3.070 2.100 4.840 5.277 5.218 2.880 5.558 4.956 2.088 5.468 4.701
[3,] 3.499 2.351 5.557 5.651 5.738 3.226 6.969 5.579 2.457 6.494 5.706
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.799 2.116 3.689 1.290 2.870 1.652 3.302 3.593 3.616 4.625 2.247
[2,] 4.537 3.980 4.269 1.494 4.157 1.945 3.937 4.060 4.859 6.307 2.783
[3,] 5.698 5.246 4.704 1.649 5.401 2.140 4.480 4.487 5.549 7.066 3.019
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.161 2.947 4.605 1.846 4.074 4.386 4.922 4.457 5.291 4.327 3.530
[2,] 5.201 3.645 6.183 2.104 4.993 5.230 5.964 5.946 6.355 6.121 5.392
[3,] 5.933 3.989 7.219 2.365 5.575 5.915 6.771 6.666 7.244 6.900 6.268
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.331 3.658 2.833 4.423 2.197 2.284 1.870 3.750 3.537 6.317 5.315
[2,] 1.538 4.823 3.465 5.497 2.697 2.762 2.164 4.906 4.051 7.523 6.547
[3,] 1.686 6.174 3.959 6.312 2.957 3.120 2.383 5.470 4.443 8.228 7.304
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.009 1.743 2.009 2.011 2.870 2.387 2.076 2.089 10.19 4.764
[2,] 2.637 2.621 2.484 2.494 3.356 2.749 2.605 2.595 15.37 7.172
[3,] 3.030 3.041 2.839 2.904 3.842 3.003 3.020 2.943 18.75 8.142
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.923 3.981 9.171 4.753 18.43 2.50 2.093 6.213 6.862
[2,] 198.991 121.726 285.705 248.665 635.32 83.81 75.851 211.316 291.901
[3,] 180.367 107.863 232.892 282.371 663.39 90.62 64.316 185.835 217.001
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.696 3.503 4.564 3.413 4.482 8.689 4.897 5.127
[2,] 304.056 164.033 239.541 127.236 209.293 326.154 130.514 246.677
[3,] 233.943 124.780 193.619 108.416 172.705 281.797 136.575 201.768
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.259 7.314 5.715 11.33 3.721 9.367 8.604 2.244 5.598
[2,] 233.826 305.448 236.831 335.87 134.711 953.255 393.777 86.738 326.909
[3,] 230.893 286.453 238.610 355.92 123.595 578.588 306.987 78.069 393.498
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.966 4.936 4.714 2.03 5.832 5.799 3.084 5.779 5.835
[2,] 317.470 160.427 275.876 76.72 251.581 172.692 85.805 276.682 255.921
[3,] 401.183 142.668 281.698 72.52 314.892 193.712 95.996 284.004 263.895
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.605 5.779 5.365 4.442 1.677 4.199 1.45 4.744 3.485
[2,] 268.004 184.558 210.255 165.948 53.027 184.729 53.44 159.590 227.824
[3,] 247.689 194.345 198.978 170.379 49.502 151.668 41.14 137.732 177.824
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.363 2.357 4.628 5.572 5.659 3.013 4.699 5.442 2.251
[2,] 109.744 69.477 225.121 207.272 191.886 115.449 293.112 175.987 78.084
[3,] 118.783 74.741 193.083 143.027 168.749 102.694 297.233 181.203 91.461
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.575 4.163 3.554 2.687 4.685 1.638 3.644 2.098 4.194
[2,] 290.770 238.142 252.487 238.253 151.925 53.241 212.637 72.597 151.561
[3,] 247.767 228.630 243.705 241.680 139.694 49.359 243.804 63.041 151.150
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.563 4.592 5.873 2.854 5.284 3.742 5.848 2.344
[2,] 133.698 229.443 303.199 116.091 220.644 151.651 291.660 71.422
[3,] 135.084 189.509 225.211 82.777 201.825 114.535 263.482 76.333
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.173 5.569 6.25 5.66 6.719 5.495 4.482 1.69 4.646
[2,] 204.099 201.404 238.09 278.24 248.892 306.052 288.145 54.48 222.227
[3,] 175.364 195.444 226.75 213.15 245.880 225.127 225.962 48.83 272.472
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.598 5.617 2.79 2.901 2.374 4.762 4.491 8.022 6.749
[2,] 141.075 230.799 110.66 109.821 77.050 223.626 139.689 288.841 270.288
[3,] 135.324 219.377 85.72 102.562 70.594 171.089 129.097 235.583 228.981
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.551 2.214 2.551 2.553 3.644 3.031 2.637 2.653 12.94
[2,] 120.690 138.343 103.217 104.308 122.989 96.422 111.186 108.784 813.08
[3,] 105.529 109.052 97.215 105.172 132.268 85.534 108.071 98.262 759.60
[,98]
[1,] 6.05
[2,] 379.02
[3,] 272.54
[1] "--- VAR model 2017-10-04 09:31:00 completed"
[1] "Completed training sample: 2017-10-04 09:31:00 - 2017-10-04 17:30:00"
[1] "SpVAR; training sample: 2017-10-04 10:01:00 - 2017-10-04 18:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.65 2.5167 12.492 -2.023
10.86 13.6791 -18.741 10.215
11.39 0.9741 3.298 12.777
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.72 7.502 2.466 3.7926
-14.85 2.924 2.201 0.1306
-26.64 3.789 5.716 8.7263
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
27.130 11.154 -6.673 -30.433
-7.849 8.464 10.314 -8.084
6.751 -4.121 2.725 -22.784
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.398 -7.717 -10.000 -3.027
-7.204 -1.662 7.966 -3.013
-4.666 -7.918 -5.490 -6.303
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.955 3.067 17.827 4.7080
-7.161 1.305 8.712 3.2031
-2.734 -0.880 -5.364 -0.7665
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
18.578 0.3114 3.519 18.416
3.676 10.0977 10.781 -2.851
9.774 -4.6214 -36.868 -8.689
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.01043 16.8533 2.097 -10.198
1.09378 0.6425 6.912 -3.938
-6.01613 0.8478 4.605 3.174
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.333 -5.849 -7.82925 -5.205
12.575 -3.687 0.06729 -9.543
10.182 -1.103 20.70939 -3.790
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.1290 3.203 2.072 3.214
-0.7506 -2.561 5.474 -14.663
-1.9210 17.102 -3.588 -4.656
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-26.419 -1.984 -11.601 1.919
-9.863 -14.992 13.058 1.512
6.094 -12.496 2.837 -1.398
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.2517 0.1690 4.903 0.9852
-0.8273 0.2460 2.588 -5.5432
-5.4891 -0.4524 -2.985 -5.5046
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.857 6.0749 -4.909 3.6698
1.003 0.8271 -8.337 10.8368
2.130 1.6574 -11.743 -0.9536
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.661 -2.466 -16.512 9.425
-4.770 -6.611 -3.083 17.155
9.246 -2.592 12.954 8.263
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5154 -5.307 13.568 -8.848
0.2048 -11.256 -11.248 -1.741
-2.2630 9.492 8.429 2.875
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.240 9.234 0.9296 -4.892
8.035 9.446 -3.0691 -7.623
-11.638 -6.451 3.7421 14.252
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6085 2.514 -8.794 -0.2273
-5.0890 3.418 -6.145 -4.0947
-3.0260 -2.511 3.530 -6.7083
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
16.14 1.189 1.684 -13.436
-12.01 4.770 -9.488 3.626
-14.61 5.341 -19.490 -5.225
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.735 5.8840 6.787 10.545
-5.233 0.4557 -6.664 4.869
-5.872 0.1273 -1.639 8.704
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-14.308 9.4784 18.11 13.463
9.549 0.3802 18.72 6.601
-7.813 -2.7816 12.37 12.492
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
22.60 -0.1499 2.823 -8.1894
23.72 5.5063 10.146 0.4499
16.59 3.6869 -3.452 2.6507
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-18.9337 -2.363 -4.842 -6.407
0.1257 -6.119 -4.070 -2.355
13.4233 -3.420 -5.174 -2.729
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-14.115 3.609 19.066 -9.009
-3.996 13.259 26.307 -7.651
-13.199 3.858 -0.518 1.648
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.517 14.779 13.855 15.047
10.162 6.805 8.364 7.862
11.223 6.354 1.721 -1.028
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.487 2.673 -7.814 9.293
-10.510 3.351 -16.373 2.796
1.094 2.354 -9.548 -2.541
rnd_95776.volume rnd_95787.volume
-51.018 24.859
4.673 2.653
11.931 -11.990
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.060 3.031 7.200 3.826 15.03 2.075 1.660 5.158 5.524 3.571 2.400
[2,] 4.944 3.480 8.258 5.449 17.40 2.447 1.978 5.993 6.817 5.663 3.242
[3,] 5.529 3.806 8.895 6.766 19.69 2.819 2.198 6.490 7.497 6.594 3.706
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.449 2.797 3.557 5.579 3.766 4.168 4.001 5.919 4.808 9.164 3.061
[2,] 4.632 3.368 4.369 6.634 4.260 5.478 5.224 7.185 5.780 10.463 3.610
[3,] 5.323 3.719 4.984 7.345 4.744 6.095 6.236 8.189 6.580 11.536 3.977
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.43 5.606 1.875 4.408 4.047 3.773 4.091 1.709 4.788 4.785 2.428
[2,] 15.64 7.426 2.225 6.447 5.964 4.395 5.936 2.039 5.957 5.437 2.734
[3,] 17.62 8.452 2.497 8.492 8.223 4.809 7.161 2.318 7.594 6.053 3.068
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.769 4.520 4.274 4.657 4.368 3.401 1.298 3.402 1.159 3.553 2.754
[2,] 6.200 5.959 5.884 5.355 5.205 4.074 1.511 4.277 1.373 4.235 4.163
[3,] 7.374 7.136 6.947 5.955 5.937 4.822 1.666 4.809 1.469 4.654 4.881
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.751 1.833 3.638 4.565 4.578 2.286 4.09 4.462 1.734 3.756 3.195
[2,] 3.228 2.159 4.765 5.410 5.335 2.818 5.79 5.090 2.060 5.691 4.752
[3,] 3.591 2.401 5.519 5.801 5.914 3.201 6.98 5.706 2.423 6.661 5.722
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.914 2.196 3.884 1.298 2.876 1.670 3.379 3.550 3.635 4.704 2.332
[2,] 4.682 3.979 4.417 1.486 4.116 1.980 4.066 4.033 4.970 6.424 2.821
[3,] 5.784 5.335 4.809 1.657 5.229 2.168 4.607 4.503 5.586 7.143 3.064
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.313 2.921 4.851 1.836 4.217 4.526 4.822 4.481 5.395 4.417 3.767
[2,] 5.501 3.561 6.444 2.155 5.163 5.501 5.840 5.812 6.640 6.133 5.637
[3,] 6.270 3.904 7.373 2.417 5.736 6.169 6.658 6.729 7.470 6.984 6.504
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.356 3.616 2.771 4.521 2.094 2.281 1.839 4.241 3.511 6.349 5.692
[2,] 1.577 4.759 3.394 5.431 2.625 2.776 2.171 5.201 4.066 7.567 6.780
[3,] 1.698 6.184 3.887 6.326 2.909 3.182 2.358 5.718 4.469 8.340 7.696
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.965 1.795 2.146 2.233 2.876 2.409 2.431 2.156 10.95 5.005
[2,] 2.641 2.789 2.597 2.712 3.414 2.773 2.939 2.707 15.72 7.314
[3,] 3.108 3.209 2.955 3.071 3.969 3.034 3.352 3.013 19.02 8.280
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.156 3.848 9.143 4.858 19.09 2.635 2.108 6.55 7.015
[2,] 201.771 122.385 289.292 277.568 626.92 92.840 76.977 218.38 285.818
[3,] 177.192 110.380 236.669 286.967 659.87 100.137 68.558 178.27 223.272
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.534 3.048 4.379 3.552 4.517 7.084 4.782 5.293
[2,] 314.388 155.895 221.184 134.217 181.499 256.887 142.523 254.282
[3,] 241.742 128.415 187.707 112.916 171.551 225.613 149.357 191.252
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.081 7.516 6.105 11.64 3.887 9.435 7.119 2.381 5.597
[2,] 240.331 291.344 229.570 361.40 136.956 984.555 348.392 85.675 336.561
[3,] 243.617 281.196 224.939 347.67 119.335 580.612 288.865 81.174 395.420
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.139 4.792 5.195 2.17 6.08 6.077 3.083 6.055 5.74
[2,] 313.409 161.157 307.685 79.50 253.53 184.613 89.883 283.469 277.84
[3,] 405.013 139.728 286.555 78.96 336.93 190.482 99.681 285.653 280.83
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.427 5.914 5.546 4.319 1.648 4.32 1.472 4.511 3.497
[2,] 289.282 189.154 202.570 160.411 55.304 185.49 52.650 164.865 223.280
[3,] 264.202 186.418 204.358 184.629 50.276 157.28 37.403 138.187 182.403
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.494 2.328 4.62 5.797 5.813 2.903 5.193 5.666 2.202
[2,] 120.799 81.534 220.12 207.798 196.014 117.881 293.204 175.278 79.658
[3,] 112.613 75.219 199.24 149.806 182.539 108.690 278.849 184.511 91.211
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.77 4.057 3.7 2.789 4.931 1.648 3.652 2.12 4.291
[2,] 305.85 251.680 262.1 237.362 150.571 51.688 210.627 76.09 161.812
[3,] 247.64 227.958 243.0 254.201 136.019 52.602 230.789 63.26 155.013
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.508 4.616 5.974 2.962 5.477 3.709 6.16 2.331 5.355
[2,] 136.947 242.440 312.966 113.495 244.237 145.777 303.47 80.811 213.032
[3,] 143.368 182.566 223.512 85.600 215.302 114.542 256.34 78.234 178.848
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.748 6.123 5.691 6.851 5.609 4.783 1.722 4.592
[2,] 223.715 235.789 264.754 276.867 304.343 300.024 57.614 221.313
[3,] 199.817 228.723 242.576 244.999 239.158 232.127 45.152 282.548
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.519 5.741 2.659 2.897 2.335 5.386 4.459 8.062
[2,] 140.227 215.363 113.267 113.141 82.535 215.439 146.656 294.631
[3,] 135.560 232.012 89.644 111.250 65.958 169.936 132.799 250.922
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 7.228 2.495 2.279 2.726 2.835 3.652 3.059 3.087
[2,] 263.524 126.287 152.656 104.536 110.086 131.652 98.251 118.194
[3,] 260.563 117.198 113.629 100.948 103.152 144.828 88.160 115.311
[,96] [,97] [,98]
[1,] 2.737 13.91 6.356
[2,] 117.098 806.80 381.533
[3,] 94.729 766.47 277.674
[1] "--- VAR model 2017-10-04 10:01:00 completed"
[1] "Completed training sample: 2017-10-04 10:01:00 - 2017-10-04 18:00:00"
[1] "SpVAR; training sample: 2017-10-04 10:31:00 - 2017-10-04 18:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.489 1.5412 -8.018 8.309
-3.895 1.9925 -5.512 12.074
4.140 0.4723 -5.417 -2.292
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
13.84 10.0088 5.881345 0.7451
22.12 -1.2089 -0.377176 -2.1172
21.08 -0.5925 0.002834 17.4189
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.909 8.517 -3.1959 -22.35
-2.411 2.937 -0.4909 -10.23
15.429 -9.569 -3.4858 -10.46
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.436 -4.662 8.547 17.1246
-1.757 6.301 2.022 -1.5441
1.871 3.466 4.478 0.1155
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.298203 17.7598 20.422 18.646
11.414492 -16.8931 22.222 15.989
-0.004462 0.4824 -5.507 8.776
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
10.426 3.514 6.548 4.336
2.574 1.829 -6.928 -6.171
-6.786 -2.943 -9.153 -18.760
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.1411 10.191 4.7289 -9.9431
0.7848 -4.647 5.2691 -0.7813
-3.2697 -18.074 0.7893 -0.4264
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.229 2.7776 3.632 -9.290
15.648 0.1257 1.809 -5.023
-3.497 4.3283 28.874 -6.217
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
7.7727 9.226 -2.064 14.056
-7.1484 12.316 10.007 4.329
-0.4988 13.892 10.304 3.632
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
20.25 -3.546 4.984 1.4862
20.47 2.683 15.986 -0.1931
19.84 1.461 6.958 -1.7008
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.393 -1.9946 4.776 -13.000
6.347 0.8548 -5.011 -14.728
16.063 0.1221 2.607 -3.806
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.09 2.0692 -5.408 -1.222
14.50 0.4863 -10.009 7.672
6.58 6.1585 -5.734 4.602
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.793 -10.995 1.847 5.599
-5.399 -9.857 -1.061 6.562
-19.260 -6.077 -17.661 10.783
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.68981 -5.811 -1.871 4.348
0.04877 10.302 -3.192 -8.047
0.85179 -15.455 6.102 -1.244
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
10.319 -9.1396 2.3624 -12.283
-9.930 -0.6505 -3.4110 8.950
3.246 1.5651 -0.7622 -8.164
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.670 -7.147 -0.6213 9.999
-8.775 -1.678 -0.9454 -5.866
-7.016 5.283 0.9685 3.458
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.927 -5.912 4.605 1.054
-6.245 5.593 17.056 2.223
-13.134 -7.833 -7.686 3.130
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.386 3.496 7.180 8.540
9.181 -4.147 -5.752 -5.739
-4.396 2.782 -6.264 9.066
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
29.387 25.724 -22.82 -5.179
7.440 2.964 10.32 30.607
8.422 3.267 19.88 2.380
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.07144 4.9508 5.059 20.78
21.54093 2.4642 1.420 15.04
9.01313 0.4153 34.193 15.50
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
27.32 -4.374 2.217 -0.3151
17.74 2.292 1.491 0.9689
18.36 5.063 -3.260 -0.6288
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
9.436 -3.857 6.852 0.465
3.122 -2.192 -11.408 -9.106
-1.911 6.295 -10.621 -15.994
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.4222 9.8394 0.9435 9.126
5.3729 0.4054 3.7178 -2.493
4.3720 -1.2108 0.1991 -1.455
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.894 -0.2373 -10.670 6.5632
-1.331 -1.2548 -4.031 0.8208
1.192 -1.8292 -5.572 -1.9701
rnd_95776.volume rnd_95787.volume
6.982 17.03
-34.874 -11.15
-34.372 -24.68
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.988 3.086 7.216 4.123 15.49 2.143 1.677 5.096 5.512 3.716 2.436
[2,] 4.987 3.622 8.171 5.724 18.09 2.575 1.963 6.005 6.758 5.806 3.227
[3,] 5.579 3.932 8.960 7.085 20.30 2.919 2.221 6.549 7.362 6.794 3.664
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.554 2.849 3.631 5.202 3.682 4.112 4.003 5.973 5.066 9.201 3.197
[2,] 4.566 3.419 4.365 6.060 4.183 5.417 5.307 7.275 5.966 10.717 3.645
[3,] 5.328 3.791 4.978 6.834 4.594 6.081 6.345 8.194 6.818 11.889 4.003
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.908 5.618 2.007 4.449 4.179 3.763 4.224 1.811 4.843 4.744 2.458
[2,] 15.712 7.268 2.365 6.479 6.006 4.378 6.061 2.116 6.282 5.464 2.742
[3,] 17.514 8.327 2.648 8.578 8.065 4.811 7.464 2.378 7.639 6.090 3.020
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.825 4.657 4.340 4.838 4.366 3.559 1.267 3.645 1.165 3.557 2.827
[2,] 6.113 6.157 5.873 5.638 5.204 4.204 1.488 4.574 1.355 4.176 4.133
[3,] 7.352 7.219 6.861 6.198 5.898 4.952 1.661 5.062 1.454 4.678 4.783
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.788 1.868 3.560 4.523 4.827 2.330 4.057 4.661 1.843 3.852 3.239
[2,] 3.245 2.201 4.751 5.415 5.670 2.801 5.617 5.402 2.181 5.633 4.617
[3,] 3.624 2.408 5.453 5.803 6.271 3.239 6.913 5.883 2.512 6.754 5.583
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.025 2.138 3.782 1.321 2.904 1.792 3.413 3.391 3.662 4.612 2.308
[2,] 4.705 3.901 4.461 1.535 4.076 2.067 4.035 3.961 4.979 6.245 2.837
[3,] 5.742 5.207 4.872 1.690 5.108 2.244 4.660 4.470 5.552 6.950 3.127
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.459 2.995 5.023 1.861 4.346 4.358 5.059 4.416 5.705 4.378 4.043
[2,] 5.449 3.579 6.664 2.181 5.308 5.483 6.209 5.813 7.126 6.199 5.633
[3,] 6.244 3.907 7.538 2.407 5.850 6.141 7.003 6.774 7.958 7.001 6.547
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.378 3.667 2.924 4.639 2.154 2.337 1.825 4.339 3.546 6.110 5.697
[2,] 1.628 4.766 3.633 5.580 2.630 2.812 2.155 5.329 4.167 7.239 6.904
[3,] 1.784 6.175 4.217 6.333 2.952 3.213 2.327 5.905 4.584 7.968 7.868
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.888 1.917 2.432 2.526 2.827 2.428 2.665 2.181 11.45 4.961
[2,] 2.690 2.956 2.871 2.952 3.401 2.797 3.251 2.723 15.67 7.045
[3,] 3.256 3.314 3.159 3.262 3.936 3.050 3.653 3.053 19.52 8.054
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.064 3.919 9.163 5.236 19.67 2.722 2.129 6.472 6.999
[2,] 212.305 134.384 271.847 281.501 662.81 101.209 72.334 225.246 277.277
[3,] 177.282 108.496 260.811 296.015 652.99 97.425 73.695 185.216 207.148
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.719 3.093 4.513 3.618 4.611 6.606 4.675 5.221
[2,] 316.312 150.053 203.200 134.030 171.749 220.461 140.760 249.987
[3,] 250.078 123.139 194.776 116.132 169.802 223.930 134.673 196.034
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.083 7.585 6.433 11.68 4.059 10.04 7.134 2.549 5.649
[2,] 247.025 294.426 223.395 389.76 124.203 962.47 326.901 88.626 333.968
[3,] 246.601 267.497 234.042 364.90 117.343 548.68 288.279 84.498 398.604
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.306 4.778 5.364 2.30 6.15 6.025 3.121 6.127 5.914
[2,] 305.799 158.695 308.115 77.64 283.67 192.254 86.196 266.116 285.556
[3,] 381.698 141.484 308.916 76.94 308.13 190.693 89.754 289.676 267.232
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.511 6.143 5.544 4.52 1.609 4.628 1.479 4.517 3.59
[2,] 280.511 205.253 200.781 158.58 55.353 195.947 49.091 155.132 213.73
[3,] 251.553 182.685 196.912 185.64 52.415 153.747 37.497 149.507 170.75
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.54 2.372 4.521 5.744 6.13 2.959 5.152 5.919 2.34
[2,] 117.75 82.583 223.051 211.128 210.88 110.174 275.385 193.675 82.73
[3,] 114.54 69.323 189.826 147.906 190.01 115.414 285.811 165.241 88.37
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.891 4.113 3.841 2.714 4.802 1.677 3.688 2.275 4.334
[2,] 291.415 233.246 255.455 231.349 167.774 55.444 202.728 73.055 152.596
[3,] 264.204 222.545 233.345 244.496 138.962 50.186 218.346 62.046 165.324
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 4.306 4.65 5.857 2.93 5.662 3.803 6.378 2.364 5.519
[2,] 145.199 239.17 298.516 116.98 222.118 138.983 310.505 80.588 216.034
[3,] 146.893 174.29 216.221 93.23 216.158 111.127 249.899 72.283 174.406
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.534 6.424 5.608 7.245 5.559 5.134 1.75 4.656 3.713
[2,] 235.886 255.217 267.947 302.683 311.108 278.037 61.51 215.825 152.872
[3,] 196.093 229.701 246.694 251.227 230.802 236.586 51.65 278.340 151.887
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.891 2.735 2.968 2.317 5.509 4.502 7.759 7.234
[2,] 219.772 107.048 110.828 81.309 219.400 155.188 275.306 276.595
[3,] 212.406 95.062 110.315 62.166 180.455 135.467 235.996 267.620
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.397 2.434 3.088 3.207 3.59 3.084 3.384 2.77 14.54
[2,] 135.889 159.504 108.208 108.348 134.12 98.434 132.005 115.59 758.22
[3,] 129.983 106.393 93.476 98.400 140.43 86.230 118.208 97.89 825.68
[,98]
[1,] 6.3
[2,] 354.6
[3,] 276.8
[1] "--- VAR model 2017-10-04 10:31:00 completed"
[1] "Completed training sample: 2017-10-04 10:31:00 - 2017-10-04 18:30:00"
[1] "SpVAR; training sample: 2017-10-04 11:01:00 - 2017-10-04 19:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-5.365 1.168 -9.254 -3.705
3.338 4.996 -1.923 10.030
4.392 -11.396 -4.915 58.451
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
27.45 -3.900 1.793 27.339
-37.12 4.369 -2.443 -3.469
-11.74 -2.039 2.950 -18.006
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
19.152 8.785 9.814 -15.640
2.523 13.725 4.855 -3.526
-11.368 -1.369 5.731 -8.210
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.710 -16.051 -14.564 7.2766
-1.601 -11.191 -15.633 -0.7722
-1.078 -8.278 2.777 2.1463
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.106 -36.718 -9.210 -6.987
-9.985 -5.742 -22.326 -10.817
1.028 -7.695 3.735 3.270
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-19.964 -3.393 87.111 34.16
9.246 -8.260 -18.616 29.59
-12.130 3.401 1.572 -3.98
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.2163 14.619 18.92022 3.3763
1.2468 39.319 56.19629 7.7697
3.2787 -7.276 -0.02682 0.2569
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.14 5.113 20.551 -19.418
14.39 4.125 -5.098 -5.848
52.72 -3.388 42.866 -1.964
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.0171 -4.996 7.219 -10.238
0.6316 -12.589 -34.813 -27.022
0.7167 23.174 -13.828 -5.726
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.241 -0.8509 4.417 3.6086
6.262 3.4501 1.960 -0.6219
11.991 -3.7040 5.842 3.6215
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.792 1.0734 -5.128 4.403
0.282 2.2076 -1.018 -10.114
-4.223 0.3644 -6.432 -1.659
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.581 8.6859 -9.9438 12.5568
-6.826 0.5714 0.9402 0.9469
9.606 0.2696 -13.4166 -2.1157
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-7.780 -0.3394 19.269 -6.902
-8.403 7.7638 -14.323 12.546
1.341 8.1159 -4.616 10.341
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.05774 9.1141 5.022 -12.969
-1.00580 5.0481 17.460 15.995
4.29982 -0.6055 -9.356 -3.979
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.285 -10.966 -1.0272 11.51
2.688 17.301 1.9734 -18.59
14.791 -4.191 -0.5168 10.96
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-8.1157 -7.609 10.272 5.173
-0.6728 1.152 -8.445 1.636
4.2368 -6.797 2.775 -4.080
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.259 -4.132 16.74 13.03
-10.888 -6.228 -14.91 1.73
8.387 5.400 10.87 17.61
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.7765 -3.025 -11.733 -7.936
10.9632 7.096 2.508 -4.961
0.6732 -3.208 -3.743 4.579
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.615 0.5966 3.986 -16.256
11.694 -4.6276 9.175 -8.676
-3.568 4.5009 -3.812 1.350
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.254 -2.010 -12.698 -5.89977
-6.187 -2.589 -8.669 -0.04292
-4.210 -1.779 -10.864 1.61056
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.611 4.133 3.850 0.1643
-2.217 4.790 2.149 -3.7385
-8.339 8.669 -8.091 -0.6185
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.432 -0.6471 -0.4565 -21.567
-1.903 -1.0902 5.3970 4.600
8.056 -5.1201 15.3060 4.076
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2488 -3.053 4.913 1.6553
-3.1189 5.483 2.893 0.5188
6.0301 -1.293 -1.282 1.6145
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.09123 6.0397 20.44 239.2
-2.73946 0.5196 14.77 231.6
9.48353 -2.4916 12.75 223.2
rnd_95776.volume rnd_95787.volume
-34.026 37.1292
-5.841 24.5791
-21.076 0.3635
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.218 3.036 7.157 4.286 16.08 2.167 1.688 5.264 5.614 3.772 2.510
[2,] 5.125 3.550 8.253 5.930 18.44 2.637 2.030 6.072 6.720 5.904 3.365
[3,] 5.699 3.829 9.018 7.182 20.88 2.959 2.290 6.595 7.347 6.802 3.767
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.655 2.951 3.351 5.147 3.252 3.970 4.152 6.251 5.163 9.232 3.255
[2,] 4.554 3.551 4.270 6.111 3.780 5.264 5.398 7.504 6.227 10.697 3.695
[3,] 5.250 3.929 4.943 6.866 4.093 6.070 6.384 8.553 7.115 11.960 4.037
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.069 5.616 2.006 4.429 4.142 3.782 4.261 1.876 4.817 4.751 2.395
[2,] 15.888 7.328 2.364 6.507 6.008 4.290 6.062 2.190 6.396 5.463 2.790
[3,] 17.733 8.376 2.639 8.573 8.240 4.810 7.435 2.449 7.770 6.134 3.079
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.737 4.596 4.432 4.540 4.264 3.366 1.293 3.653 1.157 3.571 2.822
[2,] 6.125 6.209 5.984 5.490 5.113 4.245 1.527 4.529 1.353 4.127 4.062
[3,] 7.367 7.433 6.998 6.127 5.872 4.954 1.688 5.005 1.454 4.659 4.589
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.818 1.816 3.652 4.498 4.807 2.407 4.301 4.735 1.926 3.934 3.344
[2,] 3.293 2.179 4.779 5.390 5.689 3.004 6.056 5.434 2.223 5.893 4.782
[3,] 3.630 2.389 5.484 5.851 6.358 3.386 7.215 5.945 2.589 7.073 5.871
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.050 2.200 3.889 1.333 2.863 1.835 3.550 3.618 3.644 4.655 2.367
[2,] 4.761 4.034 4.545 1.560 4.130 2.064 4.076 4.122 4.977 6.351 2.855
[3,] 5.818 5.390 4.977 1.695 5.402 2.270 4.686 4.554 5.535 7.012 3.140
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.486 2.848 4.970 1.923 4.372 4.622 5.167 4.471 5.614 4.506 4.061
[2,] 5.616 3.466 6.662 2.251 5.321 5.695 6.213 5.923 6.943 6.208 5.724
[3,] 6.394 3.813 7.684 2.464 5.879 6.375 6.930 6.928 7.794 6.935 6.658
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.386 3.619 2.866 4.633 2.214 2.381 1.814 4.259 3.609 6.201 6.056
[2,] 1.609 4.736 3.645 5.636 2.709 2.935 2.161 5.272 4.207 7.252 7.192
[3,] 1.765 6.185 4.175 6.334 3.050 3.293 2.401 5.827 4.641 7.998 8.228
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.870 1.986 2.442 2.564 2.911 2.350 2.889 5.262 11.78 4.941
[2,] 2.704 2.973 2.885 2.969 3.402 2.781 3.469 8.293 16.04 7.005
[3,] 3.305 3.308 3.164 3.288 3.979 3.024 3.926 10.986 19.68 7.973
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.356 3.856 9.088 5.443 20.42 2.751 2.143 6.684
[2,] 264.841 167.359 373.897 372.873 821.49 136.704 102.533 275.434
[3,] 226.915 130.578 331.001 368.659 890.86 122.261 96.573 234.184
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.129 4.789 3.187 4.641 3.748 4.255 6.536 4.129
[2,] 336.099 413.260 203.936 247.263 179.714 240.729 299.809 175.294
[3,] 270.168 307.304 154.037 237.664 152.982 226.705 284.841 142.870
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.041 5.272 7.937 6.557 11.72 4.133 10.25 7.132
[2,] 314.549 313.794 377.737 316.742 491.75 159.159 1245.21 428.299
[3,] 274.965 310.279 373.411 313.139 486.80 147.922 716.72 369.051
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.547 5.625 5.259 4.803 5.411 2.383 6.116 6.033
[2,] 113.814 433.662 396.026 184.270 392.259 102.687 382.941 245.302
[3,] 106.629 507.918 513.012 197.944 391.719 99.806 401.320 253.994
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 3.041 6.016 5.836 5.628 5.765 5.414 4.274 1.642
[2,] 130.304 353.220 379.871 365.776 280.810 256.704 235.392 73.888
[3,] 118.378 372.560 371.831 330.068 247.690 262.777 232.368 65.483
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.639 1.469 4.534 3.583 3.579 2.306 4.638 5.712
[2,] 243.546 63.909 188.414 265.871 154.889 109.636 280.447 270.154
[3,] 193.915 48.356 196.625 194.244 139.098 89.158 244.838 207.095
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.104 3.056 5.462 6.013 2.445 4.995 4.246 3.873
[2,] 276.735 163.577 387.825 242.583 100.994 399.236 311.056 332.646
[3,] 258.456 142.210 356.983 219.519 120.722 355.817 309.822 304.262
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.794 4.938 1.693 3.636 2.331 4.508 4.594 4.627 5.911
[2,] 307.600 214.125 73.694 270.810 85.847 182.171 179.840 308.513 393.066
[3,] 325.297 184.476 60.227 316.838 86.118 210.466 176.109 220.297 270.571
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 3.006 5.696 3.617 6.311 2.441 5.551 5.869 6.562
[2,] 145.131 307.495 179.649 403.571 106.491 275.932 302.759 313.981
[3,] 119.138 278.059 144.617 348.465 91.335 227.678 260.592 279.296
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.678 7.129 5.722 5.156 1.76 4.595 3.64 5.884 2.812
[2,] 353.352 371.764 388.535 367.010 74.29 277.903 204.80 291.922 142.085
[3,] 327.118 322.265 281.289 309.557 66.01 362.024 185.39 262.993 127.362
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.023 2.304 5.408 4.582 7.874 7.69 2.375 2.522
[2,] 156.129 106.819 282.794 196.783 342.165 352.99 177.624 201.307
[3,] 135.920 95.245 225.850 178.270 306.930 363.65 172.884 131.903
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.101 3.255 3.697 2.984 3.668 6.682 14.96 6.274
[2,] 139.801 136.209 160.158 135.279 174.794 583.138 990.59 451.768
[3,] 118.255 128.718 187.762 108.218 167.238 655.589 1037.02 346.480
[1] "--- VAR model 2017-10-04 11:01:00 completed"
[1] "Completed training sample: 2017-10-04 11:01:00 - 2017-10-04 19:00:00"
[1] "SpVAR; training sample: 2017-10-04 11:31:00 - 2017-10-04 19:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.658 -1.161 -13.463 -4.910
1.695 1.595 -12.427 7.412
-7.197 1.455 6.624 -4.647
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
39.545 7.855 -3.794 4.197
-6.508 2.872 1.196 6.455
17.613 -5.263 3.401 6.728
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
17.73126 15.973 -9.166 -2.044
1.20356 8.102 4.020 -4.542
0.08548 -4.626 8.296 -13.331
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.321 6.6639 -0.3183 5.487
-11.643 11.4353 12.9984 2.058
8.012 0.3897 10.9197 1.617
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
21.018 6.284 7.708 13.78
16.584 12.753 25.538 34.22
-1.487 5.890 18.182 21.21
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-25.840 -7.1749 -36.03 -18.290
-21.261 0.2604 -29.20 -3.922
3.137 4.7081 -36.04 -23.449
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
4.727 -2.296 23.6426 8.026
-1.190 -9.576 -20.8320 -4.893
-4.758 -14.019 -0.6248 -1.071
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.957 1.3031 1.809 10.336
5.898 -0.9999 4.761 3.874
-5.422 2.4331 -2.838 11.569
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
6.796 -17.295 -6.874 11.011
1.770 -1.131 -5.573 -14.269
3.741 3.913 9.119 1.339
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.053 10.203 -8.685 0.3405
-3.966 12.778 -2.885 0.8472
-6.516 -1.927 -3.387 4.8059
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.042 -4.0329 2.208 -10.688
-2.640 0.9579 -3.808 -10.532
5.601 -0.2696 -15.653 -9.518
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.708 2.153 -13.718 1.086
3.802 3.601 4.918 2.456
1.528 -2.647 -1.832 -3.127
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.49 -6.767 8.8163 13.151
6.61 -3.782 13.2704 13.617
10.46 1.502 0.4719 3.917
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.931 15.166 -11.777 -8.146
2.817 4.101 14.599 9.270
-1.178 12.333 9.856 14.622
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.831 -15.7431 5.378 17.533
-15.921 0.7428 -3.694 -1.221
18.753 4.6661 1.113 -8.118
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.684 0.0418 0.09823 8.353
-7.221 16.9804 1.45869 10.847
-2.854 -5.8831 4.76534 -1.286
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.255 -0.5199 -7.830 13.334
11.099 1.5678 12.394 -2.394
4.844 -0.8154 7.211 6.740
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.733 1.4924 1.524 -12.596
6.618 -6.1152 1.829 3.288
8.688 0.8188 -5.369 -12.484
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.4072 0.6599 -22.509 -13.003
-0.6959 -2.3168 4.836 1.851
2.9655 -3.5329 11.466 2.558
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.5517 -4.6994 4.1300 -2.5959
-10.9223 1.4463 -19.9799 0.7356
4.0215 -0.3405 -0.3265 5.9404
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.107 1.4794 6.6019 0.0117
-3.086 6.6231 5.5693 -1.0191
-8.856 -0.4552 -0.5649 2.5633
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.446 -8.462 11.487 21.388
12.686 1.841 6.552 -1.936
1.948 -1.385 3.621 2.065
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.411 0.2729 6.0516 8.0136
-1.606 4.0320 3.2251 3.1566
3.569 3.9878 -0.2198 -0.7402
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.132 -6.487 15.99 240.4
10.402 3.220 14.70 242.5
-13.534 2.467 22.09 228.9
rnd_95776.volume rnd_95787.volume
43.3250 -9.272
0.6391 -4.361
25.4814 -18.406
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.161 2.946 7.166 4.207 16.78 2.207 1.677 5.219 5.655 3.893 2.459
[2,] 5.078 3.534 8.170 5.884 19.15 2.662 1.993 6.021 6.718 5.969 3.322
[3,] 5.657 3.834 9.025 7.235 21.37 2.976 2.277 6.516 7.341 6.799 3.734
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.617 2.982 3.209 4.193 3.384 4.088 4.212 6.263 5.077 9.007 3.189
[2,] 4.559 3.512 4.248 5.177 4.028 5.353 5.506 7.494 6.198 10.577 3.649
[3,] 5.249 3.930 4.912 5.916 4.387 6.219 6.414 8.599 7.037 12.053 4.020
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.277 5.569 1.993 4.467 4.238 3.788 4.085 1.940 4.959 4.677 2.251
[2,] 15.392 7.243 2.314 6.424 6.023 4.279 5.953 2.193 6.355 5.399 2.666
[3,] 17.259 8.341 2.623 8.437 8.031 4.744 7.366 2.424 7.604 5.982 2.971
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.677 4.596 4.664 4.537 4.165 3.388 1.326 3.703 1.115 3.630 2.905
[2,] 6.033 6.281 6.096 5.382 4.982 4.258 1.544 4.560 1.316 4.274 4.055
[3,] 7.186 7.444 7.075 6.043 5.684 4.972 1.724 5.010 1.419 4.803 4.721
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.878 1.791 3.707 4.254 5.157 2.445 4.377 4.749 1.948 3.756 3.203
[2,] 3.304 2.147 4.757 5.263 5.801 3.069 6.093 5.487 2.308 5.604 4.628
[3,] 3.638 2.373 5.457 5.710 6.571 3.447 7.367 5.967 2.651 6.928 5.727
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.056 2.223 3.940 1.308 2.920 1.770 3.505 3.688 3.574 4.708 2.356
[2,] 4.786 3.786 4.570 1.547 4.122 1.995 4.070 4.119 4.893 6.496 2.804
[3,] 5.686 5.175 4.998 1.684 5.111 2.212 4.761 4.527 5.550 7.135 3.112
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.445 3.047 5.239 1.930 4.155 4.591 5.048 4.369 5.354 4.343 4.166
[2,] 5.666 3.554 6.622 2.271 5.142 5.596 6.048 5.951 6.728 5.991 5.947
[3,] 6.507 3.820 7.588 2.499 5.750 6.265 6.887 6.902 7.626 6.774 6.815
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.425 3.594 2.869 4.557 2.158 2.206 1.767 4.258 3.479 5.991 5.995
[2,] 1.651 4.589 3.800 5.483 2.699 2.869 2.128 5.186 4.128 7.247 7.052
[3,] 1.811 6.008 4.364 6.256 3.041 3.260 2.365 5.704 4.615 8.067 8.159
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.823 1.904 2.461 2.563 2.980 2.325 2.918 6.205 11.72 4.925
[2,] 2.654 2.952 2.876 2.943 3.520 2.802 3.526 9.019 15.81 6.892
[3,] 3.286 3.257 3.178 3.289 4.031 3.029 3.974 11.866 19.39 7.776
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.284 3.742 9.1 5.343 21.3 2.803 2.13 6.627 7.181
[2,] 319.415 214.235 430.8 451.403 1013.5 163.418 118.27 329.662 398.100
[3,] 273.626 163.135 420.9 462.057 1041.5 146.118 120.74 273.246 324.926
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.944 3.123 4.593 3.787 4.075 5.324 4.297 5.191
[2,] 496.610 245.116 304.619 203.631 305.459 333.328 239.827 379.371
[3,] 357.192 187.103 285.556 193.579 270.680 314.199 190.705 347.410
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.348 7.953 6.446 11.44 4.05 10.51 7.072 2.53 5.673
[2,] 389.149 451.676 390.356 608.66 194.65 1424.22 508.403 129.02 506.718
[3,] 361.214 462.995 365.638 634.47 185.04 857.02 453.883 135.68 600.257
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.382 4.811 5.188 2.464 6.297 5.939 2.858 5.939
[2,] 469.680 218.418 475.221 112.184 436.155 296.160 156.853 418.279
[3,] 583.049 224.841 476.146 113.456 458.467 282.804 143.812 428.540
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.836 5.923 5.761 5.289 4.302 1.683 4.702 1.416 4.61
[2,] 469.859 430.808 317.798 300.094 283.119 86.829 292.098 76.734 247.66
[3,] 438.520 394.141 301.625 300.296 281.736 84.303 227.946 58.233 240.57
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.69 3.655 2.274 4.707 5.402 6.548 3.105 5.558 6.03
[2,] 310.46 178.134 129.862 327.278 339.995 291.695 203.599 465.228 301.65
[3,] 265.34 167.014 111.001 293.376 243.098 338.749 172.168 454.546 257.49
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.473 4.77 4.067 3.881 2.823 5.003 1.661 3.708 2.247
[2,] 135.830 456.47 366.608 404.196 336.340 254.210 90.605 319.310 101.094
[3,] 143.346 447.13 370.275 337.054 387.226 222.080 73.012 331.763 104.978
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 4.451 4.683 4.539 5.978 2.992 5.645 3.87 6.653
[2,] 227.033 201.320 366.735 491.283 166.772 385.636 200.76 444.530
[3,] 271.159 206.264 287.668 323.909 148.262 351.131 153.66 406.625
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.451 5.276 5.829 6.411 5.548 6.799 5.515 5.29 1.809
[2,] 131.327 332.557 351.212 365.544 443.454 447.177 452.900 465.73 91.488
[3,] 114.535 282.511 309.228 361.649 383.717 394.065 347.163 365.36 81.789
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 4.563 3.643 5.787 2.741 2.801 2.244 5.407 4.418
[2,] 313.168 273.459 334.708 177.820 201.399 130.130 325.055 243.887
[3,] 425.708 235.608 330.527 153.854 169.900 113.281 260.773 226.538
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 7.608 7.612 2.315 2.417 3.125 3.254 3.785 2.953
[2,] 447.452 407.657 211.752 247.697 163.450 158.911 205.667 171.656
[3,] 389.151 450.450 212.577 150.838 148.437 160.963 215.613 126.211
[,95] [,96] [,97] [,98]
[1,] 3.705 7.88 14.88 6.254
[2,] 217.365 718.35 1164.74 529.225
[3,] 201.214 846.32 1231.51 395.290
[1] "--- VAR model 2017-10-04 11:31:00 completed"
[1] "Completed training sample: 2017-10-04 11:31:00 - 2017-10-04 19:30:00"
[1] "SpVAR; training sample: 2017-10-04 12:01:00 - 2017-10-04 20:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.106 0.04518 -12.66 0.955
-2.134 0.50801 12.28 -1.506
1.452 -0.96261 -11.02 10.720
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.542 1.261 4.564 17.280
18.520 6.394 3.489 -9.856
15.546 -3.314 6.218 14.779
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
18.795 6.275 -7.9331 -17.598
-7.302 4.048 5.0265 -1.548
6.233 -5.881 0.7282 -13.934
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.541 5.2587 3.654 3.565
-1.657 0.1773 -4.563 1.285
1.294 -0.4587 7.595 -6.110
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
12.474 11.807 -9.218 -5.115
-3.900 1.776 19.914 2.483
3.402 -2.953 2.734 17.426
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.338 10.294 -2.309 7.290
16.032 4.308 -17.671 -10.558
-5.021 -2.848 24.045 -2.486
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.4026 3.032 -4.823 10.537
0.2522 -4.903 19.968 -1.306
1.7888 -1.846 -9.468 10.835
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.932 1.967 17.461 3.420
8.540 0.749 1.719 -2.147
12.883 2.329 2.857 -8.989
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.09369 -1.460 10.2205 11.609
-1.16282 9.065 10.5876 7.458
3.79772 -2.732 0.8587 -1.226
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.109 2.530 -5.242 2.3998
4.117 -4.537 -7.745 2.1092
5.620 8.239 2.736 0.7268
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.607 -0.9893 -5.084 5.289
2.609 1.3058 -2.061 -10.036
-1.503 0.8801 14.001 -8.639
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9804 1.770 5.586 16.625
3.0088 3.887 -15.890 -2.188
3.9512 1.430 -0.149 13.190
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
12.706 0.3866 -2.041 6.928
-3.746 0.8174 16.248 16.235
7.747 -0.7736 3.240 4.870
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.077 3.956 0.7371 -2.392
3.442 8.761 1.3649 -0.677
2.285 17.607 8.7901 4.038
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.412 -6.386 4.1336 -13.479
1.432 2.571 1.0212 6.599
0.621 -2.890 0.1031 2.611
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.2487 -6.1796 14.679 -5.354
-0.9937 7.7627 -1.963 3.435
-4.5581 -0.4576 -1.795 4.560
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
11.529 -2.397 4.509 -3.705
7.335 -1.738 2.807 7.189
-3.892 1.225 -7.590 1.349
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.041 6.25179 -5.3756 -0.7312
-2.271 0.63844 -0.7517 -3.1697
16.731 0.05433 -1.3198 -1.5999
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.865 0.340 -1.675 -2.493
3.192 -10.539 -9.838 -7.042
0.355 -4.483 -3.918 -12.357
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.198 1.9890 -8.677 -6.884
-14.435 -1.2990 -6.627 -11.813
-5.738 -0.8075 -8.276 -1.690
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.463 -7.9276 8.625 5.566
-9.256 0.3734 4.371 -1.529
-6.235 -2.1856 1.829 -1.439
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.8502 -0.1145 9.862 7.603
5.6604 0.0580 7.045 -1.479
0.1468 -1.1373 9.146 -7.452
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.013 -1.408 -4.220 0.9039
-6.468 3.941 10.527 6.2063
4.370 -1.039 -2.318 -2.1530
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-14.325 -3.8207 18.45 238.8
6.402 -0.6447 18.82 259.8
3.514 -2.2690 21.78 237.8
rnd_95776.volume rnd_95787.volume
2.990 15.651
10.349 -12.992
-0.452 2.031
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.156 2.761 7.106 4.513 16.46 2.218 1.685 4.960 5.575 3.975 2.427
[2,] 5.068 3.344 8.157 6.187 19.18 2.653 2.042 5.789 6.488 5.962 3.266
[3,] 5.611 3.686 8.931 7.427 21.19 2.966 2.321 6.322 7.086 6.720 3.596
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.498 3.052 3.290 3.846 3.505 3.906 4.274 6.571 5.040 9.112 3.298
[2,] 4.492 3.529 4.292 4.792 4.069 5.208 5.442 7.876 6.357 10.567 3.784
[3,] 5.134 3.948 4.869 5.412 4.387 5.972 6.318 8.982 7.089 11.839 4.157
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.157 5.648 1.965 4.558 4.362 3.814 4.369 1.925 4.916 4.944 2.341
[2,] 15.165 7.241 2.310 6.542 6.203 4.310 6.311 2.210 6.300 5.620 2.747
[3,] 17.201 8.396 2.650 8.372 8.105 4.749 7.547 2.469 7.459 6.206 3.020
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.735 4.656 4.806 4.468 4.186 3.490 1.278 3.679 1.077 3.723 2.819
[2,] 5.964 6.169 6.032 5.355 4.953 4.362 1.505 4.616 1.266 4.399 4.043
[3,] 7.146 7.355 6.926 5.999 5.651 4.997 1.696 5.099 1.381 4.965 4.642
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.865 1.804 3.735 4.306 5.085 2.411 4.773 4.837 1.950 3.798 3.281
[2,] 3.363 2.141 4.619 5.258 5.742 3.007 6.549 5.475 2.290 5.845 4.880
[3,] 3.705 2.362 5.325 5.775 6.490 3.404 7.585 5.951 2.597 7.080 5.923
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.078 2.254 3.891 1.289 2.905 1.731 3.427 3.560 3.566 4.782 2.361
[2,] 4.754 3.959 4.470 1.535 4.091 2.000 3.988 4.165 4.809 6.588 2.800
[3,] 5.819 5.389 4.909 1.659 5.193 2.186 4.779 4.549 5.505 7.256 3.124
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.562 3.019 5.238 1.902 4.224 4.727 5.041 4.348 5.052 4.396 4.031
[2,] 5.757 3.516 6.743 2.253 5.140 5.619 6.066 6.027 6.373 5.859 5.763
[3,] 6.580 3.846 7.620 2.491 5.736 6.272 6.838 6.887 7.362 6.660 6.666
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.471 3.577 2.868 4.515 2.144 2.152 1.726 4.267 3.298 6.331 6.021
[2,] 1.660 4.536 3.783 5.429 2.680 2.960 2.084 5.216 3.916 7.424 7.084
[3,] 1.813 5.759 4.280 6.209 3.059 3.330 2.298 5.726 4.465 8.116 8.048
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.772 1.845 2.456 2.565 2.811 2.388 2.894 6.959 11.98 4.836
[2,] 2.613 2.911 2.850 2.898 3.414 2.819 3.524 9.824 16.13 6.772
[3,] 3.245 3.219 3.196 3.295 3.953 3.062 3.973 12.549 19.03 7.742
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.277 3.506 9.024 5.731 20.9 2.817 2.14 6.299 7.08
[2,] 373.220 242.735 515.246 544.456 1265.3 187.162 148.23 383.960 426.78
[3,] 309.678 199.605 467.888 528.484 1158.7 170.725 141.93 326.814 366.64
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.048 3.081 4.442 3.875 4.177 4.884 4.45 4.961
[2,] 571.465 281.136 362.409 228.036 354.700 367.685 265.90 443.117
[3,] 398.936 193.749 319.767 227.570 295.556 323.552 210.92 375.875
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.428 8.344 6.4 11.57 4.187 10.36 7.172 2.496 5.788
[2,] 433.258 558.679 498.3 688.39 238.843 1644.45 582.994 156.266 603.587
[3,] 412.922 555.411 403.8 686.79 221.396 1044.43 546.701 166.921 672.119
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.539 4.843 5.548 2.444 6.243 6.278 2.972 6.013
[2,] 567.310 258.148 585.854 139.771 506.731 343.857 184.926 466.391
[3,] 671.087 256.698 532.353 141.718 513.725 338.698 161.538 506.309
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.912 6.102 5.673 5.316 4.431 1.623 4.672 1.367
[2,] 520.532 469.020 379.783 340.594 336.697 102.171 358.638 85.532
[3,] 515.345 437.789 347.795 349.900 313.581 100.562 278.617 71.152
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.727 3.58 3.638 2.29 4.743 5.468 6.457 3.061 6.061
[2,] 301.517 372.85 226.449 148.37 349.512 388.083 343.200 231.177 576.695
[3,] 296.111 293.29 200.074 128.45 340.696 307.286 389.222 205.255 492.364
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.142 2.476 4.823 4.166 3.908 2.863 4.94 1.636
[2,] 329.997 154.486 571.460 464.720 466.012 418.637 283.23 107.313
[3,] 300.112 157.629 513.987 431.746 431.712 470.267 260.87 81.042
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.689 2.198 4.351 4.521 4.529 6.073 2.998 5.794
[2,] 370.376 128.889 262.577 278.079 414.956 582.896 193.700 451.632
[3,] 411.450 113.497 338.603 235.373 344.715 391.283 178.309 409.871
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.834 6.651 2.415 5.364 6.002 6.401 5.521 6.415
[2,] 231.809 546.286 155.396 376.623 390.784 434.013 536.923 499.765
[3,] 200.482 456.548 136.601 327.526 358.450 406.097 428.551 474.049
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.582 5.119 1.868 4.542 3.642 5.734 2.723 2.733
[2,] 498.356 529.656 98.951 358.801 317.261 387.670 206.826 261.335
[3,] 407.296 431.157 93.843 456.395 257.496 387.775 189.607 196.192
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.192 5.418 4.188 8.039 7.646 2.25 2.342 3.118
[2,] 150.178 385.830 271.630 498.869 480.085 247.09 289.624 186.042
[3,] 124.562 304.047 275.902 421.874 491.250 247.46 176.710 185.998
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.257 3.57 3.033 3.674 8.836 15.21 6.14
[2,] 173.489 249.09 192.589 258.721 891.990 1389.73 609.84
[3,] 201.609 256.52 153.834 236.057 1004.417 1298.03 482.59
[1] "--- VAR model 2017-10-04 12:01:00 completed"
[1] "Completed training sample: 2017-10-04 12:01:00 - 2017-10-04 20:00:00"
[1] "SpVAR; training sample: 2017-10-04 12:31:00 - 2017-10-04 20:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
11.295 -2.440 20.274 -14.019
9.760 4.652 -5.543 2.291
-1.817 -1.296 -15.084 -3.434
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-20.274 3.4402 4.0225 -12.395
-5.879 -0.6934 5.4638 15.221
-14.206 2.4061 0.1404 4.662
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-13.9604 1.261 3.964 -9.541
14.1389 -11.176 -6.410 -17.377
-0.2728 5.435 3.363 -11.877
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2695 -5.5413 5.216 8.576
-10.6658 1.5590 -2.199 6.004
0.4070 -0.5061 8.046 -8.070
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.918 -1.856 -13.745 -11.8758
2.807 4.866 12.568 0.7093
-8.538 2.143 -1.215 2.1687
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
22.458 -4.577 -21.68 -5.926
-13.826 1.617 55.26 5.372
1.439 5.538 -34.73 7.848
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.1758 -1.789 4.478 10.968
-1.2261 -8.561 -8.557 4.623
0.3058 13.678 27.872 3.854
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.028 5.8815 -19.269 -7.375
4.611 -1.3020 -2.499 -3.757
-5.588 0.5428 -5.192 -8.501
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.4233 -8.266 -6.586 -9.545
-0.1486 -18.489 -19.618 -7.014
0.9272 4.410 -0.773 -17.583
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.5126 -16.0390 -2.453 1.277
-0.2014 -4.1885 3.642 1.504
3.5237 -0.8072 4.906 -1.773
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
10.213 0.07956 11.647 -17.60
2.231 1.80353 -14.751 5.91
2.920 -2.87410 -4.185 -17.88
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-5.508 0.4513 -18.937 15.404
2.327 2.0907 -13.300 -2.708
4.808 -1.9494 4.008 8.226
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.2570 5.01096 -5.272 15.655
-0.6968 0.05587 8.201 7.163
5.7487 -4.35194 -7.903 9.483
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4711 -5.856 -10.367 -6.735
0.8437 -1.018 -4.179 -3.616
0.9113 -6.558 3.386 -5.427
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.817 -6.986 2.0020 -6.993
-14.450 -2.243 0.7796 3.719
1.532 2.791 -2.4465 -12.524
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.917 0.5198 -5.2342 -2.917
-1.348 0.3817 -0.7619 -1.425
-4.303 -6.6046 0.6380 -3.156
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-13.534 -5.232 -5.3477 10.719
-1.410 3.692 -7.8370 2.839
-9.422 -5.319 0.7364 3.696
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.541 2.6172 8.997 6.601
-1.993 0.2936 4.090 9.884
-14.940 -0.6473 -8.818 -1.956
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.057 19.488 -8.052 -9.727
-10.768 -2.326 -24.985 7.559
1.259 6.654 -3.360 -2.419
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-15.2392 0.3701 2.132 -16.631
14.0358 0.4844 -5.939 -10.059
0.9961 -2.9310 8.223 -3.475
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.722 4.124 -7.494 1.281
-17.278 -3.488 3.742 -2.819
4.292 -2.831 5.126 -1.325
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.180 0.1579 6.3716 -0.3281
-2.382 3.0989 -6.3345 -1.2103
-2.050 0.3891 -0.8794 1.6402
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.312 1.6439 5.328 7.462
1.625 2.0025 -6.724 -7.062
-2.749 -0.1981 1.142 3.475
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-10.7002 4.5014 14.38 233.5
-0.5592 0.7973 16.67 233.7
0.1442 -0.6713 12.56 207.8
rnd_95776.volume rnd_95787.volume
-22.276 -1.762
-3.732 7.417
-2.303 6.048
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.293 2.900 7.040 4.560 15.97 2.087 1.803 4.895 5.614 3.931 2.377
[2,] 5.076 3.390 8.214 6.209 18.55 2.559 2.158 5.819 6.559 5.963 3.238
[3,] 5.674 3.723 9.083 7.386 20.61 2.918 2.426 6.285 7.152 6.782 3.590
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.491 2.963 3.225 4.062 3.673 3.970 4.324 7.533 5.057 9.282 3.487
[2,] 4.462 3.495 4.161 5.014 4.267 5.242 5.421 8.895 6.197 10.719 3.938
[3,] 5.121 3.957 4.749 5.598 4.597 6.012 6.333 10.019 6.991 12.022 4.350
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.95 4.797 2.001 4.541 4.169 3.889 4.444 1.884 4.879 4.955 2.343
[2,] 15.34 6.815 2.305 6.388 6.028 4.346 6.315 2.208 6.173 5.697 2.662
[3,] 17.40 7.964 2.624 8.400 8.119 4.793 7.425 2.475 7.408 6.361 3.003
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.762 4.584 4.570 4.311 4.037 3.726 1.288 3.546 1.027 3.783 2.965
[2,] 5.883 6.151 5.886 5.294 4.927 4.466 1.516 4.378 1.202 4.422 4.074
[3,] 7.081 7.394 6.675 5.921 5.587 5.202 1.698 4.976 1.326 4.995 4.693
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.907 1.790 3.329 4.284 4.996 2.404 4.778 4.840 1.948 3.972 3.486
[2,] 3.349 2.128 4.364 5.230 5.706 3.032 6.379 5.467 2.286 5.848 4.925
[3,] 3.706 2.317 5.070 5.760 6.452 3.422 7.532 5.980 2.587 7.091 5.871
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.163 2.290 3.835 1.288 2.883 1.708 3.419 3.395 3.601 4.827 2.275
[2,] 4.753 4.085 4.473 1.488 4.201 1.971 4.097 4.080 4.968 6.319 2.750
[3,] 5.815 5.423 4.912 1.618 5.395 2.164 4.750 4.503 5.738 7.246 3.112
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.484 3.036 5.273 1.798 4.167 4.695 4.859 4.252 5.035 4.462 4.058
[2,] 5.789 3.540 6.704 2.171 5.058 5.529 5.898 6.074 6.502 5.909 5.869
[3,] 6.687 3.900 7.679 2.403 5.632 6.227 6.742 6.796 7.458 6.653 6.874
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.440 3.588 2.987 4.595 2.091 2.350 1.753 4.296 3.355 6.197 6.278
[2,] 1.633 4.580 3.930 5.516 2.628 3.054 2.075 5.348 3.897 7.283 7.275
[3,] 1.774 5.854 4.452 6.372 3.014 3.393 2.240 5.844 4.394 8.003 8.214
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.693 1.837 2.413 2.524 2.981 2.429 3.041 7.457 11.89 4.780
[2,] 2.578 2.879 2.880 2.871 3.463 2.825 3.665 10.375 16.22 6.868
[3,] 3.181 3.202 3.213 3.255 4.067 3.100 4.086 13.123 19.17 7.865
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.451 3.683 8.939 5.79 20.29 2.65 2.289 6.216 7.129
[2,] 352.027 227.938 549.896 547.50 1223.86 192.47 154.173 408.571 440.685
[3,] 329.351 200.041 503.569 519.52 1167.49 182.20 143.951 308.550 370.371
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.992 3.018 4.433 3.762 4.095 5.158 4.664 5.041
[2,] 582.499 285.549 360.948 240.982 341.644 381.745 282.325 444.717
[3,] 419.767 201.527 326.641 240.925 297.468 323.394 222.033 382.545
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.491 9.566 6.421 11.79 4.428 10.1 6.092 2.541 5.766
[2,] 424.759 614.385 465.299 696.62 237.722 1704.0 628.883 148.496 583.747
[3,] 425.382 599.195 420.499 707.02 240.229 1066.5 535.131 162.988 708.537
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.294 4.939 5.644 2.393 6.195 6.293 2.975 6.047
[2,] 565.590 252.037 582.712 149.422 491.392 365.065 164.293 448.662
[3,] 706.615 262.641 507.546 145.299 532.077 367.600 180.499 512.121
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.821 5.804 5.474 5.126 4.732 1.636 4.503 1.304
[2,] 532.810 481.733 399.137 366.974 319.751 103.830 333.496 81.241
[3,] 533.060 409.150 344.486 342.369 346.587 99.342 307.282 72.694
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.804 3.765 3.692 2.273 4.227 5.44 6.344 3.053
[2,] 297.487 362.921 216.052 149.449 366.548 389.73 358.239 240.037
[3,] 301.698 302.726 206.010 119.098 335.258 313.47 391.168 205.967
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.067 6.145 2.474 5.043 4.427 4.017 2.908 4.87 1.636
[2,] 549.140 330.443 155.302 557.526 451.928 460.887 439.424 298.99 96.801
[3,] 520.305 314.910 157.307 521.095 415.218 435.199 463.326 263.78 82.622
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 3.661 2.169 4.341 4.311 4.573 6.129 2.889 5.694
[2,] 396.927 127.752 293.301 294.001 444.607 529.856 200.833 475.608
[3,] 439.864 116.177 312.172 247.457 372.898 460.516 189.160 434.792
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.856 6.696 2.283 5.291 5.962 6.17 5.399 6.393
[2,] 236.521 537.804 158.056 372.357 379.389 434.34 563.421 534.465
[3,] 212.527 486.336 134.045 322.012 371.975 424.26 396.255 474.731
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.667 5.153 1.828 4.556 3.793 5.835 2.655 2.984
[2,] 503.112 550.775 100.141 369.831 331.835 396.446 206.835 253.272
[3,] 397.260 464.980 90.039 473.678 271.643 414.505 191.626 192.207
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.226 5.455 4.261 7.869 7.972 2.149 2.332 3.064
[2,] 144.167 413.793 257.471 497.024 477.725 252.580 288.040 204.299
[3,] 109.867 306.195 263.692 431.012 495.496 242.205 182.120 184.968
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.205 3.786 3.085 3.861 9.469 15.1 6.069
[2,] 177.809 228.851 187.383 265.753 937.116 1433.3 640.778
[3,] 199.167 277.187 165.674 234.724 1043.748 1328.5 497.718
[1] "--- VAR model 2017-10-04 12:31:00 completed"
[1] "Completed training sample: 2017-10-04 12:31:00 - 2017-10-04 20:30:00"
[1] "SpVAR; training sample: 2017-10-04 13:01:00 - 2017-10-04 21:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.979 5.078 -13.49 -20.4908
-2.388 -0.318 -12.10 0.6608
-2.152 1.863 -15.18 -16.7050
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
12.574 -1.469 1.784 3.221
-7.931 2.757 7.666 8.735
-12.059 -1.417 3.115 8.530
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
13.0713 -2.702 0.5415 -20.217
6.1136 11.402 2.2188 -8.814
-0.4636 1.284 2.7895 -10.618
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.680 3.207 9.392 1.413
-9.800 -2.307 1.778 -2.524
-1.462 -5.519 1.727 3.414
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.227 -4.012 5.001 7.677
-1.035 1.891 4.697 1.488
-4.493 -5.853 13.606 18.068
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-14.887 -6.169 -38.42 3.267
-6.616 -5.194 -19.53 -6.286
-14.356 1.157 -24.68 -15.526
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
4.648 -2.073 -6.7227 12.869
1.295 -15.195 -12.6275 7.427
-4.859 -9.766 -0.7946 6.040
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.803 2.418 -15.183 -3.7723
4.672 -1.987 -8.224 -8.8443
-11.946 1.189 3.534 0.7741
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.064 -24.788 -10.7651 5.735
5.509 -13.163 -25.2039 -23.558
1.336 -5.306 0.3456 -7.728
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.05481 4.9794 8.304 0.7516
3.81098 0.4518 7.331 1.7516
-4.38158 9.2788 9.467 0.3930
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.918 -0.8983 0.793 -7.643
1.888 2.5683 -4.710 -8.225
8.184 0.6373 -15.159 -13.424
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.856 -0.03644 -16.0714 10.0730
7.804 2.44232 -7.1544 0.4881
6.890 -1.51943 -0.8106 0.8041
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
17.84 -1.027 -1.440 13.085
7.53 -5.952 -5.217 15.542
10.32 -3.354 4.443 1.222
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.942 11.0364 2.838 -0.887
-3.016 -3.2130 1.631 10.164
3.471 0.5229 -3.961 -3.085
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.364 8.912 0.7486 -5.093
4.420 -3.690 0.7879 15.735
3.165 -6.174 -0.7569 5.492
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
3.045 7.549 7.71249 5.95
1.037 2.006 -0.05715 12.17
-5.774 2.923 -4.80887 6.82
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.726 -1.163 10.107 2.308
16.406 1.396 4.591 2.962
4.618 4.036 6.071 6.595
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.264 1.804 5.886 6.297
16.250 2.210 5.274 1.584
11.261 1.698 4.411 -4.459
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.895 -10.754 -17.3658 -9.013
4.781 11.265 0.6205 10.411
3.348 -3.659 -3.4465 6.786
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.747 -0.05091 6.897 4.8935
2.148 -1.47281 -3.761 0.7419
8.446 -0.72883 1.331 0.6055
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.2158 -1.215 4.1218 -3.459
-2.9412 2.219 0.3645 -1.084
-0.6141 -4.159 2.8821 1.098
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
12.4837 6.378 10.990 -8.009
5.2856 1.868 5.678 9.659
0.3531 -1.083 17.230 8.011
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.698 -1.188 -3.461 1.394
-6.451 5.485 9.649 6.251
4.783 3.257 -2.028 -3.443
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.539 -6.198 19.05 240.6
7.672 6.206 12.47 243.2
-4.193 3.071 17.43 232.1
rnd_95776.volume rnd_95787.volume
-8.065 0.4992
-8.530 -9.6463
30.458 -13.9519
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.205 2.822 6.660 4.602 14.71 2.065 1.866 4.875 5.630 3.692 2.412
[2,] 4.949 3.332 7.967 6.356 17.10 2.511 2.160 5.805 6.573 6.049 3.317
[3,] 5.533 3.622 8.855 7.376 19.62 2.885 2.417 6.266 7.177 6.846 3.720
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.485 3.007 3.230 3.954 3.562 3.988 4.272 7.613 5.153 9.18 3.500
[2,] 4.489 3.436 3.966 4.856 4.209 5.165 5.339 8.982 6.266 10.79 3.998
[3,] 5.151 3.885 4.553 5.465 4.558 5.821 6.232 10.055 7.032 12.03 4.444
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.106 4.732 1.912 4.330 3.967 3.684 4.488 1.913 4.876 4.780 2.333
[2,] 15.080 6.651 2.283 6.166 5.870 4.210 6.427 2.234 6.006 5.532 2.663
[3,] 17.078 7.896 2.625 8.172 7.878 4.650 7.452 2.504 7.189 6.210 3.024
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.778 4.555 4.372 4.071 3.947 3.730 1.264 3.551 0.9488 3.787 2.849
[2,] 5.980 6.121 5.721 5.191 4.903 4.480 1.466 4.350 1.1438 4.407 4.002
[3,] 7.134 7.393 6.548 5.847 5.559 5.176 1.650 4.938 1.2794 4.999 4.624
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.830 1.685 3.449 4.291 5.040 2.442 4.883 4.881 1.959 3.992 3.377
[2,] 3.287 2.032 4.517 5.164 5.781 3.021 6.677 5.520 2.234 5.863 4.911
[3,] 3.677 2.229 5.165 5.688 6.572 3.429 7.795 6.092 2.538 7.219 5.956
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.141 2.247 3.699 1.162 2.834 1.694 3.484 3.536 3.409 4.890 2.192
[2,] 4.698 4.021 4.367 1.404 4.152 1.928 4.127 4.139 4.889 6.461 2.669
[3,] 5.767 5.414 4.807 1.538 5.399 2.131 4.798 4.502 5.665 7.283 3.018
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.372 2.979 5.105 1.761 4.120 4.593 4.715 4.415 5.039 4.513 3.993
[2,] 5.593 3.503 6.491 2.150 4.968 5.428 5.841 5.991 6.448 5.746 5.851
[3,] 6.542 3.848 7.571 2.397 5.559 6.112 6.637 6.717 7.451 6.539 6.720
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.404 3.584 2.834 4.485 2.101 2.292 1.698 4.312 3.365 6.238 6.346
[2,] 1.579 4.623 3.757 5.448 2.625 3.026 2.037 5.226 3.960 7.224 7.402
[3,] 1.725 5.708 4.303 6.315 2.976 3.404 2.193 5.761 4.384 7.908 8.323
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.597 1.710 2.467 2.573 2.831 2.390 3.027 8.531 12.45 4.775
[2,] 2.501 2.798 2.880 2.904 3.351 2.760 3.673 11.302 16.46 6.659
[3,] 3.122 3.156 3.184 3.261 3.908 3.017 4.160 13.983 19.18 7.830
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.339 3.583 8.458 5.843 18.67 2.622 2.37 6.191 7.15
[2,] 354.478 240.492 593.425 595.266 1185.20 193.945 147.62 427.741 460.51
[3,] 335.742 192.950 524.771 508.147 1306.83 192.762 147.27 320.612 391.35
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.688 3.063 4.425 3.818 4.101 5.021 4.524 5.064
[2,] 650.639 309.069 384.186 225.860 312.486 382.866 304.309 445.469
[3,] 435.137 228.833 342.894 246.054 303.589 340.230 237.492 364.523
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.425 9.668 6.544 11.66 4.445 10.29 6.009 2.428
[2,] 434.764 647.173 484.124 768.79 262.148 1726.36 634.477 169.353
[3,] 436.466 613.569 433.255 724.23 263.608 1088.38 577.787 175.859
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.498 5.037 4.678 5.699 2.429 6.191 6.069 2.962
[2,] 595.952 587.425 276.622 624.523 156.641 476.090 378.168 174.397
[3,] 728.206 713.285 268.187 512.111 153.521 536.436 382.976 194.574
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.068 5.784 5.552 5.169 5.011 4.737 1.605 4.509
[2,] 488.211 555.078 500.815 437.442 395.065 336.828 100.716 341.066
[3,] 527.998 562.894 432.491 365.263 355.579 351.852 103.026 317.349
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.205 4.809 3.618 3.594 2.139 4.38 5.449 6.4 3.102
[2,] 86.741 306.035 381.572 226.856 154.214 395.95 390.108 384.4 241.406
[3,] 77.829 320.243 314.473 223.878 124.471 340.12 323.779 424.4 220.167
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.2 6.198 2.487 5.07 4.288 3.989 2.853 4.697 1.476
[2,] 618.3 350.096 145.903 583.01 484.027 474.313 452.749 315.252 107.001
[3,] 546.1 349.967 163.517 571.76 457.480 454.013 492.099 272.854 85.085
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 3.599 2.151 4.424 4.49 4.329 6.21 2.784 5.552 3.783
[2,] 411.997 125.085 300.478 292.25 475.782 573.31 206.657 473.494 250.205
[3,] 468.537 123.031 332.109 240.45 388.464 456.47 191.328 460.695 216.246
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.482 2.237 5.232 5.832 5.987 5.607 6.399 5.73 5.07
[2,] 544.229 167.356 376.783 392.845 467.988 549.791 546.155 483.00 580.74
[3,] 529.175 144.043 338.632 381.387 428.041 412.407 506.963 423.81 448.55
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.782 4.55 3.599 5.695 2.668 2.911 2.157 5.476 4.274
[2,] 98.255 396.50 334.863 420.030 213.555 268.088 152.754 400.871 283.221
[3,] 94.070 454.52 284.859 433.579 190.512 211.854 110.367 329.078 255.591
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 7.921 8.058 2.029 2.171 3.133 3.268 3.595 3.035
[2,] 494.626 517.296 261.268 300.636 201.717 182.747 243.328 187.420
[3,] 437.088 516.704 253.581 198.181 184.373 201.303 273.018 165.577
[,95] [,96] [,97] [,98]
[1,] 3.844 10.83 15.81 6.063
[2,] 282.505 1006.45 1462.15 630.181
[3,] 265.038 1117.97 1335.67 559.256
[1] "--- VAR model 2017-10-04 13:01:00 completed"
[1] "Completed training sample: 2017-10-04 13:01:00 - 2017-10-04 21:00:00"
[1] "SpVAR; training sample: 2017-10-04 13:31:00 - 2017-10-04 21:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.902 4.323 -22.523 -20.686
-3.212 0.754 -3.007 -7.944
-3.217 -2.925 -0.924 -15.927
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-21.997 3.1312 7.856 6.6285
-36.241 5.3991 3.064 -2.6746
-6.787 -0.4668 1.531 0.4836
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.139 -6.326 -2.487 -14.77
-4.395 -0.583 2.271 -12.97
-2.206 -6.609 1.064 -13.61
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2143 -1.240 5.274 3.118
-4.7839 -4.374 -3.381 -11.704
-2.1325 -7.019 -6.841 -4.262
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.6041 0.5511 -2.307 8.113
2.7003 2.3118 18.423 5.125
-9.0696 -2.5546 14.712 12.212
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.586 -10.60383 -32.52 -1.234
2.260 -2.44867 -43.51 -15.415
-9.913 -0.02759 -19.83 -21.336
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.201 -1.663 -4.136 2.701
-3.436 -22.095 -7.220 4.544
-3.363 -18.325 -5.026 2.729
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.181 1.440 -13.144 -18.75
-6.902 4.695 -15.521 -2.72
-15.895 -1.320 1.609 -11.57
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.9755 -30.009 -14.847 -9.109
0.1785 -17.025 -22.342 -20.966
-1.1171 -4.004 -5.947 -16.405
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4024 3.071 1.103 -0.5236
1.1286 -7.324 -6.715 2.7785
8.3151 -0.526 -2.390 -1.2280
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.562 2.0847 -3.250 -16.224
-2.330 -1.4011 -9.472 -7.725
1.277 0.4038 -9.261 -14.581
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.31976 -0.8196 -9.868 0.4816
3.43934 0.8957 -6.058 5.5738
0.09226 3.4498 -11.724 2.4769
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.6857 -5.171 -24.872 -0.2289
0.3628 -2.112 -9.740 7.7076
2.5627 -4.370 -7.278 9.4137
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.015 -19.88 -3.255 -3.908
-1.872 -11.66 -15.276 -10.768
3.300 -10.54 -8.091 -8.464
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.620 3.663 0.02839 -13.215
-2.634 6.244 2.09491 -10.143
-14.073 -0.298 1.38269 -2.295
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.2871 -3.6969 4.661 -1.433
0.7145 -5.8316 8.358 -3.015
0.8408 0.2174 7.188 6.800
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.920 0.7416 3.176 -8.485
-1.197 2.4184 -6.070 -2.624
6.451 2.6257 -2.512 -5.072
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.040 -1.143169 1.369 2.0468
3.192 -0.002667 1.606 -2.2142
-8.181 -0.347836 1.368 -0.6854
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.673 -6.822 -6.0642 3.801
6.231 4.840 -2.5751 -6.963
6.320 3.774 -0.2215 -8.397
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.027 2.075 -1.7728 -0.7508
-5.009 1.596 0.5514 0.4057
-12.152 1.024 -6.3300 -1.1581
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.3424 6.329 -4.809 2.0563
0.3508 3.924 -4.491 2.1423
-6.6363 3.741 -1.172 -0.0541
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.619 2.946 7.181 -2.929
-3.059 -1.685 10.756 16.589
-5.192 -1.264 20.793 6.173
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.613 -5.268 -7.4335 -6.009
-2.942 -4.187 0.9878 2.766
-3.454 1.676 -2.5033 -3.535
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.981 -3.921 16.53 229.0
-6.600 -2.446 13.87 234.3
-5.014 -2.857 17.02 238.5
rnd_95776.volume rnd_95787.volume
-30.45 -2.445
-45.39 -12.890
-19.87 -18.882
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.035 2.898 6.693 4.573 14.67 2.128 1.860 4.721 5.460 3.832 2.363
[2,] 4.854 3.363 8.062 6.256 17.15 2.496 2.130 5.717 6.369 6.048 3.233
[3,] 5.427 3.695 8.844 7.292 19.47 2.856 2.368 6.213 6.936 6.815 3.651
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.411 3.015 3.282 3.844 3.633 3.917 4.395 6.771 4.947 9.183 3.561
[2,] 4.210 3.409 3.925 4.682 4.353 4.999 5.395 8.269 6.230 10.720 4.035
[3,] 4.864 3.859 4.444 5.327 4.751 5.521 6.222 9.120 6.983 11.806 4.458
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.948 4.635 1.906 4.206 4.055 3.706 4.461 1.924 4.660 4.770 2.427
[2,] 14.841 6.573 2.287 6.201 5.907 4.281 6.368 2.207 5.866 5.503 2.793
[3,] 17.099 7.978 2.610 8.317 7.770 4.730 7.480 2.474 6.960 6.198 3.121
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.917 4.246 4.435 3.927 3.897 3.714 1.240 3.559 0.9353 3.741 2.675
[2,] 6.101 6.164 5.729 4.865 4.861 4.517 1.425 4.340 1.1247 4.387 3.845
[3,] 7.175 7.269 6.616 5.548 5.542 5.225 1.600 4.883 1.2259 4.904 4.503
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.912 1.598 3.517 4.185 5.060 2.437 4.639 4.672 1.920 3.859 3.394
[2,] 3.396 2.006 4.504 5.032 5.746 3.036 6.514 5.487 2.153 5.639 4.837
[3,] 3.722 2.232 5.172 5.581 6.578 3.442 7.581 6.089 2.512 7.000 5.847
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.125 2.178 3.742 1.143 2.756 1.651 3.408 3.431 3.337 4.937 2.086
[2,] 4.745 4.084 4.339 1.377 4.064 1.926 3.966 3.936 4.761 6.408 2.505
[3,] 5.727 5.348 4.801 1.512 5.348 2.136 4.612 4.321 5.472 7.240 2.847
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.409 2.936 5.112 1.793 4.133 4.407 4.651 4.347 5.090 4.320 3.883
[2,] 5.614 3.438 6.496 2.208 4.898 5.324 5.742 5.918 6.425 5.655 5.685
[3,] 6.571 3.759 7.541 2.487 5.464 6.026 6.561 6.713 7.446 6.593 6.675
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.369 3.695 2.986 4.484 2.134 2.269 1.699 4.197 3.440 6.285 6.633
[2,] 1.565 4.705 3.836 5.338 2.609 3.035 1.975 5.065 3.981 7.134 7.592
[3,] 1.705 5.795 4.448 6.368 2.942 3.380 2.131 5.622 4.384 7.824 8.482
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.576 1.649 2.416 2.521 2.902 2.316 2.994 9.005 12.47 4.740
[2,] 2.443 2.727 2.896 2.902 3.447 2.655 3.626 11.897 16.63 6.615
[3,] 3.077 3.127 3.172 3.238 3.977 2.908 4.188 14.473 19.13 7.929
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.123 3.68 8.499 5.807 18.62 2.703 2.363 5.995
[2,] 368.102 232.62 612.985 582.171 1211.74 177.910 141.444 439.760
[3,] 330.777 209.02 495.718 510.753 1256.70 189.252 141.057 331.715
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.933 4.867 3.001 4.331 3.829 4.168 4.881 4.613
[2,] 447.174 637.987 300.881 336.463 216.912 293.451 364.387 326.867
[3,] 374.586 428.487 231.380 332.379 246.583 284.334 346.609 259.802
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.974 5.582 8.598 6.282 11.66 4.522 10.09 5.886 2.42
[2,] 423.585 426.472 647.221 516.392 754.38 258.919 1709.02 635.565 172.42
[3,] 319.480 422.924 524.741 430.022 674.33 258.260 1157.98 616.487 171.45
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.34 5.149 4.706 5.664 2.443 5.917 6.058 3.082
[2,] 621.40 585.793 292.373 619.713 147.446 485.889 374.148 188.450
[3,] 755.80 688.302 274.140 535.142 152.423 510.756 388.769 189.906
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.243 5.392 5.632 4.987 4.948 4.716 1.574 4.52 1.188
[2,] 492.594 609.288 494.545 391.497 396.319 350.506 95.720 338.59 85.173
[3,] 514.897 525.337 451.076 363.890 362.941 358.173 99.281 305.15 66.496
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.751 3.396 3.698 2.029 4.466 5.314 6.426 3.094
[2,] 312.345 376.757 238.212 165.353 383.621 380.966 371.377 247.038
[3,] 299.020 319.618 207.806 133.523 346.657 329.108 436.496 221.184
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.891 5.932 2.439 4.9 4.31 3.969 2.766 4.751 1.451
[2,] 623.490 392.580 132.621 560.7 470.05 486.915 470.985 299.705 104.809
[3,] 528.971 359.816 176.555 565.6 447.76 437.277 470.820 280.276 85.135
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 3.5 2.096 4.328 4.357 4.237 6.269 2.649 5.598 3.728
[2,] 407.2 135.375 276.649 263.030 463.186 557.029 189.118 474.025 244.047
[3,] 474.1 125.945 320.817 243.157 367.857 459.650 184.326 465.599 207.314
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 6.491 2.277 5.249 5.596 5.906 5.519 6.463 5.486
[2,] 546.660 175.658 358.470 407.386 459.156 547.755 534.796 497.530
[3,] 522.340 156.123 330.166 384.877 432.863 431.922 513.157 462.245
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.931 1.739 4.692 3.792 5.694 2.71 2.881 2.157
[2,] 566.258 103.287 397.108 328.363 394.826 204.48 274.955 137.531
[3,] 476.941 92.244 461.321 307.089 473.546 185.56 202.704 108.948
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 5.329 4.369 7.98 8.423 2.002 2.094 3.068 3.202
[2,] 386.830 273.163 460.49 503.711 254.468 296.152 217.714 195.869
[3,] 332.745 250.481 438.20 515.788 255.196 208.530 176.696 195.802
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.685 2.94 3.802 11.44 15.84 6.019
[2,] 253.683 177.20 279.036 1060.08 1500.50 629.216
[3,] 270.353 161.58 285.588 1124.08 1289.20 596.020
[1] "--- VAR model 2017-10-04 13:31:00 completed"
[1] "Completed training sample: 2017-10-04 13:31:00 - 2017-10-04 21:30:00"
[1] "SpVAR; training sample: 2017-10-04 14:01:00 - 2017-10-04 22:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.3264 -1.0673 -2.867 -18.050
1.3160 0.6535 -5.215 1.520
0.9486 2.2777 -13.710 -1.899
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.910 1.276 4.767 14.102
-33.630 -1.791 1.657 -4.119
4.048 -1.101 2.584 5.042
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.493 -9.606 -7.0507 -9.697
1.726 4.872 1.7088 -3.626
-3.159 -3.354 0.9272 -9.280
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.901 -4.641 1.188 0.750
-3.899 -4.360 2.435 2.046
-1.857 3.396 6.342 4.295
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.2442 -7.506 0.7153 9.224
3.5789 -2.564 0.8113 7.869
-0.2434 1.714 -0.1572 8.229
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-20.32 -7.260 12.811 -15.04
-6.42 -3.555 -16.032 12.29
-10.97 2.876 -7.196 -15.21
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.1769 -19.35 -12.485 4.997
1.7013 12.61 -6.184 12.752
-2.3811 -11.90 9.381 -1.380
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.532 -1.467 -1.026 0.8353
-5.290 -3.397 -23.521 2.4474
2.508 0.932 -6.756 -5.4065
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.234 -9.965 3.549 -1.724
1.143 -13.938 -10.794 -3.373
0.828 -10.235 -7.302 -8.244
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
10.783 16.410 -1.1738 -0.3247
4.793 -1.332 0.4705 2.0739
3.692 14.957 2.1974 0.7686
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.011 2.1894 4.301 -9.702
2.908 1.0956 1.626 -1.709
6.496 -0.5838 -8.784 -8.245
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.605 -1.6371 -9.764 4.466
5.855 -1.6718 -11.293 -11.414
5.328 -0.1996 1.474 2.243
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.224 0.1143 9.0749 12.862
6.619 2.6503 -0.9281 6.573
0.694 -3.3885 -5.7735 9.856
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.692 10.489 5.134 22.1052
-1.400 4.591 7.919 4.4310
1.093 3.920 -1.697 0.8245
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.761 4.3834 2.7580 3.667
11.822 -7.6867 0.0504 12.358
7.617 0.6843 -0.4649 11.887
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
4.9526 1.832 8.480 7.577
-0.3481 5.011 4.656 7.147
-2.6777 10.278 5.757 4.990
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.972 -4.945 10.03 -3.0415
6.302 -2.195 13.16 0.6457
2.002 -2.212 6.09 4.1647
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
13.659 -5.9507 7.610 1.723
1.391 -0.6992 -3.052 4.121
2.313 2.9070 2.354 2.519
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.715 -5.346 -2.33772 -4.144
-4.561 9.584 -3.94213 -2.656
-8.970 -10.579 0.07061 3.146
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.039 -0.8618 -6.654 -2.1627
4.840 1.1832 -8.948 -3.2755
-6.681 3.5978 2.483 -0.4464
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.8441 -1.119 0.3705 5.088
-2.2072 3.818 4.5082 0.548
0.9808 2.411 -0.8652 -1.110
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.477 -0.19989 2.385 4.244
5.374 0.02636 1.638 11.980
3.299 1.19264 -4.737 2.160
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.899 5.542 3.639 5.833
4.693 8.362 7.084 6.222
5.619 6.588 5.459 5.351
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3484 -0.8636 19.74 256.2
5.8223 1.2583 19.89 239.2
10.5694 4.6260 27.38 263.9
rnd_95776.volume rnd_95787.volume
2.170 -17.46
12.999 17.06
-3.898 -12.60
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.786 3.015 6.827 4.511 13.83 2.069 1.877 4.854 5.474 3.715 2.331
[2,] 4.569 3.441 8.245 6.299 16.04 2.430 2.138 5.696 6.338 6.045 3.213
[3,] 5.163 3.804 8.951 7.228 18.21 2.772 2.351 6.177 6.901 6.720 3.663
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.377 2.958 3.259 3.816 3.466 3.918 4.346 6.575 4.737 8.936 3.652
[2,] 4.237 3.349 3.897 4.492 4.117 5.032 5.296 8.001 6.034 10.708 4.087
[3,] 4.872 3.762 4.403 5.148 4.602 5.556 6.168 8.875 6.916 11.819 4.471
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.766 4.576 1.872 4.042 3.971 3.764 4.323 1.929 4.425 4.615 2.429
[2,] 15.049 6.434 2.235 6.031 5.674 4.351 6.242 2.203 5.736 5.336 2.809
[3,] 17.004 7.843 2.539 8.142 7.582 4.756 7.318 2.477 6.841 6.037 3.080
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.851 4.264 4.477 3.850 3.844 3.629 1.204 3.514 0.9114 3.497 2.529
[2,] 5.970 6.106 5.698 4.805 4.795 4.423 1.384 4.301 1.0808 4.141 3.701
[3,] 7.038 7.047 6.395 5.395 5.419 5.128 1.538 4.788 1.1785 4.624 4.361
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.928 1.529 3.459 4.143 4.900 2.502 4.677 4.697 1.830 3.865 3.313
[2,] 3.374 1.889 4.375 4.992 5.449 3.086 6.332 5.524 2.119 5.707 4.854
[3,] 3.713 2.134 5.002 5.510 6.271 3.435 7.397 6.063 2.464 7.042 5.768
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.039 2.142 3.655 1.089 2.728 1.568 3.408 3.404 3.407 4.633 2.004
[2,] 4.598 3.935 4.307 1.312 4.021 1.828 3.952 3.885 4.783 5.977 2.426
[3,] 5.573 5.339 4.751 1.470 5.233 2.048 4.575 4.299 5.409 6.902 2.788
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.280 2.853 4.963 1.719 3.932 4.180 4.677 4.294 5.069 4.113 3.550
[2,] 5.573 3.297 6.396 2.173 4.605 5.050 5.785 5.606 6.334 5.466 5.619
[3,] 6.437 3.653 7.387 2.419 5.268 5.831 6.525 6.371 7.255 6.294 6.584
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.334 3.719 2.960 4.340 2.092 2.355 1.618 4.150 3.581 6.329 6.398
[2,] 1.535 4.731 3.766 5.195 2.553 3.047 1.905 5.041 4.051 7.078 7.356
[3,] 1.667 5.724 4.371 6.359 2.898 3.369 2.063 5.662 4.453 7.691 8.210
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.580 1.635 2.438 2.585 2.862 2.104 3.004 9.397 11.78 4.534
[2,] 2.504 2.779 2.879 2.931 3.354 2.501 3.631 12.351 15.76 6.431
[3,] 3.138 3.159 3.183 3.267 3.855 2.790 4.176 14.766 18.12 7.771
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.807 3.829 8.669 5.728 17.56 2.628 2.384 6.163
[2,] 371.361 240.655 671.028 638.233 1179.81 185.032 148.556 432.850
[3,] 349.011 235.322 505.796 514.535 1250.50 193.589 142.011 346.655
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.951 4.718 2.959 4.288 3.756 4.139 4.846 4.402
[2,] 463.719 692.135 321.145 371.422 227.827 310.083 343.930 322.530
[3,] 396.281 426.002 255.202 349.247 248.800 297.518 365.016 298.323
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.975 5.519 8.35 6.015 11.35 4.637 9.862 5.811
[2,] 458.326 439.229 661.81 542.509 856.42 266.429 1871.039 656.596
[3,] 341.945 458.998 557.43 490.658 726.19 263.113 1149.224 650.926
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.377 5.133 5.042 4.779 5.49 2.449 5.619 5.86 3.084
[2,] 177.416 649.679 588.426 316.911 653.52 154.524 529.723 388.79 204.796
[3,] 174.639 793.889 729.891 278.617 554.55 164.354 541.264 409.82 183.525
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.16 5.415 5.686 4.889 4.881 4.608 1.529 4.463 1.157
[2,] 505.07 634.404 511.571 417.256 416.036 367.153 99.065 359.931 84.338
[3,] 541.06 510.857 421.291 356.067 366.685 376.661 97.488 305.370 68.190
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.441 3.211 3.718 1.942 4.392 5.261 6.223 3.177
[2,] 321.937 392.308 243.522 161.101 388.997 404.158 346.038 262.321
[3,] 298.446 334.672 224.854 144.013 352.005 338.565 450.640 218.981
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.939 5.965 2.324 4.908 4.207 3.859 2.72 4.641
[2,] 619.495 421.889 155.168 609.411 514.888 500.895 479.18 330.776
[3,] 555.092 362.785 182.512 598.999 452.343 457.206 523.66 291.316
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.383 3.465 1.991 4.328 4.323 4.327 5.883 2.545
[2,] 106.336 428.660 136.506 290.268 271.856 487.209 548.096 198.526
[3,] 96.072 486.236 134.028 334.605 267.170 366.627 501.256 199.349
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.435 3.623 6.302 2.182 4.994 5.307 5.939 5.452
[2,] 518.152 239.962 585.735 193.080 347.840 411.558 494.134 523.118
[3,] 467.687 228.300 536.296 154.053 371.445 423.159 438.121 439.352
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.437 5.223 4.508 1.694 4.723 3.759 5.511 2.657
[2,] 551.221 522.621 632.276 110.209 424.415 337.927 414.585 212.510
[3,] 513.677 452.825 498.166 94.190 467.735 322.233 532.358 198.806
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.991 2.054 5.27 4.548 8.037 8.125 2.006 2.076
[2,] 280.593 146.101 415.37 274.759 459.814 526.978 281.928 326.238
[3,] 208.868 115.007 374.24 268.487 436.943 529.092 274.733 217.992
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.096 3.283 3.634 2.672 3.814 11.93 14.95 5.757
[2,] 222.198 200.465 254.003 196.136 296.154 1163.44 1521.06 661.946
[3,] 197.149 209.448 275.660 179.581 299.313 1174.69 1296.95 633.384
[1] "--- VAR model 2017-10-04 14:01:00 completed"
[1] "Completed training sample: 2017-10-04 14:01:00 - 2017-10-04 22:00:00"
[1] "SpVAR; training sample: 2017-10-04 14:31:00 - 2017-10-04 22:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-11.468 2.5277 -8.636 -1.095
-4.930 5.2608 -4.199 2.123
-1.863 0.7605 -14.111 -9.134
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
35.413 -4.258 -0.1473 7.833
-5.007 -1.401 -1.4530 1.233
8.036 6.963 1.6852 3.693
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
13.317 3.1032 0.7982 -17.966
-4.908 -0.6191 1.4442 -8.266
6.324 6.4669 -2.7820 -11.711
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.172 -3.670 -2.803 -1.1614
-6.642 -9.075 -5.086 -0.2963
-2.257 2.151 -3.497 3.3107
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.250 -8.341 14.943 -5.203
-8.027 -11.862 -12.728 -5.045
-9.963 4.882 3.514 -5.288
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.159 -0.1737 -21.836 5.1058
-10.261 -0.7276 -25.360 -12.9760
-4.409 -0.9661 -7.257 0.8352
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1091 1.200 -0.7266 0.3264
-2.4579 -11.760 2.7427 -4.4497
-1.5759 -3.154 -9.7717 2.4389
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.8501 2.4498 -13.3628 -7.476
5.4169 -4.3358 5.2068 -7.367
-9.7474 0.6281 0.8417 -1.322
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.313 -19.486 -1.575 1.665
3.344 -2.258 -5.461 -5.183
3.767 -6.034 -3.266 -5.048
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.097 9.595 -9.001 1.2435
3.666 15.728 -4.708 -0.7018
2.249 2.075 1.444 1.8922
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.0541 1.50838 -5.009 -9.997
0.6675 -0.05952 -4.746 -6.825
6.6087 -0.79202 -5.227 -11.169
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.4507 -1.4551 -8.316 -7.0364
-0.6015 -4.5277 -13.451 0.5796
-2.5754 -0.5892 -9.198 6.0617
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.085 -1.589 9.811 7.187
6.160 -4.045 -13.469 19.148
9.704 5.643 -4.398 1.022
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.0922 13.221 4.624 8.302
-1.2600 1.663 14.152 7.463
0.3154 -2.214 -2.191 8.936
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.774 -0.1478 0.22049 1.242
4.172 3.9404 -1.26833 5.593
16.738 1.7585 0.02324 8.989
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.6875 8.673 3.2030 5.037
0.4199 -1.620 -0.9534 7.527
-1.2188 12.148 1.1399 3.074
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.335 -4.8992 10.185 6.8395
1.665 2.1471 3.258 0.9211
-2.133 0.6947 5.398 1.0706
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.337 -2.8794 -14.843 -8.447
5.562 1.7635 1.866 -11.585
2.740 0.7484 -9.255 2.808
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.02992 -17.064 -0.3058 0.3588
-13.79490 -10.337 0.2652 -19.6482
-9.15746 1.107 -1.5203 0.4740
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.191 0.8844 -11.032 -5.810
-9.640 -1.8117 -7.579 2.509
-15.223 -0.2159 -6.353 1.650
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.033 -2.4019 2.428 1.5054
-2.274 -1.0755 -1.968 0.7453
-17.378 -0.7145 -1.697 1.5148
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.8097 9.1036 0.6053 -20.479
-5.1235 0.7101 -0.3366 3.348
-0.9359 4.1637 -3.0375 -7.388
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.4327 10.4949 5.843 3.0170
11.8057 -0.8162 4.423 7.1575
0.1637 13.4926 -1.132 -0.3037
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
9.1089 1.593 17.22 238.2
-5.0015 -1.341 13.94 226.0
0.9269 2.840 14.89 232.4
rnd_95776.volume rnd_95787.volume
-21.541 -0.4628
-16.715 -15.0316
6.555 4.0488
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.621 3.007 6.737 4.554 13.02 1.996 1.848 4.648 5.203 3.689 2.290
[2,] 4.419 3.435 8.062 6.180 15.56 2.384 2.097 5.377 6.045 5.938 3.134
[3,] 4.968 3.788 8.733 7.049 17.26 2.728 2.299 5.894 6.560 6.549 3.563
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.309 2.944 3.346 3.733 3.439 3.984 4.232 6.295 4.590 8.454 3.374
[2,] 4.059 3.303 3.960 4.526 4.065 5.082 5.164 7.890 5.892 10.317 3.782
[3,] 4.542 3.748 4.435 5.123 4.577 5.591 6.004 8.743 6.740 11.459 4.217
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.60 4.560 1.842 3.731 3.880 3.490 4.251 1.958 4.263 4.490 2.311
[2,] 14.93 6.259 2.171 5.625 5.480 4.183 6.080 2.210 5.553 5.214 2.679
[3,] 16.82 7.722 2.472 7.704 7.212 4.534 7.117 2.462 6.554 6.000 2.972
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.610 4.164 4.264 3.749 3.694 3.591 1.145 3.436 0.9104 3.251 2.447
[2,] 5.717 6.002 5.408 4.554 4.505 4.320 1.303 4.103 1.0776 3.946 3.595
[3,] 6.705 6.652 6.063 5.145 5.145 5.022 1.462 4.562 1.1595 4.432 4.354
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.770 1.482 3.384 4.047 4.892 2.448 4.710 4.554 1.836 3.869 3.339
[2,] 3.216 1.846 4.125 4.893 5.489 3.073 6.356 5.375 2.156 5.710 4.890
[3,] 3.588 2.077 4.847 5.309 6.291 3.419 7.247 5.862 2.479 7.023 5.835
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.088 1.982 3.640 1.021 2.581 1.517 3.238 3.267 3.489 4.292 1.880
[2,] 4.644 3.850 4.258 1.239 3.822 1.793 3.802 3.868 4.716 5.675 2.325
[3,] 5.647 5.294 4.613 1.388 5.076 1.956 4.517 4.236 5.345 6.615 2.708
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.257 2.689 4.964 1.666 3.788 4.019 4.680 4.267 5.133 4.004 3.541
[2,] 5.583 3.073 6.335 2.062 4.339 4.857 5.567 5.485 6.257 5.332 5.392
[3,] 6.452 3.424 7.220 2.292 4.944 5.583 6.157 6.082 7.132 6.035 6.222
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.251 3.574 2.946 4.353 2.055 2.293 1.520 4.160 3.432 6.145 6.146
[2,] 1.448 4.583 3.686 5.152 2.514 3.068 1.818 4.991 3.996 6.919 7.147
[3,] 1.602 5.550 4.208 6.191 2.824 3.396 1.967 5.552 4.404 7.485 7.967
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.528 1.538 2.372 2.551 2.732 1.965 2.992 9.868 11.81 4.488
[2,] 2.449 2.800 2.876 2.913 3.223 2.338 3.655 12.672 15.70 6.233
[3,] 3.180 3.179 3.239 3.257 3.750 2.694 4.156 15.173 17.62 7.618
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.598 3.818 8.555 5.783 16.53 2.535 2.347 5.902
[2,] 378.373 248.225 661.615 624.118 1274.55 194.832 147.987 404.097
[3,] 339.142 238.415 501.429 506.441 1113.93 197.963 140.807 360.478
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.607 4.684 2.907 4.202 3.738 4.249 4.74 4.366
[2,] 459.684 695.227 319.615 351.248 223.704 316.421 382.29 323.814
[3,] 380.821 412.721 253.506 304.352 264.758 298.316 358.80 314.423
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.059 5.373 7.993 5.829 10.74 4.284 9.651 5.791
[2,] 471.258 442.304 710.606 551.945 883.43 255.522 1920.490 640.411
[3,] 348.216 457.573 562.801 488.866 745.01 278.591 1156.895 675.842
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.339 4.737 4.927 4.431 5.398 2.487 5.413 5.702
[2,] 171.647 628.898 578.033 344.511 649.456 153.077 531.712 395.885
[3,] 176.675 786.416 700.463 261.374 552.659 162.235 520.185 443.522
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.934 5.854 5.288 5.415 4.761 4.69 4.56 1.454 4.363
[2,] 202.604 505.224 645.736 496.826 386.135 385.35 358.68 92.822 335.166
[3,] 192.221 523.163 428.403 409.607 357.688 371.42 382.69 99.072 297.879
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.156 4.128 3.107 3.518 1.882 4.298 5.139 6.212
[2,] 86.130 334.176 393.484 243.964 164.303 352.336 410.714 372.123
[3,] 63.978 301.598 366.877 237.646 142.226 380.230 307.903 459.139
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.109 5.981 5.783 2.331 4.913 4.24 3.922 2.517
[2,] 277.436 637.539 426.691 168.965 627.411 533.64 518.185 493.021
[3,] 224.082 520.199 349.449 182.738 610.804 475.68 479.979 542.971
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.623 1.296 3.277 1.926 4.112 4.149 4.43 5.45 2.387
[2,] 330.096 104.816 421.269 142.876 297.713 309.358 474.18 554.69 204.423
[3,] 265.026 93.512 499.054 117.017 364.417 258.090 375.57 507.81 207.343
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.406 3.415 6.304 2.115 4.81 5.103 5.943 5.419
[2,] 539.552 222.241 588.018 181.635 316.29 407.371 450.399 514.835
[3,] 483.182 225.754 517.546 149.594 353.95 411.459 392.787 392.705
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.518 5.085 4.496 1.588 4.539 3.741 5.527 2.61
[2,] 534.758 525.964 607.411 109.097 428.462 330.973 411.701 216.32
[3,] 511.390 422.299 463.850 102.297 467.693 303.085 513.100 192.08
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.912 1.93 5.283 4.358 7.803 7.805 1.941 1.953
[2,] 304.513 149.09 411.840 305.695 475.203 545.092 285.848 349.536
[3,] 217.429 112.06 363.563 276.587 426.540 525.763 303.105 224.896
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.012 3.239 3.469 2.495 3.799 12.53 14.99 5.699
[2,] 243.076 210.110 255.636 189.225 313.762 1187.63 1545.30 646.143
[3,] 222.569 217.592 286.380 199.894 295.379 1246.92 1195.99 654.305
[1] "--- VAR model 2017-10-04 14:31:00 completed"
[1] "Completed training sample: 2017-10-04 14:31:00 - 2017-10-04 22:30:00"
[1] "SpVAR; training sample: 2017-10-04 15:01:00 - 2017-10-04 23:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.458 1.5247 -11.537 -5.374
-3.712 0.1624 -4.342 -10.023
-3.467 -1.2980 -9.732 -5.805
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
9.303 3.079 0.9148 -9.5963
-4.979 -3.287 2.3449 -0.6489
9.903 2.771 1.3108 1.2152
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.698 1.681 0.4413 -11.346
-8.174 -13.117 -4.7299 -12.436
4.786 3.491 -3.2319 -8.742
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.6086 2.734 -2.044 0.8793
-0.6492 -5.076 -6.178 0.9782
-1.1401 -6.801 -5.449 -1.7213
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.476 3.4270 17.295 12.6513
-2.659 0.3089 4.513 -5.3083
-10.476 -4.5746 10.445 -0.2615
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-14.232 4.063 -8.639 -1.347
-4.368 6.330 -23.391 -6.704
-17.421 4.140 2.164 -7.590
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.4649 -6.908 -5.052 -0.88836
-1.1943 -1.243 4.887 5.43335
-0.6254 -7.971 -6.139 0.08322
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.510 7.047 -4.736 -3.198
-10.642 4.059 -2.848 -3.852
-1.887 2.489 -4.731 -4.141
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.37244 2.1757 -3.293 -4.152
-1.43398 0.6383 -3.258 3.539
0.02126 -4.4007 -8.081 -3.823
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
6.096 1.117 1.9813 0.6457
7.756 -2.863 1.3795 2.5068
4.049 3.722 0.5321 -1.2222
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-8.0803 0.83069 0.7063 -6.805
-0.4788 0.01481 -2.3685 -2.476
3.5384 -0.93680 -3.1712 -9.917
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.317 -1.7931 -2.9514 2.0780
-3.994 -0.8162 -0.1316 3.4076
2.617 -1.8867 -7.6494 0.5908
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.731 -0.3806 -5.740 2.887
4.976 3.0089 -6.600 -1.186
-1.248 -2.5598 2.102 2.248
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.0198 -5.366 -6.306 5.424
-2.0758 -2.391 -5.347 -5.767
-3.5179 -5.989 -6.943 -5.943
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.075 -1.487 -2.238 1.334
-6.718 1.019 0.600 2.372
-7.672 1.140 -1.659 -4.547
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.769 -3.605 2.1205 1.605
1.288 -1.181 -1.8253 4.195
1.029 6.873 0.6628 -3.285
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.337 -4.042654 0.7753 5.686
-2.309 -0.511629 -0.8191 5.770
-2.042 -0.004565 5.2994 1.820
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.911 -2.4032 4.847 -3.406
8.940 4.1748 -3.478 -3.683
4.611 0.2134 -5.506 -2.417
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.3493 -7.040 -0.8179 -5.691
0.2622 2.744 -4.9653 -2.746
-2.0748 -2.195 -4.3173 -2.849
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.651 1.9294 -2.202 0.7189
-8.711 -2.2011 -7.729 2.8638
-3.102 -0.3952 -1.935 1.8052
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.0071 3.11866 -0.459 0.36634
-4.3675 -2.48957 1.219 0.06309
-0.3534 -0.08423 4.418 -0.66245
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
7.321 4.905 5.1608 -7.706
-3.918 -1.532 0.2489 7.875
3.564 1.488 -3.7400 7.541
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.889 -1.545 1.0757 -1.763
-1.625 -2.387 -1.3877 0.507
-1.055 2.200 -0.9786 1.417
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.881 2.323 7.027 218.6
-5.897 -4.125 13.762 233.3
2.558 1.702 8.779 238.6
rnd_95776.volume rnd_95787.volume
-18.47 0.8343
-14.58 -8.3524
11.12 -5.7317
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.314 2.931 6.766 4.428 12.33 1.906 1.809 4.473 5.187 3.632 2.234
[2,] 4.157 3.355 7.997 5.995 14.73 2.321 2.067 5.132 5.940 5.843 3.128
[3,] 4.767 3.690 8.703 6.873 16.50 2.665 2.253 5.766 6.496 6.413 3.510
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.222 2.741 3.314 3.647 3.223 3.843 4.061 6.075 4.214 8.331 3.319
[2,] 3.923 3.077 3.883 4.400 3.797 4.920 5.146 7.841 5.719 10.180 3.709
[3,] 4.315 3.551 4.265 5.055 4.295 5.516 5.932 8.704 6.524 11.275 4.092
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.202 4.559 1.782 3.654 3.758 3.256 4.013 1.883 4.078 4.109 2.278
[2,] 14.720 6.267 2.067 5.544 5.323 3.991 5.886 2.162 5.282 4.847 2.617
[3,] 16.456 7.724 2.405 7.633 6.995 4.389 6.911 2.429 6.229 5.562 2.955
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.341 4.218 4.063 3.473 3.524 3.403 1.080 3.240 0.8986 3.220 2.370
[2,] 5.338 5.837 5.181 4.218 4.286 3.986 1.230 3.926 1.0341 3.871 3.484
[3,] 6.312 6.475 5.773 4.775 4.944 4.570 1.406 4.392 1.1309 4.396 4.264
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.630 1.459 3.264 3.682 4.320 2.497 4.453 4.403 1.789 3.819 3.157
[2,] 3.123 1.794 4.068 4.395 5.035 3.080 6.035 5.114 2.106 5.510 4.632
[3,] 3.489 2.031 4.685 4.837 5.885 3.423 6.970 5.635 2.416 6.763 5.551
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.915 1.842 3.451 0.992 2.445 1.433 3.021 2.858 3.332 3.848 1.832
[2,] 4.326 3.678 4.057 1.165 3.642 1.721 3.578 3.619 4.490 5.255 2.259
[3,] 5.272 4.988 4.447 1.311 5.001 1.882 4.305 3.979 5.093 6.241 2.622
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.084 2.584 4.574 1.641 3.639 3.686 4.599 4.223 4.755 3.640 3.420
[2,] 5.380 3.006 6.015 1.997 4.207 4.699 5.509 5.331 5.879 4.985 5.014
[3,] 6.193 3.344 6.844 2.219 4.827 5.423 6.021 5.983 6.731 5.635 5.947
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.155 3.347 2.861 4.122 1.962 2.283 1.366 3.884 3.394 5.916 5.898
[2,] 1.375 4.300 3.562 4.928 2.431 2.965 1.670 4.733 3.910 6.714 6.812
[3,] 1.530 5.346 4.017 5.889 2.709 3.301 1.827 5.364 4.279 7.235 7.581
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.421 1.483 2.337 2.489 2.697 1.852 2.857 9.906 11.28 4.329
[2,] 2.405 2.697 2.843 2.851 3.149 2.180 3.447 12.569 15.05 6.136
[3,] 3.137 3.111 3.171 3.167 3.658 2.507 4.030 15.044 17.04 7.586
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.209 3.722 8.592 5.623 15.66 2.421 2.298 5.68
[2,] 402.919 262.082 684.688 649.261 1294.14 212.647 160.512 403.90
[3,] 374.975 246.922 551.686 539.828 1195.30 210.283 143.976 422.20
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.587 4.613 2.837 4.092 3.481 4.208 4.631 4.092
[2,] 464.879 735.135 351.709 359.366 224.768 325.230 395.464 322.466
[3,] 422.571 424.389 255.654 288.507 284.572 283.238 399.604 322.630
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.88 5.157 7.714 5.351 10.58 4.215 9.146 5.789
[2,] 493.39 507.625 796.334 621.049 939.77 265.929 2061.990 690.617
[3,] 400.54 473.959 606.766 504.193 778.60 277.442 1181.659 725.188
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.263 4.64 4.773 4.135 5.096 2.39 5.179 5.218 2.893
[2,] 168.221 669.65 605.502 370.706 691.553 170.64 539.259 412.774 206.934
[3,] 197.493 842.87 729.026 293.365 581.871 177.87 530.245 438.392 220.344
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.513 5.356 5.16 4.41 4.475 4.321 1.371 4.115 1.141
[2,] 498.969 648.219 516.44 384.46 391.708 333.492 94.653 356.018 82.177
[3,] 541.008 449.977 408.96 359.54 395.791 358.905 109.322 316.353 73.548
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.089 3.01 3.34 1.853 4.145 4.676 5.486 3.171 5.655
[2,] 345.280 410.06 270.42 167.632 389.782 385.464 415.331 289.635 654.361
[3,] 334.580 394.84 250.09 153.043 373.298 324.487 489.573 239.920 560.094
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 5.592 2.272 4.85 4.009 3.702 2.34 4.383 1.26 3.104
[2,] 417.781 178.599 637.98 544.374 513.335 511.35 342.636 98.13 433.655
[3,] 379.973 190.015 629.73 491.532 484.136 541.20 292.477 96.67 550.419
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.819 3.836 3.629 4.231 4.887 2.327 5.186 3.281
[2,] 153.304 308.068 356.517 483.509 574.701 212.224 562.502 246.698
[3,] 122.260 384.432 265.973 386.004 540.845 213.706 492.586 235.435
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.808 2.084 4.621 4.68 5.84 5.362 6.038 4.623 4.343
[2,] 627.421 182.753 339.014 468.20 487.12 522.630 555.285 547.108 588.959
[3,] 524.579 155.552 380.406 434.97 390.35 436.459 526.731 421.909 513.791
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.467 4.25 3.633 5.234 2.491 2.899 1.734 4.932 4.31
[2,] 119.813 433.58 340.837 433.778 230.617 303.822 154.495 434.597 311.63
[3,] 107.716 510.16 298.384 518.111 192.085 232.948 119.082 405.421 279.21
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 7.512 7.49 1.804 1.884 2.967 3.16 3.425 2.352 3.628
[2,] 510.109 547.29 311.707 361.813 260.208 223.30 261.049 184.647 309.714
[3,] 432.756 534.53 323.380 249.170 225.619 221.67 299.100 199.047 335.497
[,96] [,97] [,98]
[1,] 12.58 14.32 5.497
[2,] 1242.71 1601.29 698.599
[3,] 1327.89 1283.13 716.307
[1] "--- VAR model 2017-10-04 15:01:00 completed"
[1] "Completed training sample: 2017-10-04 15:01:00 - 2017-10-04 23:00:00"
[1] "SpVAR; training sample: 2017-10-04 15:31:00 - 2017-10-04 23:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.2842 1.786 -10.1041 -1.855
-4.7971 -0.686 11.0765 -9.315
-0.4335 1.314 -0.2951 1.578
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.298 0.8184 -0.8400 -5.4762
4.671 2.0022 2.2431 -2.3696
-12.142 0.1721 0.3605 0.1013
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-14.056 3.200 6.835 -5.771
-5.669 -11.507 -6.250 -7.951
-2.557 -3.505 2.188 -10.677
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.49875 -7.3940 -6.927 -5.572
-0.05172 -0.9227 2.391 1.145
-0.10418 0.3227 -1.985 -4.816
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.2377 0.9956 -10.335 -2.6635
0.3015 -0.8582 -3.155 0.6532
-2.1829 -5.3787 7.921 3.8707
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.703 -0.105 1.331 -2.690
10.098 1.194 -11.507 -2.794
-5.798 3.824 11.085 -1.643
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.7037 -8.4359 -1.3363 1.9133
0.6284 0.3980 5.0761 -0.1011
-1.0412 -0.6081 -0.7413 2.2797
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.8566 4.3526 -9.0523 0.7982
-10.2374 1.4044 -6.9829 0.1715
-0.5417 0.5925 -0.3412 0.8327
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.8154 -7.802 -2.9114 5.408
-3.9092 -4.733 0.3631 -8.484
-2.2569 4.751 -1.3987 1.069
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2823 5.121 4.471 0.3506
6.2923 -1.699 3.011 1.5708
-2.0623 -2.544 4.092 1.1059
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.696 1.0133 0.6011 -1.611
1.592 1.8446 -2.9214 -1.916
-1.541 -0.9504 -1.8252 -4.659
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.1723 -2.0381 3.665 5.7494
1.8777 -0.6933 -6.478 -2.1994
-0.5829 1.9553 1.329 0.5347
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.852 2.3136 0.3253 3.309
-3.446 -0.4752 5.3740 4.450
4.585 2.5297 -4.4277 3.445
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.872 -1.0535 -9.0496 -11.53459
2.217 -0.8316 0.2304 0.71159
1.740 -3.7107 4.1349 -0.02163
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.177 6.01429 -1.1094 8.642
-7.736 0.05147 0.5471 -4.317
1.530 0.09576 1.1292 -7.232
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.4769 5.036 -0.05997 -2.763
-0.1767 3.377 -1.81935 3.710
-0.7732 -6.051 2.26096 2.277
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.894 3.9190 -4.775 -4.440
1.322 2.2639 0.147 -2.298
4.542 0.7386 3.905 -0.467
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.784 0.52548 1.474 2.2266
-6.171 -3.82102 1.467 -4.7918
-3.546 -0.09082 2.064 0.1565
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.940 2.192 -1.999 -1.409
1.086 5.003 -16.448 -6.249
1.500 1.814 -8.303 -6.156
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.607 1.5434 4.5135 2.6745
2.364 2.0134 0.5731 0.2986
-9.348 0.6069 -6.6071 -0.9036
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.3158 2.944 -2.349 -0.7257
-5.2404 3.583 -1.949 -0.7587
-0.3932 1.087 1.676 0.2370
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.829 0.8309 5.881 -0.5885
4.440 -1.1887 5.743 2.7900
3.856 0.7383 -1.365 11.2224
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.4899 -0.8458 0.709 0.5946
0.8173 0.6325 -3.787 -2.1508
-1.4448 -2.4329 1.478 1.8503
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.19730 -1.14242 18.17 270.7
-0.02848 -1.16920 15.04 262.1
-3.47168 -0.07711 14.55 258.6
rnd_95776.volume rnd_95787.volume
4.935 -3.6944
-3.083 -0.2193
-11.783 -0.4450
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.041 2.681 6.590 4.094 11.18 1.720 1.686 4.175 4.787 3.266 2.246
[2,] 3.877 3.116 7.822 5.598 13.58 2.162 1.958 4.874 5.619 5.278 3.015
[3,] 4.407 3.458 8.501 6.582 15.10 2.437 2.147 5.469 6.200 5.915 3.388
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.986 2.612 3.090 3.561 3.110 3.772 3.917 5.827 3.929 8.022 3.244
[2,] 3.583 2.929 3.696 4.253 3.573 4.790 4.937 7.545 5.478 9.793 3.588
[3,] 3.981 3.367 4.107 4.799 4.096 5.371 5.665 8.363 6.312 10.836 3.926
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.971 4.165 1.673 3.416 3.551 3.184 3.816 1.816 3.885 3.894 2.147
[2,] 14.402 6.131 1.976 5.367 4.974 3.868 5.456 2.094 5.031 4.533 2.504
[3,] 16.119 7.532 2.351 7.377 6.848 4.317 6.524 2.328 6.003 5.187 2.821
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.186 4.018 3.920 3.256 3.319 3.273 1.061 2.967 0.8420 2.933 2.376
[2,] 5.128 5.510 4.849 3.853 4.112 3.821 1.223 3.510 0.9869 3.697 3.318
[3,] 5.997 6.105 5.504 4.314 4.735 4.373 1.407 3.956 1.1025 4.245 4.150
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.575 1.406 3.155 3.437 4.210 2.397 4.191 4.015 1.736 3.713 3.067
[2,] 3.010 1.721 4.001 4.112 4.900 3.039 5.672 4.684 2.073 5.291 4.457
[3,] 3.373 1.944 4.599 4.546 5.754 3.353 6.556 5.223 2.314 6.423 5.293
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.705 1.650 3.190 0.9014 2.318 1.285 2.664 2.693 3.215 3.782 1.683
[2,] 4.134 3.565 3.773 1.0789 3.290 1.542 3.306 3.385 4.344 4.966 2.110
[3,] 5.086 4.876 4.196 1.1954 4.678 1.701 4.012 3.793 4.858 5.903 2.444
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.888 2.498 4.295 1.554 3.524 3.490 4.294 4.021 4.403 3.531 3.358
[2,] 5.160 2.954 5.683 1.875 4.052 4.439 5.027 4.995 5.368 4.749 4.772
[3,] 5.921 3.286 6.630 2.124 4.614 5.063 5.501 5.700 6.208 5.378 5.568
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.117 3.013 2.813 3.716 1.754 2.265 1.300 3.645 3.103 5.636 5.661
[2,] 1.330 4.074 3.503 4.607 2.245 2.901 1.584 4.606 3.607 6.350 6.572
[3,] 1.476 5.009 3.897 5.526 2.573 3.228 1.719 5.156 3.952 6.864 7.286
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.303 1.419 2.228 2.359 2.558 1.790 2.757 10.34 10.88 4.027
[2,] 2.257 2.501 2.696 2.725 3.078 2.082 3.340 13.17 14.38 6.017
[3,] 2.971 2.896 3.056 3.052 3.598 2.338 3.792 15.52 16.16 7.420
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.861 3.405 8.369 5.199 14.2 2.184 2.141 5.301
[2,] 417.979 275.984 732.421 663.658 1339.8 227.732 173.090 437.351
[3,] 364.428 260.725 578.363 601.592 1148.0 195.594 153.216 431.010
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.079 4.147 2.851 3.792 3.317 3.924 4.522 3.949
[2,] 511.212 720.777 349.754 344.162 230.198 352.592 404.349 305.919
[3,] 455.848 463.870 268.614 301.599 288.760 311.092 386.438 347.859
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.79 4.974 7.399 4.989 10.19 4.119 8.851 5.289
[2,] 513.14 522.358 833.156 663.521 976.24 266.766 2190.458 782.014
[3,] 422.35 482.961 626.932 544.972 806.45 276.663 1258.339 760.427
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.124 4.338 4.509 4.044 4.846 2.306 4.933 4.944
[2,] 182.998 719.497 605.473 381.817 677.893 181.127 555.778 403.604
[3,] 221.246 879.599 818.094 333.239 621.578 176.830 569.149 438.117
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.727 5.315 5.102 4.977 4.135 4.214 4.157 1.347
[2,] 223.997 514.925 655.392 496.259 357.930 422.119 342.545 105.765
[3,] 225.597 540.479 456.909 452.609 337.238 408.074 369.616 120.925
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.767 1.069 3.724 3.018 3.27 1.785 4.006 4.364 5.346
[2,] 326.087 89.496 391.341 402.472 270.84 172.433 427.789 392.348 435.779
[3,] 317.009 85.399 362.567 433.136 264.65 157.222 394.128 336.966 524.323
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.044 5.322 5.098 2.205 4.715 3.895 3.435 2.096
[2,] 324.597 664.334 419.453 196.642 655.097 562.021 543.363 549.219
[3,] 246.638 571.333 401.414 178.724 632.975 496.268 514.784 578.199
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.05 1.145 2.944 1.632 3.383 3.42 4.083 4.803 2.137
[2,] 350.35 103.057 405.638 148.007 340.129 356.29 507.566 559.465 221.197
[3,] 319.24 89.472 578.148 124.984 395.036 297.72 378.219 554.592 214.355
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.937 3.173 5.455 1.974 4.475 4.432 5.453 5.106
[2,] 589.776 273.821 646.740 182.382 347.698 476.793 454.313 515.036
[3,] 504.607 250.179 593.644 173.302 383.778 423.363 388.251 477.331
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.591 4.484 4.264 1.418 3.826 3.572 4.718 2.227
[2,] 533.704 551.832 589.263 125.677 476.664 362.955 473.458 243.554
[3,] 542.106 438.848 498.736 111.274 506.538 296.600 530.354 218.389
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.876 1.651 4.629 3.94 7.157 7.189 1.654 1.801
[2,] 315.119 157.095 489.478 319.73 508.339 580.221 320.447 357.959
[3,] 246.142 116.048 402.803 280.67 453.149 546.810 335.635 253.928
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.829 2.995 3.249 2.273 3.502 13.14 13.81 5.113
[2,] 263.917 237.182 297.433 184.893 327.429 1415.41 1634.65 777.028
[3,] 249.953 238.750 323.857 185.000 312.078 1428.41 1279.52 754.796
[1] "--- VAR model 2017-10-04 15:31:00 completed"
[1] "Completed training sample: 2017-10-04 15:31:00 - 2017-10-04 23:30:00"
[1] "SpVAR; training sample: 2017-10-04 16:01:00 - 2017-10-05 00:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.9776 0.04254 0.9192 -6.113
5.0950 -3.06951 -4.8972 6.445
-2.5767 0.89870 -9.7705 7.353
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-23.71686 -3.5576 3.792 2.644
-33.79572 -1.7358 -2.706 -7.037
-0.06652 0.9812 1.883 -1.231
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.645 -5.858 -1.204 -2.748
-5.247 4.207 4.776 -7.713
-4.671 -13.431 -3.598 -3.490
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.1420 -2.8536 -4.354 2.2979
2.3520 -0.9317 -1.661 0.1002
0.8169 0.6681 -1.456 -5.2927
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.137 -2.332 2.972 8.3966
-4.506 4.021 -8.312 -4.3140
-5.075 -1.314 -2.404 -0.8642
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.4479 0.645 10.6233 0.7657
0.4312 4.175 0.8458 5.1987
-0.3028 2.728 0.1835 -5.0901
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.0429 -0.06091 -2.187 1.6315
-0.0326 6.47795 -1.054 0.3752
0.6201 -2.90345 3.276 1.7289
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.885 -0.8463 -5.066 9.913
3.795 -0.3406 1.944 6.455
4.941 2.2255 3.516 1.243
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.603 -2.928 -4.868 -5.896
-2.381 11.744 -2.889 -4.556
-0.408 1.905 9.855 6.053
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.8465 1.821 4.6898 0.113134
3.0159 -2.000 -3.4811 0.404218
0.1238 3.124 0.6378 0.006039
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.119 0.2649 -6.126 -9.048
3.065 0.3161 -6.796 -4.507
1.927 0.4896 -2.293 -9.747
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.3926 1.297 -6.97883 6.178
0.3224 -1.908 -2.02731 -6.739
-2.1235 -3.293 -0.01594 5.695
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.271 0.82226 -0.7049 -1.054
10.449 0.28471 -5.2316 -1.111
5.979 -0.05121 -0.6932 4.105
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8623 -8.3446 -8.416 -6.111
1.5411 -0.5487 -2.699 -3.757
-1.8335 -0.4040 2.148 -1.844
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.907 0.1091 -0.9796 5.61254
-7.102 3.7797 -2.8097 -0.01863
-1.563 5.7707 -0.5182 -5.13243
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.160 1.887 -2.11543 7.5918
-0.915 3.485 0.04067 6.8934
-2.298 -4.950 1.79157 -0.3646
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.431 -0.8384 -4.8633 -2.114
2.365 -0.4814 6.7212 3.194
1.421 2.4349 -0.4327 -1.980
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.8840 1.488 4.8984 1.3164
-1.9509 -2.142 -0.1809 6.4878
-0.7486 1.011 6.1132 0.1094
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.692 -0.6799 -9.979 -3.338
-3.563 2.5439 -1.064 -6.536
-7.276 -1.1718 -1.324 5.196
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.0031 -2.41422 -1.795 0.088
-0.5529 0.99715 3.043 -2.875
6.4163 0.03582 1.010 -4.360
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.039 2.192 0.834 -2.84227
-3.961 0.628 -4.001 -0.37159
-3.467 1.944 -1.591 -0.04207
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.032 1.7324 -8.471 7.398
6.127 -2.4758 -7.141 8.300
6.981 0.1024 -3.813 4.421
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1139 3.707 3.0563 2.2250
3.3715 1.425 1.9649 3.1841
1.2438 1.414 -0.8094 -0.8615
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.7965 -0.0912 18.372 242.0
2.0419 3.2011 9.921 253.9
-3.8877 -0.3172 15.978 247.2
rnd_95776.volume rnd_95787.volume
14.68 3.435
19.83 6.865
-10.69 -5.866
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.865 2.376 5.985 3.941 9.854 1.574 1.647 3.884 4.608 3.190 2.040
[2,] 3.711 2.790 7.239 5.370 11.982 1.983 1.869 4.503 5.446 5.039 2.753
[3,] 4.240 3.145 7.849 6.266 13.852 2.223 2.057 5.076 5.905 5.554 3.099
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.855 2.380 3.055 3.066 2.823 3.500 3.549 5.516 3.757 7.175 3.201
[2,] 3.532 2.748 3.656 3.876 3.290 4.474 4.702 7.172 5.178 8.861 3.601
[3,] 3.961 3.063 4.056 4.418 3.797 5.043 5.541 7.901 6.060 9.799 3.947
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.442 4.053 1.607 3.412 3.513 3.103 3.722 1.663 3.778 3.566 2.047
[2,] 12.970 5.882 1.904 5.032 4.785 3.773 5.356 1.964 4.890 4.154 2.402
[3,] 14.928 7.159 2.248 6.754 6.630 4.189 6.310 2.216 5.768 4.641 2.705
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.887 3.661 3.503 3.088 3.158 3.173 1.009 2.687 0.8229 2.731 2.357
[2,] 4.856 4.998 4.503 3.679 3.967 3.770 1.161 3.230 0.9538 3.459 3.253
[3,] 5.821 5.644 5.147 4.112 4.496 4.304 1.328 3.646 1.0690 4.014 3.993
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.403 1.351 3.056 3.127 4.100 2.264 3.913 3.732 1.616 3.547 2.911
[2,] 2.823 1.648 3.856 3.826 4.678 2.918 5.459 4.354 1.962 4.944 4.102
[3,] 3.192 1.884 4.433 4.243 5.560 3.241 6.248 4.836 2.203 6.022 5.084
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.658 1.619 2.976 0.8013 2.091 1.215 2.502 2.624 3.006 3.665 1.477
[2,] 4.041 3.392 3.450 0.9594 3.077 1.459 3.157 3.274 4.056 4.775 1.903
[3,] 4.871 4.489 3.967 1.0879 4.505 1.596 3.856 3.622 4.642 5.681 2.165
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.397 2.486 3.212 1.501 3.408 3.295 4.125 3.787 4.433 3.367 3.003
[2,] 4.586 2.957 4.889 1.824 3.910 4.290 4.855 4.876 5.401 4.568 4.479
[3,] 5.304 3.266 5.750 2.033 4.496 4.871 5.403 5.599 6.210 5.206 5.296
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.056 2.873 2.765 3.541 1.641 2.245 1.180 3.344 2.760 5.190 5.180
[2,] 1.267 3.837 3.349 4.470 2.031 2.777 1.462 4.194 3.265 5.972 6.186
[3,] 1.432 4.793 3.729 5.328 2.364 3.097 1.611 4.744 3.688 6.470 6.804
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.202 1.189 1.931 2.183 2.445 1.674 2.429 10.21 9.983 3.822
[2,] 1.976 2.369 2.465 2.609 2.907 1.967 2.921 13.07 13.306 5.656
[3,] 2.703 2.791 2.830 2.958 3.423 2.244 3.390 15.50 15.265 6.943
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.639 3.018 7.599 5.004 12.51 1.999 2.091 4.933
[2,] 464.404 287.761 801.792 718.218 1342.18 237.640 174.008 448.576
[3,] 403.765 285.671 597.294 635.828 1368.49 197.781 169.070 461.046
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.852 4.051 2.59 3.625 3.023 3.879 3.894 3.584
[2,] 571.515 767.908 364.18 409.481 270.261 395.356 466.740 332.850
[3,] 449.365 459.722 279.85 353.055 266.359 346.081 417.719 373.036
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.444 4.507 7.005 4.771 9.111 4.065 8.181 5.146
[2,] 548.910 607.207 902.364 701.431 1023.663 324.660 2216.314 839.294
[3,] 458.015 577.152 652.840 620.039 824.137 318.248 1454.981 803.330
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.041 4.333 4.461 3.94 4.727 2.112 4.797 4.529
[2,] 200.899 728.173 639.659 422.73 758.310 205.532 611.429 419.376
[3,] 235.483 886.924 903.693 358.40 656.790 202.357 602.279 407.352
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.599 4.936 4.649 4.449 3.921 4.01 4.03 1.281 3.412
[2,] 247.686 573.027 669.766 556.892 393.974 472.69 400.79 113.251 352.943
[3,] 244.811 631.863 516.531 490.827 361.544 416.38 408.59 127.130 332.983
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.045 3.468 2.993 3.051 1.716 3.881 3.971 5.206
[2,] 94.935 418.000 441.374 291.954 185.761 462.824 434.234 443.545
[3,] 95.029 400.718 456.083 293.223 179.637 430.481 361.037 591.514
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.875 4.969 4.739 2.052 4.504 3.696 3.375 2.056
[2,] 362.319 749.283 441.631 219.032 678.271 568.966 599.274 586.885
[3,] 277.760 598.588 414.271 197.537 676.686 591.523 535.513 578.732
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.779 1.018 2.655 1.543 3.177 3.333 3.817 4.654
[2,] 343.555 103.884 444.419 158.824 379.181 385.460 536.188 602.531
[3,] 385.580 100.989 647.723 127.545 435.930 304.890 444.540 606.029
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.876 4.314 3.157 4.078 1.906 4.328 4.184 5.238
[2,] 236.242 606.530 315.284 725.727 203.970 377.472 540.951 504.376
[3,] 203.070 524.774 272.833 596.076 176.917 436.727 454.138 466.485
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.808 5.629 4.276 3.813 1.34 3.648 3.511 4.497
[2,] 604.838 607.477 607.826 654.371 138.10 500.770 371.877 537.022
[3,] 541.799 603.307 491.339 556.453 131.26 565.423 322.975 571.110
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.084 2.851 1.498 4.247 3.505 6.59 6.578 1.527 1.51
[2,] 235.659 321.646 169.983 498.244 343.487 581.64 665.764 308.769 403.50
[3,] 238.293 270.046 133.303 436.681 337.722 490.54 557.767 363.007 290.56
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.452 2.772 3.105 2.126 3.084 12.97 12.68 4.853
[2,] 301.539 281.103 309.695 203.147 319.403 1607.74 1732.12 821.030
[3,] 273.652 274.422 355.739 212.739 338.930 1639.72 1472.96 792.556
[1] "--- VAR model 2017-10-04 16:01:00 completed"
[1] "Completed training sample: 2017-10-04 16:01:00 - 2017-10-05 00:00:00"
[1] "SpVAR; training sample: 2017-10-04 16:31:00 - 2017-10-05 00:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.6199 0.49926 4.357 -10.0778
0.6959 -0.93655 -7.229 -0.8709
4.5345 0.03867 -6.072 -3.4076
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.136 -0.6709 2.058 -1.47973
1.680 1.2180 -0.355 0.02604
-12.040 0.6554 2.421 2.15019
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.001 -6.698 -1.1383 -4.602
3.243 7.008 0.5345 -3.045
-2.982 -3.860 2.9983 -0.468
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3029 -0.5706 -3.924 -2.3314
-4.0457 -5.1015 -6.035 -3.0402
-2.3091 0.7986 -1.844 -0.7583
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.808 0.5468 3.100 2.8559
-5.481 -2.9311 -1.454 0.7872
-2.827 -3.0138 3.367 2.6866
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
7.267 -0.3546 -23.186 -1.159
-11.216 2.3028 9.129 -5.909
1.794 3.8009 -5.599 2.260
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.6991 -2.530 -2.728 -0.3504
0.6174 -5.523 -7.419 1.4236
-0.2603 -3.724 0.724 2.4909
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.7628 1.532 1.460 3.189
-0.4998 1.124 -1.873 -2.596
-3.5327 -1.320 -3.131 2.052
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.9335 4.7411 -1.639 -0.2362
-0.5111 -2.6043 3.437 2.5826
-0.6300 0.1588 -3.154 -3.1592
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.238 3.4855 1.816 2.3330
1.551 -0.5741 1.188 0.7353
4.034 -0.2277 4.920 0.9301
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.2339 -0.4628 -0.7605 -6.135
4.5199 0.3100 2.2445 -2.911
0.9495 0.8863 0.9578 1.501
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.6423 0.9095 -6.173 2.320
2.7627 -0.3989 -1.397 -2.558
0.7922 1.1858 2.539 4.290
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.3525 0.3159 6.436 3.534
-0.5671 -2.5633 -3.143 2.794
6.1287 -1.7097 5.658 2.434
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.7267 10.278 5.587 0.08692
-1.3829 3.185 7.149 7.74665
0.5409 3.050 -1.059 0.20495
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.954 -1.8625 -0.3280 -2.142
4.566 -2.1473 0.4433 2.408
3.900 0.1261 -0.6464 3.112
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.07299 -0.9004 1.237 -4.5837
-0.32922 4.5558 -0.957 0.3562
-1.62911 2.1066 1.907 1.6755
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.920 -0.96153 -1.7092 4.6856
-0.323 -1.94137 -1.3521 2.9753
1.024 0.09152 -0.6158 -0.7677
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.842 0.1365 -0.8375 -3.580
-7.397 -2.5664 5.0204 -0.791
-1.577 -0.1109 2.5149 5.013
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.8917 5.1912 -7.7696 0.4618
-3.2140 -4.5922 0.6802 -4.7131
-0.8017 0.8686 -2.3441 1.7079
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.6430 0.5387 -0.06462 -2.9805
5.6907 -0.4196 3.37933 -1.9210
-0.6145 0.1469 -4.33884 -0.1619
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.739 -1.04444 -0.2652 -0.1647
-4.674 -0.06442 2.9105 0.1806
4.619 3.21827 0.2305 -0.7518
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3679 -0.3007 -7.700 7.332
1.2066 -1.0712 -2.718 5.483
3.4145 -0.3598 -3.223 9.796
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7030 -0.7141 1.728 2.039
0.8202 3.5363 3.677 3.116
2.6410 3.2398 1.740 2.903
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.137 -0.2222 8.991 227
-2.581 -1.0705 8.340 231
-1.700 -2.3106 9.975 227
rnd_95776.volume rnd_95787.volume
-9.796 -1.408
17.322 -6.040
-3.927 1.351
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.473 2.217 5.720 3.653 8.686 1.454 1.581 3.651 4.409 2.856 1.910
[2,] 3.251 2.631 6.700 4.744 10.621 1.825 1.824 4.228 5.260 4.652 2.619
[3,] 3.776 2.978 7.335 5.762 12.310 2.052 2.004 4.657 5.676 5.197 2.949
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.643 2.121 2.882 2.689 2.635 3.237 2.909 4.933 3.553 6.457 2.980
[2,] 3.438 2.468 3.505 3.502 3.193 4.159 4.057 6.521 4.957 7.848 3.447
[3,] 3.869 2.748 3.969 4.135 3.638 4.787 4.772 7.344 5.786 8.739 3.843
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.098 3.666 1.477 3.148 3.091 2.992 3.368 1.620 3.558 3.456 1.919
[2,] 12.269 5.223 1.766 4.465 4.419 3.636 4.692 1.885 4.476 3.933 2.253
[3,] 14.055 6.533 2.094 6.412 6.243 4.001 5.716 2.098 5.455 4.396 2.541
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.694 3.250 3.062 3.011 2.983 2.988 0.9735 2.572 0.7849 2.458 2.233
[2,] 4.636 4.445 4.122 3.584 3.816 3.581 1.1187 3.118 0.9162 3.215 3.095
[3,] 5.489 4.978 4.774 4.045 4.333 4.021 1.2760 3.534 1.0143 3.753 3.741
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.208 1.267 2.845 2.926 3.993 2.089 3.584 3.432 1.487 3.416 2.795
[2,] 2.646 1.546 3.604 3.528 4.477 2.703 4.991 4.108 1.851 4.771 3.903
[3,] 3.059 1.791 4.154 3.939 5.204 2.969 5.904 4.548 2.081 5.628 4.937
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.530 1.546 2.889 0.7193 1.875 1.131 2.382 2.414 2.768 3.338 1.348
[2,] 3.944 3.203 3.378 0.8517 2.931 1.345 2.936 3.014 3.737 4.446 1.659
[3,] 4.784 4.279 3.829 0.9664 4.251 1.488 3.580 3.364 4.296 5.197 1.909
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.124 2.441 2.726 1.389 3.173 2.714 3.852 3.518 4.093 3.052 2.803
[2,] 4.218 2.838 4.338 1.711 3.667 3.594 4.560 4.689 5.083 4.227 4.112
[3,] 4.882 3.080 5.233 1.915 4.203 4.266 5.149 5.254 5.882 4.800 4.970
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9643 2.732 2.649 3.063 1.545 2.022 1.054 3.001 2.367 5.020 4.781
[2,] 1.1821 3.666 3.185 3.939 1.935 2.552 1.336 3.864 2.738 5.858 5.628
[3,] 1.3627 4.475 3.524 4.740 2.254 2.852 1.479 4.353 3.089 6.345 6.192
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.041 1.105 1.719 1.970 2.292 1.616 2.194 10.17 9.247 3.461
[2,] 1.797 2.129 2.183 2.340 2.789 1.900 2.681 13.09 12.294 5.045
[3,] 2.418 2.518 2.547 2.709 3.246 2.123 3.170 15.30 14.217 6.402
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.14 2.815 7.264 4.639 11.03 1.846 2.008 4.636
[2,] 465.94 312.722 770.095 668.410 1349.58 243.475 200.745 471.035
[3,] 424.21 308.363 659.599 722.024 1374.23 207.472 183.170 431.202
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.598 3.627 2.426 3.356 2.693 3.66 3.415 3.346
[2,] 633.587 810.905 395.482 485.503 278.744 440.19 495.437 398.101
[3,] 471.035 511.425 299.328 392.136 266.670 411.29 485.438 385.233
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.111 3.693 6.264 4.512 8.199 3.784 7.743 4.655
[2,] 576.496 624.446 941.806 763.212 984.940 382.682 2350.764 821.373
[3,] 523.357 554.748 745.701 658.995 848.880 375.270 1514.031 866.565
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.875 3.997 3.925 3.799 4.277 2.057 4.517 4.388
[2,] 213.872 699.275 697.356 456.407 721.439 212.798 599.757 414.548
[3,] 248.635 1016.042 973.768 368.428 720.619 203.425 688.695 433.805
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.437 4.691 4.127 3.888 3.823 3.788 3.794 1.236
[2,] 260.799 618.454 669.546 609.513 429.160 525.488 435.681 121.724
[3,] 259.220 649.010 495.007 531.752 414.218 453.021 404.050 135.532
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.266 0.9967 3.121 2.836 2.804 1.609 3.613 3.716
[2,] 389.316 104.3809 457.820 473.158 321.796 195.445 488.290 435.156
[3,] 367.335 96.0658 427.225 463.938 338.914 199.589 456.461 386.704
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.071 2.653 4.551 4.359 1.889 4.338 3.549 3.213
[2,] 446.686 378.702 766.996 498.267 243.302 735.424 601.646 667.977
[3,] 585.767 271.332 696.528 431.209 210.206 658.989 667.595 597.849
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.963 3.668 0.9134 2.381 1.436 3.025 3.065 3.515
[2,] 619.359 386.493 100.6938 497.478 160.955 378.807 398.668 554.341
[3,] 626.550 398.065 100.8550 679.874 140.415 452.558 329.577 467.934
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 4.238 1.712 3.968 3.1 3.462 1.764 4.029 3.447 4.891
[2,] 648.563 213.534 625.556 319.8 745.193 220.633 406.019 520.133 538.941
[3,] 593.955 208.278 542.916 263.9 646.219 190.003 453.324 507.568 527.871
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.467 5.198 3.875 3.56 1.225 3.469 3.364 3.889
[2,] 684.471 665.646 645.791 664.31 150.955 539.844 390.434 546.989
[3,] 523.636 653.262 502.455 616.24 149.677 566.708 332.978 581.976
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.962 2.568 1.339 3.811 3.006 6.374 6.071 1.322
[2,] 257.067 343.770 181.339 537.164 304.017 666.853 655.484 323.544
[3,] 255.322 280.863 140.079 442.855 315.639 537.974 570.120 357.015
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.403 2.183 2.501 2.911 2.052 2.785 12.92 11.74
[2,] 401.811 296.896 278.754 350.800 220.469 340.213 1819.75 1788.72
[3,] 297.001 289.822 301.659 366.748 209.088 373.658 1746.16 1576.45
[,98]
[1,] 4.395
[2,] 810.530
[3,] 870.221
[1] "--- VAR model 2017-10-04 16:31:00 completed"
[1] "Completed training sample: 2017-10-04 16:31:00 - 2017-10-05 00:30:00"
[1] "SpVAR; training sample: 2017-10-04 17:01:00 - 2017-10-05 01:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.03811 -1.3628 3.169 4.237754
-4.12985 0.2347 -2.167 -0.009129
-1.97255 -0.8729 -7.230 -3.808797
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
6.3535 1.8071 0.04566 2.3849
-0.7093 0.7471 0.13957 -2.2891
-2.9839 -1.5242 1.04773 0.1116
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.339 1.761 0.02431 -1.476
1.214 4.383 1.43657 -1.021
-2.864 -2.673 -0.63936 -1.887
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.0229 -3.363328 -1.8753 0.9607
-1.4706 1.463077 0.1679 -4.7009
-0.7163 -0.005995 1.1134 -1.1086
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.501 -6.408 -5.4714 -1.507
-2.590 -2.642 -0.5318 -1.542
-2.784 -1.338 -2.1517 -1.625
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.367 3.4630 -5.444 -0.44956
-4.050 2.3863 2.070 -2.16908
-10.264 0.1365 1.672 0.07648
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.02199 1.5825 6.423 3.1322
1.18369 -2.3805 1.052 0.2584
1.04046 0.9314 2.905 2.7128
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
3.6651 3.5080 1.954 -4.41969
0.6914 2.4288 7.875 -2.39128
-2.9243 -0.4471 -3.942 0.05056
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.8093 -3.432 -1.6398 -6.409
1.3230 5.213 -0.5886 -2.325
-0.6875 -2.164 1.9362 4.490
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.6143 1.136 3.483 0.3498
2.5484 6.348 -0.797 0.1800
0.3091 0.471 1.864 1.1876
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.34248 0.9247 -2.903 -3.017
-0.08273 0.5711 -6.110 -6.510
0.48780 1.2616 -0.307 -4.111
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.5611 0.7133 -0.540 -2.1768
-0.5946 1.0084 -4.209 2.7571
2.0428 -1.4067 -3.731 -0.4311
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.116 2.71684 3.749 9.824
4.099 1.46666 5.455 1.329
4.507 -0.04268 -3.168 2.356
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9353 2.554 0.6088 -0.5689
1.6155 9.844 5.9188 5.4114
-0.5919 -2.321 4.0931 6.7357
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.4723 -2.3301 0.05397 2.385
-0.7702 -0.5524 0.53731 -1.578
7.6219 0.7924 0.12933 -1.738
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.01755 2.8128 2.97943 1.3811
0.88460 -1.2964 -3.04523 -0.7076
0.02956 0.2521 -0.01636 0.4974
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.276 -0.8573 1.729 -0.8719
3.407 0.1371 3.919 0.8641
2.056 -0.5537 -1.026 1.5075
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.136 -0.1632 -4.5970 -1.722
4.683 -0.4562 0.6182 -4.046
1.817 1.3879 0.9880 -4.340
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.0518 -0.5694 -4.444 -2.880
-0.5473 -3.5120 -2.214 -3.400
-2.9455 -0.8983 -3.037 -2.069
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.1557 -0.4415 -2.296 -1.7866
-7.1407 -0.3054 -3.801 -0.9121
0.1041 -0.4301 -3.265 -1.0882
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.038 -1.01044 -0.06586 -0.48661
-1.886 0.05253 1.50413 -0.08856
-5.751 -0.88589 -0.19263 -0.10538
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.08023 -2.2765 1.9875 7.250
1.69015 -0.6984 5.7160 1.984
0.08602 -1.4510 -0.7674 3.044
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8288 0.8391 -0.05343 1.0432
0.7038 -0.6491 -1.15848 -0.9667
-2.7308 0.6346 1.62861 2.1330
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.903 -0.1090 7.233 236.8
-1.582 -2.0909 8.576 224.5
-1.708 -0.1111 9.735 215.7
rnd_95776.volume rnd_95787.volume
22.241 0.9486
-4.208 -3.3467
-2.850 0.4099
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.301 2.096 5.377 3.232 7.899 1.199 1.471 3.339 4.064 2.632 1.708
[2,] 3.047 2.528 6.187 4.355 9.788 1.468 1.699 3.931 4.757 4.215 2.438
[3,] 3.560 2.798 6.799 5.406 11.102 1.706 1.874 4.350 5.121 4.753 2.708
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.335 1.964 2.614 2.353 2.399 2.920 2.678 4.361 2.977 6.105 2.665
[2,] 3.222 2.304 3.274 3.165 2.857 3.935 3.852 5.929 4.291 7.222 3.171
[3,] 3.615 2.610 3.740 3.837 3.260 4.624 4.511 6.860 5.279 8.017 3.599
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.035 3.312 1.329 2.826 2.694 2.792 2.991 1.531 3.167 3.173 1.779
[2,] 11.697 4.897 1.555 4.330 4.049 3.475 4.373 1.798 4.023 3.682 2.102
[3,] 13.262 6.144 1.866 6.106 5.901 3.918 5.475 2.011 5.039 4.139 2.387
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.266 3.146 2.714 2.909 2.736 2.707 0.9055 2.440 0.7227 2.281 2.084
[2,] 4.129 4.155 3.826 3.457 3.419 3.208 1.0631 2.919 0.8754 2.912 2.901
[3,] 5.129 4.647 4.400 3.871 3.912 3.728 1.2086 3.306 0.9781 3.508 3.485
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.052 1.133 2.522 2.597 3.700 1.901 3.291 3.161 1.352 2.963 2.452
[2,] 2.422 1.413 3.336 3.136 4.168 2.508 4.587 3.776 1.682 4.248 3.605
[3,] 2.864 1.630 3.908 3.531 4.943 2.790 5.445 4.204 1.886 5.104 4.577
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.272 1.437 2.727 0.5937 1.627 1.098 2.220 2.214 2.509 3.067 1.146
[2,] 3.674 2.950 3.158 0.7106 2.686 1.291 2.772 2.820 3.539 4.128 1.421
[3,] 4.538 4.032 3.624 0.8275 3.875 1.414 3.330 3.179 4.079 4.920 1.638
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.827 2.291 2.176 1.275 2.831 2.606 3.432 3.267 3.859 2.694 2.524
[2,] 3.901 2.682 3.820 1.576 3.330 3.383 4.245 4.412 4.742 3.922 3.655
[3,] 4.593 2.975 4.759 1.728 3.914 4.062 4.794 5.008 5.426 4.587 4.581
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8256 2.386 2.362 2.595 1.506 1.879 0.9721 2.533 2.225 4.884 4.347
[2,] 1.0331 3.432 2.788 3.480 1.887 2.369 1.2268 3.497 2.622 5.632 5.184
[3,] 1.1882 4.172 3.162 4.263 2.181 2.674 1.3798 3.974 2.922 6.022 5.708
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9448 0.9033 1.558 1.719 2.100 1.449 2.089 10.26 8.595 3.104
[2,] 1.5035 1.8222 2.042 2.180 2.586 1.795 2.494 12.88 11.381 4.690
[3,] 2.1165 2.2318 2.340 2.470 3.046 1.992 3.006 15.13 13.169 5.991
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 2.922 2.662 6.828 4.104 10.03 1.522 1.868 4.24 5.16
[2,] 461.310 326.428 706.984 674.402 1335.39 195.644 196.428 479.37 571.40
[3,] 425.448 277.263 651.407 739.993 1210.58 201.018 182.876 430.42 438.27
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 3.342 2.169 2.965 2.494 3.32 2.989 3.046 3.708 3.4
[2,] 760.850 401.868 512.987 278.080 455.38 489.125 358.617 609.415 639.7
[3,] 507.561 272.416 378.664 283.683 417.73 501.170 362.939 561.227 542.8
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.538 3.78 7.752 3.384 7.664 4.206 1.688 3.588
[2,] 928.157 713.94 891.382 397.164 2315.009 833.469 186.363 758.067
[3,] 797.305 710.80 804.487 393.271 1444.505 857.403 238.479 994.694
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 3.421 3.546 3.798 1.944 4.022 4.029 2.259 4.147
[2,] 698.390 477.723 737.149 217.979 573.227 431.863 258.604 583.758
[3,] 991.916 418.399 761.045 208.111 700.985 436.797 261.475 703.208
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 3.995 3.446 3.694 3.474 3.437 1.15 3.098 0.9177
[2,] 626.982 623.027 431.424 474.047 397.643 128.74 370.298 114.1588
[3,] 481.223 501.983 402.281 438.948 439.185 132.82 358.748 100.8161
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 2.896 2.647 2.606 1.439 3.203 3.298 4.698 2.413
[2,] 418.241 466.220 297.386 194.923 504.478 406.190 443.260 377.966
[3,] 452.029 446.138 353.092 187.735 470.339 374.807 614.116 282.439
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.179 4.014 1.716 3.762 3.113 2.885 1.824 3.463
[2,] 738.302 477.500 231.184 703.585 610.716 667.102 595.248 367.981
[3,] 677.766 426.963 197.343 653.813 651.721 615.467 635.302 410.773
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.7539 2.066 1.394 2.819 2.811 3.186 3.894 1.456
[2,] 90.2366 493.909 156.949 383.480 403.532 576.750 638.322 193.876
[3,] 97.9408 645.334 133.533 426.572 339.071 468.625 618.566 188.529
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.59 2.909 2.763 1.62 3.594 3.309 4.358 4.149 4.901
[2,] 621.12 322.358 725.459 213.90 405.407 498.426 577.243 685.232 636.508
[3,] 560.11 297.012 655.954 163.46 475.231 519.482 514.784 547.140 609.718
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 3.421 3.206 1.048 3.03 3.0 3.295 1.912 2.387 1.234
[2,] 658.734 610.608 143.511 570.16 342.1 536.006 262.755 333.217 172.907
[3,] 549.684 638.246 135.605 548.05 344.7 568.952 252.851 286.726 145.930
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 3.217 2.825 6.202 5.52 1.2 1.147 1.978 2.183 2.666
[2,] 557.101 320.417 648.157 652.47 270.3 365.674 305.191 309.854 348.917
[3,] 436.033 297.990 492.434 552.30 344.2 297.736 263.864 268.128 371.625
[,94] [,95] [,96] [,97] [,98]
[1,] 1.839 2.653 13.03 10.91 3.941
[2,] 244.995 314.684 1797.51 1723.65 812.309
[3,] 199.617 387.900 1836.31 1531.18 861.592
[1] "--- VAR model 2017-10-04 17:01:00 completed"
[1] "Completed training sample: 2017-10-04 17:01:00 - 2017-10-05 01:00:00"
[1] "SpVAR; training sample: 2017-10-04 17:31:00 - 2017-10-05 01:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1725 2.540 -3.628 -1.721
0.1597 3.138 -3.149 -5.043
1.2780 1.837 -6.089 -1.175
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.3731 -0.4934 0.07187 -1.364
0.7783 0.2732 -0.40163 3.498
-7.3992 0.5201 -1.32313 -2.066
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.58368 1.9974 0.6039 1.569
0.89481 -0.4264 -0.2938 3.460
0.08802 -0.4237 1.5578 -2.288
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.304 4.125 0.4812 -7.302
-1.053 0.128 0.5339 -3.750
-1.269 -3.105 -2.1663 -1.737
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.5526 -2.266 8.3809 3.874
0.6606 -4.463 2.0150 2.524
-2.7056 -1.346 -0.3092 -2.993
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.318 -0.961 -5.166 -13.919
-2.096 1.763 9.139 8.252
-4.456 2.616 -9.514 -3.152
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.0558 -10.569 -4.820 2.9245
0.2190 1.116 -5.998 -0.6242
0.4375 2.609 4.584 0.6534
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.36610 -2.057 -3.675 1.3994
-7.61494 -1.393 -4.483 -0.4034
-0.06831 -1.241 -2.869 1.2452
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.421 -4.501 -3.326 1.702
1.291 -3.069 2.471 -2.561
0.544 -4.988 -3.306 -1.663
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.4442 -3.1577 -3.48377 -0.77593
-5.6108 -1.6583 0.02775 -0.43045
-0.1912 -0.8778 1.10834 -0.06467
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.222 1.2300 -2.109 -2.39861
2.288 -0.2845 -5.581 0.01135
1.018 -0.6635 2.065 -5.93001
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1353 -0.2816 1.7301 0.5164
3.2450 -1.1740 -0.5796 -0.9295
-2.8103 -1.0566 1.9110 1.1497
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.8367 -0.7703 -1.133 1.818
-2.0148 1.7963 -3.008 -5.432
1.4751 0.8864 -8.145 -1.226
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.9437 5.301 9.169 7.994
-0.2738 -4.349 -0.422 6.208
0.5579 -8.330 -5.302 -3.836
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.346 0.5926 1.0693 -3.674
9.817 3.3352 -0.4069 4.807
-1.770 -3.0299 -0.4158 11.971
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.28785 -2.7502 0.3093 3.301
-0.11787 0.3603 1.9461 -4.281
0.05361 6.7576 1.6993 4.635
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.659 -0.0468 0.9705 2.976
-4.370 0.5286 -0.6467 3.786
6.819 0.7217 -1.5123 1.390
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2768 -2.0887 -2.0454 0.9317
5.7752 1.0395 -0.3564 0.2007
-4.7156 -0.2139 1.9386 -0.7647
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.069 0.8221 -2.147 -3.825
-1.978 -6.0024 -1.518 1.109
-3.420 1.2997 3.090 3.049
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.1132 2.1119 0.9227 1.0031
2.9334 -0.5951 -1.1923 1.6702
-0.8985 1.2052 -0.2929 0.7594
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.988 1.946 0.5557 1.4218
5.133 2.087 0.3014 1.5260
3.608 2.270 -0.9629 -0.4874
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.967 2.274328 -2.473 1.487
1.982 3.956039 -3.803 -1.474
-5.047 -0.002455 5.804 2.873
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.05911 0.05818 0.3379 0.9262
0.82993 0.34014 -3.1164 -4.4685
-1.71109 -2.57786 -0.9116 -1.0183
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.67309 -0.3912 5.878 241.4
-0.08042 -0.6724 8.265 235.7
4.22526 -0.1277 4.797 233.6
rnd_95776.volume rnd_95787.volume
5.025 -14.700
-10.109 10.205
-5.009 -3.657
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.958 1.925 4.974 2.792 7.084 1.056 1.357 2.697 3.318 2.303 1.556
[2,] 2.665 2.307 5.674 3.827 8.696 1.299 1.605 3.283 4.011 3.456 2.128
[3,] 3.157 2.551 6.213 4.723 9.900 1.515 1.735 3.674 4.384 3.961 2.404
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.035 1.634 2.226 2.113 2.275 2.761 2.344 4.049 2.625 5.532 2.541
[2,] 2.950 1.899 2.998 2.982 2.763 3.622 3.597 5.605 3.942 6.274 2.979
[3,] 3.510 2.196 3.510 3.670 3.132 4.333 4.190 6.482 4.965 6.973 3.478
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.603 3.134 1.208 2.595 2.449 2.671 2.633 1.414 2.573 2.877 1.616
[2,] 10.888 4.756 1.457 3.956 3.657 3.284 3.874 1.717 3.315 3.274 1.990
[3,] 12.259 5.912 1.710 5.677 5.610 3.693 4.840 1.899 4.159 3.699 2.258
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.939 2.877 2.497 2.849 2.244 2.526 0.8695 2.243 0.6990 2.172 1.924
[2,] 3.767 3.858 3.482 3.371 3.057 3.032 1.0074 2.653 0.8503 2.725 2.790
[3,] 4.651 4.342 4.057 3.723 3.577 3.526 1.1672 3.004 0.9453 3.342 3.303
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.837 1.063 2.368 2.432 3.176 1.801 3.136 2.943 1.267 2.895 2.298
[2,] 2.239 1.309 3.157 2.977 3.760 2.307 4.346 3.510 1.555 4.100 3.356
[3,] 2.622 1.489 3.671 3.290 4.526 2.654 5.159 3.952 1.729 4.835 4.147
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.097 1.263 2.630 0.5175 1.540 0.9933 2.016 2.067 2.201 2.690 1.010
[2,] 3.286 2.829 2.988 0.6206 2.430 1.1781 2.537 2.575 3.229 3.710 1.257
[3,] 4.118 3.726 3.409 0.7204 3.591 1.2980 3.094 2.915 3.658 4.405 1.434
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.630 2.178 1.959 1.171 2.427 2.335 3.152 3.012 3.384 2.474 2.238
[2,] 3.558 2.587 3.381 1.424 2.967 3.043 3.911 4.094 4.214 3.588 3.410
[3,] 4.277 2.889 4.324 1.582 3.582 3.690 4.394 4.664 4.795 4.211 4.229
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7485 2.178 2.113 1.944 1.453 1.751 0.884 2.095 2.003 4.520 4.089
[2,] 0.9118 3.176 2.534 2.935 1.776 2.234 1.138 3.079 2.360 5.271 4.916
[3,] 1.0623 3.880 2.899 3.832 2.043 2.548 1.310 3.456 2.626 5.688 5.472
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8387 0.7939 1.303 1.381 1.956 1.321 2.135 9.983 8.157 2.913
[2,] 1.3626 1.4737 1.692 1.742 2.374 1.621 2.491 12.700 10.607 4.482
[3,] 1.8059 1.7768 1.980 2.011 2.836 1.844 2.908 14.859 12.324 5.699
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.486 2.444 6.316 3.546 8.995 1.341 1.723 3.424
[2,] 448.829 315.502 677.731 649.291 1251.738 187.637 213.041 464.775
[3,] 419.682 270.098 627.739 686.813 1174.038 193.291 163.398 409.069
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.214 2.924 1.976 2.585 2.075 2.827 2.683 2.888
[2,] 558.973 639.395 360.122 529.781 240.133 498.147 522.224 389.192
[3,] 439.511 480.516 277.553 472.105 273.473 452.858 530.951 366.039
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.506 2.976 5.141 3.334 7.024 3.227 7.116 3.979
[2,] 581.729 677.237 961.692 729.854 734.503 385.833 2316.493 887.820
[3,] 590.082 532.967 807.982 748.736 755.419 445.234 1398.102 871.441
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.533 3.295 3.11 3.392 3.344 1.795 3.267 3.653
[2,] 202.149 740.894 673.94 474.279 704.995 241.981 518.553 387.611
[3,] 222.387 1010.533 1055.53 419.212 720.266 201.314 623.515 427.446
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.052 3.732 3.654 3.17 3.618 2.85 3.207 1.104 2.849
[2,] 288.102 584.584 637.818 602.32 446.995 515.01 416.384 126.247 351.530
[3,] 264.618 677.053 494.143 516.59 392.355 460.98 446.723 146.264 349.656
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.8876 2.758 2.444 2.332 1.35 3.007 3.088 4.034
[2,] 120.1525 408.526 501.155 317.902 189.49 518.141 426.027 499.186
[3,] 102.4390 480.095 438.687 338.481 176.14 464.730 347.836 625.421
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.287 3.983 3.737 1.609 3.676 2.918 2.663 1.603
[2,] 357.891 746.365 474.700 224.003 720.369 607.033 627.838 628.321
[3,] 325.257 689.932 450.714 187.446 635.790 604.382 615.723 601.637
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.34 0.6572 1.956 1.261 2.56 2.625 2.795 3.416 1.283
[2,] 351.72 85.0033 466.376 157.213 382.18 381.124 586.226 633.965 185.520
[3,] 407.46 90.7952 656.071 135.224 439.39 338.959 426.623 589.347 171.260
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.34 2.766 2.488 1.487 3.082 2.965 4.002 3.825
[2,] 594.49 346.550 683.769 201.314 423.511 484.428 574.385 687.999
[3,] 589.18 318.946 669.006 170.548 498.022 517.719 497.063 554.425
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.297 3.142 2.841 0.9504 2.766 2.683 2.468 1.845
[2,] 622.955 644.601 638.634 129.2073 573.588 347.230 545.649 253.362
[3,] 567.695 547.211 620.379 135.2606 552.885 349.208 611.425 250.439
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.224 1.122 2.66 2.543 5.74 5.193 1.065 1.008 1.655
[2,] 344.122 177.769 560.11 310.038 672.72 676.817 266.479 308.075 267.724
[3,] 303.961 161.199 389.14 285.310 530.78 596.437 294.083 246.292 255.135
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.754 2.483 1.677 2.711 12.68 10.36 3.699
[2,] 263.586 334.138 233.106 318.727 1948.31 1682.54 845.073
[3,] 248.980 384.804 218.367 372.144 1913.71 1556.87 873.566
[1] "--- VAR model 2017-10-04 17:31:00 completed"
[1] "Completed training sample: 2017-10-04 17:31:00 - 2017-10-05 01:30:00"
[1] "SpVAR; training sample: 2017-10-04 18:01:00 - 2017-10-05 02:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.2888 -4.307 7.885 6.5307
-0.6914 -3.339 -5.331 -0.6194
0.7880 1.041 -6.499 3.1863
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.9701 1.0999 2.3537 1.9330
12.7317 -0.4875 1.3080 -0.1033
2.4109 -0.4383 0.9541 -1.3352
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.8032 0.9367 1.460 0.1882
-4.8003 -1.6318 3.312 -0.8980
0.7493 -2.3567 -1.818 -3.4164
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.5449 2.639 2.1915 -0.6608
0.4396 -2.116 0.5137 -0.5168
0.8428 -1.004 2.0635 -0.5739
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.1567 -4.174 10.797 -1.4562
-3.3559 2.633 -2.767 -0.8115
0.3935 -3.377 -2.240 3.1458
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
7.830 -2.8543 9.337 -0.6532
-1.946 0.7372 4.800 4.3684
-6.693 1.3751 -10.402 -1.2892
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.8473 -2.457 1.798 1.991
0.2527 6.089 4.431 4.095
1.3535 2.071 5.668 -1.199
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
5.8647 0.3753 2.783 -1.31260
0.6893 -2.0410 3.100 2.39308
3.9376 2.8771 3.798 0.08424
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.4895 -0.4856 -1.190 -1.9081
1.6410 4.8708 5.688 -0.1401
-0.5425 4.2639 3.485 4.9196
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.137 4.1725 -3.4419 0.7788
2.041 -0.8244 0.5298 1.0089
3.280 3.9311 0.1018 -1.2613
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.02715 0.1408 -4.8152 0.8280
1.44040 1.0680 -0.1019 -3.5506
1.74061 -0.4950 2.1473 -0.1261
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.434 0.5561 -1.008 -1.895
-0.289 -0.6808 0.693 1.144
2.883 1.3741 -2.306 -1.393
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.4624 -0.33890 -0.667 -2.7064
0.8587 -0.05411 -4.533 1.6545
0.8767 0.84557 3.823 0.4659
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5203 -9.3891 -4.3976 0.2447
-1.7554 0.6043 0.3074 -5.7643
1.2055 0.5905 -1.5352 0.9056
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.08834 4.036 -0.5585 1.112
-4.92106 -1.250 1.1478 -2.549
0.02167 2.049 -0.2127 -6.600
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5496 1.604 1.0452 -2.132
0.4092 -1.770 -0.3953 5.244
0.7659 -1.228 -0.5421 -2.970
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.257 -0.3845 0.4892 5.0500
2.613 0.6325 -2.5305 -0.5674
-3.462 0.1864 0.6614 0.7218
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.029 0.8475 0.6810 -2.286
-4.538 -0.9197 -0.7893 -1.586
4.136 -0.1907 1.8134 1.623
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.572 -3.9291 -5.7184 -2.2805
-1.813 -2.0199 -1.8271 -6.1903
2.783 0.5704 -0.9658 -0.3337
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.713 0.4515 -1.9937 -1.439
-4.691 -1.7722 -0.9627 1.938
-3.703 0.7012 -6.2454 0.416
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.236 0.1999 0.3888 0.4034
-0.856 0.6381 -1.2256 0.3981
-2.800 0.9682 -1.5304 -0.7178
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.467 -4.918 -4.638 0.5053
3.155 -3.651 3.504 6.2192
4.469 1.090 -3.053 1.5050
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8392 0.9526 0.1268 -0.2019
1.9097 -1.2220 1.2415 0.6986
-0.1955 0.7577 -0.2372 0.5469
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.06533 0.2619 4.473 245.2
2.41765 -1.1832 4.090 250.1
0.41829 1.8948 5.463 246.2
rnd_95776.volume rnd_95787.volume
-11.500 0.6171
8.354 3.2848
3.767 -2.5823
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.858 1.737 4.408 2.413 6.205 0.814 1.147 2.417 2.842 2.056 1.384
[2,] 2.502 2.137 5.237 3.321 7.788 1.006 1.401 2.878 3.555 3.139 1.919
[3,] 2.955 2.397 5.891 4.113 8.944 1.168 1.518 3.244 3.918 3.644 2.190
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.855 1.523 2.109 1.965 2.093 2.397 2.101 4.041 2.425 4.885 2.364
[2,] 2.786 1.763 2.799 2.743 2.580 3.222 3.270 5.403 3.676 5.763 2.782
[3,] 3.256 2.028 3.158 3.426 2.949 3.932 3.933 6.213 4.594 6.603 3.202
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.721 2.956 1.074 2.353 2.379 2.445 2.304 1.249 2.217 2.473 1.483
[2,] 9.924 4.520 1.246 3.450 3.440 3.041 3.397 1.557 3.029 2.927 1.813
[3,] 11.420 5.657 1.461 5.119 5.174 3.457 4.260 1.747 3.735 3.340 2.082
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.779 2.354 2.246 2.696 1.855 2.161 0.8110 2.070 0.6395 2.046 1.821
[2,] 3.497 3.373 3.156 3.137 2.665 2.701 0.9412 2.427 0.7604 2.577 2.680
[3,] 4.411 3.967 3.700 3.447 3.022 3.289 1.0918 2.724 0.8479 3.238 3.174
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.721 0.9407 2.188 2.190 3.019 1.591 2.693 2.704 1.144 2.744 2.119
[2,] 2.087 1.2001 2.736 2.715 3.559 2.167 3.938 3.225 1.400 3.832 3.034
[3,] 2.481 1.3931 3.282 3.042 4.238 2.538 4.739 3.657 1.594 4.684 3.909
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.895 1.122 2.320 0.4512 1.420 0.9425 1.870 1.768 1.967 2.234 0.8734
[2,] 3.036 2.462 2.679 0.5427 2.295 1.1400 2.287 2.213 2.928 3.291 1.0737
[3,] 3.719 3.287 3.063 0.6376 3.307 1.2335 2.783 2.505 3.314 3.990 1.2370
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.346 2.031 1.740 1.095 2.248 2.110 2.728 2.663 3.022 2.061 1.890
[2,] 3.297 2.494 3.049 1.286 2.679 2.701 3.367 3.830 3.712 3.132 3.017
[3,] 3.945 2.764 4.058 1.447 3.140 3.271 3.939 4.426 4.173 3.760 3.846
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6564 1.847 1.785 1.724 1.388 1.571 0.7613 1.725 1.709 4.146 3.671
[2,] 0.7874 2.735 2.197 2.590 1.714 2.069 0.9731 2.722 2.070 4.936 4.324
[3,] 0.9217 3.454 2.453 3.372 1.959 2.334 1.1468 3.128 2.340 5.448 5.000
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.679 0.6244 1.033 1.150 1.770 1.219 1.842 9.033 6.908 2.720
[2,] 1.090 1.2122 1.456 1.470 2.161 1.458 2.168 11.914 9.672 4.208
[3,] 1.468 1.4820 1.707 1.691 2.610 1.694 2.531 14.011 11.311 5.428
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.359 2.206 5.598 3.065 7.879 1.034 1.456 3.069
[2,] 442.679 328.644 746.975 602.681 1243.139 156.040 212.469 412.657
[3,] 415.184 287.121 712.493 640.795 1161.938 156.825 154.751 395.714
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.609 2.61 1.758 2.355 1.933 2.678 2.495 2.657
[2,] 564.297 626.77 350.997 549.102 234.776 486.154 505.808 398.862
[3,] 434.796 488.83 279.050 445.209 264.756 386.349 541.925 377.098
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.044 2.668 5.131 3.079 6.203 3.002 5.995 3.753
[2,] 568.516 661.982 947.561 729.762 807.847 387.334 2305.739 903.242
[3,] 595.661 577.283 810.215 728.068 850.941 418.813 1493.185 898.533
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.364 2.988 3.021 3.105 2.926 1.586 2.816 3.141
[2,] 166.424 666.576 656.423 477.651 659.149 245.403 544.972 413.632
[3,] 201.824 998.795 1021.099 434.021 678.997 209.168 577.433 424.878
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.883 3.528 2.989 2.852 3.423 2.356 2.744 1.03
[2,] 275.504 560.947 638.110 585.909 423.998 505.520 427.942 126.19
[3,] 270.540 710.061 551.779 509.923 376.973 376.177 495.826 146.15
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.629 0.812 2.598 2.313 2.185 1.194 2.778 2.781
[2,] 334.645 108.687 413.646 519.313 312.086 196.871 434.255 423.702
[3,] 326.733 99.125 517.813 449.178 354.047 186.866 478.467 362.753
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.833 2.02 3.419 3.434 1.452 3.485 2.69 2.407 1.424
[2,] 498.236 388.56 759.093 464.224 213.183 706.559 573.77 626.540 579.057
[3,] 607.507 349.35 696.464 455.483 201.775 711.552 650.90 567.256 575.322
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.946 0.573 1.803 1.197 2.375 2.246 2.498 2.837
[2,] 353.753 79.653 476.475 169.384 347.905 351.237 572.828 638.302
[3,] 392.454 88.432 628.707 124.445 418.708 310.325 410.112 596.116
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.109 2.979 2.579 2.209 1.391 2.854 2.679 3.464
[2,] 164.991 611.908 382.540 661.498 178.153 384.834 445.616 521.478
[3,] 162.257 572.577 314.360 707.137 175.087 432.926 487.319 539.809
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 3.382 3.838 2.617 2.4 0.8335 2.345 2.267 2.189
[2,] 727.312 569.217 623.051 621.1 114.8843 532.803 338.381 510.618
[3,] 585.592 504.050 549.379 630.4 126.5598 557.418 288.380 570.131
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.763 1.995 0.9667 2.19 2.17 5.265 4.662 0.8622
[2,] 265.684 355.532 160.1130 556.42 308.24 707.394 603.647 225.1477
[3,] 250.369 285.406 160.2740 406.89 288.47 609.457 662.824 259.8367
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.7928 1.311 1.46 2.248 1.549 2.339 11.47 8.773
[2,] 274.4775 271.111 242.06 327.384 210.912 301.817 2052.13 1788.155
[3,] 225.1847 235.208 220.76 386.708 228.039 345.136 1947.65 1549.030
[,98]
[1,] 3.454
[2,] 848.142
[3,] 905.608
[1] "--- VAR model 2017-10-04 18:01:00 completed"
[1] "Completed training sample: 2017-10-04 18:01:00 - 2017-10-05 02:00:00"
[1] "SpVAR; training sample: 2017-10-04 18:31:00 - 2017-10-05 02:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.8733 -0.2566 -0.1031 -1.506
0.3090 2.0438 -3.8687 -4.744
0.1159 2.1744 -3.0987 -4.054
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.0887 0.5415 -0.9811 -1.15791
0.8759 0.3932 0.8878 0.80124
-3.4814 0.2511 0.3200 -0.04815
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.79271 -2.643 1.3449 -2.98498
-0.03782 -1.872 -1.6072 -4.22499
0.39093 1.188 -0.0551 -0.09824
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.538 0.5796 1.346 0.2311
1.284 -2.1587 -1.692 -2.2463
1.465 -2.2506 -2.178 -4.0360
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.057 -2.9149 3.7838 2.2323
-1.809 -0.6855 0.5213 -0.6416
-5.948 -2.4437 -0.5903 -0.2360
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-2.440 -2.259 -7.424 0.32714
-5.138 1.762 -1.752 -4.27620
-3.452 1.855 -5.797 -0.06788
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.9714 -3.5744 -1.709 -4.3226
-0.2198 -1.4133 -5.250 -0.9538
0.4921 0.6128 -1.132 -0.2423
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.169 0.2719 -0.7601 0.1722
-4.203 0.1116 -5.2734 1.4907
-5.069 0.3255 -3.1129 -1.5015
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.1532 1.689 -3.325 2.353
-1.9247 -3.983 1.205 -0.895
-0.6534 -2.723 -2.854 -2.213
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.7264 -5.8581 -1.3903 0.8361
0.9775 0.4041 -0.7916 -0.3278
0.3912 -0.4969 -0.4147 1.4969
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.24937 -0.1150 -2.2398 -1.777
-0.75350 0.9518 -1.9047 -2.834
0.03979 -0.1513 0.3345 -1.950
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.2201 1.3210 0.5239 -6.122
-0.7784 1.2428 -1.4425 -1.506
0.8879 0.4286 -1.6444 1.129
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.277 0.16403 4.993 1.468
-4.486 -1.82745 -1.269 1.271
2.296 -0.08273 -4.781 -1.174
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.4729 3.223 -1.8302 -3.307
-0.3895 1.361 2.7057 3.127
-0.9223 -2.139 -0.4019 1.322
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.4934 -3.397539 0.05169 -0.6007
-0.1365 3.176965 -0.06164 -3.2538
2.0069 -0.003394 -0.12549 0.3520
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.5764 0.5031 1.1622 3.098
-0.4223 -0.3137 -0.1491 -1.720
-0.4374 -0.6122 0.8137 -2.322
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.035 0.558889 2.251 1.1894
1.952 0.576375 4.663 1.7427
-2.718 -0.006072 -2.788 -0.1431
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.449 1.0368 -0.3089 1.34029
3.111 0.6709 1.1855 0.03181
2.283 2.1438 2.3257 -0.26401
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2272 2.3233 1.844 1.123
0.2906 -0.5274 -2.640 1.738
-0.9206 1.3109 -2.266 -2.092
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.3394 0.71722 -2.3430 -0.6855
3.9020 0.66914 1.2628 -1.1419
-1.1048 0.04156 -0.7331 1.4726
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.671 -1.721 1.0897 0.6296
1.171 1.818 2.5819 0.4140
1.013 2.440 -0.5796 0.5770
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.7466 -0.3047 3.752 0.08614
-3.6355 1.6257 3.367 0.40226
0.1166 1.9292 -1.168 -1.91357
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3938 -0.39860 -1.0820 -1.05634
0.2491 -0.76776 0.8264 -0.06377
-0.3772 -0.05604 -0.9631 -0.65222
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.707 1.25640 3.616 250.2
2.307 0.37876 5.630 237.9
-1.829 -0.01457 6.583 231.8
rnd_95776.volume rnd_95787.volume
6.687 -1.4193
-16.491 -3.5051
-3.836 0.5928
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.564 1.554 3.936 1.968 5.049 0.7466 1.042 2.172 2.679 1.858 1.288
[2,] 2.133 1.861 4.800 2.877 6.710 0.9038 1.264 2.616 3.275 2.823 1.786
[3,] 2.601 2.097 5.457 3.580 7.688 1.0392 1.411 2.959 3.580 3.255 2.023
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.692 1.278 1.935 1.815 2.095 2.126 1.737 3.636 2.265 4.290 2.215
[2,] 2.566 1.543 2.652 2.557 2.537 2.951 2.889 4.953 3.283 5.130 2.660
[3,] 3.028 1.786 2.993 3.145 2.907 3.526 3.536 5.787 4.067 5.861 3.045
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.288 2.550 0.9696 2.076 2.157 2.213 1.980 1.178 1.988 2.275 1.322
[2,] 8.721 3.890 1.1337 3.001 3.086 2.787 3.040 1.449 2.716 2.757 1.620
[3,] 10.402 5.053 1.3274 4.511 4.626 3.181 3.725 1.629 3.407 3.125 1.913
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.639 2.017 2.090 2.355 1.777 1.931 0.7404 1.726 0.5392 1.916 1.696
[2,] 3.286 3.034 2.896 2.734 2.456 2.492 0.8692 2.023 0.6547 2.435 2.540
[3,] 4.106 3.489 3.473 3.064 2.734 2.932 0.9610 2.281 0.7485 3.021 3.009
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.570 0.8369 1.988 2.072 2.674 1.490 2.421 2.500 1.083 2.416 2.021
[2,] 1.944 1.0788 2.478 2.549 3.177 1.974 3.670 3.018 1.302 3.403 2.793
[3,] 2.351 1.2621 3.026 2.800 3.650 2.252 4.364 3.392 1.481 4.291 3.624
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.770 1.015 2.119 0.4252 1.265 0.8218 1.695 1.609 1.813 2.054 0.7887
[2,] 2.761 2.316 2.475 0.5039 2.083 0.9823 2.040 2.013 2.672 3.061 0.9793
[3,] 3.290 3.018 2.847 0.5791 3.120 1.0784 2.520 2.291 3.016 3.657 1.1165
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.040 1.805 1.562 1.008 1.848 1.879 2.421 2.310 2.686 1.843 1.620
[2,] 3.002 2.159 2.745 1.213 2.246 2.384 3.072 3.488 3.304 2.836 2.803
[3,] 3.550 2.445 3.624 1.356 2.769 2.924 3.532 3.999 3.695 3.417 3.568
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5907 1.666 1.604 1.379 1.256 1.430 0.6621 1.588 1.503 3.937 3.406
[2,] 0.7270 2.451 2.008 2.116 1.547 1.853 0.8467 2.446 1.803 4.598 4.064
[3,] 0.8331 3.164 2.237 3.028 1.785 2.146 0.9766 2.818 2.021 5.099 4.669
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6009 0.5280 0.8592 0.9235 1.617 1.038 1.664 9.072 5.760 2.365
[2,] 0.9100 0.9733 1.1833 1.2145 1.911 1.236 1.983 11.592 8.371 3.593
[3,] 1.2035 1.2343 1.4070 1.3890 2.375 1.427 2.268 13.612 9.766 4.809
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.986 1.973 4.998 2.499 6.412 0.9481 1.323 2.758
[2,] 419.381 295.963 794.225 606.932 1278.116 147.2858 206.767 421.741
[3,] 430.490 279.851 750.910 615.989 1084.944 148.3440 181.448 399.914
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.402 2.36 1.635 2.148 1.622 2.457 2.305 2.66 2.699
[2,] 545.017 614.41 357.877 557.845 250.176 524.535 520.756 413.73 591.951
[3,] 418.107 468.45 274.866 464.810 259.825 401.158 529.706 410.37 558.157
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.206 4.617 2.876 5.448 2.813 5.446 3.238 1.231
[2,] 667.452 972.505 687.028 813.446 425.991 2195.912 849.474 169.886
[3,] 589.689 865.291 694.411 819.716 428.398 1639.666 932.830 199.675
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.636 2.739 2.81 2.514 1.497 2.525 2.889 1.679
[2,] 626.451 638.300 489.75 667.062 244.006 535.195 450.329 270.641
[3,] 974.240 996.398 443.53 622.322 215.046 594.602 425.162 294.604
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.352 2.561 2.654 2.991 2.256 2.451 0.9402 2.192
[2,] 566.246 655.475 579.911 401.365 490.492 455.907 131.6296 305.474
[3,] 711.842 498.044 553.932 400.308 346.900 446.340 118.5629 304.668
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.6847 2.433 2.154 1.993 1.063 2.524 2.632 3.395
[2,] 107.3774 434.470 546.631 331.511 196.855 427.843 428.953 496.121
[3,] 104.9360 517.135 466.812 382.680 189.405 502.299 335.583 519.558
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.893 3.074 3.175 1.375 3.068 2.566 2.248 1.289
[2,] 374.111 797.593 488.931 209.115 692.843 557.315 612.681 601.995
[3,] 313.959 683.028 447.694 203.990 755.831 668.076 517.614 559.547
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.691 0.5399 1.607 1.044 2.153 2.043 2.302 2.608
[2,] 370.014 78.1896 478.567 155.614 328.307 349.954 567.767 656.251
[3,] 406.643 82.5626 671.793 128.718 427.740 316.400 404.601 578.577
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.002 2.591 2.292 1.983 1.281 2.346 2.386 3.075
[2,] 167.851 636.961 342.660 652.736 195.135 369.067 424.423 546.584
[3,] 155.063 547.907 331.293 684.506 175.174 468.635 489.559 504.421
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.934 3.411 2.341 2.057 0.75 2.115 2.036 1.751
[2,] 755.567 556.606 623.308 661.414 122.59 519.906 349.237 464.180
[3,] 565.561 478.474 551.368 638.605 117.66 578.521 285.545 626.420
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.595 1.816 0.8408 2.017 1.909 5.0 4.325 0.7631
[2,] 261.063 340.652 152.5894 537.921 287.807 687.0 641.014 197.6228
[3,] 257.336 313.510 140.7379 404.528 264.338 636.9 664.594 227.7695
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.6705 1.091 1.173 2.054 1.317 2.114 11.52 7.314
[2,] 236.4500 235.271 228.095 294.446 194.299 311.728 2086.72 1756.454
[3,] 219.4756 220.128 194.886 407.905 206.100 318.061 2063.76 1454.680
[,98]
[1,] 3.003
[2,] 782.403
[3,] 924.198
[1] "--- VAR model 2017-10-04 18:31:00 completed"
[1] "Completed training sample: 2017-10-04 18:31:00 - 2017-10-05 02:30:00"
[1] "SpVAR; training sample: 2017-10-04 19:01:00 - 2017-10-05 03:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.735 -4.580 1.0028 -2.015
1.045 -0.987 0.3675 -2.810
-3.426 -1.478 1.6084 3.449
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.271 -0.1892 0.2021 2.6926
1.469 0.6689 0.5683 1.4042
-7.374 -0.5733 -0.3302 -0.6947
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.2724 -2.484 0.3499 0.1659
-0.1028 1.059 -0.9059 2.1312
3.4816 3.260 -0.9835 3.0360
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9703 1.356 2.309 -5.639
1.5066 3.043 2.690 0.459
-1.6133 1.676 4.091 -6.135
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.5917 -2.410 -1.434 -0.7284
0.1117 -2.757 -6.438 -3.2048
-1.5744 1.660 1.155 -1.9665
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
4.5067 -0.6466 8.440 -1.484
0.7264 -0.5968 -1.354 5.677
1.2362 3.4783 3.135 -2.868
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.49414 -4.8124 -6.380 0.1267
0.01411 5.5185 4.101 0.3693
0.33902 -0.9728 3.640 1.4650
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-0.5935 0.2031 0.2963 3.483
-3.8228 -0.3481 -6.6336 1.318
4.6712 1.5758 2.4787 2.580
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.6847 0.9711 0.9247 0.7599
-1.0608 -1.5741 -2.7596 -5.0838
2.4824 -3.5454 -3.3106 -3.0231
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.133 2.1549 3.01121 0.4674
3.396 2.1070 -0.88573 -0.2817
1.264 -0.2657 0.08201 0.3405
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.5969 -0.38871 0.7055 -0.03634
0.1911 0.64953 0.1741 1.78362
-1.2989 0.09786 -1.7982 -2.15891
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.5170 0.42777 3.110 1.404
-0.5577 -0.01349 5.345 -2.334
-2.3832 0.56977 -1.298 2.449
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.3376 -2.125 -1.961 1.25271
-0.3857 2.373 3.635 1.89947
-0.7967 1.837 1.503 -0.03421
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.22003 -3.011 0.4076 -0.074162
0.04247 3.087 -0.5089 0.004526
-1.10608 4.166 3.3578 2.980557
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.2265 -1.6563 0.15225 3.3039
2.4403 -2.2112 0.13296 -2.0297
-0.8107 0.0114 -0.04574 -0.3749
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4601 2.7994 -0.3778 4.1609
-0.1256 0.1246 0.9695 1.7792
0.4914 -1.2545 -0.1202 -0.6494
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.8723 1.78257 -0.04694 -1.338
2.3103 -0.02796 2.65856 -2.197
-0.2767 1.18582 -0.37662 -2.483
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.1113 1.085 2.390 2.876
0.3121 1.326 -0.544 1.880
-0.2787 1.641 -1.444 -3.600
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.412 -4.022 1.184 -3.408
-3.476 1.218 -2.518 -1.114
-6.153 -6.624 1.841 -2.920
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.042 -0.1948 0.67153 1.68981
-1.855 0.3155 -2.63831 -0.03481
-1.815 -0.4741 -0.07514 0.36207
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.411 3.5661 0.3061 0.5593
-1.690 3.3058 -0.1581 0.2133
-2.813 -0.2391 1.1624 0.2448
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.2400 -4.284 0.1581 2.717
0.3129 -1.148 1.6404 2.366
0.7666 -1.459 0.3299 2.875
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.1236 0.4606 0.6232 1.0374
0.4630 0.4214 0.6748 1.6209
0.3494 1.3472 0.5753 -0.4341
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.7260 0.7999 1.454 230.9
0.3773 -0.3614 2.206 220.7
-0.1363 -0.8696 2.215 233.5
rnd_95776.volume rnd_95787.volume
4.200 -3.173
5.843 6.746
-3.191 -1.923
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.510 1.401 3.558 1.784 4.379 0.6789 0.9287 1.972 2.437 1.630 1.126
[2,] 1.990 1.665 4.310 2.625 5.940 0.8136 1.1551 2.335 2.995 2.564 1.590
[3,] 2.405 1.900 4.901 3.385 6.730 0.9180 1.2703 2.616 3.305 2.910 1.841
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.477 1.105 1.879 1.699 1.921 1.884 1.586 3.496 2.099 3.994 2.073
[2,] 2.343 1.394 2.457 2.285 2.346 2.608 2.632 4.588 2.913 4.800 2.462
[3,] 2.682 1.621 2.770 2.838 2.773 3.255 3.167 5.363 3.623 5.408 2.804
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.800 2.372 0.8706 1.828 2.121 2.125 1.787 1.026 1.854 2.168 1.193
[2,] 7.979 3.567 1.0423 2.703 2.964 2.591 2.711 1.267 2.500 2.617 1.431
[3,] 9.328 4.468 1.2258 4.040 4.357 2.967 3.476 1.417 3.117 2.965 1.711
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.306 1.828 1.869 2.102 1.666 1.806 0.6523 1.550 0.4664 1.817 1.561
[2,] 2.875 2.775 2.605 2.471 2.289 2.232 0.7869 1.861 0.5737 2.286 2.291
[3,] 3.695 3.154 3.222 2.806 2.546 2.675 0.8760 2.116 0.6601 2.789 2.763
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.438 0.8258 1.837 1.851 2.460 1.354 2.003 2.191 0.9224 1.973 1.802
[2,] 1.735 1.0146 2.352 2.275 2.833 1.752 3.321 2.688 1.1054 2.906 2.510
[3,] 2.129 1.1554 2.835 2.493 3.328 2.014 3.982 2.985 1.2865 3.869 3.322
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.667 0.9565 1.958 0.3731 1.147 0.7982 1.557 1.460 1.734 1.898 0.7013
[2,] 2.461 2.0947 2.240 0.4378 1.902 0.9330 1.891 1.852 2.524 2.770 0.8980
[3,] 2.940 2.7364 2.572 0.5080 2.832 1.0248 2.336 2.111 2.872 3.296 1.0339
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.874 1.672 1.388 0.8229 1.739 1.637 2.177 2.026 2.508 1.662 1.368
[2,] 2.767 2.017 2.487 1.0801 2.104 2.141 2.742 3.157 3.090 2.567 2.566
[3,] 3.227 2.298 3.288 1.2230 2.532 2.522 3.128 3.646 3.422 3.104 3.231
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5212 1.474 1.466 1.168 1.202 1.297 0.5806 1.386 1.300 3.392 3.020
[2,] 0.6638 2.237 1.805 1.851 1.418 1.670 0.7229 2.182 1.567 3.921 3.603
[3,] 0.7386 2.920 2.022 2.762 1.628 1.989 0.8504 2.537 1.775 4.535 4.224
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5360 0.4575 0.8156 0.8347 1.521 0.8934 1.550 8.822 4.879 2.187
[2,] 0.7805 0.8634 1.0741 1.0728 1.785 1.1000 1.907 10.395 7.452 3.350
[3,] 1.0419 1.0865 1.2629 1.2288 2.196 1.2670 2.151 11.750 8.764 4.354
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.917 1.779 4.518 2.265 5.56 0.8621 1.179 2.504
[2,] 413.191 286.907 775.329 613.745 1279.61 142.9576 218.947 398.320
[3,] 430.562 291.530 743.935 681.166 1008.60 135.4959 168.494 376.219
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.095 2.07 1.43 1.875 1.403 2.386 2.158 2.44 2.392
[2,] 554.893 630.71 358.05 579.913 270.729 504.574 486.960 429.41 575.007
[3,] 445.400 438.70 295.83 415.877 263.684 408.154 536.546 471.33 620.866
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.015 4.44 2.665 5.072 2.632 4.825 3.013 1.106
[2,] 669.312 947.17 644.122 848.745 423.587 2236.501 849.238 182.712
[3,] 561.571 885.12 686.352 794.327 427.977 1540.636 857.699 205.657
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.321 2.694 2.698 2.269 1.303 2.355 2.753 1.515
[2,] 634.934 659.654 472.529 650.036 236.729 534.342 467.278 252.146
[3,] 956.969 1018.088 460.597 693.195 202.933 593.403 444.470 298.707
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.928 2.322 2.374 2.669 2.116 2.293 0.8284 1.969
[2,] 547.171 665.294 578.377 413.907 500.463 418.115 140.2841 328.199
[3,] 740.115 477.975 604.311 424.042 355.021 469.848 122.7109 321.150
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.5923 2.307 1.983 1.825 1.049 2.332 2.351 3.124
[2,] 106.4969 441.892 534.560 309.917 187.908 468.655 421.595 447.951
[3,] 104.0907 509.772 492.488 393.275 176.157 504.240 325.087 556.560
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.719 2.543 2.782 1.171 2.506 2.288 2.117 1.215
[2,] 354.768 844.499 496.603 194.201 680.015 556.913 576.921 594.061
[3,] 316.444 700.470 413.912 209.817 814.159 693.762 513.145 561.299
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.486 0.4738 1.456 1.014 1.977 1.854 2.202 2.41
[2,] 346.926 73.0148 483.639 154.005 342.094 362.940 584.521 643.31
[3,] 402.786 82.1005 669.011 135.123 437.126 322.976 436.572 569.16
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.8905 2.38 2.123 1.762 1.045 2.208 2.079 2.764
[2,] 178.8005 649.03 359.842 658.019 223.018 377.757 440.022 531.414
[3,] 163.3300 529.49 351.022 685.287 182.881 448.862 424.566 480.049
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.572 3.185 2.11 1.737 0.6619 1.871 1.861 1.484
[2,] 771.811 575.090 623.84 692.128 131.0409 536.693 335.966 457.663
[3,] 581.768 468.872 555.96 626.040 103.2219 598.358 289.981 653.501
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.527 1.646 0.7372 1.76 1.65 4.308 3.835 0.6807
[2,] 239.341 335.349 137.3154 537.08 279.16 626.650 626.342 180.8556
[3,] 254.977 344.716 142.7674 412.98 265.47 726.233 702.961 220.0064
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.5809 1.036 1.06 1.931 1.134 1.968 11.2 6.196
[2,] 233.4321 222.803 214.84 297.798 204.567 354.159 1752.7 1795.511
[3,] 210.2689 211.734 190.98 407.753 200.424 317.207 1746.6 1470.111
[,98]
[1,] 2.777
[2,] 809.017
[3,] 886.393
[1] "--- VAR model 2017-10-04 19:01:00 completed"
[1] "Completed training sample: 2017-10-04 19:01:00 - 2017-10-05 03:00:00"
[1] "SpVAR; training sample: 2017-10-04 19:31:00 - 2017-10-05 03:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.5932 0.3995 1.3534 -2.010
0.4991 -1.5765 1.8392 4.852
-2.6055 0.1291 -0.8228 4.503
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.766 0.8916 0.3088 -3.3279
-2.303 0.3560 0.5232 2.0048
-1.177 -0.8007 -0.1969 0.4836
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.109 -0.657723 0.6307 -1.297
-2.130 -5.640720 -0.5762 -3.340
-0.433 -0.009435 -1.9293 -2.253
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.8887 -3.5171 -3.866 -3.288
0.9434 -0.5887 -2.115 -3.164
-0.9592 -1.3824 -4.259 -1.251
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.630 1.322 3.029 2.067
-2.281 -4.429 -5.301 -4.271
-4.422 -3.116 1.076 -1.975
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.980 1.1029 9.723 2.027
2.174 0.3252 3.662 4.047
1.306 1.4751 0.292 1.416
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.6160 2.435 1.574 3.494
-1.1258 4.448 6.833 1.370
-0.2872 3.928 2.797 0.158
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.964 2.7380 0.2588 -2.733
5.892 -1.1587 1.2124 -3.991
4.440 0.9917 6.3524 -2.251
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.04853 -7.189 -4.011 -2.924
-0.08703 -2.774 -7.305 -3.626
0.58699 1.644 1.672 -3.458
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.1192 -1.4704 1.259 0.4242
0.1059 1.1090 -3.287 -0.6322
-0.2915 0.1257 3.299 -0.8983
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.5540 0.2402 -1.120 -2.308
-0.8134 0.4175 -1.828 -3.084
2.0465 0.2037 -5.493 -1.559
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3406 -0.6852 1.547 -0.2149
-0.2794 0.5075 1.185 -2.3285
-0.6973 -0.4317 -2.666 -1.0945
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.9531 -0.247192 -4.340 -0.57650
1.1280 -0.009504 8.995 0.07441
2.0154 0.561423 -5.136 1.59672
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.2579 -0.04966 1.244 -1.279
-0.5148 1.27328 -2.264 2.298
1.0790 -0.30455 4.537 4.051
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.8082 1.776 -0.6309 4.2901
0.6775 -2.590 -0.4931 2.6433
-0.4725 -0.257 -0.1408 0.3709
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1752 -0.003473 -2.978 -1.53992
-0.6774 -0.156750 1.201 -0.62847
-0.4039 -1.251741 -2.110 -0.06365
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.279 -0.3772 -1.602 0.3654
-1.445 0.4095 -3.775 1.7475
3.419 0.4464 3.026 2.3294
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.211 -0.25646 -1.3976 -0.01025
-1.891 0.07596 -1.5061 1.11936
1.092 0.66393 -0.3639 -3.20933
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.962 -1.092 -5.119 -2.5450
-2.259 1.299 -0.577 -1.4511
-1.231 -3.467 2.944 0.2649
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.7381 -0.2783 1.010 0.5750
-2.9047 0.4552 -1.967 0.3445
-0.0563 -0.4079 -1.757 0.4432
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.2008 2.1213 -1.571 0.1501
0.9497 2.0398 -1.237 -0.8073
-1.7397 -0.1611 3.048 0.9346
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.2282 -0.01632 1.841 -4.979
-1.7633 -1.00222 6.155 6.361
2.6134 0.77657 3.625 -1.549
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.51920 0.06502 -0.59258 -0.6094
-0.66849 -0.42510 -0.96945 -1.4902
0.07465 -1.21879 0.04539 0.2831
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1554 -1.3910 4.733 235.1
3.2088 0.2036 7.073 228.9
1.7893 0.5238 3.119 247.2
rnd_95776.volume rnd_95787.volume
9.900 2.6727
-3.081 4.7556
-3.884 0.5674
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.413 1.296 3.258 1.588 4.176 0.5541 0.854 1.712 2.084 1.352 1.006
[2,] 1.880 1.558 4.053 2.375 5.488 0.7017 1.074 2.051 2.612 2.317 1.390
[3,] 2.270 1.778 4.583 3.195 6.331 0.7959 1.182 2.316 2.918 2.664 1.631
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.409 1.002 1.714 1.582 1.650 1.759 1.389 3.280 1.939 3.672 1.894
[2,] 2.106 1.205 2.196 2.080 2.032 2.400 2.311 4.211 2.656 4.618 2.276
[3,] 2.412 1.359 2.515 2.638 2.362 2.777 2.770 4.904 3.248 5.181 2.598
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.590 2.316 0.7833 1.744 1.860 2.018 1.476 0.9569 1.615 1.912 1.115
[2,] 7.316 3.280 0.9570 2.543 2.704 2.460 2.411 1.2016 2.164 2.371 1.333
[3,] 8.632 4.118 1.1408 3.730 3.931 2.779 3.247 1.3492 2.807 2.747 1.583
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.087 1.707 1.712 1.804 1.556 1.648 0.5352 1.300 0.4186 1.553 1.412
[2,] 2.652 2.502 2.446 2.247 2.078 2.045 0.6731 1.612 0.5074 2.015 2.021
[3,] 3.375 2.919 3.063 2.509 2.333 2.498 0.7581 1.863 0.5874 2.462 2.485
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.219 0.7702 1.607 1.604 2.282 1.269 1.878 1.927 0.8184 1.884 1.599
[2,] 1.532 0.9460 2.125 1.958 2.663 1.683 3.011 2.307 0.9667 2.744 2.440
[3,] 1.883 1.0821 2.579 2.189 3.104 1.884 3.633 2.658 1.1306 3.524 3.095
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.393 0.8836 1.711 0.3562 1.037 0.7511 1.439 1.341 1.610 1.755 0.6651
[2,] 2.357 1.9091 2.019 0.4229 1.795 0.8844 1.771 1.711 2.262 2.442 0.8495
[3,] 2.801 2.7070 2.274 0.4802 2.626 0.9746 2.129 1.958 2.664 2.954 0.9775
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.747 1.594 1.187 0.7750 1.703 1.457 1.980 1.851 2.129 1.508 1.202
[2,] 2.514 1.890 2.204 0.9989 2.035 1.996 2.505 2.945 2.708 2.374 2.320
[3,] 2.958 2.167 2.921 1.1216 2.390 2.355 2.838 3.352 3.071 2.839 3.001
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4505 1.313 1.160 1.089 1.077 1.203 0.5064 1.233 1.228 2.926 2.808
[2,] 0.5680 2.007 1.398 1.681 1.281 1.564 0.6215 1.880 1.472 3.508 3.459
[3,] 0.6404 2.720 1.560 2.511 1.481 1.817 0.7373 2.236 1.670 4.066 4.042
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.4730 0.4159 0.7132 0.7322 1.448 0.7646 1.459 8.65 4.572 2.130
[2,] 0.7103 0.7883 0.9376 0.9293 1.672 0.9201 1.814 10.33 6.635 3.057
[3,] 0.9385 0.9706 1.0984 1.0807 2.009 1.0528 2.078 11.66 7.869 3.965
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.795 1.645 4.137 2.016 5.303 0.7037 1.084 2.175
[2,] 420.111 293.388 817.672 598.925 1207.407 145.9907 220.972 382.696
[3,] 431.428 290.092 725.268 724.480 1070.464 127.3014 167.308 364.481
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.646 1.717 1.278 1.789 1.273 2.176 2.008 2.095
[2,] 534.209 637.895 325.174 530.870 226.951 465.854 458.038 402.093
[3,] 440.678 446.088 289.658 398.424 212.800 415.680 550.249 408.424
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.233 1.764 4.166 2.462 4.663 2.404 4.559 2.941
[2,] 553.847 626.437 895.524 615.550 949.738 427.938 2161.516 787.554
[3,] 473.450 517.685 852.078 633.739 796.324 425.336 1553.693 844.110
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9947 2.215 2.362 2.563 1.874 1.215 2.051 2.428
[2,] 186.4015 627.523 665.383 476.904 646.484 246.444 488.467 475.344
[3,] 210.5756 925.270 967.575 438.101 737.222 208.050 606.053 470.633
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.416 2.65 2.167 2.174 2.29 1.976 2.093 0.6796
[2,] 247.783 554.68 620.216 592.603 454.67 467.187 410.335 138.4150
[3,] 289.553 707.88 509.907 625.236 378.16 359.399 486.497 118.2851
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.651 0.5315 1.972 1.793 1.548 0.978 2.04 2.036
[2,] 323.179 97.2714 435.492 490.171 314.499 186.305 471.44 380.719
[3,] 316.898 100.3259 479.558 490.235 371.210 178.093 495.75 332.072
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.898 1.611 2.385 2.447 1.039 2.393 2.03 1.768
[2,] 465.285 374.981 797.959 430.365 174.484 676.553 625.21 645.011
[3,] 540.508 287.073 689.168 447.738 198.836 749.558 645.52 512.663
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.122 2.173 0.4524 1.316 0.9537 1.827 1.703 2.045
[2,] 573.837 363.274 77.2905 496.777 158.3591 349.798 360.191 538.793
[3,] 650.771 355.027 77.1145 650.196 138.8345 400.903 322.559 477.309
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.229 0.8446 2.219 2.024 1.507 0.9841 2.162 1.85
[2,] 575.899 179.1837 612.994 344.332 629.813 213.6949 378.061 462.76
[3,] 563.098 163.9957 528.088 359.455 650.084 173.0154 425.165 423.59
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.514 2.35 2.703 1.915 1.526 0.5721 1.668 1.473
[2,] 520.456 776.83 567.676 621.814 673.081 117.2980 514.710 264.510
[3,] 452.185 542.92 491.019 527.731 645.138 100.3165 622.658 234.703
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.383 1.368 1.527 0.6431 1.565 1.559 3.715 3.566
[2,] 434.200 235.053 339.000 122.1517 481.468 275.343 656.410 684.601
[3,] 632.721 251.908 313.611 134.4977 410.003 267.587 697.002 709.155
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.6006 0.5281 0.9057 0.9298 1.838 0.9709 1.852 10.98
[2,] 179.6857 227.0591 206.3591 194.0425 283.292 173.5498 365.776 1916.13
[3,] 207.9813 192.0512 194.0568 187.0539 377.759 173.5433 343.608 1834.27
[,97] [,98]
[1,] 5.805 2.705
[2,] 1630.444 743.481
[3,] 1434.671 856.349
[1] "--- VAR model 2017-10-04 19:31:00 completed"
[1] "Completed training sample: 2017-10-04 19:31:00 - 2017-10-05 03:30:00"
[1] "SpVAR; training sample: 2017-10-04 20:01:00 - 2017-10-05 04:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.7764 1.0189 -1.8153 0.1836
-2.3484 -3.3680 2.8025 4.7222
0.3935 -0.3425 -0.5566 -4.9217
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.692 1.2026 1.0372 -2.1314
-12.053 -0.4619 -1.7121 -5.7449
8.221 -1.6080 -0.5251 0.9875
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.166 -4.056 0.9383 2.221
-4.807 -3.244 -4.3271 -1.183
3.514 -3.100 -0.8935 -3.192
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.707 -2.5795 -5.3728 -1.516
-2.173 0.5747 -0.3454 -6.124
1.162 1.9417 -0.9249 -1.152
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.763 -1.943 3.215 -4.561
-2.386 -9.804 -9.297 4.623
-2.362 -4.151 -1.948 -3.981
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.58537 -2.2573 -7.7514 10.34
3.33922 0.2953 0.5795 -10.10
-0.04728 -3.1273 9.6677 8.37
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.2149 0.6124 0.9684 1.299
-1.4638 -6.6026 1.4430 2.047
0.7521 4.3737 -4.8691 2.382
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.458 -2.513 -0.651 -3.0923
6.051 -2.656 6.408 -0.4755
-5.459 1.043 -1.361 2.3366
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.623 -2.479 -2.393 -5.539
2.299 4.890 -1.334 -2.133
0.712 1.927 4.121 -1.965
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.6474 -2.0989 -5.194 0.03843
5.5320 -2.6504 1.570 -0.48337
0.3748 0.4226 -1.900 0.40477
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.580 0.2666 -2.2153 4.836
-1.685 -1.0162 0.4566 -4.564
-1.294 -1.9164 -3.4132 3.104
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.202 1.696 0.1812 0.9818
2.651 -1.742 -0.1256 0.7186
1.634 1.241 3.0322 0.9995
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.5356 -2.2183 9.3658 1.0743
-0.9884 4.8315 -0.5089 -0.1586
-1.2812 -0.2128 -4.1370 -1.8477
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.0095 1.2029 -0.3499 1.0900
1.2496 1.0202 5.2789 0.4123
0.5071 0.2955 -1.8807 -1.4937
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.771 -1.6957 0.2880 -0.3192
-1.771 0.4656 -0.5360 2.7263
6.762 2.5860 -0.6401 1.9740
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.0000 -0.2572 -3.1663 0.8963
-2.4139 -0.6162 -0.4782 0.6746
-0.6545 2.0045 -1.0945 3.9318
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.6934 -0.8047 -1.320098 -2.500
-1.4143 1.3749 -0.002281 2.602
-5.9614 -0.7318 -1.282488 3.831
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.5925 -0.3586 -1.9232 5.344
-0.3349 -2.0681 -1.0100 -2.148
4.1283 0.6943 0.9595 -0.196
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4117 5.884 -1.872 -0.2546
-0.4995 -1.721 3.498 6.0449
1.5459 -4.382 2.134 -4.5852
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.608 0.2258 -0.6906 2.2226
4.358 -0.1636 2.7991 0.1057
-1.003 -0.1712 2.8652 1.4419
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.517 0.593 -0.6539 0.3498
2.850 1.465 2.7869 -0.5737
5.192 4.399 -1.7235 0.7206
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.9800 0.3272 4.054 7.819
-3.9043 -1.4814 -7.827 -2.007
0.4512 -1.1654 -5.574 -3.417
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.377382 -0.3489 -0.3323 -2.54573
-0.002025 -2.3500 -0.8043 -0.04555
-1.775978 -0.5125 0.2635 0.94197
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.9864 1.6545 -2.8423 271.1
-1.0281 2.8890 -1.2678 242.9
0.5016 -0.8073 0.3982 210.2
rnd_95776.volume rnd_95787.volume
7.022 5.338
1.623 -10.162
-2.233 6.006
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.383 1.173 2.846 1.434 3.858 0.5329 0.7630 1.556 1.906 1.323 0.8993
[2,] 1.785 1.456 3.534 2.126 5.151 0.6593 0.9707 1.893 2.481 2.098 1.2253
[3,] 2.133 1.660 3.994 2.745 5.958 0.7364 1.0837 2.176 2.779 2.466 1.5007
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.346 0.9243 1.665 1.569 1.417 1.677 1.320 2.480 1.909 3.311 1.725
[2,] 2.054 1.0955 2.190 2.063 1.778 2.326 2.201 3.497 2.575 4.199 2.073
[3,] 2.369 1.2612 2.484 2.537 2.066 2.681 2.660 4.077 3.044 4.669 2.356
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.071 2.002 0.7071 1.629 1.724 1.872 1.345 0.8725 1.484 1.732 1.055
[2,] 6.261 2.952 0.8240 2.321 2.447 2.215 2.172 1.1202 2.036 2.227 1.252
[3,] 7.682 3.748 0.9862 3.303 3.489 2.519 2.802 1.2573 2.559 2.524 1.485
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.960 1.623 1.621 1.690 1.489 1.604 0.4573 1.074 0.3811 1.433 1.300
[2,] 2.429 2.328 2.281 2.080 2.008 1.938 0.5909 1.404 0.4604 1.803 1.882
[3,] 3.000 2.743 2.716 2.277 2.258 2.286 0.6697 1.636 0.5350 2.154 2.323
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.138 0.6796 1.469 1.394 2.142 1.124 1.670 1.746 0.7465 1.547 1.498
[2,] 1.361 0.8655 1.919 1.714 2.516 1.518 2.704 2.096 0.8887 2.322 2.267
[3,] 1.717 0.9906 2.290 1.898 2.864 1.737 3.286 2.409 1.0284 3.078 2.891
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.280 0.7774 1.475 0.3168 0.9662 0.7483 1.371 1.193 1.461 1.648
[2,] 2.133 1.7233 1.825 0.3889 1.6407 0.8845 1.647 1.505 2.079 2.296
[3,] 2.599 2.4119 2.064 0.4297 2.4290 0.9834 1.975 1.762 2.424 2.639
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6165 1.563 1.455 1.106 0.6853 1.613 1.362 1.679 1.626 2.032 1.419
[2,] 0.7559 2.234 1.748 2.093 0.8736 1.936 1.894 2.143 2.576 2.601 2.178
[3,] 0.8686 2.576 1.965 2.678 0.9883 2.257 2.202 2.550 3.000 2.898 2.626
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.018 0.3996 1.161 1.042 1.050 1.045 1.066 0.4934 1.119 1.125 2.668
[2,] 2.021 0.5139 1.863 1.254 1.528 1.253 1.450 0.5730 1.804 1.366 3.286
[3,] 2.715 0.5676 2.544 1.444 2.311 1.455 1.685 0.6823 2.175 1.550 3.787
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.731 0.4235 0.3618 0.5914 0.6640 1.438 0.6394 1.379 8.951 4.179
[2,] 3.289 0.6362 0.7383 0.8203 0.8365 1.607 0.7892 1.746 10.820 6.233
[3,] 3.830 0.8712 0.8788 0.9849 0.9680 1.893 0.9394 1.996 12.149 7.369
[,98]
[1,] 1.805
[2,] 2.715
[3,] 3.562
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.757 1.49 3.613 1.821 4.899 0.6767 0.9689 1.975
[2,] 413.562 315.81 768.044 575.360 1251.355 142.3326 219.9761 395.571
[3,] 428.099 292.25 682.150 636.294 1097.724 120.2254 176.6776 393.331
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.42 1.68 1.142 1.71 1.174 2.114 1.993 1.8 2.129
[2,] 582.15 597.03 305.114 568.45 215.558 521.378 491.006 393.3 590.985
[3,] 459.16 474.67 317.672 433.01 229.091 430.305 541.180 385.8 488.421
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.676 3.15 2.424 4.205 2.191 3.9 2.542 0.8979
[2,] 645.504 903.90 633.689 946.567 421.283 2000.2 795.195 155.0618
[3,] 547.564 768.44 594.813 748.821 410.838 1632.1 847.081 198.6725
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 2.069 2.189 2.378 1.707 1.108 1.885 2.2 1.34 2.489
[2,] 606.102 636.450 434.207 625.359 257.566 511.125 513.2 247.36 525.786
[3,] 861.247 911.709 439.531 649.155 209.262 568.459 435.6 292.48 645.305
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 2.061 2.058 2.146 1.891 2.037 0.5807 1.363 0.4839
[2,] 612.135 588.566 444.885 493.683 398.695 137.1739 331.746 94.7365
[3,] 531.447 540.568 339.669 379.238 444.721 115.5756 307.472 99.8791
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 1.82 1.651 1.444 0.863 1.865 1.77 2.72 1.428 2.121
[2,] 401.04 498.951 273.717 196.462 452.397 365.41 484.14 373.866 779.636
[3,] 431.99 499.336 384.098 176.659 458.640 299.08 501.58 309.343 684.434
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 2.217 0.9479 1.965 1.902 1.626 0.9872 1.873 0.4023
[2,] 425.030 176.8317 634.552 623.927 625.575 563.8594 394.196 82.7031
[3,] 435.607 189.7029 740.985 657.576 544.232 618.6329 353.611 67.0007
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.227 0.9502 1.741 1.515 1.855 2.092 0.7829 1.984
[2,] 486.158 172.9008 334.260 336.449 542.036 586.194 160.3176 585.194
[3,] 656.647 157.5502 399.931 336.168 456.986 477.107 156.9153 470.568
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.848 1.405 0.8702 2.048 1.73 2.132 2.065 2.58
[2,] 355.212 651.541 198.6122 392.319 482.31 488.403 732.514 595.03
[3,] 328.878 612.151 169.4631 425.176 411.92 506.709 563.475 468.96
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.802 1.293 0.5074 1.475 1.323 1.334 1.327 1.353
[2,] 605.765 640.088 118.5048 533.914 255.373 406.689 252.963 360.392
[3,] 537.808 664.767 88.3578 635.177 262.449 635.495 271.156 314.459
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 0.6265 1.42 1.429 3.388 3.468 0.5378 0.4594 0.751
[2,] 106.8404 518.73 284.046 702.891 671.549 174.0259 235.9347 208.389
[3,] 135.7765 445.95 268.170 690.071 719.698 218.2163 174.7818 199.874
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.8432 1.826 0.812 1.751 11.37 5.306 2.292
[2,] 186.4797 262.585 169.571 392.658 2228.45 1695.581 743.325
[3,] 178.5747 367.103 186.821 354.549 2026.11 1441.066 845.398
[1] "--- VAR model 2017-10-04 20:01:00 completed"
[1] "Completed training sample: 2017-10-04 20:01:00 - 2017-10-05 04:00:00"
[1] "SpVAR; training sample: 2017-10-04 20:31:00 - 2017-10-05 04:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5385 2.475 -2.1278 -5.405
-1.5953 -2.601 3.2383 1.072
0.2840 1.415 0.6953 -3.478
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.341 0.1816 1.7664 2.620
-1.883 1.0169 0.7630 2.783
2.536 -1.0090 0.6927 2.258
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.052 -2.76724 -0.3211 4.5409
3.984 5.07065 -0.1202 -1.9986
2.313 0.06692 0.6673 -0.5249
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.891 1.856 2.192 -2.170
2.689 -1.237 -0.955 -1.113
-2.662 7.161 9.242 -3.697
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.6029 -6.7388 -0.5143 4.959
4.3838 0.1384 1.9099 -3.286
0.8314 -2.9153 6.8058 9.373
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.3972 3.45862 -5.1610 -0.3856
0.6483 0.04569 0.4932 -1.4678
-0.6614 1.14599 -4.0943 -0.5954
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.5378 1.849 1.843 -3.523
-0.5936 -5.884 -1.145 5.433
-0.9535 3.923 3.748 1.833
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.4132 0.6661 -1.736 0.07468
-0.1632 1.3673 -2.050 0.82665
-3.1599 0.5653 -2.414 -0.65847
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.4579 -0.2720 4.2189 1.242
-2.4393 4.5096 -1.0932 -1.046
2.5271 -0.7107 -0.4715 2.115
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
6.911 2.850 5.3315 0.029607
2.594 1.602 1.7238 -0.008793
2.985 -2.752 0.6005 -1.074872
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.5575 -0.2963 4.779 3.6017
0.7294 -0.9108 -2.162 0.4208
-2.1558 -0.8832 3.825 -4.6115
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.57533 -1.0153 1.587 2.558
-0.02682 1.2659 3.233 -4.257
3.53774 -0.1208 1.258 1.751
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.890 0.6978 1.947 7.3168
5.117 5.3781 -3.694 1.8023
-2.970 0.6560 4.293 0.7634
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.2200 -6.4433 -0.6838 0.8765
-0.4437 6.9609 3.3349 -6.9969
0.2369 0.1321 -1.3213 5.7790
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.1291 0.3975 1.1077 6.48776
2.0022 -1.2255 -0.2729 -3.94954
0.9897 3.3052 0.4262 -0.09437
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5040 3.0199 -1.7950 0.03723
-1.3268 2.6487 0.3666 5.13533
0.5642 0.6954 3.0937 3.51286
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.558 0.3503 -0.01026 -3.58235
-5.202 1.2457 -1.08930 0.03542
2.792 0.0179 0.29358 -0.12873
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.202 0.3687 -3.4216 0.5048
-2.164 -0.5903 0.6401 -0.7193
-1.555 -1.8831 -1.7520 0.3021
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.4211 -1.6472 3.1682 -4.5304
1.6138 -1.0040 -0.9935 -0.4751
0.2737 0.2162 5.7926 -0.8079
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.0323 -0.0005671 4.7166 2.393
0.1999 -0.6434901 -3.9089 -1.994
-0.4360 0.4082870 -0.4751 3.280
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.6624 0.9442 1.6956 0.1527
-3.1241 -0.2424 0.4032 0.5691
-0.9286 1.5944 -1.4788 0.7913
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.224 2.928 -7.876 14.170
3.143 -3.679 -11.889 3.695
-2.866 2.428 -4.635 4.335
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4587 1.1332 0.8654 1.4445
0.3146 -0.1565 1.2546 1.4466
-1.0497 0.6654 0.3187 -0.1824
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.039 1.7558 3.136 233.0
-2.897 -1.8650 5.374 222.6
2.007 -0.6015 3.162 242.7
rnd_95776.volume rnd_95787.volume
-1.876 -1.4835
20.684 1.2272
-10.227 0.2924
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.283 0.9601 2.538 1.301 3.377 0.4833 0.7490 1.439 1.867 1.350 0.9153
[2,] 1.690 1.2765 3.313 2.018 4.605 0.6090 0.8887 1.802 2.386 2.035 1.2505
[3,] 1.995 1.4970 3.779 2.591 5.349 0.6821 1.0040 2.062 2.623 2.395 1.4590
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.307 0.8692 1.552 1.313 1.426 1.554 1.197 2.058 1.921 2.994 1.686
[2,] 1.986 1.0559 2.052 1.772 1.763 2.213 2.012 2.731 2.426 3.994 1.954
[3,] 2.276 1.2027 2.380 2.188 1.988 2.664 2.472 3.278 2.824 4.507 2.212
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.877 1.885 0.6574 1.569 1.642 1.527 1.228 0.7882 1.447 1.705 1.010
[2,] 5.637 2.730 0.7750 2.213 2.338 1.871 2.046 0.9980 1.871 2.150 1.214
[3,] 7.091 3.370 0.8953 3.166 3.221 2.177 2.708 1.1357 2.423 2.400 1.466
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.897 1.499 1.538 1.692 1.458 1.408 0.4130 0.9831 0.3615 1.337 1.293
[2,] 2.333 2.077 2.160 2.057 1.945 1.715 0.5304 1.3035 0.4441 1.639 1.812
[3,] 2.854 2.462 2.593 2.243 2.153 1.961 0.6008 1.5104 0.5107 1.974 2.183
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.079 0.6626 1.417 1.193 2.178 1.090 1.602 1.609 0.6729 1.393 1.338
[2,] 1.285 0.8430 1.886 1.480 2.510 1.407 2.557 1.952 0.8457 2.114 2.040
[3,] 1.568 0.9468 2.200 1.709 2.848 1.613 3.099 2.227 0.9898 2.828 2.586
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.124 0.7533 1.406 0.3423 0.8936 0.7268 1.336 1.127 1.388 1.479
[2,] 1.877 1.5220 1.678 0.3977 1.5172 0.8774 1.571 1.383 2.001 2.153
[3,] 2.380 2.1555 1.871 0.4370 2.1795 0.9537 1.897 1.635 2.292 2.500
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6117 1.378 1.283 1.012 0.6545 1.443 1.278 1.588 1.549 1.703 1.356
[2,] 0.7208 2.058 1.596 1.854 0.7740 1.756 1.797 2.034 2.365 2.160 2.036
[3,] 0.8114 2.428 1.808 2.427 0.8919 2.078 2.081 2.406 2.718 2.416 2.420
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.9514 0.3674 1.039 0.9661 0.9802 0.9861 0.9821 0.4054 1.062 0.9555
[2,] 1.8101 0.4654 1.736 1.1900 1.4099 1.1982 1.3145 0.4820 1.729 1.2228
[3,] 2.4405 0.5139 2.338 1.3675 2.0856 1.3699 1.5657 0.5757 2.000 1.4296
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.417 2.550 0.3758 0.3209 0.4925 0.5865 1.341 0.6019 1.288 9.073
[2,] 3.021 3.051 0.5697 0.6907 0.7238 0.7523 1.487 0.7335 1.603 10.829
[3,] 3.390 3.535 0.8046 0.8089 0.8788 0.8807 1.722 0.8338 1.876 12.370
[,97] [,98]
[1,] 3.832 1.733
[2,] 5.846 2.564
[3,] 6.989 3.249
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.63 1.219 3.223 1.651 4.289 0.6138 0.9511 1.828
[2,] 441.57 337.812 855.081 619.534 1257.073 148.7651 192.0868 435.480
[3,] 425.88 314.083 730.159 653.007 1092.500 123.3958 187.5975 402.586
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.371 1.714 1.162 1.659 1.104 1.971 1.668 1.811
[2,] 596.595 611.862 342.154 600.507 240.742 538.767 477.796 416.194
[3,] 436.983 506.824 301.870 446.445 231.270 484.234 515.255 369.456
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.974 1.52 2.614 2.44 3.802 2.141 3.653 2.394
[2,] 632.357 649.12 720.506 595.13 1061.166 396.929 1946.482 792.795
[3,] 595.514 576.65 728.269 580.65 838.920 416.310 1728.043 793.505
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8348 1.993 2.084 1.939 1.56 1.001 1.837 2.165
[2,] 164.8714 626.670 668.791 433.888 657.30 245.838 476.193 525.764
[3,] 179.9795 909.050 889.479 447.174 712.41 217.663 618.203 428.680
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.283 2.409 1.903 1.953 2.149 1.851 1.788 0.5245
[2,] 270.465 545.547 577.614 608.923 469.323 517.356 393.218 133.6322
[3,] 330.164 659.834 530.547 576.054 359.186 370.490 381.332 113.3073
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.248 0.459 1.697 1.642 1.37 0.8414 1.799 1.514
[2,] 343.712 103.578 380.709 509.571 280.00 209.3094 499.912 352.069
[3,] 306.444 101.244 442.251 488.833 360.90 173.1108 454.676 342.828
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.766 1.384 2.034 2.043 0.8545 1.768 1.699 1.428
[2,] 500.891 357.565 800.308 443.473 205.7350 638.733 618.500 603.329
[3,] 540.425 316.592 702.945 430.966 206.5244 754.222 638.101 587.934
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9566 1.786 0.4347 1.135 0.9229 1.697 1.431 1.763
[2,] 531.0868 367.860 81.3469 492.367 197.4063 331.580 322.098 578.702
[3,] 612.9568 332.406 72.7321 628.344 150.1154 427.484 350.121 448.842
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.878 0.7767 1.749 1.629 1.285 0.8311 1.832 1.623
[2,] 628.185 153.1139 614.093 381.031 623.780 165.9482 401.937 507.632
[3,] 510.666 149.6660 517.154 341.551 629.279 177.9378 446.084 421.397
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.016 1.967 2.163 1.722 1.208 0.4666 1.32 1.227
[2,] 510.289 717.793 533.311 609.950 618.396 114.6833 558.39 278.996
[3,] 516.438 537.665 435.348 525.351 657.347 87.5794 629.21 270.559
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.245 1.252 1.247 0.5148 1.348 1.213 3.069 3.238
[2,] 406.992 273.319 350.855 104.6635 548.165 306.453 728.086 672.871
[3,] 617.131 266.681 341.577 126.4431 403.524 297.375 616.896 716.775
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4772 0.4075 0.6255 0.7448 1.703 0.7643 1.636 11.52
[2,] 171.9452 245.5897 212.9981 189.1527 257.594 168.4031 383.478 2373.87
[3,] 228.1789 169.0982 200.1041 183.9394 349.145 159.1712 390.933 2401.55
[,97] [,98]
[1,] 4.866 2.201
[2,] 1772.701 758.508
[3,] 1538.243 801.219
[1] "--- VAR model 2017-10-04 20:31:00 completed"
[1] "Completed training sample: 2017-10-04 20:31:00 - 2017-10-05 04:30:00"
[1] "SpVAR; training sample: 2017-10-04 21:01:00 - 2017-10-05 05:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.819 -2.156 10.4116 -5.6978
-4.790 -1.439 -14.7911 4.0207
3.270 -2.172 -0.4576 0.1247
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.8454 0.8868 1.943 6.6732
-2.8173 0.1598 1.512 0.3591
-0.4483 -0.4742 -1.275 2.1483
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.798 2.7503 2.7223 -1.5287
2.547 1.9152 1.1845 -3.9798
-4.894 0.4358 -0.3186 -0.3354
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8299 3.024 -2.4389 3.2653
-1.4264 2.044 -0.9272 0.1031
2.4628 4.021 3.8697 -2.8266
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8770 0.7463 -1.203 -11.102
0.6442 -1.2248 -0.499 5.191
1.3109 -2.3795 -3.378 -2.430
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
13.9144 -6.459 -7.741 -2.8592
-12.5748 -3.163 14.491 2.7693
-0.6704 -7.455 -23.800 0.1125
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.363524 6.0417 11.318 -3.676
0.001526 2.3796 -7.259 1.744
0.192026 -0.2444 10.304 1.471
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.790 1.7800 -5.305 -0.712
4.578 0.9088 15.368 -3.197
1.124 -0.7294 -9.272 5.492
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.3810 5.1348 5.4550 -2.313
1.7237 0.1872 -0.5248 -1.360
0.5867 -1.3712 -0.3187 9.586
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4064 0.1715 -6.405 -0.55456
4.3410 2.3746 2.405 0.09087
-1.0608 -3.6787 2.347 -0.85289
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.1345 0.89801 0.3321 -0.1817
1.0065 -0.08207 -6.1046 -3.6915
0.4290 0.55897 2.6625 -5.2563
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.1559 -0.6502 -1.979 0.5585
2.9598 -1.1875 -4.676 0.1463
0.5266 0.1591 -1.531 -1.0499
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.346 -0.2592 2.3356 2.000
3.623 4.8253 -2.2077 -3.953
-1.798 -1.2603 -0.9732 1.761
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4030 4.1567 0.9263 -2.401
-1.1715 -0.8471 2.4876 6.374
-0.4209 2.1066 -1.8547 -4.027
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.2659 -3.0001 0.2318 -1.3928
-0.1221 4.9437 -0.3313 0.9377
3.7436 0.4731 0.2603 1.5644
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.7047 2.797 -0.5226 4.345
-0.5624 3.586 -1.9969 -1.597
-1.4339 -5.152 0.5928 3.176
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.05574 -0.74328 2.185 3.859826
0.08314 -0.45396 -0.282 0.003345
3.75858 0.01422 1.860 1.831699
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.8753 2.2142 -7.070 -0.7894
0.6734 1.6341 -1.019 -4.5791
-0.1576 0.3654 2.912 2.0940
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.106 0.7098 0.6309 4.1745
3.322 -3.7618 -4.1181 -8.2156
-1.043 0.1839 1.0529 -0.3857
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.584 -0.23217 -3.052 1.9081
-2.589 0.02227 4.257 -0.3018
-6.397 0.54254 -9.587 1.4548
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.1735 0.758 2.2824 -0.5084
0.6517 -3.042 -0.1887 -0.2863
0.2814 5.553 -1.1152 1.4466
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.2141 -2.220 -1.7275 1.903
1.4577 -1.671 -0.5281 -2.868
-0.3363 -2.474 0.2761 1.528
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.21462 0.6016 2.0126 1.6117
-0.02897 -0.4611 -0.3099 -0.7491
0.34792 0.5468 0.8560 1.4622
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.73046 1.0508 -1.2787 244.9
-1.15985 0.2879 2.4038 231.9
0.09613 -0.5226 -0.9705 226.0
rnd_95776.volume rnd_95787.volume
-10.453 0.04817
9.482 5.42027
-14.527 -1.25364
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.221 0.8732 2.462 1.147 2.952 0.4204 0.7135 1.595 1.848 1.334 0.9062
[2,] 1.634 1.1332 3.135 1.816 3.997 0.5198 0.8689 1.879 2.324 2.095 1.1984
[3,] 1.874 1.3043 3.610 2.359 4.543 0.5980 0.9911 2.092 2.582 2.416 1.3871
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.337 0.8648 1.474 1.181 1.366 1.499 1.117 1.950 1.648 3.002 1.472
[2,] 2.097 1.0159 2.021 1.775 1.637 2.144 1.996 2.615 2.208 3.829 1.730
[3,] 2.376 1.1354 2.384 2.259 1.830 2.629 2.427 3.037 2.581 4.386 1.978
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.643 1.730 0.5760 1.507 1.619 1.395 1.104 0.7379 1.291 1.761 1.002
[2,] 5.580 2.555 0.6772 2.212 2.271 1.703 1.913 0.9132 1.820 2.078 1.181
[3,] 6.801 3.155 0.7788 3.132 3.128 1.961 2.517 1.0495 2.270 2.312 1.372
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.757 1.441 1.464 1.730 1.447 1.310 0.3755 0.9049 0.3187 1.352 1.308
[2,] 2.182 2.013 2.063 2.048 1.932 1.590 0.4910 1.1605 0.3789 1.653 1.878
[3,] 2.706 2.312 2.411 2.217 2.170 1.823 0.5622 1.2965 0.4426 1.950 2.159
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.039 0.6218 1.309 1.253 1.899 1.014 1.464 1.463 0.6558 1.375 1.321
[2,] 1.242 0.8020 1.760 1.474 2.247 1.301 2.296 1.747 0.8164 2.051 1.953
[3,] 1.472 0.8940 2.055 1.610 2.555 1.474 2.825 1.987 0.9320 2.788 2.449
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.083 0.7362 1.265 0.3561 0.9266 0.7023 1.216 0.9958 1.254 1.416
[2,] 1.801 1.4937 1.524 0.4122 1.5117 0.8324 1.457 1.2382 1.811 2.035
[3,] 2.271 2.0444 1.717 0.4486 2.1109 0.9196 1.707 1.4640 2.100 2.353
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6130 1.262 1.209 0.9671 0.6362 1.397 1.194 1.543 1.557 1.504 1.288
[2,] 0.6982 1.889 1.482 1.7993 0.7285 1.680 1.652 1.948 2.362 1.907 1.967
[3,] 0.8047 2.166 1.649 2.2885 0.8283 1.958 1.869 2.255 2.660 2.154 2.321
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.8805 0.3427 1.056 0.8263 0.9438 0.836 0.9694 0.4262 1.039 0.8624
[2,] 1.6245 0.4275 1.655 1.0352 1.3594 1.031 1.2446 0.5018 1.718 1.1387
[3,] 2.2801 0.4816 2.238 1.1897 1.9962 1.203 1.4587 0.5679 1.998 1.3022
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.238 2.334 0.3269 0.3065 0.4696 0.5831 1.301 0.5026 1.281 9.19
[2,] 2.797 2.764 0.5089 0.6805 0.7136 0.7520 1.494 0.6191 1.595 10.78
[3,] 3.061 3.179 0.7523 0.8216 0.8412 0.8573 1.700 0.7148 1.868 12.46
[,97] [,98]
[1,] 3.515 1.600
[2,] 5.673 2.464
[3,] 6.527 3.086
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.55 1.109 3.127 1.457 3.748 0.5338 0.9061 2.025
[2,] 489.36 325.226 873.840 634.141 1213.943 137.7087 223.2984 447.709
[3,] 412.86 290.815 806.116 677.969 972.244 133.1348 214.6683 413.978
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.346 1.693 1.151 1.697 1.098 1.872 1.5 1.735 1.904
[2,] 634.404 727.318 353.153 727.859 240.105 622.323 596.8 406.222 690.353
[3,] 507.498 541.914 314.503 503.004 228.265 569.334 629.2 367.778 685.273
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.418 2.476 2.092 3.812 1.87 3.356 2.197 0.7314
[2,] 744.670 784.739 661.927 1070.266 409.38 2212.803 846.587 160.3401
[3,] 622.101 695.623 601.576 963.193 431.89 1750.857 833.765 173.2393
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 1.914 2.056 1.771 1.401 0.9371 1.639 2.236 1.273
[2,] 729.095 717.001 440.246 703.619 242.2192 577.947 496.507 281.634
[3,] 998.544 968.715 438.113 736.396 232.8936 610.325 456.817 314.136
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.231 1.83 1.86 2.197 1.837 1.663 0.4768 1.149
[2,] 582.539 632.91 654.60 493.634 576.985 406.137 142.4853 327.179
[3,] 720.960 511.58 561.28 382.628 444.633 401.571 123.2858 260.326
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4047 1.717 1.661 1.32 0.7896 1.662 1.591 2.411
[2,] 92.2761 427.861 606.528 306.42 228.0468 530.076 350.080 541.235
[3,] 103.0246 465.789 480.258 355.75 177.9435 477.416 291.530 547.316
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.287 1.858 1.857 0.8327 1.746 1.678 1.376 0.9348
[2,] 366.961 796.591 429.903 219.0028 685.391 647.691 648.071 585.2915
[3,] 312.431 740.953 426.981 202.4273 850.130 665.001 623.093 628.5517
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.606 0.4522 1.177 0.8918 1.544 1.265 1.593 1.798
[2,] 383.252 93.4811 537.840 201.2655 361.586 331.346 588.349 658.216
[3,] 356.416 79.7337 663.487 176.0408 400.106 351.795 478.696 531.740
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7784 1.603 1.535 1.228 0.8079 1.774 1.516 1.959
[2,] 150.5618 633.040 385.845 683.247 159.7651 420.341 514.372 535.498
[3,] 180.1423 476.547 325.782 636.783 177.5659 453.321 393.259 511.743
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 1.977 1.91 1.635 1.118 0.4352 1.341 1.049 1.199
[2,] 799.909 527.98 669.860 614.766 115.0803 573.920 280.807 440.530
[3,] 550.773 451.31 554.446 720.499 99.8633 678.217 263.993 658.290
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.062 1.231 0.5412 1.32 1.095 2.842 2.964 0.4151
[2,] 271.503 351.498 119.3179 616.00 334.854 755.840 666.464 175.6185
[3,] 279.565 342.549 119.6644 458.98 284.524 559.321 707.080 249.5251
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.3892 0.5963 0.7404 1.652 0.6383 1.627 11.67 4.464
[2,] 273.6161 241.9799 213.8706 330.511 162.7886 427.875 2537.42 2005.129
[3,] 207.2743 200.5340 185.3988 365.888 160.8424 437.368 2812.52 1453.374
[,98]
[1,] 2.032
[2,] 843.851
[3,] 836.313
[1] "--- VAR model 2017-10-04 21:01:00 completed"
[1] "Completed training sample: 2017-10-04 21:01:00 - 2017-10-05 05:00:00"
[1] "SpVAR; training sample: 2017-10-04 21:31:00 - 2017-10-05 05:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.07045 -2.185 -14.500 10.737
7.07068 -1.428 -5.229 -5.835
1.94888 -6.053 -7.048 -4.642
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
14.6177 0.08037 2.0563 11.828
-0.2561 -0.18970 -0.1295 11.941
-3.6749 -0.43404 1.6794 7.342
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.9103 -1.908 4.453 -5.446
11.0150 13.301 4.158 -12.891
3.1891 6.581 6.122 -4.567
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.501 6.027 7.075 1.577
2.016 -4.666 -4.069 5.372
3.325 16.009 12.623 -6.282
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.851 5.303 15.2318 15.498
5.437 8.140 11.7582 18.020
-2.447 4.183 0.2835 7.104
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.0550 -0.9323 7.326 -3.288
-10.5591 1.7061 -4.402 7.480
0.5335 1.0909 -19.557 -6.852
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.7132 5.06317 13.088 -7.3032
2.2886 0.06571 -10.362 3.5111
-0.9309 -1.71709 2.747 0.8847
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
11.5812 -2.402 5.071 3.058
-1.1168 1.495 3.394 -6.448
-0.1794 1.911 -9.070 -6.448
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
6.342 3.731 -2.211 -17.15
-1.755 2.775 2.666 12.71
2.942 -4.221 -7.892 -2.35
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
20.969 3.47562 3.514 -1.2137
-3.507 -3.49759 3.792 1.2246
7.660 -0.05648 1.479 -0.6313
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
9.487 -0.6731 8.561 7.519
3.058 2.7523 -10.258 1.971
5.465 -2.0647 9.918 -10.620
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.551 4.1446 1.799 -6.916
8.773 0.8540 5.119 2.734
3.805 0.1191 -1.978 -2.901
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-6.295 2.0895 6.619 -1.882
4.807 0.3482 -14.435 4.313
-7.317 1.6444 12.746 -2.354
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.18237 -2.061 -2.942 -3.1595
-3.13876 4.442 6.058 0.2504
0.03591 -9.710 -11.815 1.1955
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.077 -0.2561 1.585 -1.023
3.411 0.5046 2.213 -1.826
-1.271 0.5219 1.718 1.883
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2128 14.629 1.351 9.505
3.2935 1.586 2.628 11.464
0.2444 3.748 -2.089 -1.591
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.6691 -2.593 1.655 -7.774
14.8106 5.830 14.572 1.880
5.5494 2.939 3.578 -7.470
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.023 2.8598 5.8311 -8.219
15.501 -1.5787 0.6636 7.275
8.577 0.2729 2.3681 -3.102
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.360 -11.8690 5.274 0.06359
-3.511 4.3835 1.837 4.95490
-10.646 -0.7885 1.922 -3.02308
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.375 2.2465 6.6586 3.159
-4.715 0.9262 -1.6233 -3.571
1.642 0.7864 0.4624 1.711
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.167 -0.3590 1.931 0.5728
1.711 -0.9934 2.939 -0.2511
-5.679 0.9225 -1.023 0.3576
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.336 -1.871 -5.4892 7.486
9.004 -2.857 -5.4100 -10.641
-4.719 -5.734 0.5122 -6.408
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.66439 -0.1100 -1.174 0.1428
-0.52300 0.8622 4.003 0.9749
0.05341 -0.2558 -5.774 -4.4490
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.631 2.086 3.665 241.2
-3.919 -3.005 7.779 267.0
3.608 2.018 3.394 217.8
rnd_95776.volume rnd_95787.volume
-42.422 -3.361
2.963 5.383
-22.153 -5.126
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.268 0.8429 2.375 1.188 2.503 0.3995 0.7437 1.579 1.833 1.387 0.9072
[2,] 1.611 1.0142 3.107 1.828 3.357 0.4828 0.9102 1.845 2.357 2.115 1.1496
[3,] 1.826 1.1721 3.501 2.361 3.942 0.5514 1.0142 2.069 2.644 2.437 1.3555
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.347 0.8982 1.391 1.114 1.336 1.513 1.096 1.922 1.647 2.968 1.461
[2,] 2.076 1.0264 2.022 1.684 1.526 2.110 1.900 2.681 2.205 3.740 1.715
[3,] 2.361 1.1436 2.378 2.210 1.696 2.625 2.304 3.121 2.577 4.200 1.965
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.645 1.678 0.5058 1.500 1.570 1.316 1.221 0.7100 1.243 1.711 0.9818
[2,] 5.266 2.506 0.6392 2.209 2.228 1.606 1.924 0.8904 1.844 2.017 1.1348
[3,] 6.593 3.117 0.7253 3.063 3.029 1.832 2.524 1.0182 2.312 2.290 1.2896
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.750 1.423 1.358 1.712 1.403 1.259 0.3800 0.8202 0.2900 1.345 1.218
[2,] 2.169 2.022 2.119 2.079 1.896 1.553 0.4777 1.0342 0.3587 1.643 1.878
[3,] 2.616 2.409 2.526 2.256 2.124 1.752 0.5416 1.2209 0.4253 1.911 2.190
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.002 0.5932 1.307 1.169 1.866 1.082 1.356 1.300 0.7025 1.336 1.244
[2,] 1.209 0.7614 1.791 1.369 2.138 1.304 2.059 1.560 0.8536 1.972 1.852
[3,] 1.410 0.8634 2.053 1.515 2.389 1.459 2.550 1.829 0.9373 2.489 2.299
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.211 0.7038 1.246 0.3795 0.8886 0.7150 1.233 0.9713 1.163 1.433
[2,] 1.892 1.3979 1.495 0.4342 1.4578 0.8093 1.438 1.1953 1.716 2.112
[3,] 2.418 1.9168 1.663 0.4834 1.9897 0.9098 1.744 1.4028 1.977 2.382
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5966 1.276 1.165 1.119 0.5714 1.427 1.237 1.479 1.605 1.484 1.253
[2,] 0.6862 1.831 1.441 1.827 0.6654 1.675 1.613 1.903 2.393 1.831 2.071
[3,] 0.7756 2.099 1.607 2.320 0.7752 1.900 1.817 2.212 2.677 2.037 2.356
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.9358 0.3138 0.9666 0.7504 0.9847 0.8391 0.903 0.3801 1.026 0.8737
[2,] 1.6821 0.3877 1.5105 0.9380 1.3829 0.9951 1.179 0.4802 1.644 1.0589
[3,] 2.1948 0.4354 2.2108 1.0754 2.0762 1.1449 1.389 0.5437 1.937 1.1973
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.179 2.204 0.3288 0.2922 0.4478 0.5354 1.275 0.4947 1.269 9.191
[2,] 2.744 2.628 0.4834 0.6191 0.6386 0.6822 1.432 0.5992 1.570 10.941
[3,] 2.989 2.940 0.7166 0.7341 0.7524 0.7948 1.615 0.6879 1.835 12.526
[,97] [,98]
[1,] 3.479 1.540
[2,] 4.959 2.373
[3,] 5.911 3.020
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.611 1.07 3.016 1.508 3.178 0.5072 0.9444 2.006
[2,] 490.384 278.56 989.432 686.462 1105.092 133.9056 259.1329 470.649
[3,] 424.872 290.17 797.104 738.148 1020.000 131.5379 220.9727 462.765
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.327 1.761 1.152 1.711 1.141 1.766 1.414 1.697
[2,] 731.967 788.510 348.724 780.275 245.289 724.572 624.084 364.137
[3,] 591.627 598.702 354.730 554.897 249.165 618.656 706.329 366.001
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.922 1.392 2.441 2.091 3.769 1.855 3.359 2.131
[2,] 726.232 766.237 923.322 724.190 1124.124 443.682 2249.020 919.469
[3,] 770.929 643.862 788.906 658.335 944.404 473.559 1959.281 915.215
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6423 1.905 1.994 1.671 1.55 0.9016 1.578 2.173
[2,] 193.0260 800.918 780.716 454.913 734.21 265.3516 673.102 527.346
[3,] 169.2991 1047.992 1013.221 435.768 807.25 243.9185 688.320 535.600
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.247 2.222 1.807 1.725 2.174 1.782 1.599 0.4825
[2,] 281.079 633.301 709.214 803.075 582.606 629.945 448.550 142.9736
[3,] 302.570 721.594 647.495 679.861 433.010 472.490 401.066 126.0646
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.042 0.3682 1.708 1.547 1.272 0.7533 1.659 1.485
[2,] 311.114 104.2906 466.082 705.514 334.304 235.7597 604.709 351.719
[3,] 320.511 112.8566 481.968 556.682 358.372 201.0044 496.493 320.106
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.37 1.373 1.722 1.651 0.8921 1.697 1.58 1.538
[2,] 515.70 359.379 765.343 426.360 239.4463 716.003 677.59 718.020
[3,] 525.63 324.122 742.846 471.064 191.2395 750.123 673.21 743.419
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.8937 1.582 0.482 1.128 0.9079 1.566 1.233 1.477
[2,] 596.5063 408.273 104.118 570.818 187.2611 365.684 344.055 623.255
[3,] 647.7756 359.811 104.966 668.802 205.2352 486.733 362.671 484.232
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.82 0.7576 1.62 1.479 1.421 0.7257 1.812 1.571
[2,] 765.94 167.4330 648.70 419.018 713.152 168.3511 433.197 511.023
[3,] 544.38 178.6208 506.44 351.747 705.904 196.4378 443.055 413.613
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.877 2.038 1.884 1.591 1.188 0.3984 1.227 0.9529
[2,] 591.421 876.832 530.249 814.026 690.373 112.4627 573.267 277.9634
[3,] 557.121 592.548 440.501 555.410 696.314 97.8502 797.295 259.8004
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.25 1.065 1.147 0.4827 1.303 1.109 2.767 2.799
[2,] 479.56 264.187 374.310 144.9480 634.240 295.437 823.710 706.451
[3,] 764.89 279.726 362.386 125.9292 505.975 275.982 585.467 651.845
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4175 0.371 0.5686 0.6798 1.619 0.6281 1.612 11.67
[2,] 174.9913 269.571 224.8716 208.7992 321.930 167.0405 456.237 2932.28
[3,] 261.2936 194.831 196.5351 201.4231 368.767 166.9098 468.985 3012.25
[,97] [,98]
[1,] 4.418 1.956
[2,] 1745.545 891.814
[3,] 1588.366 922.475
[1] "--- VAR model 2017-10-04 21:31:00 completed"
[1] "Completed training sample: 2017-10-04 21:31:00 - 2017-10-05 05:30:00"
[1] "SpVAR; training sample: 2017-10-04 22:01:00 - 2017-10-05 06:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-16.979 1.122 2.927 -14.7047
13.145 -4.568 -1.734 9.2422
-1.826 -0.222 7.806 -0.4826
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.0318 -3.1548 0.08695 9.6854
-0.4703 2.3435 1.96891 -3.2641
-2.9661 0.9938 3.76332 -0.7664
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.445 -10.805 7.130 -2.261
1.510 2.539 5.741 9.653
13.388 8.960 -9.196 -5.541
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.563 -3.310 -0.2067 -7.753
9.243 4.117 -1.5271 2.705
-2.830 -3.723 6.6801 -5.884
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-15.579 -2.496 3.542 22.798
1.327 -3.500 11.584 -5.272
9.997 -1.414 -4.296 -6.054
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
23.248 6.901 -3.974 -1.517
7.912 6.489 18.164 -6.380
1.766 -2.309 3.421 17.982
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.6853 1.634 7.427 16.884
0.9835 5.853 -5.666 0.361
-1.3295 5.316 1.925 -3.254
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.16 6.1381 -26.6934 -7.181
10.43 0.7258 0.8032 17.495
18.92 -1.1270 2.1322 10.026
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.219 -28.257 4.362 10.8010
4.509 5.433 -20.831 -33.9468
1.240 19.966 -9.196 -0.8718
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
16.358 16.415 8.934 4.9869
-3.039 1.027 2.913 -1.2136
-9.027 -7.107 -6.448 0.0797
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.588 -0.5266 7.872 -4.727
6.126 1.5634 -3.845 6.571
4.763 1.9378 9.013 -3.979
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
15.726 2.838 18.790 -7.8734
-3.686 3.756 0.539 -0.2632
-4.357 2.803 -5.048 1.5315
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.747 -4.3147 -0.2316 8.68132
3.672 1.8856 14.3505 -0.03498
-13.054 0.2385 8.8613 3.60294
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.41165 -5.498 -6.786 5.782
0.07789 15.532 8.287 -7.988
-0.73810 9.674 9.339 13.461
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.721 15.753 7.213 5.9384
-1.645 4.149 -3.661 -9.5602
9.668 3.510 -3.376 0.6539
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.9303 15.64920 0.7043 3.478
5.8187 -4.67112 13.9176 4.134
-0.5675 -0.07197 3.4075 8.321
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.6840 -1.1597 3.479 -4.660
12.9550 1.5565 20.072 -2.839
-0.1935 0.4998 -4.001 10.237
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.644 1.363 -9.476 -15.198
-1.638 -2.630 -2.611 2.589
17.238 4.390 6.743 -7.770
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.027 -3.651 0.7655 6.028
5.422 10.626 -5.9300 -17.884
-16.103 -17.418 1.4146 8.199
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.2994 0.1374 -5.990 -6.293
-5.9888 -1.2109 7.309 -2.347
-0.5762 0.2627 -7.726 9.347
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.238 7.633 -7.2911 4.454
3.336 -4.049 -0.6989 6.448
-10.933 -1.323 6.4451 -4.609
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.381 1.1124 -2.042 -24.96
4.211 -3.5557 17.945 16.48
-6.858 -0.6722 -8.056 21.19
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.474 4.5660 5.3203 2.7709
8.293 -0.1308 1.2971 5.7379
-2.126 2.0578 0.4259 -0.5148
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.094 -0.09834 2.7676 297.4
-7.469 1.06172 0.1554 246.8
14.316 -1.04950 0.8672 231.6
rnd_95776.volume rnd_95787.volume
14.95 -4.0166
16.62 -0.4978
-35.17 15.2687
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.349 0.7175 2.692 1.196 2.46 0.3477 0.7754 1.585 1.898 1.496 0.9423
[2,] 1.790 0.8368 3.290 1.857 3.32 0.4297 0.9158 1.852 2.365 2.246 1.2078
[3,] 1.997 0.9783 3.638 2.454 3.92 0.4993 0.9942 2.096 2.696 2.520 1.4358
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.003 0.9101 1.595 1.213 1.323 1.531 1.056 1.958 1.685 3.264 1.453
[2,] 2.730 1.0270 2.088 1.795 1.565 2.114 1.874 2.773 2.249 3.908 1.706
[3,] 3.208 1.1252 2.488 2.251 1.751 2.515 2.320 3.208 2.613 4.352 1.919
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.590 1.762 0.4888 1.620 1.643 1.328 1.366 0.6270 1.154 1.812 0.9892
[2,] 5.877 2.650 0.6234 2.330 2.179 1.669 2.207 0.8141 1.852 2.112 1.1830
[3,] 7.085 3.247 0.6980 3.257 3.342 1.882 2.853 0.9375 2.416 2.402 1.3286
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.796 1.475 1.417 1.689 1.226 1.222 0.3663 0.8141 0.2752 1.438 1.214
[2,] 2.290 2.094 2.218 2.070 1.692 1.510 0.4538 0.9790 0.3753 1.720 1.925
[3,] 2.893 2.453 2.662 2.309 1.932 1.670 0.5200 1.1349 0.4333 2.064 2.259
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9345 0.6284 1.427 1.135 1.830 1.084 1.354 1.265 0.6739 1.297 1.224
[2,] 1.1487 0.7763 1.863 1.291 2.095 1.286 2.030 1.440 0.8099 1.910 1.741
[3,] 1.3848 0.8752 2.172 1.398 2.312 1.431 2.530 1.661 0.9039 2.525 2.153
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.162 0.7011 1.138 0.3935 0.8846 0.7149 1.259 0.9948 1.085 1.387
[2,] 1.778 1.3268 1.394 0.4710 1.3875 0.8295 1.422 1.2079 1.645 2.073
[3,] 2.209 1.7779 1.565 0.5388 1.8911 0.9399 1.667 1.3932 1.882 2.303
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5771 1.232 1.105 1.442 0.5714 1.408 1.370 1.386 1.707 1.535 1.222
[2,] 0.7036 1.849 1.361 2.133 0.6685 1.668 1.799 1.767 2.302 1.860 2.046
[3,] 0.7837 2.103 1.507 2.636 0.7747 1.880 2.009 2.071 2.642 2.108 2.406
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 0.9738 0.3006 0.9715 0.6387 0.9511 0.8637 0.9184 0.4164 1.043 0.7365
[2,] 1.7628 0.3685 1.4990 0.8474 1.3261 0.9952 1.1367 0.4978 1.585 0.8684
[3,] 2.1816 0.4076 2.1763 0.9902 2.0550 1.1465 1.3455 0.5605 1.858 0.9910
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.251 2.197 0.3234 0.2644 0.4499 0.5017 1.182 0.4539 1.263 9.401
[2,] 2.755 2.639 0.4857 0.5442 0.6173 0.6411 1.321 0.5724 1.503 10.916
[3,] 3.009 3.059 0.6606 0.6467 0.7223 0.7309 1.556 0.6541 1.781 12.678
[,97] [,98]
[1,] 3.536 1.649
[2,] 4.991 2.518
[3,] 5.992 3.150
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.713 0.9111 3.419 1.519 3.123 0.4416 0.9846 2.012
[2,] 614.349 224.9777 987.679 742.554 1164.911 131.8935 254.6468 501.122
[3,] 462.699 264.8829 812.105 837.768 1089.242 132.9238 202.2774 512.241
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.41 1.899 1.197 2.543 1.156 2.025 1.54 1.681 1.944
[2,] 737.04 875.639 394.803 969.273 248.632 704.003 691.14 436.532 761.316
[3,] 677.08 596.664 405.762 880.389 240.226 707.033 709.85 409.793 712.429
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.34 2.487 2.139 4.145 1.845 3.289 2.238 0.6207
[2,] 809.35 1025.545 778.471 1123.038 467.194 2757.008 1034.526 202.1703
[3,] 714.64 843.375 695.687 1000.063 459.618 2068.066 979.987 164.0908
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.057 2.087 1.687 1.734 0.7962 1.465 2.301 1.256
[2,] 875.208 748.026 528.358 905.871 271.3849 757.104 566.983 339.054
[3,] 1189.181 1324.114 453.807 944.963 242.9227 810.910 598.333 315.990
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.281 1.872 1.799 2.144 1.557 1.552 0.4652 1.034
[2,] 742.507 776.837 892.015 625.353 609.084 463.354 139.9829 284.140
[3,] 923.873 668.261 769.064 534.620 487.352 373.467 132.6598 299.984
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.3495 1.826 1.541 1.187 0.7979 1.812 1.441 2.324
[2,] 133.3371 493.157 780.420 349.075 238.1842 625.940 321.239 533.526
[3,] 113.1771 595.716 618.160 404.195 211.2487 583.374 280.159 510.268
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.377 1.72 1.607 0.8557 1.647 1.554 1.476 0.8903
[2,] 361.055 790.43 359.088 234.7621 732.611 647.307 703.176 588.6713
[3,] 328.596 788.95 433.161 209.7289 863.324 662.211 685.329 618.3772
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.446 0.4997 1.123 0.9079 1.599 1.263 1.378 1.761
[2,] 420.224 135.2596 558.605 219.7717 344.925 358.039 645.826 805.288
[3,] 372.237 136.7623 671.513 231.0064 454.704 362.748 478.182 523.826
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7329 1.564 1.403 1.831 0.7256 1.788 1.74 1.76
[2,] 210.3157 720.858 414.627 821.241 181.2795 467.991 609.52 573.12
[3,] 180.3845 522.869 338.949 810.003 204.6676 452.495 467.29 563.64
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.167 1.949 1.552 1.237 0.3817 1.234 0.8111 1.208
[2,] 807.385 548.952 857.812 767.860 111.4104 596.598 291.0462 482.877
[3,] 677.349 518.369 661.189 671.642 90.9603 824.481 267.6935 820.370
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.097 1.166 0.5288 1.324 0.9353 2.858 2.79 0.4107
[2,] 258.388 350.006 142.5346 623.842 240.3850 830.447 763.89 189.3593
[3,] 297.469 376.176 134.6017 506.298 249.5508 631.962 808.65 233.9499
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.3357 0.5713 0.6371 1.501 0.5764 1.603 11.94 4.491
[2,] 248.5502 220.8304 208.5654 308.770 182.2257 426.156 2898.78 1840.205
[3,] 182.5739 196.0637 183.4990 429.687 165.4631 499.354 3369.69 1732.858
[,98]
[1,] 2.094
[2,] 994.129
[3,] 989.269
[1] "--- VAR model 2017-10-04 22:01:00 completed"
[1] "Completed training sample: 2017-10-04 22:01:00 - 2017-10-05 06:00:00"
[1] "SpVAR; training sample: 2017-10-04 22:31:00 - 2017-10-05 06:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
16.63 5.123 24.27 3.181
-13.75 -0.883 12.48 -27.086
19.21 -5.140 24.80 -3.297
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.9273 -0.1594 4.433 -18.52
0.6218 0.9613 4.035 17.96
-33.3723 -1.4698 1.364 11.77
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.762 0.1848 -2.2076 -20.064
13.245 -7.0866 0.4714 -31.036
9.255 8.4649 12.7351 -4.256
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2097 4.418 8.0009 17.488
4.8492 -9.770 -0.8027 4.341
-2.4347 15.920 -4.1316 2.730
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
6.196 11.831 3.028 -10.10
16.831 11.341 17.340 10.69
-5.416 -5.856 1.578 12.28
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
34.22 -4.033 -48.43 -15.803
32.22 -3.067 50.51 4.201
27.80 6.475 38.23 30.284
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.627 -19.36 3.607 -3.221
-0.244 -18.95 -33.355 6.808
1.325 34.94 25.559 -1.163
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
25.888 3.6538 34.17 1.641
-38.316 4.0017 -19.04 6.056
-2.313 -0.1855 -33.64 2.998
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
13.855 -8.392 -9.366 -1.278
7.858 2.667 8.312 12.153
-10.797 -32.515 -9.928 2.379
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.980 15.369 -0.979 2.097
4.056 3.906 -1.757 1.767
10.099 -2.250 -2.078 -1.235
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.810 2.490 -1.537 -5.845
1.326 -4.060 -9.590 -6.630
-0.205 2.091 7.754 -9.912
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.5594 1.920 -6.109 14.1864
-2.3960 -4.366 -5.716 -0.1861
-1.7855 3.335 -11.096 -7.1731
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.8621 8.47260 -15.394 7.318
-5.9403 7.38754 -1.491 1.303
6.7725 -0.03751 -1.867 4.526
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.0097 -6.844 -13.145 -2.320
-0.6255 -13.964 -8.272 -11.281
0.6373 3.998 11.253 -4.039
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.95 -1.241 -7.277 -10.39
-9.57 -2.291 -3.952 14.49
-11.10 11.616 -0.819 -17.04
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.335 -0.3786 6.7351 2.182
-11.136 4.9337 -6.4552 -4.301
-2.607 4.2608 0.9011 7.190
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.615 -2.3947 5.087 19.039
-3.182 -1.1677 3.007 -4.797
4.891 0.2803 2.415 -7.346
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
21.642 -0.2003 14.613 -25.276
-4.052 6.1462 -5.343 19.160
-6.603 -2.3683 15.515 -3.551
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.516 -1.721 8.509 -2.103
11.206 19.651 -15.726 12.516
6.752 -3.355 6.700 -8.009
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-11.418 1.1084 -18.5068 -1.1125
-1.893 0.7465 -0.5982 5.0919
22.052 -1.2519 11.5912 -0.9369
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.533 -6.661 -1.3280 -2.6776
0.191 -9.160 0.0795 0.8854
6.602 5.235 -1.8817 2.1040
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.605 1.007 -4.338 9.830
25.245 4.128 10.857 -4.579
-8.684 -6.935 -32.511 -23.537
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.6530 3.555 -0.6008 1.9261
2.3607 4.998 0.5212 -0.7496
-0.5724 -6.306 0.7994 0.2542
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.829 -7.7630 -5.3336 237.3
-1.603 3.5224 -0.3633 264.5
-9.906 0.7215 1.5536 219.2
rnd_95776.volume rnd_95787.volume
-42.194 -32.457
14.432 4.148
4.452 34.200
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.370 0.7441 2.623 1.286 2.399 0.3243 0.7925 1.923 2.155 1.511 1.024
[2,] 1.761 0.8692 3.236 2.026 3.201 0.3890 0.9437 2.255 2.623 2.307 1.279
[3,] 2.039 0.9574 3.630 2.569 3.794 0.4446 1.0452 2.609 3.123 2.721 1.484
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.095 0.9534 1.803 1.441 1.285 1.630 1.167 2.029 1.600 3.337 1.417
[2,] 2.849 1.0753 2.343 2.091 1.517 2.265 1.941 2.793 2.167 3.955 1.683
[3,] 3.521 1.1816 2.823 2.611 1.780 2.761 2.489 3.338 2.605 4.474 1.885
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.894 2.011 0.4659 1.688 1.757 1.309 1.389 0.6029 1.243 1.749 0.9875
[2,] 5.773 2.807 0.5836 2.385 2.488 1.661 2.273 0.7426 1.967 2.087 1.1995
[3,] 7.009 3.330 0.6695 3.289 3.450 1.862 2.904 0.8626 2.571 2.361 1.3458
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.839 1.524 1.406 1.701 1.232 1.242 0.3664 0.8093 0.2958 1.427 1.266
[2,] 2.311 2.101 2.209 2.059 1.704 1.444 0.4548 0.9768 0.3793 1.751 1.868
[3,] 2.931 2.542 2.716 2.290 1.910 1.587 0.5202 1.1324 0.4448 2.032 2.247
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9216 0.6498 1.436 1.019 1.748 0.9914 1.327 1.182 0.6735 1.213 1.310
[2,] 1.1320 0.7831 2.031 1.272 2.027 1.1490 1.999 1.371 0.8304 1.854 1.774
[3,] 1.3229 0.9003 2.286 1.443 2.221 1.3096 2.495 1.576 0.9298 2.427 2.205
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.167 0.7653 1.099 0.4251 0.9256 0.7386 1.243 0.991 1.031 1.328
[2,] 1.744 1.3709 1.332 0.4905 1.4255 0.8584 1.406 1.217 1.622 2.025
[3,] 2.094 1.7884 1.448 0.5653 1.8793 0.9427 1.699 1.333 1.830 2.298
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5849 1.151 1.072 1.817 0.5868 1.506 1.344 1.424 1.646 1.464 1.323
[2,] 0.6952 1.671 1.279 2.511 0.6852 1.829 1.836 1.746 2.272 1.807 2.188
[3,] 0.7854 1.949 1.425 3.003 0.7787 2.039 2.145 2.022 2.690 2.035 2.667
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.043 0.2947 1.024 0.6321 1.048 0.8758 0.9122 0.4372 1.116 0.7638
[2,] 1.740 0.3598 1.521 0.7669 1.413 1.0357 1.0773 0.5267 1.681 0.9169
[3,] 2.279 0.3947 2.197 0.9087 2.105 1.2031 1.2507 0.5724 1.911 1.0016
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.115 2.411 0.3271 0.2899 0.4147 0.4361 1.169 0.4365 1.258 9.641
[2,] 2.597 2.839 0.4198 0.4468 0.5370 0.5515 1.329 0.5593 1.506 11.027
[3,] 2.946 3.065 0.5419 0.5400 0.5986 0.6109 1.546 0.6111 1.736 12.641
[,97] [,98]
[1,] 3.630 1.806
[2,] 4.999 2.679
[3,] 6.094 3.278
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.74 0.9449 3.331 1.633 3.046 0.4119 1.006 2.442
[2,] 581.58 236.1451 996.463 822.494 1113.840 112.8502 269.366 618.862
[3,] 540.26 211.0293 864.201 830.516 1070.868 113.2590 236.117 690.299
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.737 1.918 1.3 2.66 1.211 2.289 1.83 1.632 2.07
[2,] 785.832 916.579 403.3 1015.36 261.331 786.615 796.23 423.951 826.69
[3,] 891.429 758.804 395.1 1087.69 257.458 828.033 822.64 489.202 830.24
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.482 2.576 2.032 4.238 1.799 3.675 2.554 0.5916
[2,] 815.494 1008.893 768.265 1115.359 477.545 2625.436 1029.585 184.8026
[3,] 818.831 961.156 759.985 1099.134 446.561 2090.047 941.896 172.4215
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.143 2.231 1.662 1.764 0.7656 1.578 2.22 1.254
[2,] 885.851 925.913 537.001 945.409 227.8917 801.420 598.50 357.911
[3,] 1190.128 1256.760 442.933 950.522 230.7127 870.396 581.20 320.745
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.336 1.935 1.785 2.161 1.565 1.577 0.4653 1.028
[2,] 735.231 760.174 895.941 609.869 618.724 387.280 141.6090 287.516
[3,] 947.674 752.563 830.125 526.134 453.362 345.799 132.7012 301.123
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.3756 1.812 1.608 1.17 0.8252 1.824 1.295 2.22
[2,] 124.7961 533.622 722.216 345.55 229.7335 755.031 400.122 538.97
[3,] 122.0868 541.580 656.216 359.82 233.5052 551.548 357.697 477.88
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.259 1.685 1.501 0.8553 1.54 1.663 1.481 0.9718
[2,] 305.366 785.847 365.120 255.3165 737.10 629.376 681.794 597.8791
[3,] 330.277 784.462 408.709 219.8821 823.14 688.392 608.999 603.7412
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.396 0.5399 1.175 0.938 1.578 1.258 1.309 1.687
[2,] 395.231 128.5659 569.880 229.907 345.150 371.656 658.059 803.759
[3,] 298.319 147.7114 643.737 204.864 501.571 286.049 445.213 570.369
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7427 1.461 1.362 2.307 0.7452 1.912 1.706 1.808
[2,] 197.5118 636.967 366.723 910.951 185.9184 545.570 657.949 531.140
[3,] 192.0684 527.452 330.468 865.694 194.5406 474.275 583.115 536.454
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 2.09 1.859 1.68 1.324 0.3743 1.3 0.8027 1.33 1.112
[2,] 823.32 556.580 915.97 732.286 108.4586 591.0 228.2609 498.75 290.621
[3,] 756.85 492.632 801.32 773.912 85.2798 833.5 256.1955 819.88 321.758
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.158 0.5552 1.417 0.9699 2.686 3.061 0.4153 0.3681
[2,] 301.239 154.4018 660.865 266.6469 791.652 788.572 138.3320 178.6859
[3,] 334.050 117.8272 477.497 211.8304 732.055 606.850 180.1216 159.4824
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5266 0.5538 1.485 0.5543 1.598 12.24 4.609 2.294
[2,] 179.3373 177.4624 331.982 183.8333 434.700 2813.73 1806.472 1039.977
[3,] 138.9890 138.0767 415.424 129.3471 453.940 3248.86 1832.865 993.197
[1] "--- VAR model 2017-10-04 22:31:00 completed"
[1] "Completed training sample: 2017-10-04 22:31:00 - 2017-10-05 06:30:00"
[1] "SpVAR; training sample: 2017-10-04 23:01:00 - 2017-10-05 07:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
20.332 1.231 1.596 -17.3172
11.750 5.108 -41.904 -26.8352
-4.415 -3.722 31.648 -0.2708
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-59.82 0.6093 1.2900 19.554
-9.36 0.6498 1.3393 9.516
-31.81 0.9198 0.9146 16.150
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
19.65 20.102 -2.238 9.306
-12.63 -2.098 -1.926 -1.722
12.47 15.094 -17.384 -26.340
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
11.8015 30.488 34.07 -12.0274
-5.8684 45.302 28.66 0.5652
0.2679 4.722 18.32 -7.5803
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.741 10.59 19.29 29.58
37.945 15.53 15.82 13.77
9.421 38.61 31.49 10.95
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-19.51 -3.348 33.28 -11.87
-22.76 -1.822 -58.95 -10.16
32.02 8.073 -47.89 -22.49
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.8568 -19.52 -24.90 5.272
2.6380 19.42 -7.45 7.713
2.1375 -42.85 -14.33 3.492
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.36 1.3266 -22.270 -11.19
-33.60 -0.9275 -19.735 -1.95
11.31 1.5864 -6.337 10.32
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.675 -33.590 -0.4601 9.608
-3.047 5.189 -10.1883 -13.866
-8.734 -25.383 -6.2877 -5.739
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.8155 6.123 10.324 5.3080
22.8009 22.965 2.616 0.9276
-12.2236 -14.433 10.219 2.3906
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-15.526 -1.035 -29.87 -26.93
-17.440 -1.411 -11.84 -15.38
-2.918 0.793 -11.89 -13.45
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
12.988 -0.6297 0.232 11.909
-5.665 0.6242 -19.985 5.809
9.140 -4.3917 -17.032 1.265
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-4.204 4.929 1.017 14.01
-7.195 -1.559 22.645 10.30
2.910 2.252 -7.622 2.82
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.585 -4.452 -4.989 14.633
6.468 -3.423 -13.653 -8.013
-1.829 -6.254 22.116 9.056
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.202 -9.703 5.119 -9.7664
-11.615 2.153 1.344 -0.1551
-2.081 -2.434 3.835 -8.4544
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.137 -7.520 -7.1273 26.834
-3.121 7.399 4.8423 -12.745
1.850 6.993 0.3436 9.668
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
33.97 4.898 17.045 14.416
-15.18 -1.306 12.837 3.015
24.07 2.077 -7.727 -1.594
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
30.275 10.781 34.604 26.662
19.442 2.707 -9.353 23.426
9.059 8.435 10.777 4.359
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-33.761 -23.13 4.604 -2.073
-4.745 18.14 -12.275 15.924
-1.630 -18.94 -6.460 8.044
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.846 -2.3165 -6.566 -6.17307
0.933 -0.8911 -16.219 -0.03415
16.370 0.2474 13.840 2.51687
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.926 14.2636 2.0564 -4.9317
-5.794 -5.4652 5.9938 1.6911
13.039 -0.2167 -0.9026 -0.8552
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
15.433 -2.701 20.309 -38.993
-1.540 6.584 -4.076 -3.063
9.214 -3.903 16.571 -32.190
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.319 -4.3980 -0.4608 -0.9119
4.548 -0.8725 -8.2061 -6.9228
7.804 6.3676 0.5447 6.4281
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
10.327 -3.426 -3.304 153.20
-9.363 4.171 -6.458 31.66
-2.995 -2.437 -11.363 40.43
rnd_95776.volume rnd_95787.volume
44.822 -9.158
-47.761 -4.559
8.586 -9.778
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.403 0.7450 2.481 1.585 2.346 0.3342 0.8232 2.108 2.318 1.640 1.014
[2,] 1.865 0.8723 3.004 2.356 3.071 0.3931 0.9627 2.508 2.842 2.553 1.365
[3,] 2.196 0.9739 3.461 2.869 3.731 0.4361 1.0602 2.912 3.311 2.937 1.585
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.070 0.944 1.875 1.525 1.337 1.698 1.257 2.141 1.681 3.261 1.459
[2,] 2.842 1.147 2.467 2.144 1.582 2.376 2.048 2.880 2.298 3.928 1.700
[3,] 3.558 1.245 3.029 2.750 1.806 2.935 2.636 3.403 2.686 4.513 1.934
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.168 2.051 0.4412 1.749 1.909 1.329 1.767 0.5864 1.425 1.781 1.000
[2,] 5.753 2.764 0.5529 2.474 2.821 1.626 2.732 0.7167 2.166 2.133 1.210
[3,] 6.942 3.416 0.6341 3.431 3.590 1.819 3.266 0.8182 2.813 2.458 1.371
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.987 1.578 1.443 1.726 1.177 1.185 0.3554 0.7352 0.2913 1.468 1.364
[2,] 2.577 2.202 2.352 2.208 1.687 1.407 0.4282 0.9074 0.3681 1.871 1.934
[3,] 3.304 2.702 3.003 2.459 1.934 1.534 0.4956 1.0569 0.4140 2.180 2.319
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9427 0.6701 1.382 1.098 1.659 0.935 1.341 1.154 0.6841 1.269 1.334
[2,] 1.1734 0.8575 1.916 1.375 1.927 1.112 2.003 1.341 0.8139 1.970 1.816
[3,] 1.3406 0.9445 2.214 1.560 2.132 1.283 2.536 1.536 0.9386 2.418 2.203
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.134 0.8588 1.142 0.4624 1.091 0.7750 1.146 0.9698 1.037 1.331
[2,] 1.723 1.4343 1.346 0.5489 1.562 0.9033 1.360 1.1975 1.576 2.011
[3,] 2.077 1.8714 1.477 0.6295 1.975 0.9726 1.627 1.3284 1.801 2.291
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6216 1.185 1.088 1.893 0.5697 1.492 1.492 1.382 1.667 1.599 1.281
[2,] 0.7332 1.670 1.283 2.613 0.6972 1.831 2.003 1.747 2.357 1.953 2.134
[3,] 0.8116 2.009 1.401 3.210 0.7824 2.149 2.417 2.050 2.817 2.150 2.703
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.066 0.2862 1.059 0.6610 1.095 0.8774 0.8754 0.4168 1.143 0.7365
[2,] 1.714 0.3565 1.616 0.8290 1.497 1.0359 1.0657 0.5047 1.705 0.9066
[3,] 2.300 0.3946 2.183 0.9567 2.242 1.1687 1.2142 0.5692 1.959 1.0113
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.206 2.245 0.4330 0.4207 0.4208 0.3848 1.098 0.4351 1.205 9.897
[2,] 2.757 2.736 0.5540 0.5839 0.5924 0.5828 1.281 0.5350 1.479 11.523
[3,] 3.139 3.111 0.6515 0.7182 0.7400 0.6710 1.508 0.6090 1.684 13.709
[,97] [,98]
[1,] 3.981 1.924
[2,] 5.090 2.741
[3,] 6.131 3.378
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.782 0.946 3.15 2.013 2.979 0.4244 1.045 2.677
[2,] 612.730 226.386 844.89 869.630 988.507 103.2480 248.991 677.985
[3,] 578.997 215.986 858.10 817.102 1056.954 94.1625 221.585 737.896
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.943 2.083 1.288 2.629 1.199 2.381 1.937 1.697
[2,] 820.591 975.781 456.174 971.009 325.267 800.255 751.284 422.482
[3,] 847.304 724.879 401.162 1067.900 241.283 876.262 859.663 433.818
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.157 1.597 2.719 2.134 4.141 1.853 4.023 2.605
[2,] 828.847 806.233 961.057 781.872 1092.093 435.212 2395.292 924.556
[3,] 859.544 828.442 903.741 694.160 1109.403 460.024 1938.595 1001.214
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5602 2.22 2.424 1.687 2.244 0.7446 1.81 2.262
[2,] 166.2488 872.89 1036.293 467.553 1039.676 205.5733 813.98 585.737
[3,] 154.8807 1186.15 1107.397 406.730 892.716 196.8882 895.06 609.391
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.27 2.523 2.003 1.832 2.192 1.495 1.505 0.4513
[2,] 339.27 818.821 766.603 926.712 686.960 602.579 378.583 119.1146
[3,] 321.67 1031.487 780.509 931.057 540.236 472.408 304.841 124.4793
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9336 0.37 1.864 1.733 1.197 0.8509 1.755 1.394
[2,] 265.2974 112.27 578.976 683.431 348.546 266.9367 661.740 412.590
[3,] 270.3245 94.48 557.699 638.932 323.431 197.5310 553.924 368.200
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.106 1.187 1.703 1.466 0.8687 1.612 1.694 1.44
[2,] 488.899 300.252 742.082 339.907 219.9725 751.589 614.737 647.06
[3,] 455.807 319.473 776.293 374.397 233.1912 699.207 622.026 578.34
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.091 1.45 0.5872 1.385 0.9842 1.455 1.231 1.317
[2,] 573.077 355.26 147.5543 557.526 231.4739 365.817 350.447 591.976
[3,] 599.662 304.17 153.7136 603.293 179.8205 445.206 286.831 434.500
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.69 0.7893 1.505 1.382 2.404 0.7235 1.894 1.895
[2,] 751.93 194.0171 586.926 338.993 898.285 200.4582 529.817 666.734
[3,] 547.41 173.6026 556.987 281.460 930.236 177.1974 560.865 674.753
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.755 2.117 2.03 1.626 1.354 0.3635 1.345 0.8394
[2,] 532.613 831.235 559.90 851.618 669.630 105.9932 608.771 249.5909
[3,] 535.573 769.266 448.75 827.245 765.028 84.4034 732.585 238.2650
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.391 1.114 1.112 0.5293 1.452 0.9352 2.802 2.851
[2,] 509.128 274.719 303.204 141.9687 631.203 263.7517 824.645 779.909
[3,] 832.711 269.887 290.266 131.3052 480.659 223.5427 748.776 738.861
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.5498 0.5343 0.5343 0.4886 1.394 0.5525 1.53 12.57
[2,] 172.4081 201.9930 208.0063 218.4088 329.333 155.2584 428.33 2944.18
[3,] 171.0557 208.5613 221.2481 165.8093 397.030 145.1705 401.43 3704.62
[,97] [,98]
[1,] 5.055 2.443
[2,] 1582.110 973.546
[3,] 1704.699 985.350
[1] "--- VAR model 2017-10-04 23:01:00 completed"
[1] "Completed training sample: 2017-10-04 23:01:00 - 2017-10-05 07:00:00"
[1] "SpVAR; training sample: 2017-10-04 23:31:00 - 2017-10-05 07:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-04 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-20.59 5.989 -30.38 -23.81
18.09 -3.248 -23.66 -5.13
13.99 -6.962 -35.96 -43.83
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-65.38 4.823 8.271 -13.977
-44.30 2.100 2.192 2.353
-10.09 1.079 10.207 2.152
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-18.099 -16.30 -25.85 -38.237
3.512 -27.84 -21.85 -5.938
-11.736 -47.88 -11.33 3.618
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.68 -15.774 -7.092 -18.03
11.34 -5.525 -23.649 -20.13
-10.46 -26.352 -21.242 -16.27
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-34.34 -44.78 -20.70 -22.45
-47.65 -42.20 -5.56 -14.05
-50.87 -37.45 -39.44 -14.65
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.06 -6.802 -10.47 -10.392
-96.42 -1.070 -84.93 -44.538
-23.71 14.082 -48.83 -1.556
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.117 8.856 -5.699 22.882
-3.976 -15.379 6.525 5.771
-7.139 -42.523 -43.618 15.386
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.068 -12.123 -30.852 -13.85
-18.747 1.243 -2.732 -37.12
3.324 -3.818 9.775 -29.77
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.722 -15.717 -35.13 -14.190
-3.432 -6.907 -23.36 -48.841
8.193 -9.996 -23.96 7.212
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
16.05 7.102 -4.8778 -7.439
11.00 -3.367 0.3573 6.330
-14.09 -3.458 3.3990 5.615
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.9587 -0.05157 -0.1313 -13.057
4.3828 3.89927 19.5014 5.775
2.1677 -0.77900 -12.0799 13.522
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.1611 -6.517 -13.89 9.308
1.5672 6.503 -11.06 7.771
-8.1526 7.763 24.26 14.534
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.434 17.138 -7.973 -4.461
-2.218 -12.174 -6.286 -4.110
13.595 1.566 23.191 -3.928
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.1407 27.598 1.598 -21.37
4.4621 -17.773 -7.841 13.27
0.4991 -3.572 -5.385 -13.91
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-18.408 -4.972 -3.1519 3.789
6.365 -3.007 -4.6709 -17.596
-10.174 2.501 -0.1249 14.674
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.4862 4.930 -10.527 -7.286
-1.6372 3.888 -5.534 -7.348
-0.3910 11.496 5.925 12.634
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.9062 2.614 -5.006 -14.981
-26.3873 -2.026 -13.843 -1.248
-0.2987 10.923 -3.683 -4.503
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-32.47 -9.508 -4.517 -9.718
-20.31 -6.720 11.383 20.763
-23.09 -15.828 24.560 31.151
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.316 28.841 -28.250 11.593
-2.868 17.927 1.006 15.378
-13.213 -3.383 -12.735 -8.534
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
27.588 -2.810 7.077 -4.339
4.193 -8.517 2.387 3.241
1.155 3.342 10.983 -21.687
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-10.01 -4.77891 -8.959 -3.901
42.35 -2.19622 2.871 3.535
-29.14 -0.03258 5.603 -2.272
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.056 6.844 -42.3652 -30.63
8.091 8.437 -0.1238 -33.72
8.761 -3.096 -12.8063 -47.28
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
13.522 14.394 14.414 2.535
2.788 8.941 16.202 27.427
3.210 2.979 4.385 4.791
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-25.551 -7.004 11.975 -120.33
-8.807 6.384 -5.740 -113.68
-22.825 6.188 4.538 -31.36
rnd_95776.volume rnd_95787.volume
-11.09 -1.942
-53.68 -26.282
16.59 -3.639
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.413 0.7180 2.533 1.816 2.484 0.3137 0.7989 2.328 2.385 1.826 1.074
[2,] 1.949 0.8360 2.901 2.609 3.350 0.3695 0.9459 2.878 3.180 2.809 1.477
[3,] 2.267 0.9519 3.432 3.318 3.900 0.4143 1.0803 3.326 3.600 3.259 1.796
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.964 0.8999 2.124 1.647 1.365 1.775 1.338 2.210 1.830 3.397 1.498
[2,] 2.823 1.1618 2.767 2.429 1.669 2.660 2.397 2.976 2.423 4.158 1.772
[3,] 3.639 1.3328 3.194 2.958 1.935 3.231 3.075 3.687 2.957 4.985 1.997
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.518 2.098 0.4376 1.928 1.955 1.331 1.941 0.6011 1.598 1.856 0.9878
[2,] 6.385 2.998 0.5491 2.622 2.871 1.665 2.840 0.7202 2.443 2.201 1.1566
[3,] 7.467 3.576 0.6217 3.582 3.717 1.939 3.483 0.8340 3.044 2.546 1.3384
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.097 1.695 1.512 1.984 1.367 1.081 0.3603 0.816 0.2955 1.496 1.537
[2,] 2.642 2.343 2.381 2.379 1.828 1.241 0.4829 1.007 0.3797 1.921 2.038
[3,] 3.294 2.885 3.058 2.562 2.062 1.361 0.5518 1.149 0.4520 2.258 2.459
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9592 0.6897 1.476 1.228 1.520 0.8955 1.520 1.145 0.6951 1.367 1.426
[2,] 1.2172 0.8440 2.022 1.504 1.824 1.1025 2.274 1.325 0.8600 2.049 1.920
[3,] 1.3485 0.9586 2.335 1.743 2.041 1.2704 2.799 1.494 0.9799 2.552 2.240
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.216 0.8615 1.108 0.4571 1.237 0.7755 1.173 1.025 1.186 1.359 0.6352
[2,] 1.786 1.4292 1.306 0.5522 1.706 0.8919 1.401 1.265 1.679 2.037 0.7487
[3,] 2.106 1.9531 1.513 0.6540 2.050 0.9652 1.700 1.405 2.033 2.347 0.8298
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.180 1.053 2.016 0.5960 1.591 1.612 1.554 1.801 1.617 1.525 1.096
[2,] 1.737 1.251 2.707 0.7375 1.995 2.235 1.886 2.557 2.023 2.277 1.711
[3,] 2.065 1.392 3.359 0.8300 2.321 2.652 2.168 2.938 2.212 2.935 2.469
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.2812 1.127 0.8132 1.234 0.8716 0.8424 0.4137 1.240 0.7309 2.251
[2,] 0.3499 1.859 0.9885 1.727 1.0281 1.0301 0.5127 1.808 0.8873 2.774
[3,] 0.3993 2.426 1.1617 2.447 1.1887 1.1407 0.5785 2.056 0.9950 3.186
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.296 0.5627 0.4961 0.5214 0.4817 1.079 0.4601 1.114 9.706 3.910
[2,] 2.796 0.7422 0.7172 0.7625 0.7529 1.321 0.6036 1.386 11.441 5.292
[3,] 3.244 0.8852 0.8795 0.9574 0.9359 1.537 0.7088 1.634 13.469 6.368
[,98]
[1,] 1.963
[2,] 2.850
[3,] 3.476
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.794 0.9118 3.217 2.306 3.154 0.3983 1.015 2.956
[2,] 695.091 221.8175 731.866 970.118 1164.053 101.1387 262.299 876.883
[3,] 600.256 235.7722 949.834 1062.266 1034.939 97.0131 270.236 862.962
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.029 2.319 1.363 2.495 1.143 2.697 2.091 1.733
[2,] 1089.449 1105.353 525.247 1050.328 380.580 918.266 924.541 497.025
[3,] 873.770 856.002 529.353 1189.022 338.249 826.311 874.454 507.331
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.254 1.699 2.806 2.324 4.314 1.902 4.467 2.664
[2,] 1025.689 1030.002 1032.534 822.586 1241.688 490.585 2759.577 1109.371
[3,] 950.240 997.699 1127.427 878.038 1424.182 476.929 2004.843 1009.234
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5557 2.449 2.482 1.691 2.465 0.7633 2.029 2.357
[2,] 171.7859 919.795 1088.720 517.818 1073.751 205.5003 957.141 612.305
[3,] 151.0080 1264.274 1222.730 514.802 1044.158 217.8315 940.613 663.346
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.254 2.663 2.152 1.919 2.519 1.736 1.372 0.4575
[2,] 311.619 832.592 838.037 952.816 679.877 628.277 315.650 166.5657
[3,] 348.765 1018.822 871.743 993.494 492.687 494.556 290.050 138.2527
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.036 0.3753 1.9 1.952 1.218 0.8759 1.875 1.559
[2,] 305.921 123.4829 624.2 693.021 388.118 251.9248 715.760 450.170
[3,] 286.156 126.9803 614.6 712.877 300.547 235.3478 604.303 456.457
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.931 1.137 1.93 1.454 0.8827 1.736 1.811 1.544
[2,] 521.895 333.031 875.74 345.658 262.2821 789.982 665.974 677.491
[3,] 474.539 326.905 845.29 357.553 243.2600 788.030 597.444 577.801
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.094 1.406 0.5804 1.571 0.9848 1.49 1.301 1.506
[2,] 590.629 358.557 160.4453 608.235 228.1320 396.27 383.666 615.713
[3,] 689.460 395.121 181.5006 589.306 191.1298 499.23 317.593 593.627
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.726 0.8066 1.498 1.337 2.56 0.7568 2.02 2.047
[2,] 785.798 205.2925 660.552 349.851 936.04 224.9789 623.22 802.090
[3,] 604.101 185.3353 578.325 316.067 1029.44 197.2238 614.57 738.752
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 1.973 2.287 2.054 1.936 1.392 0.3571 1.432 1.033
[2,] 553.565 939.907 629.741 875.665 680.255 107.8262 765.840 291.070
[3,] 553.364 749.336 462.787 959.746 922.013 99.6498 807.071 316.079
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.567 1.107 1.07 0.5254 1.575 0.9281 2.859 2.916
[2,] 625.574 282.421 307.02 156.8350 681.194 260.5253 839.726 825.883
[3,] 897.751 309.024 253.72 138.8009 506.558 233.2380 811.661 852.474
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.7145 0.63 0.6621 0.6117 1.37 0.5843 1.415 12.33
[2,] 250.7251 268.28 288.1276 299.7114 394.78 202.3451 427.112 3136.72
[3,] 249.8427 263.63 299.8749 287.8735 407.27 192.4232 448.126 3681.37
[,97] [,98]
[1,] 4.965 2.493
[2,] 1847.172 1069.732
[3,] 1834.755 1030.993
[1] "--- VAR model 2017-10-04 23:31:00 completed"
[1] "Completed training sample: 2017-10-04 23:31:00 - 2017-10-05 07:30:00"
[1] "SpVAR; training sample: 2017-10-05 00:01:00 - 2017-10-05 08:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.1002 -6.6490 21.69 -29.870
0.9477 -5.1361 -19.26 -4.711
-18.6584 -0.6093 -48.83 -31.028
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.24 3.971 11.143 -1.893
-75.08 1.426 4.038 13.225
-43.63 -1.805 8.808 22.410
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-14.573 -1.214 13.172 -5.496
9.191 23.659 1.509 -11.280
21.586 1.906 16.178 39.818
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.216 -21.254 -12.046 -5.4882
7.434 8.493 7.391 -13.6572
15.734 28.840 26.788 0.8701
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-14.704 -29.610 0.02307 4.639
-33.285 -5.795 -11.20636 -3.994
-4.529 -20.204 -13.97075 6.113
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
39.18 -7.435 -71.72 10.474
-34.02 -12.243 14.93 -24.603
16.61 -17.823 -19.29 7.537
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.236 18.62 -43.339 -22.492
6.856 -45.56 -11.913 -7.085
5.604 -14.64 -5.516 26.771
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-30.401 5.676 -52.34 -30.714
-1.669 -1.538 -43.44 -7.478
-44.335 1.984 -38.64 -11.018
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.881 -36.56 -4.05 8.826
-13.500 -38.10 -41.42 -40.942
-8.522 -19.43 -40.19 -50.657
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-13.445 -22.394 1.147 -4.427
-7.355 -2.032 7.718 -8.670
-17.364 7.237 11.037 -2.290
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-24.53 -3.680 -14.88 -14.611
-16.02 5.088 -3.06 -6.037
-14.31 4.767 -43.68 -17.652
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.340 -6.7525 -15.766 -15.07296
1.359 0.5731 4.076 -8.94162
9.341 0.4114 -9.459 -0.04415
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
17.72 3.181 9.077 6.184
13.34 1.671 2.983 5.891
24.30 9.329 10.715 -1.943
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.663 -11.357 1.431 -19.912
1.479 3.023 -8.531 -7.086
6.120 10.601 -3.192 -5.709
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.34 -6.747 -4.446 4.046
2.53 -18.154 -0.913 -3.299
-9.41 -21.597 -1.912 3.657
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-8.224 -11.58 -12.2997 -3.921
-18.527 -16.96 0.8883 -10.478
-14.036 -27.41 -4.5657 -4.558
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.734 5.833 -10.4033 -1.336
-6.294 -3.156 -6.2532 -9.036
-1.461 4.264 -0.1785 4.408
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-27.04 6.813 -20.208 -0.1239
-25.85 -4.963 -4.791 12.0381
-13.16 -4.412 -3.599 4.3969
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.154 -6.234 -12.300 -6.173
2.341 -9.845 -7.994 -29.112
-28.676 -31.193 -1.657 -7.092
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-16.62 3.5712 -14.89 17.456
-8.72 0.5279 -10.65 7.666
-18.94 0.1682 -24.56 13.821
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-9.597 3.566 2.940 -2.688
-10.742 8.556 7.523 -1.473
-11.203 3.316 1.548 -1.811
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.228 -4.372 21.43 -11.19
-2.656 -8.242 25.98 -65.98
10.137 -8.909 17.20 -17.41
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-10.163 -3.484 -1.463 2.283
-9.601 -5.687 -1.169 -2.237
1.241 -6.679 -3.457 -8.510
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
9.518 2.360 6.5439 -46.99
1.607 3.817 -0.1436 -164.06
-4.074 -1.995 6.2754 -138.77
rnd_95776.volume rnd_95787.volume
-18.21 17.50
16.33 -25.66
29.73 32.69
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.523 0.7553 2.665 1.803 2.698 0.3127 0.8417 2.396 2.346 1.988 1.038
[2,] 1.998 0.8948 3.166 2.671 3.556 0.3846 1.0003 2.983 3.202 3.010 1.478
[3,] 2.394 1.0092 3.682 3.432 4.216 0.4383 1.1309 3.542 3.666 3.451 1.772
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.953 0.9734 1.994 1.572 1.648 1.780 1.372 2.431 1.973 3.834 1.452
[2,] 2.980 1.2420 2.733 2.413 2.085 2.614 2.372 3.184 2.500 4.725 1.711
[3,] 3.858 1.4500 3.208 2.935 2.476 3.151 3.011 3.763 2.966 5.621 1.901
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.801 2.284 0.4363 1.995 2.066 1.461 1.854 0.6321 1.866 1.820 1.003
[2,] 6.549 3.220 0.5466 2.818 3.027 1.845 2.862 0.7387 2.815 2.196 1.183
[3,] 7.693 3.892 0.6406 3.735 3.929 2.201 3.598 0.8452 3.436 2.570 1.372
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.086 1.909 1.670 1.963 1.479 1.095 0.3520 0.8555 0.3457 1.610 1.568
[2,] 2.744 2.576 2.542 2.410 1.913 1.271 0.4905 1.0955 0.4259 2.027 2.115
[3,] 3.557 3.145 3.319 2.633 2.203 1.406 0.5579 1.2886 0.5220 2.403 2.501
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9464 0.6438 1.429 1.398 1.449 0.9491 1.498 1.198 0.7301 1.372 1.399
[2,] 1.2213 0.8020 2.031 1.721 1.806 1.1302 2.445 1.386 0.9146 2.118 1.928
[3,] 1.3918 0.9163 2.339 1.982 2.039 1.2589 3.031 1.565 1.0351 2.695 2.379
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.282 0.8655 1.035 0.4807 1.282 0.8258 1.152 1.014 1.269 1.394 0.6614
[2,] 1.735 1.4103 1.365 0.5740 1.676 0.9303 1.426 1.251 1.754 2.059 0.7797
[3,] 2.057 1.8930 1.648 0.6808 2.103 1.0264 1.684 1.440 2.071 2.374 0.8868
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.193 1.003 2.111 0.5726 1.674 1.713 1.649 1.835 1.653 1.718 1.335
[2,] 1.756 1.157 2.846 0.7214 2.054 2.373 1.926 2.547 2.074 2.509 1.966
[3,] 2.108 1.298 3.432 0.8120 2.430 2.829 2.259 3.043 2.300 3.091 2.521
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3073 1.404 0.8723 1.345 0.9224 0.8672 0.4127 1.340 0.7353 2.279
[2,] 0.3765 2.094 1.1082 1.863 1.0589 1.0650 0.5293 1.845 0.9156 2.954
[3,] 0.4390 2.643 1.3443 2.546 1.2107 1.1912 0.5833 2.138 1.0677 3.301
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.359 0.6019 0.5553 0.6371 0.6233 1.107 0.5002 1.107 9.918 3.738
[2,] 2.918 0.8147 0.8620 0.9196 0.9745 1.364 0.6403 1.411 11.801 5.233
[3,] 3.463 0.9998 1.0575 1.1330 1.2072 1.671 0.7652 1.621 13.904 6.429
[,98]
[1,] 2.052
[2,] 3.033
[3,] 3.666
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.933 0.9591 3.384 2.289 3.426 0.3971 1.069 3.043
[2,] 680.468 252.4586 899.303 1036.758 1218.220 117.7792 284.336 934.961
[3,] 693.806 245.4606 989.206 1133.674 1191.798 110.6174 277.639 1004.885
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.979 2.525 1.318 2.48 1.236 2.532 1.997 2.093
[2,] 1146.397 1188.626 553.435 1184.50 405.870 983.367 962.989 672.409
[3,] 939.497 888.136 514.425 1289.18 393.741 883.719 878.926 701.809
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.26 1.742 3.087 2.505 4.868 1.844 4.827 2.9
[2,] 1007.38 1018.158 1081.561 807.686 1452.685 476.291 2805.595 1194.0
[3,] 925.10 975.453 1055.485 840.187 1602.470 435.216 2123.981 1150.5
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5541 2.534 2.623 1.855 2.355 0.8027 2.37 2.311
[2,] 173.1849 1046.901 1163.934 592.644 1146.864 201.1584 1109.21 646.773
[3,] 175.7826 1289.451 1317.956 631.475 1147.608 216.0866 1036.06 702.538
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.273 2.649 2.424 2.12 2.493 1.878 1.391 0.447
[2,] 330.572 937.321 909.785 1008.49 735.163 638.465 338.678 179.676
[3,] 365.077 1191.237 949.462 1122.90 557.570 575.127 316.700 139.901
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.086 0.439 2.045 1.99 1.202 0.8176 1.814 1.776
[2,] 359.972 130.886 648.067 747.15 406.118 251.5814 759.680 527.387
[3,] 357.051 158.788 678.323 701.71 351.235 233.1985 610.745 517.996
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 1.84 1.205 1.903 1.521 0.9271 1.742 1.777 1.628
[2,] 567.61 322.896 1016.382 366.511 289.8416 849.316 697.999 614.816
[3,] 497.83 291.761 942.725 382.564 255.0506 876.875 732.924 581.522
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.099 1.315 0.6104 1.628 1.049 1.462 1.288 1.612
[2,] 585.820 468.409 165.0707 567.966 225.382 442.605 385.281 636.597
[3,] 664.365 485.980 192.5947 668.194 228.075 470.978 374.598 579.767
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.77 0.8398 1.515 1.273 2.681 0.7271 2.126 2.176
[2,] 797.65 217.2609 678.186 303.358 1004.413 230.8714 626.219 863.715
[3,] 621.42 222.2371 612.989 309.548 1008.940 196.0871 682.859 810.310
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.093 2.33 2.099 2.181 1.695 0.3902 1.783 1.108
[2,] 524.333 929.50 659.143 962.282 759.500 114.4758 817.575 359.657
[3,] 620.463 876.16 522.550 949.189 830.121 118.7575 848.534 400.339
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.708 1.171 1.101 0.5241 1.701 0.9337 2.893 2.996
[2,] 677.880 273.685 325.297 174.3918 667.216 287.0717 989.411 903.087
[3,] 913.491 308.765 280.696 128.9031 568.265 288.9963 774.999 981.836
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.7644 0.7052 0.809 0.7915 1.405 0.6351 1.405 12.59
[2,] 288.8246 346.8808 348.908 394.1107 419.087 210.3295 460.674 3364.29
[3,] 304.9067 322.2507 348.202 374.9007 508.081 220.4741 419.203 3868.14
[,97] [,98]
[1,] 4.747 2.606
[2,] 1927.076 1175.402
[3,] 1964.686 1083.446
[1] "--- VAR model 2017-10-05 00:01:00 completed"
[1] "Completed training sample: 2017-10-05 00:01:00 - 2017-10-05 08:00:00"
[1] "SpVAR; training sample: 2017-10-05 00:31:00 - 2017-10-05 08:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-12.03 -0.006312 5.149 -8.68
16.17 -2.881113 -10.411 33.31
-15.21 6.900832 14.346 -13.06
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.097 -3.1815 12.4846 26.3840
1.364 0.7781 8.8128 -9.2603
13.750 3.2359 0.8999 0.3035
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.301 -16.565 11.156 13.48
-11.961 29.496 9.659 -35.77
23.442 4.629 19.867 -61.29
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.191 -6.068 -12.290 1.6727
2.486 -28.308 -23.150 0.3181
-1.483 -23.536 -4.276 5.3593
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-13.928 4.339 24.349 23.84
-11.444 14.540 20.264 20.46
8.347 -28.175 -4.881 10.52
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-28.82 17.22 -21.63 23.65
5.87 12.80 -51.61 -26.88
47.50 19.14 -38.79 -25.84
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.343 35.43 -15.94 5.043
9.005 -29.24 24.60 -5.740
1.277 -28.87 -19.84 -1.867
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.736 10.650 2.056 -16.30
29.990 2.339 -10.973 -11.30
-20.480 2.800 -3.407 -10.89
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.463 -7.575 -30.1790 3.698
-4.383 -27.163 12.9544 13.132
3.854 -4.176 0.5931 -16.492
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-17.220 16.202 -8.569 0.7246
-5.929 -10.133 6.526 1.9591
11.890 6.566 8.965 1.9502
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-7.049 3.1797 -20.18 -23.1873
-1.416 -0.8985 -12.41 -14.2118
1.286 -0.6057 -5.13 0.4046
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.768 5.904 -12.33 -2.747
1.134 2.887 -17.05 11.683
6.940 -3.039 -16.16 5.938
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
19.608 1.697 11.925 11.521
9.575 -2.605 -9.438 7.071
16.994 3.751 -7.088 3.530
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.1520 -2.464 -12.5282 -11.317
-0.3876 5.996 20.4731 -1.882
9.9557 4.258 0.0596 6.680
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.344 -1.097 0.9516 -12.389
-5.779 10.041 5.6458 -17.622
15.517 12.010 0.5601 1.861
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.462 -15.390 4.7827 -0.6664
-8.082 -5.852 8.5563 -8.7751
-9.036 -3.223 -0.2328 -5.4217
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.3228 1.2812 -2.610 13.707
-3.6605 -1.7592 3.966 -3.893
10.2677 0.4445 -2.545 5.810
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.118 8.0355 -17.07 -35.913
4.212 0.6159 -23.87 6.769
2.393 2.8092 -29.36 -17.401
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
15.247 -17.215 16.96 24.30
7.153 19.158 -13.92 -39.77
3.599 1.981 -20.64 13.29
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.6702 -1.1399 7.614 11.494
7.8002 4.4321 19.308 6.605
-13.1130 -0.7887 -29.303 7.571
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.87 1.036 -0.777 3.370
8.86 15.145 -1.604 -1.222
-28.95 11.411 -10.175 2.070
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.923 -0.9617 5.479 -23.05
-14.874 -15.9175 18.142 -32.30
11.866 3.7154 21.718 -19.07
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.4564 0.6248 9.298 10.189
0.6432 -1.2768 -13.530 -1.800
-4.7754 4.9671 4.713 6.195
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.706 4.9541 -4.117 36.12071
-1.516 -0.8358 -11.807 -39.51558
4.427 1.7768 -11.513 -0.05057
rnd_95776.volume rnd_95787.volume
4.454 -5.862
-19.960 -22.356
4.127 -20.615
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.652 0.7901 2.752 2.002 2.813 0.3062 0.8827 2.827 2.671 2.119 1.173
[2,] 2.123 0.9501 3.245 2.889 3.689 0.3968 1.0424 3.401 3.645 3.289 1.703
[3,] 2.533 1.0915 3.797 3.828 4.626 0.4647 1.1909 3.895 4.102 3.812 2.084
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.433 1.153 2.112 1.732 1.776 2.007 1.801 2.737 2.151 4.025 1.775
[2,] 3.415 1.434 2.903 2.651 2.233 2.729 2.678 3.434 2.705 5.194 2.065
[3,] 4.423 1.681 3.479 3.257 2.624 3.404 3.289 4.022 3.219 6.114 2.306
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.904 2.605 0.4595 2.079 2.259 1.407 2.169 0.6449 2.196 1.990 1.004
[2,] 6.908 3.679 0.5772 2.908 3.140 1.814 3.084 0.7485 3.142 2.333 1.200
[3,] 8.247 4.427 0.7001 3.875 3.936 2.275 3.937 0.8623 3.808 2.703 1.404
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.285 2.008 2.225 2.202 1.623 1.164 0.3548 1.044 0.3831 1.660 1.663
[2,] 3.099 2.838 3.220 2.590 2.156 1.387 0.5167 1.283 0.4958 2.118 2.236
[3,] 3.812 3.500 3.908 2.821 2.525 1.536 0.6175 1.447 0.6008 2.540 2.723
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.019 0.6676 1.529 1.417 1.673 0.9348 1.614 1.354 0.7485 1.476 1.428
[2,] 1.333 0.8463 2.219 1.813 1.922 1.1386 2.585 1.510 0.9542 2.183 2.004
[3,] 1.511 0.9853 2.568 2.057 2.168 1.2525 3.236 1.673 1.1384 2.801 2.436
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.347 0.9226 1.112 0.5160 1.334 0.8240 1.231 1.064 1.272 1.412 0.7005
[2,] 2.030 1.5300 1.456 0.6442 1.805 0.9286 1.558 1.297 1.784 2.145 0.8414
[3,] 2.369 2.0832 1.786 0.7865 2.197 1.0199 1.842 1.481 2.089 2.546 0.9575
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.272 1.025 2.128 0.5630 1.847 1.924 1.776 1.880 1.839 1.803 1.408
[2,] 1.907 1.235 3.014 0.7734 2.383 2.733 2.268 2.580 2.379 2.703 2.157
[3,] 2.202 1.402 3.579 0.8758 2.766 3.231 2.676 3.186 2.678 3.382 2.888
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3446 1.682 0.9355 1.658 0.9321 0.8842 0.4258 1.345 0.8501 2.470
[2,] 0.4274 2.399 1.2063 2.305 1.1312 1.0864 0.5422 1.882 1.0812 3.099
[3,] 0.5056 3.008 1.4563 2.978 1.2713 1.2241 0.6085 2.242 1.3145 3.437
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.775 0.7539 0.6834 0.7442 0.7265 1.138 0.5627 1.075 10.32 3.901
[2,] 3.530 0.9808 1.0414 1.0054 1.0398 1.468 0.7388 1.346 12.51 5.475
[3,] 4.151 1.1868 1.2699 1.2806 1.3455 1.748 0.9101 1.538 15.03 6.609
[,98]
[1,] 2.323
[2,] 3.250
[3,] 3.920
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.098 1.003 3.495 2.542 3.572 0.3888 1.121 3.589
[2,] 677.063 268.250 873.951 1059.124 1212.934 128.3238 281.771 961.510
[3,] 702.856 273.034 1001.733 1276.494 1418.537 122.9202 292.779 964.288
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.391 2.691 1.49 3.09 1.464 2.682 2.199 2.255
[2,] 1260.965 1278.570 627.22 1218.09 433.387 1011.981 1020.119 688.262
[3,] 956.015 978.932 610.84 1428.21 445.135 974.554 961.633 700.289
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.549 2.287 3.475 2.732 5.111 2.255 4.958 3.308
[2,] 939.961 1007.249 1054.772 833.895 1668.588 535.867 2896.582 1320.776
[3,] 1034.061 970.395 1064.243 886.478 1639.919 521.613 2289.556 1250.891
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5835 2.64 2.868 1.787 2.754 0.8189 2.788 2.527
[2,] 177.5259 1033.09 1108.867 582.028 1114.430 193.0910 1142.391 619.044
[3,] 201.4443 1301.66 1206.005 697.376 1244.082 217.6027 1093.627 693.225
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.275 2.901 2.55 2.826 2.796 2.061 1.478 0.4506
[2,] 333.938 1064.389 1019.79 1182.972 693.465 721.468 383.912 190.9028
[3,] 370.378 1127.968 1040.52 1125.493 568.209 667.268 334.812 171.8045
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.325 0.4864 2.108 2.111 1.294 0.8477 1.942 1.799
[2,] 379.548 159.9795 668.394 759.512 436.905 264.3818 817.676 574.457
[3,] 339.832 172.4400 713.281 789.774 361.770 256.4657 656.333 494.348
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.125 1.187 2.049 1.72 0.9505 1.874 1.813 1.711
[2,] 480.783 330.399 1026.432 339.08 300.8105 817.626 714.585 771.613
[3,] 509.768 265.288 989.128 366.82 315.5366 891.617 703.940 620.891
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.172 1.412 0.6553 1.693 1.046 1.563 1.352 1.616
[2,] 620.325 478.126 195.9711 618.049 217.601 485.518 376.532 635.878
[3,] 718.596 525.047 229.3999 636.860 214.458 499.143 363.844 552.016
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.792 0.8895 1.615 1.301 2.702 0.7149 2.345 2.443
[2,] 820.936 236.9314 722.549 350.416 1084.658 269.5240 765.171 986.731
[3,] 696.661 232.2687 559.026 336.723 981.308 208.8419 713.641 876.288
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.256 2.387 2.335 2.29 1.788 0.4376 2.136 1.188
[2,] 716.264 898.459 766.957 1023.46 830.566 128.4910 869.509 387.041
[3,] 722.088 949.948 625.047 1033.55 976.308 137.2988 922.129 414.672
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.105 1.184 1.123 0.5408 1.708 1.079 3.137 3.524
[2,] 814.112 325.779 320.850 170.5559 669.549 339.534 950.973 1109.152
[3,] 958.430 294.835 286.712 140.4327 618.620 380.043 755.527 1109.444
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.9574 0.8678 0.945 0.9226 1.445 0.7146 1.365 13.1
[2,] 318.8905 399.3798 343.641 378.0617 471.289 243.2857 411.776 3596.8
[3,] 339.5598 369.4059 403.106 434.0271 482.670 270.1359 377.603 4231.1
[,97] [,98]
[1,] 4.954 2.95
[2,] 1952.128 1155.34
[3,] 1881.800 1113.56
[1] "--- VAR model 2017-10-05 00:31:00 completed"
[1] "Completed training sample: 2017-10-05 00:31:00 - 2017-10-05 08:30:00"
[1] "SpVAR; training sample: 2017-10-05 01:01:00 - 2017-10-05 09:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-9.308 2.686 -0.7697 -7.781
17.700 1.054 -14.5574 -10.389
15.249 5.211 -15.4745 29.534
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.963 0.7176 -0.8329 50.397
-28.088 3.9366 10.7472 3.483
14.868 0.5876 3.4009 3.960
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
74.76 32.700 -8.561 -10.057
-19.29 -4.610 3.016 -5.257
-12.25 -1.542 -6.089 -42.779
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.791 15.94 -6.176 -4.646
-7.935 13.42 14.809 10.642
5.777 -12.21 -14.494 -4.835
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
14.19 9.676 -19.843 -23.25
6.02 7.488 5.879 23.74
-11.03 3.445 34.140 19.83
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-21.347 -9.354 36.90 9.285
-23.906 4.377 -33.65 -19.353
3.797 10.081 -17.34 -47.757
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-10.463 -13.205 4.777 3.613
4.136 16.303 -2.490 3.279
-3.124 -8.868 8.618 -3.166
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.213 -5.376 -27.75 11.59
-1.618 -6.416 19.03 18.91
31.105 4.815 39.47 -7.44
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
9.056 -7.552 18.93 12.07
2.360 1.037 -17.23 -13.61
6.511 11.492 16.37 15.98
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.746 -4.948 -3.896 1.8293
6.918 5.222 -9.217 -0.9834
2.715 -8.120 -10.837 3.2184
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.103 1.475 13.8431 -2.811
-2.747 1.294 11.2202 15.409
-5.705 3.697 0.0121 -21.110
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-9.152 5.731 6.31 33.631
-2.477 1.810 -15.09 -20.318
2.239 1.512 15.72 1.486
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-21.3147 8.713 -11.090 0.3786
6.8555 -1.931 15.527 1.3798
-0.8999 -1.063 -3.945 2.1400
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.4167 14.10 -2.902 -0.4298
0.1782 -12.85 -4.657 -1.0235
0.4011 8.19 7.863 5.4242
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.300 8.291 0.3201 10.133
3.444 1.516 2.0743 -1.788
-6.957 -7.263 0.2559 -10.534
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.626 -8.587 3.053 -1.1272
-6.669 2.032 -1.908 -3.9830
1.830 3.014 12.237 0.1853
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.0463 12.942 14.160 -2.624
6.2134 -2.094 -3.111 -6.986
-0.9848 4.787 3.339 -5.980
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
16.765 -0.2431 -3.386 15.94
8.683 2.6120 -1.135 -10.46
-1.950 5.6571 -2.227 19.73
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
15.023 25.327 -8.898 16.25
8.809 9.072 15.248 19.56
5.286 26.617 -1.701 34.44
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
26.580 3.6023 8.447 -9.636
7.408 2.0730 18.535 1.096
14.465 -0.8595 2.143 3.207
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.48 4.167 -1.527 -5.615
34.66 10.411 -3.278 -3.910
12.63 2.392 1.059 -3.072
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.413 2.090 -17.765 -10.13
2.859 5.563 17.351 -10.95
4.644 5.672 -5.757 -31.22
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.9547 4.937 0.9635 1.543
-0.4619 8.401 7.5977 11.914
1.4610 -3.433 0.7807 -8.052
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.3912 7.953 -2.633 -34.54
-1.5296 -1.495 -6.537 -40.48
0.9456 2.637 -2.747 -31.76
rnd_95776.volume rnd_95787.volume
-2.48 0.2889
10.74 -16.2294
-49.34 -33.7787
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.670 0.828 2.947 2.226 3.514 0.3484 0.9894 2.990 2.824 2.450 1.286
[2,] 2.270 1.000 3.520 3.093 4.539 0.4413 1.1935 3.656 4.121 3.572 1.884
[3,] 2.791 1.161 4.170 3.995 5.615 0.5232 1.3513 4.251 4.621 4.181 2.333
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.703 1.327 2.472 1.998 1.970 2.253 2.134 2.685 2.273 4.196 1.709
[2,] 3.549 1.632 3.226 2.912 2.463 3.087 3.137 3.616 2.941 5.469 2.088
[3,] 4.487 1.914 3.781 3.438 2.869 3.728 3.836 4.417 3.523 6.583 2.400
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.137 3.023 0.6601 2.461 2.442 1.560 2.167 0.7039 2.394 1.980 1.048
[2,] 7.125 4.060 0.7797 3.145 3.377 2.054 3.069 0.8222 3.518 2.399 1.243
[3,] 8.666 4.766 0.9008 4.006 4.247 2.540 3.903 0.9475 4.344 2.873 1.495
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.509 2.258 2.493 2.296 1.685 1.266 0.3839 1.134 0.4450 1.789 1.737
[2,] 3.365 3.211 3.494 2.811 2.159 1.490 0.5809 1.419 0.5649 2.340 2.448
[3,] 3.961 3.944 4.269 3.096 2.674 1.664 0.6860 1.627 0.6812 2.778 2.926
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.066 0.7657 1.655 1.534 1.682 0.9952 1.664 1.436 0.888 1.603 1.463
[2,] 1.418 0.9612 2.396 2.003 2.063 1.2234 2.783 1.611 1.115 2.403 2.085
[3,] 1.685 1.1394 2.790 2.404 2.346 1.3712 3.566 1.821 1.310 3.110 2.574
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.455 0.9705 1.208 0.5857 1.499 0.9103 1.353 1.136 1.390 1.380 0.7503
[2,] 2.133 1.5840 1.615 0.7067 2.115 1.0374 1.622 1.470 1.964 2.142 0.9424
[3,] 2.549 2.1573 1.910 0.8686 2.543 1.1281 1.896 1.640 2.292 2.663 1.0799
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.369 1.059 2.362 0.6267 2.067 2.209 1.883 2.086 1.989 2.060 1.610
[2,] 1.986 1.300 3.156 0.8461 2.645 2.965 2.508 2.775 2.614 3.022 2.430
[3,] 2.381 1.462 3.833 0.9685 3.220 3.477 2.944 3.519 2.991 3.714 3.131
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3620 1.822 1.140 2.007 0.9899 0.9094 0.5105 1.386 0.9047 2.662
[2,] 0.4717 2.623 1.509 2.707 1.2014 1.1369 0.6505 1.956 1.1248 3.375
[3,] 0.5486 3.265 1.880 3.430 1.3643 1.3487 0.7347 2.377 1.3680 3.792
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.165 1.005 0.857 0.912 0.7797 1.270 0.6283 1.013 10.36 3.866 2.565
[2,] 3.861 1.276 1.348 1.252 1.2357 1.663 0.8149 1.255 12.47 5.994 3.477
[3,] 4.581 1.464 1.602 1.527 1.5464 1.967 1.0009 1.457 14.85 7.415 4.187
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.12 1.051 3.742 2.827 4.462 0.4424 1.256 3.797
[2,] 755.60 275.697 945.484 1054.898 1411.908 133.1107 327.949 1033.522
[3,] 797.52 289.960 1098.791 1242.688 1624.112 138.0547 311.419 1065.840
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.586 3.111 1.632 3.432 1.685 3.139 2.537 2.501
[2,] 1474.281 1277.387 676.518 1129.551 466.680 1017.972 1040.650 726.405
[3,] 1027.665 1067.847 675.858 1349.342 491.299 968.865 897.648 723.529
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.861 2.709 3.409 2.887 5.328 2.17 5.254 3.838
[2,] 1037.103 1129.663 1190.396 916.805 1723.433 589.59 2850.083 1331.778
[3,] 1026.295 1085.092 1246.418 953.268 1800.639 580.65 2423.397 1226.499
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8383 3.125 3.1 1.981 2.752 0.8939 3.04 2.515
[2,] 203.8317 961.651 1145.9 656.625 1067.897 208.6992 1266.34 665.300
[3,] 221.7064 1219.003 1265.5 734.265 1184.171 231.3498 1252.43 776.727
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.33 3.187 2.868 3.165 2.916 2.14 1.608 0.4874
[2,] 328.53 1101.266 1121.508 1203.063 796.848 663.09 385.680 214.2159
[3,] 408.57 1027.050 1125.485 1205.201 637.430 774.89 364.151 179.2916
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.439 0.565 2.272 2.206 1.353 0.9723 2.101 1.948
[2,] 419.060 170.965 741.152 847.581 459.540 285.4922 851.374 632.561
[3,] 391.036 187.044 735.632 787.282 446.903 300.5299 702.035 653.664
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.136 1.264 2.114 1.823 1.128 2.036 1.858 1.848
[2,] 586.678 349.623 1095.871 358.865 331.149 879.740 729.363 766.389
[3,] 548.953 304.248 1095.368 417.363 338.299 969.461 742.318 685.679
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.232 1.534 0.7437 1.903 1.156 1.718 1.443 1.765
[2,] 615.061 527.076 194.2745 733.061 244.498 440.002 458.449 681.833
[3,] 719.567 500.664 248.1938 693.593 217.725 482.166 357.086 580.445
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.753 0.9527 1.738 1.345 2.999 0.7959 2.625 2.805
[2,] 805.017 280.2003 706.624 370.921 1028.704 279.2931 810.958 971.418
[3,] 776.742 259.0723 646.041 328.062 1068.493 231.5076 901.955 892.586
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.391 2.649 2.525 2.616 2.045 0.4596 2.314 1.448
[2,] 813.837 899.273 833.787 1086.306 894.377 148.5649 927.106 485.966
[3,] 757.232 1062.941 713.367 1060.926 970.206 137.6612 954.988 550.844
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.548 1.257 1.155 0.6482 1.759 1.149 3.381 4.019
[2,] 892.232 334.549 335.267 198.0582 678.285 328.372 1019.207 1086.703
[3,] 1035.476 317.613 356.481 167.8272 664.014 382.498 849.753 1211.079
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.276 1.088 1.158 0.9901 1.612 0.7978 1.286 13.15
[2,] 386.426 511.119 421.470 470.9877 527.757 254.9539 364.059 3414.12
[3,] 352.654 425.070 429.787 456.8575 516.161 285.5204 363.884 3958.42
[,97] [,98]
[1,] 4.909 3.257
[2,] 2250.903 1153.568
[3,] 2144.735 1145.980
[1] "--- VAR model 2017-10-05 01:01:00 completed"
[1] "Completed training sample: 2017-10-05 01:01:00 - 2017-10-05 09:00:00"
[1] "SpVAR; training sample: 2017-10-05 01:31:00 - 2017-10-05 09:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.209 10.03 -1.017 9.643
2.543 9.89 -9.245 20.845
-1.524 2.55 -6.740 -3.357
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.374 0.8569 -4.233 20.81
33.934 -2.6398 1.256 26.27
11.505 3.5936 10.898 10.85
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
18.030 18.61 -5.137 2.148
18.407 31.76 12.968 24.831
3.145 10.89 10.038 3.060
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
6.038 10.80 -5.148 -1.17461
-4.867 16.81 20.905 -0.09303
-2.970 22.46 21.784 0.02226
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.06 -6.148 17.917 33.709
14.30 5.768 -7.309 6.982
27.75 24.798 15.909 11.288
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-23.94 5.6814 -79.58 -22.759
-32.09 -8.2573 -20.01 -16.098
-22.85 -0.2543 -22.92 -4.456
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.523 -0.5617 12.3535 0.1053
5.710 4.1348 -14.1373 -17.9938
2.449 -24.9364 -0.2772 1.3404
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.501 4.6923 1.009 4.563
18.130 -0.5816 33.506 -7.415
-9.321 -0.8912 -30.354 3.964
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.575 11.20 6.440 -0.03713
7.241 -2.03 7.976 18.26417
3.347 11.78 22.271 -5.92726
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.131 -1.347 9.117 3.027
-18.511 4.962 10.378 1.309
12.575 3.072 -3.008 -1.164
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.605 -3.6915 -25.8234 7.741
-5.428 2.3084 -2.2020 -19.781
-2.579 0.4841 0.5202 5.571
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.616 9.7296 -2.819 5.90934
1.300 4.1429 15.857 -0.03814
3.431 -0.6166 -12.702 12.12105
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.735 0.9216 -4.158 5.934
11.239 0.5395 3.896 6.743
11.338 3.4137 4.124 11.466
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.287 -5.855 -4.526 9.5841
4.016 -5.753 -5.021 0.1369
-1.701 12.733 -3.724 4.2684
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.015 13.176 0.186 12.97
-4.087 -1.988 2.386 14.70
5.713 8.993 1.734 -10.37
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.665 1.902 2.130 7.8478
-6.429 3.134 -11.881 0.4346
5.630 4.168 5.291 1.1169
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.270 5.214 0.6077 -3.205
-4.208 -1.925 -1.1831 8.982
4.081 2.490 -0.1809 3.969
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.8321 -7.3345 -17.741 15.909
15.6385 4.3843 9.922 -13.027
0.8273 -0.3297 -1.669 3.578
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
26.503 30.71 7.463 10.686
1.758 -14.49 20.657 2.380
31.158 22.51 -1.045 1.643
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.895 -7.062 5.843 -6.914
-1.148 2.918 6.090 -3.867
-7.181 -2.044 1.204 -3.009
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.0899 5.073 3.509 3.4605
-15.9048 -4.249 4.942 0.9175
-0.2054 6.123 -4.293 0.9564
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.283 10.399 18.76 -6.285
1.758 3.141 -14.20 43.194
-5.905 4.391 14.16 -19.126
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8099 -8.821 -7.189 -4.566
2.5808 1.147 -2.980 -5.900
10.1950 -6.192 -7.826 -3.662
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
7.909 2.8211 -7.157 68.48
10.842 -0.7591 -13.606 30.48
-3.899 1.9413 -11.222 67.34
rnd_95776.volume rnd_95787.volume
4.674 -0.6488
25.095 -20.4536
37.164 -13.2982
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.879 0.9641 3.214 2.742 3.607 0.3411 1.092 3.343 3.349 2.585 1.448
[2,] 2.474 1.1804 3.985 3.668 4.904 0.4709 1.315 4.108 4.511 3.908 2.151
[3,] 2.986 1.3938 4.628 4.758 6.110 0.5827 1.538 4.815 5.108 4.525 2.676
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.773 1.417 2.653 2.190 2.152 2.470 2.248 3.657 2.578 4.453 1.823
[2,] 3.781 1.700 3.485 3.242 2.682 3.398 3.417 4.842 3.337 5.870 2.202
[3,] 4.758 2.005 4.141 3.835 3.110 4.044 4.171 5.543 4.065 7.147 2.490
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.696 3.318 0.7335 2.733 2.679 1.790 2.656 0.7749 2.736 2.227 1.105
[2,] 7.890 4.431 0.8435 3.619 3.708 2.312 3.642 0.9334 3.861 2.715 1.335
[3,] 9.438 5.219 1.0276 4.612 4.649 2.789 4.617 1.0496 4.721 3.172 1.603
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.855 2.716 2.522 2.380 1.797 1.435 0.4527 1.184 0.5020 2.065 1.810
[2,] 3.651 3.611 3.697 2.928 2.383 1.676 0.6513 1.510 0.6552 2.629 2.666
[3,] 4.324 4.389 4.612 3.354 3.043 1.886 0.7587 1.776 0.7906 3.044 3.178
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.175 0.9742 1.814 1.797 1.829 1.084 1.809 1.449 1.006 1.767 1.579
[2,] 1.590 1.1900 2.607 2.265 2.183 1.354 3.079 1.631 1.227 2.548 2.200
[3,] 1.889 1.4141 3.112 2.701 2.531 1.519 3.882 1.893 1.435 3.490 2.778
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.524 1.132 1.354 0.6097 1.683 0.9563 1.393 1.251 1.484 1.531 0.8032
[2,] 2.263 1.773 1.781 0.7798 2.323 1.1028 1.864 1.613 2.140 2.339 1.0167
[3,] 2.730 2.369 2.088 0.9621 2.921 1.2036 2.166 1.874 2.540 2.950 1.1774
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.539 1.111 2.457 0.6564 2.260 2.287 2.241 2.466 2.094 2.289 1.815
[2,] 2.082 1.390 3.317 0.8947 2.914 3.205 3.023 3.311 2.793 3.365 2.737
[3,] 2.527 1.600 4.047 1.0462 3.578 3.767 3.442 4.189 3.224 4.116 3.609
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4132 1.822 1.323 2.221 1.096 1.046 0.5730 1.515 1.042 2.988 3.351
[2,] 0.5412 2.757 1.690 2.991 1.328 1.266 0.7180 2.250 1.279 3.785 4.066
[3,] 0.6280 3.452 2.116 3.750 1.544 1.501 0.8188 2.733 1.563 4.383 4.995
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.040 1.012 1.009 0.8858 1.292 0.7334 0.9507 10.55 4.296 2.798
[2,] 1.350 1.525 1.427 1.3198 1.893 0.9643 1.1787 12.62 6.714 3.651
[3,] 1.633 1.862 1.763 1.6561 2.179 1.1649 1.3187 14.96 8.491 4.507
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.387 1.224 4.082 3.481 4.581 0.4331 1.387 4.244
[2,] 787.953 333.387 1152.830 1193.194 1626.353 158.9202 358.091 1168.822
[3,] 817.898 362.885 1152.370 1483.409 1784.631 168.0249 391.351 1230.042
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.253 3.282 1.838 3.521 1.799 3.369 2.781 2.733
[2,] 1479.518 1435.062 778.629 1258.220 459.915 1106.428 1169.919 783.362
[3,] 1173.560 1116.293 779.456 1414.422 520.897 1094.858 1003.572 770.664
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.136 2.855 4.644 3.274 5.655 2.315 5.963
[2,] 1142.635 1259.520 1553.814 1037.236 1872.713 604.631 3104.258
[3,] 1073.909 1171.459 1320.592 1136.409 1996.050 569.573 2535.068
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 4.214 0.9315 3.47 3.402 2.273 3.372 0.984 3.474
[2,] 1437.531 203.8858 1161.50 1255.223 716.953 1220.483 254.778 1334.067
[3,] 1350.238 287.3478 1399.55 1372.866 763.011 1389.187 235.001 1330.129
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.828 1.403 3.625 3.449 3.203 3.022 2.281 1.823
[2,] 760.290 367.377 1114.657 1165.037 1323.480 834.781 766.163 424.049
[3,] 802.854 434.086 1133.777 1220.912 1349.598 801.695 926.426 422.434
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.5749 1.504 0.6374 2.622 2.299 1.492 1.237 2.303
[2,] 229.2714 458.453 206.1833 796.765 958.117 524.494 334.580 916.998
[3,] 190.5262 458.081 216.6121 750.838 847.013 499.007 374.040 832.199
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.281 2.323 1.376 2.297 1.84 1.278 2.243 2.006
[2,] 675.377 583.596 397.612 1219.631 366.98 343.406 898.667 749.479
[3,] 719.941 626.980 336.858 1157.472 470.65 364.539 1167.857 831.063
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.935 1.437 1.719 0.7742 2.137 1.214 1.769 1.588
[2,] 818.675 667.983 566.311 237.9997 783.602 268.903 606.214 498.552
[3,] 748.082 769.049 534.339 275.9088 866.912 236.129 540.515 467.420
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.885 1.945 1.02 1.955 1.41 3.119 0.8335 2.87
[2,] 754.564 865.758 305.16 686.038 409.23 1091.467 297.6158 900.54
[3,] 670.196 879.801 290.71 701.214 387.39 1135.211 265.4807 1016.56
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 2.905 2.846 3.131 2.659 2.906 2.305 0.5247 2.314
[2,] 1099.383 992.843 1081.455 904.859 1207.831 1002.737 171.1527 1012.723
[3,] 968.704 806.096 1256.747 788.398 1160.479 1151.830 155.9099 1017.623
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.679 2.821 1.392 1.329 0.7277 1.924 1.323 3.794
[2,] 514.847 980.819 366.797 349.051 211.8301 814.233 363.195 1137.804
[3,] 623.782 1107.096 385.454 394.315 192.6229 759.418 440.194 1081.601
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 4.255 1.32 1.286 1.281 1.125 1.641 0.9314 1.207
[2,] 1127.485 421.78 558.405 494.022 478.982 677.208 306.4936 341.102
[3,] 1420.031 449.88 523.027 506.861 489.793 528.433 319.9939 289.470
[,96] [,97] [,98]
[1,] 13.39 5.455 3.554
[2,] 3394.74 2526.406 1147.990
[3,] 3929.99 2544.321 1293.851
[1] "--- VAR model 2017-10-05 01:31:00 completed"
[1] "Completed training sample: 2017-10-05 01:31:00 - 2017-10-05 09:30:00"
[1] "SpVAR; training sample: 2017-10-05 02:01:00 - 2017-10-05 10:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-11.4444 -0.7707 19.071 26.532
-0.7913 1.7009 2.661 -9.616
-20.7008 5.5859 10.582 6.016
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.763 -0.09619 -2.0804 8.712
3.876 1.09882 -3.1732 7.522
-14.599 -1.66051 -0.9282 -7.661
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
22.041 -11.62 1.132 -24.85
8.929 23.79 1.896 1.81
-2.012 29.25 -6.569 10.12
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.4056 -12.3770 -2.014 14.971
0.8504 -2.9787 -13.101 -6.952
1.4551 -0.3293 -4.760 -7.864
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.744 -10.596 -26.252 16.585
-12.312 -4.737 -4.799 -7.817
-4.151 -10.143 3.056 -21.843
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
24.16 -15.939 -36.37 21.87
16.60 0.301 62.54 19.51
16.65 -14.239 18.65 36.04
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.0163 16.1278 13.160 0.6551
0.2974 -0.7253 27.881 16.5308
-4.5656 23.4064 1.243 7.7134
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
7.932 1.333 -25.428 5.925
-11.029 -2.685 10.089 7.806
11.542 -1.494 1.461 10.533
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
5.048 -12.619 19.23 -2.804
-4.413 1.107 -18.39 -15.191
-4.071 19.520 -22.40 -14.807
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4862 -1.984 -3.820 -0.2855
-14.4631 -5.738 -9.194 0.5879
4.6568 5.449 -8.890 -5.7429
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.175 -0.7080 -8.531 -19.28
5.630 3.9833 -3.253 -26.69
-2.284 -0.1162 -13.017 -18.50
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.8032 12.388 -2.724 -3.360
0.2239 2.924 -15.980 -7.022
-4.8174 -4.261 -1.681 7.811
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.5397 3.249 -4.982 7.769
-0.7950 -3.168 2.854 -6.061
0.9223 -4.589 -10.470 -3.693
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.624 -7.590 5.874 7.0357
2.002 7.547 7.446 -1.4093
2.092 -10.465 -10.224 -0.3802
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.439 -0.5977 -1.920 14.097
3.332 -14.9541 -2.754 -8.038
8.606 11.5526 -4.995 -1.562
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.6646 -6.09603 -2.167 1.483
0.7214 -7.41783 4.002 -6.745
-1.6563 0.09974 9.980 -7.719
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.620 -3.720 -3.640 -5.768
-7.702 -2.742 -8.922 -3.980
-8.288 -2.679 -4.004 -3.370
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.504 3.028 -18.6788 -1.058
-19.199 -1.112 0.5571 -29.247
-1.156 -6.963 -4.5756 -2.983
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
25.24 -10.05 -0.7232 -26.816
12.14 -11.81 -2.1438 -19.428
-25.56 -32.86 -10.0583 8.756
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.848 1.7108 -3.098 -1.090
-11.866 -1.0677 -12.480 -8.460
-6.977 0.7797 -19.289 -7.022
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.338 5.511 -4.857 -1.026
-12.983 -3.408 8.795 3.377
-27.441 -3.674 -2.747 1.080
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.927 0.05248 -23.2139 -8.634
-1.415 -1.27429 -0.4451 -6.941
-9.099 3.95324 -13.9576 9.250
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-9.162 -3.995 7.075 6.687
-1.023 -5.742 -5.894 -5.536
-1.200 -5.712 -7.249 -10.205
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2648 -4.9653 -10.649 -10.35
6.9123 0.6544 -8.074 -10.16
-5.5751 -2.7197 -10.030 31.73
rnd_95776.volume rnd_95787.volume
29.82 33.06
-24.75 6.48
3.28 27.20
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.035 1.150 3.441 3.046 4.068 0.460 1.179 3.430 3.502 2.900 1.492
[2,] 2.816 1.353 4.516 4.002 5.363 0.592 1.378 4.439 4.758 4.213 2.320
[3,] 3.473 1.546 5.253 5.185 6.539 0.698 1.659 5.224 5.522 4.956 2.836
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.967 1.550 2.857 2.499 2.320 2.611 2.413 3.848 3.061 4.857 1.978
[2,] 4.176 1.863 3.884 3.659 3.022 3.644 3.628 5.073 4.019 6.571 2.372
[3,] 5.107 2.203 4.416 4.185 3.567 4.525 4.514 5.923 4.777 7.847 2.720
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.297 3.840 0.7981 2.839 3.076 1.986 2.980 0.8033 3.027 2.478 1.223
[2,] 8.495 4.808 0.9432 3.816 4.228 2.523 3.988 0.9926 4.368 2.952 1.500
[3,] 10.350 5.770 1.1372 5.011 5.237 3.046 5.063 1.1227 5.338 3.405 1.761
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.079 2.982 2.748 2.650 2.159 1.598 0.5541 1.341 0.5593 2.364 2.126
[2,] 4.046 4.036 4.189 3.346 2.817 1.936 0.7516 1.731 0.7255 2.908 3.053
[3,] 4.819 4.825 4.959 3.823 3.401 2.164 0.8709 2.010 0.8751 3.354 3.608
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.560 1.092 2.116 2.038 1.983 1.099 2.279 1.600 1.104 1.857 1.754
[2,] 1.918 1.313 2.817 2.494 2.425 1.431 3.503 1.901 1.364 2.822 2.445
[3,] 2.229 1.530 3.439 2.991 2.838 1.626 4.312 2.153 1.589 3.827 3.171
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.693 1.311 1.563 0.7109 1.917 1.038 1.589 1.471 1.660 1.777 0.9041
[2,] 2.577 2.121 2.013 0.8923 2.775 1.204 2.186 1.803 2.335 2.658 1.1559
[3,] 3.146 2.894 2.344 1.0748 3.351 1.311 2.512 2.042 2.736 3.389 1.3449
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.660 1.299 2.608 0.7968 2.630 2.529 2.470 2.795 2.497 2.504 2.132
[2,] 2.226 1.624 3.607 1.0133 3.334 3.572 3.300 3.772 3.151 3.779 3.290
[3,] 2.713 1.820 4.336 1.1598 4.050 4.210 3.784 4.503 3.677 4.764 4.263
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5363 1.947 1.591 2.544 1.193 1.097 0.6694 1.708 1.152 3.453 3.391
[2,] 0.6932 3.081 1.912 3.316 1.448 1.362 0.8205 2.565 1.480 4.502 4.266
[3,] 0.7727 3.837 2.341 4.295 1.654 1.641 0.9372 3.077 1.793 5.142 5.262
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.266 1.252 1.219 1.043 1.536 0.8858 0.9118 11.10 4.993 3.288
[2,] 1.649 1.817 1.728 1.629 2.124 1.1396 1.1517 12.88 7.782 4.127
[3,] 1.936 2.272 2.090 2.016 2.433 1.3502 1.2868 15.17 9.405 5.184
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.585 1.461 4.369 3.868 5.166 0.5841 1.498 4.355
[2,] 820.383 300.191 1232.519 1093.541 1473.095 157.0554 300.750 1187.724
[3,] 856.435 315.091 1130.577 1389.563 1576.694 155.8299 389.287 1160.738
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.447 3.682 1.895 3.768 1.969 3.628 3.173 2.946
[2,] 1357.286 1288.188 748.673 1238.501 435.590 1108.968 1126.700 816.319
[3,] 1181.287 1099.573 687.165 1239.041 495.757 885.615 856.081 798.758
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.315 3.064 4.887 3.887 6.168 2.511 6.726
[2,] 1071.093 1142.187 1392.799 1097.560 1864.850 551.979 2798.927
[3,] 1130.490 1131.499 1288.541 1088.725 1807.582 561.097 2491.752
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 4.876 1.013 3.606 3.907 2.522 3.784 1.02 3.844
[2,] 1219.738 211.826 1074.479 1222.507 655.565 1117.278 245.71 1326.894
[3,] 1344.048 267.770 1368.455 1302.191 719.261 1314.624 221.04 1293.177
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 3.147 1.553 3.91 3.787 3.49 3.364 2.742 2.029
[2,] 675.577 366.201 1106.55 1146.244 1332.54 861.135 762.374 460.887
[3,] 715.007 388.778 1102.59 1114.178 1118.14 779.737 803.396 407.075
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.7036 1.702 0.7103 3.002 2.7 1.981 1.387 2.687
[2,] 214.0088 461.278 194.7375 713.699 923.6 470.619 306.735 783.843
[3,] 185.4134 431.131 206.2390 704.438 810.3 478.241 331.308 831.409
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.587 2.518 1.396 2.894 2.032 1.402 2.358 2.228
[2,] 605.861 587.951 385.833 1121.227 432.191 337.581 895.446 717.563
[3,] 696.355 621.128 325.462 1059.850 426.404 343.358 1089.479 851.083
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 2.15 1.665 1.985 0.9027 2.435 1.318 2.017 1.869
[2,] 818.70 702.526 534.680 227.2855 845.285 257.719 632.573 439.328
[3,] 760.69 829.837 506.442 252.5219 792.024 218.047 522.150 403.916
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.108 2.256 1.148 2.108 1.65 3.311 1.012 3.339
[2,] 692.299 833.245 303.558 625.314 410.42 1050.250 263.855 863.897
[3,] 600.359 886.078 289.739 653.415 346.50 1014.117 237.809 968.542
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 3.211 3.136 3.549 3.17 3.18 2.708 0.681 2.472
[2,] 1063.311 922.328 1067.235 810.45 1192.89 1056.173 185.102 1006.609
[3,] 938.673 780.621 1036.636 797.98 1222.20 1142.136 143.877 963.315
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.02 3.23 1.515 1.393 0.85 2.168 1.463 4.385
[2,] 446.92 896.57 345.410 340.459 199.99 806.600 391.516 1217.182
[3,] 569.65 1150.23 336.789 385.884 190.88 716.639 426.572 1046.723
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 4.306 1.607 1.589 1.548 1.324 1.951 1.125 1.158
[2,] 1090.648 445.178 554.958 516.479 527.682 618.322 302.165 296.492
[3,] 1298.439 427.822 574.691 495.474 500.323 499.637 305.119 241.892
[,96] [,97] [,98]
[1,] 14.1 6.34 4.176
[2,] 2753.1 2515.94 1050.784
[3,] 3380.1 2225.75 1322.105
[1] "--- VAR model 2017-10-05 02:01:00 completed"
[1] "Completed training sample: 2017-10-05 02:01:00 - 2017-10-05 10:00:00"
[1] "SpVAR; training sample: 2017-10-05 02:31:00 - 2017-10-05 10:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
13.656 7.124 -3.638 -5.263
-4.236 -4.006 -2.559 7.654
5.639 -2.306 4.186 -8.952
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
8.133 -0.2877 -2.607 -3.229
-3.959 1.0679 5.126 6.374
18.984 -0.6176 3.941 -0.213
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.918 14.207 -2.4436 -7.705
11.058 1.814 -0.1887 1.527
-6.199 8.644 9.5617 -12.568
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.723 2.157 -3.555 -6.7527
-7.674 18.922 15.707 -0.5678
5.420 -9.418 5.893 -5.3094
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.460 3.444 13.493 2.598
14.427 -1.025 7.236 16.301
9.379 10.386 -17.063 -13.097
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
16.70 -1.594 -13.27 2.483
-23.78 -6.510 30.64 4.936
-12.89 4.050 -35.12 2.813
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.5499 -2.050 -7.676 19.245
-0.9173 15.936 1.961 -1.138
-1.4066 4.474 6.471 10.026
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.167 1.257 4.523 15.785
5.620 2.202 -11.460 -3.889
-4.590 0.515 8.692 9.261
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.221 18.446 -0.6252 1.0230
-0.192 -13.545 18.2199 12.7220
-5.642 6.518 2.4451 0.5755
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.826 -2.827 -4.0801 1.13872
-5.800 -10.525 -0.2572 0.01411
7.210 9.096 2.9042 -1.30225
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.423 0.5564 -9.033 -2.053
-7.296 -1.5003 -11.001 -16.803
1.459 2.5499 -3.160 4.735
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.578 -0.6031 -4.770 -7.757
6.444 0.4706 -19.190 12.212
6.296 0.2124 6.441 -9.104
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.72992 6.7417 5.09 -2.919
-3.97662 -0.7762 -5.52 5.927
-0.08612 -3.4997 -9.55 1.701
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.016 -4.993 -0.8307 4.816
-5.000 3.530 8.2127 3.626
4.875 -15.564 -4.6017 1.941
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.7091 3.750 0.3305 -2.333
-1.5311 9.886 3.1570 1.915
10.5201 -4.005 2.6185 -5.032
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.041 4.2846 3.392 4.155
-2.438 -0.2313 -10.280 -11.955
-3.923 -2.1199 1.680 1.362
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.4402 1.832 0.9698 -4.7960
0.6737 -2.784 3.0100 -0.3859
-3.8503 3.518 -2.3587 0.9571
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.724 -0.7371 0.3663 1.134
13.282 5.5657 -5.0882 8.518
-11.182 -0.9689 6.4955 -4.791
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.725 9.205 11.491 10.653
-1.135 -6.918 4.788 17.982
9.197 24.165 5.863 -2.726
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-17.384 -0.33949 -9.136 -9.488
20.261 -0.07537 10.002 1.201
-5.726 0.54126 5.247 2.022
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.16 1.3330 -1.6344 0.88411
-16.15 -5.9276 -0.3016 -2.61726
18.51 0.2595 2.0123 0.09637
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.4844 -4.423 3.874 12.6705
-6.5024 3.885 6.816 -15.4570
0.3042 -1.382 7.813 -0.6947
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.677 -1.842 1.881 -2.518
0.453 -5.252 -4.427 -8.611
-4.249 -3.276 -4.963 -2.454
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.2350 4.654 -6.319 -14.04
-0.4201 -6.647 -6.954 -19.14
-2.8602 1.206 -5.479 -20.32
rnd_95776.volume rnd_95787.volume
-7.764 -1.684
-29.904 11.766
8.051 5.265
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.164 1.227 3.940 3.490 4.360 0.5477 1.310 3.728 3.902 3.213 1.682
[2,] 2.993 1.480 4.893 4.639 5.887 0.6745 1.571 4.689 5.156 4.566 2.512
[3,] 3.711 1.745 5.639 5.841 7.180 0.7855 1.794 5.400 5.833 5.331 2.968
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.170 1.715 3.077 2.708 2.402 2.919 2.676 4.190 3.460 5.672 2.224
[2,] 4.399 2.061 4.121 4.001 3.136 3.983 4.073 5.458 4.443 7.172 2.648
[3,] 5.410 2.413 4.712 4.511 3.684 4.887 5.099 6.456 5.266 8.672 2.975
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.157 4.308 0.9741 3.117 3.476 2.334 3.334 0.8764 3.533 2.558 1.328
[2,] 9.592 5.060 1.1147 4.371 4.717 2.900 4.612 1.0942 5.028 3.062 1.607
[3,] 11.272 6.127 1.2880 5.657 5.564 3.414 5.564 1.2315 5.979 3.610 1.869
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.470 3.221 3.014 2.880 2.339 1.662 0.7000 1.449 0.6744 2.426 2.311
[2,] 4.370 4.375 4.616 3.735 3.168 2.046 0.9036 1.909 0.8529 2.997 3.263
[3,] 5.351 5.295 5.424 4.260 3.859 2.293 1.0244 2.211 0.9939 3.581 3.809
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.844 1.256 2.296 2.234 2.145 1.180 2.506 1.829 1.208 2.015 2.020
[2,] 2.272 1.514 3.050 2.703 2.618 1.562 3.676 2.248 1.462 2.987 2.704
[3,] 2.610 1.744 3.707 3.176 3.049 1.791 4.516 2.508 1.695 4.087 3.413
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.829 1.395 1.675 0.8159 2.282 1.044 1.888 1.685 1.905 1.923 0.9794
[2,] 2.674 2.382 2.170 0.9808 3.151 1.252 2.512 1.966 2.694 3.161 1.2502
[3,] 3.338 3.218 2.585 1.1610 3.784 1.387 2.866 2.249 3.119 3.887 1.4487
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.793 1.397 2.920 0.9355 2.902 2.735 2.606 3.076 2.776 2.903 2.501
[2,] 2.504 1.766 3.863 1.1254 3.758 3.692 3.473 4.276 3.537 4.124 3.719
[3,] 3.155 2.078 4.684 1.3163 4.511 4.423 3.957 5.183 4.170 5.098 4.893
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6017 2.361 1.761 2.946 1.321 1.310 0.7889 1.857 1.401 3.819 3.704
[2,] 0.7493 3.673 2.132 3.840 1.577 1.572 0.9407 2.738 1.727 4.984 4.803
[3,] 0.8486 4.499 2.536 4.788 1.812 1.787 1.0642 3.270 2.118 5.589 5.697
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.384 1.361 1.318 1.157 1.827 1.013 0.8649 11.05 6.088 3.718
[2,] 1.803 1.924 1.855 1.758 2.466 1.280 1.0866 13.03 9.097 4.411
[3,] 2.086 2.400 2.203 2.181 2.775 1.506 1.2325 15.45 10.658 5.539
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.747 1.558 5.003 4.431 5.537 0.6954 1.664 4.734
[2,] 797.959 319.509 1120.046 1179.657 1526.508 151.9737 334.592 1097.573
[3,] 846.904 356.485 1081.523 1370.361 1586.410 155.3831 334.083 1033.973
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.955 4.08 2.136 4.026 2.177 3.907 3.439 3.051
[2,] 1300.823 1251.99 720.265 1176.876 441.502 1057.805 1136.643 778.086
[3,] 1052.856 1062.42 609.682 1215.887 484.553 882.064 804.207 746.366
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.707 3.398 5.321 4.394 7.203 2.824 7.819 5.47
[2,] 1045.884 1185.023 1350.034 1075.457 1694.005 554.981 2838.985 1024.58
[3,] 1093.209 1184.235 1330.725 1091.091 1881.490 523.452 2285.245 1333.39
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.237 3.959 4.414 2.963 4.233 1.113 4.487 3.248
[2,] 209.177 1182.553 1230.871 664.424 1230.230 252.871 1381.008 649.684
[3,] 249.077 1386.330 1139.084 695.348 1201.257 218.157 1248.260 738.126
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.687 4.406 4.091 3.827 3.657 2.97 2.11 0.8889
[2,] 349.013 1025.504 1142.731 1349.277 918.198 824.80 460.80 220.5332
[3,] 368.755 1191.642 1151.390 1099.247 790.996 850.61 399.99 186.3081
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.84 0.8564 3.081 2.934 2.342 1.595 2.916 2.837
[2,] 479.95 201.5319 679.197 889.182 511.756 326.045 775.173 587.027
[3,] 430.33 196.9855 756.158 758.603 496.419 333.997 813.018 643.570
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.724 1.499 3.182 2.322 1.534 2.559 2.565 2.323
[2,] 579.426 394.755 1037.951 504.514 317.586 851.206 694.013 752.713
[3,] 602.921 338.229 1013.045 429.422 331.153 1076.477 804.040 771.179
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.771 2.127 1.036 2.898 1.326 2.398 2.14 2.419
[2,] 745.189 532.126 210.107 838.863 266.994 639.371 390.36 735.417
[3,] 835.088 542.505 239.761 808.538 230.307 532.753 422.23 606.691
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.442 1.244 2.277 1.774 3.708 1.188 3.686 3.473
[2,] 968.317 299.946 674.900 417.048 976.395 241.461 921.666 956.957
[3,] 872.743 282.534 740.549 422.976 1022.120 263.509 962.692 940.336
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.309 3.907 3.525 3.687 3.175 0.764 2.998 2.236
[2,] 886.415 1146.222 846.084 1130.653 1062.439 172.403 1086.122 463.910
[3,] 731.722 1130.687 852.624 1156.463 1227.341 153.700 1002.771 530.134
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.741 1.678 1.663 1.002 2.358 1.779 4.849 4.704
[2,] 950.462 332.210 335.653 197.786 776.700 389.937 1236.153 1180.074
[3,] 1104.167 344.374 327.734 192.098 689.937 472.976 975.884 1182.616
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.758 1.728 1.674 1.469 2.32 1.286 1.098 14.03
[2,] 446.046 524.912 503.614 510.734 639.07 301.958 253.894 2664.74
[3,] 405.044 553.697 458.740 498.233 491.18 306.570 224.502 3202.43
[,97] [,98]
[1,] 7.73 4.721
[2,] 2609.18 916.103
[3,] 2143.10 1293.212
[1] "--- VAR model 2017-10-05 02:31:00 completed"
[1] "Completed training sample: 2017-10-05 02:31:00 - 2017-10-05 10:30:00"
[1] "SpVAR; training sample: 2017-10-05 03:01:00 - 2017-10-05 11:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-14.98 9.663 16.04 19.605
-16.57 -4.589 22.37 -1.724
-14.57 2.992 -19.93 59.538
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-19.216 0.3402 -8.713 9.591
-1.249 1.1669 5.060 7.946
10.658 5.9406 -2.090 8.272
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
16.927 4.603 4.522 -28.878
6.950 -4.031 5.771 -9.833
3.799 -2.695 -7.281 -14.773
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-23.64370 -7.821 -5.545 2.044
-0.09686 -6.214 -3.901 -4.159
-5.18155 -2.673 -2.369 10.650
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.270 12.694 -5.228 14.301
-13.970 -4.093 -8.011 -3.117
-5.793 -12.287 12.690 4.874
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-24.12 -3.254 6.808 -10.394
33.54 2.422 -24.570 2.218
22.67 3.314 11.589 -18.345
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.1131 -18.23 13.23 5.422
-0.6159 17.53 19.24 -3.956
1.8793 -15.32 16.68 -11.949
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.322 -6.7437 -1.159 -14.92
9.534 -0.1487 25.502 -4.14
49.108 1.6909 17.773 7.32
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.3399 -26.192 -7.742 11.793
-1.1259 5.854 -15.351 -31.926
0.5629 11.452 3.102 7.713
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-17.87176 6.8576 -8.494 2.3285
-0.07775 4.5145 8.312 0.3146
1.63275 -0.6657 0.871 1.7776
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
7.254 3.699 11.221 -6.474
-5.589 3.567 -1.007 1.841
-5.273 1.071 3.155 -19.648
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.764 -0.7507 5.213 13.208
3.396 4.9207 1.815 -9.524
-2.595 6.9302 -4.511 -1.434
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-23.195 1.074 -5.425 0.548
5.205 8.438 16.972 7.839
-4.158 1.818 -4.359 5.529
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-8.364 -22.311 -14.1068 -3.208
3.481 1.947 -0.8824 -24.463
1.789 6.649 3.8662 10.088
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.191 4.603 2.104 -4.440
-12.093 -3.637 2.905 -8.425
-4.056 11.579 -6.386 -27.700
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.6206 -0.1832 -6.739 -3.531
1.7142 -12.4018 2.331 -4.214
0.9026 -0.5610 1.721 -7.579
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.485 13.0860 1.974 0.3328
1.372 -0.9202 -7.695 -6.3369
-18.078 4.6026 -15.321 1.7307
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.957 0.1808 -25.744 -11.84
-13.136 1.8952 -15.688 -11.35
-8.899 2.3640 -7.879 -28.40
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
18.37 7.567 -6.369 -9.395
-11.77 -30.068 4.704 -28.942
18.20 -19.867 -1.760 -12.678
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.296 -1.1452 -0.9533 -0.6727
-22.090 -0.8841 -3.8943 14.6048
-32.017 0.4084 -19.4334 4.4534
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.181 -1.5283 1.217 -0.3443
6.509 8.1374 -4.571 -4.9753
-12.168 0.9738 2.742 -0.4712
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.791 11.918 3.870 -7.064
5.514 -3.870 3.939 14.857
5.390 -3.923 -21.579 -6.837
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.052 -1.1133 -2.1241 -2.702
-8.508 3.9600 -1.3148 9.513
-1.033 0.4461 0.6419 -2.193
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
7.107 3.448 -8.781 -1.560
-2.480 2.173 -7.901 5.957
6.740 1.589 -8.001 8.872
rnd_95776.volume rnd_95787.volume
33.55 -9.812
38.76 -4.958
-16.37 -5.764
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.461 1.361 4.452 3.596 5.112 0.6471 1.439 4.043 4.267 3.545 1.964
[2,] 3.182 1.618 5.374 4.850 6.572 0.7744 1.711 5.242 5.706 4.958 2.797
[3,] 4.083 1.852 6.178 6.238 7.804 0.9016 1.932 5.866 6.400 5.799 3.266
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.423 1.841 3.370 2.950 2.706 3.083 2.904 4.420 3.723 6.155 2.443
[2,] 4.745 2.196 4.485 4.285 3.427 4.210 4.308 5.761 4.756 7.613 2.812
[3,] 5.694 2.591 4.950 4.781 4.013 5.194 5.428 6.876 5.579 9.322 3.216
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.641 4.704 1.026 3.366 3.839 2.813 3.424 0.9536 3.821 3.007 1.458
[2,] 10.548 5.688 1.231 4.808 5.243 3.388 4.902 1.2043 5.401 3.417 1.772
[3,] 12.350 6.854 1.437 6.288 6.321 3.856 5.985 1.3504 6.454 3.942 2.053
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.788 3.569 3.289 3.326 2.504 1.953 0.7914 1.635 0.7931 2.665 2.590
[2,] 4.722 4.834 4.880 4.115 3.390 2.258 0.9999 2.106 0.9773 3.315 3.575
[3,] 5.864 5.903 5.769 4.653 4.079 2.525 1.1252 2.466 1.1366 3.872 4.208
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.980 1.405 2.680 2.540 2.299 1.321 2.740 2.039 1.317 2.241 2.128
[2,] 2.427 1.706 3.611 3.114 2.968 1.706 4.089 2.508 1.616 3.294 2.914
[3,] 2.759 1.917 4.188 3.611 3.490 1.962 5.052 2.807 1.895 4.440 3.733
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.115 1.543 2.073 0.8978 2.465 1.109 2.162 1.865 2.297 2.196 1.114
[2,] 2.990 2.583 2.674 1.0957 3.396 1.310 2.738 2.150 3.006 3.456 1.486
[3,] 3.747 3.420 3.031 1.2549 4.150 1.468 3.181 2.435 3.396 4.127 1.666
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.021 1.554 3.124 1.086 3.172 2.917 2.979 3.531 3.172 3.258 2.825
[2,] 2.900 1.907 4.231 1.271 4.088 4.019 3.997 4.684 3.967 4.565 4.082
[3,] 3.464 2.226 5.066 1.441 4.982 4.804 4.595 5.609 4.549 5.570 5.140
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7199 2.711 1.989 3.223 1.341 1.418 0.8789 2.070 1.560 4.484 4.062
[2,] 0.8685 3.947 2.355 4.267 1.621 1.745 1.0578 3.068 1.929 5.561 5.330
[3,] 0.9800 4.781 2.804 5.288 1.862 1.998 1.1866 3.568 2.351 6.142 6.301
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.534 1.564 1.425 1.316 1.958 1.129 0.846 11.06 6.905 4.217
[2,] 2.002 2.153 2.098 1.953 2.677 1.405 1.059 13.13 10.590 5.136
[3,] 2.241 2.596 2.458 2.349 3.017 1.668 1.213 15.69 12.396 6.286
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.125 1.729 5.653 4.567 6.492 0.8217 1.827 5.134
[2,] 659.614 286.093 983.749 1064.002 1350.198 139.0725 302.913 1091.004
[3,] 836.183 294.412 996.645 1282.437 1376.170 150.9921 293.052 860.393
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.418 4.502 2.494 4.347 2.338 4.279 3.746 3.436
[2,] 1238.824 1133.232 650.948 1074.038 391.434 967.530 1016.287 687.500
[3,] 947.124 983.140 551.372 1029.371 449.703 684.761 693.144 682.616
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.915 3.688 5.612 4.728 7.815 3.102 8.433 5.974
[2,] 937.524 1040.443 1208.114 967.503 1465.040 455.272 2679.271 1045.582
[3,] 994.583 1079.724 1227.471 953.405 1758.564 510.364 2099.963 1250.200
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.303 4.275 4.874 3.572 4.348 1.211 4.852 3.818
[2,] 222.071 1122.345 1167.760 617.291 1146.823 240.468 1248.003 530.611
[3,] 242.435 1324.659 1153.999 602.044 1122.628 199.750 1155.289 642.543
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.851 4.811 4.532 4.176 4.224 3.18 2.479 1.005
[2,] 329.206 921.691 1065.729 1178.798 791.911 747.16 370.709 199.824
[3,] 339.073 1136.659 1107.944 1005.756 710.372 741.76 369.837 168.663
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.076 1.007 3.384 3.289 2.515 1.784 3.403 3.225
[2,] 434.081 186.698 644.561 805.421 458.929 316.780 791.215 588.827
[3,] 419.613 189.716 654.013 725.751 428.426 285.945 693.390 597.807
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.919 1.677 3.479 2.589 1.672 2.845 2.703 2.686
[2,] 613.928 352.792 992.544 477.299 306.164 789.297 650.811 691.033
[3,] 600.035 316.735 969.786 412.272 323.572 973.358 762.946 738.341
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.959 2.632 1.14 3.131 1.408 2.745 2.369 2.916
[2,] 677.158 552.108 205.37 763.423 227.940 549.448 349.555 633.830
[3,] 733.183 466.891 199.96 780.218 216.778 529.622 373.773 517.181
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.788 1.414 2.567 1.974 3.967 1.379 4.028 3.705
[2,] 872.429 321.890 679.696 361.418 932.560 215.763 842.951 903.795
[3,] 737.398 246.207 619.519 375.088 911.156 222.500 931.119 860.330
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.782 4.484 4.028 4.137 3.587 0.9141 3.442 2.526
[2,] 871.473 1005.849 779.055 1045.550 963.675 158.8420 937.909 411.818
[3,] 741.219 1008.729 727.453 1043.061 1020.953 148.4060 881.863 497.537
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.093 1.703 1.801 1.116 2.628 1.981 5.693 5.158
[2,] 914.112 297.344 332.473 192.426 740.317 370.817 1075.588 1128.205
[3,] 1021.140 300.021 318.254 175.782 595.665 439.466 852.324 1098.671
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.948 1.987 1.809 1.671 2.487 1.433 1.074 14.04
[2,] 420.716 483.647 503.413 471.826 596.515 273.726 208.255 2316.60
[3,] 329.008 474.075 418.522 426.909 455.104 293.487 193.526 2804.39
[,97] [,98]
[1,] 8.768 5.354
[2,] 2625.234 958.712
[3,] 2106.677 1185.020
[1] "--- VAR model 2017-10-05 03:01:00 completed"
[1] "Completed training sample: 2017-10-05 03:01:00 - 2017-10-05 11:00:00"
[1] "SpVAR; training sample: 2017-10-05 03:31:00 - 2017-10-05 11:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.2033 5.226 -14.281 -26.39
-6.5632 -7.887 9.416 -21.01
-0.9805 1.459 -1.344 -22.00
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-16.564 2.7949 8.735 -2.334
-13.858 2.3833 -4.416 7.311
-5.285 0.5459 5.238 -10.222
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.422 6.850 7.114 -14.47
-7.489 -2.833 3.382 -26.27
-9.198 -2.454 1.210 -15.26
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.667 0.5488 -1.697 6.6481
-8.900 -6.0159 -10.746 3.9191
-4.640 -8.6526 -5.972 0.7344
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.839 8.346 14.87 20.700
7.666 7.832 4.57 21.520
-1.482 10.798 16.64 7.904
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-18.194 3.9530 -14.160 -10.922
-3.483 0.6985 -4.864 1.020
-11.888 -4.7365 -2.951 -9.023
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.7306 -23.72 -18.842 3.8151
-0.2367 -10.70 -5.396 -0.5242
-0.7124 12.88 -5.827 6.5398
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.10 -4.5193 -27.93 -6.5954
-21.59 0.3843 -13.75 0.9429
-24.99 0.5725 -13.93 -4.6948
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.4127 -29.8977 -10.89 -8.945
0.1396 0.3055 -18.57 -7.958
1.1984 -18.9015 -2.23 -15.607
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.662 8.331 6.068 -2.309
-19.610 -13.881 2.253 1.828
-7.932 4.656 3.619 -1.826
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.694 -1.8235 -14.268 -1.762
-1.341 0.8753 -9.323 -19.570
5.551 -0.5752 -5.220 -16.423
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
14.589 0.6273 6.057 1.9281
8.356 0.7762 1.994 -0.9844
9.276 6.8628 1.513 7.9538
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.189 3.210 -23.113 14.135
1.729 -6.301 8.670 6.160
1.405 4.220 1.523 8.356
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.107 -10.222 -2.165 -7.9539
-5.766 -8.739 -18.425 0.9818
3.568 13.158 9.524 -12.7638
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.261 15.0426 -0.4325 -7.3910
3.085 7.9966 -0.1652 2.3651
-14.602 0.5963 0.2411 0.9393
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.8153 -0.2049 -6.105 -12.685
-0.9643 -3.4420 3.376 6.497
-4.2864 7.8724 8.774 -14.907
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.081 0.8848 -0.7098 -8.326
-1.180 0.2865 -8.1335 3.198
-3.857 -2.5585 3.1610 1.532
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.373 1.3691 5.9708 -1.243
-5.028 -0.8993 6.6352 -4.323
5.782 -1.5866 0.2534 2.821
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.042 -3.166 -4.835 -16.255
-5.893 -16.382 6.074 6.448
-6.769 -3.310 -25.035 -21.306
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.4621 -0.4748 4.831 -1.071
-20.2381 0.5120 -7.885 -6.622
-5.3599 1.0780 -3.956 4.476
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.1202 -3.7617 -7.4210 4.340
-16.2544 -0.4521 -2.1967 -5.498
-0.2009 -4.3649 0.5431 1.085
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.720 -3.288 0.7284 17.106
2.121 -1.632 0.4636 -3.886
-16.814 -4.623 15.5637 19.217
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.618 3.510 -1.6818 2.189
3.699 1.098 5.8717 -2.453
3.107 -1.017 -0.6485 1.307
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-13.913 3.1896 -9.362 0.1368
3.369 -0.2436 -10.036 15.2927
0.514 1.2652 -10.415 -17.6073
rnd_95776.volume rnd_95787.volume
-25.7488 -23.937
-0.3724 7.049
10.5142 -9.361
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.700 1.508 4.979 4.072 5.531 0.7694 1.551 4.470 4.822 3.730 2.064
[2,] 3.523 1.805 5.929 5.408 7.239 0.8939 1.820 5.557 6.053 5.210 2.990
[3,] 4.333 2.078 6.874 6.872 8.443 1.0347 2.061 6.261 6.874 6.134 3.472
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.798 2.023 3.605 3.194 3.102 3.215 3.252 4.656 3.984 6.907 2.653
[2,] 5.069 2.341 4.672 4.519 3.834 4.589 4.684 6.143 5.120 8.195 3.032
[3,] 6.033 2.762 5.203 5.053 4.483 5.628 5.807 7.329 5.999 9.786 3.447
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.118 4.850 1.154 3.719 4.147 3.052 3.637 1.080 4.266 3.349 1.673
[2,] 11.661 5.967 1.365 5.299 5.688 3.727 5.225 1.310 5.702 3.881 1.988
[3,] 13.524 7.213 1.600 6.657 6.884 4.182 6.478 1.469 6.891 4.426 2.247
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.019 4.033 3.768 3.553 2.662 2.167 0.8962 1.986 0.8952 2.928 2.747
[2,] 5.128 5.412 5.268 4.406 3.607 2.567 1.1320 2.414 1.0762 3.641 3.886
[3,] 6.214 6.348 6.173 4.944 4.432 2.877 1.2823 2.760 1.2384 4.325 4.437
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.153 1.594 2.935 2.679 2.607 1.590 2.985 2.110 1.398 2.547 2.289
[2,] 2.660 1.939 4.029 3.284 3.298 1.964 4.471 2.645 1.728 3.552 3.129
[3,] 2.977 2.151 4.529 3.788 3.702 2.239 5.419 3.022 2.049 4.830 3.957
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.380 1.784 2.364 0.9978 2.783 1.164 2.300 1.981 2.497 2.462 1.208
[2,] 3.304 2.898 3.019 1.1761 3.639 1.373 2.864 2.343 3.260 3.723 1.573
[3,] 4.011 3.656 3.403 1.3337 4.387 1.533 3.333 2.604 3.771 4.380 1.791
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.160 1.870 3.347 1.194 3.357 3.160 3.629 3.877 3.512 3.598 3.156
[2,] 3.101 2.216 4.560 1.394 4.369 4.401 4.505 4.943 4.352 4.911 4.361
[3,] 3.710 2.517 5.345 1.610 5.242 5.211 5.104 5.820 5.025 6.007 5.495
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8157 2.919 2.137 3.579 1.431 1.562 1.017 2.306 1.805 5.121 4.399
[2,] 0.9707 4.239 2.531 4.655 1.780 1.907 1.207 3.316 2.135 6.193 5.711
[3,] 1.0750 5.175 2.961 5.830 2.057 2.161 1.339 3.854 2.533 6.836 6.754
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.685 1.688 1.541 1.414 2.148 1.301 0.7600 10.92 7.414 4.475
[2,] 2.143 2.340 2.259 2.101 2.855 1.577 0.9815 13.11 11.459 5.571
[3,] 2.382 2.746 2.592 2.497 3.170 1.819 1.1467 15.58 13.820 6.859
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.428 1.915 6.322 5.171 7.023 0.977 1.969 5.676
[2,] 612.113 268.443 870.990 962.893 1263.638 123.123 257.422 893.117
[3,] 682.743 278.206 940.975 1147.175 1175.823 140.992 261.643 780.256
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.124 4.736 2.621 4.823 2.569 4.578 4.056 3.94
[2,] 989.961 984.096 585.161 908.244 318.357 803.916 864.802 609.59
[3,] 881.277 875.958 477.548 885.014 396.476 619.686 611.907 628.24
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.083 4.129 5.912 5.059 8.771 3.368 9.039 6.159
[2,] 885.944 911.920 1084.305 870.053 1193.324 397.097 2498.793 940.330
[3,] 881.498 928.907 1081.249 845.786 1446.769 443.723 1853.461 1096.421
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.465 4.722 5.266 3.876 4.618 1.371 5.417 4.253
[2,] 197.387 1021.137 1053.262 578.787 1015.053 200.364 1023.717 530.658
[3,] 225.983 1090.502 1049.104 512.724 1035.774 179.874 1046.694 575.786
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.125 5.103 5.121 4.784 4.512 3.38 2.752 1.138
[2,] 290.131 861.719 976.292 995.930 704.932 658.83 371.998 187.096
[3,] 283.848 949.516 897.900 870.685 607.016 696.60 351.868 162.975
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.522 1.137 3.718 3.489 2.734 2.024 3.727 3.402
[2,] 371.409 161.638 585.530 743.668 422.524 298.848 746.707 513.956
[3,] 361.681 165.791 631.445 579.135 361.852 252.063 559.488 510.699
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.31 2.019 3.791 2.679 1.776 3.235 2.906 3.022
[2,] 546.41 311.853 900.521 431.493 274.631 669.671 577.204 620.224
[3,] 455.48 291.159 828.318 395.352 297.958 885.670 655.585 615.141
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.265 3.002 1.267 3.533 1.478 2.92 2.516 3.171
[2,] 617.962 507.816 168.423 634.315 197.101 461.75 338.554 566.999
[3,] 603.227 425.312 170.193 663.214 184.004 461.20 307.335 512.996
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.127 1.534 2.743 2.374 4.25 1.517 4.263 4.013
[2,] 755.281 272.386 601.821 321.875 837.87 194.346 756.737 828.669
[3,] 624.524 231.648 551.221 322.762 754.36 217.798 783.709 754.828
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 4.608 4.924 4.46 4.568 4.008 1.036 3.707 2.714
[2,] 722.384 829.448 695.03 904.246 814.260 142.388 831.666 366.883
[3,] 648.775 831.168 679.91 936.121 904.542 124.980 802.782 415.692
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.545 1.817 1.983 1.291 2.929 2.292 6.503 5.586
[2,] 805.024 286.387 296.242 175.944 644.537 308.662 941.998 985.439
[3,] 949.895 279.059 275.029 156.913 531.549 368.495 783.489 975.222
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.14 2.144 1.957 1.796 2.728 1.652 0.9651 13.87
[2,] 358.02 438.288 446.867 420.517 508.669 241.327 168.0244 1962.73
[3,] 281.44 388.611 343.693 364.773 373.083 245.066 160.4301 2275.84
[,97] [,98]
[1,] 9.415 5.682
[2,] 2363.936 897.784
[3,] 2090.001 1082.540
[1] "--- VAR model 2017-10-05 03:31:00 completed"
[1] "Completed training sample: 2017-10-05 03:31:00 - 2017-10-05 11:30:00"
[1] "SpVAR; training sample: 2017-10-05 04:01:00 - 2017-10-05 12:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.675 4.587 3.163 -19.412
-2.309 -1.192 12.131 -10.478
9.115 -2.028 -11.898 -9.344
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
28.430 1.913 -0.2957 13.106
-8.993 0.798 6.8794 -2.309
-29.749 3.256 1.7368 -12.573
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.664 9.821 2.302 -12.168
1.002 8.937 -5.785 -3.035
-8.636 -7.371 -10.358 -16.194
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.406 -3.5859 -12.0951 -13.005
-4.265 3.8872 0.9113 10.371
-4.699 0.1037 13.4389 -1.112
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-13.829 0.6624 -25.117 -18.941
9.770 -18.1161 7.297 12.083
2.359 12.4596 -1.814 5.896
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
23.025 0.8136 -26.27 13.754
6.905 -3.0604 42.52 -3.748
-11.008 -1.0796 -26.35 4.501
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.8199 -5.316 -45.207 22.461
-1.1048 -7.487 -2.795 -2.494
0.5207 -12.315 16.959 13.795
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.417 -2.6495 3.290 5.562
-16.101 0.3894 -35.828 -9.867
-2.779 -1.6999 -3.845 12.177
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.7180 9.879 22.060 -1.339
-10.3259 -25.039 -5.076 19.537
-0.7627 7.639 -30.484 -34.575
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-15.086 -15.212 -4.477 4.461
18.707 -5.194 1.575 -5.065
-6.164 6.861 4.715 2.547
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.865 -1.0967 -11.093 -7.327
-4.565 1.3930 -4.851 2.313
-3.548 0.9716 -2.076 -6.350
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.955 4.994 -8.512 -6.264
3.967 -3.817 -13.496 19.868
4.485 4.033 11.538 -5.435
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.076 1.474 8.713 -5.522
-5.309 1.846 5.074 9.826
12.495 -8.041 -1.318 3.795
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.86684 -3.993 -4.515 0.6598
-0.03311 3.428 -11.673 -3.6870
-2.36576 3.763 17.158 -9.5170
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.7694 -3.659 0.1347 -3.033
-10.0815 -6.558 -2.8072 -3.471
0.3956 2.740 -0.9413 -9.409
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
4.799 -3.329 3.056 -3.534
0.463 11.404 4.318 1.926
-1.369 -8.770 8.334 14.954
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.891 -6.3990 -5.1731 0.2436
1.916 2.0403 0.2206 -5.0641
24.963 -0.7906 21.2289 -6.6762
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.695 3.514 5.393 -0.6899
7.666 1.648 -1.430 5.0085
-3.375 -4.214 -3.124 -4.1902
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.112 -1.1281 -8.1270 -3.098
-11.765 -0.5025 -0.2885 -5.965
-8.893 -11.3391 -14.1479 -1.141
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.492 0.2061 1.663 5.7045
-11.136 3.3786 8.456 1.2327
7.357 -1.8462 -2.693 -0.9277
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-12.14 5.811 3.910 3.123
18.69 1.759 -3.445 -3.238
-23.70 -1.535 4.739 -3.889
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.789 4.733 12.772 0.0133
-5.500 0.531 -8.753 -3.6441
8.500 -3.661 7.344 4.7479
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.7284 -0.01498 -4.161 -3.102
-2.7055 -8.82607 5.122 -1.591
-0.5151 1.38473 -8.427 -2.820
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-10.348 -0.8533 -8.138 -18.541
5.046 -2.8848 -6.183 -18.650
-14.965 2.3781 -7.659 6.562
rnd_95776.volume rnd_95787.volume
59.43 4.779
-32.50 8.595
25.99 -7.148
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.886 1.710 5.512 4.455 6.049 0.8608 1.637 5.131 5.291 4.048 2.320
[2,] 3.806 2.036 6.498 5.929 7.544 1.0062 1.927 6.108 6.661 5.915 3.292
[3,] 4.643 2.283 7.492 7.459 8.865 1.1420 2.176 6.770 7.470 6.927 3.798
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.115 2.251 3.929 4.058 3.673 3.630 3.617 5.200 4.266 7.543 2.814
[2,] 5.383 2.597 4.926 5.266 4.400 4.918 5.178 6.680 5.536 8.908 3.158
[3,] 6.296 3.013 5.558 6.071 5.070 6.028 6.242 7.874 6.453 10.670 3.599
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.763 5.208 1.263 4.144 4.698 3.276 4.023 1.220 4.591 3.577 1.751
[2,] 13.247 6.292 1.521 5.830 6.181 4.028 5.712 1.466 6.116 4.119 2.059
[3,] 15.271 7.712 1.732 7.459 7.367 4.545 7.160 1.648 7.315 4.727 2.365
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.471 4.478 4.281 3.931 2.866 2.600 1.028 2.195 0.963 3.322 2.924
[2,] 5.667 5.783 5.896 4.806 3.989 2.977 1.269 2.616 1.198 4.024 4.216
[3,] 6.771 6.806 6.715 5.296 4.804 3.317 1.401 2.970 1.342 4.688 4.786
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.376 1.691 3.188 2.922 2.978 1.822 3.288 2.390 1.579 2.868 2.460
[2,] 2.882 2.029 4.308 3.544 3.548 2.196 5.012 2.855 1.913 4.037 3.384
[3,] 3.181 2.228 4.920 4.097 3.898 2.460 5.961 3.224 2.244 5.370 4.349
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.629 1.948 2.741 1.092 2.935 1.235 2.345 2.100 2.626 2.594 1.314
[2,] 3.567 3.160 3.338 1.308 3.838 1.467 2.924 2.467 3.446 3.960 1.697
[3,] 4.380 3.968 3.729 1.461 4.599 1.658 3.495 2.731 3.999 4.559 1.938
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.316 2.203 3.497 1.290 3.739 3.522 4.261 4.225 3.831 3.882 3.398
[2,] 3.322 2.529 4.826 1.474 4.727 4.905 4.875 5.345 4.727 5.383 4.826
[3,] 3.977 2.811 5.676 1.724 5.571 5.681 5.464 6.268 5.437 6.460 5.902
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8992 3.080 2.371 3.823 1.492 1.630 1.244 2.603 1.978 5.401 4.901
[2,] 1.0683 4.578 2.792 4.953 1.863 2.005 1.492 3.610 2.363 6.471 6.038
[3,] 1.1687 5.627 3.161 6.212 2.136 2.341 1.670 4.195 2.743 7.160 7.212
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.801 1.772 1.626 1.514 2.340 1.558 0.7622 9.23 8.553 4.827
[2,] 2.286 2.473 2.369 2.208 2.994 1.827 0.9861 11.91 12.741 5.996
[3,] 2.499 2.942 2.774 2.655 3.411 2.040 1.1483 14.54 15.075 7.432
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.665 2.172 7.0 5.657 7.681 1.093 2.078 6.515
[2,] 600.545 267.466 833.4 947.372 1091.619 126.148 246.166 802.317
[3,] 644.281 250.426 902.7 1096.078 1127.379 130.814 245.030 707.145
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.719 5.14 2.947 5.225 2.858 4.989 5.154 4.664
[2,] 979.961 1044.32 565.307 840.483 313.511 719.666 812.639 586.925
[3,] 818.772 872.87 458.814 790.406 370.036 623.082 731.421 609.990
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.609 4.593 6.603 5.417 9.579 3.573 9.858 6.614
[2,] 803.332 897.094 1015.464 854.579 1147.515 347.210 2599.269 854.852
[3,] 844.212 844.334 1009.617 802.864 1422.311 418.072 1839.516 1079.893
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.604 5.262 5.965 4.16 5.109 1.549 5.83 4.543
[2,] 205.326 993.112 972.667 567.20 981.885 197.007 978.34 494.432
[3,] 200.723 1126.780 970.776 509.80 1045.491 182.311 971.88 561.306
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.223 5.677 5.687 5.436 4.992 3.639 3.301 1.306
[2,] 262.380 843.282 886.101 981.884 669.684 672.143 351.382 179.919
[3,] 281.953 897.309 868.985 778.172 538.620 647.921 354.043 144.120
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.787 1.223 4.218 3.713 3.017 2.147 4.048 3.71
[2,] 344.762 172.474 550.020 735.434 395.005 271.731 701.915 485.68
[3,] 340.619 146.322 582.441 548.378 326.041 222.853 575.077 497.86
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.781 2.314 4.175 3.035 2.005 3.642 3.124 3.338
[2,] 467.000 296.819 915.983 378.288 261.361 688.080 562.751 583.850
[3,] 390.815 268.694 781.573 362.761 284.109 857.532 661.609 615.512
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.473 3.481 1.387 3.727 1.569 2.978 2.667 3.334
[2,] 602.685 461.188 174.513 599.002 191.403 422.779 313.156 540.431
[3,] 581.052 402.584 157.175 613.362 187.123 463.458 283.755 491.175
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.294 1.669 2.941 2.798 4.441 1.638 4.748 4.473
[2,] 724.629 259.980 576.862 300.614 805.362 172.929 700.478 826.432
[3,] 546.847 226.613 529.524 297.367 723.367 216.392 713.628 694.340
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.411 5.365 4.865 4.93 4.314 1.142 3.911 3.011
[2,] 573.629 792.686 670.642 902.78 829.859 139.694 820.356 356.975
[3,] 597.416 792.862 650.506 865.10 822.957 114.762 792.252 359.099
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 4.854 1.895 2.069 1.579 3.305 2.511 6.859 6.223
[2,] 762.555 270.079 282.718 199.337 605.631 313.346 862.940 853.904
[3,] 907.877 253.053 292.676 181.619 517.773 336.984 742.218 955.299
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.287 2.25 2.065 1.923 2.972 1.978 0.9679 11.72
[2,] 340.807 417.77 417.091 389.198 452.190 231.054 151.5085 1821.96
[3,] 244.436 385.95 349.526 357.036 395.918 219.963 142.4687 2021.04
[,97] [,98]
[1,] 10.86 6.13
[2,] 2286.88 861.16
[3,] 1950.84 1063.13
[1] "--- VAR model 2017-10-05 04:01:00 completed"
[1] "Completed training sample: 2017-10-05 04:01:00 - 2017-10-05 12:00:00"
[1] "SpVAR; training sample: 2017-10-05 04:31:00 - 2017-10-05 12:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
21.98 -0.3242 -46.608 12.607
17.28 5.5709 -2.042 13.769
11.95 -3.8705 14.142 2.392
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
24.92 3.717 1.6931 -38.712
20.94 1.753 0.6335 -15.951
3.36 3.939 4.1007 4.014
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-18.091 -27.22 -6.4429 -9.125
-30.436 -16.42 0.8985 -44.944
2.443 -13.89 -14.0267 -27.725
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9065 22.99 5.199 19.641
-7.5151 -19.73 -9.158 -8.417
-11.5203 -14.59 -15.931 3.144
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.077 5.191 21.266 5.0310
19.920 -2.082 -2.004 -13.8314
-30.710 9.923 -5.355 -0.1998
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.926 -2.583 -3.962 -2.612
-19.428 9.313 -52.413 2.136
-5.706 -10.696 -9.490 -11.960
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.278 8.270 21.257 7.336
1.256 -9.625 -16.448 8.851
-6.586 -25.024 -1.956 12.545
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.637 0.09143 18.430 -14.09
17.351 3.60065 -3.768 -17.04
6.868 3.11786 -5.477 -10.14
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
6.0263 15.645 22.703 12.2408
6.4505 -3.006 12.014 23.1081
0.5649 -11.736 5.512 0.8203
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
13.839 9.802 13.441 2.82122
-1.229 -4.129 -0.358 -1.18592
-8.405 -1.902 2.077 -0.03228
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.57463 -2.416 -8.695 -12.3859
-3.41097 2.371 9.490 -3.4386
-0.08979 -1.745 12.561 0.1033
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.930 3.542 -11.120 -1.363
2.533 -0.688 -1.451 -14.521
-3.047 -2.305 -8.929 19.379
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.5033 -3.705 -19.49 6.8117
0.4892 -4.250 19.48 -0.9895
2.2053 -1.988 -22.22 5.4709
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.1559 5.572 2.824 -11.737
0.4212 -19.571 -5.251 10.112
2.5285 15.738 3.809 -7.285
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.780 8.047 -0.8574 3.708
6.514 -6.681 2.1953 2.902
-13.375 -0.968 2.0829 6.039
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-11.728 -8.1531 -3.723 -0.4670
-9.632 1.1121 1.749 0.7002
-4.210 0.2287 2.207 -9.1707
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
12.097 1.873 18.280 7.215
-16.534 4.684 -21.225 3.379
-1.367 -1.870 2.384 5.193
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
25.619 6.48857 6.644 24.335
6.415 0.04582 13.248 5.552
-7.168 1.12116 10.464 19.404
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.228 18.437 -11.669 20.545
8.782 5.478 8.253 16.855
-8.984 17.410 -7.941 3.377
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.533 0.41914 13.744 2.367
6.135 -0.01345 1.816 -3.994
24.990 -1.00608 16.338 -4.110
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.931 2.7431 -3.0786 0.09607
-7.892 -3.3252 -3.8776 1.29737
-6.046 0.9613 0.9465 -0.91376
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.313 0.5125 17.871 -13.3418
8.244 -1.3258 -14.848 -0.9175
1.670 1.9548 -6.345 4.7390
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-6.234 -9.5635 -11.0181 -2.857
-3.255 -0.7617 -2.6110 -2.048
10.459 -1.8069 -0.5278 -5.880
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.6853 0.07369 -9.903 5.049
9.9841 0.01030 -8.572 18.229
-0.8766 6.83095 -10.023 27.584
rnd_95776.volume rnd_95787.volume
-40.16 7.760
-5.95 -3.628
-33.38 -18.945
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.409 1.998 5.887 4.915 6.620 0.9357 1.866 5.302 5.737 4.660 2.638
[2,] 4.354 2.352 7.164 6.297 8.219 1.0970 2.199 6.273 6.901 6.253 3.618
[3,] 5.126 2.672 8.338 7.754 9.768 1.2214 2.445 7.018 7.802 7.259 4.016
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.277 2.379 4.069 4.451 3.960 4.010 3.738 5.620 4.489 7.938 2.940
[2,] 5.623 2.705 5.157 5.747 4.695 5.302 5.481 7.111 5.826 9.595 3.330
[3,] 6.574 3.086 5.917 6.445 5.467 6.387 6.532 8.443 6.873 11.278 3.782
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.033 5.428 1.359 4.523 4.947 3.709 4.396 1.347 4.815 3.767 1.892
[2,] 14.283 6.618 1.637 6.150 6.416 4.365 6.141 1.576 6.470 4.324 2.231
[3,] 16.527 8.002 1.863 7.801 7.823 4.909 7.497 1.761 7.672 4.892 2.501
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.661 4.530 4.530 4.139 3.344 2.728 1.139 2.418 1.076 3.595 3.111
[2,] 5.957 5.940 6.102 4.991 4.346 3.147 1.392 2.810 1.321 4.367 4.433
[3,] 7.145 7.091 7.085 5.430 5.044 3.470 1.533 3.136 1.458 4.979 5.062
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.579 1.819 3.448 3.170 3.177 1.925 3.557 2.717 1.742 3.066 2.801
[2,] 3.099 2.163 4.546 3.825 3.722 2.316 5.359 3.192 2.085 4.286 3.960
[3,] 3.393 2.345 5.152 4.332 4.115 2.600 6.357 3.503 2.390 5.654 4.906
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.860 2.092 3.023 1.174 3.223 1.373 2.478 2.200 2.781 3.674 1.387
[2,] 3.866 3.413 3.578 1.400 4.209 1.628 3.086 2.571 3.630 4.969 1.784
[3,] 4.813 4.372 3.972 1.558 5.002 1.828 3.717 2.904 4.161 5.622 2.040
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.441 2.436 3.875 1.389 4.168 3.752 4.465 4.608 4.217 4.129 3.687
[2,] 3.549 2.797 5.067 1.577 5.118 5.304 5.167 5.835 5.135 5.874 5.253
[3,] 4.300 3.067 6.002 1.823 5.886 6.022 5.736 6.858 5.826 6.969 6.485
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9869 3.325 2.647 4.006 1.633 1.745 1.348 2.824 2.179 5.682 5.332
[2,] 1.1604 5.051 3.069 5.328 1.973 2.177 1.639 3.840 2.534 6.779 6.610
[3,] 1.2575 6.168 3.489 6.717 2.256 2.561 1.815 4.399 2.975 7.554 7.716
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.913 1.874 1.771 1.624 2.549 1.722 0.7091 8.866 9.355 5.053
[2,] 2.418 2.607 2.511 2.338 3.173 2.004 0.9349 11.507 13.648 6.338
[3,] 2.661 3.073 2.980 2.869 3.647 2.225 1.1022 14.002 15.926 7.776
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.33 2.538 7.476 6.242 8.406 1.188 2.37 6.733
[2,] 566.28 259.183 853.850 823.095 1018.828 119.759 243.08 700.911
[3,] 565.64 265.350 891.919 946.479 1103.791 112.310 223.60 658.341
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.286 5.917 3.35 5.431 3.021 5.167 5.652 5.028
[2,] 801.996 872.044 517.71 763.317 269.202 662.716 760.422 527.338
[3,] 761.283 770.998 364.68 712.361 310.533 606.608 610.072 585.854
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.093 4.746 7.137 5.701 10.08 3.733 10.2 6.893
[2,] 725.224 838.406 911.205 776.702 1127.10 327.026 2470.0 791.633
[3,] 744.678 742.959 951.737 762.516 1239.75 375.002 1738.9 940.836
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.726 5.744 6.282 4.71 5.582 1.711 6.115 4.784
[2,] 190.800 871.417 854.466 481.38 896.851 170.980 903.881 443.950
[3,] 185.759 1003.590 935.983 469.79 899.339 164.355 862.005 478.459
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.403 5.919 5.753 5.752 5.255 4.246 3.465 1.446
[2,] 247.310 775.742 803.385 854.993 583.529 580.451 328.142 167.387
[3,] 236.229 825.297 810.060 753.175 447.400 535.784 305.586 134.262
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 3.071 1.366 4.565 3.95 3.275 2.309 4.379 4.025
[2,] 299.199 160.396 518.484 660.52 359.448 244.991 619.588 447.697
[3,] 291.204 128.991 500.298 510.96 289.050 189.331 507.072 425.136
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.035 2.444 4.517 3.451 2.212 3.893 3.557 3.632
[2,] 405.280 269.407 838.122 350.251 239.527 626.362 585.408 544.149
[3,] 367.080 247.104 715.092 301.553 244.287 771.151 605.639 599.380
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.656 3.838 1.491 4.092 1.743 3.147 2.793 3.531
[2,] 563.855 400.362 159.541 566.110 182.905 384.734 278.469 488.097
[3,] 571.602 360.961 142.645 565.411 173.821 433.287 282.534 425.475
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 4.665 1.761 3.1 3.093 4.92 1.764 5.292 4.765 5.67
[2,] 699.592 234.650 538.8 287.685 682.71 155.919 621.270 783.964 543.84
[3,] 549.874 207.045 507.7 262.902 673.11 191.270 607.822 596.620 520.87
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.852 5.355 5.243 4.682 1.253 4.222 3.361 5.087
[2,] 748.593 612.668 873.847 782.509 127.658 795.301 325.117 734.790
[3,] 753.717 575.614 784.079 795.457 101.359 740.361 346.897 855.193
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.073 2.216 1.712 3.586 2.767 7.215 6.771 2.43
[2,] 231.788 272.296 194.858 544.268 270.650 773.327 817.050 309.32
[3,] 228.736 282.063 162.920 448.514 326.081 697.157 832.359 232.21
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.379 2.249 2.063 3.237 2.186 0.9005 11.26 11.88
[2,] 379.106 372.364 351.802 395.033 214.359 127.4192 1534.19 2078.37
[3,] 340.039 335.503 347.775 375.953 202.140 122.0687 1668.19 1716.31
[,98]
[1,] 6.416
[2,] 800.139
[3,] 942.321
[1] "--- VAR model 2017-10-05 04:31:00 completed"
[1] "Completed training sample: 2017-10-05 04:31:00 - 2017-10-05 12:30:00"
[1] "SpVAR; training sample: 2017-10-05 05:01:00 - 2017-10-05 13:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.798 4.527 37.656 -20.120
5.813 6.487 -7.819 -19.956
-2.057 -2.330 22.696 -3.608
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.939 0.5955 -1.955 11.288
-6.612 1.8083 9.450 1.797
-3.166 -1.4162 6.756 -2.677
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
20.666 24.7072 10.921 6.207
-9.205 0.1739 8.732 -8.021
-2.710 3.1159 -3.240 -20.494
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5238 5.6399 8.215 -2.324
-2.6257 15.6734 16.972 -2.272
-1.8250 0.2206 5.735 4.987
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.151 -6.517 -1.178 9.4593
23.365 6.247 4.448 0.1105
11.748 21.126 11.979 6.5575
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
11.362 -4.259 -12.449 2.212
-9.639 -5.462 25.151 0.568
20.199 -6.728 -4.144 -7.648
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.741 -8.464 -23.862 4.96978
1.168 17.110 -2.650 3.87987
0.321 -19.189 1.734 0.07129
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-31.491 -0.8095 -18.487 4.244
-17.933 3.2280 -26.002 -2.219
5.913 -0.1145 -1.962 7.510
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.925 2.595 6.4570 1.143
-4.407 -10.077 -9.3092 10.110
-3.736 -21.377 0.2581 -16.020
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-24.842 -14.466 1.033 -2.618
-1.706 -7.757 2.002 -5.212
11.117 7.385 -12.045 -1.693
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.363 -1.8541 -12.519 -27.61
1.760 1.5991 -7.794 -14.13
1.986 0.5776 1.055 -11.95
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.362 3.941 -16.656 7.453
6.051 1.403 -3.817 3.172
-1.266 -0.976 -6.485 13.663
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.975 1.1673 8.632 12.055
5.150 -6.5131 -14.923 7.873
5.632 -0.8812 6.012 3.047
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
5.7508 -7.393 10.543 2.744
-1.1625 4.000 -6.817 4.650
-0.1147 -8.566 -2.472 -5.503
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.0675 -0.4438 -1.0684 -0.2207
4.7005 4.6614 -0.9745 5.0845
-0.3173 2.7863 -2.6153 7.2837
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.151 4.266 3.574 -4.766
-5.173 0.156 3.575 -4.603
-1.699 5.384 -4.725 3.379
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-18.502 -2.341 -3.6430 8.387
8.213 1.356 -0.3022 -1.079
-1.571 1.808 4.0734 4.837
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.541 0.7614 -2.602 -1.7163
-6.305 -0.3449 7.691 12.1986
3.334 1.0622 7.391 0.4293
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.968 -9.188 -5.627 18.785
7.295 24.346 6.479 -4.682
-4.280 3.327 -2.335 18.093
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.207 0.01855 -3.240 -7.956
1.655 0.88728 6.186 3.636
3.273 -1.25746 4.763 4.097
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-14.693 0.4829 0.8918 -3.175
2.964 -4.1917 3.1212 -1.846
-3.953 0.1122 -3.9187 -2.878
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-11.9926 5.812 1.3656 -2.488
-0.4117 5.931 9.5070 -9.361
-12.2009 5.314 0.2615 5.875
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.191 5.5626 6.705 6.1604
1.684 0.9462 1.093 -0.8895
2.103 0.3754 1.343 3.0024
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.9619 1.3668 -10.509 -32.46
-3.7512 -0.7276 -9.639 -29.78
2.2829 0.5183 -9.114 -40.85
rnd_95776.volume rnd_95787.volume
-23.57 -8.6846
11.47 0.7949
-17.15 -2.6668
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.809 2.175 8.190 5.132 7.178 0.998 2.129 5.646 6.175 4.999 2.779
[2,] 4.732 2.547 9.368 6.488 9.006 1.167 2.485 6.642 7.355 6.634 3.818
[3,] 5.360 2.876 10.540 8.021 10.454 1.298 2.747 7.275 8.292 7.801 4.231
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.393 2.408 4.490 4.690 4.133 4.226 3.842 5.851 4.738 8.368 3.145
[2,] 5.822 2.798 5.524 5.837 4.872 5.565 5.605 7.436 6.131 10.058 3.619
[3,] 6.758 3.188 6.205 6.558 5.544 6.670 6.653 8.751 7.204 11.728 4.081
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.483 5.786 1.431 4.792 5.183 3.990 4.526 1.432 4.848 4.039 2.001
[2,] 15.157 7.052 1.727 6.529 6.831 4.587 6.281 1.684 6.634 4.640 2.416
[3,] 17.527 8.384 1.952 8.188 8.213 5.114 7.726 1.836 7.910 5.187 2.685
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.877 4.609 4.773 4.385 3.506 3.113 1.255 2.604 1.130 3.693 3.119
[2,] 6.284 6.067 6.420 5.157 4.433 3.612 1.513 3.000 1.391 4.441 4.531
[3,] 7.529 7.274 7.517 5.610 5.147 3.926 1.656 3.312 1.561 5.087 5.229
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.694 1.893 3.543 3.465 3.520 1.980 3.900 2.898 1.839 3.294 2.927
[2,] 3.212 2.261 4.655 4.165 4.074 2.368 5.670 3.414 2.162 4.753 4.163
[3,] 3.528 2.461 5.284 4.646 4.447 2.685 6.732 3.727 2.478 6.041 5.057
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.042 2.309 3.295 1.211 3.551 1.415 2.687 2.381 2.942 3.774 1.482
[2,] 4.071 3.652 3.845 1.435 4.510 1.695 3.400 2.780 3.789 5.138 1.864
[3,] 5.047 4.671 4.223 1.602 5.322 1.916 3.954 3.203 4.311 5.830 2.142
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.825 2.575 4.474 1.494 4.608 4.232 4.838 4.981 4.451 4.398 3.820
[2,] 3.957 2.966 5.746 1.695 5.499 5.595 5.553 6.249 5.370 6.424 5.533
[3,] 4.677 3.249 6.762 1.978 6.245 6.342 6.138 7.220 6.088 7.297 6.819
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.051 3.466 2.809 4.229 1.739 1.818 1.459 2.964 2.302 5.852 5.586
[2,] 1.225 5.371 3.288 5.667 2.112 2.273 1.725 4.085 2.683 6.969 6.924
[3,] 1.338 6.689 3.681 7.090 2.374 2.664 1.910 4.639 3.156 7.822 7.959
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.962 2.006 1.939 1.733 2.718 1.860 0.6705 7.816 9.746 5.492
[2,] 2.494 2.718 2.657 2.447 3.322 2.167 0.9005 10.925 14.208 6.868
[3,] 2.739 3.193 3.124 3.012 3.820 2.382 1.0671 13.345 16.640 8.201
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.837 2.762 10.4 6.517 9.115 1.267 2.703 7.169
[2,] 540.672 255.535 876.2 764.586 1047.931 116.594 246.898 674.157
[3,] 485.311 257.265 930.4 908.627 1022.571 109.497 225.530 571.609
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.842 6.349 3.528 5.578 3.058 5.701 5.955 5.248
[2,] 769.785 840.180 504.513 736.018 274.275 620.022 669.455 497.225
[3,] 737.630 790.485 351.123 661.089 294.648 544.599 576.092 509.427
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.367 4.879 7.43 6.017 10.63 3.993 12.04 7.347
[2,] 697.419 786.252 884.24 749.672 1074.85 345.218 2277.79 776.608
[3,] 708.550 690.315 888.69 728.568 1162.06 363.396 1695.58 873.632
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.817 6.085 6.582 5.067 5.748 1.818 6.156 5.129
[2,] 186.234 854.189 857.147 435.738 839.003 170.575 872.407 439.920
[3,] 175.262 952.057 878.678 435.795 866.558 141.095 829.964 446.607
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.541 6.193 5.853 6.061 5.568 4.452 3.953 1.594
[2,] 260.833 763.334 760.058 827.335 522.868 522.488 353.097 162.671
[3,] 225.691 799.034 773.267 753.037 425.601 504.012 296.066 129.912
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.307 1.434 4.689 3.96 3.421 2.404 4.499 4.4 4.47
[2,] 286.706 156.265 475.426 633.24 336.843 238.413 581.688 445.3 395.32
[3,] 270.467 136.541 477.943 502.71 281.296 187.273 481.679 396.3 343.40
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.514 4.952 3.679 2.335 4.183 3.717 3.863 2.932
[2,] 250.211 793.039 347.928 218.823 660.163 570.122 520.993 544.947
[3,] 243.874 699.192 288.143 233.387 718.313 553.138 574.909 561.053
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.184 1.537 4.509 1.797 3.412 3.024 3.736 4.792
[2,] 381.766 148.549 535.530 179.583 401.360 276.251 459.952 671.881
[3,] 336.294 136.964 544.450 172.303 388.981 306.622 396.269 530.516
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.882 3.588 3.27 5.681 1.897 5.852 5.374 6.143
[2,] 217.853 533.638 283.64 694.497 154.387 578.084 705.030 525.228
[3,] 203.203 480.482 255.58 686.900 196.420 570.224 575.351 504.141
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 6.325 5.652 5.585 4.851 1.334 4.401 3.567 5.37
[2,] 726.903 578.685 901.868 771.172 121.215 790.595 329.516 726.75
[3,] 696.725 552.478 667.126 767.869 103.773 768.037 318.525 820.94
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.209 2.309 1.853 3.764 2.923 7.431 7.094 2.492
[2,] 230.878 262.765 177.079 541.517 265.637 728.982 788.132 296.567
[3,] 208.801 267.498 158.050 423.590 319.945 684.452 756.239 217.996
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.547 2.462 2.201 3.452 2.362 0.8514 9.925 12.38
[2,] 353.299 349.950 332.880 367.944 214.263 115.8035 1470.617 1991.76
[3,] 323.100 316.739 338.320 363.420 190.698 110.3042 1476.377 1668.71
[,98]
[1,] 6.974
[2,] 794.608
[3,] 863.367
[1] "--- VAR model 2017-10-05 05:01:00 completed"
[1] "Completed training sample: 2017-10-05 05:01:00 - 2017-10-05 13:00:00"
[1] "SpVAR; training sample: 2017-10-05 05:31:00 - 2017-10-05 13:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-12.85 7.544 -7.825 -35.654
13.17 3.697 23.655 -4.442
-10.05 3.693 20.338 -19.404
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-5.757 1.762 9.388 1.537
-3.597 1.734 12.855 6.649
-17.149 1.309 1.526 3.771
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
19.948 8.587 -8.0172 -13.41
-8.102 -5.234 8.5776 -17.66
-2.958 7.212 0.9029 -19.47
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2169 -2.8239 -9.469 -1.092
-4.8941 -0.9336 5.005 -3.816
0.1087 -13.8366 -12.155 6.894
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.4314 -14.182 18.380 22.465
2.0362 1.094 -10.212 -3.075
0.2579 2.396 4.514 -1.382
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.76 -2.8469 -36.216 -4.696
-16.13 5.3169 -2.681 -7.190
13.09 0.5612 -22.633 -7.705
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.0419 0.111 -20.641 8.669
2.5549 -24.128 -15.930 2.713
0.5899 -8.849 -9.345 7.013
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-41.159 0.89234 -13.688 -9.066
4.848 -0.08377 -17.237 -6.173
-21.973 -0.40927 -6.141 -11.813
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.867 -26.575 -3.956 3.107
-6.398 -7.432 -17.946 -23.736
-4.971 1.368 -6.453 1.524
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.2272 0.765 5.670 3.122
-4.5713 -5.136 1.212 3.614
0.4474 -9.768 -5.859 1.365
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.360 5.2290 11.21 -8.566
-2.023 -3.9282 -0.73 -6.040
1.250 0.8234 -1.25 -11.866
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.522 1.033 -8.839 -1.632
2.290 -2.111 -2.734 4.944
1.948 1.677 -8.433 4.924
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.8247 4.959 -10.831 6.272
18.8627 -1.997 -5.901 5.925
0.4828 3.927 3.583 -1.844
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.464 8.813 8.002 -12.186
1.622 -16.273 -12.044 4.424
-1.730 2.547 4.004 -4.231
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.091 -6.2564 0.9143 -2.9209
5.807 -5.3334 -0.9898 -15.7717
-10.320 0.3153 2.5878 -0.7605
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.5726 15.126 2.152 3.449
0.7618 -8.523 7.020 12.564
-5.4729 7.120 2.186 -6.934
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.505 -4.460 -5.209 2.322
17.419 1.940 1.853 2.852
-7.406 6.208 2.736 5.626
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.219 2.3015 -2.297 -15.927
-7.015 -4.1551 -8.415 20.050
14.980 0.1703 11.639 -8.157
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.817 -15.569 -5.175 2.240
15.024 6.799 -2.716 -2.542
-4.321 3.490 -5.888 8.331
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.157 1.6905 12.589 -1.274
-7.208 -0.8813 1.609 4.657
15.149 0.9069 7.827 6.480
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.7289 1.6257 3.0489 1.4114
0.4466 0.5112 0.9135 0.9328
11.7691 1.4141 -8.1970 -4.1823
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.750 8.732 -5.918 8.8320
-3.061 2.414 6.508 0.5726
-3.702 6.701 -3.263 2.2829
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.691 1.328 -1.090 -0.608
-6.286 -7.902 -5.988 -2.734
2.515 0.769 1.487 1.304
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.1673 3.1973 -8.975 -23.120
-11.0102 -0.5661 -8.242 -8.611
-6.8047 2.5113 -9.524 -10.859
rnd_95776.volume rnd_95787.volume
-43.188 2.553
9.902 -6.215
27.664 -22.880
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.996 2.365 9.57 5.278 7.266 1.092 2.245 5.960 6.137 5.050 2.953
[2,] 4.909 2.734 11.35 6.736 9.139 1.242 2.636 6.887 7.447 6.825 3.916
[3,] 5.569 3.024 12.58 8.207 10.574 1.385 2.904 7.529 8.415 7.998 4.370
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.532 2.515 4.592 4.883 4.468 4.483 3.863 6.002 4.786 8.832 3.437
[2,] 5.963 2.966 5.565 6.037 5.106 5.861 5.765 7.708 6.282 10.667 4.009
[3,] 6.909 3.342 6.338 6.786 5.744 6.839 6.847 9.113 7.454 12.236 4.490
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.40 5.809 1.500 5.007 5.141 4.188 4.659 1.541 4.904 4.154 2.131
[2,] 15.51 7.192 1.788 6.918 6.890 4.793 6.463 1.786 6.644 4.780 2.508
[3,] 17.97 8.423 2.032 8.270 8.339 5.304 7.904 1.937 7.852 5.384 2.813
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.939 4.717 4.831 4.432 3.482 3.266 1.326 2.709 1.175 3.744 3.281
[2,] 6.429 6.178 6.412 5.259 4.369 3.744 1.610 3.106 1.435 4.501 4.592
[3,] 7.657 7.368 7.589 5.722 5.193 4.093 1.762 3.414 1.638 5.195 5.256
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.850 1.943 3.552 3.519 3.783 1.987 4.177 3.047 1.910 3.465 3.060
[2,] 3.382 2.308 4.710 4.327 4.489 2.375 6.071 3.608 2.241 4.867 4.430
[3,] 3.743 2.540 5.406 4.785 4.821 2.687 7.135 3.929 2.549 6.266 5.374
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.984 2.441 3.525 1.239 3.780 1.483 2.784 2.505 3.077 4.022 1.640
[2,] 4.289 3.891 4.025 1.464 4.817 1.762 3.487 2.911 3.975 5.242 1.993
[3,] 5.243 5.078 4.442 1.628 5.632 2.005 4.058 3.357 4.526 5.966 2.239
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.190 2.796 4.789 1.571 4.875 4.372 4.927 5.189 4.775 4.653 3.858
[2,] 4.345 3.193 6.078 1.789 5.710 5.737 5.682 6.548 5.657 6.740 5.660
[3,] 5.011 3.445 7.165 2.042 6.455 6.553 6.336 7.452 6.398 7.447 6.947
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.116 3.591 2.849 4.693 1.789 1.942 1.524 3.136 2.512 6.226 6.170
[2,] 1.304 5.478 3.352 6.050 2.191 2.427 1.815 4.194 2.889 7.342 7.400
[3,] 1.410 6.885 3.742 7.430 2.479 2.786 1.985 4.803 3.336 8.297 8.445
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.020 2.089 2.002 1.852 2.845 1.972 0.6639 7.484 10.35 5.453
[2,] 2.567 2.836 2.723 2.573 3.508 2.299 0.8231 10.635 15.26 7.049
[3,] 2.800 3.310 3.213 3.138 4.004 2.507 0.9650 13.094 17.60 8.273
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.074 3.003 12.15 6.702 9.227 1.386 2.851 7.569
[2,] 490.320 235.853 1050.79 719.827 953.017 101.904 237.376 593.444
[3,] 452.208 222.353 933.19 806.203 914.805 105.467 209.613 522.997
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.793 6.413 3.75 5.755 3.194 5.831 6.2 5.673 5.693
[2,] 725.442 789.406 442.34 666.386 270.194 540.755 610.4 425.100 649.082
[3,] 673.895 717.088 333.51 600.116 265.018 521.495 533.2 452.507 606.101
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.905 7.622 6.077 11.21 4.365 13.21 7.377 1.904
[2,] 735.837 831.620 699.658 1028.61 355.010 1979.07 729.103 167.338
[3,] 635.227 835.778 689.983 1030.98 347.367 1560.42 754.006 165.948
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.358 6.529 5.319 5.916 1.956 6.227 5.275 2.705
[2,] 820.758 788.752 400.684 770.292 155.456 770.947 406.759 227.577
[3,] 779.329 807.873 390.559 782.438 128.902 719.532 425.804 219.144
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.272 5.989 6.135 5.627 4.422 4.147 1.683 3.44
[2,] 707.751 686.181 724.843 487.005 453.719 314.611 157.186 261.14
[3,] 715.140 690.234 698.073 387.887 482.634 284.616 123.142 243.97
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.491 4.755 4.166 3.619 2.468 4.511 4.468 4.804
[2,] 141.782 429.656 552.500 312.952 214.038 531.926 432.886 415.433
[3,] 135.942 445.999 439.500 275.707 182.334 456.261 351.405 302.433
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.523 5.304 3.869 2.425 4.4 3.886 3.79 3.099 4.477
[2,] 223.605 757.690 332.117 201.786 587.7 550.935 529.62 521.119 333.833
[3,] 216.194 644.520 267.885 208.681 678.6 523.139 518.48 561.124 323.091
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.573 4.8 1.883 3.535 3.181 3.907 5.107 2.083 4.051
[2,] 134.312 513.4 163.416 360.993 255.087 432.705 578.220 194.662 507.346
[3,] 122.204 501.9 164.570 357.072 287.568 372.211 489.933 175.654 429.321
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.551 6.082 1.995 6.191 5.552 6.257 6.589 6.064
[2,] 265.164 643.627 147.156 511.247 638.724 486.803 686.761 521.637
[3,] 222.366 652.292 169.046 517.653 544.679 482.145 611.958 514.057
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.909 4.899 1.417 4.56 3.618 5.96 2.271 2.466 1.935
[2,] 838.464 712.082 116.112 711.20 303.809 656.45 217.430 250.430 169.462
[3,] 544.402 692.606 92.291 717.37 285.952 741.64 199.478 235.103 138.518
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.982 3.189 7.906 7.835 2.565 2.652 2.543 2.352
[2,] 478.962 245.315 669.268 702.521 272.189 329.981 317.390 307.203
[3,] 402.323 287.041 664.652 699.816 192.384 293.317 293.353 308.792
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.613 2.504 0.843 9.504 13.14 6.924
[2,] 352.844 203.187 83.686 1299.146 1929.66 768.181
[3,] 331.845 172.107 86.608 1313.504 1507.83 744.652
[1] "--- VAR model 2017-10-05 05:31:00 completed"
[1] "Completed training sample: 2017-10-05 05:31:00 - 2017-10-05 13:30:00"
[1] "SpVAR; training sample: 2017-10-05 06:01:00 - 2017-10-05 14:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.963 7.8496 30.59 -7.110
12.064 1.4791 54.87 -20.067
4.114 0.3598 30.41 6.735
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
9.362 0.6001 10.585 -11.881
2.038 2.4069 6.616 5.971
-28.733 1.0026 10.536 4.357
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.2834 -2.992 -9.1309 -24.06
-13.7250 -9.534 0.3417 -17.92
6.8067 -3.879 -3.5319 -23.71
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-13.737 -1.604 5.143 17.197
1.529 -12.403 -6.472 -7.609
-11.181 -4.617 -4.371 4.711
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
11.682 13.23 -12.89 0.2113
-2.033 11.30 28.43 20.3953
-2.011 -15.35 13.59 19.3991
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.503 -2.428 -24.26 -13.38
6.208 -2.570 -38.75 -13.74
-12.619 8.574 26.79 -15.27
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.7912 -42.156 -36.86 6.620
-0.1174 -2.817 -14.59 12.612
0.6337 -31.749 -22.24 6.059
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.797 0.1934 13.17 -14.295
-24.263 -5.1351 -19.98 -11.677
9.658 2.7123 -20.08 -3.269
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.600 -10.015 5.564 12.16
-1.022 -21.130 -11.732 -17.58
-6.901 -8.992 -23.372 -21.63
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-24.690 -15.832 8.324 4.250
-6.600 -8.934 -4.873 1.835
5.818 1.102 3.903 -1.033
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.9638 -1.264 3.6107 -17.9579
-0.6754 -3.973 -0.7968 -0.3722
-8.4995 -1.668 -10.0961 -10.8960
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.510 -1.1938 -5.451 -9.013
-6.955 -2.4975 -14.764 -8.972
2.378 0.4872 -5.417 12.641
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
21.586 -7.560 -5.412 11.293
16.010 6.858 -7.970 3.148
-0.577 -3.274 -10.003 5.763
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.274 -7.518 4.864 2.1312
5.492 9.771 -3.321 -0.9958
-1.218 -19.340 -9.826 -5.2180
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-14.70669 4.8337 -1.196 13.223
2.83479 -0.7734 1.366 -2.779
-0.07382 -1.2783 1.998 6.856
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.1442 5.976 7.224 1.337
-0.7909 -2.135 5.187 3.109
-2.9737 -1.579 7.896 1.849
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.919 -1.3175 -1.356 6.4798
14.795 0.6786 -5.388 11.5260
3.453 7.2401 11.085 -0.2721
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-12.069 -1.411 -13.336 8.110
4.043 -1.230 8.484 7.169
7.258 -1.779 1.547 4.192
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.60859 -3.742 -5.788 2.9387
-5.44265 14.295 -18.960 -0.1511
0.05482 9.860 -14.022 1.7915
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.929 3.2221 -2.7491 2.3863
-8.699 -0.3994 0.8169 0.3346
3.079 1.0946 1.1642 -0.6823
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.519 -4.03790 2.632 0.5476
-10.034 -0.24435 -1.831 4.2011
-6.637 0.02321 -6.682 -5.1804
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.148 15.838 -19.940 6.4305
-17.520 -2.422 19.947 6.7884
6.079 -2.802 2.308 0.4437
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.1677 0.1901 -1.1978 -3.471
0.4584 4.4104 1.3730 9.354
-4.7443 -0.5654 -0.5292 -2.932
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.103 0.4622 -11.197 4.756
5.206 1.1486 -8.409 -2.868
-7.024 -0.3879 -11.157 2.493
rnd_95776.volume rnd_95787.volume
10.884 -8.551
-7.648 -27.773
-40.611 -7.361
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.056 2.419 10.65 5.253 7.553 1.186 2.240 6.002 6.097 5.095 2.887
[2,] 4.855 2.808 12.53 6.727 9.167 1.365 2.638 6.921 7.383 6.916 3.895
[3,] 5.339 3.111 13.74 8.091 10.531 1.512 2.943 7.582 8.327 8.077 4.373
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.646 2.489 4.217 4.513 4.326 4.420 3.720 6.328 4.897 8.734 3.400
[2,] 5.109 2.940 5.224 5.727 4.996 5.804 5.546 7.817 6.193 10.813 4.066
[3,] 5.680 3.349 6.077 6.585 5.645 6.690 6.593 9.165 7.484 12.135 4.578
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.82 5.946 1.569 5.070 5.269 4.174 4.579 1.584 5.041 4.199 2.189
[2,] 15.81 7.329 1.877 7.092 7.039 4.784 6.424 1.852 6.705 4.887 2.558
[3,] 18.02 8.438 2.086 8.609 8.342 5.291 7.689 2.020 8.078 5.416 2.795
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.733 4.851 4.913 4.527 3.516 3.309 1.352 2.832 1.256 3.653 3.251
[2,] 6.162 6.285 6.303 5.346 4.409 3.881 1.627 3.281 1.517 4.606 4.449
[3,] 7.305 7.342 7.319 5.804 5.208 4.285 1.766 3.613 1.686 5.257 5.151
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.838 1.957 3.494 3.694 3.681 2.049 4.230 3.165 1.921 3.488 3.079
[2,] 3.365 2.307 4.695 4.488 4.476 2.419 6.106 3.750 2.236 4.924 4.497
[3,] 3.755 2.563 5.370 4.945 4.909 2.746 7.265 4.108 2.522 6.383 5.508
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.858 2.500 3.669 1.305 3.961 1.572 2.964 2.635 3.227 4.045 1.674
[2,] 4.364 4.029 4.263 1.494 5.026 1.844 3.663 3.061 4.159 5.452 2.066
[3,] 5.243 5.265 4.649 1.651 5.858 2.070 4.303 3.516 4.640 6.203 2.313
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.187 3.053 4.761 1.613 4.758 4.315 4.901 4.880 5.002 4.603 3.953
[2,] 4.373 3.457 6.102 1.845 5.602 5.712 5.678 6.381 5.964 6.544 5.800
[3,] 5.045 3.775 7.190 2.087 6.322 6.394 6.305 7.300 6.665 7.307 7.034
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.141 3.929 2.927 4.863 1.777 2.013 1.579 3.134 2.535 6.278 6.260
[2,] 1.345 5.675 3.437 6.036 2.226 2.514 1.893 4.236 3.004 7.504 7.297
[3,] 1.456 6.994 3.809 7.237 2.520 2.845 2.079 4.896 3.452 8.561 8.498
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.101 2.189 2.090 1.969 2.799 2.122 0.5696 6.831 10.81 5.464
[2,] 2.618 2.881 2.810 2.655 3.583 2.469 0.7012 9.819 15.35 7.043
[3,] 2.897 3.368 3.242 3.180 4.121 2.725 0.7999 12.306 18.06 8.368
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.151 3.071 13.53 6.671 9.592 1.506 2.844 7.621
[2,] 416.984 223.055 1030.55 656.752 811.939 105.672 217.762 538.665
[3,] 347.075 209.371 879.79 702.674 810.214 101.453 203.799 484.118
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.742 6.469 3.666 4.63 3.161 5.355 5.731 5.494
[2,] 650.648 730.925 408.761 559.45 244.469 481.775 551.037 390.544
[3,] 602.210 652.238 310.530 387.83 250.849 485.363 507.920 410.878
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.612 4.724 8.036 6.219 11.09 4.318 13.74 7.55 1.993
[2,] 588.097 642.839 717.284 592.405 996.52 348.369 1802.14 669.74 161.054
[3,] 519.885 557.277 747.927 656.756 860.90 328.958 1351.91 653.64 142.269
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.438 6.69 5.3 5.815 2.011 6.401 5.332 2.78 6.01
[2,] 775.248 729.56 365.4 704.212 149.912 690.915 390.559 206.66 616.83
[3,] 762.652 699.83 353.4 660.495 126.068 704.291 365.073 176.20 613.10
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.16 6.238 5.749 4.464 4.202 1.717 3.597 1.595
[2,] 624.52 617.249 444.491 415.773 317.059 141.374 258.724 132.924
[3,] 593.19 581.406 353.211 433.343 283.775 107.424 236.563 115.088
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.638 4.128 3.604 2.485 4.436 4.691 4.675 2.602
[2,] 438.446 474.618 282.504 190.927 490.128 398.305 397.847 201.090
[3,] 396.062 405.747 260.406 174.740 407.583 324.363 315.352 202.905
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.371 4.019 2.439 4.43 3.91 3.629 3.174 4.66 1.657
[2,] 688.277 314.329 179.054 543.24 512.13 515.356 493.790 339.04 113.592
[3,] 615.345 262.268 182.165 634.74 497.30 454.392 529.733 289.87 109.756
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 5.03 1.997 3.764 3.346 4.098 5.137 2.126 4.047
[2,] 483.54 150.519 336.400 243.316 410.091 571.279 189.287 467.945
[3,] 470.24 147.012 352.889 270.412 321.349 462.258 162.423 393.120
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.876 6.046 2.048 6.042 5.479 6.223 6.196 6.352
[2,] 253.572 596.561 140.194 462.302 585.036 448.267 642.640 507.425
[3,] 237.118 594.291 152.312 457.726 449.286 428.409 554.151 465.121
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.845 5.02 1.449 4.989 3.717 6.175 2.256 2.557
[2,] 727.143 663.21 111.213 640.051 281.630 559.034 209.712 235.435
[3,] 508.099 622.04 87.132 638.943 256.285 624.076 184.649 207.967
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 2.005 3.979 3.219 7.972 7.949 2.668 2.78 2.654 2.5
[2,] 163.068 445.534 251.961 642.650 586.036 244.126 292.64 293.556 278.3
[3,] 134.422 383.623 265.764 643.957 680.654 193.641 272.58 252.648 273.7
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.555 2.695 0.7233 8.674 13.73 6.939
[2,] 349.420 197.290 63.9183 1102.356 1702.21 694.611
[3,] 318.260 180.321 60.1508 1159.523 1487.43 706.318
[1] "--- VAR model 2017-10-05 06:01:00 completed"
[1] "Completed training sample: 2017-10-05 06:01:00 - 2017-10-05 14:00:00"
[1] "SpVAR; training sample: 2017-10-05 06:31:00 - 2017-10-05 14:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.944 4.715 9.659 25.455
-3.264 4.120 19.497 23.621
-5.518 1.548 -3.835 7.967
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
11.948 5.406 6.903 14.007
9.877 2.465 1.578 8.333
10.516 5.485 5.091 -7.723
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
13.938 6.952 3.745 -10.870
1.583 8.009 3.923 -7.901
-2.380 7.182 -3.091 -17.001
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-11.778 1.255 -1.4638 -3.953
-10.043 5.844 -7.6697 -1.701
-9.691 -4.808 0.9362 -7.538
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.319 -1.341 24.531 -4.827
-6.517 -5.538 2.070 -1.722
2.130 -4.576 8.225 6.680
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
32.751 -4.9779 -11.245 14.569
5.868 2.2842 27.061 5.016
9.487 0.4559 -2.324 4.830
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.709 7.425 7.553 10.96
-4.439 -1.278 1.528 14.14
-1.498 4.748 26.775 15.08
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
14.15 -7.155 20.127 28.36
23.16 1.128 2.660 28.72
3.76 -4.168 -6.411 27.24
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.112 -10.663 -6.250 11.345
8.508 12.825 5.073 9.088
4.168 -8.409 6.646 4.189
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
16.401 5.704 6.034 3.9181
8.055 3.791 16.160 -4.5195
21.026 13.874 5.414 0.8085
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
12.24 -1.6714 -3.004 -4.826
17.93 0.7263 3.223 -2.346
19.81 2.1747 3.183 -6.182
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.106 3.8537 2.021 -3.356
-3.715 2.4637 -3.448 4.030
3.286 -0.5817 -6.206 3.485
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
21.585 8.47602 -3.965 20.859
1.107 -0.08172 24.936 1.996
17.087 3.21969 -4.647 24.666
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
5.52759 10.16 -0.06313 26.849
2.62903 -13.49 2.08997 6.982
0.06375 19.51 16.48853 -8.967
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
25.770 2.894 -0.2745 -3.189
6.770 4.442 2.0090 35.895
-3.937 7.763 -0.9480 9.006
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.927 -2.262 0.5360 -6.725
-5.218 10.082 2.4683 3.841
-1.692 2.980 -0.6014 1.611
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-13.257 3.529 0.6562 0.6959
-4.178 -5.043 1.9609 7.3979
7.284 3.963 -2.6922 -0.3375
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
11.390 1.8291 8.995 9.895
9.787 -3.3703 -10.244 -2.788
2.911 -0.9635 4.897 -5.058
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.608 9.296 8.625 0.2018
4.031 4.350 10.710 -7.0009
16.105 -5.817 9.748 -6.7909
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.641 -2.9285 -11.538 15.391
4.074 -0.8031 1.960 19.769
-6.051 1.2412 2.855 7.454
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-17.163 -3.083 -2.433 8.363
7.623 3.423 -7.354 -5.102
4.627 1.101 4.458 2.528
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
17.400 7.163 14.698 2.525
-4.243 2.776 -13.742 26.745
9.295 5.152 -5.925 21.607
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.663 -3.080 0.3328 0.847
1.854 7.181 5.1598 4.142
1.100 6.945 3.6860 4.977
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.286 5.428 -9.421 13.602
6.515 -5.468 -8.279 16.106
11.849 -3.650 -8.269 8.175
rnd_95776.volume rnd_95787.volume
46.72 2.101
17.82 13.687
14.54 -8.155
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.984 2.642 11.55 5.229 7.301 1.254 2.339 5.454 5.963 4.946 2.884
[2,] 4.799 2.974 13.18 6.819 8.932 1.463 2.689 6.496 6.974 6.666 3.824
[3,] 5.247 3.253 14.60 8.214 10.440 1.629 3.016 7.193 7.866 7.838 4.237
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.602 2.478 4.095 4.399 4.517 4.230 3.604 6.858 4.841 9.189 3.569
[2,] 5.046 2.880 5.162 5.564 5.186 5.799 5.400 8.342 6.192 10.834 4.271
[3,] 5.604 3.253 6.027 6.508 5.762 6.734 6.587 9.656 7.595 12.164 4.848
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.05 5.642 1.594 5.182 5.103 4.155 4.576 1.606 5.145 4.515 2.188
[2,] 16.32 7.324 1.911 7.166 6.870 4.775 6.393 1.899 6.634 5.330 2.535
[3,] 18.20 8.562 2.109 8.769 8.212 5.266 7.603 2.089 7.971 6.005 2.741
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.796 4.892 4.850 4.692 3.435 3.543 1.400 2.901 1.336 3.594 3.376
[2,] 6.235 6.349 6.357 5.525 4.464 4.079 1.657 3.427 1.554 4.519 4.445
[3,] 7.207 7.481 7.374 6.012 5.288 4.518 1.817 3.790 1.730 5.182 5.081
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.997 1.921 3.472 3.807 3.876 2.155 4.296 3.247 1.916 3.582 3.205
[2,] 3.516 2.283 4.738 4.639 4.673 2.541 6.119 3.836 2.233 5.113 4.788
[3,] 3.901 2.574 5.433 5.082 5.065 2.822 7.358 4.320 2.558 6.511 5.808
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.911 2.374 3.618 1.349 3.978 1.574 3.041 2.742 3.289 4.050 1.627
[2,] 4.470 4.150 4.288 1.533 4.958 1.910 3.744 3.173 4.219 5.459 2.027
[3,] 5.469 5.423 4.652 1.673 5.990 2.151 4.431 3.684 4.748 6.367 2.326
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.254 3.299 4.804 1.601 4.862 4.245 5.178 4.914 5.214 4.551 3.881
[2,] 4.524 3.609 6.100 1.888 5.603 5.558 6.110 6.433 6.282 6.352 5.955
[3,] 5.221 4.016 7.283 2.107 6.210 6.135 6.696 7.238 6.997 7.168 7.033
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.166 3.650 2.908 4.815 1.834 2.065 1.688 3.188 2.787 6.233 6.391
[2,] 1.401 5.357 3.466 5.941 2.316 2.568 1.992 4.327 3.169 7.562 7.329
[3,] 1.528 6.572 3.851 7.151 2.613 2.870 2.235 4.949 3.574 8.579 8.463
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.175 2.231 2.161 2.145 2.974 2.077 0.5884 5.617 11.04 5.458
[2,] 2.677 2.988 2.802 2.738 3.684 2.499 0.7296 8.174 15.62 7.216
[3,] 2.951 3.419 3.277 3.287 4.230 2.748 0.8355 10.092 17.94 8.595
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.059 3.355 14.66 6.64 9.272 1.592 2.97 6.926 7.572
[2,] 365.784 186.908 868.23 598.63 703.723 103.197 181.46 482.673 494.858
[3,] 290.382 180.072 860.78 626.42 739.194 97.976 186.96 422.369 497.633
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 6.28 3.662 4.574 3.147 5.2 5.586 5.736 5.371 4.577
[2,] 611.24 343.547 483.257 200.662 429.9 465.877 348.289 542.509 549.874
[3,] 564.05 249.669 333.585 206.966 425.4 461.876 343.705 468.411 516.079
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 8.708 6.147 11.67 4.532 14.03 7.164 2.024 6.581 6.48
[2,] 649.737 528.007 785.03 320.838 1642.42 638.773 144.036 676.865 629.07
[3,] 665.077 601.500 756.40 313.826 1103.08 606.653 122.040 691.282 615.23
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.276 5.811 2.04 6.533 5.733 2.779 6.091 6.213
[2,] 321.777 610.661 138.62 572.716 387.386 175.018 544.905 553.405
[3,] 303.842 562.918 119.12 604.477 378.454 142.589 494.314 541.272
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.159 5.958 4.363 4.5 1.778 3.683 1.696 4.564 4.287
[2,] 562.064 398.999 389.916 276.4 121.259 249.637 108.592 374.694 395.552
[3,] 511.186 324.355 387.621 265.7 101.840 221.380 104.028 346.872 336.530
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.806 2.439 4.408 4.834 4.922 2.737 5.456 4.123
[2,] 251.281 168.843 440.954 362.479 357.159 184.109 595.987 279.452
[3,] 231.337 162.446 363.840 283.898 267.105 167.871 558.797 271.710
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.433 4.549 4.07 3.697 3.014 4.594 1.713 5.051 1.998
[2,] 156.742 498.921 486.55 463.931 465.502 314.709 99.585 404.748 147.967
[3,] 170.667 551.376 449.56 431.002 477.555 246.695 91.629 459.872 135.328
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.862 3.482 4.177 5.143 2.066 4.132 4.189 6.1 2.033
[2,] 298.764 218.327 361.376 500.589 165.322 429.899 200.252 514.3 136.783
[3,] 324.118 256.154 297.716 448.164 156.222 356.402 240.841 544.0 127.948
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.174 5.39 6.575 6.24 6.621 5.779 4.928 1.48 4.635
[2,] 380.894 490.69 443.555 567.89 479.102 606.119 617.663 106.29 536.189
[3,] 366.077 355.33 374.723 453.84 421.560 454.287 511.940 83.47 520.735
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.692 6.115 2.329 2.623 2.144 4.049 3.539 7.915
[2,] 258.168 475.819 193.337 208.655 144.553 400.027 206.261 585.759
[3,] 229.438 544.563 165.675 175.210 138.681 328.551 225.937 554.192
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 8.115 2.762 2.833 2.744 2.724 3.776 2.637 0.7471
[2,] 490.735 213.378 271.868 244.109 232.709 297.548 190.107 59.0146
[3,] 578.781 169.920 227.207 232.319 248.612 284.331 156.352 55.6895
[,96] [,97] [,98]
[1,] 7.132 14.02 6.931
[2,] 812.152 1510.42 645.586
[3,] 809.556 1206.77 638.682
[1] "--- VAR model 2017-10-05 06:31:00 completed"
[1] "Completed training sample: 2017-10-05 06:31:00 - 2017-10-05 14:30:00"
[1] "SpVAR; training sample: 2017-10-05 07:01:00 - 2017-10-05 15:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-15.150 -3.847 -13.847 25.951
1.118 10.269 -6.603 22.583
-6.332 5.095 31.587 -3.977
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
15.329 3.852 11.9260 8.747
35.568 9.884 0.6672 19.429
7.733 6.354 11.6184 -1.858
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
21.823 9.262 -7.055 -4.033
2.773 11.229 11.445 -22.724
-5.974 1.014 8.404 -21.059
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-19.374 9.889 29.9819 -7.785
-9.403 -2.544 -0.3557 3.234
-10.014 -1.919 -9.4687 -9.363
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.226 -13.966 -2.569 1.815
-9.527 -18.647 -20.322 -26.018
-14.555 -6.613 14.546 -5.353
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
18.384 -14.5374 -5.455 30.567
-7.017 0.6478 -7.480 -24.678
3.805 5.7578 -15.035 -2.913
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.03313 25.2663 20.310 13.061
-0.24134 -10.4209 31.114 5.377
-4.09653 0.3785 9.712 9.205
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
28.76 -1.001 23.439 32.28
22.43 1.291 13.572 20.68
-10.37 0.221 8.462 18.97
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.155 0.779 -2.521 17.627
6.924 10.041 16.098 3.256
3.088 14.534 15.174 19.497
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
24.17 4.283 8.738 0.3748
19.78 -4.048 -11.617 1.2140
20.25 6.293 1.738 1.1619
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.451 -2.2722 13.786 -2.844
21.890 -3.5713 12.219 -1.729
2.920 0.7372 3.111 16.971
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.292 -1.213 -4.220 3.552
-10.166 2.808 -12.996 2.512
-4.069 -3.789 -3.974 8.152
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.361 -11.61662 -20.47 13.254
14.350 0.04641 10.77 1.914
-8.903 3.17260 10.11 -0.476
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3060 16.752 -5.339 -23.10
-1.2084 -9.556 -7.912 11.13
-0.9102 -12.316 4.524 1.64
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.10 0.6144 2.9672 -18.944
12.17 -1.1651 -0.8473 12.358
-13.39 1.3005 -3.8168 -5.137
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.633 1.6583 14.563 -8.610
-10.721 -2.7562 7.965 11.173
-9.385 -0.9629 -7.435 -5.134
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.670 -0.04556 18.436 -0.6592
5.301 -1.07720 -6.501 6.2828
2.990 2.83039 2.877 5.3092
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
35.177 0.4755 -8.972 -1.177
-4.310 2.2406 -14.834 -13.962
8.185 -2.2199 -14.181 -6.048
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.8665 4.9833 -8.773 19.2626
0.3934 -0.8992 3.275 -12.0430
20.8720 -2.3636 3.621 0.9454
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.9775 1.031 -14.670 11.240
0.6035 4.300 3.617 15.793
-14.4115 2.675 -6.686 6.083
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-18.512 5.6396 12.966 -5.3324
2.918 2.1610 1.732 3.2255
2.025 -0.7737 -2.651 -0.1849
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-12.761 -2.845 19.520 8.7973
3.185 14.148 7.015 -0.8649
5.288 10.028 -3.945 23.6522
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-5.71820 0.03093 -3.258 -0.5574
-1.93484 -7.51910 -4.387 -3.2995
-0.02041 4.31535 3.641 -0.7469
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-12.3794 6.1671 -11.669 6.182
0.7318 -10.5458 -9.515 1.121
-2.4312 0.2732 -10.886 -2.135
rnd_95776.volume rnd_95787.volume
0.9904 29.791
21.8056 -24.308
28.1558 -5.347
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.014 2.782 12.36 5.016 7.076 1.385 2.368 4.888 5.610 4.758 2.760
[2,] 4.923 3.096 14.09 6.584 8.742 1.611 2.741 6.012 6.773 6.563 3.586
[3,] 5.381 3.399 15.48 7.973 10.219 1.770 3.020 6.699 7.772 7.686 3.994
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.367 2.500 4.039 4.308 4.596 4.220 3.553 7.135 4.963 9.153 3.535
[2,] 4.726 2.860 5.203 5.614 5.262 5.788 5.357 8.685 6.349 10.738 4.221
[3,] 5.425 3.251 6.099 6.500 5.910 6.633 6.550 9.916 7.598 12.107 4.780
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.92 5.612 1.715 5.099 5.003 4.064 4.510 1.552 5.031 4.776 2.230
[2,] 16.63 7.389 2.022 7.085 6.831 4.733 6.219 1.885 6.455 5.512 2.533
[3,] 18.77 8.756 2.194 8.966 8.308 5.214 7.379 2.065 7.908 6.188 2.741
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.644 4.543 4.376 4.910 3.590 3.614 1.370 3.011 1.326 3.347 3.279
[2,] 5.967 6.151 6.017 5.825 4.552 4.181 1.629 3.511 1.563 4.251 4.324
[3,] 7.066 7.197 7.062 6.436 5.311 4.579 1.794 3.844 1.749 4.873 5.029
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.018 1.841 3.522 3.955 3.966 2.154 4.254 3.661 1.890 3.586 3.031
[2,] 3.577 2.269 4.662 4.757 4.708 2.569 6.098 4.239 2.162 4.986 4.677
[3,] 3.941 2.519 5.606 5.147 5.139 2.865 7.359 4.688 2.495 6.606 5.711
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.024 2.276 3.567 1.289 4.167 1.630 3.029 2.773 3.403 4.345 1.721
[2,] 4.563 4.089 4.443 1.447 5.235 2.009 3.748 3.239 4.343 5.795 2.128
[3,] 5.529 5.445 4.856 1.622 6.340 2.234 4.420 3.700 4.840 6.658 2.436
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.368 3.441 4.835 1.636 4.704 4.101 5.296 5.237 4.895 4.493 3.978
[2,] 4.618 3.807 6.335 1.907 5.418 5.191 6.233 6.603 6.103 6.263 6.086
[3,] 5.371 4.165 7.522 2.108 5.966 5.800 6.750 7.407 6.803 7.218 7.065
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.192 3.982 2.835 4.95 1.842 2.172 1.773 3.320 2.886 6.567 6.351
[2,] 1.437 5.633 3.381 5.93 2.344 2.621 2.089 4.363 3.237 7.971 7.387
[3,] 1.565 6.742 3.833 7.19 2.637 2.928 2.333 5.000 3.611 8.884 8.314
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.216 2.173 2.193 2.294 2.830 2.298 0.6000 1.635 10.67 5.195
[2,] 2.747 2.876 2.724 2.774 3.584 2.675 0.7506 1.954 15.27 7.297
[3,] 3.014 3.316 3.195 3.285 4.153 2.896 0.8617 2.174 17.67 8.719
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.097 3.533 15.7 6.37 8.985 1.758 3.007 6.207 7.124
[2,] 401.372 191.287 952.7 600.26 722.669 115.812 194.409 492.519 534.204
[3,] 305.556 197.289 902.2 632.91 744.757 103.453 178.236 416.004 536.355
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.042 3.505 4.275 3.174 5.129 5.471 5.837 5.359
[2,] 636.242 322.230 466.786 195.618 461.571 506.670 360.429 557.631
[3,] 563.171 247.435 375.094 217.738 448.076 461.118 378.901 456.030
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.512 9.06 6.302 11.62 4.489 13.87 7.127 2.177 6.474
[2,] 564.259 697.01 557.276 790.27 324.711 1766.24 676.464 150.934 692.502
[3,] 530.581 673.54 587.615 787.12 315.706 1224.31 661.300 119.733 773.341
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.353 5.161 5.727 1.971 6.389 6.065 2.832 5.897
[2,] 654.636 341.451 602.733 150.497 569.198 387.192 169.181 527.531
[3,] 665.476 307.956 558.917 118.757 643.095 395.821 147.469 532.712
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.769 5.557 6.235 4.559 4.59 1.74 3.824 1.684 4.25
[2,] 583.563 581.240 441.120 393.913 295.81 123.95 254.017 116.252 368.96
[3,] 525.935 520.299 385.136 385.163 262.89 105.86 220.313 110.752 335.39
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.164 3.833 2.338 4.473 5.022 5.036 2.735 5.402
[2,] 396.615 270.244 186.784 429.925 371.953 356.978 197.008 615.004
[3,] 361.598 232.679 153.902 438.234 276.923 290.127 178.720 579.752
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.649 2.4 4.554 3.849 3.84 2.891 4.529 1.637 5.291
[2,] 300.754 147.6 487.518 501.312 480.88 478.084 372.922 92.617 446.104
[3,] 281.825 175.5 610.071 461.325 439.61 506.165 275.953 103.001 503.336
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.07 3.846 3.521 4.321 5.518 2.186 4.276 4.369
[2,] 165.23 310.772 235.741 379.854 539.662 176.091 444.679 229.148
[3,] 137.46 329.691 251.660 300.777 461.435 166.994 386.033 237.953
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 6.139 2.077 5.973 5.208 6.725 6.65 6.216 5.706
[2,] 576.135 137.976 378.387 447.796 462.668 565.97 513.026 614.151
[3,] 570.848 126.542 351.470 364.257 364.775 472.38 423.241 504.860
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.052 1.514 5.057 3.601 6.286 2.339 2.758 2.252
[2,] 648.287 113.063 560.785 259.305 459.582 203.966 206.653 155.307
[3,] 505.087 87.090 521.498 253.978 572.327 170.219 183.602 146.316
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 4.216 3.665 8.339 8.065 2.813 2.759 2.785 2.913
[2,] 398.363 206.362 635.962 531.153 228.628 265.241 227.466 219.564
[3,] 343.720 225.156 552.124 536.804 174.401 232.376 234.872 247.801
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.593 2.918 0.7619 2.077 13.54 6.596
[2,] 309.567 192.799 63.4676 150.543 1538.49 721.383
[3,] 295.254 156.043 59.5984 134.231 1251.18 671.693
[1] "--- VAR model 2017-10-05 07:01:00 completed"
[1] "Completed training sample: 2017-10-05 07:01:00 - 2017-10-05 15:00:00"
[1] "SpVAR; training sample: 2017-10-05 07:31:00 - 2017-10-05 15:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.9865 9.495 -25.36 15.001
5.1913 -2.818 62.60 11.051
-0.9817 -2.461 -62.60 -6.138
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
22.6424 3.117 5.321 -3.246
0.2117 -3.912 3.976 -21.516
-15.1939 3.536 4.112 -15.221
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.375 -6.198 -19.046 -37.16
-7.940 7.249 -7.795 -28.69
-16.875 -22.224 -1.127 -35.37
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.931 -4.837 -1.2903 4.465
2.398 -1.985 -6.5160 -11.084
2.843 -4.504 -0.9529 -6.221
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-22.235 8.899 13.04 7.248
1.515 -5.869 -13.48 -12.907
-9.664 -15.346 -10.94 2.042
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.19 -3.233 -18.82 17.62
17.99 -2.981 -50.11 4.41
-23.12 3.654 60.60 3.76
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.355 15.432 -12.53 -15.87073
-2.777 -7.216 19.64 0.04056
4.059 -27.824 -16.56 3.39856
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
7.596 4.323433 35.51 13.27
20.646 0.008931 -10.22 10.25
-3.961 5.932320 14.37 14.31
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.538 33.19 35.392 22.867
1.496 17.98 13.233 17.918
-0.561 12.58 1.416 9.079
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-25.32 -21.030 -0.9303 -7.0380
-20.88 11.475 5.6927 -3.8365
12.44 7.761 2.9854 -0.1119
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.141 0.369 17.940 -11.820
-4.818 -2.579 17.124 3.904
3.519 4.174 6.901 1.018
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.5257 2.208 -0.07786 4.167
0.9153 -8.903 -8.13451 18.792
7.2394 -1.989 8.06826 2.738
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-8.818 4.899 -1.378 8.985
11.369 -3.728 -9.153 18.155
3.178 3.015 -4.391 7.422
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7531 19.352 15.300 -2.469
-0.5340 -7.364 3.574 16.781
-1.6218 4.481 -12.462 -16.032
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-19.315 -6.135 -0.7377 12.8698
6.422 6.187 -2.0342 -3.3983
7.406 -1.313 2.4633 0.8504
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.750 25.580 10.729 26.62
-1.049 -12.536 4.070 22.20
-8.314 -2.367 7.188 -19.27
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
17.10 -2.602 4.478 14.515
20.18 8.555 23.954 6.705
-10.44 1.553 4.268 -5.808
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-28.45 -4.069 15.126 -10.780
27.53 -4.018 -4.629 9.578
16.86 4.315 -6.430 10.099
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
14.19 3.582 0.710 -4.47
-10.27 11.979 -2.781 17.87
-11.14 1.203 -17.346 -14.24
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.184 0.4046 -2.972 5.740
-2.299 -2.9344 -4.990 16.424
-3.128 2.4471 5.010 7.102
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.069 -3.6752 4.440 1.137
1.335 -0.3548 1.234 4.358
11.080 10.7042 7.000 -2.451
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-16.966 11.363 -4.972 14.554
-2.914 1.665 6.959 -34.982
-6.202 3.775 14.942 5.724
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.560 9.672 15.800 7.289
12.661 -1.456 -2.879 -1.427
-3.831 4.143 5.609 6.697
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.205 1.128 -13.87 0.008304
-2.659 -3.048 -11.78 0.670005
-7.710 -1.460 -10.49 3.348467
rnd_95776.volume rnd_95787.volume
-2.621 31.320
-14.948 -2.750
20.710 3.837
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.035 2.877 11.88 4.717 7.381 1.478 2.328 4.945 5.747 4.575 2.697
[2,] 4.879 3.228 13.70 6.277 9.151 1.735 2.673 5.755 6.684 6.667 3.468
[3,] 5.301 3.512 15.59 7.557 10.813 1.963 2.935 6.462 7.557 7.699 3.773
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.103 2.469 4.076 4.413 4.458 4.306 3.763 6.860 4.929 8.194 3.531
[2,] 4.735 2.891 5.193 5.583 5.110 5.738 5.322 8.561 6.493 9.834 4.220
[3,] 5.384 3.264 6.138 6.514 5.620 6.440 6.416 9.813 7.652 11.358 4.704
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.27 5.442 1.644 4.832 4.879 4.123 4.148 1.608 4.836 4.616 2.175
[2,] 15.87 6.892 1.966 6.619 6.813 4.730 6.003 1.898 6.232 5.454 2.500
[3,] 18.12 8.411 2.194 8.776 8.373 5.240 7.063 2.080 7.644 6.151 2.735
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.643 4.527 4.246 5.064 3.491 3.642 1.297 2.894 1.293 3.416 3.178
[2,] 6.034 6.165 5.855 6.033 4.716 4.250 1.567 3.423 1.496 4.170 4.498
[3,] 7.199 7.336 7.032 6.748 5.417 4.637 1.748 3.751 1.683 4.666 5.168
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.960 1.754 3.444 4.122 3.933 2.181 4.155 3.539 1.874 3.526 3.069
[2,] 3.572 2.208 4.551 4.918 4.621 2.607 6.273 4.218 2.163 4.881 4.579
[3,] 3.869 2.439 5.500 5.327 5.130 2.908 7.616 4.697 2.487 6.752 5.858
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.358 2.178 3.642 1.340 4.087 1.737 2.947 3.124 3.473 4.237 1.782
[2,] 4.505 3.985 4.526 1.502 5.035 2.056 3.715 3.534 4.421 5.685 2.141
[3,] 5.431 5.261 4.945 1.677 6.265 2.284 4.444 3.934 5.017 6.725 2.440
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.874 3.333 5.823 1.636 4.808 4.156 5.251 5.219 4.851 4.142 3.912
[2,] 5.033 3.742 7.344 1.939 5.532 5.140 6.127 6.493 5.993 5.996 5.939
[3,] 5.836 4.105 8.721 2.169 6.038 5.746 6.648 7.298 6.654 7.047 7.009
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.206 3.766 2.749 4.705 1.828 2.134 1.836 3.634 3.040 6.405 6.252
[2,] 1.441 5.411 3.330 5.790 2.407 2.597 2.146 4.580 3.452 7.963 7.459
[3,] 1.562 6.537 3.854 7.053 2.701 2.935 2.357 5.329 3.879 8.949 8.347
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.940 2.064 2.094 2.147 2.905 2.235 0.6112 1.458 10.45 5.260
[2,] 2.487 2.799 2.675 2.578 3.637 2.608 0.7445 1.752 16.15 7.013
[3,] 2.755 3.192 3.134 3.046 4.261 2.856 0.8637 1.947 18.87 8.559
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.124 3.653 15.09 5.99 9.373 1.877 2.956 6.279
[2,] 391.006 208.866 972.53 590.25 771.008 129.478 187.136 419.920
[3,] 295.241 197.210 1060.30 599.81 821.278 131.037 172.822 418.946
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.298 5.81 3.425 3.94 3.136 5.176 5.604 5.661 5.468
[2,] 486.306 691.30 310.762 509.84 214.323 458.617 487.387 356.068 540.564
[3,] 502.812 548.90 211.898 365.36 215.909 466.391 478.552 333.346 416.747
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.779 8.711 6.259 10.4 4.484 13.04 6.91 2.088 6.136
[2,] 536.328 730.165 602.427 775.1 329.366 1724.51 602.92 153.614 644.751
[3,] 510.833 683.732 577.260 810.3 296.427 1246.08 687.29 138.726 821.464
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.195 5.236 5.267 2.043 6.14 5.861 2.762 5.896
[2,] 677.768 330.531 618.492 143.534 560.31 414.131 175.618 549.368
[3,] 693.997 321.383 530.548 121.569 631.02 405.556 158.181 559.637
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.748 5.391 6.431 4.434 4.624 1.646 3.674 1.642
[2,] 596.592 574.712 467.306 452.006 312.437 125.559 260.651 107.154
[3,] 566.889 555.281 431.018 379.714 264.326 110.193 218.611 109.916
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.338 4.036 3.759 2.227 4.373 5.234 4.994 2.769
[2,] 340.765 453.598 284.873 191.099 424.038 382.435 345.987 203.561
[3,] 298.681 362.814 211.823 147.874 440.391 291.912 317.585 183.607
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 5.276 4.495 2.38 4.478 3.897 4.264 2.766 4.625
[2,] 669.802 326.961 153.99 481.031 484.460 428.154 475.629 382.987
[3,] 615.711 294.629 174.98 664.978 520.719 432.362 489.676 283.897
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.702 5.189 2.206 3.743 3.966 4.41 5.38 2.262 4.919
[2,] 96.578 419.204 156.692 322.357 235.696 390.01 540.34 169.316 457.947
[3,] 106.496 531.408 141.884 347.614 246.272 338.18 512.06 166.739 421.269
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.232 7.394 2.078 6.106 5.277 6.667 6.627 6.16 5.26
[2,] 242.696 637.862 148.177 390.007 431.103 450.203 550.773 501.74 617.88
[3,] 240.487 670.467 138.834 344.876 366.176 367.760 474.819 411.91 527.87
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.968 1.532 4.783 3.491 5.975 2.321 2.71 2.332
[2,] 636.891 112.389 553.844 267.844 480.906 223.105 210.95 158.198
[3,] 530.611 85.945 522.694 276.642 574.195 174.805 195.04 139.200
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 4.615 3.861 8.134 7.939 2.463 2.621 2.66 2.726
[2,] 397.179 233.113 674.450 580.042 221.726 269.616 237.10 203.421
[3,] 388.415 252.265 581.945 533.841 168.976 218.655 232.81 231.443
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.689 2.839 0.7762 1.851 13.26 6.68
[2,] 311.888 191.385 60.5903 138.688 1754.79 661.24
[3,] 316.401 166.215 62.4117 120.947 1393.52 699.26
[1] "--- VAR model 2017-10-05 07:31:00 completed"
[1] "Completed training sample: 2017-10-05 07:31:00 - 2017-10-05 15:30:00"
[1] "SpVAR; training sample: 2017-10-05 08:01:00 - 2017-10-05 16:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.01065 6.928 21.781 23.820
6.65319 5.428 15.199 -20.336
-3.86391 -3.979 1.508 -8.486
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-28.19 3.5553 2.560 17.448
12.78 0.7996 -3.449 -1.071
-25.13 2.8039 -1.888 -5.042
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
8.353 -2.533 1.802 -26.47
6.731 8.219 10.273 -20.65
-10.709 -4.717 1.338 -30.90
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.5139 -1.723 12.65 -11.147
-8.4471 -10.815 -15.18 2.402
-0.2039 -8.372 -10.60 -6.989
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.898 -2.795 44.06 27.66
-9.910 -4.262 32.76 28.98
-9.314 -14.516 21.45 17.95
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
17.041 7.684 -15.118 -24.880
-4.672 22.596 9.752 -3.002
6.171 16.832 -38.018 -28.397
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.2386 -33.281 -17.5371 -6.853
0.8635 6.755 -7.0144 -3.819
7.4484 -17.517 -0.2063 -1.661
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
31.563 -4.0051 14.748 26.89
-17.060 0.5026 -4.423 24.90
-3.515 0.2262 -10.434 32.71
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.604 -15.05 -16.25 -11.0723
1.542 25.90 15.70 -0.6706
-4.374 -19.17 -14.69 1.9209
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.801 -3.608 7.409 0.01172
1.062 -1.015 -10.972 -4.83376
-6.620 -12.812 -1.845 -0.51901
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-14.019 -0.4261 9.206 -10.992516
-2.806 -0.6626 4.098 -0.002756
4.686 -0.9116 6.267 -13.599982
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.307 0.8272 -13.852 11.146
11.736 -4.3070 1.927 -5.408
8.736 2.9353 8.686 17.450
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.290 0.4933 -14.0432 27.88
-1.299 2.9217 5.4251 16.99
-1.882 4.6406 0.2499 11.11
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.0161 3.380 5.856 6.7761
-0.3948 -3.192 -4.046 7.1657
-3.4248 -8.750 1.331 -0.9423
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.258252 -1.950 2.7771 -6.6971
15.121841 -12.093 4.5136 0.1765
0.005031 -5.932 0.8385 -0.8835
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.328 -3.229 9.8572 -5.302
-9.658 -1.709 4.8104 11.176
-3.488 -4.341 -0.2797 -4.527
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-16.936 7.250 -20.4394 -0.5589
-2.612 2.306 -4.8975 5.5264
-4.737 2.650 0.8964 -5.3202
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.905 3.914 2.684 -0.08309
-33.733 -4.631 2.886 6.03931
2.977 2.791 9.040 -0.09419
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6290 -3.420 -11.333 -9.026
-0.9683 7.945 -5.927 -4.718
-3.7553 -4.466 -12.897 7.098
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.1574 -2.283 12.957 -4.6697
-0.5353 -1.986 8.756 -8.3153
2.8395 2.178 3.750 -0.2602
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.990 4.830 2.518 -1.9616
25.344 -1.943 -8.239 5.2671
-4.042 13.387 2.068 0.3288
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-18.970 9.850 -8.728 -24.81
0.846 4.541 8.458 -18.01
1.312 2.014 -15.857 -21.58
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.099 -3.010 7.295 8.457
6.224 11.200 8.563 4.333
8.729 3.458 4.880 7.356
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.417 6.9027 -11.60 -2.8935
-14.386 4.0015 -13.75 0.1317
1.853 -0.4914 -12.34 -2.8749
rnd_95776.volume rnd_95787.volume
47.53 -21.700
-12.58 -1.306
19.67 -21.002
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.813 2.844 11.77 4.663 7.001 1.470 2.273 5.016 5.750 4.233 2.546
[2,] 4.761 3.252 13.76 6.250 8.773 1.803 2.651 5.857 6.760 6.464 3.340
[3,] 5.179 3.532 15.83 7.478 10.215 2.020 2.943 6.447 7.418 7.435 3.702
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.180 2.453 3.761 4.369 3.691 4.074 3.677 7.193 4.913 7.569 3.492
[2,] 4.711 2.839 4.923 5.470 4.280 5.264 5.141 9.022 6.478 9.338 4.212
[3,] 5.360 3.122 5.954 6.494 4.757 6.169 6.027 10.336 7.644 10.374 4.733
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.924 5.560 1.664 4.994 4.816 3.813 4.090 1.620 4.662 4.820 2.192
[2,] 15.744 7.184 1.994 6.892 6.723 4.444 5.982 1.928 5.849 5.686 2.530
[3,] 18.487 8.363 2.242 8.721 8.371 4.902 7.146 2.108 7.120 6.296 2.787
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.414 4.529 4.482 4.838 3.567 3.720 1.304 2.870 1.279 3.644 3.165
[2,] 5.768 6.196 6.171 5.863 4.736 4.299 1.559 3.501 1.473 4.336 4.468
[3,] 7.033 7.314 7.114 6.544 5.433 4.647 1.718 3.782 1.652 4.817 5.149
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 3.061 1.693 3.324 4.089 4.090 2.122 4.148 3.501 1.825 3.342 2.990
[2,] 3.598 2.134 4.491 4.838 4.688 2.556 6.359 4.233 2.155 4.781 4.597
[3,] 3.882 2.384 5.393 5.277 5.339 2.911 7.469 4.713 2.532 6.657 5.825
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.440 2.209 3.697 1.332 3.870 1.868 3.158 3.051 3.595 4.769 1.843
[2,] 4.807 3.991 4.439 1.511 4.934 2.128 3.772 3.462 4.565 6.113 2.289
[3,] 5.570 5.329 5.017 1.668 6.204 2.318 4.437 3.937 5.217 7.072 2.553
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.058 3.356 6.520 1.654 4.696 4.249 5.071 4.997 5.047 3.965 3.835
[2,] 5.354 3.960 8.109 1.956 5.340 5.212 6.040 6.294 6.237 5.908 5.652
[3,] 6.200 4.321 9.400 2.165 5.732 5.789 6.638 7.151 6.970 6.979 6.764
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.280 4.025 2.825 4.838 2.021 2.174 1.875 3.644 3.147 6.711 6.214
[2,] 1.534 5.502 3.401 5.927 2.521 2.650 2.190 4.730 3.556 8.038 7.423
[3,] 1.648 6.456 3.917 7.087 2.826 3.036 2.439 5.392 3.897 8.915 8.420
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.874 1.920 2.024 2.101 3.040 2.221 0.6905 1.494 10.52 5.464
[2,] 2.415 2.668 2.613 2.508 3.727 2.589 0.7995 1.764 16.20 7.307
[3,] 2.671 3.021 3.017 2.899 4.299 2.893 0.9186 1.946 19.12 8.650
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.841 3.612 14.94 5.921 8.89 1.867 2.886 6.369 7.301
[2,] 329.175 182.000 823.81 480.327 610.21 120.455 157.614 349.025 410.279
[3,] 235.207 159.078 902.57 473.864 604.01 105.070 147.377 311.180 352.600
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.375 3.234 4.038 3.115 4.776 5.548 4.688 5.173
[2,] 563.752 249.435 401.139 164.864 366.599 379.789 249.963 384.726
[3,] 424.087 184.237 295.206 150.019 386.519 404.064 239.759 371.299
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.669 9.134 6.238 9.611 4.434 12.6 7.06 2.113 6.342
[2,] 414.771 628.638 487.399 631.139 271.859 1410.6 524.98 126.883 548.141
[3,] 363.004 581.997 468.395 521.588 249.303 1118.3 494.25 118.327 616.742
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 6.115 4.842 5.193 2.057 5.92 6.121 2.783 5.605
[2,] 541.447 263.552 503.857 120.622 407.60 348.167 145.887 428.532
[3,] 575.539 238.814 451.200 98.353 468.52 312.010 134.834 464.469
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.752 5.692 6.144 4.529 4.724 1.655 3.645 1.624 4.627
[2,] 488.031 489.569 382.113 359.567 248.662 98.733 231.334 84.414 271.197
[3,] 448.536 408.540 335.561 307.220 203.900 83.375 165.240 86.266 242.411
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.019 3.887 2.15 4.221 5.193 5.194 2.695 5.267
[2,] 364.087 218.255 149.93 348.469 298.473 264.430 164.309 556.291
[3,] 295.220 168.269 122.64 344.650 243.217 294.876 160.946 452.226
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.446 2.317 4.244 3.797 4.368 2.805 4.694 1.691
[2,] 274.613 132.209 394.627 402.977 387.647 383.660 283.554 82.432
[3,] 239.248 153.574 534.619 412.988 324.599 407.483 269.842 81.568
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 4.914 2.372 4.01 3.874 4.566 6.056 2.34 5.153 4.262
[2,] 353.232 117.602 238.14 188.866 324.741 441.292 156.76 403.109 242.542
[3,] 434.100 106.345 269.62 216.422 291.364 410.557 130.52 360.902 199.568
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 8.279 2.101 5.963 5.396 6.439 6.345 6.409 5.035
[2,] 556.401 120.410 293.492 348.387 378.795 441.796 422.828 505.384
[3,] 548.834 107.156 240.554 290.589 317.818 391.755 359.341 428.853
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.869 1.626 5.112 3.588 6.144 2.566 2.761 2.381
[2,] 479.134 97.448 432.978 218.558 395.085 174.089 174.802 130.545
[3,] 428.901 69.607 389.726 224.209 448.408 147.256 171.069 123.915
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.627 3.997 8.521 7.891 2.379 2.439 2.57 2.668 3.86
[2,] 348.035 191.030 510.681 468.741 175.813 213.679 190.77 158.172 248.97
[3,] 298.741 183.896 445.157 458.583 131.817 163.661 174.08 167.810 247.31
[,94] [,95] [,96] [,97] [,98]
[1,] 2.82 0.8769 1.897 13.36 6.938
[2,] 153.67 46.5156 108.342 1421.49 559.985
[3,] 148.84 52.2035 94.841 1171.24 534.223
[1] "--- VAR model 2017-10-05 08:01:00 completed"
[1] "Completed training sample: 2017-10-05 08:01:00 - 2017-10-05 16:00:00"
[1] "SpVAR; training sample: 2017-10-05 08:31:00 - 2017-10-05 16:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.9280 9.618 -46.65 -4.893
0.5384 -1.446 34.44 -4.414
0.1056 -2.801 -28.72 5.541
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-28.5036 2.766 2.342 19.994
-0.9829 1.542 -1.241 -9.134
-43.5017 1.299 1.241 10.879
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-13.1366 -12.60 0.68647 -12.16
2.2642 17.08 -9.14618 -15.62
0.5395 -23.08 0.08503 -26.06
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-10.677 12.19 11.85 -11.56169
5.485 -13.57 -16.46 -0.06262
1.204 10.79 18.81 -3.17119
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.9029 8.186 50.1460 38.647
-0.2188 -14.474 -0.1957 8.971
-0.7136 8.652 9.7577 13.153
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-14.412 -2.796 -5.662 1.183
9.136 -3.902 -45.542 -16.846
-14.256 6.153 16.755 -8.424
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.922 -10.323 -26.6087 6.290
1.283 7.407 0.7832 7.369
-1.378 -24.137 -5.0982 7.900
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.9303 3.283 1.264 18.326
0.6869 -3.416 -3.451 7.683
5.5418 3.151 -6.316 22.507
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.9797 -25.817 -30.68 -17.41
0.8329 -17.110 -11.87 -19.75
2.5226 6.469 -16.69 -20.06
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-24.441 -14.218 -19.099 1.590
-18.869 -9.506 4.952 -5.948
-6.857 -14.663 -10.756 -2.209
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.840 -0.1209 -6.9170 -13.383
-2.925 1.9536 -7.6683 -4.359
5.824 -2.7431 -0.3477 -13.445
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.881 0.1948 -17.4239 11.074
13.661 -1.7361 -0.5885 1.652
-2.044 4.0544 -5.4502 2.570
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.686 2.504 -5.516 -8.140
-10.555 3.650 4.968 -1.239
-2.294 2.229 -2.539 -1.023
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.770 1.644 1.191 -1.037
1.586 -4.778 -8.142 -4.877
-5.455 -5.248 -7.809 -4.506
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.3040 2.658 2.0474 -2.005
-4.0668 11.656 -4.5897 2.286
0.5325 -4.555 0.3609 -3.495
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.6307 -2.44 -2.876 5.487
-6.1097 10.26 -3.732 6.375
-0.8077 -11.30 -1.183 12.616
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-7.347 4.546 1.445 -1.018
3.220 2.579 8.171 3.528
-5.074 2.700 -3.108 -17.228
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.12 -2.728 13.553 -16.81
18.89 2.002 -3.797 10.23
-25.87 3.195 8.343 -6.10
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-10.825 -1.368 17.853 14.125
-8.125 -9.761 11.097 7.911
-11.668 -9.474 8.164 -6.065
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
24.30191 -1.2903 7.131 3.869
3.25879 0.4400 20.558 -1.747
-0.08008 -0.5763 8.475 7.695
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.464 -1.6230 -0.8285 1.152
26.421 0.5473 -0.5570 0.732
9.500 4.4983 6.6761 -2.458
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.435 3.276 -11.0593 -15.11
-3.331 6.048 -7.1670 -17.55
-8.016 4.851 -0.8783 -12.25
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.189 8.3064 0.3912 2.469
7.943 6.7010 11.8471 8.098
4.399 -0.1144 -3.8002 -2.058
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
7.173 10.519 -9.356 7.411
-8.444 -6.062 -9.353 -4.099
3.056 7.372 -10.276 3.959
rnd_95776.volume rnd_95787.volume
55.72 -4.393
-30.21 -13.990
-19.36 -7.411
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.752 2.846 11.77 4.020 7.378 1.660 2.240 4.986 5.492 4.312 2.440
[2,] 4.703 3.245 13.57 5.667 9.664 1.939 2.603 5.750 6.717 6.497 3.250
[3,] 5.125 3.569 15.80 7.114 11.296 2.237 2.933 6.378 7.402 7.304 3.629
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.142 2.710 3.443 4.234 3.589 4.057 3.405 6.808 4.901 7.909 3.319
[2,] 4.666 3.049 4.834 5.407 4.026 5.028 4.813 8.718 6.595 9.304 4.012
[3,] 5.352 3.335 5.768 6.331 4.523 5.932 5.673 9.902 7.615 10.371 4.415
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.665 5.243 1.593 4.701 4.522 3.648 3.787 1.665 4.375 4.906 2.180
[2,] 15.992 7.125 1.923 6.712 6.534 4.358 5.635 1.982 5.648 5.885 2.503
[3,] 18.307 8.345 2.195 8.682 8.253 4.786 6.890 2.182 7.014 6.587 2.765
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.510 4.487 4.438 4.776 3.612 3.694 1.263 2.956 1.252 3.576 3.126
[2,] 5.832 6.149 6.322 5.852 4.760 4.323 1.531 3.575 1.467 4.363 4.519
[3,] 7.173 7.329 7.241 6.558 5.431 4.695 1.696 3.947 1.628 4.873 5.148
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.963 1.607 3.245 4.162 4.054 2.229 4.261 3.472 1.845 3.470 3.180
[2,] 3.496 2.049 4.309 4.950 4.760 2.683 6.407 4.225 2.126 4.925 4.755
[3,] 3.844 2.317 5.371 5.472 5.506 3.034 7.464 4.804 2.482 6.897 5.925
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.466 2.337 3.646 1.311 4.011 1.807 3.128 3.133 3.525 4.870 1.866
[2,] 4.817 4.262 4.407 1.525 4.954 2.130 3.816 3.626 4.536 6.124 2.294
[3,] 5.582 5.602 4.903 1.651 6.364 2.341 4.626 4.095 5.315 7.210 2.572
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.177 3.288 6.470 1.681 4.782 3.961 4.700 4.997 5.196 3.999 3.919
[2,] 5.492 3.832 8.292 2.019 5.433 5.095 5.704 6.293 6.299 5.969 5.794
[3,] 6.307 4.222 9.622 2.239 5.926 5.653 6.370 7.166 7.008 6.973 6.848
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.271 3.955 2.714 4.701 2.003 2.344 1.836 3.613 3.353 6.842 6.216
[2,] 1.507 5.434 3.276 5.780 2.428 2.762 2.191 4.733 3.908 8.154 7.400
[3,] 1.651 6.567 3.736 7.020 2.727 3.086 2.429 5.374 4.293 8.834 8.149
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.951 1.874 2.006 2.151 3.055 2.158 0.7247 1.491 10.64 5.403
[2,] 2.509 2.567 2.605 2.517 3.736 2.557 0.8370 1.865 16.29 7.434
[3,] 2.842 2.876 2.959 2.859 4.387 2.892 0.9493 2.085 19.16 8.735
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.765 3.615 14.94 5.104 9.369 2.108 2.845 6.332
[2,] 318.836 175.281 760.39 449.160 701.971 112.766 149.068 322.088
[3,] 229.027 167.200 910.32 483.754 657.778 125.524 152.037 310.320
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.974 5.475 3.099 3.989 3.441 4.373 5.376 4.558
[2,] 434.888 546.528 241.377 388.025 157.117 381.518 378.205 205.203
[3,] 349.699 375.381 181.518 294.713 152.029 353.819 370.429 231.618
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.152 4.323 8.645 6.223 10.04 4.215 12.27 6.658
[2,] 334.028 382.556 612.502 496.292 551.18 253.331 1432.77 542.651
[3,] 354.110 337.697 528.064 428.254 515.33 207.474 1002.19 488.592
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.023 5.969 5.742 4.633 4.808 2.115 5.556 6.23
[2,] 121.076 538.829 530.464 268.132 469.241 120.846 401.581 365.42
[3,] 119.132 619.268 566.917 222.402 445.862 102.823 467.796 332.77
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.768 5.727 5.697 5.635 6.065 4.587 4.69 1.603 3.754
[2,] 138.304 415.796 472.909 506.356 380.300 348.574 252.63 97.446 226.019
[3,] 132.237 469.696 448.392 397.125 332.851 294.210 206.17 81.867 188.095
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.59 4.541 3.97 3.763 2.041 4.121 5.286 5.148 2.831
[2,] 85.90 281.004 366.95 208.543 142.892 318.785 301.348 280.454 167.945
[3,] 79.41 244.193 277.40 179.878 121.670 360.555 262.179 311.263 159.186
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.411 4.409 2.342 4.407 4.038 4.402 2.968 4.63 1.665
[2,] 538.073 270.795 118.791 392.951 397.500 376.091 400.819 278.39 87.588
[3,] 430.605 257.172 144.116 542.965 397.578 317.215 408.767 241.59 71.180
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 5.094 2.294 3.972 3.978 4.476 6.184 2.369 5.304
[2,] 326.955 126.874 245.799 205.381 320.946 417.644 150.079 400.985
[3,] 449.222 109.274 294.093 213.971 311.550 427.904 130.983 348.788
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.175 8.216 2.135 6.072 5.03 5.968 6.345 6.598
[2,] 221.243 583.147 125.843 289.959 360.35 363.569 430.162 400.525
[3,] 199.325 549.063 108.657 266.213 275.52 318.839 385.612 345.267
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.078 4.976 1.614 5.023 3.446 5.97 2.543 2.977 2.332
[2,] 498.305 479.978 91.130 418.979 206.466 378.22 154.297 164.258 134.366
[3,] 405.402 410.599 75.781 414.768 201.849 447.98 139.859 154.736 118.053
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 4.589 4.258 8.688 7.894 2.477 2.38 2.547 2.731
[2,] 343.848 225.678 498.723 451.533 177.351 197.26 186.893 147.175
[3,] 286.243 199.851 382.481 383.922 150.265 145.93 157.930 152.347
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.879 2.74 0.9202 1.894 13.51 6.86
[2,] 241.917 154.36 47.1157 125.918 1386.32 574.33
[3,] 258.458 151.91 50.3694 104.757 1134.57 515.76
[1] "--- VAR model 2017-10-05 08:31:00 completed"
[1] "Completed training sample: 2017-10-05 08:31:00 - 2017-10-05 16:30:00"
[1] "SpVAR; training sample: 2017-10-05 09:01:00 - 2017-10-05 17:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.606 6.105 -35.553 12.183
1.505 6.206 31.641 -8.688
-6.573 4.578 -3.378 -34.355
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-25.65 7.0316 9.604 25.869
-16.83 0.3859 -8.121 3.103
-22.23 8.4204 5.112 9.771
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
35.78 3.465 -12.16022 4.597
18.98 44.819 -0.05276 8.856
13.02 -10.110 -2.61505 -10.561
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.719 2.24 3.499 0.08826
4.717 16.80 23.886 1.13440
6.380 19.28 19.595 -1.23865
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.239 12.004 7.095 -1.926
9.456 -2.511 35.258 15.298
13.716 18.146 35.448 4.775
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.185 -6.3745 -123.12 -34.28
5.209 -0.4616 -34.77 -33.78
-13.128 -0.6138 -19.88 -18.52
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.266 -32.88 -21.67 19.192
1.556 -37.30 -38.80 9.432
3.714 -15.18 -20.23 3.552
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
12.37 -4.864 4.493 -13.25
-18.05 -4.106 12.669 -22.08
-35.96 -5.804 -32.569 -19.10
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.72157 -18.259 -11.181 -4.688
-0.07204 5.234 -2.012 -14.294
1.40067 -28.290 -9.537 -6.837
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.4993 -1.682 1.657 4.029
7.1061 12.318 -5.930 2.120
-10.5851 -6.797 9.772 2.805
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
7.0663077 -4.4336 -18.815 -25.12
0.0009025 -0.4881 -10.133 -29.63
-3.8520438 -1.8139 -2.526 -16.56
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.0842 -3.16942 -2.76 16.892
3.6736 4.35074 -27.64 -7.438
-0.6241 0.09718 -8.68 9.261
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.905 -2.053 -1.443 20.533
29.561 4.619 15.339 19.305
-11.962 -1.364 -8.620 7.476
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.1205 18.292 5.952 -13.32
-0.4355 -5.275 2.454 16.28
3.9692 22.267 7.899 -12.63
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.5197 3.513 0.8437 -18.19
-0.9453 -1.164 -0.3145 -18.08
11.7638 -11.592 0.7813 11.47
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0037 1.130 8.760 -4.7044
-3.0728 -5.392 2.241 0.3242
0.2761 -9.204 -8.865 -12.4052
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.0370 14.109 -9.357 -7.1884
-0.0208 5.559 -7.250 -1.0894
-4.2232 4.260 -18.517 -0.4039
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-25.566 0.5583 5.6456 -1.852
-2.095 -3.8352 -0.4782 -4.290
12.453 -0.2988 -0.2785 -13.567
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.569 3.417 41.97 17.442
8.500 9.341 13.03 -1.350
8.615 -10.934 27.55 9.328
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.113 1.34872 23.80 -0.9728
12.161 0.05269 25.11 4.9891
9.721 -2.96737 21.36 6.1023
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
16.6753 0.5238 -2.2499 -0.3871
0.2519 -4.3782 0.5111 -4.4501
25.2005 -2.6680 7.0176 -0.8705
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.363 -1.9926 -19.792 -13.438
-2.480 0.3915 -31.308 -20.821
3.749 -4.6733 -8.771 -5.392
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.815 3.404 4.891 -1.268
6.569 -2.550 1.641 3.404
-1.620 7.798 10.107 6.930
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-10.419 -0.5341 -8.743 -9.147
1.902 -2.4923 -8.450 -1.763
-6.700 0.4819 -5.453 -1.379
rnd_95776.volume rnd_95787.volume
-17.59 -45.54
72.28 -27.87
-56.73 -18.61
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.814 2.889 11.68 3.665 7.378 1.832 2.285 4.793 5.535 4.148 2.517
[2,] 4.758 3.235 13.83 5.300 9.302 2.089 2.635 5.495 6.766 6.324 3.259
[3,] 5.236 3.572 15.94 6.734 10.815 2.374 2.898 6.186 7.436 7.169 3.613
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.132 2.842 3.527 4.204 3.742 3.854 3.311 7.100 4.763 9.17 3.703
[2,] 4.460 3.184 4.743 5.338 4.119 4.824 4.566 8.712 6.026 10.47 4.285
[3,] 5.169 3.490 5.586 6.206 4.628 5.727 5.578 9.821 7.040 11.64 4.706
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.30 5.272 1.474 4.581 4.253 3.640 3.576 1.625 4.076 5.014 2.146
[2,] 16.09 7.186 1.750 6.804 6.210 4.278 5.279 1.989 5.386 5.845 2.519
[3,] 18.09 8.256 2.005 8.679 7.924 4.705 6.623 2.192 6.595 6.741 2.772
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.644 4.397 4.460 4.777 3.739 3.799 1.214 3.108 1.155 3.418 2.982
[2,] 5.804 5.998 6.156 5.847 4.752 4.353 1.520 3.718 1.336 4.312 4.421
[3,] 7.100 7.125 7.099 6.548 5.451 4.715 1.699 4.120 1.471 4.931 5.144
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.879 1.517 3.241 4.145 4.231 2.174 4.231 3.872 1.833 3.573 3.466
[2,] 3.438 1.968 4.396 4.948 4.906 2.631 6.463 4.526 2.095 5.389 4.908
[3,] 3.729 2.250 5.401 5.429 5.683 2.964 7.527 5.047 2.417 7.221 6.055
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.459 2.370 3.703 1.288 4.212 1.694 3.122 3.061 3.490 5.024 1.870
[2,] 4.771 4.753 4.287 1.516 4.988 2.028 3.856 3.566 4.504 6.164 2.281
[3,] 5.695 5.888 4.760 1.668 6.372 2.226 4.671 4.043 5.359 7.352 2.628
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.510 3.266 7.110 1.651 4.854 4.228 5.232 5.055 5.270 3.721 3.821
[2,] 5.527 3.753 8.923 1.979 5.430 5.395 6.158 6.392 6.433 5.815 5.506
[3,] 6.463 4.196 10.204 2.231 5.920 6.029 6.796 7.183 7.253 6.804 6.706
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.245 3.792 2.682 4.780 2.006 2.432 1.753 3.632 3.395 6.724 6.177
[2,] 1.465 5.440 3.305 5.793 2.475 2.905 2.125 4.838 4.026 7.983 7.218
[3,] 1.635 6.589 3.770 6.884 2.810 3.244 2.365 5.479 4.469 8.652 7.936
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.921 1.751 2.034 2.122 3.090 2.270 0.7589 1.534 10.48 5.367
[2,] 2.490 2.461 2.668 2.460 3.725 2.618 0.8624 1.889 16.44 7.396
[3,] 2.868 2.849 3.001 2.829 4.275 2.944 0.9864 2.118 19.54 8.557
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.844 3.669 14.84 4.654 9.369 2.327 2.902 6.086
[2,] 287.607 147.201 748.90 387.097 572.809 101.357 132.730 271.708
[3,] 220.998 153.042 801.52 419.964 557.659 114.047 121.833 287.329
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.028 5.268 3.197 3.977 3.609 4.479 5.339 4.752
[2,] 393.574 482.537 209.223 320.988 145.021 320.640 332.473 173.919
[3,] 311.843 341.452 157.750 264.266 144.535 298.232 320.095 213.459
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.894 4.205 9.016 6.049 11.64 4.702 13.09 6.695 1.872
[2,] 293.420 317.887 510.481 373.220 509.85 218.004 1249.66 493.637 95.338
[3,] 312.069 323.931 458.456 368.002 514.66 196.678 836.33 410.999 98.894
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.817 5.401 4.623 4.541 2.064 5.176 6.367 2.726
[2,] 508.571 457.404 227.161 392.558 115.924 355.901 303.726 133.352
[3,] 544.805 497.621 197.998 404.380 93.120 384.798 339.451 116.880
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.897 5.584 5.663 6.066 4.748 4.824 1.541 3.947 1.467
[2,] 351.978 412.384 429.054 340.793 296.511 214.886 92.550 206.315 67.919
[3,] 413.455 388.864 357.456 298.020 270.052 183.379 76.784 179.468 62.220
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.34 3.787 3.656 1.927 4.115 5.263 5.373 2.761
[2,] 265.76 329.935 189.986 126.748 300.320 273.284 251.171 149.888
[3,] 241.89 265.824 146.062 110.284 317.282 225.755 289.988 137.856
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.372 4.917 2.327 4.537 4.401 4.392 3.01 4.702 1.636
[2,] 493.990 236.848 102.695 407.909 351.386 332.185 416.46 218.421 80.859
[3,] 390.036 225.768 121.747 485.860 358.545 314.478 351.32 209.111 70.374
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 5.349 2.151 3.964 3.887 4.431 6.379 2.375 5.727
[2,] 270.032 112.792 228.826 184.936 287.843 361.138 131.914 322.985
[3,] 400.862 92.828 266.600 192.533 293.576 405.147 132.017 338.854
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.148 9.028 2.097 6.164 5.369 6.644 6.42 6.692
[2,] 186.855 545.183 110.300 246.215 338.769 328.316 395.41 373.001
[3,] 189.703 500.471 104.117 238.404 272.013 290.639 331.44 338.759
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.725 4.853 1.581 4.815 3.406 6.07 2.547 3.088 2.226
[2,] 451.701 400.690 78.069 394.316 195.179 330.91 146.582 160.540 121.456
[3,] 357.235 387.145 73.525 375.913 183.360 375.93 134.576 146.037 104.958
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 4.612 4.311 8.539 7.844 2.44 2.224 2.583 2.694
[2,] 323.163 218.815 435.011 377.422 160.17 174.736 174.613 125.933
[3,] 259.875 196.266 337.447 333.598 143.75 145.190 138.754 141.115
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.924 2.882 0.9637 1.948 13.3 6.815
[2,] 210.286 131.896 41.4151 111.526 1280.8 514.522
[3,] 212.054 136.169 48.4233 96.701 1068.5 435.162
[1] "--- VAR model 2017-10-05 09:01:00 completed"
[1] "Completed training sample: 2017-10-05 09:01:00 - 2017-10-05 17:00:00"
[1] "SpVAR; training sample: 2017-10-05 09:31:00 - 2017-10-05 17:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-6.265 0.6416 34.086 -5.135
-7.362 5.3550 18.393 -9.832
5.132 2.8063 2.743 16.763
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
25.46 1.757 -7.617 -9.8798
21.17 2.674 3.121 0.2917
-20.17 -3.192 -3.732 -1.5960
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-22.875 -15.763 -1.187 -8.013
3.163 -3.286 -9.150 -22.346
2.191 -3.869 -8.395 -13.713
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.696 -5.318 4.575 13.66
-9.601 -7.406 -7.208 14.54
-3.781 9.263 3.629 -6.83
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.0682 10.3108 14.8978 19.240
-0.6197 2.2023 -0.4281 1.332
2.6746 0.2388 -5.4602 -1.642
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
22.37 14.030 51.052 -2.430
-13.93 -4.469 -1.896 22.779
18.28 -5.822 -45.526 -4.437
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.982 -4.840 1.646 -16.8010
-4.667 23.234 3.695 -6.8371
2.853 -2.016 8.013 0.5492
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.895 3.8814 -0.5772 0.02143
-15.939 5.0106 -10.9172 13.23684
21.211 -0.3229 6.6158 16.91503
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.416 -2.103 6.931 15.85
-9.581 -11.839 -0.742 -12.71
-4.471 -1.935 -8.780 -10.39
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
13.933 32.835 -1.7131 2.55975
-3.658 5.060 0.9603 3.13422
-5.634 5.992 7.9268 0.02908
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
9.1244 -2.168 -17.281 -13.59
-0.9453 -0.463 7.197 -14.42
-2.8546 2.991 -9.596 -0.87
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.112 8.504 -0.5123 -21.519
9.626 -3.064 -10.9547 20.454
2.446 -2.648 -1.8461 -9.495
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
25.36 2.461 -10.863 25.127
-13.74 2.525 -4.273 5.078
24.90 2.839 -5.719 -7.299
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
8.002 27.799 16.822 11.196
-2.431 -1.787 10.644 24.670
-2.453 -12.030 -5.182 1.179
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
9.52 0.2488 0.6411 0.6770
19.36 -0.6016 0.2748 -0.7431
11.10 2.2007 1.2495 8.6266
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.084 -13.943 6.6421 -0.686
-6.830 13.689 0.2929 -4.823
-1.250 3.007 0.9842 8.713
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-11.27 -2.031 -13.875 -4.493
-19.51 -7.368 -10.781 4.626
11.92 3.629 2.286 3.001
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.841 3.257 -14.659 -7.703
26.948 -8.634 -7.278 -13.918
-33.530 3.261 14.493 6.286
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.928 1.373 -10.6278 -2.766
8.103 -12.470 10.4729 -9.445
4.518 15.094 0.9926 4.634
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.608 4.158 22.597 -23.398
-8.466 -2.285 -3.236 -5.156
-4.232 -2.776 4.794 -10.280
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
20.373 5.2557 1.619 0.9624
4.765 -0.0654 3.769 8.9386
4.848 -2.4951 5.305 0.8193
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
14.094 -7.751 -9.064 -15.93
2.669 3.787 -6.573 -21.37
-12.474 6.991 3.357 22.49
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.856 -14.545 -6.090 -0.7519
-9.391 9.216 10.322 1.6764
6.039 -2.775 -9.796 -8.6415
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
9.009 1.713 -8.442 4.164
5.421 -2.527 -4.064 -4.888
3.565 -2.806 -6.701 3.712
rnd_95776.volume rnd_95787.volume
21.94 -15.874
-29.52 29.460
44.43 -4.683
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.844 2.860 11.54 3.768 7.285 1.856 2.183 4.834 5.568 4.357 2.502
[2,] 4.713 3.181 13.94 5.258 9.364 2.147 2.572 5.499 6.716 6.401 3.335
[3,] 5.228 3.544 16.11 6.793 11.009 2.476 2.814 6.105 7.418 7.186 3.624
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.214 2.736 3.491 4.155 3.782 3.845 3.804 6.001 4.600 9.192 3.859
[2,] 4.494 3.160 4.650 5.144 4.164 4.876 4.878 7.560 5.744 10.806 4.374
[3,] 5.142 3.497 5.520 6.036 4.661 5.787 5.744 8.650 6.788 12.014 4.886
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.06 5.155 1.657 4.380 4.255 3.573 3.601 1.703 3.833 5.038 2.141
[2,] 15.72 6.993 1.941 6.600 6.311 4.248 5.168 2.011 5.209 5.825 2.486
[3,] 17.87 7.963 2.172 8.317 7.633 4.746 6.489 2.217 6.595 6.601 2.754
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.422 4.205 4.486 4.843 3.838 3.803 1.213 3.221 1.171 3.590 3.050
[2,] 5.742 5.857 5.913 5.994 4.827 4.426 1.510 3.856 1.328 4.394 4.462
[3,] 7.093 7.103 6.987 6.746 5.626 4.821 1.672 4.259 1.467 4.990 5.073
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.914 1.580 3.284 4.209 4.454 2.220 4.338 3.818 1.835 3.545 3.527
[2,] 3.383 2.009 4.576 4.957 4.948 2.642 6.688 4.479 2.177 5.309 5.067
[3,] 3.683 2.230 5.460 5.563 5.753 2.947 7.757 5.043 2.528 7.124 6.168
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.392 2.433 3.614 1.256 4.205 1.664 3.343 2.976 3.516 5.277 1.979
[2,] 4.642 4.855 4.237 1.506 5.268 2.018 4.095 3.507 4.807 6.538 2.304
[3,] 5.633 6.093 4.754 1.676 6.598 2.184 4.955 4.055 5.665 7.664 2.616
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.751 3.249 7.286 1.727 4.453 4.364 5.341 5.033 5.201 3.714 3.898
[2,] 5.801 3.762 9.032 2.105 5.134 5.347 6.378 6.393 6.519 5.552 5.405
[3,] 6.868 4.176 10.525 2.357 5.691 5.994 6.995 7.100 7.268 6.598 6.631
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.300 4.014 2.864 4.837 2.121 2.505 1.774 3.737 3.612 6.694 6.267
[2,] 1.518 5.443 3.532 5.799 2.543 3.048 2.157 4.924 4.160 7.973 7.263
[3,] 1.703 6.413 4.105 6.819 2.884 3.335 2.416 5.574 4.624 8.692 7.990
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.857 1.917 2.328 2.480 3.151 2.237 0.8255 1.574 10.94 5.270
[2,] 2.498 2.727 3.014 2.894 3.758 2.616 0.9637 1.920 17.43 7.141
[3,] 3.045 3.084 3.339 3.260 4.312 2.945 1.1043 2.162 20.28 8.210
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.882 3.631 14.66 4.785 9.251 2.357 2.772 6.139
[2,] 277.725 141.897 796.21 373.525 599.129 110.027 138.458 266.835
[3,] 230.308 159.061 823.12 437.942 589.561 125.446 116.268 270.273
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.071 5.533 3.177 4.081 3.474 4.433 5.276 4.802
[2,] 382.357 477.455 224.652 319.915 161.027 312.871 308.741 177.431
[3,] 320.823 332.650 144.355 254.598 152.616 302.969 321.720 213.377
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.883 4.831 7.62 5.842 11.67 4.901 14.04 6.546 2.105
[2,] 305.320 310.951 468.28 350.221 578.60 209.626 1138.31 481.253 102.941
[3,] 317.516 308.948 428.14 368.529 534.93 221.851 864.10 387.920 99.192
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.562 5.403 4.537 4.573 2.163 4.868 6.398 2.718
[2,] 502.749 474.656 233.984 377.573 108.900 359.222 297.748 128.828
[3,] 515.398 437.364 215.539 399.591 95.095 411.894 316.242 120.603
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.615 5.34 5.696 6.149 4.873 4.829 1.54 4.09 1.487
[2,] 373.132 415.17 392.348 359.799 298.137 230.526 91.57 215.88 63.886
[3,] 423.962 409.30 379.150 315.256 294.343 194.750 73.13 184.39 63.455
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 4.559 3.873 3.7 2.006 4.171 5.345 5.655 2.819 5.509
[2,] 257.987 331.617 175.1 126.355 324.465 266.576 219.499 145.829 518.302
[3,] 240.953 245.970 148.3 98.537 303.416 257.205 299.039 133.035 400.312
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 4.849 2.331 4.502 4.478 4.307 3.089 4.589 1.594 5.34
[2,] 238.444 119.251 402.450 370.480 322.793 427.887 225.313 84.781 323.19
[3,] 236.050 130.858 483.759 358.313 324.916 374.893 219.389 74.914 404.61
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.113 4.244 3.78 4.465 6.701 2.513 6.033 4.126
[2,] 116.329 240.923 188.93 333.838 393.228 120.267 339.035 193.091
[3,] 84.999 284.169 207.24 305.304 407.210 126.042 374.514 184.631
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 9.252 2.193 5.655 5.541 6.783 6.391 6.605 4.716
[2,] 543.658 122.611 260.078 314.757 355.002 401.550 400.173 420.328
[3,] 550.292 107.940 250.305 275.801 292.460 314.619 327.335 362.959
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.95 1.651 5.097 3.637 6.142 2.694 3.181 2.253 4.746
[2,] 381.31 79.856 374.341 210.495 325.835 142.874 176.739 124.862 326.556
[3,] 391.24 78.523 345.489 213.013 365.274 138.545 138.029 110.958 266.047
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 4.586 8.5 7.958 2.358 2.434 2.957 3.149 4.001 2.84
[2,] 210.346 441.2 373.972 170.189 197.525 194.875 151.992 208.646 138.20
[3,] 205.480 352.5 339.028 177.297 146.753 146.464 152.805 215.268 137.74
[,95] [,96] [,97] [,98]
[1,] 1.048 1.998 13.89 6.692
[2,] 50.646 112.079 1382.46 490.777
[3,] 54.914 101.246 1055.74 412.579
[1] "--- VAR model 2017-10-05 09:31:00 completed"
[1] "Completed training sample: 2017-10-05 09:31:00 - 2017-10-05 17:30:00"
[1] "SpVAR; training sample: 2017-10-05 10:01:00 - 2017-10-05 18:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.451 -14.9285 19.037 4.3857
6.974 -0.2059 8.786 0.3719
6.617 9.3028 13.269 10.4398
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.331 -2.884 10.375 16.529
16.085 -3.379 4.484 8.206
1.888 5.072 8.526 10.307
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
18.992 2.222 1.169 -19.10
5.446 17.751 3.608 -12.89
8.975 5.021 4.932 -14.88
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.639 -0.9777 -0.4845 -3.255
-5.960 1.0570 -7.7561 18.803
6.360 8.0950 2.2495 7.603
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.141 -1.39745 -18.580 17.930
3.439 -6.34717 -6.563 15.882
9.311 -0.01737 9.740 5.838
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
15.598 15.449 22.816 1.231
-3.169 8.238 7.603 9.784
-38.416 8.188 -27.670 -8.223
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.287 -1.996 -6.865 3.682
2.961 17.243 9.693 -3.429
1.425 -3.785 6.251 -7.681
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.7152 -0.2585 24.0990 -12.31
0.1132 -1.6030 -0.9721 -29.63
10.5666 1.3590 2.5544 -18.87
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.6170 16.729 -16.085 -7.532
3.8962 -2.214 9.464 -3.616
0.3936 2.670 -8.205 1.531
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-24.62 -5.0702 17.2797 2.322
-14.09 -0.1569 -8.8936 1.924
-17.12 -3.6663 0.2631 1.602
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.810 -0.6770 15.213 -13.894
-4.194 0.2298 -6.987 4.261
0.073 1.2604 2.650 -17.872
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
15.451 6.9168 1.3832 1.109
12.944 0.6225 -0.8707 -8.170
5.335 5.1429 -4.1727 8.956
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.241 1.1891 9.174 6.066
6.331 0.3668 13.286 13.647
-3.081 -2.8207 -0.453 6.358
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.34095 -3.233 -1.995 13.372
6.80729 18.689 7.502 -7.976
0.01302 6.778 3.976 15.679
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
13.36402 4.9262 -0.8579 8.319
0.07038 0.6850 -3.4640 15.126
11.29625 -0.5693 0.6193 15.299
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.125 3.3839 2.033 -5.313
-3.991 -3.8940 -6.783 -1.899
-1.749 -0.6687 8.568 11.575
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-17.7729 -5.2529 4.272 -5.658
-5.4921 -2.2286 -5.603 -6.496
-0.9125 0.3498 7.232 -4.861
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.865 1.950 12.091 17.635
6.686 -1.030 4.026 15.301
20.971 -7.653 5.128 5.055
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.715 14.70 30.60 26.15
8.851 15.75 17.54 24.92
11.288 8.66 13.61 16.02
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.51 -0.2170 9.520 2.551
21.04 -2.3308 20.656 -7.827
20.44 0.3057 9.431 -6.952
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.5008 6.780 -0.5719 -1.8577
6.5750 4.815 1.6799 0.6077
15.0458 -3.652 3.7604 -0.7170
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.815 -10.703 -29.505 -9.972
-9.408 -2.293 -16.293 1.431
2.539 1.732 3.744 -5.101
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.969 -7.183 -8.319 -0.6325
-5.197 6.444 5.381 3.2939
7.832 -2.289 1.085 0.1567
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.395 4.615 -7.982 4.522
9.687 1.401 -7.570 -3.313
9.428 4.445 -7.932 2.903
rnd_95776.volume rnd_95787.volume
86.24 2.635
-16.85 14.897
-17.93 -2.406
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.844 2.804 12.17 3.744 7.359 1.943 2.180 5.119 5.488 4.296 2.499
[2,] 4.591 3.187 14.33 5.183 9.514 2.244 2.569 5.798 6.607 6.380 3.279
[3,] 5.162 3.627 16.55 6.717 11.184 2.562 2.824 6.431 7.279 7.120 3.608
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.199 2.806 3.394 4.244 3.410 3.798 3.697 6.054 4.704 10.03 4.122
[2,] 4.450 3.300 4.614 5.160 3.889 4.806 4.675 7.491 5.794 11.59 4.904
[3,] 5.014 3.604 5.448 5.964 4.344 5.704 5.570 8.467 6.709 12.55 5.438
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.11 5.069 1.785 4.420 4.133 3.807 3.726 1.827 3.841 4.902 2.075
[2,] 16.17 6.977 2.120 6.697 6.320 4.450 5.271 2.146 5.325 5.737 2.419
[3,] 18.03 8.184 2.349 8.629 7.697 4.886 6.524 2.366 6.656 6.576 2.686
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.466 4.206 4.587 4.732 4.075 3.761 1.226 3.220 1.161 3.588 3.015
[2,] 5.746 5.846 5.983 5.900 4.969 4.475 1.497 3.927 1.315 4.389 4.395
[3,] 7.313 7.170 7.055 6.611 5.708 4.905 1.673 4.376 1.450 4.910 5.017
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.758 1.636 3.209 4.303 4.510 2.113 4.201 4.011 1.868 3.824 3.717
[2,] 3.302 2.011 4.479 5.102 5.039 2.630 6.576 4.688 2.178 5.500 5.148
[3,] 3.607 2.205 5.501 5.762 5.754 3.053 7.722 5.267 2.541 7.171 6.066
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.514 2.398 3.738 1.269 4.532 1.713 3.477 3.084 3.667 5.494 2.084
[2,] 4.794 5.027 4.453 1.557 5.593 2.033 4.186 3.609 4.754 6.747 2.409
[3,] 5.804 6.123 4.878 1.732 6.951 2.225 5.075 4.122 5.630 7.816 2.735
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.818 3.181 7.320 1.872 4.246 4.465 5.436 4.902 5.234 3.650 3.941
[2,] 5.781 3.703 9.303 2.202 4.921 5.262 6.521 6.317 6.541 5.353 5.535
[3,] 6.793 4.157 10.621 2.436 5.444 5.958 7.182 7.007 7.462 6.368 6.595
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.264 4.192 2.757 4.880 2.205 2.642 1.800 4.337 3.599 6.72 6.316
[2,] 1.502 5.590 3.494 5.805 2.644 3.170 2.179 5.270 4.162 8.03 7.318
[3,] 1.735 6.496 4.085 6.665 2.995 3.508 2.430 5.961 4.701 8.83 8.226
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.711 1.762 2.458 2.597 3.260 2.365 0.8421 1.664 10.83 5.168
[2,] 2.372 2.820 3.150 2.976 3.837 2.686 1.0077 2.039 17.62 7.127
[3,] 3.097 3.169 3.562 3.462 4.375 2.998 1.1616 2.303 20.58 8.404
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.882 3.561 15.46 4.754 9.345 2.467 2.768 6.5 6.969
[2,] 264.505 159.566 797.37 377.892 635.781 118.460 143.265 287.2 387.865
[3,] 248.813 182.598 872.53 450.381 619.799 130.158 123.643 293.3 322.124
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.455 3.173 4.062 3.563 4.309 5.389 4.33 4.822
[2,] 497.333 223.728 326.079 183.265 329.528 309.410 197.07 310.539
[3,] 333.220 158.758 243.702 152.717 305.499 315.359 204.09 323.862
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.694 7.688 5.974 12.74 5.234 14.11 6.437 2.266
[2,] 301.647 465.106 356.507 612.51 280.010 1239.19 505.325 120.695
[3,] 319.344 416.043 356.693 507.05 247.952 840.40 451.040 106.529
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.612 5.248 4.834 4.732 2.32 4.878 6.225 2.635
[2,] 530.468 504.131 242.898 392.958 118.74 388.789 314.154 131.018
[3,] 573.689 463.118 212.824 405.426 105.19 421.064 338.899 123.269
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.671 5.341 5.824 6.008 5.175 4.776 1.556 4.089 1.475
[2,] 381.166 427.967 404.965 371.658 299.774 255.558 90.540 237.022 65.084
[3,] 476.877 437.682 394.279 314.317 296.232 211.753 78.746 203.442 64.304
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.556 3.828 3.502 2.078 4.075 5.464 5.726 2.683
[2,] 266.531 337.183 191.425 123.250 329.447 289.009 237.081 165.079
[3,] 232.002 254.941 153.017 95.374 336.673 282.343 292.811 163.516
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.334 5.094 2.373 4.856 4.72 4.462 3.045 4.747 1.611
[2,] 533.317 255.859 117.924 416.718 375.49 343.895 465.691 255.148 95.186
[3,] 426.778 253.024 138.004 485.105 338.28 344.901 368.646 209.794 79.889
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 5.755 2.175 4.415 3.917 4.656 6.976 2.647 6.118
[2,] 345.550 115.554 245.745 197.584 318.896 412.885 127.220 336.829
[3,] 435.152 95.150 302.594 209.920 318.051 416.137 136.633 376.078
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.04 9.295 2.378 5.392 5.67 6.902 6.225 6.647 4.635
[2,] 199.76 605.364 122.224 262.283 293.60 379.866 420.073 413.555 412.854
[3,] 199.31 540.221 109.871 245.549 294.62 317.312 319.495 378.532 363.476
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.005 1.605 5.323 3.501 6.197 2.801 3.354 2.286
[2,] 409.736 85.462 389.958 226.222 331.466 153.764 184.746 129.333
[3,] 377.968 91.613 348.830 223.222 345.146 148.271 158.390 113.467
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 5.507 4.57 8.533 8.02 2.173 2.238 3.122 3.298 4.14
[2,] 315.739 220.44 463.421 389.69 173.161 232.161 207.575 153.160 213.26
[3,] 293.618 230.38 387.270 396.22 210.028 152.311 175.496 186.552 221.81
[,94] [,95] [,96] [,97] [,98]
[1,] 3.003 1.069 2.114 13.75 6.563
[2,] 134.351 58.358 124.223 1465.01 517.415
[3,] 140.287 60.912 112.937 1120.86 469.370
[1] "--- VAR model 2017-10-05 10:01:00 completed"
[1] "Completed training sample: 2017-10-05 10:01:00 - 2017-10-05 18:00:00"
[1] "SpVAR; training sample: 2017-10-05 10:31:00 - 2017-10-05 18:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.75740 15.793 61.46 9.7179
-0.03375 11.155 46.36 0.8857
-8.02783 5.359 67.39 8.1043
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
23.442 0.594 3.271 1.300
-15.844 4.787 -1.160 -6.386
5.919 1.946 4.936 4.486
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
17.069 10.931 10.038 -21.96
1.595 9.073 5.175 -11.69
-4.405 -20.802 8.740 -27.64
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.0760 11.042 6.412 -0.1689
-0.9473 -9.924 1.879 -7.1834
-8.0162 -3.527 -5.189 -2.9913
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.785 10.882 29.41 19.26
1.913 11.455 14.54 20.89
3.340 -4.034 19.60 17.52
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
27.41 0.5829 55.09 9.106
20.80 13.4258 44.17 19.306
26.67 4.3036 38.66 16.359
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.02736 -2.721 9.250 0.2497
4.63788 25.970 3.406 -2.2498
4.26022 8.988 7.789 -0.4086
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
4.891 -1.4563 4.692 -9.397
1.059 -2.0758 10.259 11.319
6.494 0.3608 1.569 2.303
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.851 0.9886 16.603 -12.32
-2.083 -0.3657 -8.278 7.98
-2.106 3.0404 3.904 8.46
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.155 -8.93 14.92 4.6100
-5.318 11.52 13.48 -0.7641
-5.448 -16.46 18.37 1.9534
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
23.122 -4.993 21.143 -8.484
12.247 -1.407 8.872 6.089
9.879 -2.925 11.240 -6.267
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.872 -7.36594 -4.097 -0.2699
7.438 -0.04935 17.225 -1.0748
5.274 -3.39667 3.162 -6.5088
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
17.344 -8.315 -9.929 10.555
9.555 2.179 -3.997 5.455
20.005 2.242 16.271 4.274
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.61875 7.252 14.914 -4.537
0.01517 -3.177 -12.514 3.454
1.24856 -10.090 -7.138 -5.132
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.944 -0.8209 -1.4128 2.365
13.817 5.3907 3.6491 3.318
-10.431 -8.7515 0.4341 12.354
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-9.872 -5.573 15.275 -9.790
-9.011 -11.470 4.284 1.776
-6.394 15.615 1.239 -4.156
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.848 8.780 -3.150 7.283
20.806 10.358 -8.512 -1.213
-9.738 9.578 -7.972 4.167
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.336 -1.790 0.005395 2.746
-18.808 -1.744 -5.641829 11.128
14.715 -3.223 3.000839 -8.304
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
20.898 5.917 10.399 -1.573
28.452 3.340 3.881 -8.810
7.322 -4.034 -6.216 6.513
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
18.960 0.3707 3.588 -1.500
8.276 5.6651 9.380 2.007
-1.313 -1.5979 -8.336 6.193
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.892 4.1205 2.504 8.7795
3.124 -0.5447 1.550 -0.3375
-6.646 -1.6601 2.128 -2.2120
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.290 18.998 16.509 -7.954
-5.134 8.365 6.647 -5.437
-21.370 5.922 3.231 -23.831
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.184 4.2663 2.404 -0.09807
8.283 -0.9408 6.169 1.00734
2.883 -2.3081 -4.455 -1.95055
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.668 -10.016 -12.92 103.3
-12.217 -4.448 -11.44 113.9
6.174 -6.055 -11.45 114.1
rnd_95776.volume rnd_95787.volume
-9.446 9.753
19.500 16.698
68.868 11.338
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.805 2.841 11.92 3.787 7.503 1.938 2.259 5.099 5.456 4.241 2.513
[2,] 4.519 3.219 14.56 5.268 9.497 2.307 2.598 5.783 6.681 6.475 3.278
[3,] 5.116 3.608 16.96 6.643 11.067 2.654 2.850 6.415 7.435 7.123 3.714
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.316 2.938 3.402 4.297 3.513 3.859 3.602 6.349 4.518 9.917 4.216
[2,] 4.382 3.433 4.710 5.241 3.997 4.886 4.737 7.547 5.751 11.554 4.899
[3,] 4.985 3.753 5.568 6.118 4.407 5.759 5.619 8.492 6.570 12.558 5.375
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.14 5.275 1.847 4.576 4.225 3.903 3.670 1.850 3.911 4.976 2.144
[2,] 16.29 7.195 2.201 6.806 6.306 4.587 5.251 2.160 5.284 5.897 2.484
[3,] 18.46 8.227 2.446 8.707 7.832 4.998 6.473 2.369 6.451 6.671 2.732
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.540 4.387 4.467 4.697 4.086 3.758 1.190 3.374 1.224 3.683 2.970
[2,] 5.867 5.882 6.059 5.852 4.940 4.493 1.477 4.104 1.362 4.497 4.431
[3,] 7.310 7.117 7.152 6.668 5.792 4.976 1.653 4.551 1.489 5.026 5.068
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.762 1.640 3.180 4.450 4.716 2.180 4.153 4.352 1.910 3.811 3.616
[2,] 3.268 2.002 4.532 5.272 5.285 2.673 6.622 4.906 2.273 5.513 5.221
[3,] 3.559 2.181 5.685 5.863 5.918 3.108 7.868 5.414 2.586 7.253 6.218
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.350 2.352 3.786 1.283 4.438 1.729 3.604 3.117 3.803 5.523 2.077
[2,] 4.807 4.995 4.492 1.584 5.704 2.054 4.315 3.695 4.956 6.886 2.398
[3,] 5.813 6.235 4.910 1.751 6.944 2.237 5.083 4.200 5.798 7.950 2.745
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.874 3.144 7.668 1.906 4.181 4.539 5.607 5.314 5.243 3.783 3.694
[2,] 5.985 3.850 9.589 2.288 4.866 5.291 6.665 6.597 6.597 5.343 5.347
[3,] 6.946 4.277 10.905 2.525 5.380 6.020 7.329 7.272 7.500 6.380 6.323
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.284 4.197 2.962 4.995 2.210 2.668 1.811 4.384 3.402 7.150 6.409
[2,] 1.573 5.628 3.754 5.921 2.707 3.203 2.227 5.347 4.153 8.209 7.368
[3,] 1.789 6.589 4.291 6.830 3.012 3.591 2.441 5.982 4.650 8.816 8.291
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.628 1.840 2.679 2.826 3.175 2.342 0.868 3.637 11.06 5.325
[2,] 2.312 3.096 3.363 3.191 3.737 2.694 1.031 5.408 17.40 7.267
[3,] 3.109 3.434 3.799 3.708 4.341 2.992 1.187 6.854 20.62 8.429
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.832 3.607 15.14 4.809 9.528 2.462 2.869 6.475
[2,] 264.900 164.497 908.29 397.915 632.772 135.887 139.350 296.407
[3,] 260.743 177.021 944.52 439.841 617.396 142.533 127.268 301.855
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.928 5.385 3.191 4.21 3.731 4.32 5.456 4.461 4.9
[2,] 419.105 531.662 228.642 311.34 193.004 353.88 326.040 207.282 325.7
[3,] 354.374 322.695 189.725 258.23 164.613 322.78 343.099 201.817 331.3
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.574 8.062 5.737 12.59 5.354 14.15 6.699 2.346
[2,] 334.297 443.422 386.664 644.35 271.221 1290.73 531.685 129.990
[3,] 328.579 423.192 345.308 534.85 240.173 944.47 433.478 115.964
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.811 5.365 4.956 4.66 2.349 4.966 6.318 2.723
[2,] 547.499 508.677 262.012 408.13 121.330 386.228 344.066 136.328
[3,] 590.111 504.872 215.626 411.27 105.591 402.102 338.785 123.504
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.765 5.571 5.672 5.965 5.189 4.772 1.511 4.284 1.554
[2,] 403.946 425.856 444.803 379.213 301.731 267.705 95.120 254.027 64.952
[3,] 473.765 435.334 412.889 347.378 328.446 232.328 80.688 213.692 65.373
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.677 3.771 3.508 2.083 4.038 5.651 5.989 2.768
[2,] 280.344 357.331 189.834 124.760 350.974 307.259 259.246 168.082
[3,] 243.928 267.345 153.077 93.981 372.960 278.642 289.450 172.343
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.274 5.526 2.425 4.84 4.591 4.254 2.987 4.807 1.63
[2,] 560.480 246.225 134.035 432.91 409.341 374.598 478.799 262.747 100.94
[3,] 461.691 248.714 133.858 512.15 366.884 355.205 405.576 215.502 81.19
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 5.635 2.195 4.577 3.958 4.829 7.013 2.638 6.189
[2,] 389.432 120.622 257.807 215.710 345.411 446.959 130.272 377.483
[3,] 430.353 96.283 291.975 216.860 326.858 431.726 145.197 383.154
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.993 9.737 2.42 5.309 5.764 7.12 6.748 6.658 4.804
[2,] 241.520 625.709 137.67 270.612 295.325 391.61 424.731 435.027 410.047
[3,] 202.445 564.368 116.08 249.475 312.199 331.34 332.642 387.904 378.854
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.69 1.631 5.329 3.761 6.343 2.807 3.388 2.299 5.567
[2,] 420.12 98.648 407.489 250.637 345.461 169.851 192.653 140.960 332.689
[3,] 366.75 92.660 372.436 225.852 370.051 143.525 176.540 108.455 291.387
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.32 9.079 8.139 2.068 2.336 3.402 3.589 4.032
[2,] 258.80 438.358 395.083 178.295 270.526 220.960 161.021 214.085
[3,] 227.29 349.209 413.104 225.962 161.477 191.991 205.269 240.046
[,94] [,95] [,96] [,97] [,98]
[1,] 2.974 1.102 4.618 14.05 6.762
[2,] 144.713 60.388 434.937 1458.77 537.422
[3,] 141.393 63.937 457.678 1202.84 463.964
[1] "--- VAR model 2017-10-05 10:31:00 completed"
[1] "Completed training sample: 2017-10-05 10:31:00 - 2017-10-05 18:30:00"
[1] "SpVAR; training sample: 2017-10-05 11:01:00 - 2017-10-05 19:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-7.009 2.856 17.223 -8.099
9.516 1.372 -3.345 -4.227
5.957 -3.148 18.893 1.982
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-8.124 9.813 9.998 0.797
9.193 -3.406 1.516 2.754
23.184 3.375 3.745 13.740
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-12.716 -21.280 0.25176 -15.885
7.034 3.849 1.28537 -18.522
3.580 2.502 0.06027 -4.915
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.262 -4.056 -11.0202 6.360
6.715 -5.881 -0.2673 -11.503
-1.327 -3.430 -5.5693 -8.992
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.913 -0.1496 5.2305 -1.652
-3.619 7.3299 -0.3968 8.972
-6.835 -0.3657 6.8449 14.184
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
5.3931 -1.467 18.90 -12.744
-0.7094 5.242 33.42 34.591
-16.9458 -1.349 12.86 -7.193
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
8.7919 -3.727 1.763 -0.8606
1.2571 20.282 -5.486 5.4305
-0.3901 3.873 23.680 -1.1286
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.901 -2.5607 6.854 10.70
-10.755 1.2599 4.089 17.70
15.185 -0.5976 -13.222 22.69
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7304 7.574 -9.445 -2.221
-2.9119 -14.081 1.099 14.488
-2.1991 -3.349 5.364 -9.598
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.411 8.889 10.032 1.0389
3.421 -4.337 5.267 5.4038
16.167 -4.574 6.141 0.6367
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.357 -0.5030 -1.074 -5.847
8.446 3.3973 4.708 -7.906
6.292 -0.7611 8.166 -2.981
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.786 1.4766 -1.737 7.6050
8.083 -1.0860 -21.191 -1.3306
2.902 -0.7391 4.746 -0.6732
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
17.317 9.058 -8.2626 11.927
18.607 -7.562 11.8374 4.716
4.805 -8.856 0.8421 10.600
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3870 11.112 7.473 1.8571
-0.5652 -4.036 -4.611 -0.7043
-1.2918 11.661 4.496 -2.5800
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.984 -9.304 -1.083445 -10.189
8.137 3.494 -0.009079 -7.654
-6.609 3.799 -1.232556 5.543
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.108 5.386 -4.7346 -2.917
-9.894 -2.023 12.3734 5.220
-6.448 1.177 -0.1476 -4.752
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.346 -2.112 10.638 19.845
3.972 1.361 3.016 9.458
7.602 4.103 5.287 5.982
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
8.847 -1.026 -2.869 -6.713
27.765 1.931 7.234 -4.118
3.096 -4.264 10.926 10.333
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
12.109 4.682 7.337 9.63805
-2.665 11.187 -20.199 0.04659
8.788 4.907 -24.275 -10.75766
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.186 0.1008 0.2969 9.704
4.517 1.6167 6.8898 -8.578
16.187 1.3695 8.3247 -8.009
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.348 3.470 3.2724 -2.68340
4.300 5.366 0.6628 1.56101
-4.436 3.290 -2.2568 -0.08633
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.754 -1.080 26.09 -26.846
-7.935 -3.169 16.83 8.031
-8.784 1.545 16.06 -15.867
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.028 0.4451 -4.845 -5.7683
-1.481 -5.9961 0.889 -0.7594
-2.658 -0.3583 -4.948 -7.6280
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.5328 -3.5706 -11.07 122.0
-6.0226 0.9131 -12.12 110.2
-5.3905 -4.9068 -10.89 110.6
rnd_95776.volume rnd_95787.volume
18.779 -9.953
29.995 39.442
-6.525 -2.623
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.956 3.053 12.76 3.881 7.608 2.008 2.252 5.334 5.449 4.469 2.574
[2,] 4.683 3.385 15.01 5.307 9.649 2.349 2.627 5.978 6.690 6.728 3.369
[3,] 5.240 3.673 17.64 6.637 11.065 2.653 2.866 6.553 7.417 7.365 3.748
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.382 2.946 3.514 4.118 3.442 3.873 3.613 6.249 4.493 9.955 4.292
[2,] 4.511 3.424 4.910 5.201 3.997 5.031 4.771 7.487 5.796 11.420 4.917
[3,] 5.046 3.803 5.737 6.118 4.413 5.900 5.704 8.493 6.577 12.583 5.397
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.63 5.179 1.885 4.666 4.165 3.871 3.823 1.905 3.928 5.188 2.178
[2,] 16.15 6.957 2.271 6.820 6.250 4.571 5.336 2.226 5.399 6.084 2.496
[3,] 18.28 8.249 2.577 8.784 7.680 5.037 6.533 2.455 6.528 6.857 2.703
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.534 4.318 4.557 4.810 3.917 3.816 1.228 3.347 1.283 3.666 2.993
[2,] 5.923 5.962 6.228 5.981 4.850 4.529 1.518 4.074 1.407 4.370 4.409
[3,] 7.338 7.084 7.293 6.628 5.770 5.046 1.697 4.559 1.515 4.829 4.977
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.820 1.654 3.118 4.572 4.616 2.166 4.151 4.576 1.981 3.953 3.639
[2,] 3.324 2.043 4.352 5.322 5.216 2.666 6.875 5.087 2.353 5.668 5.379
[3,] 3.648 2.205 5.424 5.880 5.852 3.126 8.035 5.621 2.642 7.520 6.451
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.276 2.378 3.850 1.324 4.600 1.705 3.507 3.182 3.859 5.652 2.176
[2,] 4.691 4.984 4.549 1.613 5.805 2.068 4.265 3.794 4.948 7.134 2.492
[3,] 5.680 6.301 5.047 1.772 6.925 2.269 5.067 4.250 5.797 8.162 2.791
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.840 3.219 7.680 1.867 4.295 4.654 5.198 5.313 5.246 3.887 3.745
[2,] 5.968 3.979 9.868 2.185 4.952 5.424 6.413 6.517 6.558 5.425 5.376
[3,] 7.062 4.434 11.177 2.432 5.461 6.160 7.083 7.145 7.455 6.320 6.347
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.277 4.314 2.907 4.870 2.256 2.594 1.866 4.361 3.401 7.093 6.511
[2,] 1.590 5.611 3.735 5.773 2.759 3.135 2.231 5.351 4.113 8.213 7.546
[3,] 1.807 6.624 4.351 6.715 3.036 3.549 2.430 6.055 4.563 8.868 8.484
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.542 1.855 2.712 2.914 3.290 2.318 0.8461 4.155 11.04 5.131
[2,] 2.271 3.067 3.368 3.309 3.874 2.743 1.0100 5.894 17.08 7.079
[3,] 3.124 3.419 3.800 3.763 4.380 3.043 1.1812 7.189 20.12 8.495
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.023 3.877 16.2 4.929 9.661 2.549 2.86 6.774 6.919
[2,] 302.222 176.209 953.3 436.421 715.704 146.972 163.07 325.338 468.085
[3,] 283.421 172.047 1117.8 480.588 653.051 148.705 138.21 323.847 386.156
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.675 3.268 4.294 3.741 4.462 5.229 4.37 4.918
[2,] 606.526 262.215 359.955 210.459 413.590 383.068 245.02 387.282
[3,] 361.180 197.930 272.876 199.513 357.720 388.461 225.67 371.523
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.588 7.936 5.705 12.64 5.45 13.5 6.577 2.394 5.925
[2,] 375.656 497.106 441.485 674.73 289.19 1466.4 560.099 152.744 599.698
[3,] 377.132 483.593 375.012 637.14 268.35 1031.8 534.609 146.782 667.568
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.289 4.916 4.854 2.419 4.988 6.588 2.765 5.758
[2,] 561.876 293.010 448.984 138.975 446.762 383.222 147.037 459.485
[3,] 538.323 255.276 454.534 124.883 442.410 381.356 125.203 522.499
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.483 5.786 6.109 4.974 4.846 1.56 4.25 1.629 4.655
[2,] 495.648 512.018 428.649 344.849 294.278 107.64 280.19 69.768 286.829
[3,] 461.367 457.661 344.308 376.911 268.228 91.52 246.71 67.642 247.805
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.8 3.581 2.10 3.96 5.805 5.862 2.75 5.271 5.81
[2,] 390.4 212.235 144.67 366.07 328.524 292.751 187.48 660.840 268.20
[3,] 278.4 181.210 99.87 390.33 301.558 319.963 196.71 501.450 288.28
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.516 5.02 4.621 4.161 3.019 4.889 1.681 5.841
[2,] 153.093 489.73 477.663 404.800 528.167 292.054 111.167 426.927
[3,] 144.934 596.02 429.513 386.268 464.860 263.818 88.636 455.458
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.165 4.454 4.041 4.901 7.178 2.763 6.146 4.088
[2,] 141.147 292.701 249.072 373.414 524.815 146.543 421.021 282.118
[3,] 112.447 329.911 230.986 364.271 478.142 151.386 455.363 235.768
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 9.752 2.37 5.454 5.91 6.6 6.747 6.661 4.936 4.755
[2,] 747.305 137.04 297.143 335.87 452.9 455.023 474.482 456.383 465.104
[3,] 632.994 128.79 277.790 352.33 362.7 353.250 427.623 390.946 406.786
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.622 5.478 3.692 6.184 2.865 3.294 2.37 5.538
[2,] 114.250 432.729 282.689 373.844 191.488 212.316 147.33 373.952
[3,] 103.426 424.438 269.129 413.780 152.841 200.544 116.24 341.603
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.318 9.007 8.268 1.958 2.356 3.444 3.701 4.178
[2,] 279.063 499.316 460.044 201.072 294.526 240.924 189.033 246.601
[3,] 238.149 403.422 467.494 258.609 182.034 212.196 216.097 246.524
[,94] [,95] [,96] [,97] [,98]
[1,] 2.943 1.074 5.276 14.01 6.515
[2,] 176.958 66.513 504.149 1571.83 588.075
[3,] 158.871 73.862 496.407 1283.44 566.371
[1] "--- VAR model 2017-10-05 11:01:00 completed"
[1] "Completed training sample: 2017-10-05 11:01:00 - 2017-10-05 19:00:00"
[1] "SpVAR; training sample: 2017-10-05 11:31:00 - 2017-10-05 19:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.375 -1.952 10.867 21.56
4.669 -5.793 -26.363 16.69
6.828 -6.120 -1.384 23.54
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.238 5.6498 -3.987 -3.656
27.068 -0.1254 3.636 -3.285
8.538 -1.1996 5.054 13.157
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7712 3.019 8.04097 -13.92
-6.1758 1.399 0.05973 -12.05
8.2962 -2.547 4.71477 -17.65
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.048 -6.047 9.5210 -1.398
-11.532 -4.932 0.3322 5.395
-2.446 -2.193 -3.0799 -3.071
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.7744 -2.5260 5.246 16.902
-4.5936 5.1655 5.249 7.778
-0.2807 -0.9709 -8.316 1.791
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.22 -19.992 62.41 10.732
-13.59 -7.892 19.34 7.995
18.98 -1.403 -28.09 -1.849
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.107 15.136 31.941 2.4211
7.756 8.037 21.273 0.1003
3.150 -4.183 9.026 2.0684
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
25.53 5.174 9.477 3.856
16.05 1.633 20.748 13.611
21.04 -1.116 22.186 5.719
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.461 -11.596 -19.976 -8.528
-2.990 28.376 18.514 -14.433
1.403 9.047 8.727 22.036
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.626 0.932 -0.04123 -1.389
7.983 15.046 -2.85949 -1.125
10.817 -2.112 -0.64983 2.170
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.610 0.05327 -9.901 -11.77
2.597 0.93341 -6.416 -15.42
5.571 0.68642 -2.332 -10.25
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.879 -7.5561 -8.302 6.213
-1.247 0.5563 -8.706 10.817
3.144 0.9462 -14.447 5.731
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.841 -6.320 -1.421 4.688
3.886 -2.814 6.298 2.378
12.442 3.511 -2.655 10.025
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.184 17.583 10.279 -9.581
-3.436 10.947 -6.391 16.390
3.380 -1.699 7.002 3.352
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.003 -1.086 -1.17055 11.56
9.607 2.725 -4.10572 -14.40
-1.286 3.849 0.04047 5.30
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.318 -15.213 8.4796 5.061
-5.491 1.253 0.9484 8.619
-5.971 4.467 2.3991 -3.783
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.66 0.2921 29.080 -1.643
17.86 -1.6515 5.534 1.150
15.84 -5.2490 3.842 1.612
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
22.881 -6.6659 6.062 -6.5256
13.589 0.8269 1.850 -0.4009
7.607 2.7489 11.707 7.2983
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-8.865 -4.53509 2.852 6.940
-10.158 0.06464 -11.457 -3.883
-5.020 3.07670 5.074 -2.846
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.46 3.4145 -2.4669 -5.6197
-4.07 0.4559 -0.4829 -4.9504
-16.87 2.5418 -4.2786 -0.3647
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.414 -4.347 2.7236 2.5815
5.506 4.771 4.9523 -0.8591
-5.310 3.294 -0.4062 -0.6947
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
11.99 -5.389 14.979 -8.154
15.04 -6.781 12.190 -1.785
10.62 -2.593 3.601 4.573
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4479 -3.477 5.427 6.3660
1.5152 10.116 1.530 -0.8029
8.1216 1.661 2.199 3.1652
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
12.3510 0.1246 -13.92 122.5
0.8622 -0.7404 -11.78 125.9
3.1146 -1.4767 -10.69 120.5
rnd_95776.volume rnd_95787.volume
25.1528 14.089
18.5204 7.224
-0.3026 -9.218
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.059 3.123 13.08 3.860 7.382 1.981 2.249 5.439 5.670 4.565 2.646
[2,] 4.690 3.485 15.11 5.296 9.406 2.342 2.637 6.036 6.740 6.733 3.439
[3,] 5.190 3.768 17.56 6.679 10.931 2.704 2.849 6.586 7.441 7.385 3.768
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.415 2.999 3.574 3.811 3.134 4.064 3.637 6.239 4.637 9.833 4.260
[2,] 4.553 3.474 5.004 4.879 3.686 5.112 4.794 7.458 5.829 11.395 4.949
[3,] 5.051 3.839 5.854 5.810 4.065 6.040 5.663 8.583 6.580 12.631 5.425
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.95 5.009 1.976 4.585 4.138 4.001 3.797 1.863 3.850 5.062 2.213
[2,] 16.36 6.959 2.321 6.857 6.257 4.683 5.292 2.239 5.303 5.947 2.493
[3,] 18.43 8.222 2.574 8.747 7.641 5.148 6.578 2.476 6.507 6.753 2.748
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.626 4.320 4.420 4.844 4.004 3.875 1.272 3.433 1.256 3.506 2.879
[2,] 5.879 5.971 6.131 6.068 5.016 4.482 1.538 4.123 1.400 4.289 4.203
[3,] 7.295 7.053 7.158 6.751 5.931 5.017 1.733 4.569 1.527 4.732 4.785
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.733 1.646 3.056 4.592 4.582 2.228 4.009 4.708 2.000 4.012 3.676
[2,] 3.173 1.960 4.248 5.387 5.239 2.663 6.495 5.246 2.376 5.806 5.476
[3,] 3.503 2.152 5.139 6.008 5.950 3.095 7.806 5.731 2.656 7.545 6.510
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.309 2.369 3.869 1.353 4.647 1.821 3.559 3.212 3.978 5.642 2.036
[2,] 4.712 4.957 4.551 1.622 5.778 2.117 4.339 3.897 5.148 7.278 2.394
[3,] 5.790 6.406 4.964 1.769 6.966 2.314 5.219 4.343 5.817 8.182 2.697
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.908 3.334 7.758 1.847 4.254 4.694 5.220 5.252 5.338 3.890 3.737
[2,] 6.107 4.103 9.848 2.195 5.002 5.485 6.379 6.453 6.552 5.438 5.421
[3,] 7.202 4.486 11.217 2.436 5.521 6.194 7.090 7.242 7.462 6.353 6.337
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.327 4.249 2.873 4.869 2.214 2.620 1.853 4.496 3.438 7.084 6.647
[2,] 1.605 5.539 3.665 5.769 2.801 3.106 2.261 5.533 4.178 8.279 7.630
[3,] 1.834 6.632 4.283 6.738 3.066 3.506 2.490 6.171 4.622 8.865 8.558
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.548 1.845 2.688 2.817 3.283 2.386 0.8641 4.566 10.69 5.103
[2,] 2.274 2.966 3.271 3.177 3.922 2.794 1.0263 6.354 16.86 7.157
[3,] 3.123 3.340 3.755 3.716 4.477 3.115 1.1919 7.621 19.69 8.554
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.155 3.966 16.61 4.901 9.374 2.516 2.856 6.907 7.2
[2,] 307.565 202.446 991.25 474.871 763.374 163.668 180.393 342.724 477.3
[3,] 291.149 187.696 1172.32 533.024 729.400 176.803 141.254 345.008 413.0
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.796 3.36 4.336 3.808 4.538 4.839 3.979 5.16 4.619
[2,] 648.185 287.68 394.438 229.632 458.585 399.104 254.089 406.08 409.048
[3,] 397.262 201.79 286.481 213.996 398.029 413.102 224.558 421.50 394.783
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 7.923 5.888 12.49 5.41 13.9 6.36 2.509 5.822 5.255
[2,] 535.079 462.635 754.18 329.95 1592.3 632.59 159.504 667.713 614.681
[3,] 556.369 399.701 713.81 290.93 1111.6 573.56 145.568 711.252 574.182
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 5.08 4.821 2.366 4.888 6.428 2.81 5.874 5.486 5.612
[2,] 318.86 482.851 162.515 477.584 408.776 150.28 475.215 539.764 556.425
[3,] 279.80 511.542 138.561 493.992 418.914 151.30 565.607 491.584 483.933
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 6.151 5.085 4.921 1.616 4.359 1.595 4.452 3.655 3.47
[2,] 478.612 395.702 294.931 113.199 299.218 80.841 323.671 401.059 211.31
[3,] 387.736 414.332 295.166 104.478 257.619 80.014 261.661 299.661 194.18
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.09 3.88 5.831 5.819 2.83 5.091 5.978 2.54 5.095
[2,] 139.31 386.39 368.779 332.479 190.96 669.220 303.088 167.91 549.541
[3,] 116.57 378.78 348.633 369.607 206.66 567.065 302.433 155.58 631.128
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 4.668 4.202 3.008 4.913 1.719 5.9 2.313 4.519 4.079
[2,] 531.632 439.323 570.278 313.826 117.173 449.7 141.372 325.018 288.967
[3,] 460.834 440.694 531.431 259.636 92.350 509.5 122.406 379.788 250.984
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 5.052 7.164 2.585 6.233 4.234 9.851 2.346 5.402
[2,] 427.958 602.076 164.902 475.902 313.155 794.436 155.158 344.670
[3,] 354.609 489.676 162.751 500.034 237.588 703.241 138.513 305.884
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 5.961 6.628 6.669 6.778 4.939 4.745 1.686 5.396
[2,] 371.528 480.175 490.971 497.641 497.744 514.433 118.225 465.432
[3,] 376.892 405.451 430.641 467.648 430.159 429.575 116.210 477.664
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.648 6.183 2.812 3.327 2.353 5.709 4.366 8.996
[2,] 297.939 405.285 224.718 218.543 169.727 422.292 310.868 561.225
[3,] 290.222 455.999 163.170 212.857 136.609 357.996 259.094 415.185
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 8.441 1.965 2.343 3.413 3.578 4.17 3.029 1.097 5.799
[2,] 490.574 218.134 304.014 244.184 192.347 280.82 190.496 72.518 578.571
[3,] 507.548 280.342 201.366 241.417 252.293 282.92 180.371 79.395 551.185
[,97] [,98]
[1,] 13.58 6.479
[2,] 1707.19 657.206
[3,] 1331.85 613.608
[1] "--- VAR model 2017-10-05 11:31:00 completed"
[1] "Completed training sample: 2017-10-05 11:31:00 - 2017-10-05 19:30:00"
[1] "SpVAR; training sample: 2017-10-05 12:01:00 - 2017-10-05 20:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.7195 4.962 11.009 8.771
0.6562 -3.483 7.647 6.769
-3.7741 -2.980 -15.875 -2.932
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.316 -4.833 0.6137 -7.147
1.796 -5.191 0.4185 3.171
6.951 2.899 0.7758 8.289
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.832 -2.597 3.483 -6.7395
-2.925 -5.793 -4.138 -10.9764
8.555 -1.749 -4.705 0.4097
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.876 5.263 3.5254 -4.95506
1.770 -4.451 -0.1061 0.04908
5.652 1.523 -3.7756 0.99075
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.946 -1.464 17.31 12.430
3.157 11.594 11.99 9.093
-4.907 -2.463 17.76 28.400
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
22.715 2.624 3.662 -2.354
13.793 1.710 5.629 1.825
1.816 7.519 -3.453 2.989
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.142 -5.380 15.057 10.317
1.907 -2.526 9.170 5.359
1.712 2.704 -5.119 3.232
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
7.434 5.892 0.7422 0.9605
10.274 6.265 7.7574 -6.6353
-4.929 1.863 5.9556 -12.5428
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.092 5.780 17.279 13.43
-1.559 6.902 7.115 -10.85
4.887 -3.488 8.524 11.85
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.820 -7.603 -3.287 -3.9247
-6.884 -3.088 -1.918 -1.5860
-4.867 2.264 7.195 0.7631
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.357 0.6708 -3.782 -13.256
-3.347 1.2100 9.556 -8.322
-6.961 -1.2945 -4.100 1.444
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.520 1.08429 -22.046 -4.614
3.501 -0.01302 -1.552 5.170
6.306 1.08011 3.040 5.549
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-15.594 -7.8336 14.088 8.638
9.751 -10.2869 -33.126 18.460
-4.268 -0.5602 -5.788 17.361
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.829 13.2873 7.634 -2.285
2.432 -0.7166 12.363 18.799
-3.806 -20.6022 -16.754 -7.265
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.173 8.209 -2.3569 15.063
6.476 -2.633 -0.1850 -7.021
14.203 7.306 -0.6923 22.813
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.789 -0.1062 -6.1520 -6.544
-2.272 1.3796 0.1261 3.578
-4.574 -2.4061 -1.6174 3.291
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-12.7998 1.788 -20.431 -6.128
0.9462 -1.548 -10.396 -3.350
3.5486 -2.727 4.951 -3.065
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-5.371 3.3959 8.00051 10.050
-12.647 -1.6416 0.03485 4.947
2.816 -0.9338 -15.07737 -3.040
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.2393 -0.6177 1.282 0.3628
-2.3774 2.8965 8.853 13.3272
-3.5979 -8.7166 6.025 7.3624
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
15.426 -3.1226 5.3133 5.458
9.343 3.6588 -0.3538 2.494
7.401 0.1616 7.8230 9.488
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-17.58 -1.728 0.3355 -0.8065
4.86 -2.407 2.7425 -0.8483
12.07 1.152 0.4962 -2.5069
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.4049 10.300 -2.1775 21.921
0.3541 2.550 1.0970 10.946
-3.2756 -6.116 0.6009 7.317
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.794 2.061 -3.9094 -2.309
-2.770 0.540 -0.1881 0.198
3.754 -5.834 -4.5281 -2.696
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.329 -5.3543 -8.494 115.8
1.600 -0.9669 -10.547 109.0
3.449 1.9096 -8.380 111.7
rnd_95776.volume rnd_95787.volume
-54.564 -4.294
-58.826 3.996
3.388 2.999
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.803 3.111 12.92 3.691 7.351 2.012 2.288 5.224 5.482 4.468 2.565
[2,] 4.407 3.500 15.18 5.033 9.295 2.378 2.615 5.887 6.477 6.512 3.429
[3,] 5.022 3.798 17.44 6.536 10.881 2.665 2.806 6.578 7.159 7.222 3.797
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.245 3.033 3.555 3.456 2.613 4.060 3.702 6.280 4.716 9.54 4.358
[2,] 4.486 3.551 4.862 4.592 3.062 5.164 4.806 7.541 5.975 11.35 5.005
[3,] 5.010 3.937 5.754 5.617 3.468 6.103 5.768 8.766 6.671 12.71 5.396
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.88 5.035 1.953 4.559 3.764 3.827 3.574 1.821 3.895 5.126 2.259
[2,] 15.88 6.704 2.342 6.618 6.139 4.587 5.065 2.221 5.186 5.928 2.545
[3,] 17.89 7.986 2.571 8.354 7.428 5.090 6.368 2.442 6.529 6.640 2.824
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.695 4.389 4.337 4.575 3.816 3.827 1.249 3.348 1.234 3.431 2.745
[2,] 5.833 5.928 6.105 5.840 4.786 4.587 1.524 4.020 1.390 4.182 4.157
[3,] 7.351 6.931 6.965 6.515 5.566 5.106 1.722 4.489 1.509 4.689 4.777
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.676 1.649 3.160 4.701 4.584 2.265 3.902 4.766 2.044 3.870 3.654
[2,] 3.212 1.913 4.335 5.534 5.461 2.732 6.381 5.348 2.392 5.692 5.348
[3,] 3.575 2.068 5.262 6.083 6.166 3.166 7.653 5.921 2.653 7.404 6.371
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.340 2.351 3.763 1.293 4.572 1.766 3.520 3.240 4.013 5.548 2.020
[2,] 4.697 4.897 4.464 1.592 5.687 2.071 4.265 3.912 5.187 7.157 2.337
[3,] 5.768 6.316 4.896 1.715 6.892 2.263 5.120 4.349 5.824 8.158 2.672
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.948 3.268 7.767 1.804 4.134 4.555 5.160 5.097 5.057 3.890 3.752
[2,] 6.206 4.008 9.781 2.160 4.878 5.369 6.286 6.227 6.446 5.404 5.395
[3,] 7.205 4.357 11.231 2.378 5.423 6.080 6.997 7.046 7.304 6.117 6.330
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.335 4.365 2.911 4.682 2.224 2.589 1.816 4.429 3.518 7.112 6.621
[2,] 1.611 5.684 3.647 5.716 2.774 3.105 2.121 5.579 4.184 8.265 7.665
[3,] 1.842 6.725 4.249 6.596 3.026 3.479 2.365 6.175 4.666 8.926 8.548
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.486 1.735 2.767 2.887 3.242 2.370 0.9202 4.860 10.92 5.031
[2,] 2.240 2.924 3.339 3.222 3.793 2.821 1.0805 6.591 16.62 6.837
[3,] 3.118 3.285 3.772 3.719 4.383 3.110 1.2538 7.886 19.26 8.292
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.83 3.951 16.4 4.687 9.334 2.555 2.905 6.634 6.961
[2,] 299.85 215.798 1075.1 460.807 766.006 170.777 170.441 365.585 464.450
[3,] 324.17 198.837 1156.6 561.368 761.748 162.022 136.955 395.093 410.704
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.674 3.258 4.121 3.851 4.515 4.389 3.317 5.156
[2,] 637.898 306.449 417.041 248.788 446.643 407.110 214.986 429.786
[3,] 420.295 219.619 300.229 228.800 414.215 435.571 219.459 437.895
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.701 7.974 5.989 12.11 5.534 13.82 6.394 2.479
[2,] 412.693 562.285 493.964 826.91 331.571 1558.32 595.985 174.066
[3,] 429.345 601.772 399.541 772.71 271.583 1108.17 584.463 142.780
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.789 4.78 4.86 4.538 2.313 4.947 6.509 2.868 5.962
[2,] 645.885 653.02 340.31 483.363 171.243 461.050 401.064 157.924 466.093
[3,] 686.635 563.16 297.20 519.701 136.719 534.103 402.628 164.881 602.459
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.574 5.507 5.81 4.846 4.859 1.586 4.251 1.567 4.357
[2,] 536.577 578.579 488.71 388.898 340.637 117.657 299.797 86.141 321.892
[3,] 483.388 451.632 388.85 382.570 302.082 107.844 268.964 79.011 285.618
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.486 3.398 2.094 4.012 5.969 5.821 2.876 4.955
[2,] 420.358 239.193 130.376 399.644 393.288 399.675 205.568 679.897
[3,] 317.004 211.493 105.778 401.672 340.048 385.517 215.495 568.768
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.052 2.596 4.914 4.64 4.241 2.986 4.779 1.642
[2,] 326.894 167.265 562.022 525.79 444.630 578.403 323.184 125.149
[3,] 342.084 154.677 637.631 466.26 450.750 537.100 270.960 85.776
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 5.806 2.242 4.47 4.114 5.095 7.046 2.565 6.283
[2,] 455.472 145.858 324.14 295.116 442.598 608.640 158.304 504.479
[3,] 524.211 122.802 381.62 255.935 356.620 527.403 174.301 492.899
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.149 9.862 2.291 5.249 5.784 6.553 6.472 6.421
[2,] 312.495 800.571 160.065 348.783 382.782 483.278 481.636 538.294
[3,] 230.135 743.250 133.961 319.116 384.326 413.833 444.169 462.488
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.94 4.764 1.695 5.543 3.697 5.945 2.824 3.288
[2,] 505.04 521.946 121.349 490.346 295.685 441.639 223.242 230.868
[3,] 386.10 446.049 120.484 483.878 293.733 443.133 162.833 211.203
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.305 5.625 4.467 9.031 8.408 1.887 2.204 3.514
[2,] 147.703 456.696 304.871 566.973 520.043 225.691 316.939 251.555
[3,] 140.709 356.429 278.069 454.044 509.478 292.155 201.481 236.286
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.666 4.117 3.01 1.169 6.171 13.86 6.388
[2,] 192.635 264.941 205.90 76.261 599.452 1687.32 623.338
[3,] 250.117 295.825 176.52 85.650 583.059 1309.76 631.876
[1] "--- VAR model 2017-10-05 12:01:00 completed"
[1] "Completed training sample: 2017-10-05 12:01:00 - 2017-10-05 20:00:00"
[1] "SpVAR; training sample: 2017-10-05 12:31:00 - 2017-10-05 20:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.247 7.074 18.255 -7.787
10.378 -7.396 -19.021 -8.355
-4.723 2.848 4.961 -8.245
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.3255 0.1213 -0.3752 0.434
-20.5375 6.5688 0.8839 6.804
-14.6498 4.7316 2.7836 4.415
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
16.088 3.502 0.6819 -9.643
-1.695 7.497 -0.5205 -9.201
9.587 5.084 2.0507 -10.050
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-10.1895 1.796 2.708 0.7033
-0.9457 -2.933 -7.599 -4.9207
-2.7200 -9.313 -5.113 -1.8909
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.7283 -2.781 10.6900 3.982
0.1602 1.899 -6.2825 -12.227
-12.5679 -13.723 0.4089 11.987
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
4.467 7.475 -37.93 12.661
-11.105 -4.632 -10.11 -18.392
18.338 0.512 -19.80 3.108
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.341 8.386 -16.140 -1.4583
-2.039 -26.244 -2.293 -0.4178
-3.263 1.045 -19.733 -2.5234
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.212 -6.868 4.511 -12.792
-3.416 5.437 -16.250 -4.270
-13.799 -5.742 -3.430 -5.739
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
7.943 -11.911 -6.84 -14.003
-0.651 -10.617 -10.79 -4.728
6.359 -5.941 -11.20 -7.547
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.196 4.559 -2.682 -0.6377
-10.889 -7.899 -2.003 0.8121
-3.325 -14.218 -6.581 -0.1699
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.9039 1.35639 5.452 -10.6422
2.2646 0.98875 3.451 0.9539
0.9511 -0.07045 4.027 -6.8676
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.826 4.227 -19.95 4.477
3.694 2.138 -2.14 6.110
1.073 3.818 -15.64 9.260
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.229 -3.169 -11.6492 15.637
-4.979 -4.095 -0.8909 1.521
-4.643 -1.746 -10.9833 3.764
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.8272 7.616 5.695 4.3468
3.5808 -6.553 -5.776 0.8542
0.8197 -24.570 -2.163 -1.4593
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.296 -8.190 -0.4032 5.4974
3.284 4.095 -0.8617 0.2072
-8.226 -5.591 -2.0272 6.5875
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.849 11.948 -2.2301 -1.105
-3.569 -3.551 0.5256 20.669
-5.235 -3.172 -6.2718 1.148
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
19.50 -1.9354 10.841 -1.899
12.80 2.2100 2.238 4.518
11.74 0.1362 22.718 3.475
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
36.255 -1.812 12.016 -10.410
-4.767 5.826 7.775 9.155
17.534 5.360 -5.790 -7.348
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.861 9.3921 28.110 8.914
-2.744 4.3871 10.892 2.912
-4.427 -0.1737 7.168 9.455
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-8.068 -2.274 4.623 -7.0945
-1.089 -1.202 3.204 -0.1249
10.882 -5.186 -3.394 0.1789
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.240 -2.7805 -0.9375 2.773
-6.496 0.2032 -3.7452 1.661
4.895 0.6753 -2.2952 -2.565
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.8212 -3.212 14.323 4.283
5.4908 -6.982 2.327 4.588
-0.2943 -3.014 3.400 1.442
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5127 -4.314 2.545 4.962
0.7872 7.018 7.839 4.277
7.2826 3.228 2.708 2.078
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.827 -5.294 -8.879 117.1
-10.045 -2.101 -10.825 118.8
-1.104 1.401 -10.134 117.2
rnd_95776.volume rnd_95787.volume
3.545 9.232
-34.813 -23.111
28.540 4.617
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.615 3.038 12.42 3.585 7.092 2.014 2.166 5.259 5.591 4.366 2.488
[2,] 4.281 3.440 15.03 4.915 8.961 2.317 2.508 5.850 6.576 6.496 3.447
[3,] 4.885 3.742 16.97 6.468 10.521 2.599 2.754 6.404 7.160 7.210 3.833
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.203 3.132 3.426 3.020 2.983 4.033 3.604 6.533 4.864 9.205 4.356
[2,] 4.414 3.631 4.741 4.220 3.421 5.011 4.742 7.686 5.938 11.049 4.968
[3,] 4.964 4.027 5.533 5.245 3.830 5.886 5.578 8.783 6.673 12.496 5.387
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.57 5.201 1.963 4.449 3.749 3.899 3.586 1.855 3.809 5.008 2.267
[2,] 15.31 6.980 2.282 6.676 6.170 4.659 5.131 2.249 5.142 5.846 2.536
[3,] 17.73 8.221 2.514 8.258 7.422 5.082 6.485 2.495 6.521 6.637 2.820
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.612 4.305 4.169 4.516 3.812 3.707 1.237 3.300 1.198 3.533 2.698
[2,] 5.841 6.001 6.079 5.709 4.777 4.456 1.500 4.001 1.383 4.149 4.208
[3,] 7.263 6.982 6.955 6.379 5.425 4.989 1.681 4.528 1.492 4.762 4.796
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.558 1.641 3.059 4.545 4.766 2.264 3.845 4.779 2.082 3.870 3.462
[2,] 3.092 1.910 4.337 5.320 5.520 2.681 6.385 5.379 2.389 5.807 5.228
[3,] 3.461 2.037 5.274 5.889 6.132 3.121 7.418 5.942 2.661 7.464 6.246
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.314 2.414 3.647 1.329 4.487 1.736 3.425 3.323 3.894 5.039 1.983
[2,] 4.615 4.706 4.365 1.580 5.608 2.007 4.243 3.910 5.056 6.742 2.286
[3,] 5.742 6.248 4.762 1.715 6.795 2.213 5.092 4.324 5.710 7.728 2.606
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.849 3.316 7.598 1.883 4.011 4.439 5.159 5.185 5.041 3.743 3.862
[2,] 6.135 3.955 9.647 2.197 4.764 5.340 6.260 6.291 6.368 5.348 5.441
[3,] 7.108 4.323 11.062 2.391 5.417 6.056 6.959 7.059 7.243 6.072 6.328
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.308 4.302 2.908 4.640 2.331 2.593 1.817 4.291 3.489 6.487 6.363
[2,] 1.550 5.642 3.607 5.698 2.802 3.090 2.088 5.457 4.184 7.802 7.516
[3,] 1.782 6.744 4.156 6.641 3.076 3.505 2.321 6.070 4.683 8.654 8.410
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.469 1.763 2.755 2.908 3.160 2.291 0.9169 5.315 10.92 5.095
[2,] 2.234 2.965 3.389 3.268 3.747 2.743 1.0870 7.000 16.03 7.053
[3,] 3.132 3.320 3.809 3.730 4.265 3.021 1.2554 8.249 18.82 8.542
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.591 3.857 15.77 4.552 9.005 2.557 2.751 6.679 7.1
[2,] 319.904 225.210 1181.36 468.985 764.035 159.916 176.194 357.379 482.8
[3,] 328.176 205.289 1100.11 586.360 769.008 163.978 158.772 363.221 395.1
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.544 3.159 4.067 3.977 4.35 3.834 3.788 5.121
[2,] 670.969 332.808 423.631 256.318 457.05 411.144 233.669 414.974
[3,] 436.162 233.702 316.630 242.812 397.82 434.507 240.297 430.598
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.577 8.295 6.176 11.69 5.532 13.42 6.605 2.493
[2,] 429.801 564.796 475.230 852.34 333.013 1543.89 649.161 162.364
[3,] 409.642 592.809 424.481 814.12 290.766 1246.87 605.747 146.895
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.649 4.76 4.952 4.554 2.356 4.837 6.359 2.879
[2,] 694.177 683.52 355.687 511.861 177.413 481.742 420.858 158.399
[3,] 677.967 575.29 282.945 553.160 150.472 559.308 438.210 172.167
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 5.856 5.466 5.293 5.734 4.841 4.707 1.571 4.19 1.521
[2,] 499.974 583.138 617.078 487.260 401.576 344.929 118.375 315.54 96.280
[3,] 602.044 497.936 471.305 396.783 358.451 313.022 105.865 295.65 78.370
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.486 3.426 3.248 2.084 3.885 5.772 6.053 2.875
[2,] 303.406 450.517 242.327 136.481 428.802 385.548 388.363 200.211
[3,] 325.997 320.936 216.880 98.649 418.438 352.224 372.497 222.771
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.883 6.069 2.644 4.915 4.396 4.209 3.066 4.631
[2,] 710.983 344.427 163.240 603.754 546.358 447.940 563.405 334.552
[3,] 526.647 351.864 163.722 654.191 476.852 476.389 573.307 265.493
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.687 5.698 2.205 4.349 4.22 4.945 6.398 2.518
[2,] 119.184 469.346 140.566 349.286 287.25 449.816 624.813 158.567
[3,] 93.287 535.197 130.016 392.618 257.75 370.059 526.859 174.494
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 6.157 4.211 9.648 2.391 5.094 5.637 6.551 6.584
[2,] 524.138 300.729 829.064 157.825 358.449 414.138 494.648 496.844
[3,] 500.741 243.299 754.944 131.471 359.617 398.254 423.884 446.868
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 6.401 4.753 4.905 1.66 5.463 3.692 5.893 2.96 3.293
[2,] 542.824 532.834 534.494 116.04 509.154 297.734 461.101 216.80 234.458
[3,] 481.266 400.882 450.642 122.59 515.301 288.057 475.943 177.00 230.563
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.308 5.449 4.431 8.237 8.08 1.865 2.239 3.499
[2,] 143.519 470.149 321.939 604.739 557.99 234.762 332.405 275.143
[3,] 141.147 370.903 293.334 522.059 526.22 306.094 208.404 242.607
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.693 4.012 2.909 1.164 6.75 13.87 6.47
[2,] 208.082 281.013 210.433 81.424 635.23 1635.30 680.17
[3,] 250.866 283.994 176.735 87.594 608.72 1375.38 672.18
[1] "--- VAR model 2017-10-05 12:31:00 completed"
[1] "Completed training sample: 2017-10-05 12:31:00 - 2017-10-05 20:30:00"
[1] "SpVAR; training sample: 2017-10-05 13:01:00 - 2017-10-05 21:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.693 -3.712 8.384 -4.6856
5.792 -5.054 6.231 -8.9177
-2.447 -4.821 16.370 -0.1419
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
6.446 -0.4510 7.526 -2.810
5.461 0.1482 2.253 5.441
-3.333 0.3387 1.200 -4.193
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.869 -8.7069 5.2729 -21.44
-18.409 -4.9740 0.6468 -14.19
-1.003 0.6902 -1.1347 -13.23
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-7.095 -3.790 -9.559 -4.333
-5.149 -6.706 -5.626 2.163
1.140 -13.428 -16.518 -8.242
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.702 -8.058 -3.381 -15.358
-17.693 -9.300 -16.883 -3.611
-12.307 -12.582 -16.203 -13.008
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.784 -5.319 14.314 -0.1619
-12.292 -7.676 -4.473 5.9617
-1.916 -1.843 -4.583 -5.0984
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5563 -6.885 -8.887 7.370
2.0177 6.966 6.818 -1.482
2.9351 -10.199 -1.389 4.948
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.947 -4.112 -9.64 -0.5284
-7.832 4.345 -11.65 -5.6303
1.786 1.831 -3.02 -0.1672
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
5.262 1.311 11.988 0.7595
-2.446 -12.875 -11.382 6.0025
-2.370 -4.049 -4.323 -5.6216
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.7779 -7.141 -7.985 -1.5526
-6.7097 -12.177 -2.964 2.4987
-0.1748 2.129 1.246 0.3576
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.8058 0.27695 -0.4837 -9.327
0.1928 0.47626 12.3240 -1.060
-1.7142 -0.04143 6.2174 4.680
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.761 1.100 -23.439 6.587
2.630 2.221 -7.350 -1.638
1.634 2.690 -1.691 -7.491
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-14.882 -6.499 -18.266 2.4342
-1.833 -13.363 -27.426 -0.7255
-3.643 -6.219 4.372 10.7363
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
5.282 -7.36 4.983 7.124
1.268 -24.57 -12.816 -6.864
-3.029 -18.24 -16.663 -11.702
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.850 -7.236 -1.023 5.385
5.181 -5.260 -2.943 -9.597
-16.275 -2.908 -1.455 6.040
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.773 -6.608 -5.0216 -2.018
-4.904 3.432 2.5645 8.580
-4.268 3.928 -0.6888 3.850
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.499 0.09428 14.892 -2.456
4.666 0.27746 4.354 -1.412
4.407 -1.57122 5.247 4.073
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.867 -1.581 -7.658 1.013
23.909 3.181 7.571 6.690
-2.335 -1.187 1.074 -1.942
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
14.792 11.4099 7.302 9.641
5.984 0.7954 4.428 -1.118
-0.540 8.0581 10.026 10.383
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.3512 -1.078 2.304 -6.587
5.4956 -2.501 14.370 -4.530
0.7048 -2.379 5.736 -3.057
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.1128 7.8547 2.649 1.2628
-0.4849 -0.1868 -9.425 -0.5639
2.9685 1.3945 -7.444 -4.0238
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.759 -6.505 19.558 -6.630
-5.316 -1.173 -7.907 -2.652
-8.097 -5.830 -1.744 10.349
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.7127 1.268 1.3380 4.322
0.5093 1.135 5.2855 7.102
1.1483 6.972 0.7722 -1.321
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.2190 3.1869 -10.27 129.6
-7.8186 -6.4464 -11.33 128.0
-0.1855 0.1364 -10.28 126.2
rnd_95776.volume rnd_95787.volume
-62.43 7.460
-53.75 -2.188
-21.53 -1.891
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.682 3.006 11.64 3.608 6.906 2.046 2.126 5.185 5.396 4.283 2.500
[2,] 4.387 3.441 13.97 4.879 8.598 2.338 2.441 5.744 6.407 6.389 3.488
[3,] 4.972 3.732 15.99 6.466 10.090 2.639 2.679 6.307 7.005 7.073 3.894
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.359 3.171 3.380 3.073 2.993 4.041 3.938 6.830 5.025 9.235 4.288
[2,] 4.511 3.634 4.626 4.166 3.432 5.024 5.056 8.098 6.301 11.304 4.818
[3,] 5.029 4.025 5.354 5.159 3.835 5.826 5.846 9.162 7.182 12.587 5.224
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.68 5.181 1.877 4.420 3.582 3.942 3.688 1.926 3.708 5.033 2.241
[2,] 15.34 6.995 2.248 6.716 6.151 4.617 5.123 2.287 4.964 5.794 2.524
[3,] 18.25 8.391 2.507 8.363 7.505 5.106 6.466 2.550 6.398 6.564 2.827
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.493 4.333 4.104 4.334 4.010 3.679 1.237 3.320 1.158 3.420 2.811
[2,] 5.610 5.952 6.004 5.549 4.918 4.402 1.460 3.999 1.315 4.088 4.312
[3,] 6.978 6.947 6.826 6.213 5.576 4.928 1.644 4.502 1.442 4.761 4.789
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.646 1.615 3.120 4.472 4.547 2.319 3.965 4.713 2.077 3.826 3.517
[2,] 3.211 1.910 4.368 5.313 5.432 2.685 6.343 5.318 2.386 5.586 5.334
[3,] 3.599 2.041 5.260 5.922 6.114 3.108 7.410 5.894 2.641 7.332 6.246
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.275 2.355 3.728 1.236 4.513 1.720 3.498 3.178 3.878 5.06 1.984
[2,] 4.625 4.575 4.418 1.516 5.736 2.019 4.245 3.784 5.050 6.88 2.285
[3,] 5.719 6.176 4.825 1.673 6.876 2.223 5.124 4.178 5.597 7.72 2.621
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.687 3.347 7.163 1.830 3.935 4.321 4.989 5.279 4.858 3.714 3.955
[2,] 6.029 3.972 9.236 2.124 4.666 5.288 6.278 6.344 6.148 5.528 5.456
[3,] 7.135 4.323 10.649 2.348 5.310 6.012 6.984 7.022 7.008 6.295 6.292
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.349 3.972 2.819 4.763 2.261 2.600 1.825 4.436 3.434 6.577 6.329
[2,] 1.627 5.359 3.475 5.852 2.747 3.134 2.058 5.440 4.116 8.053 7.559
[3,] 1.813 6.677 4.079 6.745 3.004 3.508 2.289 6.095 4.598 8.770 8.463
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.386 1.567 2.778 2.879 3.084 2.278 0.9121 5.222 10.35 5.115
[2,] 2.181 2.952 3.449 3.320 3.754 2.653 1.0724 6.947 15.22 7.070
[3,] 3.142 3.335 3.826 3.733 4.284 2.973 1.2368 8.237 18.28 8.683
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.675 3.817 14.77 4.581 8.77 2.598 2.699 6.584
[2,] 340.284 238.833 1104.06 468.543 730.51 161.351 171.013 352.420
[3,] 333.684 206.264 1107.32 605.149 753.32 174.850 157.621 371.824
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.853 5.439 3.175 4.265 4.027 4.292 3.902 3.801
[2,] 492.741 676.102 346.855 429.446 252.985 450.462 401.405 239.393
[3,] 403.759 432.974 247.076 317.279 246.865 384.571 434.004 244.147
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.132 5.0 8.673 6.381 11.73 5.446 13.56 6.579 2.383
[2,] 425.797 452.3 620.568 542.187 929.97 313.417 1570.89 670.354 176.609
[3,] 420.673 418.7 611.277 491.734 789.58 288.030 1410.86 661.203 158.224
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.612 4.549 5.006 4.683 2.446 4.709 6.392 2.845
[2,] 721.333 713.195 342.788 507.339 175.962 470.744 409.263 165.646
[3,] 710.731 613.377 311.162 562.621 160.790 575.731 440.116 181.849
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.705 5.503 5.212 5.504 5.092 4.671 1.571 4.216
[2,] 479.364 582.086 625.124 494.216 406.153 344.926 110.551 317.947
[3,] 591.883 510.972 463.189 398.695 374.733 316.037 107.914 295.152
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.471 4.343 3.57 3.36 2.051 3.962 5.679 5.774 2.945
[2,] 88.689 319.425 466.32 259.46 145.597 435.999 409.234 423.797 192.803
[3,] 84.430 348.078 297.20 231.74 102.362 418.153 372.908 400.527 223.460
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.034 5.985 2.638 4.859 4.467 4.159 2.99 4.734 1.57
[2,] 706.177 351.381 167.334 580.437 571.946 465.849 559.41 338.191 125.19
[3,] 546.480 362.460 161.708 677.542 463.619 479.759 591.80 276.522 100.87
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 5.731 2.184 4.442 4.036 4.925 6.425 2.52 5.951 4.25
[2,] 505.016 150.865 343.064 292.836 461.392 664.896 161.49 540.976 304.95
[3,] 540.829 132.654 409.352 252.739 344.251 499.564 183.12 544.172 243.55
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 9.096 2.324 4.997 5.487 6.335 6.703 6.169 4.716
[2,] 831.727 153.754 357.539 434.762 543.588 501.802 537.477 584.117
[3,] 756.017 142.757 361.547 407.968 436.617 429.512 479.690 429.612
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.022 1.714 5.043 3.579 6.048 2.871 3.301 2.318
[2,] 536.154 129.561 513.180 290.040 485.014 222.520 249.662 135.580
[3,] 447.140 114.225 568.198 304.554 478.579 173.532 224.902 142.990
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 5.633 4.361 8.352 8.037 1.76 1.99 3.528 3.655 3.916
[2,] 449.142 323.570 662.748 589.581 240.09 356.80 291.474 235.841 305.363
[3,] 392.323 292.256 495.481 542.975 322.74 221.32 236.198 243.639 294.398
[,94] [,95] [,96] [,97] [,98]
[1,] 2.893 1.158 6.631 13.14 6.496
[2,] 193.865 80.435 653.441 1591.48 696.079
[3,] 191.335 87.890 631.418 1444.11 718.999
[1] "--- VAR model 2017-10-05 13:01:00 completed"
[1] "Completed training sample: 2017-10-05 13:01:00 - 2017-10-05 21:00:00"
[1] "SpVAR; training sample: 2017-10-05 13:31:00 - 2017-10-05 21:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.062 -3.6722 15.139 -20.732
-10.575 0.5734 4.777 -9.636
8.822 -2.6728 9.953 -9.080
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.2077 0.9123 -0.6975 18.4892
-42.0402 1.6116 1.3597 -0.1313
-21.6386 -1.7957 -0.4922 -1.9774
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.524 -7.154 2.053 -19.197
6.262 15.664 6.368 -7.648
1.013 -4.395 1.338 -12.368
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7039 -6.264 -4.63332 -5.068
-4.4350 -11.640 0.89142 -4.828
5.2233 1.843 0.01263 1.033
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.91 -3.874 22.3832 12.530
-6.17 -11.006 -6.4501 2.209
-10.58 -8.121 -0.3321 -6.702
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-19.73 -9.01389 -21.7137 -0.5616
34.50 0.08642 -23.7248 -2.3836
12.11 -4.17260 0.9176 -8.5966
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2714 -11.997 -21.190 9.644
-2.1113 -6.158 -13.975 8.625
-0.8891 -10.299 -3.569 1.627
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-23.372 1.830 -2.082 -16.53
-7.783 2.661 -21.878 -16.87
-7.016 1.878 -13.882 -17.35
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.2779 -1.497 2.601 -17.29
-2.2523 -29.359 -20.496 -9.36
0.3007 -10.775 -21.259 -17.21
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.6985 4.950 -2.848 1.3260
-3.1731 -1.580 -2.156 -0.1913
-0.6599 -3.565 -14.057 -0.5294
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.097 0.5743 -5.329 -14.64
-2.231 -1.4689 -8.333 -10.78
-1.440 -0.5676 -12.824 -16.27
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.015 3.1871 -7.5216 14.081
7.700 2.9199 -10.5360 5.008
-0.343 -0.0468 -0.8492 -2.070
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
16.930 -1.760 0.1608 18.582
-1.476 -3.560 -1.5069 6.682
1.666 -1.196 -4.8445 7.330
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.6879 -2.201 -3.936 2.90427
0.9225 6.871 9.412 -0.01789
0.2578 -1.191 1.953 9.37557
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.9683 4.950 -2.7888 -1.157
-12.5281 1.421 -1.3375 10.629
8.0652 2.355 -0.6542 -7.298
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.821 6.0730 2.412 -13.628
-1.718 1.5875 7.541 4.878
-3.049 0.8149 2.259 15.432
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.856 -1.787 -7.125 -2.185
3.795 6.939 2.915 2.914
10.636 7.139 -2.474 -8.446
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.827 -2.225 -2.704 0.6048
10.286 -1.413 -2.426 -15.7154
-4.915 -2.196 4.959 10.4451
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.03461 -5.276 16.1326 -17.585
-5.29749 -10.734 0.6876 7.903
-4.93680 -3.807 1.0320 -9.734
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.656 4.6667 3.20826 -3.688
1.767 1.1611 1.25163 3.724
-7.947 0.4644 0.08755 4.495
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.033 0.9722 2.9131 -1.2731
2.032 -5.6794 -5.1469 2.4132
-8.274 2.7946 -0.8197 -0.7537
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.579 -1.6674 -4.280 21.354
-1.035 -7.5017 3.281 7.503
2.693 0.6982 7.332 3.760
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.61642 -3.113 -3.1281 -1.7360
-0.20644 3.195 -0.3725 -0.9688
-0.09449 -4.409 -3.2327 -5.2758
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.3392 1.6355 -9.696 114.3
-1.6271 0.4153 -8.506 109.0
-3.3120 2.2101 -10.182 103.7
rnd_95776.volume rnd_95787.volume
10.378 -13.021
3.784 -2.538
-1.051 -8.590
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.523 2.960 10.86 3.406 6.893 1.945 1.949 5.093 5.333 4.147 2.504
[2,] 4.296 3.430 13.07 4.631 8.713 2.292 2.294 5.723 6.466 6.359 3.378
[3,] 4.886 3.678 14.74 6.269 10.147 2.602 2.520 6.251 6.990 7.087 3.803
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.440 3.171 3.411 3.132 3.125 4.177 4.095 7.069 5.269 9.182 3.918
[2,] 4.429 3.608 4.585 4.254 3.596 5.368 5.344 8.549 6.355 11.152 4.603
[3,] 5.003 4.022 5.273 5.169 4.077 6.255 6.327 9.696 7.231 12.570 4.986
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.90 4.921 1.929 4.034 3.665 3.953 3.467 1.833 3.515 4.922 2.189
[2,] 15.74 6.759 2.224 6.545 6.133 4.558 4.919 2.219 4.693 5.765 2.492
[3,] 18.32 8.294 2.482 8.353 7.532 5.051 6.426 2.484 6.081 6.544 2.747
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.542 4.533 4.173 4.340 4.116 3.581 1.195 3.224 1.147 3.558 2.964
[2,] 5.592 6.134 6.169 5.477 4.920 4.307 1.413 3.990 1.308 4.323 4.358
[3,] 6.854 7.127 6.968 6.190 5.500 4.769 1.581 4.509 1.427 4.956 4.915
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.627 1.646 3.064 4.285 4.740 2.344 3.884 4.674 2.051 3.837 3.173
[2,] 3.194 1.924 4.537 5.204 5.492 2.730 6.357 5.319 2.331 5.599 5.177
[3,] 3.601 2.055 5.306 5.833 6.079 3.134 7.499 5.875 2.579 7.336 6.098
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.169 2.338 3.503 1.206 4.468 1.640 3.534 3.198 3.674 4.840 1.964
[2,] 4.491 4.309 4.164 1.488 5.670 1.926 4.332 3.875 4.925 6.683 2.218
[3,] 5.634 6.022 4.568 1.634 6.853 2.124 5.075 4.261 5.593 7.743 2.549
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.617 3.365 6.954 1.856 3.789 4.287 5.189 5.280 4.785 3.696 3.966
[2,] 6.024 3.955 8.917 2.142 4.571 5.205 6.315 6.288 6.056 5.498 5.423
[3,] 7.123 4.274 10.334 2.361 5.186 5.949 6.983 6.970 6.977 6.197 6.244
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.344 4.047 2.801 4.746 2.318 2.509 1.763 4.315 3.475 6.669 6.401
[2,] 1.617 5.378 3.443 5.679 2.715 3.097 2.016 5.322 4.123 7.959 7.642
[3,] 1.797 6.518 3.969 6.610 2.996 3.489 2.257 5.926 4.575 8.803 8.479
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.409 1.574 2.634 2.765 3.125 2.216 0.8576 5.443 10.44 4.896
[2,] 2.210 2.976 3.355 3.269 3.726 2.615 1.0447 7.173 15.10 6.965
[3,] 3.137 3.383 3.742 3.649 4.252 2.893 1.2087 8.405 18.76 8.628
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.474 3.758 13.8 4.325 8.753 2.47 2.474 6.467 6.772
[2,] 365.662 257.709 1079.5 466.625 792.544 180.45 179.908 388.498 543.905
[3,] 346.053 197.728 1013.4 628.584 773.545 183.29 155.189 373.782 394.986
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.266 3.179 4.368 4.027 4.332 3.978 3.968 5.304 5.2
[2,] 717.110 337.385 415.003 256.051 455.587 428.075 264.593 501.594 510.6
[3,] 465.126 259.692 346.082 264.253 387.377 436.878 285.703 477.402 503.9
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 8.977 6.691 11.66 4.975 13.84 6.249 2.45 5.122 4.653
[2,] 715.048 528.390 941.25 359.504 1689.74 689.162 164.58 766.536 731.475
[3,] 680.488 513.296 862.78 285.067 1393.06 714.922 163.95 771.920 650.343
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 5.02 4.402 2.328 4.464 6.25 2.78 5.767 5.756 5.299
[2,] 337.52 519.100 186.050 462.530 446.52 177.18 485.283 614.741 675.718
[3,] 323.73 614.860 166.044 575.019 460.62 171.96 589.306 539.643 481.745
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.511 5.227 4.548 1.518 4.094 1.456 4.518 3.763
[2,] 497.061 400.949 355.884 111.985 349.539 93.519 365.136 475.323
[3,] 428.794 365.762 304.722 105.576 312.583 84.886 360.417 337.833
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.335 2.09 3.89 5.441 6.019 2.977 4.932 5.935 2.604
[2,] 270.266 148.06 497.78 439.440 412.527 208.013 748.442 377.593 164.662
[3,] 247.261 107.53 409.16 391.879 387.865 228.836 591.701 371.376 164.137
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 4.872 4.029 4.024 2.969 4.449 1.532 5.674 2.082
[2,] 606.483 608.370 473.387 538.231 334.660 129.618 519.025 150.180
[3,] 705.044 479.346 505.908 625.861 279.579 100.297 572.609 133.270
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 4.487 4.061 4.666 6.146 2.494 5.863 4.273 8.831
[2,] 372.751 325.556 487.734 685.515 153.161 575.386 309.167 830.037
[3,] 393.078 263.477 394.235 581.545 186.848 565.379 241.025 776.845
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.357 4.811 5.443 6.59 6.705 6.076 4.693 5.036
[2,] 159.171 380.451 439.223 535.16 508.000 552.102 605.469 549.983
[3,] 147.662 364.127 428.267 443.55 447.313 515.357 425.129 460.394
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.707 5.14 3.557 6.027 2.944 3.186 2.239 5.479
[2,] 133.687 526.81 297.871 463.984 210.159 270.054 145.329 463.291
[3,] 116.742 547.54 293.642 502.915 188.395 239.051 151.001 387.748
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.413 8.469 8.129 1.79 1.999 3.345 3.512 3.968
[2,] 329.897 646.057 620.748 253.27 375.643 308.892 259.236 301.815
[3,] 295.091 559.518 546.578 331.00 239.402 246.672 241.246 304.701
[,94] [,95] [,96] [,97] [,98]
[1,] 2.814 1.089 6.911 13.26 6.218
[2,] 206.569 88.730 694.969 1622.78 736.713
[3,] 183.939 90.420 651.678 1654.35 757.449
[1] "--- VAR model 2017-10-05 13:31:00 completed"
[1] "Completed training sample: 2017-10-05 13:31:00 - 2017-10-05 21:30:00"
[1] "SpVAR; training sample: 2017-10-05 14:01:00 - 2017-10-05 22:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-6.665 3.112 -13.79 -28.886
6.772 7.651 -30.74 -9.148
7.230 3.588 -20.00 -9.984
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.8838 0.14183 5.219 -6.12212
5.7077 0.05823 3.692 0.04852
-9.3813 -2.31398 5.810 -11.11137
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-17.0655 -4.154 -4.209 -10.90
-0.4314 -6.714 2.657 -19.01
-10.5117 -7.453 1.762 -10.97
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.1697 2.337 4.552 2.7512
-0.1800 -14.419 -2.780 -0.5403
-0.9249 -2.301 4.345 -0.6317
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.698 3.949 28.77 1.387
1.580 8.123 17.71 17.091
1.492 14.805 22.78 15.602
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-31.54 10.9861 18.22 -16.29
-34.47 0.3123 -49.31 -12.62
-28.87 1.1295 -42.23 -20.92
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
6.685 -15.110 -5.852 -1.056
3.851 -6.485 -12.707 1.304
3.983 -28.118 -20.181 6.678
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.277 7.7904 -23.130 0.4573
-12.337 0.6766 -8.438 5.4729
-8.806 -1.5208 -7.963 -0.9074
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.8526 -3.112 -13.845 -2.710
-3.8263 -5.626 -1.708 -2.043
-0.5621 -12.243 -7.611 -1.576
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
6.862 -0.7956 11.390 3.239
1.707 -1.9774 14.807 1.785
4.729 -1.7795 6.124 2.243
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.727 1.269 -5.880 -9.845
3.504 1.723 -4.087 -10.798
2.572 -1.646 -4.859 -10.675
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.056 -1.8178 -6.606 -3.322
1.784 -1.0316 -15.386 -4.834
4.754 -0.8239 -8.163 -7.121
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.491 2.7750 -9.356 8.176
-2.148 -0.2321 -1.059 -1.010
5.302 -9.9505 -13.458 11.395
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.411 -35.096 -13.468 -2.6218
-3.712 -1.161 4.206 -13.8228
-2.143 -6.400 0.599 0.3108
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-21.885 7.501 -1.943 14.297
-9.368 -2.259 -2.490 -4.274
1.112 10.270 -1.756 -11.872
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.660 -1.643 -6.6374 7.692
-3.618 -13.850 -5.7228 -1.606
-4.653 -3.252 -0.1595 -9.376
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
25.697 4.2453 26.432 10.190
10.968 1.0880 26.475 -1.047
2.626 -0.1707 9.968 1.580
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.3719 -3.898 -5.7390 -7.020
20.6583 3.114 5.2965 2.758
0.7407 5.148 0.8024 8.271
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
10.8110 11.253189 17.757 6.264
0.7522 -0.005628 8.785 2.370
-3.3118 13.151352 11.302 6.991
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.489 0.819 8.29 1.501
-1.894 1.304 -2.34 5.989
-2.363 1.292 -15.21 6.077
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.424 -4.108 -1.199 -1.366
-3.135 -0.797 -3.998 0.712
-7.542 1.998 -1.413 2.338
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5295 0.251 13.609 -4.672
-7.8066 3.719 8.876 7.490
-10.2316 3.368 13.462 13.816
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2756 -1.090 -0.4637 0.6316
-0.1917 4.522 2.4653 3.2880
3.3909 1.017 -2.2429 -1.1958
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.107 -2.041 -6.416 100.1
-4.429 -3.870 -7.008 109.7
-2.560 -2.510 -7.532 108.2
rnd_95776.volume rnd_95787.volume
-3.141 -17.450
-21.712 -8.931
-27.824 -21.625
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.528 2.904 11.03 3.465 7.030 1.941 1.791 4.751 5.197 3.883 2.376
[2,] 4.259 3.445 13.05 4.611 8.662 2.270 2.143 5.437 6.307 5.947 3.238
[3,] 4.825 3.759 14.46 6.367 10.088 2.542 2.354 5.922 6.825 6.747 3.728
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.329 3.090 3.453 3.205 3.164 4.158 4.053 6.335 5.488 9.174 3.757
[2,] 4.308 3.566 4.500 4.201 3.607 5.335 5.286 7.837 6.398 11.252 4.535
[3,] 4.855 3.998 5.155 5.030 4.084 6.268 6.196 8.793 7.268 12.473 4.903
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.63 4.840 1.922 3.767 3.601 3.533 3.512 1.810 3.432 4.588 2.145
[2,] 15.62 6.784 2.221 6.464 5.995 4.271 4.814 2.212 4.661 5.421 2.479
[3,] 18.33 8.420 2.479 8.319 7.537 4.857 6.556 2.512 5.989 6.261 2.718
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.688 4.645 4.229 4.074 3.999 3.376 1.174 3.121 1.066 3.551 2.884
[2,] 5.833 6.114 6.155 5.232 4.857 4.155 1.377 3.812 1.228 4.239 4.258
[3,] 6.968 7.036 6.882 5.955 5.412 4.665 1.551 4.336 1.362 4.779 4.724
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.614 1.627 3.004 4.177 4.778 2.200 3.771 4.353 1.930 3.735 3.339
[2,] 3.162 1.918 4.482 4.985 5.416 2.636 6.233 5.087 2.213 5.460 4.936
[3,] 3.586 2.049 5.232 5.604 6.021 3.000 7.252 5.791 2.503 7.150 5.923
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.127 2.357 3.558 1.089 4.265 1.613 3.154 3.211 3.637 4.711 1.918
[2,] 4.493 4.461 4.198 1.330 5.543 1.856 3.978 3.785 4.661 6.326 2.222
[3,] 5.551 5.868 4.556 1.502 6.698 2.048 4.839 4.170 5.404 7.505 2.507
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.616 3.262 7.070 1.816 3.805 4.179 5.214 5.082 4.506 3.618 3.850
[2,] 5.752 3.819 8.999 2.114 4.523 5.182 6.320 6.087 5.771 5.333 5.232
[3,] 6.863 4.115 10.214 2.340 5.162 5.933 6.986 6.843 6.740 6.043 6.071
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.347 3.882 2.686 4.566 2.260 2.553 1.732 4.223 3.489 6.700 6.486
[2,] 1.614 5.349 3.297 5.589 2.661 3.125 1.991 5.079 4.120 7.844 7.533
[3,] 1.804 6.423 3.841 6.519 2.959 3.460 2.211 5.678 4.640 8.724 8.349
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.349 1.599 2.622 2.823 3.001 2.120 0.8422 5.511 11.03 4.812
[2,] 2.133 2.990 3.323 3.257 3.578 2.450 1.0334 7.369 15.32 6.965
[3,] 3.059 3.365 3.696 3.649 4.144 2.738 1.1778 8.692 18.63 8.727
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.48 3.687 14.0 4.4 8.927 2.465 2.275 6.033 6.599
[2,] 365.77 284.258 1070.0 466.3 775.601 180.324 180.183 405.266 547.762
[3,] 347.55 230.433 954.3 673.1 792.737 175.623 149.392 359.596 399.894
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.93 3.017 4.228 3.923 4.385 4.07 4.018 5.28 5.147
[2,] 690.55 337.260 419.112 273.065 442.265 416.17 265.288 512.27 520.044
[3,] 488.40 283.266 342.985 277.121 385.494 424.11 293.601 504.34 495.419
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 8.044 6.969 11.65 4.77 13.5 6.145 2.44 4.783 4.573
[2,] 707.145 503.993 998.62 389.34 1754.6 728.647 170.85 805.195 734.615
[3,] 611.466 528.645 825.11 285.73 1470.6 764.521 168.66 802.587 700.337
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.486 4.46 2.298 4.358 5.826 2.724 5.954 5.898
[2,] 367.944 504.52 195.029 483.571 442.556 190.382 531.979 609.528
[3,] 354.537 682.29 182.541 576.484 480.336 170.909 584.297 533.576
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.371 5.174 5.079 4.287 1.491 3.963 1.354 4.51 3.662
[2,] 685.406 503.026 422.376 371.309 110.168 335.414 93.409 354.84 480.211
[3,] 472.028 436.150 365.943 325.238 109.426 316.886 90.124 338.09 313.603
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.319 2.066 3.814 5.304 6.068 2.794 4.789 5.528
[2,] 272.596 155.521 509.885 417.005 390.807 222.476 760.669 403.371
[3,] 259.432 110.582 413.763 392.641 403.173 219.493 568.361 424.440
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.451 4.743 4.24 3.97 2.993 4.518 1.383 5.415 2.048
[2,] 165.794 610.453 557.19 494.57 580.552 341.687 117.083 542.855 140.717
[3,] 179.389 707.780 501.93 499.60 584.326 271.346 106.868 576.237 132.623
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 4.005 4.078 4.619 5.982 2.436 5.862 4.142 8.978
[2,] 371.458 307.026 446.717 647.330 171.909 526.074 304.395 853.428
[3,] 422.419 268.523 419.264 618.966 177.840 573.887 235.263 740.696
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.306 4.831 5.306 6.621 6.453 5.722 4.594 4.888
[2,] 165.786 374.833 469.849 547.413 513.522 552.491 600.642 543.229
[3,] 153.787 381.535 442.906 456.526 479.372 533.732 435.698 471.966
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.711 4.929 3.411 5.798 2.87 3.242 2.199 5.363 4.43
[2,] 136.201 564.030 293.058 493.988 215.21 276.147 150.664 432.523 335.89
[3,] 123.444 545.163 302.106 514.492 198.38 227.785 147.214 389.083 327.39
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 8.508 8.237 1.713 2.03 3.33 3.585 3.811 2.692 1.07
[2,] 625.180 587.239 253.291 387.21 312.80 248.929 298.545 188.348 91.79
[3,] 585.350 551.752 336.059 236.58 248.05 252.150 320.471 187.253 86.62
[,96] [,97] [,98]
[1,] 6.999 14.01 6.111
[2,] 749.783 1629.35 771.804
[3,] 706.572 1625.71 806.139
[1] "--- VAR model 2017-10-05 14:01:00 completed"
[1] "Completed training sample: 2017-10-05 14:01:00 - 2017-10-05 22:00:00"
[1] "SpVAR; training sample: 2017-10-05 14:31:00 - 2017-10-05 22:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.209 0.1834 -1.505 -9.852
-3.279 0.3457 -6.542 -6.681
2.372 3.3442 -1.000 3.460
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.94 3.289 -1.6106 3.7472
-13.25 -1.577 -0.4244 -0.9717
-23.46 4.513 -1.6677 1.6603
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.1042 7.8814 -3.444 -5.128
-0.7742 -0.5703 3.981 -2.148
-1.6555 -2.9438 -3.339 -2.827
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.3502 -2.757 -1.927 0.4615
10.9868 2.318 2.618 -3.9970
-0.9229 5.041 2.405 -1.3829
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-5.050 7.4255 3.396 7.6535
3.700 -1.4617 1.999 -0.3021
8.706 -0.4229 6.814 11.2510
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
27.869 -4.0273 -12.19 -11.781
-3.144 -1.6908 10.67 10.628
-1.436 -0.3621 -11.67 1.777
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.4198 -10.9986 -11.002 -1.058
-4.9129 6.2888 -7.153 12.523
-0.9765 0.5543 10.884 1.480
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.920 2.3778 7.706 -2.733
-9.979 0.6301 -17.436 -6.584
4.957 2.6426 -6.792 -1.778
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.2303 5.59 -10.040 -28.79
-0.9458 -14.98 -1.509 10.82
1.6829 -12.70 -17.270 -19.27
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-16.925 4.5257 2.071 1.2705
-1.741 3.3373 -2.584 0.4426
1.443 -0.6114 1.628 -1.2097
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.464 -1.0247 -1.937 -6.541
4.158 0.9907 -9.182 -5.907
5.683 1.4560 3.538 -11.455
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.3966 -1.752 -3.164 -4.856
0.4377 -1.633 -8.402 7.580
3.3705 -1.272 -5.958 -1.822
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.9618 -0.1529 -6.5461 1.154
6.0322 -3.5079 3.4089 4.631
-0.2519 -1.4018 0.8458 2.049
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.9149 4.694 0.5100 -3.4204
1.9076 -1.839 -6.3521 0.0938
-0.6561 -5.112 -0.1455 5.4320
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.603 1.9005 -0.1701 1.325
3.781 0.9924 0.7459 -4.681
-5.680 -1.1445 0.5794 8.235
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.8418 -5.582 -2.694 -4.452
-0.9344 3.195 2.257 -1.264
-0.5255 -1.908 1.445 4.477
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.341 0.9296 2.7651 0.04476
3.193 2.6494 0.7975 1.16566
-4.800 0.9964 14.0845 -1.85928
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.290 -1.2560 3.2813 -4.4255
3.964 0.3772 -8.4905 -0.4439
6.115 -0.3927 -0.2317 3.7179
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-13.5147 -9.085 -4.709 -3.2830
-6.0518 7.004 -6.010 -2.8853
0.5946 -1.273 3.800 0.5644
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.955 0.9194 2.234 -6.414
-5.172 1.4378 -5.923 -5.140
7.435 0.8036 -6.064 -8.146
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.657 4.6056 -0.03195 2.3825
-9.499 0.5153 -2.17159 -0.3578
-3.469 -3.8649 -0.59903 -0.3375
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.679 -1.858 6.996 15.297
-2.449 -1.382 18.023 8.371
-1.900 7.388 19.991 -7.255
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.01784 -2.673 -11.982 -10.660
-5.15834 -8.673 3.142 2.972
-4.72380 1.162 -4.338 -3.560
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
5.1631 -0.9445 -6.403 103.28
-0.3439 -0.9965 -7.897 98.14
2.3417 2.4630 -6.767 98.86
rnd_95776.volume rnd_95787.volume
-0.8992 -9.532
-23.9862 8.802
6.8044 1.340
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.389 2.799 10.41 3.362 7.213 1.825 1.786 4.614 4.974 3.864 2.380
[2,] 4.107 3.370 11.98 4.580 8.628 2.200 2.134 5.229 6.029 5.818 3.190
[3,] 4.696 3.707 13.31 6.317 9.989 2.479 2.365 5.722 6.561 6.583 3.638
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.112 3.006 3.504 3.089 3.406 4.292 4.106 6.036 5.522 9.127 3.481
[2,] 4.075 3.476 4.492 4.025 3.848 5.300 5.350 7.603 6.502 11.019 4.134
[3,] 4.602 3.929 5.012 4.690 4.298 6.203 6.183 8.412 7.280 12.332 4.602
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.26 4.765 1.912 3.693 3.511 3.421 3.394 1.787 3.264 4.473 2.077
[2,] 15.30 6.686 2.195 6.146 5.938 4.041 4.727 2.150 4.537 5.228 2.434
[3,] 17.69 8.108 2.452 7.892 7.705 4.595 6.408 2.488 6.126 5.958 2.689
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.826 4.572 4.153 3.994 3.782 3.356 1.139 3.089 1.028 3.496 2.801
[2,] 5.863 6.040 5.971 5.244 4.577 4.122 1.331 3.666 1.177 4.213 4.246
[3,] 6.847 6.877 6.606 5.955 5.117 4.565 1.471 4.057 1.342 4.763 4.743
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.600 1.649 2.915 3.985 4.756 2.233 3.553 4.353 1.892 3.695 3.252
[2,] 3.108 1.917 4.389 4.680 5.387 2.633 5.892 5.026 2.153 5.358 4.809
[3,] 3.523 2.073 5.109 5.312 5.983 2.980 6.895 5.676 2.430 6.988 5.836
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.981 2.395 3.248 1.055 4.163 1.547 3.150 2.969 3.467 4.684 1.826
[2,] 4.455 4.318 4.009 1.279 5.279 1.752 3.874 3.536 4.512 6.128 2.155
[3,] 5.477 5.597 4.378 1.447 6.481 1.951 4.684 3.926 5.227 7.062 2.456
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.347 3.048 6.601 1.733 4.004 3.954 5.020 4.855 4.446 3.539 3.774
[2,] 5.625 3.540 8.443 2.067 4.513 4.936 6.064 5.854 5.653 5.201 5.069
[3,] 6.654 3.822 9.820 2.301 5.089 5.720 6.691 6.637 6.526 5.851 5.747
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.280 3.691 2.623 4.638 2.228 2.418 1.563 3.937 3.369 6.240 6.681
[2,] 1.551 5.260 3.223 5.609 2.664 3.006 1.860 4.834 4.030 7.389 7.491
[3,] 1.751 6.331 3.783 6.510 2.939 3.368 2.068 5.456 4.571 8.335 8.409
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.305 1.556 2.547 2.803 2.750 2.080 0.8915 5.936 10.78 4.614
[2,] 2.131 3.003 3.293 3.268 3.330 2.393 1.0415 7.757 15.11 6.812
[3,] 3.069 3.408 3.667 3.615 3.841 2.622 1.1993 9.039 18.54 8.321
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.304 3.554 13.22 4.269 9.159 2.318 2.268 5.859
[2,] 371.978 301.227 951.70 498.869 759.316 197.056 187.458 394.762
[3,] 365.127 247.489 930.40 697.867 807.474 183.169 163.487 372.729
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.317 4.906 3.022 3.952 3.817 4.449 3.923 4.326
[2,] 546.468 697.754 340.747 422.040 280.113 450.853 413.788 287.091
[3,] 415.186 493.996 280.437 343.021 293.601 356.735 386.379 307.041
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.45 5.213 7.665 7.012 11.59 4.42 13.03 6.05 2.428
[2,] 498.79 550.205 741.494 550.694 990.53 357.67 1821.22 752.38 172.732
[3,] 516.99 497.207 577.538 525.219 888.06 324.51 1423.16 735.67 175.226
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.689 4.458 4.345 4.309 2.269 4.144 5.681 2.637
[2,] 788.094 768.198 344.849 527.694 191.953 505.473 433.929 203.778
[3,] 793.933 787.572 350.872 694.120 200.620 660.372 458.550 183.061
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.128 5.806 5.273 5.072 4.803 4.261 1.446 3.922
[2,] 534.159 633.068 688.081 545.122 413.318 384.030 110.522 316.896
[3,] 567.092 527.393 453.647 452.428 367.239 314.466 100.691 278.583
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.305 4.44 3.557 3.301 2.094 3.701 5.061 6.039
[2,] 92.130 377.02 511.881 273.128 156.803 526.322 393.521 405.925
[3,] 103.180 356.63 339.072 266.142 126.465 419.330 402.997 417.409
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.836 4.512 5.527 2.402 4.691 4.129 3.785 3.041
[2,] 223.826 753.932 402.966 164.798 622.527 568.261 531.042 576.279
[3,] 223.801 574.470 423.202 180.688 719.585 530.402 511.093 571.251
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 4.124 1.339 5.287 1.965 4.0 3.771 4.403 5.947 2.319
[2,] 376.987 116.081 520.601 131.786 361.7 307.962 463.184 633.808 183.409
[3,] 282.230 108.480 603.095 137.841 422.5 273.634 423.289 562.923 188.971
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 5.52 3.871 8.382 2.2 5.084 5.021 6.375 6.166 5.646
[2,] 572.59 288.793 844.236 180.7 334.142 473.785 545.618 524.562 559.935
[3,] 570.35 231.133 804.576 162.3 377.068 463.670 453.544 501.669 523.138
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.494 4.792 1.626 4.687 3.331 5.889 2.829 3.071
[2,] 611.390 542.841 140.454 601.041 300.423 506.036 234.438 286.475
[3,] 429.999 434.382 130.232 565.289 317.571 530.085 199.069 243.733
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.984 4.999 4.279 7.924 8.484 1.657 1.976 3.234
[2,] 161.930 450.006 354.569 634.857 543.362 270.174 411.895 334.923
[3,] 145.031 405.841 345.949 618.722 612.864 354.337 258.675 258.830
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.559 3.493 2.641 1.132 7.537 13.69 5.859
[2,] 269.685 300.973 189.788 86.367 800.979 1698.89 803.906
[3,] 247.767 307.280 171.825 95.390 744.285 1723.02 766.393
[1] "--- VAR model 2017-10-05 14:31:00 completed"
[1] "Completed training sample: 2017-10-05 14:31:00 - 2017-10-05 22:30:00"
[1] "SpVAR; training sample: 2017-10-05 15:01:00 - 2017-10-05 23:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-6.8790 8.1601 9.172 2.636
-1.6400 -0.6613 10.735 -17.334
-0.6619 2.5488 -3.936 2.442
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.407 2.356 3.248 7.525
-7.507 2.338 1.030 -1.986
-6.700 -1.064 2.865 1.100
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
7.445 1.954 -0.356 -2.051
3.102 5.621 3.894 -4.954
-2.696 3.670 5.071 -8.767
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
5.328 -3.356 4.2859 7.248
2.568 1.565 0.3503 2.798
4.148 -3.498 -5.4468 2.922
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.499 -9.107 -2.477 2.8743
-5.671 4.034 10.792 -0.7099
-6.377 2.274 11.916 11.3245
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
20.975 -1.333 -14.8169 -14.480
-5.380 -4.583 -0.1017 -2.530
5.532 -1.547 3.7628 -1.838
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.310 -3.441 -11.240 5.5639
-3.153 -12.260 -2.138 9.4185
4.607 6.659 -1.925 0.8432
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
0.06425 0.1401 -1.0276 -2.768
-11.87381 3.0168 -16.7092 -6.975
-2.13142 -0.8178 0.1399 -5.694
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
5.783 -2.756 -8.357 -8.896
1.299 -9.581 -3.913 -9.558
1.741 -6.406 -13.390 -13.303
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.512 6.679 -5.760 2.462
-4.770 -1.120 4.972 1.273
-1.502 4.274 6.416 1.339
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.3293 -2.0251 -9.488 -5.302
0.8645 0.4626 -1.816 -13.737
-2.5824 0.4069 -4.124 -6.208
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.41613 1.4126 -6.993 -0.3497
4.59421 -0.8853 -3.436 -4.0094
0.07016 1.7803 -6.991 2.2320
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.8969 -5.72493 6.596 -8.067
0.4435 -3.43804 -9.425 2.699
3.9612 0.07351 2.596 5.892
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.9818 5.478 2.650 -1.919
-2.0256 -7.378 -4.128 2.205
0.2995 -6.614 -4.700 -10.945
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.644 3.7898 1.3395 -2.311
1.423 3.5705 -0.2562 -10.297
-6.277 -0.9102 -0.3203 8.257
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7701 -6.227 -0.4339 -5.885
-2.8026 -4.014 0.2149 -2.306
-2.5850 -3.286 0.3242 -7.720
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.164 4.421 -13.267 -5.540
-4.845 1.319 -1.363 3.184
4.694 1.834 1.235 -4.704
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.4482 0.935 -2.197 -7.541
5.0899 -1.623 -2.893 -1.624
-3.5609 1.622 -4.312 -4.096
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.479 7.157 -1.3725 5.0495
9.684 3.310 -0.1041 0.2173
3.728 8.158 2.6146 0.8260
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.630 0.3852 12.108 -3.2009
11.926 -0.5166 3.552 -2.1997
3.069 1.2269 3.408 0.2757
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.042 -3.173 -0.8737 0.1709243
2.417 1.775 2.0008 0.0333705
5.819 -4.270 -3.4452 0.0004408
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.9233 4.764 2.071 11.126
7.4866 2.966 7.113 3.805
0.7871 -1.522 -1.121 1.929
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.2619 -0.7425 -0.5456 -0.6107
-2.9674 1.2127 -0.6444 -0.2046
1.3953 -1.0533 0.6615 1.2372
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.099 0.7136 -4.198 112.8
-3.544 1.8836 -5.066 108.6
-3.274 -3.5336 -4.362 109.5
rnd_95776.volume rnd_95787.volume
-26.109 -13.9862
2.335 0.5292
-4.429 0.2971
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.230 2.687 9.847 3.182 6.952 1.719 1.715 4.536 4.542 3.654 2.264
[2,] 3.864 3.263 11.327 4.424 8.316 2.070 2.035 5.084 5.620 5.514 3.148
[3,] 4.420 3.612 12.662 5.988 9.584 2.382 2.245 5.482 6.108 6.214 3.615
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.002 2.935 3.349 2.986 3.403 4.288 4.072 5.869 5.390 9.14 3.422
[2,] 3.844 3.445 4.292 3.862 3.810 5.258 5.338 7.419 6.371 10.77 4.103
[3,] 4.329 3.847 4.808 4.514 4.260 6.119 6.083 8.249 7.145 12.05 4.552
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.65 4.638 1.822 3.628 3.277 3.453 3.200 1.736 3.219 4.136 2.050
[2,] 14.91 6.569 2.154 6.042 5.443 4.019 4.545 2.106 4.430 5.097 2.431
[3,] 17.04 7.845 2.398 7.679 7.501 4.522 6.246 2.428 5.924 5.739 2.678
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.713 4.456 4.050 3.714 3.614 3.275 1.125 3.134 1.015 3.376 2.565
[2,] 5.691 5.935 5.784 4.701 4.363 4.001 1.338 3.667 1.156 4.063 4.055
[3,] 6.664 6.670 6.432 5.258 4.878 4.561 1.486 3.997 1.305 4.588 4.576
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.495 1.537 2.711 3.796 4.681 2.159 3.545 4.160 1.807 3.550 3.186
[2,] 3.049 1.840 3.998 4.464 5.284 2.575 5.738 4.834 2.058 5.116 4.622
[3,] 3.503 2.008 4.714 5.029 5.798 2.915 6.757 5.419 2.388 6.644 5.628
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.792 2.237 3.192 1.005 4.029 1.430 3.134 2.773 3.279 4.442 1.716
[2,] 4.171 4.125 3.742 1.248 4.998 1.658 3.774 3.270 4.258 5.949 2.051
[3,] 5.131 5.200 4.142 1.401 6.132 1.869 4.420 3.713 4.883 6.872 2.344
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.131 3.015 6.271 1.670 3.736 3.643 5.128 4.580 4.398 3.757 3.567
[2,] 5.415 3.425 8.152 1.999 4.262 4.588 6.066 5.745 5.526 5.195 4.753
[3,] 6.369 3.719 9.526 2.213 4.805 5.360 6.663 6.408 6.373 5.895 5.651
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.241 3.596 2.619 4.365 2.147 2.341 1.470 3.801 3.232 5.902 6.608
[2,] 1.488 5.118 3.214 5.509 2.497 2.914 1.713 4.663 3.935 7.003 7.370
[3,] 1.668 6.234 3.793 6.419 2.808 3.307 1.942 5.221 4.499 7.911 8.383
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.301 1.432 2.410 2.628 2.581 2.010 0.8728 6.021 10.33 4.445
[2,] 2.003 2.887 3.230 3.160 3.126 2.283 1.0351 7.977 14.86 6.659
[3,] 3.004 3.408 3.599 3.521 3.595 2.489 1.1843 9.252 17.75 8.045
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.102 3.411 12.5 4.041 8.828 2.183 2.178 5.759 5.767
[2,] 337.403 294.676 891.2 489.150 726.542 183.685 174.390 365.794 526.978
[3,] 341.710 246.905 901.0 642.418 758.374 187.615 150.895 326.108 380.646
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 4.64 2.874 3.811 3.727 4.253 3.791 4.321 5.445 5.17
[2,] 657.31 348.353 382.307 287.293 427.379 389.966 272.701 484.506 549.62
[3,] 455.91 282.791 317.057 272.484 345.007 371.982 303.433 498.246 464.18
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 7.452 6.845 11.61 4.345 12.25 5.889 2.314 4.607
[2,] 722.351 540.503 905.89 360.487 1808.63 740.585 183.031 768.984
[3,] 574.340 515.000 860.69 313.724 1313.09 682.572 167.625 754.517
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 4.162 4.385 4.064 2.204 4.088 5.252 2.603 5.985
[2,] 691.835 327.327 513.647 189.698 484.498 474.354 207.866 507.673
[3,] 821.523 329.909 682.053 192.403 626.103 419.847 179.089 552.105
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.659 5.143 4.717 4.59 4.159 1.429 3.98 1.289 4.287
[2,] 624.059 657.382 458.593 389.09 365.886 115.188 302.92 88.205 359.779
[3,] 484.409 447.867 375.007 347.19 348.549 102.877 253.32 96.265 339.208
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.257 3.168 1.951 3.442 4.821 5.944 2.742 4.502
[2,] 500.015 278.937 161.188 467.777 373.915 390.365 223.241 718.221
[3,] 337.545 274.461 127.919 397.712 368.658 379.697 217.418 568.055
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 5.283 2.294 4.508 4.046 3.545 2.841 4.054 1.276
[2,] 391.966 156.837 586.301 533.134 493.284 551.695 310.758 117.813
[3,] 389.752 192.671 674.788 510.983 475.712 503.969 282.854 101.532
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 5.117 1.816 3.98 3.522 4.163 5.64 2.179 5.246 3.828
[2,] 470.733 133.558 334.51 275.692 432.388 629.93 178.737 557.236 258.846
[3,] 565.480 137.521 366.28 280.252 380.617 547.75 180.685 533.666 230.394
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 7.963 2.121 4.744 4.626 6.512 5.816 5.585 4.771
[2,] 829.189 174.747 326.436 444.099 515.680 552.169 532.675 571.178
[3,] 784.423 151.217 353.227 441.149 439.044 451.844 505.101 443.462
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.53 1.576 4.566 3.326 5.543 2.726 2.973 1.867
[2,] 499.91 130.626 579.779 296.454 534.845 202.953 276.180 139.879
[3,] 486.74 119.967 566.549 320.766 524.456 204.458 249.033 145.618
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 4.827 4.104 7.495 8.391 1.652 1.819 3.06 3.337
[2,] 429.837 357.447 600.166 519.354 242.372 398.969 342.42 279.147
[3,] 374.047 346.999 585.791 636.195 356.306 288.193 252.59 247.265
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.278 2.552 1.108 7.646 13.11 5.644
[2,] 280.534 172.305 88.581 832.835 1701.67 789.262
[3,] 282.581 157.728 91.604 746.094 1545.66 718.660
[1] "--- VAR model 2017-10-05 15:01:00 completed"
[1] "Completed training sample: 2017-10-05 15:01:00 - 2017-10-05 23:00:00"
[1] "SpVAR; training sample: 2017-10-05 15:31:00 - 2017-10-05 23:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1476 2.897 -0.9880 -2.8567
-2.3895 -2.009 -4.5790 -7.1738
-1.4800 3.308 0.6903 -0.5902
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-4.348 0.5604 0.8274 1.650
-6.198 0.9238 0.3139 -3.853
-5.364 -2.2511 0.4303 2.430
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.338 3.895 -0.5769 -14.034
-5.650 -2.573 3.6509 -3.822
1.650 -6.563 -0.7945 -9.637
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.847 -0.8434 0.2525 -0.7451
1.224 2.7278 1.7623 -9.4799
1.958 -5.2714 -5.1707 -3.4553
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.700 -4.171 -1.313 -4.9370
-10.730 -7.229 1.571 0.8941
-7.516 -8.224 3.003 1.2444
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
10.481 3.946 -17.2599 -6.3780
-5.226 -3.359 0.3083 -3.9793
-3.926 1.416 -8.6836 -0.9854
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.0896 -8.059 -6.326 8.0190
0.9737 -4.719 3.284 1.7188
2.0771 -1.737 -5.822 -0.3575
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.0755 1.4214 0.8371 -6.477
-4.3541 1.5848 -13.4330 -2.905
-0.2604 -0.6897 0.2575 -4.349
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.2570 -6.222 -2.638 -8.476
-2.1695 -5.548 -3.341 -7.232
-0.6339 -1.532 -8.545 -6.944
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.05710 -2.3385 3.160 -0.5505
-0.09948 -0.7784 3.346 0.9223
3.40498 -1.5810 1.696 0.5538
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.1188 -0.3541 -4.541 0.9305
0.5617 1.0856 -5.196 -10.9934
1.4829 0.1927 -2.082 -2.8891
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.1380 -0.6954 -6.938 1.6560
-0.8027 -2.5540 0.455 4.4886
-1.0255 -1.0630 -11.074 0.3143
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.3623 0.2105 -1.018 0.7978
-2.9971 2.6585 -7.638 2.2152
0.5573 -0.9454 -1.440 1.9041
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4368 -7.977 -1.503 -1.829
0.3447 -5.934 -4.956 -4.118
-0.0437 -6.598 -4.756 -3.996
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.360 2.664 0.1334 -2.64006
-6.811 1.629 1.3996 0.01658
-3.283 -1.182 -0.1466 0.23639
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.057 -4.264 0.08949 -4.6341
-1.718 -2.189 -0.46915 -2.8501
-1.638 1.567 -1.20996 0.0227
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.3169 1.5873 2.77866 -1.247
-2.6015 0.6732 -2.73083 1.583
2.3168 -1.8928 -0.05102 -2.907
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.6171 -0.49849 0.735 0.1527
-5.7164 0.02181 1.789 2.9170
-5.5670 -0.34875 -4.125 2.8150
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.108 5.939 3.98041 6.706
2.800 1.470 -0.04975 2.860
-0.857 -2.739 -1.75194 3.425
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.953 0.7793 -7.900 -3.96109
10.777 1.3124 5.724 -1.65068
1.747 -0.7768 1.810 -0.06488
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.113 2.2498 -2.9124 2.1918
-8.447 -0.9472 -1.9352 1.6120
7.933 2.5596 0.2129 0.0701
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.1625 5.1707 -1.2225 0.6703
0.8205 0.1373 8.1153 5.3998
-2.3325 5.0044 0.5338 2.6913
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.839 -2.160 -4.072 -4.0944
-2.211 -3.586 -1.365 -2.3396
-2.235 -1.467 -1.345 -0.8565
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.070 0.5288 -5.771 91.66
-1.247 2.5378 -4.357 103.69
-2.865 0.6615 -4.501 102.91
rnd_95776.volume rnd_95787.volume
-12.785 -7.579
-8.903 -4.845
-3.305 -2.692
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.034 2.600 9.332 2.956 5.867 1.560 1.601 4.055 4.339 3.486 2.259
[2,] 3.652 3.078 10.833 4.210 7.357 1.942 1.879 4.541 5.334 5.053 3.066
[3,] 4.198 3.413 12.076 5.754 8.479 2.225 2.092 4.962 5.839 5.743 3.479
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.791 2.751 3.290 2.862 3.388 3.907 3.815 6.375 5.026 8.346 3.218
[2,] 3.616 3.226 4.144 3.753 3.783 4.997 5.081 8.105 6.063 10.195 3.809
[3,] 4.049 3.648 4.580 4.320 4.215 5.861 5.852 9.032 6.976 11.395 4.309
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.237 4.376 1.749 3.441 3.187 3.462 3.180 1.655 3.154 3.734 1.907
[2,] 14.396 6.254 2.112 5.674 5.173 3.964 4.441 2.036 4.378 4.585 2.325
[3,] 16.415 7.578 2.346 7.465 7.171 4.417 6.015 2.349 5.693 5.322 2.605
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.544 4.403 3.874 3.418 3.388 3.241 1.082 2.957 0.9404 3.292 2.464
[2,] 5.456 5.737 5.190 4.229 4.291 3.935 1.288 3.464 1.0953 4.022 3.853
[3,] 6.444 6.410 5.877 4.747 4.812 4.429 1.451 3.804 1.2405 4.536 4.513
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.342 1.509 2.636 3.583 4.536 2.167 3.316 4.044 1.742 3.399 3.066
[2,] 2.950 1.755 3.918 4.249 5.140 2.582 5.267 4.685 2.009 4.866 4.408
[3,] 3.404 1.932 4.581 4.769 5.605 2.944 6.320 5.175 2.315 6.192 5.198
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.518 2.113 3.097 0.923 3.827 1.366 3.072 2.581 3.155 4.026 1.543
[2,] 3.787 3.862 3.574 1.131 4.862 1.565 3.642 3.116 4.082 5.595 1.916
[3,] 4.737 4.891 3.892 1.291 5.877 1.780 4.195 3.506 4.728 6.392 2.190
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.593 2.797 5.091 1.593 3.481 3.546 4.999 4.423 4.342 3.627 3.380
[2,] 4.894 3.297 6.862 1.916 4.025 4.424 5.910 5.663 5.404 5.024 4.568
[3,] 5.798 3.624 7.987 2.139 4.518 5.152 6.486 6.310 6.300 5.796 5.509
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.205 3.427 2.476 3.978 2.054 2.304 1.388 3.466 3.074 5.691 6.402
[2,] 1.435 4.716 2.968 5.117 2.416 2.810 1.623 4.301 3.669 6.695 7.244
[3,] 1.623 5.904 3.452 6.111 2.723 3.172 1.846 4.860 4.196 7.636 8.136
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.177 1.346 2.224 2.440 2.599 1.915 0.8249 6.347 9.449 4.317
[2,] 1.798 2.758 2.929 2.912 3.111 2.196 0.9962 8.276 14.242 6.346
[3,] 2.779 3.211 3.348 3.290 3.485 2.379 1.1569 9.472 16.840 7.716
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.853 3.301 11.85 3.753 7.45 1.981 2.033 5.15 5.509
[2,] 322.928 261.731 873.95 476.166 705.26 183.943 156.270 324.60 492.873
[3,] 328.820 234.307 848.02 623.202 669.58 172.248 145.873 317.83 377.527
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.427 2.868 3.544 3.493 4.177 3.635 4.302 4.961
[2,] 581.040 329.303 365.211 267.685 400.267 385.731 267.321 494.880
[3,] 433.777 261.153 289.380 270.608 309.749 339.711 295.357 486.483
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.844 8.095 6.383 10.6 4.087 11.73 5.557 2.222 4.369
[2,] 533.218 795.230 538.712 930.2 323.636 1753.97 709.753 188.061 716.696
[3,] 461.102 632.955 548.117 808.6 320.115 1253.21 679.798 162.122 770.700
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 4.047 4.396 4.038 2.102 4.005 4.742 2.421 5.771
[2,] 647.346 306.679 492.509 188.323 482.498 422.704 211.415 479.697
[3,] 788.975 309.482 644.405 186.154 577.913 429.252 186.593 544.629
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.591 4.919 4.34 4.302 4.115 1.374 3.755 1.194 4.18
[2,] 584.282 548.680 395.75 418.168 354.412 110.873 286.509 89.219 367.12
[3,] 454.255 438.026 342.40 346.291 322.931 106.062 250.027 92.519 333.43
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.129 2.974 1.916 3.347 4.55 5.76 2.752 4.211 5.135
[2,] 470.534 284.780 142.386 460.561 362.86 383.92 222.931 649.908 375.877
[3,] 373.433 269.789 128.397 376.930 344.14 355.34 224.557 555.134 349.010
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.212 4.316 3.894 3.198 2.683 3.933 1.172 4.859
[2,] 158.755 553.182 503.093 449.355 513.594 283.356 103.726 476.468
[3,] 182.789 608.237 437.653 451.894 476.791 244.798 99.116 524.445
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 1.734 3.9 3.277 4.006 5.113 1.959 4.563 3.552 6.465
[2,] 121.356 310.9 277.330 411.388 617.229 180.321 527.873 277.339 730.953
[3,] 134.700 330.6 255.274 378.997 490.866 168.743 493.852 238.853 649.286
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 2.023 4.42 4.503 6.348 5.617 5.514 4.606 4.292 1.53
[2,] 169.157 321.20 420.240 500.919 561.828 510.980 552.224 488.304 123.71
[3,] 151.118 325.93 419.552 424.350 442.195 514.488 459.079 489.185 120.71
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 4.351 3.144 5.052 2.608 2.925 1.763 4.401 3.904
[2,] 514.681 260.058 511.215 202.107 255.503 133.398 404.507 318.300
[3,] 564.293 279.931 530.681 199.364 233.847 139.769 359.470 323.386
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 7.226 8.129 1.495 1.709 2.824 3.098 3.3 2.432 1.047
[2,] 560.264 538.783 215.967 382.368 302.648 252.592 271.6 170.657 88.742
[3,] 583.272 588.391 336.596 261.297 257.793 243.192 249.5 145.488 93.437
[,96] [,97] [,98]
[1,] 8.059 12 5.482
[2,] 843.780 1693 738.861
[3,] 732.053 1428 697.319
[1] "--- VAR model 2017-10-05 15:31:00 completed"
[1] "Completed training sample: 2017-10-05 15:31:00 - 2017-10-05 23:30:00"
[1] "SpVAR; training sample: 2017-10-05 16:01:00 - 2017-10-06 00:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5602 3.0605 -12.232 -3.8915
0.6645 -5.0905 7.367 -4.4368
0.3449 -0.6012 -9.361 0.3883
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.794 -0.07959 0.8279 4.469
6.212 -0.60176 1.6724 -4.057
-11.334 2.32275 0.3293 -1.374
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.801 6.575 1.724 -6.892
1.228 -1.716 1.397 -5.894
-5.544 -6.660 2.010 -5.716
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.6417 -5.7351 -1.036 -8.646
2.4524 0.3880 -0.293 -8.187
0.3964 -0.5092 1.026 -3.763
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.282 -4.103 11.749 -0.06477
-1.843 2.097 8.577 -1.61101
-1.679 -1.108 11.403 4.56068
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.2267 6.504 2.684 2.280
0.8078 4.798 -16.980 -4.219
-10.3182 1.654 -5.805 -6.404
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.8679 -5.8362 -11.090 -7.558
0.2231 0.4434 4.227 -3.079
-1.5417 -6.1590 -9.033 1.561
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.134 1.6996 -4.615 -1.21
-8.983 0.9679 -1.687 -8.22
1.952 -0.6420 -1.290 -1.07
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.249 -2.6172 -5.925 -12.768
1.812 -7.0904 -7.212 -4.079
-2.119 0.2013 -5.828 -7.902
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.870 7.618 0.2958 0.07474
-9.980 -8.884 -0.9445 0.03735
0.812 2.855 -0.8682 0.65628
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.790 -0.003969 -1.431 0.01163
2.106 -0.022705 -5.093 -6.32456
3.609 -1.302909 -1.285 -6.69956
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.3576 1.348 -0.5555 -3.0891
0.6502 0.575 -4.2864 0.5578
0.9787 -1.007 -4.9902 1.1315
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.033 3.4729 -13.0993 -4.345
1.907 0.6539 -1.2800 11.880
1.547 -0.8627 -0.3384 3.425
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8586 0.4738 6.075 1.371
-2.9464 -10.9526 -7.302 0.682
0.8122 3.3560 2.723 -1.307
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.4721 6.514 -1.3122 -2.098
5.4983 1.122 0.1826 2.283
-7.4129 2.882 0.5328 5.231
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3126 1.268 1.6131 3.138
0.8314 -4.199 2.5936 -2.397
-0.5330 3.382 -0.4004 -3.625
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.840 0.37671 0.4352 1.429
-3.325 0.78017 2.2755 -2.899
-7.390 -0.08209 -3.3458 -2.468
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.87964 -0.3381 -0.37547 -0.6634
-0.07442 0.6032 -2.97653 0.5316
-8.88365 -0.9090 0.05412 0.9141
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.132 5.6653 -1.015 -1.6064
-6.377 0.5744 -1.509 -0.5305
-1.148 -5.8787 5.046 -8.5530
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.154 -1.1605 -2.298 -1.516
-3.401 0.6064 -2.562 1.831
-1.608 0.9454 -1.599 1.063
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.877 -0.931 -0.5229 -3.0265
2.063 2.848 -4.3365 0.1172
-5.182 4.522 -1.3143 -0.3460
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.887 0.2465 2.4640 -11.125
4.891 -6.5570 -4.3502 10.048
-6.786 -0.5586 0.4437 4.441
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1587 0.8963 -0.5824 -0.78996
0.5154 -4.3657 -1.1623 0.16125
-4.0846 0.9746 -0.8415 -0.09871
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.236 1.7392 -3.849 121.8
3.078 0.3205 -3.675 109.4
3.366 0.9998 -2.928 110.5
rnd_95776.volume rnd_95787.volume
-5.627 0.9105
-12.829 -0.7533
-1.681 -4.8086
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.931 2.441 9.064 2.748 5.245 1.435 1.517 3.672 4.071 3.267 2.137
[2,] 3.575 2.936 10.510 3.999 6.616 1.785 1.754 4.134 4.894 4.729 2.941
[3,] 3.991 3.248 11.663 5.517 7.891 2.051 1.980 4.520 5.398 5.380 3.319
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.601 2.481 3.198 2.752 3.302 3.669 3.719 6.924 5.028 7.768 3.031
[2,] 3.494 2.988 4.089 3.585 3.755 4.817 4.939 8.487 5.980 9.398 3.602
[3,] 3.907 3.396 4.543 4.253 4.189 5.793 5.813 9.289 6.837 10.548 4.070
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.912 3.976 1.650 3.135 3.186 3.352 3.011 1.630 3.041 3.520 1.825
[2,] 13.701 5.822 1.935 5.409 5.132 3.853 4.128 1.955 4.300 4.202 2.240
[3,] 15.497 7.098 2.207 7.063 6.899 4.374 5.640 2.287 5.535 4.835 2.476
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.344 3.955 3.364 3.205 3.066 3.191 1.059 2.809 0.913 3.029 2.392
[2,] 5.263 5.358 4.803 4.024 4.014 3.903 1.262 3.364 1.069 3.598 3.667
[3,] 6.185 6.025 5.559 4.595 4.572 4.344 1.419 3.650 1.206 4.207 4.184
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.310 1.444 2.574 3.341 4.278 2.067 3.160 3.844 1.677 3.309 2.800
[2,] 2.848 1.670 3.761 4.066 4.765 2.500 5.173 4.560 1.923 4.632 4.110
[3,] 3.268 1.847 4.392 4.522 5.233 2.848 6.032 5.028 2.231 5.991 5.012
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.326 1.998 2.910 0.8829 3.520 1.234 2.659 2.476 2.967 3.475 1.406
[2,] 3.546 3.534 3.368 1.0842 4.587 1.441 3.274 2.985 3.904 4.895 1.754
[3,] 4.356 4.603 3.674 1.2437 5.536 1.674 3.824 3.325 4.463 5.828 1.993
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.191 2.582 3.909 1.495 3.317 3.408 4.675 4.345 4.311 3.371 3.274
[2,] 4.470 3.005 5.724 1.794 3.911 4.170 5.586 5.527 5.163 5.017 4.546
[3,] 5.387 3.294 6.781 2.052 4.402 4.710 6.149 6.071 5.924 5.663 5.351
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.128 3.054 2.374 3.516 1.985 2.163 1.322 3.154 2.868 5.620 5.700
[2,] 1.345 4.335 2.880 4.619 2.328 2.626 1.537 4.049 3.436 6.493 6.760
[3,] 1.511 5.608 3.307 5.805 2.634 3.037 1.744 4.559 3.888 7.371 7.574
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.036 1.215 2.013 2.309 2.365 1.745 0.7767 6.528 8.951 3.873
[2,] 1.609 2.575 2.665 2.727 2.926 2.037 0.9578 8.539 12.996 5.862
[3,] 2.549 3.000 3.036 3.084 3.326 2.231 1.0982 9.882 15.679 7.173
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.721 3.1 11.51 3.489 6.661 1.822 1.926 4.663 5.17
[2,] 364.902 290.8 947.92 517.583 718.293 189.127 157.054 338.394 483.78
[3,] 316.145 247.2 901.12 677.243 766.267 179.880 163.461 325.706 405.86
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.149 2.714 3.303 3.15 4.061 3.495 4.193 4.659
[2,] 609.131 359.950 415.711 296.82 454.025 409.216 318.404 555.970
[3,] 457.205 274.124 311.513 287.39 352.784 407.812 331.085 573.336
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.722 8.792 6.385 9.864 3.849 11.32 5.049 2.096
[2,] 579.219 874.297 576.659 942.614 346.701 1853.99 757.779 180.032
[3,] 546.198 672.889 590.766 853.244 337.638 1290.53 723.356 188.965
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 3.981 4.046 4.256 3.823 2.07 3.862 4.47 2.318 5.516
[2,] 785.441 716.767 338.716 503.101 192.42 541.770 408.94 231.202 529.630
[3,] 809.178 821.612 368.771 684.670 211.47 620.923 426.28 188.290 578.710
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.022 4.271 4.07 3.893 4.052 1.345 3.567 1.159 3.846
[2,] 644.161 610.720 433.46 461.598 400.213 122.263 329.943 99.083 345.959
[3,] 490.876 498.780 395.34 390.118 340.093 115.370 252.338 99.497 388.608
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.038 2.934 1.834 3.269 4.243 5.433 2.625 4.013
[2,] 495.260 296.813 149.533 488.536 412.919 373.827 250.642 729.565
[3,] 358.838 285.496 140.519 403.991 352.684 385.336 243.162 553.017
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.882 2.129 4.202 3.556 2.954 2.537 3.695 1.121
[2,] 436.782 167.997 577.499 536.086 476.844 519.388 302.281 112.111
[3,] 377.461 201.259 676.965 510.885 450.941 525.373 261.316 108.556
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 4.47 1.566 3.377 3.144 3.767 4.413 1.785 4.053
[2,] 524.17 132.778 340.402 297.175 452.097 614.285 186.870 557.592
[3,] 552.26 151.558 351.976 260.809 385.488 563.513 168.722 535.592
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.279 4.964 1.898 4.212 4.327 5.936 5.517 5.474
[2,] 273.868 744.916 176.866 369.198 428.109 544.729 608.740 506.427
[3,] 240.548 647.840 177.250 360.137 390.203 458.210 447.608 517.304
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.281 4.158 1.432 3.878 3.015 4.465 2.52 2.746
[2,] 661.969 561.807 130.619 548.166 290.271 533.706 216.79 265.380
[3,] 468.110 503.190 122.533 633.860 289.544 626.466 219.51 271.862
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.679 4.005 3.642 7.136 7.238 1.315 1.543 2.556
[2,] 139.722 452.191 337.175 579.286 647.548 219.396 404.532 311.164
[3,] 146.731 373.666 324.192 621.759 608.905 352.222 274.043 259.324
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.932 3.004 2.216 0.9862 8.289 11.37 4.918
[2,] 258.666 306.962 187.253 99.8646 980.865 1678.70 783.978
[3,] 256.374 281.525 162.165 95.7337 886.210 1562.71 736.440
[1] "--- VAR model 2017-10-05 16:01:00 completed"
[1] "Completed training sample: 2017-10-05 16:01:00 - 2017-10-06 00:00:00"
[1] "SpVAR; training sample: 2017-10-05 16:31:00 - 2017-10-06 00:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.2475 2.137 13.230 0.9329
-0.9012 -4.463 8.275 -5.8382
2.2581 1.733 -6.669 -2.8638
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.5864 -0.7046 2.021 4.544
0.3876 2.5086 1.083 6.533
-4.5416 0.6189 -2.321 1.483
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.744 1.545 -1.056 -2.811
6.489 1.720 1.763 -3.883
2.988 4.854 1.674 -1.840
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.6704 2.3153 1.2518 1.8864
0.2040 -0.5084 -1.5567 -0.3896
-0.6543 3.1927 0.6468 0.1641
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.217 -5.6558 4.310 -0.4488
-2.136 0.2598 2.424 -6.9124
-6.419 -3.9820 2.166 0.3929
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
7.287 -3.7503 -5.803 -3.316
-6.474 0.4116 15.265 2.990
4.856 -0.2171 -11.603 -3.680
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5818 -5.486 -3.1364 4.696
1.7703 -1.680 -0.9547 -1.043
-0.4121 2.083 4.8710 3.690
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.205 1.75157 -3.931 2.1400
-5.074 -0.08554 -2.269 -0.9837
-2.990 -1.19396 -2.509 -1.5602
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.6987 9.185 1.391 -2.277
2.1579 -5.316 -2.020 1.588
-0.1839 -4.406 -5.821 -3.409
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.8687 2.933 -2.467 -0.0536
-0.1701 -1.015 1.794 -1.7167
0.9964 1.706 7.551 1.5731
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.1380 -0.69108 2.9702 -6.7382
0.9033 0.01823 2.7107 0.7628
1.3408 0.92538 0.3325 4.9088
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.566 -0.2366 -7.160 -2.722
-1.436 0.9078 -4.645 0.138
2.418 0.6474 -2.905 4.043
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.0981 -2.2222 -1.519 -5.70822
4.8454 -3.3894 -6.152 0.07407
0.2902 0.9457 -3.768 -0.16735
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.03191 1.713 -1.224 -5.205
2.01694 -8.644 -5.691 -4.475
-0.16323 -6.735 -3.398 -2.191
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.342 2.3000 0.8719 -5.720
1.132 0.7815 -0.0801 -0.779
-7.650 0.1488 -0.2324 -3.574
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.2468 1.882 5.4504 0.5493
-0.1748 -1.235 -0.5797 1.7306
-2.6879 -3.673 0.1226 -2.6837
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.500 0.7731 1.577 1.0986
4.545 -0.4285 6.615 3.4734
-2.431 1.9479 -2.169 -0.2887
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.142 3.843 3.2644 -0.2089
3.397 2.674 0.4569 -1.4795
3.152 2.339 2.7768 -1.4090
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.6989 -4.2458 0.102890 -1.2211
-3.5617 1.8831 -1.908774 -0.6533
-0.8022 0.3934 0.002386 1.9921
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.3936 0.5966 -6.069 0.7155
-0.7666 1.8336 -3.126 0.3370
2.4946 1.3017 -3.784 2.0348
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.5679 2.3719 3.144 0.8166
1.3155 -0.1974 -1.291 -0.3086
0.4287 2.7901 -2.395 0.1283
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.722 3.2075 -1.010 -0.005676
4.237 -6.3668 2.585 -0.084461
3.398 0.7049 -1.941 3.252394
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5082 -0.01306 -0.03161 -0.6447
0.7041 0.54274 -2.02866 -1.4507
1.5497 -1.52604 0.69224 1.4419
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.704 -1.099272 -1.706 114.4
-2.565 1.764631 -2.463 106.0
-3.672 -0.003887 -2.304 106.6
rnd_95776.volume rnd_95787.volume
-8.454 -3.566
-14.347 4.864
-10.001 -2.649
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.813 2.211 8.479 2.586 4.326 1.304 1.426 3.533 3.812 2.989 1.998
[2,] 3.454 2.745 9.790 3.645 5.553 1.586 1.640 3.973 4.687 4.389 2.785
[3,] 3.798 3.087 11.035 5.148 6.509 1.844 1.852 4.306 5.148 4.876 3.164
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.470 2.160 3.026 2.468 3.250 3.345 3.475 7.520 4.526 7.201 3.017
[2,] 3.436 2.692 3.870 3.294 3.676 4.396 4.669 9.121 5.591 8.581 3.538
[3,] 3.808 3.097 4.359 4.068 4.127 5.298 5.511 9.943 6.440 9.694 3.916
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.319 3.768 1.463 2.956 3.198 3.231 2.860 1.573 2.717 3.286 1.758
[2,] 12.750 5.462 1.734 4.955 4.911 3.701 3.849 1.850 3.930 3.993 2.145
[3,] 14.564 6.707 2.044 6.454 6.554 4.204 5.411 2.186 5.209 4.532 2.396
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.737 3.592 3.170 3.100 2.884 3.120 0.9918 2.493 0.8567 2.874 2.202
[2,] 4.794 4.840 4.329 3.852 3.812 3.681 1.2022 3.101 1.0192 3.403 3.470
[3,] 5.748 5.591 5.177 4.436 4.388 4.112 1.3836 3.416 1.1498 3.953 4.027
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.196 1.349 2.425 3.153 4.076 1.998 2.977 3.618 1.549 3.069 2.575
[2,] 2.766 1.587 3.401 3.829 4.579 2.367 4.819 4.307 1.767 4.404 3.989
[3,] 3.109 1.762 4.120 4.335 4.991 2.720 5.644 4.715 2.028 5.741 4.903
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.178 1.828 2.771 0.8091 3.155 1.187 2.533 2.301 2.591 3.148 1.235
[2,] 3.396 3.215 3.204 0.9755 4.227 1.354 3.071 2.689 3.519 4.638 1.550
[3,] 4.258 4.391 3.528 1.1524 5.103 1.550 3.589 2.997 4.065 5.397 1.749
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.636 2.459 3.332 1.366 3.126 3.245 4.178 4.195 3.966 3.206 2.815
[2,] 3.884 2.853 4.934 1.633 3.691 3.996 4.993 5.262 4.832 4.895 4.238
[3,] 4.573 3.139 5.955 1.847 4.030 4.529 5.517 5.820 5.427 5.553 5.113
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.065 2.520 2.104 3.130 1.973 2.046 1.228 2.859 2.493 5.342 5.398
[2,] 1.270 3.836 2.579 4.208 2.270 2.488 1.453 3.678 3.093 6.144 6.275
[3,] 1.410 5.179 2.986 5.343 2.581 2.876 1.675 4.224 3.519 7.099 7.089
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.840 1.155 1.905 2.200 2.101 1.554 0.7302 6.417 8.563 3.580
[2,] 1.441 2.395 2.434 2.591 2.623 1.878 0.9141 8.334 12.488 5.482
[3,] 2.328 2.835 2.761 2.857 3.117 2.055 1.0523 9.644 14.497 6.744
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.572 2.808 10.77 3.284 5.493 1.655 1.811 4.486
[2,] 356.953 289.861 871.97 457.575 620.278 160.901 144.208 323.891
[3,] 281.518 251.505 907.22 647.554 604.899 167.558 153.188 295.588
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.841 3.796 2.537 3.136 2.743 3.842 3.134 4.127
[2,] 485.923 572.570 345.725 425.637 286.129 429.990 388.664 306.178
[3,] 379.191 378.242 267.435 292.469 272.767 357.399 425.193 334.081
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.248 4.413 9.55 5.747 9.145 3.831 10.56 4.784
[2,] 508.136 555.635 919.42 585.009 831.453 329.279 1721.37 704.564
[3,] 526.877 521.376 705.24 569.411 803.324 299.183 1254.04 693.329
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 1.857 3.754 4.06 4.102 3.631 1.997 3.45 4.173 2.233
[2,] 165.810 708.492 664.07 321.718 458.893 173.528 505.80 404.135 218.805
[3,] 192.795 736.817 773.22 355.281 677.637 207.483 609.06 381.999 190.183
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.746 4.562 4.025 3.937 3.662 3.962 1.259 3.166
[2,] 534.777 577.933 525.352 407.372 444.213 347.979 121.044 328.404
[3,] 565.021 498.493 505.770 391.978 387.203 326.465 122.015 255.320
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.088 3.65 2.796 2.788 1.713 3.08 4.004 5.175 2.537
[2,] 98.355 324.51 477.704 299.662 148.814 424.81 387.099 371.987 226.317
[3,] 94.828 358.33 364.146 252.774 136.483 414.11 361.997 353.840 238.699
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.781 4.594 1.967 3.897 3.27 2.766 2.322 3.519
[2,] 675.137 416.405 151.493 562.749 542.80 464.158 471.155 286.454
[3,] 523.343 342.069 177.346 656.019 507.95 457.552 532.716 263.224
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.027 4.007 1.507 3.217 2.922 3.29 3.998 1.568
[2,] 97.090 501.000 115.959 309.141 247.785 424.23 606.781 166.936
[3,] 109.278 509.542 134.417 331.171 235.764 362.48 491.593 144.240
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 3.347 3.123 4.231 1.735 3.97 4.121 5.305 5.328
[2,] 508.155 257.633 648.263 159.274 349.68 415.521 487.092 565.735
[3,] 430.104 233.116 594.190 153.839 288.12 379.770 418.064 443.138
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.036 4.072 3.574 1.352 3.2 2.672 3.974 2.505 2.598
[2,] 491.713 658.962 564.381 123.418 515.2 265.824 501.106 200.081 252.245
[3,] 440.397 467.081 509.777 108.849 619.9 267.959 586.637 218.910 256.891
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.559 3.63 3.166 6.784 6.855 1.067 1.467 2.419
[2,] 138.406 412.39 325.963 540.554 569.971 208.621 373.729 269.957
[3,] 148.422 369.92 299.105 633.627 587.450 325.743 270.206 232.036
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.793 2.669 1.974 0.9273 8.149 10.87 4.547
[2,] 244.068 279.608 187.711 97.9660 947.297 1619.42 739.591
[3,] 214.568 299.988 148.890 92.8644 864.711 1311.77 699.811
[1] "--- VAR model 2017-10-05 16:31:00 completed"
[1] "Completed training sample: 2017-10-05 16:31:00 - 2017-10-06 00:30:00"
[1] "SpVAR; training sample: 2017-10-05 17:01:00 - 2017-10-06 01:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.7786 1.0592 -2.440 -5.451
-4.4257 1.6711 -5.782 -1.520
0.3416 -0.7453 -1.644 -9.713
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.48530 1.3475 1.11562 -0.89528
0.04285 1.4057 0.04062 -0.05304
-1.87754 -0.7182 1.60699 2.30517
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.622 -3.632794 -1.334 0.7537
2.573 0.001927 -1.566 -3.1935
2.542 5.839207 3.130 -1.1161
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2058 0.4289 1.9354 1.837
-1.1028 1.8218 -1.6555 -3.981
-0.8114 -1.2964 -0.9248 -1.082
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.0839 -3.4019 -10.118 -1.5278
-0.5812 0.2266 4.921 -3.7175
-5.1978 -4.0621 5.841 -0.3336
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.287 -3.367 -10.741 -2.483
-5.930 2.502 -10.732 -10.004
-3.416 -2.932 -6.298 -6.334
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.0631 -3.137 -3.191 -1.665
0.8897 -8.398 -6.201 1.341
2.4491 -6.859 -6.374 -1.367
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-4.156 1.59774 -1.097 0.1921
-1.648 -0.01862 -3.472 -3.3950
-11.186 1.73630 -7.103 2.4012
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.5115 2.529 -0.2061 -6.5768
0.2741 -5.416 -1.9085 -0.8411
-2.3137 -1.876 -3.9281 -3.9134
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.292 -0.7080 -1.5781 0.7506
-2.384 -3.4227 -0.5089 0.8688
-4.124 0.3563 1.2811 0.1927
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.1569 0.6527 -2.7759 2.798
0.6541 -0.2291 -1.7750 -4.604
4.4840 0.4686 -0.4142 -2.693
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4632 0.3369 0.9024 1.467
-0.2841 -0.3523 -1.5516 -4.721
-0.7078 -0.5693 -3.4855 1.456
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.5917 0.1656 3.5028 -1.009
2.7012 -0.6195 -2.1490 2.661
2.7385 0.3544 0.3027 -5.121
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.024 0.4672 2.9235 -1.7322
-1.319 1.6686 3.2869 6.4032
2.165 -0.1661 -0.4879 -0.7616
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.288 0.6911 0.4278 -4.694
4.833 1.9742 0.3285 -1.761
4.653 1.3924 0.4623 1.138
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.6228 0.01622 1.1402 0.09481
-0.3799 -0.41858 -1.8967 -0.89916
0.2727 3.20755 -0.7625 -6.72633
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.02357 -0.2596 -1.115 -4.278
-4.40909 0.9272 2.208 -1.777
-3.88149 -0.6345 -4.239 1.270
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.8389 -1.67577 -1.468 0.09985
-3.2474 -0.01481 -1.483 -4.35724
-4.3250 0.73462 -1.759 -0.29863
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.440 3.41481 -2.0470 -3.735
-3.115 -5.32436 -0.6803 -1.168
1.511 0.09782 1.1907 -3.793
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.0885 0.4966 -0.1683 -3.462
-0.6489 -0.1151 -2.7029 -1.200
-0.1032 1.7788 -1.5940 -2.956
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.5163 0.47650 -2.6987 -0.5778
0.3709 -0.02577 0.5827 -0.1210
-2.8582 2.85291 -0.4495 -1.6807
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.90881 1.9313 3.153 -7.485
2.19911 3.1859 -3.981 6.458
-0.01698 0.2384 1.704 -1.673
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.1385 -0.7333 2.0307 1.4712
-0.1634 0.9924 -0.7272 0.4882
0.2219 0.3310 0.3324 -0.2396
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.050 -2.6360 -1.3133 116.3
-2.478 -0.3576 -0.5852 119.7
-2.495 -0.1108 0.2023 134.3
rnd_95776.volume rnd_95787.volume
-8.625 -5.019
6.791 -9.225
-15.330 -5.759
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.657 2.052 7.610 2.360 3.603 1.150 1.322 3.248 3.436 2.759 1.881
[2,] 3.298 2.494 8.795 3.515 4.843 1.397 1.479 3.735 4.343 3.998 2.594
[3,] 3.644 2.821 10.076 4.898 5.753 1.622 1.716 4.043 4.797 4.543 2.990
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.257 1.909 2.785 2.191 2.819 2.946 3.204 7.384 4.181 6.368 2.515
[2,] 3.297 2.311 3.661 2.957 3.291 4.049 4.336 9.054 5.387 7.504 3.116
[3,] 3.718 2.649 4.140 3.751 3.755 4.937 5.178 9.890 6.274 8.364 3.503
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.329 3.586 1.386 2.857 3.012 3.123 2.720 1.438 2.449 3.119 1.703
[2,] 12.107 5.049 1.654 4.521 4.534 3.600 3.735 1.710 3.655 3.767 2.054
[3,] 13.748 6.287 1.930 6.222 6.182 4.018 5.141 2.038 4.782 4.281 2.275
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.560 3.310 3.064 2.913 2.726 2.964 0.9411 2.237 0.8475 2.643 2.167
[2,] 4.580 4.537 4.077 3.629 3.584 3.529 1.1340 2.775 0.9974 3.173 3.330
[3,] 5.428 5.361 4.823 4.220 4.137 3.952 1.3205 3.090 1.1039 3.690 3.862
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.004 1.204 2.280 2.825 3.868 1.921 2.734 3.456 1.408 2.883 2.369
[2,] 2.572 1.411 3.244 3.403 4.442 2.276 4.553 3.974 1.624 4.102 3.576
[3,] 2.958 1.596 3.939 3.882 4.807 2.604 5.369 4.370 1.882 5.274 4.429
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.940 1.599 2.603 0.7352 2.955 1.124 2.138 2.289 2.332 2.945 1.114
[2,] 3.087 2.801 3.119 0.8699 3.947 1.275 2.669 2.628 3.234 4.364 1.367
[3,] 3.882 3.848 3.412 1.0488 4.747 1.446 3.263 2.906 3.834 4.983 1.558
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.475 2.440 2.920 1.334 2.853 2.810 3.911 3.916 3.627 2.848 2.497
[2,] 3.615 2.814 4.434 1.563 3.408 3.459 4.615 4.902 4.430 4.559 3.911
[3,] 4.253 3.107 5.299 1.751 3.755 3.808 5.142 5.439 4.914 5.178 4.715
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.002 2.227 1.868 2.845 1.907 1.901 1.106 2.698 2.203 5.141 4.979
[2,] 1.206 3.417 2.299 3.800 2.168 2.267 1.296 3.490 2.728 5.991 5.964
[3,] 1.338 4.733 2.604 5.024 2.405 2.683 1.538 3.995 3.042 6.789 6.714
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7345 0.8881 1.633 1.880 1.927 1.474 0.6642 6.628 8.392 3.340
[2,] 1.2610 1.9961 2.087 2.281 2.371 1.788 0.8368 8.463 11.880 5.068
[3,] 1.9532 2.4086 2.373 2.529 2.807 1.980 0.9585 9.707 13.642 6.306
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.374 2.605 9.664 2.997 4.576 1.461 1.678 4.125
[2,] 371.644 269.855 838.808 495.709 615.523 150.979 126.279 350.736
[3,] 294.656 250.856 935.619 648.978 590.917 156.509 165.504 294.382
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.363 3.503 2.388 2.867 2.424 3.537 2.782 3.579
[2,] 505.467 550.533 339.903 457.194 247.822 452.165 377.804 323.227
[3,] 387.324 410.436 283.105 327.017 246.607 367.585 439.066 344.018
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.741 4.069 9.377 5.309 8.086 3.193 9.306 4.553
[2,] 528.433 555.891 996.699 646.295 755.239 349.975 1833.444 676.124
[3,] 537.612 538.401 757.104 611.843 703.074 304.467 1239.399 712.828
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 1.76 3.628 3.824 3.966 3.454 1.827 3.11 3.961 2.162
[2,] 171.94 666.732 644.747 340.896 486.900 175.988 516.09 401.760 218.460
[3,] 188.99 813.141 799.594 339.478 671.990 210.739 586.71 387.111 186.172
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.52 4.203 3.891 3.699 3.462 3.764 1.195 2.841
[2,] 548.36 590.461 511.803 411.650 442.545 364.577 120.382 312.480
[3,] 554.07 543.169 490.217 409.972 393.287 338.154 128.706 258.424
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.076 3.356 2.751 2.545 1.529 2.895 3.587 4.912
[2,] 100.038 333.891 481.159 306.852 140.167 439.052 361.016 415.416
[3,] 90.006 358.467 372.047 277.963 141.945 424.999 355.293 349.836
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.439 3.472 4.388 1.787 3.661 3.008 2.463 2.03
[2,] 232.415 692.626 373.454 154.197 555.004 509.625 456.979 437.54
[3,] 240.524 541.404 345.842 181.044 630.713 497.035 447.858 501.95
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.305 0.9336 3.752 1.428 2.715 2.907 2.961 3.74
[2,] 326.898 88.4414 497.712 114.475 303.878 245.708 426.252 612.69
[3,] 263.158 111.4663 501.904 129.596 357.054 235.742 391.965 457.80
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.414 3.143 3.098 3.708 1.693 3.623 3.568 4.966
[2,] 150.847 501.405 266.817 634.798 154.953 354.788 383.695 466.228
[3,] 142.003 426.100 250.679 552.206 150.235 299.766 302.917 431.214
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.973 4.606 3.617 3.17 1.272 2.828 2.373 3.612
[2,] 560.826 483.721 677.149 572.80 127.819 493.058 254.948 479.242
[3,] 448.234 404.962 467.141 500.96 110.421 622.981 232.730 625.251
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.421 2.414 1.404 3.427 2.798 6.529 6.323 0.9328
[2,] 196.356 234.959 128.417 421.007 306.025 585.029 624.628 194.9969
[3,] 198.012 272.970 157.485 370.144 256.081 607.739 586.618 283.7839
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.128 2.074 2.388 2.448 1.871 0.8434 8.416 10.66
[2,] 340.093 247.083 245.542 262.809 192.597 96.8366 1001.131 1599.80
[3,] 256.463 215.039 207.832 285.812 161.782 88.9340 904.689 1275.65
[,98]
[1,] 4.242
[2,] 725.172
[3,] 713.957
[1] "--- VAR model 2017-10-05 17:01:00 completed"
[1] "Completed training sample: 2017-10-05 17:01:00 - 2017-10-06 01:00:00"
[1] "SpVAR; training sample: 2017-10-05 17:31:00 - 2017-10-06 01:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8321 0.8615 -10.839 4.9041
1.0546 -2.6568 -6.688 -0.5927
-2.3101 0.6580 3.454 -6.9255
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
5.905 0.02522 1.033 -2.327
6.512 1.00055 1.103 -1.349
-4.678 1.24775 1.325 3.597
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.708 -4.5470 -1.2744 -6.666
-3.406 -1.3256 0.4941 -2.975
2.553 -0.1622 -2.0200 -3.720
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2375 -3.04073 -0.6705 -4.969
2.5953 2.62848 1.6769 -3.378
-0.2902 0.05245 -1.4021 -3.479
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.101 -1.5706 -8.270 -1.552
-1.558 -4.2195 4.070 -2.421
-1.585 -0.9717 -7.498 -5.015
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.5829 3.9928 -13.652 -1.3413
-4.7360 0.3729 -5.105 -8.2349
-1.9432 -1.1389 -11.805 -0.2683
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.0505 -4.590 -6.883 2.892
1.3817 -10.014 2.479 4.269
0.1521 -2.187 -8.366 1.129
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
6.269 3.370 0.5471 1.405
-3.523 -1.341 -1.0881 -4.667
-6.161 -1.747 2.4867 -2.967
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.6127 5.879 6.096 6.339
0.7263 -3.251 6.110 5.664
0.8513 0.146 -4.713 -1.597
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.77841 -3.3449 2.505 -0.3019
0.07373 0.7827 1.129 -0.8705
3.60861 -1.6147 2.776 -0.1015
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.9158 0.6558 -4.150 -0.5573
-0.9397 0.1125 3.982 -4.6703
0.5520 0.5837 1.765 1.0404
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.2278 -2.59042 0.8418 -0.1062
-0.4899 -0.02419 -2.3647 1.0146
0.6223 0.48760 -0.9613 2.2713
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-2.6301 -1.9839 -5.346 -5.1852
1.7992 1.3777 2.103 2.8880
0.7252 -0.7365 -0.213 -0.8079
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.89475 -2.635 0.01877 0.1931
0.04945 -6.743 -5.27936 -0.9408
0.20208 2.247 3.24758 -5.2025
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.9119 -2.266 -1.2099 0.7437
0.3966 2.834 0.5360 -3.9282
-3.3121 2.303 0.0448 1.0159
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.276 2.188 -0.4783 4.451
-1.279 2.590 2.6477 4.701
1.214 -2.269 1.3069 2.787
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.858 -0.5593 -0.5989 -1.1967
6.476 -0.1564 3.3009 -0.2014
6.340 1.0432 9.2475 2.0683
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.5521 -1.9865 1.3258 -0.1435
0.3205 0.4339 -0.4789 1.2905
8.5823 0.1280 -2.3292 -1.2983
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.425 4.71253 -1.1045 -2.473
1.208 0.07594 -2.1232 1.064
2.343 -2.79290 -0.5039 -3.209
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.609 0.7262 -1.201 -0.9186
0.636 0.4185 -4.364 -1.0249
-1.490 0.4312 3.779 0.6857
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.670 3.3425 -1.87668 0.8010
-4.923 1.6249 0.01833 0.4488
3.142 0.5783 -1.32836 0.2354
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.779 1.6381 1.307 10.727
-3.414 -3.8423 5.052 -2.795
-3.968 0.9528 1.851 -4.731
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3186 -0.06207 1.95353 1.2791
-0.1821 1.40202 -0.15234 0.9406
0.9052 1.53650 0.08154 -1.4454
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.2884 -0.5701 -0.7602 112.8
-5.6829 -1.5713 -1.0068 105.6
2.1363 0.2639 -1.0972 116.2
rnd_95776.volume rnd_95787.volume
-10.212 -0.04286
1.702 -8.80398
-4.216 -1.49220
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.456 1.891 7.010 2.216 3.207 0.9683 1.260 2.824 3.155 2.627 1.758
[2,] 3.031 2.365 8.549 3.344 4.531 1.1799 1.413 3.337 3.884 3.703 2.452
[3,] 3.372 2.672 9.654 4.533 5.349 1.3921 1.624 3.640 4.326 4.235 2.800
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.965 1.692 2.590 2.085 2.547 2.766 3.056 6.920 3.859 5.595 2.313
[2,] 3.016 2.083 3.396 2.816 3.013 3.725 4.076 8.716 5.062 6.782 2.767
[3,] 3.534 2.423 3.959 3.567 3.476 4.599 4.686 9.621 6.059 7.607 3.204
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.368 3.082 1.341 2.625 2.751 2.891 2.491 1.363 2.326 2.922 1.608
[2,] 10.760 4.516 1.560 4.287 4.061 3.367 3.571 1.643 3.435 3.578 1.968
[3,] 12.774 5.974 1.785 5.908 5.551 3.804 4.809 1.949 4.414 4.009 2.227
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.422 2.994 2.799 2.742 2.432 2.786 0.8978 2.013 0.7814 2.468 2.036
[2,] 4.350 4.252 3.820 3.363 3.276 3.342 1.0694 2.536 0.9421 2.978 3.215
[3,] 5.079 5.020 4.463 3.916 3.714 3.754 1.2444 2.822 1.0514 3.540 3.676
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.949 1.093 2.163 2.568 3.651 1.823 2.486 3.239 1.290 2.498 2.166
[2,] 2.482 1.305 3.114 3.078 4.217 2.173 4.096 3.770 1.495 3.713 3.250
[3,] 2.838 1.469 3.762 3.597 4.617 2.431 4.964 4.056 1.710 4.669 3.955
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.822 1.424 2.339 0.6881 2.733 1.042 1.987 2.249 2.086 2.551 1.019
[2,] 2.872 2.533 2.841 0.7928 3.669 1.204 2.473 2.531 2.941 3.860 1.240
[3,] 3.600 3.406 3.181 0.9283 4.469 1.377 2.959 2.778 3.472 4.535 1.445
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.176 2.165 2.796 1.099 2.494 2.415 3.740 3.674 3.474 2.646 2.189
[2,] 3.361 2.543 4.308 1.346 3.039 3.067 4.307 4.627 4.081 4.330 3.642
[3,] 3.992 2.834 5.169 1.520 3.373 3.429 4.776 5.197 4.571 4.887 4.424
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9235 2.028 1.683 2.608 1.850 1.637 1.053 2.367 1.894 4.749 4.578
[2,] 1.0772 3.049 2.034 3.408 2.106 2.014 1.252 3.105 2.434 5.621 5.541
[3,] 1.1817 4.342 2.278 4.555 2.287 2.365 1.442 3.591 2.720 6.491 6.400
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6559 0.7288 1.228 1.410 1.811 1.385 0.5990 6.413 7.468 2.961
[2,] 1.0453 1.5876 1.582 1.766 2.211 1.696 0.7609 8.440 10.601 4.519
[3,] 1.5429 1.9138 1.838 2.031 2.623 1.874 0.8671 9.648 12.491 6.017
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.118 2.401 8.901 2.814 4.072 1.23 1.6 3.586 4.006
[2,] 358.998 286.881 988.372 505.929 646.384 136.15 129.1 359.047 457.675
[3,] 298.359 251.131 905.766 617.985 574.366 149.21 162.0 293.556 384.593
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.336 2.232 2.495 2.149 3.289 2.647 3.235 3.513
[2,] 527.088 345.095 462.058 245.071 443.555 382.269 324.952 503.648
[3,] 414.845 273.139 372.253 250.153 410.924 442.335 350.110 544.831
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.881 8.787 4.9 7.105 2.938 8.087 3.914 1.702
[2,] 544.659 1070.380 661.6 773.906 306.726 1751.584 666.708 161.319
[3,] 466.806 822.694 672.5 695.702 326.032 1390.282 789.805 175.085
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.333 3.493 3.672 3.163 1.731 2.954 3.711 2.041
[2,] 684.334 603.274 348.266 516.754 185.396 510.340 416.918 229.209
[3,] 821.041 764.326 357.562 650.461 211.608 559.726 365.285 210.637
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.346 3.801 3.554 3.482 3.088 3.538 1.14 2.556
[2,] 542.289 609.806 524.925 393.365 443.374 372.708 117.33 311.716
[3,] 529.395 538.956 466.038 405.012 353.320 345.044 128.50 249.834
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.9923 3.134 2.585 2.475 1.388 2.747 3.261 4.636
[2,] 106.2625 336.439 502.526 310.131 143.913 452.350 342.460 426.122
[3,] 94.2891 386.590 359.893 277.942 136.363 426.419 375.905 379.563
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.315 3.157 4.113 1.638 3.172 2.75 2.313 1.808 2.97
[2,] 238.727 657.452 389.675 152.489 554.591 489.38 448.316 423.095 325.89
[3,] 220.300 566.320 301.899 167.542 571.726 455.21 438.346 459.832 288.99
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.8738 3.47 1.323 2.523 2.855 2.648 3.239 1.294
[2,] 79.4948 494.46 121.887 297.119 234.540 418.703 585.010 142.697
[3,] 97.5394 515.17 134.888 328.303 231.391 372.907 480.717 149.566
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 2.764 2.749 3.55 1.395 3.168 3.067 4.75 4.665 4.412
[2,] 517.280 269.158 662.04 157.180 350.414 381.613 431.14 568.273 432.637
[3,] 434.981 252.907 576.71 142.525 295.619 309.664 416.87 477.542 415.785
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 3.36 2.78 1.173 2.575 2.137 3.312 2.349 2.079 1.337
[2,] 692.04 587.73 112.010 459.733 230.561 442.932 203.354 236.951 136.906
[3,] 457.77 507.17 98.117 624.221 207.382 610.408 179.892 250.314 144.407
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.006 2.405 6.03 5.814 0.8329 0.9254 1.559 1.791
[2,] 405.689 308.657 607.39 630.363 164.3590 284.8386 201.418 214.826
[3,] 364.384 245.191 655.29 646.655 229.1862 215.8141 189.187 202.586
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.299 1.759 0.7606 8.143 9.483 3.76
[2,] 256.455 197.477 94.7782 1108.154 1519.327 689.50
[3,] 284.837 161.391 83.9550 943.766 1334.383 802.31
[1] "--- VAR model 2017-10-05 17:31:00 completed"
[1] "Completed training sample: 2017-10-05 17:31:00 - 2017-10-06 01:30:00"
[1] "SpVAR; training sample: 2017-10-05 18:01:00 - 2017-10-06 02:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.28436 -1.22514 1.726 1.046
0.04485 1.39122 8.067 -4.991
1.73227 -0.02808 5.754 2.443
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.704 0.4581 -1.3341 3.2629
1.127 -0.2611 2.5971 1.1844
-3.081 -0.2790 0.7702 0.6392
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.5549 2.6532 0.1177 1.470
1.9115 2.6593 1.7088 -1.034
3.0281 0.8685 -0.9379 1.043
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.0908 3.989 0.8731 -3.278
-0.1652 4.244 4.8414 -3.621
-0.6055 1.671 0.6029 -3.107
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.397 -0.5405 -3.154 -6.387
1.379 -6.1003 6.325 4.671
-4.143 1.2778 3.085 -5.844
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.318 2.4095 1.145 0.8333
7.087 0.0704 -9.706 1.3313
3.376 0.3814 10.979 -0.6308
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.2084 1.391 -7.880 -0.9177
-1.0171 -3.292 2.897 1.1382
1.3687 -1.658 -1.588 0.3179
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.97128 0.71368 1.596 0.60894
-2.96034 -0.07034 -7.952 2.13577
-0.03626 1.67170 4.080 0.03333
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.3431 -0.8373 6.021 -0.6777
-0.6575 -2.7073 1.496 3.0329
0.5235 -2.3806 -1.909 -5.0502
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.1079 1.2384 2.7652 0.1904
0.2492 1.8158 0.4845 -0.8771
2.2375 0.4201 -0.4053 0.2100
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.1524 -0.361 -2.7466 -0.8834
1.2080 0.732 -0.3910 -1.7904
0.7563 -0.326 0.1105 -1.7388
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.0712 0.6961 -0.1406 6.8380
1.7496 -0.6433 -4.8477 -5.0817
-0.5641 0.6974 2.2804 0.8659
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.5998 -1.041 1.6412 5.2368
0.7408 2.290 2.2446 0.6153
1.3272 -1.843 0.1516 2.9586
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1246 -3.949 1.4225 6.7302
0.1287 1.533 3.7032 -0.1946
1.0213 4.365 -0.9939 -0.6587
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
1.942 0.9176 0.2037 6.662
1.963 3.9065 0.3748 3.648
2.303 1.1440 -0.1084 1.489
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.2942 2.140 -0.8293 -1.056
-0.4431 1.509 2.3030 2.927
0.5236 3.497 1.3783 4.790
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.4764 -0.7062 1.322 2.1847
2.6713 0.4500 0.746 -2.2900
4.1910 0.8310 2.257 0.1019
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.4015 -1.3080 -2.16794 -3.863
1.5246 -0.1306 -0.07528 1.344
4.1871 0.2708 2.09530 2.542
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.760 2.83853 2.2288 -3.1594
1.393 -3.93631 0.3394 -0.9735
-2.517 -0.07149 -1.3442 -1.1113
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-3.6787 2.1129 -2.4946 5.361
-0.1086 0.5968 -3.0040 1.783
-1.0782 0.3223 -0.7109 3.106
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.5314 2.5042 1.7816 -0.09649
-5.3231 -0.5761 -0.4419 0.82010
-1.0399 2.0911 1.8748 0.81963
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.9243 -0.5270 8.0209 6.963
0.4327 1.9353 -0.7967 -5.123
1.6043 -0.1527 1.2632 0.095
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.049134 -0.09805 1.3998 1.1609
-0.003641 0.93297 0.2479 -0.5012
-0.399107 -0.61253 -0.1351 0.8441
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.09287 0.1754 -1.3640 121.7
2.81055 1.7157 -1.1192 116.1
1.54148 1.2363 -0.9366 119.1
rnd_95776.volume rnd_95787.volume
5.82 1.20039
11.08 -0.40850
-22.48 -0.06642
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.153 1.770 6.492 2.143 2.942 0.8235 1.172 2.545 2.972 2.438 1.737
[2,] 2.796 2.195 7.711 3.112 4.062 1.0240 1.352 3.046 3.700 3.398 2.328
[3,] 3.113 2.489 8.864 4.275 4.825 1.1951 1.537 3.388 4.211 3.883 2.644
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.911 1.655 2.336 1.951 2.372 2.592 2.718 6.671 3.378 5.111 2.129
[2,] 2.850 2.058 3.215 2.679 2.859 3.498 3.758 8.414 4.587 6.179 2.559
[3,] 3.384 2.328 3.810 3.319 3.331 4.314 4.345 9.317 5.654 7.040 2.796
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.913 2.830 1.182 2.342 2.538 2.726 2.350 1.246 2.078 2.649 1.445
[2,] 10.312 4.143 1.427 3.883 3.771 3.189 3.310 1.509 3.008 3.192 1.824
[3,] 12.060 5.475 1.611 5.508 5.394 3.615 4.501 1.806 3.993 3.566 2.084
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.040 2.890 2.647 2.579 2.149 2.503 0.8473 1.877 0.7098 2.401 1.955
[2,] 3.967 3.937 3.600 3.161 2.967 3.034 1.0105 2.342 0.8694 2.879 3.088
[3,] 4.767 4.695 4.124 3.665 3.444 3.481 1.1870 2.629 0.9906 3.349 3.607
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.827 1.037 2.076 2.336 3.339 1.721 2.225 2.869 1.151 2.328 2.014
[2,] 2.303 1.252 2.986 2.849 3.923 2.079 3.677 3.304 1.387 3.311 3.019
[3,] 2.675 1.400 3.594 3.256 4.401 2.275 4.571 3.705 1.576 4.312 3.653
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.747 1.322 2.186 0.6342 2.323 0.9789 1.894 2.099 1.949 2.382 0.891
[2,] 2.620 2.358 2.733 0.7210 3.143 1.1603 2.328 2.386 2.760 3.637 1.053
[3,] 3.152 3.125 3.026 0.8560 3.858 1.3342 2.742 2.640 3.243 4.211 1.193
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.994 2.006 2.478 1.033 2.301 1.978 3.277 3.155 3.123 2.411 1.868
[2,] 3.102 2.386 3.968 1.252 2.715 2.636 3.922 4.297 3.676 3.815 3.262
[3,] 3.671 2.717 4.774 1.408 3.122 3.005 4.483 4.842 4.205 4.459 4.088
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8161 1.820 1.560 2.302 1.617 1.502 0.9734 1.912 1.697 4.516 4.422
[2,] 0.9972 2.811 1.897 3.091 1.853 1.887 1.1187 2.616 2.160 5.336 5.280
[3,] 1.1061 4.043 2.134 4.018 2.088 2.217 1.2950 3.095 2.449 6.156 6.087
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6002 0.5865 1.092 1.231 1.736 1.242 0.5410 6.173 6.538 2.785
[2,] 0.9128 1.3752 1.381 1.477 2.104 1.534 0.6850 8.330 9.461 4.262
[3,] 1.3263 1.6136 1.629 1.769 2.481 1.716 0.7847 9.578 11.613 5.619
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.734 2.248 8.243 2.721 3.736 1.046 1.488 3.232
[2,] 365.023 265.541 851.300 461.635 572.855 124.529 137.862 342.484
[3,] 279.804 240.124 894.511 599.542 532.574 126.041 149.807 303.385
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.774 3.096 2.206 2.427 2.102 2.966 2.478 3.012
[2,] 451.028 484.304 316.888 432.411 250.284 452.028 375.403 326.349
[3,] 411.239 384.281 256.740 373.135 222.694 417.931 400.908 349.905
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.292 3.451 8.471 4.29 6.491 2.703 7.508 3.594
[2,] 480.528 531.000 1049.063 634.68 710.169 290.348 1728.271 619.113
[3,] 516.514 445.948 818.384 676.51 690.174 230.574 1279.176 732.249
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.501 2.974 3.223 3.462 2.985 1.582 2.639 3.364
[2,] 163.343 633.709 570.616 338.572 476.892 174.248 444.988 364.534
[3,] 153.305 798.994 788.853 348.329 624.017 202.858 537.186 324.987
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.835 3.86 3.67 3.362 3.275 2.728 3.178 1.076 2.383
[2,] 227.810 521.42 546.74 498.935 373.987 418.451 350.723 112.656 286.567
[3,] 205.902 540.60 523.43 411.798 379.203 357.997 349.056 127.416 244.326
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.9013 3.049 2.483 2.321 1.316 2.636 2.967 4.24
[2,] 102.7220 324.955 488.992 286.553 143.500 438.974 333.535 421.31
[3,] 97.1236 350.115 381.448 278.361 128.358 409.233 322.322 407.94
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.185 2.825 3.643 1.462 2.956 2.558 2.218 1.679
[2,] 238.669 598.839 334.996 158.255 481.639 460.136 399.389 399.482
[3,] 188.689 555.679 343.077 152.962 564.914 420.430 358.550 419.426
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.776 0.8054 2.95 1.243 2.405 2.666 2.475 3.025
[2,] 335.563 70.1278 433.26 127.422 276.806 232.146 399.791 562.176
[3,] 265.724 94.4000 457.44 134.746 296.355 230.836 348.245 434.259
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.131 2.531 2.547 3.147 1.311 2.922 2.512 4.161
[2,] 114.661 486.196 264.388 634.034 144.922 294.747 356.448 440.842
[3,] 114.929 401.716 266.010 542.822 131.538 315.586 294.880 444.092
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.007 3.966 3.062 2.373 1.036 2.311 1.981 2.924
[2,] 596.734 396.379 604.940 546.924 117.206 438.196 220.748 421.809
[3,] 456.584 418.063 472.014 504.237 97.909 594.411 199.925 525.372
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.053 1.907 1.236 2.429 2.155 5.735 5.615 0.7622
[2,] 185.212 233.695 112.800 365.212 273.543 581.343 590.195 140.6861
[3,] 196.997 238.027 133.457 338.270 235.919 628.190 619.827 196.8448
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.7447 1.387 1.563 2.205 1.577 0.6869 7.839 8.302
[2,] 254.4558 173.009 167.216 242.979 184.069 85.9764 1144.187 1398.981
[3,] 172.6938 176.537 198.908 269.059 157.264 78.3019 966.969 1377.562
[,98]
[1,] 3.536
[2,] 660.057
[3,] 749.041
[1] "--- VAR model 2017-10-05 18:01:00 completed"
[1] "Completed training sample: 2017-10-05 18:01:00 - 2017-10-06 02:00:00"
[1] "SpVAR; training sample: 2017-10-05 18:31:00 - 2017-10-06 02:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.4435 1.994 1.692 -3.824
1.8627 1.950 -4.322 -4.511
0.8002 2.075 -2.953 -2.295
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.8443 1.7585 0.1355 3.8875
2.1214 -1.0691 -0.1462 -1.3011
-7.7956 0.7564 0.8959 -0.1714
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6934 0.144 -0.3520 0.04726
-0.9878 2.639 -0.3407 0.22859
-0.1347 -1.157 0.1651 -0.71184
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6858 2.1099 1.856 -0.66480
-1.3952 5.1326 1.549 0.57793
-0.8310 0.4753 2.826 0.07868
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.2747 1.999 -13.020 -6.617
2.2796 2.152 4.912 -3.665
-0.6391 2.008 9.176 -1.402
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.596 1.545 -7.666 -6.380
-7.338 1.400 -13.078 -3.541
2.195 2.898 -16.113 -2.501
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9713 -2.589 -3.630 4.4893
-1.4959 -5.922 1.118 -0.3321
0.3129 -5.225 -6.837 0.1671
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-2.595 2.2365 -0.6768 -2.9025
-3.170 1.0596 -5.7052 -2.5554
-3.683 -0.7278 -2.0619 0.4336
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.3443 -1.372 -0.09652 -1.117
-1.8743 -5.203 2.20509 -3.298
-0.1179 -3.082 -7.67650 -1.779
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.282 0.9909 1.3331 0.7394
-1.268 -0.6721 2.1037 0.1142
2.375 4.1853 0.5966 0.2015
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.677 -0.4947 -5.1880 2.106
-2.241 0.4805 1.9035 -3.075
2.321 1.2220 -0.7754 1.517
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.470 -0.80307 -0.4736 1.1832
-1.141 -0.01176 -2.2781 1.7955
1.122 -0.08681 -2.3844 -0.8223
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.7516 -0.9132 -0.2139 -0.08276
0.9868 2.1909 1.4671 0.40252
3.3046 2.1105 1.4411 0.47041
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5528 -0.6077 -3.7867 -1.9848
-0.3646 -2.1341 1.0427 0.2934
-0.3157 3.1637 0.2878 -1.6282
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.8421 3.009 -0.50841 -0.4012
-2.8122 3.869 0.36092 5.9281
0.7126 2.337 -0.03222 -4.5400
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.08384 -0.5412 0.6270 1.7052
-0.33943 0.5667 0.3564 -0.8188
1.27464 0.5712 0.5730 1.5925
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.141 0.4949 -2.0550 1.2413
-3.099 0.9265 2.2372 2.2152
1.568 -0.4178 -0.0404 -0.1941
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.884 0.282802 1.5531 0.1667
4.056 -0.760021 1.0530 1.8484
-1.328 -0.002273 0.3193 0.2016
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.809 1.643 -7.131 -2.0326
2.750 4.297 -1.552 -0.6255
-3.369 -2.829 -1.988 0.6571
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.5222 0.98496 -0.4734 -0.453
-2.4881 0.05722 -4.1177 -0.166
0.1726 1.55097 -0.4496 1.304
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.9172 0.3520 -1.1333 -0.79160
-0.5970 0.1705 0.2609 0.15470
-3.4183 -1.1545 0.6518 0.03777
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
0.1146 1.601 2.649 -7.4760
-0.5411 2.619 -1.653 0.5426
1.6371 1.611 3.579 -4.0315
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.975670 0.26157 0.58277 0.97822
0.374699 0.64567 0.19161 0.58166
-0.007186 0.04786 0.01885 0.00318
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.062 -0.8543 0.43136 115.7
1.975 1.1557 0.01475 108.0
1.033 0.2302 0.35678 111.9
rnd_95776.volume rnd_95787.volume
5.511 -3.604
8.688 -6.206
-4.999 -2.070
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.926 1.504 5.602 1.966 2.689 0.7346 1.032 2.294 2.711 2.239 1.575
[2,] 2.587 1.885 6.725 2.907 3.796 0.9249 1.226 2.811 3.424 3.118 2.152
[3,] 2.926 2.196 7.693 3.909 4.576 1.0671 1.403 3.067 3.910 3.530 2.445
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.796 1.562 2.157 1.851 2.142 2.377 2.476 6.320 3.139 4.640 1.953
[2,] 2.664 1.843 2.990 2.466 2.702 3.255 3.461 8.020 4.237 5.593 2.355
[3,] 3.134 2.102 3.536 3.038 3.219 3.970 4.021 8.849 5.333 6.276 2.572
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.523 2.480 1.029 2.210 2.193 2.506 2.120 1.119 1.924 2.232 1.251
[2,] 9.561 3.644 1.257 3.529 3.527 2.962 3.110 1.389 2.800 2.719 1.651
[3,] 11.224 4.883 1.417 5.065 5.037 3.372 4.065 1.653 3.796 3.111 1.915
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.726 2.549 2.517 2.091 1.941 2.180 0.725 1.674 0.6354 2.131 1.707
[2,] 3.581 3.640 3.380 2.566 2.614 2.686 0.865 1.989 0.8067 2.612 2.755
[3,] 4.342 4.459 3.840 3.024 3.078 3.140 1.036 2.189 0.9172 3.084 3.269
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.597 0.9292 1.860 2.058 2.945 1.565 2.004 2.580 0.9922 2.177 1.808
[2,] 2.094 1.1297 2.737 2.533 3.549 1.926 3.121 3.002 1.2255 3.045 2.784
[3,] 2.543 1.2905 3.344 2.933 3.985 2.104 3.874 3.378 1.4357 3.800 3.288
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.638 1.211 1.971 0.5570 2.119 0.9643 1.798 1.818 1.841 2.222 0.7643
[2,] 2.451 2.160 2.455 0.6468 2.701 1.1040 2.239 2.097 2.495 3.276 0.9055
[3,] 2.986 2.895 2.770 0.7662 3.375 1.2465 2.599 2.346 2.937 3.747 1.0527
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.890 1.793 2.188 0.9246 2.127 1.863 2.909 2.926 2.600 2.148 1.555
[2,] 2.906 2.168 3.484 1.1447 2.535 2.487 3.507 3.900 3.059 3.628 2.981
[3,] 3.328 2.446 4.203 1.2731 2.906 2.852 4.039 4.505 3.477 4.261 3.714
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7109 1.594 1.431 1.711 1.424 1.428 0.8277 1.652 1.452 4.159 4.171
[2,] 0.8713 2.445 1.709 2.506 1.701 1.754 0.9743 2.394 1.841 4.932 4.886
[3,] 0.9598 3.750 1.946 3.514 1.945 2.042 1.1766 2.848 2.174 5.672 5.462
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5136 0.4969 0.8582 0.9388 1.678 1.117 0.5090 6.148 6.194 2.553
[2,] 0.7946 1.0764 1.0930 1.1672 1.966 1.412 0.6177 7.997 8.733 3.834
[3,] 1.0664 1.2561 1.2911 1.3893 2.315 1.601 0.7039 8.983 10.484 5.082
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.445 1.91 7.113 2.497 3.415 0.9328 1.311 2.913
[2,] 339.809 223.60 731.994 421.065 526.936 110.5579 130.264 319.506
[3,] 269.174 221.43 734.977 514.158 502.775 104.6789 134.260 241.590
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.443 2.844 2.0 2.281 1.983 2.739 2.35 2.72 3.019
[2,] 411.283 426.797 288.3 387.089 192.690 407.340 320.61 323.93 437.293
[3,] 371.623 325.435 228.3 324.822 198.800 371.376 348.98 344.20 447.198
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.144 8.025 3.986 5.892 2.48 7.013 3.149 1.306
[2,] 475.579 971.178 559.870 614.395 258.76 1535.317 525.283 142.014
[3,] 402.831 736.052 637.183 560.205 203.46 1156.550 639.283 128.617
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.806 2.784 3.183 2.692 1.421 2.443 2.834 1.588
[2,] 541.193 543.347 310.723 447.775 162.072 400.150 305.611 212.098
[3,] 714.856 707.478 317.051 514.891 176.123 504.236 297.280 190.791
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.461 3.237 3.196 2.655 2.464 2.768 0.9206 2.126
[2,] 456.902 511.183 443.814 292.712 344.451 308.744 92.8164 211.360
[3,] 483.180 506.539 358.667 314.821 319.659 319.908 112.1085 179.549
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.8069 2.707 2.168 2.028 1.18 2.361 2.614 3.739
[2,] 97.7528 296.993 425.430 266.338 126.39 395.013 290.302 389.828
[3,] 85.8631 322.691 345.973 284.032 122.75 377.957 291.121 356.545
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 1.987 2.545 3.277 1.26 2.765 2.296 2.08 1.538 2.503
[2,] 220.938 470.784 301.881 141.50 418.773 416.393 358.68 351.853 287.976
[3,] 166.555 451.445 304.819 147.13 447.200 344.308 335.60 379.024 252.185
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.7073 2.691 1.225 2.284 2.308 2.338 2.822 0.9706
[2,] 64.6820 329.565 105.732 262.475 205.680 331.142 473.473 95.5008
[3,] 80.7904 398.158 113.860 259.552 206.924 305.073 358.035 105.6217
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 2.4 2.277 2.779 1.174 2.701 2.366 3.694 3.716 3.302
[2,] 434.4 239.542 533.341 132.774 271.308 323.997 385.189 507.100 317.175
[3,] 318.9 222.869 462.412 109.617 279.504 274.662 394.210 443.795 325.243
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 2.728 1.974 0.9027 2.024 1.817 2.173 1.808 1.813
[2,] 575.235 500.234 99.0981 364.742 183.972 360.250 183.153 200.185
[3,] 439.426 435.806 79.1950 559.412 182.953 484.492 185.421 206.032
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.051 2.098 1.844 5.281 5.296 0.6522 0.631 1.09
[2,] 101.116 340.841 222.584 521.658 500.749 119.2798 187.834 133.16
[3,] 129.772 303.557 227.549 550.831 480.276 139.9147 127.351 135.19
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.192 2.131 1.419 0.6464 7.807 7.865 3.242
[2,] 136.431 201.514 170.020 68.8450 1005.894 1210.953 562.633
[3,] 148.247 240.290 148.377 66.3801 805.175 1141.416 656.284
[1] "--- VAR model 2017-10-05 18:31:00 completed"
[1] "Completed training sample: 2017-10-05 18:31:00 - 2017-10-06 02:30:00"
[1] "SpVAR; training sample: 2017-10-05 19:01:00 - 2017-10-06 03:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.1079 2.23230453 12.2947 0.2527
-2.4812 -0.00006329 -0.8839 -2.2455
0.6705 1.66879562 10.1467 -3.4841
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.8365 -0.6453 0.3359 3.4482
1.9269 0.7830 0.7214 0.4048
0.7535 -0.6839 -0.6558 1.4369
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.969 2.262 1.902 3.2829
4.502 4.074 2.732 -1.1079
3.322 3.361 2.192 0.2277
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.7324 2.116 4.291 -2.761
0.1068 2.897 1.868 2.146
0.4902 1.361 0.732 2.825
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.6194 0.4403 -1.006 -6.8394
-0.5535 4.0289 -1.536 -6.8919
-1.9344 0.5218 -1.706 0.6191
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.273 1.662 -14.030 -0.119
-2.805 2.686 5.917 -1.222
9.056 3.311 -1.388 2.696
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.1960 -0.9535 0.47605 -1.788
-0.5655 -2.7722 -2.29084 -1.682
1.0816 1.6603 -0.09934 1.053
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.781 2.4239 2.01969 1.624
-3.313 0.7446 0.08021 -1.143
-2.706 0.9831 -4.56259 1.290
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.553 -0.3726 2.2024 1.331
-1.030 -0.5253 2.5646 1.634
-1.701 0.8453 0.9636 -1.855
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6286 2.5980 1.4659 -0.03401
3.0263 0.4568 1.7192 -0.20256
2.4011 1.2187 0.8402 0.69561
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.8338 1.1163 0.1078 -2.121
-1.6481 -0.3540 0.2451 1.728
0.4543 -0.3879 -0.1353 1.191
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.5552 2.3917 -4.118 2.5168
-2.3169 0.5754 -4.001 -0.6511
-0.2629 0.7585 -1.058 4.0697
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.4654 -1.789 -0.2864 2.0928
-0.6341 1.288 -0.7926 0.6641
2.4000 -1.792 -4.5873 2.7378
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7246 0.6467 6.0487 4.8027
1.3800 -2.4781 0.2599 2.6350
0.4021 -2.6255 -3.0045 -0.6533
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.289 1.0608 1.22742 0.5798
6.421 0.3542 0.54819 2.1329
-0.610 1.2135 -0.08772 5.5807
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8959 -2.1359 -2.4156 1.1371
-0.7183 0.9512 0.7637 -3.2553
-0.4663 1.7437 2.8053 0.3324
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.861 1.04428 -1.0936 4.2010
-4.185 -0.37714 -0.9311 0.2888
1.603 -0.03269 2.5254 1.7690
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.4552 0.3746 0.4862 1.253
0.5276 1.2171 -1.5479 -2.610
-0.5049 -0.8287 1.2493 1.236
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.6981 6.608 3.1000 -0.2541
-0.5899 0.252 0.9565 3.9205
3.2570 2.011 0.1924 -2.0182
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.420 0.73891 0.6814 2.041
4.444 -0.62616 3.8136 0.213
-1.939 0.02897 5.1630 0.804
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.293 0.7114 -1.9639 0.6128
6.408 2.3434 -2.1723 1.1871
4.222 1.5458 0.7509 1.2314
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.4438 2.1534 -0.9837 -7.482
0.9475 -0.1761 1.0307 -3.642
-0.1830 1.6517 1.7920 -6.405
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.5603 0.06236 -1.01872 -0.5154
0.1981 -0.19411 -0.52572 -0.6224
-0.5797 -0.18681 -0.06313 0.2304
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.6296 1.3273 -0.5784 120.4
0.7154 0.5114 -1.0080 124.4
1.6368 0.5989 -1.0015 123.9
rnd_95776.volume rnd_95787.volume
-4.021 0.2147
-11.173 -1.8675
-10.583 1.9738
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.742 1.413 4.866 1.820 2.484 0.6735 0.9803 2.136 2.395 1.982 1.455
[2,] 2.374 1.806 5.880 2.769 3.549 0.8192 1.1593 2.616 3.020 2.822 1.983
[3,] 2.655 2.083 6.677 3.687 4.353 0.9385 1.3248 2.859 3.530 3.323 2.244
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.626 1.533 1.971 1.690 1.944 2.280 2.305 6.236 2.981 4.053 1.737
[2,] 2.337 1.752 2.849 2.368 2.544 3.054 3.277 7.717 4.002 4.937 2.137
[3,] 2.779 1.980 3.324 2.803 3.019 3.702 3.904 8.509 4.982 5.542 2.363
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.695 2.215 0.8614 2.098 2.041 2.251 1.957 1.035 1.711 2.064 1.158
[2,] 8.122 3.408 1.1076 3.206 3.224 2.679 2.940 1.254 2.535 2.531 1.483
[3,] 9.789 4.371 1.2581 4.436 4.544 2.972 3.816 1.481 3.390 2.854 1.746
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.600 2.383 2.293 1.892 1.764 1.924 0.6626 1.593 0.5486 1.995 1.651
[2,] 3.388 3.429 3.047 2.312 2.412 2.345 0.7779 1.908 0.7012 2.449 2.701
[3,] 4.087 4.272 3.533 2.701 2.802 2.749 0.9465 2.096 0.8059 2.900 3.153
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.470 0.8515 1.663 1.848 2.724 1.433 1.794 2.358 0.9042 2.005 1.662
[2,] 1.963 1.0280 2.549 2.229 3.293 1.796 2.829 2.745 1.0538 2.744 2.522
[3,] 2.360 1.1703 3.135 2.556 3.694 1.970 3.501 3.152 1.2377 3.409 3.000
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.534 1.131 1.695 0.5467 2.009 0.8995 1.639 1.712 1.738 2.090 0.6940
[2,] 2.231 2.052 2.184 0.6402 2.571 1.0657 2.052 2.010 2.320 3.119 0.8366
[3,] 2.809 2.721 2.476 0.7349 3.195 1.1688 2.383 2.215 2.683 3.589 0.9736
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.75 1.611 2.070 0.8522 1.984 1.727 2.553 2.753 2.400 1.990 1.464
[2,] 2.70 1.962 3.350 1.0521 2.383 2.355 3.141 3.684 2.857 3.431 2.721
[3,] 3.11 2.229 3.987 1.1845 2.722 2.652 3.699 4.255 3.233 4.063 3.413
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5956 1.466 1.395 1.577 1.336 1.360 0.7564 1.468 1.379 3.895 3.694
[2,] 0.7376 2.142 1.630 2.228 1.599 1.672 0.9051 2.211 1.749 4.604 4.447
[3,] 0.8189 3.437 1.862 3.166 1.841 1.958 1.0833 2.612 2.056 5.226 5.077
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.4849 0.4483 0.7404 0.8005 1.561 1.003 0.4842 6.404 5.962 2.283
[2,] 0.7265 0.9360 0.9228 0.9806 1.816 1.265 0.5858 8.220 8.159 3.551
[3,] 0.9526 1.0891 1.0715 1.1610 2.154 1.446 0.6613 9.320 9.744 4.580
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.212 1.794 6.179 2.311 3.154 0.8553 1.245 2.712
[2,] 325.496 227.156 666.494 421.281 511.889 94.1414 124.943 304.847
[3,] 239.971 209.343 638.869 491.428 508.875 92.4436 129.464 232.934
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.041 2.516 1.848 2.065 1.946 2.502 2.146 2.469
[2,] 371.665 405.685 271.849 338.826 171.302 415.277 334.858 331.357
[3,] 368.868 354.318 212.238 303.507 186.082 346.063 302.985 328.235
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.896 2.927 7.919 3.785 5.146 2.206 5.962 2.813
[2,] 410.164 470.342 917.762 539.171 569.386 251.172 1337.945 522.919
[3,] 422.390 428.366 723.668 598.910 508.102 203.779 1103.257 552.483
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.094 2.664 2.592 2.859 2.485 1.314 2.172 2.621
[2,] 140.588 489.333 503.963 293.362 443.019 143.107 377.599 295.879
[3,] 120.472 619.059 646.272 259.729 491.038 158.902 454.410 265.933
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.47 3.302 3.026 2.912 2.402 2.24 2.443 0.8414
[2,] 186.96 438.551 497.855 405.117 268.306 331.96 270.854 82.2912
[3,] 186.36 461.426 514.346 361.238 281.848 287.82 289.635 108.8384
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.023 0.6966 2.533 2.096 1.867 1.081 2.111 2.347
[2,] 212.050 88.1732 286.736 431.523 262.563 116.296 390.187 251.456
[3,] 174.978 80.2151 313.667 328.427 264.450 112.915 368.421 252.507
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.459 1.819 2.279 2.994 1.148 2.546 2.111 1.948
[2,] 373.454 218.528 441.618 283.786 109.271 378.165 382.799 327.140
[3,] 337.940 163.410 416.315 312.479 131.074 408.339 328.069 344.583
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.437 2.153 0.6943 2.551 1.142 2.081 2.174 2.207
[2,] 345.616 278.179 67.2388 323.799 115.384 249.127 212.394 310.120
[3,] 360.681 235.230 72.8614 383.138 96.910 244.896 187.942 272.046
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.655 0.8813 2.222 2.045 2.628 1.082 2.519 2.193
[2,] 467.258 94.3204 415.238 226.062 531.772 124.561 266.447 323.171
[3,] 358.490 100.5323 311.253 213.856 436.563 109.880 265.880 246.272
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.242 3.495 3.047 2.527 1.859 0.7564 1.862 1.772
[2,] 369.445 494.274 312.840 564.296 462.992 87.8372 315.270 170.117
[3,] 394.421 429.859 305.715 439.564 415.945 71.8195 542.587 181.831
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.002 1.697 1.727 0.9605 1.864 1.751 4.946 4.691
[2,] 317.686 177.253 196.404 100.3429 333.765 217.257 495.569 499.616
[3,] 454.144 184.426 205.564 120.1891 280.947 218.280 499.377 494.677
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.6157 0.5693 0.9402 1.017 1.982 1.273 0.6149 8.131
[2,] 109.2211 165.8694 111.2011 114.351 187.469 155.563 66.5603 1040.490
[3,] 124.3879 112.4363 109.9503 125.487 234.013 141.475 61.9667 886.764
[,97] [,98]
[1,] 7.571 2.898
[2,] 1124.404 549.228
[3,] 1075.577 583.951
[1] "--- VAR model 2017-10-05 19:01:00 completed"
[1] "Completed training sample: 2017-10-05 19:01:00 - 2017-10-06 03:00:00"
[1] "SpVAR; training sample: 2017-10-05 19:31:00 - 2017-10-06 03:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.375 1.723 -7.991 -1.2449
-3.241 1.383 11.028 -3.8452
2.891 -1.013 -3.155 -0.6093
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.003 1.5746 -1.500350 2.6180
2.117 -0.6942 0.004116 -0.8525
-1.397 -0.5331 0.518848 -1.8830
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.81529 -1.0519 -0.3123 0.637
2.55420 3.3811 1.0370 1.099
0.03753 0.7752 3.1603 1.355
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.653 -4.52174 0.1980 2.295
1.422 2.39944 -1.2438 -1.540
1.476 -0.05195 0.6359 -2.431
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.3645 -1.597 -2.964 -6.4087
-1.4733 -3.470 1.125 -2.3437
-0.9776 -3.733 5.217 0.6166
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.1315 0.4764 -9.341 -9.674
-1.1702 1.7672 -18.352 4.430
-0.4698 -1.8088 14.587 -5.860
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.2527 -6.904 2.163 -4.3031
-1.4248 2.748 -9.630 1.2763
0.2381 -7.497 -2.996 -0.7125
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
1.054 2.1667 0.4432 1.479
-4.805 -0.7666 -1.8861 -1.970
-1.788 1.1647 -6.5829 2.465
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.9677 -0.3217 -3.0387 -3.552
0.2009 1.8056 1.5001 1.375
-2.6778 -4.9660 0.3176 0.783
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.7271 0.8341 0.04673 -0.8468
0.8083 5.8584 -0.53303 1.2854
0.1111 1.7955 -2.42555 0.7698
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.9008 0.8162 -0.6190 2.258
0.4457 0.5004 -6.4686 -3.150
1.3344 0.5358 0.1227 -6.460
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.5886 1.6212 -4.231 4.201
-0.7252 -0.7098 -3.828 -1.116
-1.4512 -0.1864 -2.103 -4.495
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.563 0.6483 -0.7030 5.4471
2.336 -1.9200 0.2774 4.5190
-2.730 -1.8801 4.0631 0.6379
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1281 -1.2857 -0.8809 -1.981
0.9438 2.9915 -1.1022 1.850
0.4874 -0.9175 1.4463 3.940
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.7638 1.3999 0.6500 -2.841
0.4760 0.1626 0.3480 3.145
-0.7228 2.5150 -0.2059 2.873
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.81923 -1.983 1.5059 -3.50389
0.09198 -2.108 -0.3274 -0.02408
-0.36574 1.775 2.9943 -0.26941
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.228 -1.1505 5.591 1.2479
-1.011 1.0041 -4.167 0.4272
-4.206 0.5739 -1.476 -1.2421
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.558 -0.5516 -0.0708 0.947
-4.834 0.8869 -1.7373 -3.464
-1.714 -0.2882 2.5422 1.713
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.046 -0.7742 -4.284 -0.7383
4.138 1.1390 -3.579 -0.5965
-1.474 -1.3058 -4.134 -6.5216
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.042 0.6087 -3.8048 -1.5461
-3.414 -0.2442 -0.6143 2.4792
-1.824 0.4141 -1.2307 -0.1192
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.73086 2.0370 -0.6609 -1.3701
-0.04858 1.0147 0.1535 0.3248
-3.20437 0.7304 1.1427 0.7777
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.004 1.5123 0.2028 2.312
3.396 1.4066 4.0523 3.307
5.622 -0.2875 -3.9374 3.645
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4719 -0.003016 2.2470 1.870
0.1430 1.356204 -1.2597 -1.399
0.9762 -0.692306 0.1047 1.021
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.3497 1.5774 -1.2035 95.46
1.1386 1.6270 -0.1354 106.28
0.3669 0.1078 -0.9188 102.63
rnd_95776.volume rnd_95787.volume
2.4167 -10.546
0.1016 4.044
-15.6555 -4.150
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.568 1.297 4.342 1.683 2.197 0.5951 0.8585 2.083 2.234 1.806 1.342
[2,] 2.098 1.617 5.349 2.556 3.082 0.7490 1.0200 2.467 2.762 2.677 1.775
[3,] 2.306 1.835 6.066 3.318 3.715 0.8430 1.1771 2.634 3.164 3.138 2.046
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.446 1.388 1.816 1.583 1.870 2.043 2.104 5.950 2.880 3.726 1.711
[2,] 2.196 1.629 2.614 2.233 2.374 2.779 2.985 7.336 3.750 4.484 2.083
[3,] 2.615 1.819 3.127 2.652 2.762 3.370 3.577 8.116 4.574 5.183 2.287
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.903 2.115 0.7871 1.965 1.977 1.943 1.825 0.960 1.626 1.839 1.072
[2,] 7.318 3.112 1.0069 2.814 2.906 2.321 2.703 1.156 2.353 2.278 1.362
[3,] 8.807 3.974 1.1287 4.038 4.064 2.640 3.449 1.355 3.043 2.603 1.613
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.154 2.128 2.111 1.820 1.565 1.771 0.5764 1.455 0.4816 1.726 1.588
[2,] 2.950 3.018 2.682 2.068 2.138 2.164 0.6897 1.705 0.6243 2.197 2.405
[3,] 3.699 3.605 3.113 2.380 2.535 2.480 0.7960 1.941 0.7237 2.569 2.855
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.406 0.7905 1.590 1.541 2.513 1.366 1.568 2.138 0.7908 1.742 1.511
[2,] 1.812 0.9643 2.429 1.947 3.044 1.624 2.466 2.495 0.9383 2.420 2.267
[3,] 2.173 1.0876 2.878 2.213 3.404 1.801 3.194 2.822 1.0970 3.091 2.661
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.374 0.9811 1.573 0.5361 1.792 0.8627 1.466 1.539 1.557 1.759 0.6063
[2,] 2.041 1.8610 1.968 0.6149 2.226 1.0398 1.863 1.762 2.022 2.756 0.7237
[3,] 2.530 2.5063 2.267 0.7000 2.841 1.1371 2.131 1.923 2.400 3.173 0.8635
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.575 1.504 1.861 0.7791 1.789 1.540 2.303 2.464 2.191 1.822 1.284
[2,] 2.520 1.866 3.024 0.9784 2.117 2.103 2.943 3.451 2.585 3.062 2.473
[3,] 2.921 2.083 3.654 1.1115 2.425 2.346 3.300 3.866 2.956 3.662 3.053
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5429 1.245 1.247 1.430 1.247 1.225 0.5970 1.324 1.239 3.539 3.201
[2,] 0.6647 1.855 1.465 1.901 1.449 1.501 0.7344 2.026 1.578 4.160 3.948
[3,] 0.7488 2.966 1.660 2.814 1.665 1.772 0.8746 2.401 1.812 4.811 4.599
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.4330 0.3553 0.6602 0.7310 1.369 0.8491 0.4481 7.036 5.575 2.043
[2,] 0.6449 0.8318 0.8359 0.9123 1.590 1.0671 0.5719 9.012 7.524 3.088
[3,] 0.8474 0.9871 0.9682 1.0695 1.875 1.2289 0.6378 10.397 9.303 4.080
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.991 1.647 5.513 2.137 2.789 0.7557 1.09 2.646
[2,] 270.803 187.712 607.394 373.905 420.122 88.4120 107.04 256.665
[3,] 185.965 168.703 556.154 411.220 403.412 75.2008 114.19 179.545
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.837 2.293 1.704 1.836 1.763 2.306 2.011 2.375
[2,] 315.723 384.032 225.824 321.320 165.737 365.346 305.923 284.239
[3,] 299.973 318.434 197.942 275.864 157.388 333.621 278.296 274.284
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.594 2.672 7.555 3.657 4.731 2.172 4.957 2.686
[2,] 366.333 411.631 834.100 466.861 484.942 230.860 1203.125 443.580
[3,] 370.464 383.096 675.033 508.978 505.195 183.548 952.521 480.298
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.9994 2.495 2.511 2.468 2.318 1.219 2.065 2.335
[2,] 122.0646 391.620 413.853 246.550 387.530 125.076 330.677 261.294
[3,] 99.1443 562.953 552.216 244.712 416.432 137.513 374.890 244.865
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.361 2.735 2.702 2.681 2.311 1.987 2.248 0.7319
[2,] 163.369 391.749 416.094 321.515 190.806 283.149 241.884 73.6387
[3,] 167.950 433.816 383.072 307.246 229.159 264.654 235.467 77.2289
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.848 0.6115 2.192 2.017 1.785 1.004 2.019 1.957
[2,] 172.585 77.2164 264.173 351.064 222.047 107.353 357.023 231.186
[3,] 180.484 71.1457 258.609 298.882 233.426 97.775 299.866 204.546
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.191 1.735 1.992 2.715 1.004 2.212 1.919 1.745
[2,] 333.868 170.792 369.885 250.030 98.142 326.368 328.554 293.323
[3,] 296.036 151.372 394.473 256.084 110.468 373.738 270.843 290.651
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.246 1.998 0.6808 2.276 1.096 1.862 1.955 1.978
[2,] 307.367 229.672 58.5295 256.695 112.812 223.368 166.629 250.608
[3,] 326.288 219.015 65.0215 343.124 89.460 200.961 149.780 251.334
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.234 0.7699 2.0 1.91 2.363 0.9894 2.271 1.956 2.925
[2,] 412.470 76.8064 382.4 214.74 463.246 115.0220 219.964 278.387 356.127
[3,] 305.350 91.5696 287.0 179.70 398.619 102.5274 229.860 202.017 289.946
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 3.129 2.782 2.313 1.63 0.6894 1.581 1.584 1.816
[2,] 469.729 266.435 478.314 410.76 74.5283 267.101 149.243 243.389
[3,] 338.372 278.845 390.574 348.02 67.0474 449.910 151.739 403.416
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.584 1.555 0.7581 1.682 1.573 4.494 4.065 0.5499
[2,] 143.262 168.713 83.1329 297.889 190.010 425.097 449.049 92.8879
[3,] 159.371 182.972 92.3166 250.644 173.343 469.521 458.416 106.8511
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.4512 0.8383 0.9282 1.738 1.078 0.569 8.935 7.08
[2,] 146.1783 99.6397 106.1006 157.206 125.629 69.069 1094.456 981.96
[3,] 103.3020 94.9899 108.4786 193.139 118.480 54.876 1007.631 1063.64
[,98]
[1,] 2.594
[2,] 450.005
[3,] 518.539
[1] "--- VAR model 2017-10-05 19:31:00 completed"
[1] "Completed training sample: 2017-10-05 19:31:00 - 2017-10-06 03:30:00"
[1] "SpVAR; training sample: 2017-10-05 20:01:00 - 2017-10-06 04:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.995 1.868 2.198 -3.041
3.383 1.953 -8.104 -3.104
1.725 2.526 -7.659 -2.876
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.3375 0.4561 0.2108 1.7272
-3.0517 -1.1178 0.6321 -0.8292
3.5109 -0.3829 0.2839 -0.8674
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.7943 -0.6857 -1.2225 -1.469
-0.9388 2.0756 1.0848 2.916
-1.8880 -3.9431 0.3418 -0.474
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.9809 5.741 3.01271 -0.7628
0.5444 2.423 0.03118 3.1626
1.5290 1.364 3.08673 2.1055
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.04946 2.5397 -2.439 0.2708
5.50442 6.5683 -3.521 -3.3645
6.61254 0.7606 3.385 3.3809
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
1.857 3.6011 -6.391 -8.184
-5.950 0.9383 2.985 -1.491
-5.036 0.4985 -10.362 1.681
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.71280 -7.613 -3.207 4.4878
-0.95379 -1.698 -4.945 3.9591
-0.06234 4.069 5.483 -0.1214
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.029 1.4698 -0.7012 -1.8186
-1.638 -0.2876 -2.2787 0.9819
-3.824 0.7226 -6.4987 0.9608
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.1138 -3.412 -0.4158 -3.1543
0.6517 -5.079 -4.4968 1.7849
-1.6440 -1.290 1.8120 0.8287
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.4130 0.6725 0.7134 0.11301
0.5764 -0.4520 2.0517 -0.08128
-0.7672 3.1358 -2.2801 0.73063
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9964 0.8792 1.931 1.0779
1.4320 0.2997 1.265 -0.9692
-1.0018 0.8141 2.375 2.4687
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.6425 -1.7130 3.607 -0.6012
-3.1652 0.8735 1.511 -3.2192
-0.3756 1.7112 -5.838 0.9828
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.921 1.2752 0.5597 0.5952
-3.635 0.6741 7.6975 -0.7664
-1.159 -0.6911 -1.0571 -0.5012
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.8405 -0.7957 -1.883 -2.9909
1.1448 5.8838 3.505 0.8223
-0.2826 4.9492 2.391 4.1793
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.06669 1.7304 -0.54466 8.710
-2.85243 3.2760 0.34008 2.075
3.11074 -0.6959 0.03055 -3.516
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.8517 3.7932 0.7090 1.258
-0.1839 -0.4857 -1.6330 1.530
0.2724 -0.2690 0.4851 -2.302
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2860 -0.6566 1.3486 0.4273
0.1403 1.3244 1.3376 1.7473
-4.6834 -0.9640 0.4413 0.9631
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.8599 1.6809 3.1863 1.496
-2.0122 -0.8728 0.4567 3.021
-0.8611 0.6734 3.4231 1.261
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.815 1.911 4.134 1.779
8.511 7.837 -2.245 2.635
1.970 1.825 -2.334 3.589
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.783 0.3030 -3.7242 0.4693
5.006 0.1451 0.4318 -0.1888
3.762 0.7514 5.0491 0.9412
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.961 -0.17264 1.499 -1.01275
-1.114 0.06013 2.785 0.07588
6.311 0.61109 3.435 -0.27279
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.359 1.585 -6.41082 -10.084
2.440 2.572 -0.06151 6.579
3.754 2.713 0.05408 -4.592
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.01222 -0.1849 -0.3598 0.029810
-0.06052 0.7153 0.3330 -0.003595
0.61057 -0.5068 0.2465 0.205786
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5627 -1.0792 0.686600 118.0
4.2697 1.1051 0.001389 111.5
-2.2374 0.5025 -0.171504 113.1
rnd_95776.volume rnd_95787.volume
23.282 -8.3580
1.991 0.1878
-16.711 -0.6510
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.458 1.199 3.932 1.503 2.095 0.5556 0.8229 1.815 2.126 1.596 1.177
[2,] 1.915 1.439 4.932 2.277 2.937 0.6937 0.9647 2.163 2.555 2.397 1.561
[3,] 2.188 1.655 5.533 3.052 3.471 0.7659 1.1085 2.376 2.902 2.765 1.768
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.375 1.311 1.688 1.503 1.588 1.943 1.942 5.597 2.716 3.348 1.551
[2,] 2.050 1.549 2.478 2.126 2.005 2.591 2.751 6.999 3.499 4.143 1.932
[3,] 2.420 1.694 2.867 2.476 2.363 3.042 3.281 7.955 4.204 4.827 2.150
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.614 2.007 0.7483 1.677 1.872 1.822 1.603 0.8665 1.512 1.825 1.023
[2,] 6.776 2.927 0.9608 2.494 2.768 2.154 2.384 1.0626 2.216 2.269 1.299
[3,] 8.089 3.718 1.0748 3.595 3.786 2.471 3.171 1.2308 2.925 2.533 1.539
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.012 1.938 1.896 1.597 1.418 1.404 0.5435 1.326 0.4040 1.632 1.490
[2,] 2.719 2.712 2.467 1.872 1.971 1.792 0.6466 1.528 0.5519 2.049 2.206
[3,] 3.423 3.206 2.888 2.117 2.330 2.060 0.7322 1.708 0.6313 2.329 2.604
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.215 0.7667 1.518 1.324 2.361 1.273 1.462 1.973 0.7438 1.546 1.383
[2,] 1.587 0.9044 2.301 1.658 2.856 1.498 2.288 2.295 0.8894 2.198 2.103
[3,] 1.891 1.0301 2.656 1.902 3.140 1.654 2.977 2.555 1.0446 2.803 2.521
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.202 0.9633 1.486 0.4796 1.632 0.8806 1.430 1.375 1.400 1.568 0.5831
[2,] 1.831 1.7268 1.829 0.5569 2.098 1.0398 1.829 1.556 1.910 2.600 0.6868
[3,] 2.315 2.3549 2.133 0.6351 2.592 1.1445 2.053 1.727 2.237 2.991 0.8113
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.402 1.386 1.694 0.6932 1.613 1.400 1.960 2.190 1.925 1.659 1.171
[2,] 2.310 1.627 2.719 0.8834 1.889 1.871 2.523 3.104 2.373 2.851 2.216
[3,] 2.657 1.846 3.385 1.0161 2.190 2.148 2.842 3.506 2.755 3.341 2.727
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5076 1.132 1.189 1.268 1.183 1.092 0.5245 1.163 1.145 3.346 2.962
[2,] 0.6195 1.664 1.395 1.724 1.394 1.335 0.6581 1.862 1.434 3.942 3.678
[3,] 0.6959 2.677 1.540 2.544 1.555 1.605 0.7671 2.227 1.666 4.452 4.301
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.3776 0.2976 0.5757 0.6130 1.288 0.7181 0.4309 7.139 4.895 1.992
[2,] 0.5612 0.7057 0.7369 0.7868 1.491 0.8772 0.5310 9.084 6.721 3.007
[3,] 0.7314 0.8427 0.8632 0.9512 1.772 1.0297 0.5900 10.467 8.370 3.833
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 1.852 1.523 4.992 1.909 2.66 0.7055 1.045 2.305 2.7
[2,] 241.179 154.691 578.970 332.544 400.23 80.7418 97.878 228.791 275.5
[3,] 206.078 158.919 487.460 395.170 359.71 63.1040 106.149 191.078 267.4
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.027 1.494 1.746 1.665 2.143 1.909 2.017 2.467
[2,] 347.613 199.317 295.533 160.360 352.745 292.371 237.997 333.224
[3,] 267.776 161.485 249.959 133.420 280.129 246.695 243.162 309.932
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.466 7.107 3.449 4.252 1.969 4.589 2.549 0.9503
[2,] 378.829 816.977 428.805 474.378 223.884 1114.331 414.168 117.1533
[3,] 347.684 734.979 453.199 481.500 183.773 858.683 445.711 93.6400
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 2.129 2.377 2.314 2.036 1.1 1.92 2.318 1.299 2.555
[2,] 359.028 396.456 223.349 343.030 119.6 315.03 261.889 155.527 355.676
[3,] 503.171 502.112 235.403 406.546 120.7 371.15 219.169 160.678 404.161
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 2.461 2.408 2.028 1.801 1.782 0.6902 1.684 0.513
[2,] 368.849 306.680 189.754 265.973 216.509 68.0682 147.822 73.096
[3,] 332.154 292.086 192.309 241.721 197.753 66.7981 148.412 59.582
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 2.072 1.892 1.542 0.9737 1.928 1.681 2.998 1.616
[2,] 240.762 316.295 198.436 93.2357 336.110 194.114 312.477 153.578
[3,] 215.193 268.901 199.977 95.8727 257.906 181.067 253.630 136.360
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 1.856 2.506 0.9445 1.963 1.757 1.526 1.223 1.888
[2,] 342.281 227.699 94.7828 303.721 307.965 268.476 278.601 207.004
[3,] 370.185 218.442 106.5170 338.189 270.265 275.332 311.279 213.417
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.609 2.072 1.118 1.816 1.746 1.777 1.991 0.7404
[2,] 55.028 256.353 107.488 221.719 141.385 252.797 403.204 70.5468
[3,] 59.370 296.006 92.945 181.218 145.996 226.307 287.244 83.9617
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.781 1.76 2.152 0.8803 2.048 1.777 2.489 2.781
[2,] 356.771 165.79 413.316 106.4394 191.414 241.520 308.822 427.738
[3,] 255.537 169.58 392.020 97.6093 215.287 205.061 254.632 316.757
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 2.445 2.106 1.487 0.6446 1.437 1.51 1.61 1.502 1.386
[2,] 269.478 450.751 365.713 69.0522 237.160 141.71 227.25 143.321 149.502
[3,] 272.066 338.654 309.077 61.6051 407.636 126.76 363.54 133.775 173.112
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 0.666 1.477 1.453 4.249 3.762 0.4796 0.3779 0.7311
[2,] 77.277 282.632 167.943 405.096 423.865 80.6991 124.3943 89.4075
[3,] 76.607 237.637 164.777 402.272 433.559 91.1832 89.5525 87.3983
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7784 1.635 0.9119 0.5472 9.066 6.215 2.529
[2,] 95.9131 146.195 97.9348 60.3157 1091.801 895.493 437.867
[3,] 103.8917 186.036 104.8206 50.0191 1011.034 969.762 462.120
[1] "--- VAR model 2017-10-05 20:01:00 completed"
[1] "Completed training sample: 2017-10-05 20:01:00 - 2017-10-06 04:00:00"
[1] "SpVAR; training sample: 2017-10-05 20:31:00 - 2017-10-06 04:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.444 -1.837 -5.598 3.900
-2.226 2.053 -11.998 9.989
-5.292 4.575 -0.413 -4.565
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
3.442 1.2018 2.8268 -6.059
2.614 -0.8898 0.9897 2.640
10.485 0.9771 0.4999 4.401
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.994 2.734 2.1426 1.150
-2.914 -2.545 4.5038 -5.320
3.611 4.055 0.6576 -4.924
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.144 3.8787 5.656 -2.875
2.559 0.1858 2.021 -7.909
3.075 -6.2591 -3.754 -2.532
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.793 -4.456 -8.708 -2.671
1.179 -2.557 13.955 -15.692
-5.130 -2.824 -2.514 4.640
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-6.156 3.2567 -7.779 2.0093
-2.484 1.9710 -2.002 -6.2454
-4.646 -0.6829 -10.897 -0.2063
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.0509 2.257 2.188 2.5487
-0.4703 -8.455 4.019 0.6365
1.0796 3.580 -11.348 -3.8506
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
11.091 0.8643 4.364 -4.582
5.865 -1.4058 5.079 2.840
-3.864 0.7762 3.140 3.273
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2512 4.493 3.965 0.5345
2.4880 1.149 1.173 0.6384
0.3423 10.089 7.139 1.8206
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.770 -1.1317 2.042 0.7380
2.555 4.5142 -3.295 -0.2949
0.960 0.4803 -2.222 0.3353
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.3982 -0.9827 -1.216 5.244
2.6703 0.6357 -3.276 -6.578
-0.1825 0.8197 3.840 -1.292
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.680 0.8915 1.094 -5.3450
-4.688 -0.6761 4.805 0.7338
-2.073 0.2688 -11.630 -3.7688
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.8297 0.289 -2.9252 3.696
0.2057 -0.466 0.9626 3.321
-1.1012 2.272 -1.1877 1.395
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2677 -5.0431 -2.6437 -4.3641
0.9344 -0.4595 -1.4828 -0.5861
-0.2054 -1.8327 -0.9197 -3.6624
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.5462 -2.8415 0.07583 4.7095
-3.7813 -0.1047 0.28822 0.8046
-0.1366 -2.1110 0.37015 -3.6235
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.0312 2.179 0.2104 2.083
-1.2193 1.833 -1.6551 5.120
-0.0638 -1.663 -0.8153 -1.237
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.915 -0.1825 8.918 -1.4486
7.394 1.1017 2.418 0.5864
2.746 0.8314 6.624 0.5938
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.730 1.0039 0.8765 2.394
4.009 1.8849 -0.6085 -1.615
2.242 0.3212 -3.3535 -4.561
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.7724 0.7240 -4.6740 0.09393
1.7992 -0.3395 0.4714 0.59130
0.1221 -3.8095 3.9021 -1.31365
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-0.5122 0.9156 -2.585 3.0708
-2.9160 1.2922 -2.821 -1.2578
0.1190 -1.8976 1.980 -0.2151
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.5956 3.019 -0.5779 -0.4112
-4.9970 1.908 2.1176 -1.4205
-0.1339 2.366 1.1141 0.7720
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.1214 -1.658 11.1268 -2.166
0.5684 1.578 -0.5842 7.623
2.8667 4.095 8.0223 2.919
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.1579 -0.6336 0.89971 0.9020
-0.8022 1.2505 -0.25917 -0.1332
1.9851 0.2898 0.01895 -0.3935
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.113 -0.02515 -1.904 106.27
-1.337 0.06257 -1.299 92.82
-4.022 0.50389 -1.754 111.21
rnd_95776.volume rnd_95787.volume
-14.8490 5.06491
1.9899 -10.07235
-0.8448 0.03712
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.285 1.085 3.638 1.339 1.930 0.5102 0.8121 1.804 2.087 1.583 1.025
[2,] 1.676 1.291 4.502 2.183 2.775 0.6607 0.9407 2.162 2.518 2.374 1.424
[3,] 1.944 1.489 5.115 2.938 3.238 0.7333 1.0787 2.396 2.833 2.714 1.581
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.284 1.285 1.625 1.479 1.605 1.694 1.820 5.046 2.374 3.213 1.569
[2,] 2.012 1.473 2.322 2.079 2.012 2.396 2.594 6.470 3.145 4.004 1.883
[3,] 2.349 1.613 2.737 2.465 2.375 2.896 3.131 7.446 3.823 4.636 2.072
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.614 1.879 0.6835 1.660 1.689 1.675 1.378 0.8114 1.476 1.644 0.9994
[2,] 6.226 2.828 0.8802 2.469 2.572 1.999 2.213 1.0072 2.074 2.053 1.2452
[3,] 7.547 3.544 0.9808 3.450 3.478 2.234 3.054 1.1281 2.761 2.279 1.4571
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.772 1.831 1.771 1.600 1.266 1.267 0.4865 1.203 0.3682 1.565 1.397
[2,] 2.396 2.596 2.326 1.855 1.778 1.590 0.5859 1.371 0.4814 1.943 2.035
[3,] 3.153 3.015 2.721 2.087 2.129 1.782 0.6694 1.523 0.5566 2.269 2.407
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.119 0.6834 1.418 1.231 2.348 1.219 1.433 1.826 0.7356 1.338 1.272
[2,] 1.421 0.8242 2.150 1.486 2.730 1.442 2.208 2.135 0.8600 2.109 1.946
[3,] 1.700 0.9269 2.429 1.709 2.991 1.589 2.795 2.399 0.9988 2.632 2.367
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.160 0.9121 1.298 0.4606 1.579 0.8545 1.353 1.172 1.286 1.428 0.5467
[2,] 1.719 1.5735 1.608 0.5489 1.988 0.9822 1.709 1.378 1.781 2.330 0.6509
[3,] 2.165 2.1607 1.938 0.6189 2.440 1.1072 1.916 1.552 2.045 2.763 0.7617
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.351 1.232 1.589 0.6670 1.407 1.200 1.739 1.987 1.762 1.531 1.033
[2,] 2.133 1.439 2.506 0.8448 1.699 1.649 2.294 2.803 2.133 2.518 1.905
[3,] 2.457 1.631 3.155 0.9531 1.955 1.910 2.625 3.144 2.505 3.081 2.463
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4579 0.9748 1.102 1.194 1.115 1.020 0.4358 1.143 1.050 2.999 2.849
[2,] 0.5549 1.4287 1.269 1.581 1.295 1.252 0.5549 1.813 1.306 3.643 3.586
[3,] 0.6290 2.2243 1.408 2.268 1.444 1.500 0.6368 2.082 1.497 4.148 4.057
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.3553 0.2704 0.5216 0.5400 1.194 0.6632 0.3985 6.891 4.692 1.964
[2,] 0.5149 0.6060 0.6847 0.7013 1.435 0.8116 0.4767 8.790 6.176 2.937
[3,] 0.6726 0.7517 0.8038 0.8448 1.689 0.9252 0.5363 10.325 7.573 3.620
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 1.632 1.377 4.62 1.7 2.451 0.6479 1.031 2.29 2.65
[2,] 220.777 143.709 544.66 354.0 409.384 86.2284 97.503 244.73 289.33
[3,] 202.650 152.475 498.50 404.0 342.936 65.3289 108.407 212.07 266.54
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 2.01 1.301 1.63 1.632 2.063 1.878 2.038 2.151 2.312
[2,] 363.52 202.979 318.23 147.620 340.569 300.240 249.189 347.969 379.452
[3,] 269.95 141.145 248.96 135.415 297.766 271.880 259.103 334.054 359.977
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 6.408 3.014 4.08 1.993 4.589 2.386 0.8679 2.108
[2,] 831.472 423.799 490.57 213.638 1041.210 434.057 113.8895 375.393
[3,] 756.808 446.154 479.90 177.464 875.707 438.679 88.8828 494.762
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 2.145 2.127 1.75 1.03 1.874 2.088 1.269 2.25 2.325
[2,] 398.260 224.024 355.61 122.53 299.279 252.466 152.546 331.08 377.961
[3,] 480.966 205.000 432.24 104.35 374.428 203.052 155.410 420.94 314.658
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 2.249 2.031 1.608 1.609 0.6177 1.528 0.4676 1.987
[2,] 309.658 193.029 256.260 197.222 67.0458 134.949 63.6861 236.586
[3,] 289.967 196.234 240.623 165.298 66.4959 136.209 57.3548 240.858
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 1.773 1.421 0.8679 1.801 1.564 2.981 1.548 1.819
[2,] 304.055 179.945 94.6147 331.791 170.730 285.923 158.229 345.112
[3,] 263.960 191.636 87.0569 232.321 173.272 251.104 137.323 351.981
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 2.319 0.9341 1.699 1.615 1.473 1.158 1.648 0.5849
[2,] 226.986 91.4871 334.732 302.536 260.688 263.316 195.078 61.3002
[3,] 224.865 104.3210 323.435 276.828 270.329 304.101 221.957 58.7324
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 2.005 1.085 1.719 1.489 1.633 1.813 0.6942 1.715
[2,] 248.198 99.459 214.244 148.637 253.098 378.081 72.5444 339.158
[3,] 290.379 104.931 177.851 146.717 206.352 304.911 81.2651 250.186
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.564 2.017 0.847 1.786 1.523 2.209 2.523 2.237
[2,] 152.788 398.028 106.493 195.875 232.370 307.025 405.959 246.983
[3,] 157.582 393.465 90.590 198.586 198.019 262.318 292.279 269.814
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.944 1.311 0.5815 1.238 1.4 1.516 1.415 1.295 0.5534
[2,] 410.443 328.857 64.3524 214.497 129.2 212.868 135.298 149.122 70.5314
[3,] 364.761 320.343 60.8196 350.090 125.3 333.947 131.354 169.679 64.1819
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 1.451 1.334 3.808 3.617 0.4512 0.3433 0.6624 0.6858
[2,] 289.044 159.492 424.871 447.358 76.5431 111.3752 91.0978 91.8662
[3,] 210.399 150.211 407.210 389.552 88.8530 91.3475 86.4794 96.7484
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.517 0.8422 0.506 8.751 5.958 2.494
[2,] 163.537 96.0867 53.712 1120.661 824.546 448.320
[3,] 182.916 91.2249 50.463 1112.401 900.006 434.618
[1] "--- VAR model 2017-10-05 20:31:00 completed"
[1] "Completed training sample: 2017-10-05 20:31:00 - 2017-10-06 04:30:00"
[1] "SpVAR; training sample: 2017-10-05 21:01:00 - 2017-10-06 05:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.986 -2.020 -6.429 3.132
2.886 -2.251 1.099 6.116
2.534 2.070 5.447 -2.100
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-1.112 0.5559 1.064 3.592
-3.711 -1.2051 2.124 3.755
5.039 -1.3452 1.892 3.812
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.883 4.549 1.819 0.7706
2.891 4.704 1.611 -1.4941
6.054 6.377 3.630 -6.0791
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.385 5.895 2.633 1.007
5.102 6.714 8.587 4.015
1.161 -1.947 -2.913 1.808
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.946 -0.4188 -2.614 2.0024
5.916 1.8610 12.006 -3.3509
3.446 1.2783 16.144 -0.4526
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-9.657 1.6869 -1.192 11.809
-2.205 1.2251 -1.656 -7.514
5.733 0.2777 5.702 10.465
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.6077 6.894 16.888 3.643
-1.0451 -3.590 -1.051 3.266
-0.3661 5.935 -4.225 1.022
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
9.274 2.4356 3.0291 -8.969
8.075 -0.4318 13.7289 -6.086
-3.090 -0.5479 -0.6063 -2.067
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.8219 -3.1056 -6.287 -10.2074
2.6665 -0.4619 -5.650 -0.6912
0.3446 10.5517 3.270 -0.1191
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.000 -5.2348 1.2377 0.9956
2.036 2.3063 -2.2030 1.2409
-1.066 -0.6824 -0.9969 0.2815
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.2805 0.71311 -1.69858 6.815
0.8658 0.02426 0.06288 -1.861
-0.9399 1.34719 1.31489 -1.544
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.127 3.32156 2.744 -1.327
1.405 0.89198 2.178 -1.313
-2.474 0.01358 -1.709 -2.961
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.474 3.4138 2.192 -8.5166
8.785 -1.7160 1.302 -0.3234
4.995 0.4872 4.063 -0.4625
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.40833 -6.903 -3.0472 -2.692
-1.31056 1.277 -0.5694 -5.108
0.06843 7.493 0.0425 -1.879
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.9910 -2.840 -0.5048 5.327
-0.9685 -2.943 0.2317 -4.008
-0.4867 -5.656 0.1326 -5.103
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.052 -3.208 0.9313 4.762
-2.777 -2.588 -0.5424 -4.199
-1.202 -3.403 0.8247 -5.543
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.0199 0.3546 -3.077 -1.297
-5.4083 -2.5323 3.594 1.881
0.6507 1.1782 -3.501 4.071
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.8725 0.43920 -1.256 0.1655
0.9871 -1.94661 5.688 2.1960
-4.3372 0.07585 4.454 3.8275
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.704 -3.8717 4.072 2.559
2.513 0.6133 6.581 3.893
4.531 7.7777 1.712 4.668
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.055 0.1412 -1.6214 -3.2068
1.320 -0.3257 0.9518 0.7752
2.295 -0.6334 2.3395 -0.2620
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.8606 -2.3408 0.1594 1.3614
0.7715 -1.0679 0.7194 1.7334
0.9169 -0.4765 1.1246 0.3506
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.392 -0.3811 -4.7785 -3.830
-4.064 -2.8962 -0.4318 11.113
3.781 1.9370 1.8018 5.936
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3866 0.5290 -0.03586 -1.4534
0.5965 -1.4034 -0.73504 -0.5294
-0.1768 -0.8347 -0.39150 0.3981
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.381 -1.3213 -1.26222 123.0
-1.581 0.4874 -0.45794 149.9
-1.518 1.4258 0.09478 134.0
rnd_95776.volume rnd_95787.volume
6.2550 8.035
22.3000 -10.482
0.3429 6.646
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.244 1.042 3.255 1.298 1.811 0.4360 0.8177 1.772 1.953 1.541 0.9852
[2,] 1.649 1.232 4.115 1.995 2.700 0.5739 0.9464 2.068 2.384 2.242 1.3187
[3,] 1.858 1.396 4.666 2.759 3.132 0.6588 1.0433 2.288 2.741 2.589 1.5289
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.348 1.229 1.460 1.401 1.618 1.561 1.762 4.858 1.921 3.284 1.613
[2,] 2.035 1.428 2.092 1.984 1.917 2.336 2.488 6.160 2.664 3.930 1.946
[3,] 2.411 1.581 2.515 2.424 2.296 2.829 2.996 7.053 3.161 4.474 2.077
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.582 1.838 0.6061 1.541 1.573 1.679 1.358 0.7940 1.427 1.700 0.946
[2,] 6.085 2.757 0.7782 2.410 2.540 1.929 2.081 0.9476 1.994 2.055 1.217
[3,] 7.280 3.366 0.8797 3.271 3.349 2.164 2.909 1.0973 2.688 2.267 1.435
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.712 1.592 1.697 1.519 1.197 1.157 0.4445 1.054 0.3732 1.536 1.278
[2,] 2.299 2.420 2.258 1.739 1.640 1.446 0.5241 1.231 0.4649 1.848 1.916
[3,] 3.026 2.834 2.634 1.969 1.997 1.610 0.5974 1.362 0.5270 2.124 2.217
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.034 0.6563 1.346 1.117 2.203 1.120 1.406 1.721 0.7131 1.335 1.178
[2,] 1.259 0.7820 1.976 1.324 2.612 1.377 2.087 2.021 0.8539 1.999 1.838
[3,] 1.507 0.9008 2.306 1.549 2.891 1.517 2.646 2.273 0.9564 2.496 2.256
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.061 0.8199 1.204 0.4847 1.459 0.7969 1.336 1.082 1.286 1.422 0.5325
[2,] 1.614 1.4382 1.461 0.5599 1.883 0.9327 1.651 1.297 1.665 2.191 0.6433
[3,] 2.061 2.0025 1.783 0.6272 2.282 1.0648 1.850 1.481 1.912 2.581 0.7378
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.185 1.124 1.136 0.6552 1.473 1.123 1.568 1.771 1.596 1.446 1.015
[2,] 1.892 1.307 2.074 0.8017 1.737 1.616 2.134 2.664 1.971 2.432 1.862
[3,] 2.196 1.463 2.622 0.8951 1.928 1.842 2.404 3.009 2.303 2.976 2.370
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.4033 0.9005 0.9934 1.034 1.045 0.9711 0.4164 1.085 1.013 2.775
[2,] 0.4795 1.2671 1.1470 1.489 1.239 1.1928 0.5165 1.748 1.222 3.423
[3,] 0.5523 2.1137 1.2621 2.140 1.398 1.3830 0.5979 2.002 1.389 3.766
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.683 0.3355 0.2777 0.4568 0.4996 1.170 0.5917 0.3895 7.110 4.370
[2,] 3.474 0.4684 0.5684 0.5921 0.6287 1.427 0.7242 0.4600 9.018 5.721
[3,] 3.905 0.6062 0.6924 0.6832 0.7437 1.630 0.7996 0.4999 10.350 7.095
[,98]
[1,] 1.961
[2,] 2.852
[3,] 3.416
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 1.58 1.324 4.133 1.648 2.3 0.5537 1.038 2.25 2.48
[2,] 242.34 146.930 563.233 338.953 447.8 83.4849 106.585 238.60 305.94
[3,] 191.29 147.085 492.283 426.305 355.3 72.3788 98.251 219.21 302.38
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 1.957 1.251 1.712 1.561 1.855 1.779 2.055 1.982
[2,] 364.424 196.103 340.958 162.597 335.148 314.227 229.954 388.951
[3,] 289.497 173.123 289.613 151.987 312.371 311.663 282.765 356.781
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.238 6.169 2.439 4.171 2.049 4.549 2.334 0.7696
[2,] 392.989 847.135 413.115 482.876 243.461 1100.385 459.819 109.2231
[3,] 373.464 768.690 380.598 478.263 162.485 894.192 432.020 91.7771
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 1.956 1.998 2.132 1.724 1.008 1.813 2.159 1.201
[2,] 414.520 446.175 212.481 352.938 115.744 311.339 258.060 171.329
[3,] 495.060 488.169 219.549 454.615 123.748 403.330 214.407 170.005
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.174 2.022 2.155 1.928 1.52 1.469 0.5645 1.338
[2,] 343.314 407.631 333.099 189.659 250.81 194.314 62.1068 142.306
[3,] 440.144 329.975 303.395 206.438 254.80 158.144 64.1445 130.597
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4739 1.951 1.623 1.313 0.8335 1.709 1.418 2.798
[2,] 62.0272 229.603 319.316 160.582 95.0976 323.541 159.193 313.723
[3,] 55.5568 234.185 249.443 185.255 100.0470 266.326 179.889 277.464
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.422 1.785 2.186 0.9055 1.696 1.496 1.347 1.041
[2,] 179.440 345.083 236.853 105.0956 332.853 315.595 272.026 264.360
[3,] 142.262 363.859 232.747 96.3904 334.433 292.668 286.944 311.743
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.528 0.6155 1.852 1.012 1.697 1.374 1.633 1.805
[2,] 185.147 62.7070 266.475 108.400 216.973 160.171 236.652 373.063
[3,] 228.687 63.2448 288.421 114.934 186.615 159.986 210.444 305.300
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.6762 1.505 1.427 1.443 0.8321 1.871 1.427 1.991
[2,] 80.7295 330.075 149.050 388.254 103.3289 205.923 259.863 323.919
[3,] 80.8410 249.529 147.378 358.800 89.0693 187.308 197.822 247.790
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.248 2.027 1.836 1.289 0.5121 1.143 1.261 1.313
[2,] 445.285 258.778 437.615 349.280 58.0307 199.424 128.259 239.615
[3,] 313.163 266.568 383.524 328.153 61.3165 378.518 117.811 343.955
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.327 1.233 0.5287 1.378 1.286 3.524 3.407 0.426
[2,] 148.762 154.969 68.3555 306.566 153.092 448.437 493.944 73.131
[3,] 144.740 156.591 67.3803 218.341 147.817 351.139 398.683 86.098
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.3527 0.5801 0.6344 1.485 0.7514 0.4946 9.029 5.549
[2,] 110.9520 84.2588 85.3780 182.841 93.4169 54.7314 1240.882 826.010
[3,] 88.4614 76.2536 88.8953 176.491 75.8311 43.7934 1136.709 938.772
[,98]
[1,] 2.49
[2,] 463.21
[3,] 420.83
[1] "--- VAR model 2017-10-05 21:01:00 completed"
[1] "Completed training sample: 2017-10-05 21:01:00 - 2017-10-06 05:00:00"
[1] "SpVAR; training sample: 2017-10-05 21:31:00 - 2017-10-06 05:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.292 -6.464 5.690 8.814
10.655 -0.931 5.319 -5.472
-3.986 -3.766 -6.547 -4.468
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.745 0.5949 -5.424 -15.4554
1.467 -1.4350 2.234 10.1567
-6.154 -0.9720 2.370 0.5324
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.698 -5.437 0.8508 -4.703
-3.629 -9.266 -1.4436 -18.818
8.701 5.387 -1.1211 -7.727
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.9986 1.8891 8.872 -5.7349
0.6442 -6.3519 -5.607 -1.3502
-1.9088 -0.6237 -4.906 -0.1968
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.61027 -6.571 -11.048 -3.171
-0.02125 -3.218 -16.382 3.681
-11.78604 -6.589 -8.746 -0.309
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.424 -6.9773 -24.167 -8.307
-3.950 -2.4510 1.986 -11.601
-10.070 0.2603 -2.536 2.255
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.1061 -11.518 2.371 -1.458
0.6429 -6.172 -7.425 -3.407
-0.6899 -6.384 -2.938 3.668
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
9.949 -1.050 11.580 -9.321
-9.836 -2.294 4.639 -5.228
-0.974 -2.239 -8.399 2.307
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
7.574 1.237 3.8231 6.228
8.093 -5.195 -0.4245 -5.302
-7.001 0.511 -7.5823 0.058
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.6337 1.804 -2.5297 2.7101
0.6585 4.475 -1.7495 -1.0383
8.9170 6.523 0.2102 0.5419
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.1926 0.8371 1.9700 1.517
0.8379 0.8140 -2.5440 2.950
5.3540 0.9568 -0.4668 -3.712
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.3445 1.261 -2.974 2.621
-6.7417 -1.024 1.691 2.255
1.1362 -0.267 -3.976 1.432
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-6.165 3.5359 -5.701 0.2937
12.187 0.2804 -2.700 4.0477
-7.929 5.2018 5.140 4.2386
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5991 7.894 8.875 -4.162
-0.6611 3.854 -7.625 5.668
1.8957 -1.134 4.399 -4.999
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.381 1.539 -0.5681 7.738
9.409 1.347 0.2433 3.605
-5.825 6.391 0.6329 -2.372
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2049 1.0114 5.4426 -2.356
-2.3713 3.1830 0.5566 6.218
-2.3048 0.7491 -1.7562 -4.475
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
7.545 3.256 -0.1372 -0.6957
8.805 -1.851 -1.1832 2.1691
-3.065 1.211 8.5150 2.4204
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.648 0.1061 12.026 6.721
2.919 -1.5596 3.127 11.360
6.523 -1.5702 -4.715 -3.162
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.653 0.7128 9.811 -3.161
7.178 13.4671 3.354 16.870
4.480 6.6444 -1.318 8.027
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.033 -1.1052 -0.1236 -1.974
4.679 0.3737 -3.7698 1.711
17.236 0.7723 19.2646 1.783
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.195 2.393 6.383 -1.7053
-2.204 2.020 3.130 0.3794
8.203 2.500 -1.377 -0.7676
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.013 -6.654 12.8653 -11.154
1.683 -2.121 1.0396 -8.109
6.519 -2.540 0.4111 4.376
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.1875 -0.5626 -1.951 -0.1434
-0.1044 -0.5002 1.937 2.3351
0.4441 2.3973 1.538 -0.7381
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.2068 0.6215 -0.1756 81.68
3.0397 -1.4672 -0.3988 63.14
-0.6392 -0.3186 -2.0641 55.02
rnd_95776.volume rnd_95787.volume
4.974 -4.388
31.123 -12.133
-14.155 1.783
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.210 0.9693 3.096 1.240 1.632 0.4195 0.7408 1.760 1.995 1.547 0.9827
[2,] 1.622 1.1661 3.903 1.979 2.543 0.5352 0.8854 2.165 2.429 2.259 1.2881
[3,] 1.873 1.3328 4.574 2.648 3.092 0.6080 1.0008 2.433 2.825 2.648 1.4597
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.423 1.177 1.434 1.363 1.589 1.369 1.353 4.260 1.755 3.237 1.662
[2,] 2.100 1.405 2.126 2.051 1.833 2.133 2.155 5.695 2.364 3.893 2.032
[3,] 2.383 1.560 2.436 2.416 2.112 2.642 2.700 6.373 2.852 4.419 2.210
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.364 1.824 0.5857 1.628 1.591 1.55 1.284 0.7786 1.439 1.674 0.9022
[2,] 5.925 2.710 0.7098 2.451 2.455 1.81 2.089 0.9282 2.002 2.013 1.1519
[3,] 6.848 3.316 0.8114 3.269 3.394 2.00 2.848 1.0534 2.633 2.222 1.3698
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.670 1.427 1.478 1.539 1.197 1.174 0.3952 0.9428 0.3609 1.422 1.185
[2,] 2.277 2.254 2.174 1.822 1.667 1.427 0.5063 1.0812 0.4366 1.761 1.712
[3,] 2.888 2.796 2.583 2.077 1.900 1.551 0.5717 1.2088 0.4964 2.024 2.040
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.062 0.6469 1.272 1.036 1.993 1.092 1.420 1.572 0.7152 1.363 1.246
[2,] 1.284 0.7673 1.821 1.221 2.420 1.302 2.135 1.884 0.8417 1.871 1.907
[3,] 1.432 0.8853 2.140 1.450 2.688 1.437 2.549 2.091 0.9398 2.403 2.288
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.073 0.7433 1.164 0.4895 1.430 0.7985 1.285 1.015 1.217 1.206 0.5429
[2,] 1.620 1.3909 1.406 0.5822 1.819 0.9291 1.548 1.200 1.611 2.006 0.6697
[3,] 2.042 1.9632 1.736 0.6697 2.186 1.0248 1.727 1.370 1.903 2.463 0.7551
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.238 1.103 1.159 0.6365 1.411 1.131 1.588 1.778 1.737 1.464 0.9944
[2,] 1.838 1.258 1.944 0.7653 1.713 1.577 2.159 2.636 2.039 2.381 1.8732
[3,] 2.148 1.371 2.495 0.8696 1.920 1.880 2.431 2.980 2.255 2.897 2.4250
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3883 0.8801 0.9877 1.023 0.9877 0.8937 0.3878 1.084 0.9367 2.466
[2,] 0.4525 1.2783 1.1249 1.427 1.1823 1.0905 0.4953 1.721 1.1687 3.159
[3,] 0.5192 2.0871 1.2229 2.105 1.3380 1.2694 0.5826 1.908 1.3526 3.552
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.545 0.3231 0.2565 0.4146 0.4545 1.115 0.5026 0.3955 7.463 4.205
[2,] 3.144 0.4290 0.5223 0.5540 0.5769 1.337 0.6369 0.4639 9.731 5.489
[3,] 3.627 0.5624 0.6440 0.6307 0.6725 1.536 0.7067 0.4984 11.196 6.654
[,98]
[1,] 1.908
[2,] 2.807
[3,] 3.351
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.537 1.231 3.932 1.575 2.072 0.5327 0.9407 2.235
[2,] 221.367 132.915 487.085 316.217 399.871 68.1579 99.4142 258.713
[3,] 192.024 132.337 489.168 360.827 360.563 59.1219 95.6672 227.578
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.533 1.965 1.248 1.807 1.494 1.821 1.731 2.017
[2,] 284.188 337.334 170.737 316.531 157.311 321.906 314.316 187.402
[3,] 295.867 283.535 140.810 231.165 138.975 243.789 261.530 215.209
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.738 1.719 5.41 2.229 4.11 2.111 4.271 2.316
[2,] 335.418 343.736 774.87 324.803 443.37 239.611 999.980 410.840
[3,] 319.665 333.526 586.55 326.905 428.93 178.463 704.152 391.928
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7438 2.067 2.021 1.968 1.631 0.9886 1.827 2.126
[2,] 82.1902 375.685 383.235 191.706 337.705 103.6244 285.451 228.940
[3,] 80.6245 443.455 480.427 174.652 396.919 102.1091 350.552 193.245
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.146 2.121 1.812 1.877 1.954 1.52 1.491 0.5019
[2,] 146.838 317.472 357.736 326.787 200.104 237.80 166.463 64.8940
[3,] 151.965 363.979 339.218 286.072 204.371 187.09 124.575 54.4391
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.197 0.4583 1.806 1.505 1.348 0.8214 1.615 1.316
[2,] 108.542 50.3773 213.052 253.256 148.134 84.6042 267.303 132.349
[3,] 110.836 48.4395 204.387 227.629 130.075 90.5554 230.380 160.515
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.53 1.386 1.804 1.996 0.9082 1.731 1.582 1.363
[2,] 281.48 145.491 326.869 212.921 90.9806 262.629 295.961 248.902
[3,] 240.24 124.472 285.248 185.807 85.7239 309.338 259.120 254.722
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.9439 1.478 0.6215 1.816 1.014 1.632 1.288 1.545
[2,] 241.0461 161.771 64.6226 230.607 97.369 176.675 131.356 216.488
[3,] 284.0440 208.886 67.8738 248.640 88.660 157.328 135.397 207.430
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.532 0.6894 1.572 1.401 1.472 0.8083 1.792 1.436
[2,] 328.609 80.3935 278.602 123.753 320.065 87.1181 199.023 225.252
[3,] 293.007 71.5148 227.734 112.047 320.507 84.6852 178.115 210.134
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.016 2.257 2.206 1.858 1.263 0.4931 1.118 1.254
[2,] 299.915 399.141 218.801 384.932 325.458 47.6501 190.068 110.350
[3,] 228.935 285.049 197.358 338.535 315.780 52.1908 338.270 98.347
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.299 1.254 1.135 0.4925 1.376 1.189 3.132 3.232
[2,] 203.790 133.226 128.131 63.1686 274.010 143.287 404.701 378.513
[3,] 317.418 128.432 133.234 62.8741 169.056 139.638 332.979 370.769
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4102 0.3257 0.5265 0.5771 1.416 0.6383 0.5022 9.477
[2,] 57.8731 93.2832 75.3391 72.8409 151.437 80.2077 49.7170 1280.228
[3,] 74.5556 77.2444 61.7837 70.8712 154.819 62.7674 37.3884 1135.130
[,97] [,98]
[1,] 5.34 2.423
[2,] 723.36 422.231
[3,] 771.24 375.305
[1] "--- VAR model 2017-10-05 21:31:00 completed"
[1] "Completed training sample: 2017-10-05 21:31:00 - 2017-10-06 05:30:00"
[1] "SpVAR; training sample: 2017-10-05 22:01:00 - 2017-10-06 06:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.012 -3.821 20.984 0.3807
7.428 -2.761 -17.450 -6.7889
-2.498 2.111 -8.458 -0.8987
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
21.8531 -2.9326 0.2378 -10.7781
-8.3738 0.7545 6.0657 1.9141
0.2138 0.1327 0.9683 0.2143
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.232 -4.292 4.0768 -3.582
-8.730 -15.310 -2.1823 -20.736
19.648 14.372 0.1087 -16.381
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.020 3.391 2.534 -13.3454
-6.179 -7.582 5.623 1.0609
1.941 -15.333 -14.186 -0.1854
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.324 -4.705 -7.476 7.233
5.825 -13.491 -8.565 -14.179
-7.774 -2.040 -6.180 -9.040
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
27.672 10.670 -9.58 -10.893
-7.147 5.084 25.79 15.605
-10.746 4.543 -23.81 2.277
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.116 -11.335 -11.438 -1.022
1.213 -1.879 10.117 8.607
-1.747 8.610 8.859 -2.678
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
8.157 4.877 12.1190 -8.745
-6.399 -2.374 -2.6312 1.420
2.075 3.660 0.4739 -1.947
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
6.032 3.5749 6.8905 2.490
1.515 5.2784 -3.3704 9.596
-2.197 -0.5183 -0.7156 -8.649
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.618 -9.5206 6.383 -0.1567
2.151 -0.2754 -3.430 -1.6136
3.319 6.0298 -1.248 2.3497
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.7568 2.6123 0.384 7.163
1.4828 -1.0856 9.709 -3.994
1.5981 -0.5995 -1.329 3.455
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.594 1.411 7.244 2.6975
8.573 1.054 3.912 -0.1252
-3.469 1.404 9.877 -0.2166
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.432 -2.2174 -0.4609 -0.960
-7.372 -4.7790 2.0289 -4.682
13.990 -0.6293 13.0777 6.977
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.2031 -2.2889 6.0691 4.10657
3.3076 6.3078 0.1119 0.06891
-0.3105 0.7071 2.8945 11.20615
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.231 -3.9293 -1.0796 7.459
3.462 6.7091 5.3618 7.800
5.028 -0.6138 0.8656 -0.578
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.4995 6.322 2.0500 5.359
-2.9834 9.049 7.0421 1.990
0.3305 -2.817 -0.3007 6.536
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
14.43 -1.6939 1.157 -2.847
-13.00 -0.8572 5.754 2.826
16.91 2.9624 9.249 1.997
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.452 1.248 4.041 -0.7712
2.213 -2.427 1.788 12.5373
-3.211 -1.016 1.798 -2.0953
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.77323 3.950 0.583 10.8358
-4.32731 6.661 -2.456 0.4951
0.05059 4.360 3.432 0.8201
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.5843 0.1491 -5.0581 3.927
-0.9960 4.2964 -0.5321 1.460
0.2997 0.1809 8.7798 1.336
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.658 3.416 -1.013 0.01663
-5.320 2.932 -1.883 0.80063
10.018 1.904 1.580 -0.60811
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.351 -1.7870 -18.9037 -5.091
-1.749 -3.9406 -0.6988 -7.743
7.892 0.9482 2.6913 14.347
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.6655 0.1567 2.7604 1.2449
-0.2153 0.4054 -0.8997 -0.7677
1.4176 -1.4614 0.6172 0.3329
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.972 -3.36726 -3.394 59.9
2.399 -0.09259 -2.082 110.2
2.164 1.68650 -2.239 124.9
rnd_95776.volume rnd_95787.volume
31.917 -11.93
-1.173 19.92
19.843 -6.63
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.252 0.9838 2.923 1.242 1.561 0.4078 0.7932 1.802 2.014 1.679 1.027
[2,] 1.717 1.1136 3.596 1.885 2.338 0.5332 0.9549 2.167 2.524 2.299 1.292
[3,] 2.041 1.2782 4.172 2.463 2.842 0.5922 1.0648 2.491 2.837 2.656 1.463
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.335 1.181 1.373 1.987 1.564 1.263 1.322 4.361 1.673 3.368 1.613
[2,] 2.133 1.432 2.116 2.769 1.907 2.061 2.000 5.452 2.299 3.973 1.978
[3,] 2.438 1.603 2.431 3.264 2.201 2.683 2.639 6.116 2.797 4.545 2.161
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.302 1.851 0.5851 1.690 1.485 1.538 1.302 0.7501 1.320 1.688 0.9467
[2,] 5.983 2.669 0.7030 2.362 2.359 1.760 2.128 0.8874 1.808 2.029 1.1473
[3,] 6.853 3.308 0.7893 3.316 3.224 1.982 2.758 0.9925 2.476 2.258 1.3320
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.697 1.268 1.362 1.661 1.274 1.156 0.4431 0.8935 0.3679 1.401 1.199
[2,] 2.330 2.003 2.086 1.963 1.795 1.386 0.5293 1.0453 0.4470 1.758 1.870
[3,] 2.963 2.520 2.518 2.206 2.046 1.558 0.5868 1.2070 0.5076 1.998 2.200
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9852 0.5904 1.211 1.031 2.016 1.067 1.322 1.511 0.7286 1.225 1.236
[2,] 1.2032 0.7167 1.731 1.243 2.337 1.264 2.017 1.824 0.8766 1.883 1.839
[3,] 1.4084 0.8201 2.067 1.401 2.617 1.408 2.452 2.039 0.9769 2.366 2.282
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.065 0.7556 1.187 0.5271 1.455 0.7859 1.260 0.9639 1.203 1.253
[2,] 1.515 1.3717 1.433 0.6197 1.837 0.8965 1.496 1.1469 1.598 2.039
[3,] 1.992 1.8664 1.697 0.7148 2.144 0.9979 1.685 1.3177 1.863 2.476
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5335 1.135 1.102 1.009 0.6220 1.464 1.212 1.682 1.772 1.666 1.452
[2,] 0.6463 1.755 1.271 1.798 0.7355 1.764 1.723 2.117 2.598 1.991 2.373
[3,] 0.7438 2.084 1.393 2.249 0.8361 2.013 2.043 2.336 3.002 2.224 2.848
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.132 0.3523 0.9741 0.967 1.111 0.9976 0.916 0.3914 1.081 0.9183
[2,] 1.892 0.4259 1.4583 1.132 1.519 1.1857 1.117 0.4876 1.660 1.1116
[3,] 2.426 0.4865 2.2152 1.232 2.151 1.3404 1.280 0.5665 1.919 1.2719
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.596 2.523 0.3284 0.2816 0.4092 0.4532 1.110 0.4502 0.4012 7.712
[2,] 3.205 3.102 0.4550 0.5217 0.5264 0.5494 1.344 0.5735 0.4756 9.874
[3,] 3.522 3.578 0.5635 0.6078 0.6107 0.6320 1.549 0.6442 0.5074 11.527
[,97] [,98]
[1,] 4.171 1.873
[2,] 5.375 2.763
[3,] 6.664 3.372
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.59 1.249 3.712 1.577 1.983 0.5179 1.007 2.288
[2,] 266.29 118.228 474.605 321.189 394.402 77.8230 120.475 272.594
[3,] 249.83 142.184 479.014 359.313 366.150 58.3846 106.720 278.382
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.558 2.132 1.304 1.696 1.5 1.744 2.523 1.986 1.603
[2,] 344.583 356.024 177.612 377.000 183.2 364.889 436.862 247.341 368.991
[3,] 293.522 301.329 155.368 267.244 163.5 271.054 391.717 248.908 389.314
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.679 5.537 2.124 4.276 2.048 4.193 2.351 0.743
[2,] 340.043 741.409 357.363 477.397 259.656 1130.475 435.688 88.293
[3,] 390.070 627.858 361.040 500.418 196.719 756.974 442.536 81.300
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.146 1.885 1.953 1.654 0.9525 1.676 2.143 1.202
[2,] 373.944 415.221 194.068 381.255 107.4104 279.962 255.404 146.833
[3,] 527.297 497.850 206.407 397.578 100.7472 383.345 224.062 153.337
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 2.155 1.61 1.73 2.109 1.617 1.468 0.5627 1.135 0.4671
[2,] 361.646 351.49 357.93 237.038 286.550 173.066 65.5804 122.895 57.5463
[3,] 414.893 346.44 319.35 228.126 222.701 161.280 57.4094 136.725 54.4646
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.779 1.523 1.251 0.7497 1.537 1.31 2.561 1.354
[2,] 240.646 325.197 156.478 92.0383 280.196 157.19 267.543 153.615
[3,] 214.940 262.471 165.852 90.3203 256.138 146.66 267.159 140.696
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 1.678 1.919 0.9252 1.555 1.57 1.352 0.9595 1.508
[2,] 345.293 231.342 110.4496 324.223 308.38 244.272 259.3810 181.790
[3,] 315.821 206.582 97.7001 324.365 306.39 292.890 286.7721 205.972
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 0.6694 1.848 0.998 1.6 1.224 1.528 1.591 0.6775 1.441
[2,] 73.8500 253.891 97.733 182.8 140.835 238.363 364.325 82.6415 303.222
[3,] 80.7168 250.337 99.322 175.3 147.002 216.689 318.228 83.4130 254.849
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.399 1.281 0.7898 1.859 1.539 2.136 2.251 2.116
[2,] 143.498 337.079 88.9529 223.051 277.408 291.229 430.511 246.909
[3,] 129.044 306.197 90.0740 219.722 248.694 223.664 340.788 224.506
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.843 1.437 0.4473 1.237 1.228 1.411 1.267 1.163
[2,] 425.300 343.529 54.2360 245.878 133.500 234.814 145.209 144.850
[3,] 356.633 344.101 53.2683 377.800 110.010 344.949 141.634 141.425
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 0.497 1.373 1.166 3.297 3.204 0.417 0.3576 0.5196 0.5755
[2,] 65.885 285.296 141.942 425.670 408.932 71.364 99.5158 75.0082 70.3501
[3,] 65.319 218.251 140.068 331.139 404.126 75.300 70.6274 70.1458 70.7699
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.41 0.5717 0.5095 9.793 5.296 2.378
[2,] 171.75 80.4847 57.8615 1397.096 768.371 460.180
[3,] 174.47 66.4929 40.0593 1347.711 892.353 438.028
[1] "--- VAR model 2017-10-05 22:01:00 completed"
[1] "Completed training sample: 2017-10-05 22:01:00 - 2017-10-06 06:00:00"
[1] "SpVAR; training sample: 2017-10-05 22:31:00 - 2017-10-06 06:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.73 3.660 0.5729 -13.689
14.21 -3.969 -5.7244 -27.122
21.52 1.774 10.7915 7.401
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.306 6.840 3.222 19.416
-27.687 3.627 6.020 13.016
-17.260 -2.003 5.421 -6.162
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
25.67 -1.228 -15.44 -6.631
29.61 35.054 8.07 -19.324
-12.35 -3.653 14.71 -5.341
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.221 19.54 20.36 12.463
5.362 29.13 13.57 9.446
-4.276 13.47 47.33 -2.033
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
20.289 27.042 12.82 18.403
32.561 16.855 15.08 19.763
4.733 9.062 25.28 4.221
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.883 13.689 4.616 14.76
28.026 6.649 -20.033 -17.99
4.931 15.972 4.997 5.21
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.432 -8.446 -42.23 10.898
-4.618 -12.433 31.12 27.592
-1.900 24.525 -13.74 -1.113
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.967 6.2188 17.00 7.806
-11.879 5.0081 -54.07 -16.947
8.353 -0.6769 11.05 1.347
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
3.4901 5.8148 -4.312 -4.020
-4.4931 -37.7763 -12.776 -1.925
0.3765 0.8193 -27.678 -39.741
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-11.191 7.397 -0.5392 0.4899
9.207 -8.779 1.9061 -5.4832
14.044 21.682 -5.8325 0.9515
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-13.012 -0.01046 -3.349 -14.560
3.026 2.55657 -18.356 -3.417
5.590 -0.18389 -11.179 -8.402
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.3133 -5.099 8.565 -3.524
3.1050 3.656 -12.545 -4.334
2.4466 7.180 -22.420 -2.242
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.514 -3.411 -18.471 -16.5306
-3.936 -14.192 23.712 -0.4041
8.461 -9.129 3.467 -1.8013
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
5.840 -17.865 -9.931 -6.511
1.211 3.520 -29.400 -14.670
-10.891 4.687 36.388 18.262
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
16.70 10.758 2.1325 10.361
-11.85 15.908 -4.2626 -6.099
-26.72 -9.596 -0.4391 -22.639
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-9.406 -3.274 7.38305 10.3662
-8.787 6.044 7.10937 0.2378
1.180 1.705 -0.09397 11.4148
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.6989 3.9330 -4.456 -3.341
0.9141 0.2869 5.032 6.518
19.2870 9.4628 -3.703 1.046
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.981 -9.609 12.09 1.078
11.130 1.917 18.46 17.994
-3.846 3.976 10.51 22.952
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-23.457 -20.90 18.991 19.444
-3.614 27.37 3.936 9.866
15.352 13.11 -12.703 37.691
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.5548 0.7263 2.074 -4.585
-4.6207 0.5000 12.270 3.165
39.5045 3.2774 3.257 -2.358
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.601 4.286 0.5946 -2.605
5.339 1.593 -11.9351 -4.135
10.793 -8.671 -5.9345 -1.057
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.682 -1.113 22.141 5.524
-7.294 -1.506 7.565 -5.992
20.214 3.381 3.323 4.702
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.4560 -1.6759 5.0137 -0.2888
2.7816 -0.5621 -0.8971 -1.0817
-0.6325 -0.6891 -1.8138 -0.9445
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.4127 4.5224 -5.506 1.395
8.2610 -0.5462 -3.303 49.976
-0.5774 1.4994 -2.655 74.231
rnd_95776.volume rnd_95787.volume
15.21 -17.807
-34.64 -6.376
-14.38 3.805
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.268 0.8866 3.168 1.313 1.487 0.3832 0.8034 1.946 2.126 1.677 0.9714
[2,] 1.729 1.0207 3.642 2.002 2.273 0.4961 0.9474 2.284 2.709 2.323 1.2662
[3,] 1.970 1.1743 4.193 2.583 2.857 0.5571 1.0813 2.684 3.038 2.653 1.4839
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.398 1.285 1.388 2.020 1.570 1.416 1.241 4.558 1.738 3.447 1.658
[2,] 2.203 1.490 2.186 2.732 1.931 2.104 2.043 5.513 2.302 4.167 2.048
[3,] 2.469 1.618 2.631 3.364 2.185 2.865 2.640 6.196 2.741 4.815 2.241
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.418 2.024 0.5644 1.766 1.567 1.582 1.410 0.7010 1.394 1.797 0.9657
[2,] 6.135 2.715 0.6805 2.373 2.697 1.828 2.300 0.8398 1.864 2.085 1.2072
[3,] 6.818 3.295 0.7608 3.448 3.652 2.038 2.906 0.9239 2.783 2.292 1.3565
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.735 1.331 1.380 1.622 1.272 1.159 0.4083 0.8761 0.3319 1.446 1.175
[2,] 2.309 2.045 2.073 1.920 1.744 1.422 0.4969 1.0270 0.4121 1.744 1.872
[3,] 3.072 2.585 2.563 2.127 1.972 1.534 0.5649 1.1529 0.4597 2.057 2.239
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.8943 0.6068 1.285 1.088 1.844 1.064 1.407 1.491 0.7333 1.359 1.179
[2,] 1.1342 0.7410 1.698 1.263 2.185 1.279 2.015 1.737 0.8830 1.914 1.748
[3,] 1.3524 0.8463 1.974 1.451 2.389 1.434 2.530 1.963 0.9699 2.382 2.174
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.146 0.7529 1.251 0.5383 1.432 0.7956 1.245 0.8881 1.147 1.355
[2,] 1.554 1.2924 1.518 0.6338 1.875 0.8821 1.478 1.0980 1.552 1.963
[3,] 1.998 1.7650 1.723 0.7213 2.097 0.9934 1.645 1.2969 1.826 2.376
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5800 1.137 1.122 1.086 0.6216 1.426 1.284 1.666 1.671 1.771 1.506
[2,] 0.7082 1.719 1.305 1.804 0.7275 1.753 1.860 2.010 2.514 2.083 2.442
[3,] 0.8104 2.071 1.423 2.171 0.8480 2.011 2.144 2.288 2.920 2.373 2.964
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.157 0.3511 0.9754 0.9403 1.131 0.9606 0.8677 0.3913 1.053 0.8386
[2,] 1.897 0.4204 1.5034 1.1295 1.567 1.1571 1.0829 0.4763 1.606 1.0265
[3,] 2.385 0.4712 2.2417 1.2403 2.221 1.3397 1.2165 0.5611 1.872 1.2033
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.686 2.368 0.3149 0.3277 0.3997 0.3885 1.133 0.4594 0.3692 7.855
[2,] 3.221 2.860 0.4013 0.4921 0.4805 0.4754 1.362 0.5808 0.4429 9.788
[3,] 3.608 3.256 0.5020 0.5705 0.5749 0.5386 1.557 0.6545 0.4906 11.462
[,97] [,98]
[1,] 4.257 2.058
[2,] 5.566 2.686
[3,] 6.461 3.265
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 1.61 1.126 4.022 1.667 1.888 0.4866 1.02 2.471 2.7
[2,] 278.11 119.671 425.257 357.697 406.752 74.5556 118.81 282.764 397.1
[3,] 223.55 137.441 491.658 386.355 409.655 59.9964 123.38 333.889 325.4
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.129 1.233 1.775 1.631 1.762 2.565 1.994 1.799
[2,] 380.526 192.213 403.010 178.632 399.666 435.393 266.014 368.176
[3,] 303.080 183.141 263.965 149.316 346.403 464.665 242.161 460.086
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.576 5.789 2.207 4.377 2.106 4.34 2.571 0.7167
[2,] 384.219 734.003 357.387 554.396 284.554 1205.76 428.332 89.9855
[3,] 395.500 668.910 352.006 570.784 215.330 703.70 441.505 80.5195
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.242 1.99 2.009 1.791 0.8901 1.771 2.282 1.226
[2,] 375.229 519.52 217.044 430.022 109.4725 292.648 250.162 171.455
[3,] 591.891 582.68 212.825 420.165 91.1175 489.226 225.193 146.419
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 2.203 1.69 1.752 2.06 1.615 1.472 0.5185 1.112 0.4215
[2,] 360.813 367.57 365.985 243.26 282.433 194.861 67.0042 126.843 57.8129
[3,] 479.487 374.24 356.860 216.15 217.962 136.549 63.5899 123.994 48.2027
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.836 1.493 1.136 0.7706 1.632 1.381 2.341 1.351
[2,] 230.930 344.897 165.079 100.6623 262.764 151.817 277.421 168.124
[3,] 258.033 290.493 174.319 96.7524 238.089 169.143 228.507 153.480
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 1.787 1.894 0.9312 1.726 1.497 1.456 0.956 1.588
[2,] 341.341 210.674 116.4370 318.847 305.322 248.226 248.609 203.468
[3,] 362.081 216.591 94.9332 335.661 306.144 297.157 284.491 192.947
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 0.6835 1.818 1.01 1.581 1.128 1.456 1.72 0.7365 1.444
[2,] 79.1941 286.506 90.12 188.473 152.801 247.491 336.15 96.2065 305.000
[3,] 81.4709 222.389 108.16 171.065 163.361 227.803 316.86 93.2303 273.327
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.425 1.38 0.7894 1.81 1.631 2.115 2.121 2.249
[2,] 157.717 340.95 89.4536 241.53 318.452 266.306 444.703 259.757
[3,] 134.188 285.77 103.1196 233.35 252.239 258.427 351.575 268.672
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 1.912 1.469 0.4458 1.239 1.194 1.437 1.22 1.102
[2,] 454.871 355.838 54.7296 270.764 148.118 256.720 152.66 153.330
[3,] 397.763 341.984 50.3507 393.516 121.259 372.238 159.80 131.195
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 0.4968 1.337 1.065 3.411 3.007 0.3999 0.4161 0.5075
[2,] 64.2741 286.778 140.083 420.614 379.495 58.8700 86.8958 63.1060
[3,] 70.1861 227.694 148.619 384.710 368.212 71.3661 68.3000 74.7303
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.4933 1.439 0.5834 0.4688 9.975 5.406 2.613
[2,] 64.8601 178.785 84.0841 57.9008 1381.920 848.750 408.683
[3,] 59.9224 178.621 71.4282 49.9141 1411.463 776.250 439.080
[1] "--- VAR model 2017-10-05 22:31:00 completed"
[1] "Completed training sample: 2017-10-05 22:31:00 - 2017-10-06 06:30:00"
[1] "SpVAR; training sample: 2017-10-05 23:01:00 - 2017-10-06 07:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.6592 0.3344 40.912 -9.571
-0.3861 -5.1051 -8.954 -17.586
11.1073 7.9107 14.248 -26.193
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
7.482 6.5143 9.805 32.094
8.372 -0.3345 3.940 15.179
18.843 0.9649 3.701 -2.528
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
51.175 37.686 4.601 -5.456
15.755 6.879 17.429 3.746
9.532 20.572 -5.797 -22.929
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-14.0187 29.70 7.589 11.105
0.1458 24.33 22.371 -3.428
-12.5874 14.02 17.369 11.601
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
29.09 42.18 8.973 4.505
18.82 33.32 12.838 56.174
28.22 26.77 60.813 34.083
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
39.905 -6.661 -11.61 -26.11
-3.984 -5.700 20.83 17.49
25.090 1.389 -7.03 13.41
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.2699 -26.390 -2.207 23.887
-0.8606 4.160 -14.086 2.323
0.5536 5.686 8.611 12.603
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.885 8.2535 -9.407 8.365
-7.021 -0.8123 -23.711 6.879
-10.454 0.8228 -5.405 5.515
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
7.773 1.639 4.9172 -5.478
-3.059 -3.517 -0.6433 -20.207
-10.029 19.126 4.0808 -6.867
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.8273 10.434 0.1611 -3.3374
-0.1354 -8.767 -3.3801 1.6105
9.0070 17.985 2.1804 -0.3185
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
8.594 4.177 -2.550 -21.807
8.139 4.284 -5.105 9.822
9.177 2.032 -2.144 -10.728
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.512 3.965 -13.523 -2.751
10.900 7.132 -16.296 6.666
14.076 6.257 -7.025 5.515
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
26.32 4.001 -3.549 -2.079
7.56 6.724 6.983 12.583
12.09 3.737 -13.742 5.777
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
8.316 3.866 9.0373 18.275
4.557 -14.362 -4.0829 1.025
-2.612 -9.063 0.8112 11.298
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.9213 21.051 1.509 13.9522
0.2963 1.106 -1.453 -0.3088
8.8035 13.316 2.016 -0.7983
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.633 8.637 -3.4391 -13.717
-5.072 -2.315 2.2229 12.776
-4.616 11.926 0.5309 -1.196
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.858 -2.123 15.838 -3.105
11.485 4.886 1.688 1.359
12.265 6.944 18.908 9.590
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
25.68 -0.2579 2.834 2.888
-17.84 2.7769 -5.279 2.130
29.16 -1.2968 14.175 5.664
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-16.711 -9.16612 -15.2889 -13.385
15.314 0.09692 -10.0617 -15.176
-7.499 -18.28230 -0.5153 -3.831
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-9.974 4.050 8.284 10.367
-13.894 1.367 -12.064 -0.452
-4.028 2.173 -8.368 -5.754
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.102 -0.5304 -2.830 -5.3529
-8.265 1.7590 -5.115 -0.7857
-17.018 -2.0979 -2.816 -1.8085
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
17.821 1.345 17.08 -15.872
-3.577 -0.730 24.48 5.636
10.670 5.076 17.34 -29.646
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.062 -2.5136 -5.200 -1.068
-1.823 -6.9237 -2.206 -5.760
-1.307 0.6987 2.600 2.292
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.278 -0.3472 -6.063 -51.36
9.324 3.9165 -5.825 -37.25
-5.484 -1.4330 -6.386 -43.71
rnd_95776.volume rnd_95787.volume
20.41 -9.149
-70.90 17.990
43.01 11.106
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.329 0.8375 3.279 1.449 1.546 0.3943 0.8321 2.116 2.449 1.818 1.002
[2,] 1.765 0.9844 3.854 2.148 2.468 0.4872 0.9775 2.531 3.041 2.570 1.304
[3,] 2.076 1.1010 4.397 2.621 3.051 0.5355 1.1216 2.913 3.405 2.928 1.529
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.468 1.321 1.442 2.027 1.432 1.419 1.306 4.438 1.737 3.823 1.657
[2,] 2.322 1.533 2.367 2.769 1.684 2.094 2.123 5.461 2.301 4.701 2.056
[3,] 2.655 1.686 2.820 3.454 1.871 2.932 2.709 6.248 2.811 5.343 2.273
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.341 2.101 0.5169 1.986 1.748 1.530 1.494 0.6923 1.494 1.778 0.9825
[2,] 6.205 2.889 0.6136 2.566 2.651 1.835 2.350 0.8377 1.914 2.082 1.2099
[3,] 7.118 3.556 0.7068 3.845 3.592 2.048 2.894 0.9246 2.677 2.337 1.3588
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.967 1.372 1.462 1.640 1.268 1.157 0.3928 0.9054 0.3407 1.487 1.297
[2,] 2.568 2.348 2.329 1.981 1.719 1.368 0.4864 1.0635 0.4040 1.823 1.846
[3,] 3.169 2.897 2.780 2.192 2.034 1.487 0.5558 1.1706 0.4608 2.170 2.244
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.921 0.6542 1.388 1.135 1.824 1.010 1.481 1.401 0.7233 1.387 1.186
[2,] 1.131 0.8107 1.814 1.372 2.079 1.264 2.209 1.691 0.8622 2.004 1.694
[3,] 1.352 0.8916 2.097 1.547 2.263 1.414 2.674 1.882 0.9665 2.481 2.191
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.193 0.8568 1.308 0.5173 1.499 0.7964 1.268 0.8931 1.238 1.357
[2,] 1.614 1.3183 1.567 0.6387 1.978 0.9101 1.513 1.0749 1.626 1.939
[3,] 2.078 1.7821 1.758 0.7242 2.262 0.9939 1.675 1.2417 1.903 2.308
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5751 1.166 1.050 1.080 0.6583 1.566 1.338 1.636 1.792 1.794 1.481
[2,] 0.7324 1.717 1.274 1.817 0.7525 1.878 1.922 1.976 2.760 2.110 2.423
[3,] 0.8384 2.069 1.384 2.195 0.8537 2.177 2.257 2.234 3.177 2.398 2.958
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.179 0.3440 1.059 0.8636 1.173 0.9275 0.8918 0.3950 1.064 0.8504
[2,] 1.908 0.4189 1.605 1.0442 1.587 1.1589 1.1172 0.4942 1.628 1.0264
[3,] 2.471 0.4688 2.372 1.1900 2.202 1.3565 1.2555 0.5768 1.907 1.1809
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.987 2.354 0.4830 0.4251 0.4558 0.4540 1.177 0.4079 0.3699 8.027
[2,] 3.375 2.828 0.5772 0.6305 0.6209 0.5850 1.419 0.5492 0.4376 9.881
[3,] 3.717 3.197 0.6798 0.7768 0.7347 0.6717 1.617 0.6297 0.4779 11.614
[,97] [,98]
[1,] 4.339 2.167
[2,] 5.791 2.809
[3,] 6.745 3.548
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.688 1.063 4.163 1.841 1.964 0.5007 1.057 2.687
[2,] 274.495 122.328 478.958 374.857 454.625 67.6639 121.254 328.225
[3,] 258.356 116.551 500.598 355.036 424.263 52.5515 130.045 341.045
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.11 2.308 1.273 1.864 1.677 1.831 2.573 1.819
[2,] 426.18 429.505 197.277 425.397 183.975 443.795 446.046 209.412
[3,] 361.97 331.582 188.792 304.428 165.884 362.464 488.219 192.490
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 1.802 1.658 5.636 2.205 4.855 2.104 4.243 2.668
[2,] 363.999 395.837 752.232 356.858 646.608 287.606 1236.041 468.860
[3,] 485.209 397.782 717.700 381.834 600.371 229.272 824.782 490.058
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6563 2.522 2.219 1.943 1.897 0.8791 1.897 2.258
[2,] 78.1912 384.255 471.311 239.761 429.050 111.4909 282.849 256.115
[3,] 82.9413 676.895 572.953 214.738 399.065 92.5253 442.441 251.031
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.248 2.498 1.742 1.857 2.082 1.61 1.469 0.4988 1.15
[2,] 166.961 390.457 450.568 428.677 262.722 274.57 172.631 67.8151 131.91
[3,] 146.192 438.817 401.136 358.684 222.006 257.03 137.872 63.6051 115.67
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4326 1.888 1.647 1.17 0.8307 1.762 1.441 2.316
[2,] 51.3429 249.668 310.386 155.15 113.1878 276.020 182.386 235.739
[3,] 52.3774 278.251 301.875 175.13 87.7605 248.844 168.739 211.632
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.282 1.881 1.779 0.9185 1.762 1.505 1.515 1.088
[2,] 179.690 387.466 223.826 110.9271 341.960 285.929 257.246 236.843
[3,] 149.887 356.305 195.404 103.2644 345.916 328.734 309.132 283.495
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.661 0.6569 1.903 1.011 1.611 1.134 1.571 1.723
[2,] 204.035 88.5555 305.095 104.139 195.146 141.428 249.223 327.573
[3,] 188.475 80.7274 259.764 94.466 169.550 146.957 234.096 295.861
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7303 1.48 1.333 1.372 0.8359 1.988 1.699 2.078
[2,] 107.2266 298.06 170.640 345.256 86.2135 245.289 326.155 261.945
[3,] 96.4345 272.75 127.729 291.275 95.3086 260.108 279.820 246.588
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.276 2.278 1.881 1.498 0.4369 1.344 1.097 1.49
[2,] 496.150 262.477 453.191 354.650 56.4904 285.164 138.777 252.65
[3,] 372.025 269.162 401.274 371.258 49.7544 413.022 134.920 360.86
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.178 1.132 0.5016 1.351 1.08 3.793 2.989 0.6133
[2,] 164.279 159.114 70.1992 291.464 135.87 371.256 370.519 74.7052
[3,] 166.658 135.400 70.3429 234.567 138.05 368.176 352.512 84.9195
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.5399 0.5789 0.5765 1.495 0.518 0.4697 10.19 5.509
[2,] 110.0605 99.6635 87.2396 187.298 86.945 55.2821 1362.37 906.724
[3,] 107.2874 92.8420 78.0388 183.512 72.807 45.3838 1442.85 817.799
[,98]
[1,] 2.752
[2,] 422.670
[3,] 512.183
[1] "--- VAR model 2017-10-05 23:01:00 completed"
[1] "Completed training sample: 2017-10-05 23:01:00 - 2017-10-06 07:00:00"
[1] "SpVAR; training sample: 2017-10-05 23:31:00 - 2017-10-06 07:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-05 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
17.99 5.102 -18.88 -43.06
-19.23 -8.441 -27.58 13.04
-12.35 -10.698 -14.96 -41.00
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-35.0976 4.255743 6.698 8.82
-21.9581 -0.005584 4.302 25.93
0.1587 0.578629 2.646 24.88
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
19.73 -2.195 -2.753 -24.406
0.47 3.304 3.614 3.581
58.11 38.824 11.810 3.847
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.935 -25.016 -5.395 -13.06
-14.700 6.551 -3.592 -17.45
-14.000 -12.040 -10.443 -27.47
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.615 -12.395 38.556 28.181
-23.889 -9.565 35.248 -1.143
-4.549 -23.221 -9.647 5.859
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.83 -8.524 -73.55 -17.98
-14.20 -1.756 -47.72 -26.37
-14.03 3.058 -18.00 -16.53
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.0814 7.3804 -15.12 -14.851
-4.0051 -55.0707 -52.57 -5.938
-4.0064 0.3555 -43.07 -16.162
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-23.515 -1.998 -18.828 4.720
-4.114 3.664 -7.904 23.993
-42.146 -3.284 -30.759 -1.799
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.086 -10.492 -37.536 -23.136
-2.339 -15.263 -17.894 -13.764
-6.212 -6.487 2.934 -9.875
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-7.141 -9.441 -16.948 -0.4334
1.156 5.314 4.858 2.7521
-2.006 3.426 -10.681 0.3505
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
9.726 0.3283 -27.273 -5.532
5.636 3.2987 -3.474 -11.970
4.885 7.2858 -10.019 -5.356
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
20.053 -2.0151 4.27 -10.055
7.024 -1.5341 -11.89 22.714
7.696 0.2482 -12.53 2.042
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-7.884 17.6797 -5.432 3.890
-5.059 -0.4633 11.625 10.043
-2.059 13.3294 1.277 6.998
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.856 -13.356 4.964 -10.930
3.726 11.373 6.134 9.698
-6.996 9.789 7.176 3.724
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.402 -0.4325 2.553 23.3390
4.972 -7.4678 0.155 0.5306
5.773 7.3996 -1.815 5.5761
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.859 4.530 4.318 -1.021
-1.256 4.470 3.440 5.574
-3.496 5.711 3.372 15.697
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-22.710 -5.262 -13.486 -3.413
2.617 -7.791 8.560 -3.489
7.594 -0.749 3.322 2.626
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.834 -9.195 19.680 9.217
-10.528 -3.464 -19.226 -1.160
6.735 -4.060 -8.407 -18.136
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
15.95 18.844 21.99 18.893
28.78 7.206 16.90 30.160
11.73 -19.780 10.28 -3.858
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.26 3.852 2.674 2.572
13.00 -2.826 17.996 -1.354
15.58 2.170 21.080 0.261
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-28.41 9.132 2.774 2.864
18.58 10.196 -3.888 -3.175
18.36 19.539 -4.268 -3.253
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.083 2.148 -36.031 -27.10
17.312 -5.770 -7.231 -19.51
6.984 -10.191 17.678 -10.79
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.6245 8.244 8.219 13.004
2.8978 3.977 4.071 3.017
4.1552 5.471 5.726 1.066
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
13.7770 8.282 -6.158 -43.83
3.7235 3.865 -6.374 -10.81
0.7988 5.427 -5.041 -66.87
rnd_95776.volume rnd_95787.volume
50.90 -17.88
10.69 -31.02
22.27 -13.54
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.385 0.8908 3.261 1.614 1.761 0.3820 0.8306 2.153 2.607 1.951 1.159
[2,] 1.879 1.0750 3.794 2.189 2.756 0.4634 0.9951 2.702 3.149 2.749 1.443
[3,] 2.196 1.1922 4.493 2.729 3.280 0.5081 1.1594 3.230 3.579 3.162 1.701
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.567 1.340 1.436 2.011 1.454 1.648 1.516 3.721 1.744 4.589 1.664
[2,] 2.422 1.572 2.432 2.804 1.734 2.297 2.319 4.706 2.264 5.507 2.017
[3,] 2.863 1.729 2.811 3.479 1.960 3.039 2.944 5.367 2.823 6.259 2.231
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.664 2.134 0.5683 2.083 1.983 1.521 1.543 0.6691 1.527 1.875 1.033
[2,] 6.446 3.003 0.6547 2.691 2.703 1.843 2.375 0.8109 2.142 2.166 1.223
[3,] 7.423 3.763 0.7382 3.991 3.561 2.099 2.943 0.8857 2.947 2.459 1.420
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.057 1.422 1.597 1.545 1.389 1.122 0.3989 0.8509 0.3539 1.520 1.402
[2,] 2.768 2.576 2.487 1.974 1.808 1.343 0.4814 1.0279 0.4422 1.882 1.953
[3,] 3.395 3.061 2.997 2.218 2.102 1.465 0.5522 1.1866 0.5124 2.213 2.353
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 0.9955 0.7047 1.352 1.200 1.884 0.9439 1.513 1.421 0.7644 1.444 1.247
[2,] 1.2214 0.8741 1.886 1.487 2.165 1.2041 2.282 1.684 0.8898 2.126 1.820
[3,] 1.4763 0.9690 2.203 1.658 2.381 1.3756 2.887 1.875 1.0513 2.629 2.250
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.347 1.026 1.251 0.5324 1.365 0.8059 1.283 0.9477 1.373 1.350 0.6060
[2,] 1.813 1.576 1.549 0.6505 1.928 0.9075 1.503 1.1312 1.775 1.968 0.7907
[3,] 2.286 2.040 1.774 0.7504 2.270 1.0026 1.720 1.3002 2.047 2.395 0.9178
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.241 1.080 1.093 0.6684 1.689 1.399 1.704 1.838 1.817 1.737 1.275
[2,] 1.844 1.284 1.787 0.8052 2.031 1.967 2.063 2.912 2.214 2.582 2.061
[3,] 2.207 1.390 2.242 0.9033 2.302 2.320 2.334 3.302 2.588 3.162 2.702
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3456 1.220 0.913 1.206 0.9026 0.9484 0.4783 1.059 0.8362 2.998
[2,] 0.4153 1.911 1.082 1.768 1.1175 1.1582 0.5610 1.663 1.0676 3.401
[3,] 0.4587 2.669 1.218 2.407 1.3214 1.2951 0.6456 1.971 1.2102 3.911
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.536 0.6248 0.5575 0.5724 0.5255 1.149 0.4224 0.3688 7.810 4.596
[2,] 2.953 0.7594 0.8615 0.8183 0.7580 1.414 0.5541 0.4415 9.865 6.119
[3,] 3.434 0.8817 1.1223 1.0748 0.9238 1.642 0.6451 0.4791 11.316 7.134
[,98]
[1,] 2.053
[2,] 2.764
[3,] 3.573
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.759 1.131 4.141 2.049 2.236 0.4851 1.055 2.734
[2,] 348.910 165.306 532.488 406.213 582.473 72.0431 150.514 448.682
[3,] 311.737 141.573 661.302 447.745 488.395 57.2463 163.423 485.748
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.31 2.477 1.472 1.99 1.701 1.824 2.553 1.846 2.093
[2,] 485.13 531.976 235.859 507.07 225.639 539.148 536.615 259.744 439.435
[3,] 467.27 429.028 247.655 419.53 197.818 387.169 565.820 250.840 546.509
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.925 4.725 2.215 5.827 2.113 4.652 2.71 0.7216
[2,] 482.062 791.508 396.591 836.366 313.299 1456.581 580.47 89.3121
[3,] 498.057 708.377 463.034 816.962 261.883 1011.185 622.51 93.6502
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 2.645 2.518 1.932 1.96 0.8497 1.94 2.381 1.312
[2,] 468.001 504.754 285.917 495.73 125.8362 412.44 297.848 179.859
[3,] 809.413 636.779 275.665 477.32 97.8063 555.95 319.861 198.352
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.613 1.805 2.027 1.962 1.764 1.424 0.5066 1.08
[2,] 508.577 589.857 523.864 337.387 317.568 203.068 74.0269 158.37
[3,] 539.745 454.413 459.167 277.761 294.846 160.545 74.3080 162.83
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4494 1.93 1.781 1.264 0.8948 1.717 1.524 2.393
[2,] 72.8195 304.55 373.464 194.390 142.0234 360.994 241.282 293.041
[3,] 71.0680 319.98 360.144 227.730 114.9149 312.652 201.431 271.614
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.199 1.921 1.804 0.9707 1.834 1.583 1.711 1.303
[2,] 205.356 469.184 248.106 125.0848 428.401 364.189 333.194 328.664
[3,] 182.660 485.573 226.785 153.7528 424.864 363.403 382.272 355.657
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.588 0.676 1.733 1.023 1.63 1.203 1.744 1.715
[2,] 251.006 102.654 374.059 114.581 214.75 169.635 308.916 393.292
[3,] 237.274 102.764 328.998 117.061 229.73 176.084 280.186 374.896
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.7695 1.576 1.371 1.388 0.8487 2.145 1.777 2.164
[2,] 139.4890 374.668 191.167 388.170 123.3104 310.020 379.658 319.065
[3,] 127.9788 333.155 146.186 371.799 112.4864 297.490 337.974 300.077
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.334 2.307 2.206 1.619 0.4388 1.549 1.159 1.531
[2,] 620.169 347.821 524.687 444.664 63.2756 404.020 159.686 355.187
[3,] 428.047 367.745 500.974 480.221 53.4963 511.622 153.487 448.658
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.146 1.204 0.6073 1.344 1.062 3.806 3.22 0.7934
[2,] 180.953 182.581 80.5492 352.172 182.299 441.136 415.79 118.5400
[3,] 193.669 159.198 87.7318 290.542 156.507 530.434 481.43 123.0715
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.708 0.7268 0.6673 1.459 0.5364 0.4683 9.917 5.837
[2,] 180.391 160.6358 150.0339 226.468 98.5075 66.6755 1655.357 1109.322
[3,] 197.534 191.3900 145.0244 229.127 90.7105 51.0925 1522.492 1007.350
[,98]
[1,] 2.607
[2,] 508.314
[3,] 621.962
[1] "--- VAR model 2017-10-05 23:31:00 completed"
[1] "Completed training sample: 2017-10-05 23:31:00 - 2017-10-06 07:30:00"
[1] "SpVAR; training sample: 2017-10-06 00:01:00 - 2017-10-06 08:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
27.30 -0.01821 -15.978 -6.112
29.31 -0.93577 5.866 -15.331
-26.15 -1.07656 25.030 -18.786
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-22.81 2.156 6.5379 10.713
-29.18 4.489 11.4942 -7.972
-37.61 1.844 0.7823 -13.861
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.748 -3.287 -11.964 -6.925
12.559 14.723 17.565 5.699
-11.117 10.200 -8.809 -20.508
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.020 8.2031 -18.09 13.75
-14.548 0.6256 5.21 -13.16
6.829 4.3068 15.93 -18.80
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-18.488 -1.259 39.643 9.918
-5.465 -5.412 7.692 12.120
1.447 -33.636 -2.885 13.967
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
24.108 -1.952 -12.838 -3.92
-6.034 9.661 -24.078 -12.11
-12.847 1.252 9.627 16.19
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.573 -23.030 -3.819 8.7359
-1.260 -1.214 -6.544 -9.9852
6.755 -15.509 -29.242 -0.6248
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.627 8.002 -5.417 1.946
-43.034 4.484 -30.311 -8.437
-5.580 3.978 -14.288 -13.937
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
16.747 -37.088 -19.70 -4.022
1.421 -9.603 -16.56 -3.127
-18.847 -44.400 -24.45 -39.296
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
9.969 10.583 5.525 2.3049
-7.582 3.826 5.416 -1.0899
-5.103 3.309 8.044 -0.1993
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-9.543 4.16368 -14.807 -37.358
-9.469 0.08203 -13.652 -2.015
-7.444 -1.07501 5.733 -18.063
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-13.402 3.123 -30.25 -4.837
3.451 -8.200 -20.19 -8.385
6.135 2.729 -11.85 8.748
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
15.8151 -2.7681 -18.72 7.619
-0.9479 9.2843 24.39 12.183
9.1039 0.6305 -41.84 9.384
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.850 -14.513 1.377 30.19
-0.162 -3.247 -18.483 -35.19
-5.876 -26.503 4.849 -20.15
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
21.97 0.6701 4.7301 -15.16
-20.38 -3.3535 0.5601 21.21
-14.49 -12.0951 3.2598 -13.30
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
9.677 -5.458 -0.3932 -1.445
-7.657 9.707 9.8720 -15.012
-4.448 -2.217 -8.9870 28.251
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
2.603 -4.405 42.74 3.749
-2.949 -1.822 -25.47 -3.904
22.962 1.618 12.95 1.868
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
27.438 -6.455 26.24 19.4529
2.551 6.974 21.53 23.6273
-17.117 -1.241 -19.54 -0.6228
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.807 22.579 17.3936 -1.280
-4.666 9.893 -0.4756 26.966
-13.987 -8.896 17.8670 4.482
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.291 1.493 4.384 -6.524
28.158 3.589 6.983 -3.061
8.417 -4.848 36.231 4.570
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.581 -4.6948 -4.205 1.922
-15.367 -0.2028 -1.635 -2.850
40.542 12.5042 7.673 1.940
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.4265 11.957 0.08166 -17.443
-0.4639 4.855 -7.15823 -9.295
7.8647 -8.190 -7.10092 14.552
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.525 25.644 7.863 3.963
-8.792 -3.145 3.987 7.543
2.992 -19.561 -6.778 -4.967
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.037 -2.5138 -7.585 22.803
10.304 0.3643 -11.986 28.278
2.796 -2.7230 -8.697 -4.032
rnd_95776.volume rnd_95787.volume
-15.80 -15.49
-58.40 -16.89
24.19 19.92
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.512 0.8457 3.455 2.121 2.023 0.3903 0.8852 2.300 2.791 2.063 1.253
[2,] 2.074 1.0679 4.023 2.889 3.144 0.4898 1.0818 2.931 3.405 2.881 1.589
[3,] 2.399 1.2159 4.604 3.449 3.742 0.5394 1.2479 3.623 3.930 3.355 1.822
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.687 1.336 1.600 2.131 1.575 1.747 1.642 2.965 1.885 4.765 1.709
[2,] 2.558 1.582 2.489 2.872 1.949 2.550 2.447 3.795 2.431 5.644 2.062
[3,] 3.087 1.749 2.888 3.545 2.275 3.243 3.075 4.479 2.984 6.392 2.293
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.967 2.465 0.5329 2.370 2.055 1.654 1.926 0.6966 1.756 1.913 1.013
[2,] 6.885 3.403 0.6243 3.163 2.937 2.009 2.815 0.8725 2.417 2.206 1.238
[3,] 7.817 4.111 0.7218 4.310 3.797 2.292 3.437 0.9512 3.220 2.452 1.463
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.160 1.735 1.633 1.783 1.370 1.098 0.3887 0.9203 0.3553 1.591 1.392
[2,] 3.018 2.762 2.473 2.176 1.862 1.329 0.4841 1.1352 0.4773 1.971 1.998
[3,] 3.782 3.352 3.084 2.460 2.213 1.468 0.5846 1.3357 0.5727 2.294 2.476
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.153 0.6985 1.493 1.184 1.892 0.9335 1.643 1.401 0.7194 1.579 1.343
[2,] 1.402 0.9212 2.003 1.528 2.168 1.2204 2.460 1.646 0.9011 2.255 1.904
[3,] 1.662 1.0368 2.369 1.782 2.395 1.4068 3.113 1.859 1.0829 2.813 2.390
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.433 1.091 1.329 0.5903 1.352 0.8053 1.399 0.8975 1.404 1.414 0.6666
[2,] 1.934 1.726 1.663 0.7123 1.919 0.9613 1.602 1.1221 1.947 2.110 0.8726
[3,] 2.442 2.236 1.921 0.8164 2.368 1.0921 1.794 1.3041 2.258 2.484 1.0007
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.366 1.139 1.198 0.7080 1.858 1.410 1.774 1.825 1.825 1.842 1.325
[2,] 1.982 1.336 1.901 0.8336 2.215 2.062 2.089 2.925 2.403 2.631 2.156
[3,] 2.389 1.447 2.350 0.9483 2.453 2.426 2.382 3.339 2.887 3.184 2.772
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3386 1.402 0.9354 1.366 0.9914 0.9307 0.4495 1.069 0.8352 3.120
[2,] 0.4136 2.088 1.1505 1.866 1.2175 1.1053 0.5373 1.630 1.0587 3.527
[3,] 0.4669 2.777 1.3051 2.600 1.4174 1.2683 0.6215 1.974 1.2378 4.126
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.484 0.8415 0.7093 0.7182 0.6730 1.172 0.4675 0.3576 7.402 4.453
[2,] 2.984 1.0533 1.0947 0.9911 0.9104 1.464 0.6220 0.4198 9.663 6.248
[3,] 3.431 1.1788 1.4322 1.2945 1.1488 1.690 0.7339 0.4578 11.292 7.252
[,98]
[1,] 2.164
[2,] 2.953
[3,] 3.729
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.92 1.074 4.387 2.693 2.569 0.4956 1.124 2.921
[2,] 420.62 193.258 610.916 581.333 713.219 87.7010 184.274 538.208
[3,] 357.54 172.322 663.413 558.080 601.427 67.0085 184.360 631.371
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.545 2.62 1.591 2.142 1.696 2.032 2.706 2.0 2.218
[2,] 577.674 595.83 289.757 570.069 250.980 564.896 570.644 340.1 550.677
[3,] 582.070 509.44 263.918 511.784 221.457 434.228 615.878 348.0 593.836
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.085 3.765 2.393 6.051 2.17 5.038 3.13 0.6767
[2,] 537.743 702.246 455.137 896.365 342.27 1667.839 695.51 96.3993
[3,] 551.975 705.164 512.860 889.276 297.19 1096.878 683.30 107.3637
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.01 2.609 2.101 2.445 0.8845 2.23 2.429 1.287
[2,] 620.49 622.042 337.975 608.400 155.7331 491.97 325.789 210.780
[3,] 867.63 713.335 326.611 584.580 112.2331 630.87 317.313 230.882
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.743 2.204 2.074 2.264 1.74 1.394 0.4936 1.169
[2,] 624.807 636.827 550.256 369.841 373.46 222.079 85.5111 196.983
[3,] 675.385 563.085 546.471 339.818 354.42 184.794 97.1354 208.575
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.4511 2.021 1.768 1.465 0.887 1.896 1.504 2.402
[2,] 94.4733 344.700 424.522 236.306 177.993 395.476 286.207 314.061
[3,] 93.7749 347.582 433.496 264.482 140.969 374.930 271.903 301.424
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.185 2.087 1.779 0.9135 2.005 1.705 1.82 1.386
[2,] 233.003 542.558 256.246 160.8570 477.261 400.211 385.04 396.238
[3,] 207.388 565.141 256.102 177.9579 498.467 428.007 441.71 421.396
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.688 0.7496 1.716 1.023 1.777 1.14 1.783 1.796
[2,] 296.355 118.1158 403.572 155.577 230.999 199.60 399.903 463.987
[3,] 284.979 118.2372 411.434 153.564 239.767 196.96 338.938 388.410
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.8464 1.734 1.446 1.521 0.899 2.36 1.791 2.252
[2,] 166.9182 425.861 207.081 437.593 130.386 356.98 445.928 326.956
[3,] 145.1796 394.988 165.007 409.482 134.001 312.43 378.505 339.493
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 2.318 2.317 2.339 1.683 0.43 1.78 1.188 1.734 1.259
[2,] 677.310 463.545 556.838 504.191 70.38 458.51 198.525 376.747 209.461
[3,] 477.577 474.335 531.104 516.043 64.26 542.52 182.616 536.788 215.087
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.182 0.5708 1.358 1.061 3.962 3.154 1.069 0.9007
[2,] 176.729 87.2537 364.752 192.840 487.651 490.515 187.740 247.1021
[3,] 184.317 92.5591 329.945 190.041 634.224 501.595 156.902 273.7208
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.912 0.8546 1.488 0.5937 0.4541 9.399 5.654 2.748
[2,] 202.428 181.6886 259.981 121.6083 65.1651 1841.003 1298.982 595.701
[3,] 246.799 207.6854 250.154 115.3999 54.0895 1731.672 1091.095 674.940
[1] "--- VAR model 2017-10-06 00:01:00 completed"
[1] "Completed training sample: 2017-10-06 00:01:00 - 2017-10-06 08:00:00"
[1] "SpVAR; training sample: 2017-10-06 00:31:00 - 2017-10-06 08:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-10.749 3.215 -9.195 -16.648
5.867 3.711 -46.794 -6.365
-8.195 4.135 6.839 -13.673
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.945 -1.706 5.561 18.68
4.786 -1.351 2.925 29.81
18.811 3.293 2.855 4.68
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.8072 16.25 -7.158 -4.435
29.9128 16.28 14.427 -4.096
37.3286 30.67 0.153 10.936
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-11.388 1.444 -0.5924 -19.865
2.104 4.849 -3.7801 22.124
-14.511 26.424 14.0818 2.939
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
16.24 -7.4739 8.360 23.152
8.14 16.2970 10.049 13.424
11.93 0.7396 0.673 8.625
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-3.516 -15.29 -28.407 -13.353
-53.901 -12.50 5.719 -17.679
7.618 -10.29 -70.329 -5.248
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.03665 -8.313 -1.395 31.59
-0.90751 -28.515 -42.218 19.99
-1.10750 3.069 -4.821 13.27
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.834 3.4237 7.549 29.041
2.386 -0.5501 -1.188 9.250
-7.325 3.0547 -20.237 3.423
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
7.1200 -14.402 -11.834 2.563
-2.4422 6.617 5.086 9.573
-0.4657 -20.027 14.454 -10.787
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.555 11.39 -8.558 -0.8723
7.956 22.98 -4.650 0.9879
-4.658 18.59 -11.028 -1.0218
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.098 -2.973 -5.291 -7.635
-5.483 9.508 6.111 -12.640
5.472 4.562 10.097 3.839
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.838 -0.7904 1.007 2.557
2.848 6.8293 -6.783 23.324
8.863 -1.7805 6.296 -14.939
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.875 2.216 -15.089 5.1892
21.597 2.880 18.500 0.2209
6.809 1.812 1.799 -3.3985
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
7.014 5.19 19.472 18.785
10.221 -10.18 -1.946 25.621
1.713 16.51 5.038 1.151
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
28.63451 -4.481 6.057 17.3897
7.42352 1.978 -0.215 13.5794
-0.02857 7.935 -4.065 0.3553
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.398 8.4301 12.749 -2.282
-3.069 10.3776 10.102 21.788
2.483 0.3501 9.092 9.195
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.90 -1.233 11.69 5.024
21.03 2.957 12.20 3.105
23.71 4.348 25.29 6.656
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.038 -0.4314 -0.05051 -7.871
5.583 -2.1021 19.44597 10.275
34.282 -4.7535 -10.00850 -1.910
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.641 1.370 9.758 1.493
11.535 2.029 -5.105 -11.421
14.647 19.109 -3.201 -1.481
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-19.111 -0.3355 -10.2580 16.298
4.668 -1.5766 -0.3716 4.800
-1.669 -3.0704 21.6875 -4.992
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.908 -3.359 -2.118 6.253
-27.432 -3.061 -9.665 -5.056
-6.012 3.371 1.592 -4.240
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
19.21 5.137 5.948 -21.84
10.65 10.345 39.881 -39.85
11.44 0.317 7.042 -52.93
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
16.459 -3.095 -4.6676 1.787
2.402 14.801 0.7675 2.760
9.386 -4.948 5.1275 5.052
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
15.197 -0.4438 -6.262 39.99
10.280 7.3748 -7.055 75.58
8.029 3.7842 -7.310 5.59
rnd_95776.volume rnd_95787.volume
21.84 -21.108
-26.39 -2.789
21.46 -2.382
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.676 0.9098 3.847 2.292 2.116 0.3966 0.9196 2.480 2.753 2.017 1.317
[2,] 2.281 1.1978 4.496 3.032 3.424 0.4950 1.1600 3.237 3.487 2.957 1.691
[3,] 2.650 1.3419 5.088 3.643 4.126 0.5668 1.3056 3.795 4.139 3.669 1.971
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.876 1.289 1.715 2.273 1.814 1.873 1.644 2.463 2.005 4.974 1.910
[2,] 2.733 1.538 2.524 3.061 2.204 2.626 2.471 3.192 2.608 5.963 2.325
[3,] 3.240 1.741 3.063 3.694 2.494 3.254 3.100 3.851 3.194 6.773 2.621
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.096 2.350 0.5563 2.580 2.314 2.019 2.169 0.6932 1.942 1.893 1.114
[2,] 7.351 3.389 0.6725 3.349 3.363 2.427 2.936 0.8851 2.689 2.281 1.369
[3,] 8.451 4.191 0.7574 4.605 4.266 2.779 3.668 0.9807 3.517 2.640 1.561
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.504 1.924 1.959 1.939 1.480 1.145 0.4295 0.965 0.3861 1.538 1.473
[2,] 3.429 3.049 2.886 2.408 2.010 1.375 0.5346 1.204 0.5363 1.983 2.048
[3,] 4.094 3.689 3.462 2.750 2.444 1.531 0.6352 1.382 0.6503 2.307 2.497
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.200 0.7482 1.603 1.372 1.953 0.9683 1.718 1.356 0.7558 1.666 1.575
[2,] 1.494 1.0065 2.161 1.787 2.277 1.2561 2.575 1.668 0.9739 2.354 2.167
[3,] 1.733 1.1458 2.513 2.135 2.560 1.4875 3.293 1.951 1.1794 2.901 2.588
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.496 1.130 1.369 0.6091 1.538 0.8525 1.347 1.070 1.399 1.417 0.6582
[2,] 2.027 1.789 1.655 0.7499 2.158 0.9678 1.565 1.281 2.011 2.151 0.8810
[3,] 2.448 2.367 1.942 0.8919 2.621 1.0780 1.778 1.451 2.335 2.519 1.0537
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.498 1.134 1.240 0.7310 2.032 1.575 1.835 1.996 1.987 1.858 1.559
[2,] 2.131 1.311 1.950 0.8713 2.416 2.415 2.167 3.113 2.536 2.761 2.387
[3,] 2.496 1.436 2.449 0.9954 2.778 2.794 2.488 3.504 3.052 3.306 2.982
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 0.3268 1.394 1.078 1.477 0.9732 0.9591 0.4823 1.156 0.8688 3.124
[2,] 0.4059 2.106 1.407 2.041 1.2232 1.1490 0.5729 1.744 1.2276 3.616
[3,] 0.4626 2.878 1.633 2.845 1.4493 1.3140 0.6692 2.118 1.3931 4.228
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.692 1.002 0.805 0.8282 0.7264 1.233 0.5273 0.3513 7.596 4.520
[2,] 3.242 1.318 1.263 1.1362 0.9914 1.567 0.6779 0.4176 9.957 6.333
[3,] 3.849 1.497 1.713 1.5405 1.3650 1.846 0.8195 0.4633 11.482 7.593
[,98]
[1,] 2.135
[2,] 3.018
[3,] 3.878
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.128 1.155 4.885 2.91 2.688 0.5036 1.168 3.149
[2,] 430.877 216.939 647.870 552.93 749.565 82.4993 196.904 579.169
[3,] 375.368 168.494 663.216 562.49 640.750 76.8521 166.823 551.485
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.496 2.561 1.672 2.382 1.637 2.178 2.886 2.303
[2,] 596.054 601.907 295.584 553.473 233.604 515.768 570.761 348.743
[3,] 620.880 604.794 281.789 484.665 227.268 482.894 575.782 324.923
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.378 2.087 3.128 2.547 6.316 2.425 5.201 2.985
[2,] 512.607 513.734 565.200 464.288 915.773 369.155 1699.573 679.908
[3,] 535.011 521.451 599.943 513.594 894.511 337.224 1160.950 686.757
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.7065 3.277 2.938 2.564 2.754 0.8803 2.467 2.404
[2,] 105.1940 594.591 679.752 375.279 551.019 153.2551 517.919 354.348
[3,] 97.0053 880.040 730.723 376.867 612.054 117.6261 631.151 370.360
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.415 3.18 2.444 2.488 2.462 1.879 1.454 0.5454
[2,] 221.478 652.31 658.472 589.997 397.467 378.850 211.709 88.6436
[3,] 209.063 622.84 578.329 532.607 369.688 387.087 187.436 95.5534
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.225 0.4903 1.953 1.87 1.524 0.9501 2.035 1.742
[2,] 200.561 103.6326 348.579 396.27 247.651 187.4642 403.599 319.000
[3,] 188.776 102.4515 328.087 397.65 244.683 152.4656 357.174 325.343
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.479 1.23 2.181 1.722 0.9598 2.116 2.001 1.899
[2,] 326.167 222.80 534.022 270.767 171.0240 462.947 414.427 380.993
[3,] 325.862 221.87 571.874 281.875 185.2171 472.281 393.836 381.961
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.435 1.738 0.7734 1.954 1.082 1.71 1.358 1.776 1.8
[2,] 386.068 259.168 121.7944 421.471 127.614 222.00 196.276 402.479 450.6
[3,] 431.584 282.516 134.4708 413.963 132.214 234.95 189.982 330.301 364.7
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 0.8358 1.902 1.441 1.575 0.9283 2.58 2.0 2.33 2.535
[2,] 163.0566 422.125 183.107 419.002 132.0223 363.91 509.7 320.87 665.227
[3,] 160.9486 361.780 163.050 412.593 134.0080 381.88 391.4 340.40 447.810
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 2.524 2.36 1.98 0.415 1.771 1.369 1.876 1.236 1.218
[2,] 438.658 568.45 503.11 67.015 439.497 251.773 392.161 206.333 176.172
[3,] 473.040 506.29 497.74 61.837 546.239 231.062 551.774 216.493 177.489
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 0.6125 1.469 1.103 3.967 3.419 1.272 1.022 1.052
[2,] 86.0843 363.364 241.504 507.365 502.919 238.531 270.844 216.625
[3,] 96.3115 334.691 183.370 610.070 577.549 197.473 322.318 289.681
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9224 1.565 0.6696 0.4461 9.645 5.74 2.711
[2,] 187.8815 269.495 118.6165 62.8402 1792.730 1235.24 594.119
[3,] 261.2701 271.382 128.2237 55.8833 1592.311 1166.68 677.901
[1] "--- VAR model 2017-10-06 00:31:00 completed"
[1] "Completed training sample: 2017-10-06 00:31:00 - 2017-10-06 08:30:00"
[1] "SpVAR; training sample: 2017-10-06 01:01:00 - 2017-10-06 09:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.124 -9.097 -2.575 -8.967
20.170 -4.573 -35.975 -3.353
2.921 3.028 23.538 -16.802
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.141 0.7615 4.674 16.30
-13.230 2.5018 6.643 25.17
-1.816 -1.1110 6.803 10.58
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
15.29 8.394 9.760 -31.30
13.79 4.219 4.057 -32.84
23.36 23.219 4.376 -23.46
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.6398 -4.231 -0.9454 19.47
10.6341 6.864 23.0268 -20.83
-14.9524 -9.876 -5.7131 -1.29
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.741 -5.159 -9.918 -17.2647
-20.856 -12.110 1.384 0.1238
-26.044 -3.308 5.669 10.3901
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-12.52 -5.877 -72.968 -6.349
-17.28 16.686 -21.971 -7.253
12.14 -11.240 -3.017 -11.263
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.5698 -21.62 -8.926 -7.041
0.3109 14.49 -1.989 -1.653
4.6089 -14.48 -15.640 -7.886
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.017 6.352 3.812 -0.1665
-7.339 -4.142 -27.923 8.3927
-15.029 3.597 -9.499 18.6095
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.826 2.713 -0.7673 0.4348
-8.712 7.871 -10.7701 10.2778
-2.200 -18.663 4.7467 0.1674
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.917 -1.880 8.9875 -0.123
5.962 4.862 0.4454 2.592
7.451 1.568 -4.6588 2.032
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-10.562 0.9229 11.775 -5.8962
-12.893 3.0605 5.465 11.1995
1.843 -0.8174 4.937 -0.8294
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
12.768 8.967 -19.9189 -4.459
7.266 7.038 0.1039 18.462
-8.547 -5.550 0.9864 -5.534
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-18.81 -10.303 5.088 6.402
3.66 -12.075 -24.393 4.315
10.23 9.882 5.438 16.699
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.213 9.049 -6.986 -1.838
-5.491 -20.585 -2.824 3.276
-0.204 -13.662 -9.654 -14.626
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
2.750 -4.816 9.0120 2.750
-4.278 -7.121 -2.6490 -13.026
-1.823 -5.327 0.2441 -8.739
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.600 -5.444 6.714 7.885
-1.914 21.647 5.836 9.516
-9.261 -3.124 -1.232 2.013
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.732 4.35617 8.559 -2.140
1.495 -0.01331 -5.731 -9.659
6.500 -4.71446 8.125 -4.407
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.2774 0.332 -6.944 -21.70
5.8636 1.102 31.843 25.60
0.2429 -1.910 5.034 12.78
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-12.36 -15.65 -20.62 13.589
11.31 41.54 -13.44 -6.559
-12.37 13.26 -14.00 20.389
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.482 2.4045 9.684 2.121
-21.365 3.9916 -7.519 1.652
-2.344 -0.6124 -1.852 11.132
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.289 19.460 -1.935 -0.1985
8.145 8.772 -1.660 0.0640
-8.270 6.333 -6.025 2.1989
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.949 -5.900 20.6220 -23.8888
7.974 -12.153 -16.2851 -15.8482
6.403 3.611 0.8755 0.9922
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.9621 -7.325 -9.874 -6.151
-5.8856 3.865 -10.287 -1.340
-0.8527 -4.111 -4.248 -12.282
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.617 -0.1263 -6.185 -12.685
-7.368 -7.1464 -5.095 -5.023
-8.255 10.4124 -6.721 25.851
rnd_95776.volume rnd_95787.volume
-47.92 -6.682
-31.73 2.901
49.73 -6.420
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.793 1.020 3.805 2.342 2.378 0.4325 1.011 2.628 2.809 2.016 1.369
[2,] 2.338 1.257 4.720 3.111 3.613 0.5265 1.259 3.412 3.635 3.007 1.814
[3,] 2.743 1.417 5.350 3.841 4.250 0.6149 1.460 3.963 4.252 3.812 2.120
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.974 1.293 1.864 2.382 1.912 2.272 2.089 2.872 2.285 4.982 1.932
[2,] 2.893 1.584 2.679 3.200 2.327 3.189 2.997 3.838 3.101 6.211 2.399
[3,] 3.428 1.849 3.206 3.876 2.658 3.929 3.830 4.835 3.923 7.157 2.691
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.637 2.586 0.5360 2.446 2.328 2.208 2.290 0.7571 2.189 2.202 1.226
[2,] 7.979 3.781 0.6821 3.482 3.598 2.679 2.995 0.9170 2.977 2.589 1.497
[3,] 9.367 4.597 0.7854 4.609 4.564 3.127 3.844 1.0311 3.912 2.952 1.698
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.585 2.065 2.217 2.052 1.583 1.148 0.4567 0.9764 0.4351 1.660 1.518
[2,] 3.565 3.204 3.161 2.572 2.223 1.391 0.5558 1.2811 0.5788 2.223 2.214
[3,] 4.371 3.839 3.712 2.996 2.698 1.588 0.6730 1.5181 0.6840 2.612 2.677
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.292 0.7836 1.779 1.548 1.943 1.066 1.878 1.349 0.7862 1.759 1.671
[2,] 1.584 1.0908 2.394 2.122 2.277 1.340 2.766 1.667 1.0229 2.424 2.303
[3,] 1.858 1.2362 2.839 2.551 2.588 1.525 3.466 1.957 1.2198 3.009 2.783
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.697 1.204 1.487 0.6248 1.524 0.878 1.433 1.146 1.444 1.476 0.6905
[2,] 2.198 1.845 1.822 0.7790 2.176 1.011 1.697 1.388 2.144 2.291 0.9812
[3,] 2.675 2.476 2.137 0.9744 2.758 1.134 2.008 1.544 2.503 2.724 1.1996
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.536 1.161 1.167 0.7566 2.139 1.725 1.979 2.026 2.297 1.781 1.846
[2,] 2.227 1.323 1.881 0.9449 2.619 2.548 2.512 3.247 2.800 2.924 2.605
[3,] 2.666 1.449 2.482 1.0948 3.090 3.148 2.861 3.766 3.339 3.462 3.234
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.3566 1.482 1.330 1.677 1.002 1.021 0.5117 1.338 0.949 3.296 2.544
[2,] 0.4412 2.254 1.696 2.381 1.279 1.224 0.6293 1.968 1.336 3.893 3.181
[3,] 0.5101 2.969 2.011 3.059 1.517 1.419 0.7455 2.448 1.523 4.596 3.888
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.104 0.883 0.9343 0.8323 1.311 0.5678 0.3622 7.367 4.770 2.220
[2,] 1.508 1.430 1.3525 1.1394 1.670 0.7427 0.4343 9.583 6.781 3.226
[3,] 1.747 1.891 1.7990 1.5245 1.960 0.8944 0.4818 11.196 8.009 4.077
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.276 1.295 4.831 2.974 3.02 0.5493 1.284 3.337
[2,] 404.195 197.962 752.532 551.517 732.72 80.8674 201.898 586.054
[3,] 386.568 176.150 678.519 606.959 602.98 85.5589 199.013 543.482
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.567 2.56 1.738 2.507 1.642 2.368 3.025 2.428
[2,] 621.545 600.92 320.583 569.873 246.497 518.354 575.408 356.992
[3,] 594.212 631.50 295.676 495.197 256.645 474.280 589.241 346.047
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.885 2.652 3.647 2.902 6.326 2.453 5.888 3.284
[2,] 602.791 578.900 685.792 564.813 999.195 383.360 1749.207 743.066
[3,] 618.541 642.350 792.287 647.052 958.316 328.234 1321.890 704.273
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6807 3.106 2.957 2.804 2.908 0.9614 2.78 2.796
[2,] 113.6348 667.687 738.788 408.783 519.883 139.3730 543.33 366.891
[3,] 104.8665 813.567 756.592 434.233 649.189 127.0429 683.57 381.735
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.557 3.283 2.623 2.816 2.606 2.011 1.458 0.58 1.24
[2,] 231.113 661.433 659.886 607.051 417.615 420.245 211.790 85.31 223.40
[3,] 216.112 681.211 569.657 524.053 413.999 411.841 206.357 102.21 219.42
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.5525 2.108 1.927 1.641 0.9951 2.259 1.966 2.467
[2,] 102.8327 398.220 434.154 246.968 204.4145 431.423 391.012 319.843
[3,] 98.2126 369.634 405.478 261.369 156.6795 411.371 381.464 331.372
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.353 2.384 1.713 0.9984 2.233 2.122 2.156 1.529
[2,] 219.102 547.053 263.921 176.2844 449.498 427.096 376.354 376.450
[3,] 195.806 562.936 276.100 179.0295 480.286 420.727 410.570 444.790
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.889 0.7935 1.935 1.115 1.82 1.456 1.834 1.875
[2,] 283.402 125.3246 418.411 134.960 244.89 210.914 427.031 471.919
[3,] 300.650 157.6769 456.530 138.229 288.91 182.092 348.067 396.711
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.8768 1.95 1.475 1.482 0.9608 2.716 2.19 2.513
[2,] 187.7803 434.34 170.807 397.549 152.4770 406.932 505.28 416.712
[3,] 185.9196 395.15 158.759 435.993 148.9546 442.176 498.01 369.126
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 2.573 2.916 2.261 2.344 0.4528 1.882 1.689 2.13
[2,] 683.618 431.579 624.897 495.247 70.0084 457.273 283.433 455.32
[3,] 514.054 490.052 499.399 516.249 68.9291 520.490 291.459 517.35
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.273 1.296 0.6497 1.7 1.205 4.185 3.231 1.402
[2,] 214.130 182.088 98.6753 388.6 253.463 558.285 514.458 276.622
[3,] 219.555 193.492 107.6919 392.2 196.990 657.758 601.918 237.902
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.121 1.186 1.057 1.665 0.721 0.4599 9.355 6.058
[2,] 303.180 263.460 209.627 278.878 128.980 64.5517 1651.040 1298.201
[3,] 333.104 319.529 272.849 276.323 134.244 56.2301 1559.395 1148.271
[,98]
[1,] 2.819
[2,] 630.699
[3,] 671.482
[1] "--- VAR model 2017-10-06 01:01:00 completed"
[1] "Completed training sample: 2017-10-06 01:01:00 - 2017-10-06 09:00:00"
[1] "SpVAR; training sample: 2017-10-06 01:31:00 - 2017-10-06 09:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-23.8204 9.844 -16.413 -12.69
-2.1162 5.458 2.465 28.10
0.9158 15.007 25.847 11.29
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
17.724 -3.066 -1.293 -14.22
-1.602 1.421 -1.976 34.98
5.312 4.352 6.599 11.58
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
14.56 4.28 -1.998 -23.27
-21.93 -29.25 17.422 -18.82
44.20 40.17 5.650 -23.28
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.132 -22.89297 -14.20 5.453
7.184 -0.05833 15.63 -9.414
4.388 -4.26237 5.72 12.173
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.50552 -36.0345 9.978 -7.566
-4.96497 -8.0030 -25.741 -3.219
0.05786 -0.4149 -51.308 -9.558
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-1.059 -3.452 -3.651 -25.277
-2.563 13.351 -46.823 2.164
60.072 5.125 -1.701 -19.317
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.730 -1.229 23.772 21.768
5.741 -13.043 14.497 27.117
6.295 -34.213 -1.827 6.304
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.766 3.877 -15.9 7.669
4.385 4.677 17.3 -14.288
37.394 7.058 22.9 4.415
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.458 20.04 12.04 -11.515
-2.781 20.80 -15.97 2.502
6.347 11.77 12.06 3.105
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.777 28.139 2.875 -2.63771
-5.826 -3.093 -3.972 -1.47489
-3.348 2.931 -4.416 0.02269
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.454 -2.745 -17.8106 -20.172
-16.296 6.931 -0.8034 -17.537
-1.351 -3.619 -2.9790 1.561
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.998 1.942 -0.2332 2.794
-10.941 4.286 -0.3008 33.122
2.217 2.052 -8.4082 -16.523
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-10.64 -9.30032 30.95 16.4112
11.93 0.05884 -19.18 -0.2901
18.38 5.79127 24.72 12.4650
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
17.804 10.93 6.721 9.895
-1.956 25.66 18.651 25.117
3.374 -12.52 -10.414 21.739
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.128 3.557 -1.4128 16.085
6.741 10.767 -4.6271 -1.413
28.803 19.794 0.7436 2.362
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-13.2863 11.282 -9.132 3.110
0.1162 6.431 4.376 7.967
-10.9181 10.419 9.772 20.671
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
24.77 -12.576 0.03818 3.271
11.26 13.069 25.05157 -4.704
19.61 -1.775 -14.52639 -2.510
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.903 -4.357 -32.0460 -12.304
2.743 2.332 0.7235 -14.063
2.152 -9.602 4.3848 -6.465
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-18.549 11.029 4.380 -34.53
-7.864 -16.475 7.708 -15.94
-2.428 -7.743 22.906 11.94
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-44.54 2.188 -21.2851 -2.698
-24.87 4.192 -13.7257 13.411
-31.65 -4.289 -0.4849 -1.192
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-5.11 16.02 -8.9858 2.963
-28.25 -13.49 0.4512 -2.645
-32.38 -12.79 -0.2142 -1.996
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
12.250 3.424 -4.632 -15.044
12.114 1.850 27.571 1.456
-5.023 9.880 38.221 -28.419
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
8.152 15.467 13.712 6.914
-5.948 -7.954 1.507 2.243
-9.388 -8.226 -10.686 -10.293
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.638 0.3796 -6.603 -20.762
6.751 2.8571 -9.101 -7.512
-6.589 1.8087 -7.156 -75.857
rnd_95776.volume rnd_95787.volume
39.767 -8.915
30.231 6.312
-3.724 -36.476
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.887 1.107 4.099 2.547 2.741 0.4529 1.052 3.120 3.214 2.393 1.458
[2,] 2.521 1.357 5.227 3.599 3.883 0.5813 1.332 3.828 4.231 3.459 1.974
[3,] 2.932 1.543 5.980 4.372 4.795 0.6610 1.568 4.469 4.860 4.176 2.273
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.190 1.389 1.967 2.743 2.154 2.520 2.195 3.284 2.503 5.666 1.894
[2,] 3.182 1.745 2.885 3.790 2.543 3.416 3.219 4.375 3.466 7.088 2.429
[3,] 3.702 2.028 3.526 4.474 2.888 4.208 3.973 5.379 4.336 8.114 2.766
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.649 2.954 0.5894 2.828 2.569 2.317 2.368 0.7535 2.492 2.436 1.343
[2,] 8.427 4.257 0.7923 3.934 4.066 2.887 3.238 0.9376 3.255 2.855 1.663
[3,] 10.081 5.138 0.9066 5.028 5.077 3.314 4.168 1.0629 4.408 3.235 1.860
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.720 2.318 2.366 2.278 1.766 1.248 0.4462 1.013 0.5212 1.941 1.780
[2,] 3.724 3.375 3.330 2.831 2.399 1.591 0.5674 1.330 0.6678 2.481 2.544
[3,] 4.611 4.133 3.888 3.239 2.901 1.826 0.7046 1.569 0.7621 2.844 2.922
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.423 0.8923 1.876 1.684 2.065 1.106 2.244 1.383 0.8601 1.875 1.814
[2,] 1.681 1.1732 2.540 2.296 2.451 1.366 3.216 1.739 1.1970 2.701 2.536
[3,] 2.000 1.3266 3.028 2.675 2.887 1.597 3.899 2.088 1.3932 3.365 3.162
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.908 1.351 1.622 0.6963 1.473 0.9605 1.525 1.192 1.561 1.646 0.7493
[2,] 2.464 2.079 2.013 0.9025 2.228 1.1512 1.810 1.461 2.301 2.498 1.1260
[3,] 3.121 2.768 2.342 1.0902 2.941 1.2723 2.098 1.641 2.672 2.934 1.3613
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.617 1.187 1.321 0.7826 2.285 1.862 2.222 2.270 2.475 2.060 1.963
[2,] 2.391 1.424 2.158 0.9689 2.873 2.626 2.852 3.529 2.992 3.157 2.813
[3,] 2.879 1.597 2.773 1.1333 3.364 3.215 3.274 4.058 3.669 3.884 3.600
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.3594 1.660 1.488 1.826 1.046 1.011 0.5882 1.546 1.019 3.506 2.974
[2,] 0.4631 2.560 1.979 2.628 1.360 1.272 0.7257 2.176 1.431 4.234 3.654
[3,] 0.5470 3.343 2.282 3.325 1.641 1.511 0.8522 2.721 1.649 4.972 4.559
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.094 1.027 1.023 0.8785 1.339 0.6359 0.3787 7.318 5.869 2.562
[2,] 1.621 1.675 1.484 1.2653 1.843 0.8560 0.4461 9.608 7.627 3.447
[3,] 1.945 2.137 1.969 1.7460 2.149 1.0522 0.4980 11.224 8.937 4.384
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.397 1.406 5.205 3.234 3.481 0.5751 1.336 3.962
[2,] 416.993 195.954 809.329 634.771 686.416 90.9370 203.990 553.675
[3,] 373.911 183.493 725.000 619.318 702.228 78.5241 206.367 575.730
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.081 3.039 1.852 2.781 1.764 2.498 3.483 2.735 3.2
[2,] 686.922 623.509 331.950 576.356 263.534 526.820 652.552 337.398 575.6
[3,] 596.517 583.588 281.151 471.859 257.693 505.677 593.370 341.796 613.2
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 2.787 4.17 3.178 7.195 2.405 7.174 3.751 0.7484
[2,] 587.672 721.35 598.478 1062.817 379.469 1560.845 765.062 132.1443
[3,] 581.351 781.16 650.091 985.586 330.336 1380.539 718.086 110.0125
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.591 3.262 2.942 3.007 0.9568 3.165 3.093 1.706
[2,] 682.561 786.736 430.029 551.180 139.2673 522.467 371.693 244.598
[3,] 781.636 758.529 405.996 654.863 124.9903 741.991 379.685 207.896
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.454 2.943 3.004 2.893 2.243 1.585 0.5666 1.286
[2,] 635.027 612.331 585.021 419.332 405.103 246.293 87.5113 215.133
[3,] 678.501 595.261 500.682 392.974 407.272 223.640 104.2380 207.670
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.6618 2.465 2.26 1.806 1.133 2.382 2.138 2.622
[2,] 104.2320 385.629 453.53 223.764 190.090 427.468 389.396 329.826
[3,] 91.6462 347.212 359.07 270.101 154.569 411.252 342.677 380.778
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 1.404 2.85 1.756 1.092 2.382 2.303 2.422 1.715 2.06
[2,] 200.165 575.05 263.061 207.800 484.957 442.204 389.261 394.471 297.35
[3,] 206.398 550.20 288.360 177.920 500.978 471.443 478.234 456.177 299.08
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.8842 1.871 1.22 1.936 1.514 1.982 2.09 0.9515
[2,] 143.3224 417.263 158.38 243.498 211.091 422.038 468.95 209.7718
[3,] 152.6417 478.890 135.22 264.881 186.415 338.870 384.38 190.9618
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.053 1.508 1.678 0.9938 2.901 2.364 2.822 2.882
[2,] 439.422 196.181 426.005 142.5672 434.672 462.248 446.211 674.337
[3,] 400.602 180.658 434.698 146.7459 436.802 463.103 401.507 500.029
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 3.143 2.616 2.493 0.4564 2.108 1.89 2.318 1.329
[2,] 419.547 597.151 502.947 72.8773 486.344 325.42 471.704 216.688
[3,] 529.964 564.805 560.520 72.6636 536.662 283.71 508.655 229.304
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.284 0.747 1.963 1.294 4.452 3.777 1.39 1.304
[2,] 192.787 106.096 382.002 250.612 592.221 529.762 298.47 330.275
[3,] 203.309 111.501 407.819 204.389 650.719 680.409 268.06 331.408
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.299 1.116 1.7 0.8075 0.4808 9.293 7.453 3.254
[2,] 268.312 227.274 316.0 143.0390 58.8753 1553.797 1215.719 575.627
[3,] 322.981 300.289 276.0 152.6954 55.2620 1448.343 1162.594 675.833
[1] "--- VAR model 2017-10-06 01:31:00 completed"
[1] "Completed training sample: 2017-10-06 01:31:00 - 2017-10-06 09:30:00"
[1] "SpVAR; training sample: 2017-10-06 02:01:00 - 2017-10-06 10:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.723 12.294 -11.11 -14.368
3.657 5.046 -12.15 14.349
-7.641 1.567 -18.35 -5.344
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
10.200 0.615 2.1003 13.97
-28.415 -0.753 0.4676 -6.08
5.166 4.978 -8.1116 -6.68
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
24.064 22.223 -10.300 -32.26
5.659 -4.778 3.269 -8.00
-15.728 -1.020 -1.347 -33.29
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.140 -7.044 -3.616 14.958
5.514 10.220 8.623 -2.536
-2.849 -8.652 3.279 9.698
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
5.111 -30.80 -8.905 4.010
-15.878 10.50 17.249 -11.044
7.020 15.65 6.038 6.305
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
25.658 -4.323 13.2514 5.383
-25.200 -1.398 4.8181 -14.473
-7.184 -10.494 0.7141 15.112
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.9886 27.846 8.139 -14.904
-0.7767 2.553 -3.334 1.976
-2.2051 -9.308 8.631 -1.337
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-7.734 -6.164 5.445 -15.305
21.170 -2.590 4.996 12.171
-28.004 3.349 -12.466 -6.893
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.474 3.417 3.708 -4.919
4.444 -7.487 -9.773 8.471
-3.316 12.256 7.407 0.395
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-4.387 -4.195 -14.8594 -2.328
11.635 -10.384 -2.2818 1.527
-11.283 -19.061 -0.5405 -1.630
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.183 1.834 5.724 -3.2070
5.448 -1.970 7.649 6.2498
5.658 -2.805 -7.451 0.5264
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4223 7.044 8.477 2.2379
12.4617 4.162 -7.752 -0.9429
3.4147 2.262 13.972 -5.7951
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
18.0519 -11.7903 -4.618 -0.1217
-9.5974 -0.6944 25.449 4.1280
-0.5839 -1.2228 8.252 3.9007
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-5.099 10.330 2.535 -8.627
3.192 -1.015 -6.632 4.065
1.228 19.563 19.820 11.100
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-16.226 1.931 1.4477 -19.617
7.912 -3.063 0.4349 -15.430
2.697 11.594 3.9399 -0.698
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.053 -9.7579 1.631 15.944
-9.268 5.6746 2.171 -4.355
1.396 0.5524 -6.752 -11.432
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.096 4.780 1.7379 -9.378
-13.062 1.348 -10.2232 -6.041
1.308 -2.943 -0.1435 8.652
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.212 -1.1158 -2.832 -2.5225
1.943 0.5363 15.799 3.7599
-2.407 0.6963 -14.047 0.6821
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.186 -11.87 26.704 13.347
7.060 15.60 -3.910 -5.034
2.096 10.59 1.488 5.676
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.5182 -6.9332 20.243 -1.329
0.6001 -0.3993 -1.944 -2.423
13.1635 -1.4847 -15.902 6.349
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
11.703 0.3809 -3.8484 2.720
3.228 -13.5919 0.5029 1.698
-5.516 -1.8235 2.2840 -5.522
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.486 -1.605 -6.599 -22.644
-15.628 14.989 1.817 3.428
-4.602 6.729 -19.458 -26.468
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5467 3.5691 -3.1550 -3.9073
-6.0015 -0.5166 0.8933 -0.9507
9.5701 -10.5845 -15.3378 -8.8151
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-18.982 3.827 -6.837 -4.632
-15.256 -6.352 -6.100 -29.252
-6.118 4.324 -7.064 -26.373
rnd_95776.volume rnd_95787.volume
5.019 6.190
19.593 -5.284
-3.871 -4.775
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.044 1.159 4.462 2.884 2.857 0.4599 1.140 3.404 3.564 2.630 1.577
[2,] 2.713 1.500 5.592 4.059 4.192 0.6086 1.419 4.256 4.533 3.882 2.122
[3,] 3.092 1.734 6.470 4.824 5.205 0.7145 1.695 4.885 5.350 4.703 2.463
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.326 1.528 2.260 3.018 2.236 2.755 2.550 3.789 2.983 6.254 2.105
[2,] 3.455 1.906 3.188 4.072 2.672 3.664 3.788 5.107 4.004 7.837 2.598
[3,] 3.965 2.199 3.848 4.755 3.118 4.575 4.576 6.545 4.841 8.844 2.953
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.43 3.270 0.6498 3.153 2.776 2.462 3.011 0.7866 2.742 2.575 1.438
[2,] 9.48 4.751 0.8556 4.327 4.375 3.062 3.952 0.9696 3.668 3.164 1.802
[3,] 11.18 5.646 0.9846 5.804 5.376 3.495 4.845 1.1009 4.778 3.573 2.010
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.025 2.463 2.470 2.495 1.912 1.417 0.5848 1.235 0.5673 2.028 1.893
[2,] 4.088 3.787 3.603 3.095 2.694 1.845 0.6865 1.638 0.7429 2.702 2.716
[3,] 4.932 4.680 4.251 3.569 3.095 2.143 0.8093 1.944 0.8630 3.111 3.174
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.588 0.9684 2.094 1.897 2.087 1.201 2.504 1.420 0.9639 2.053 2.048
[2,] 1.947 1.2810 2.807 2.570 2.581 1.519 3.420 1.837 1.2938 2.853 2.740
[3,] 2.264 1.5071 3.463 2.911 3.110 1.778 4.208 2.203 1.4825 3.618 3.403
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.001 1.572 1.779 0.7828 1.677 0.9858 1.626 1.296 1.792 1.877 0.7908
[2,] 2.570 2.241 2.280 1.0635 2.524 1.1812 1.986 1.599 2.513 2.882 1.2179
[3,] 3.197 3.070 2.653 1.2181 3.244 1.3010 2.346 1.841 3.005 3.481 1.4726
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.873 1.307 1.542 0.9003 2.456 1.904 2.633 2.529 2.654 2.317 2.207
[2,] 2.693 1.640 2.503 1.0825 3.061 2.795 3.172 3.664 3.330 3.492 3.080
[3,] 3.272 1.835 3.139 1.2364 3.539 3.367 3.574 4.275 4.186 4.255 3.974
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.4280 1.868 1.653 2.127 1.179 1.175 0.7109 1.734 1.095 3.902 3.192
[2,] 0.5515 2.807 2.199 3.047 1.530 1.478 0.8790 2.524 1.527 4.873 4.087
[3,] 0.6305 3.715 2.574 3.857 1.825 1.689 1.0031 2.964 1.800 5.669 5.143
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.238 1.227 1.224 1.035 1.489 0.7633 0.4239 7.602 6.742 2.982
[2,] 1.717 1.870 1.671 1.419 1.970 1.0386 0.5051 9.616 8.932 3.945
[3,] 2.047 2.342 2.103 1.895 2.312 1.2286 0.5534 11.261 10.383 5.021
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.596 1.472 5.665 3.662 3.628 0.584 1.447 4.323
[2,] 383.788 204.803 725.694 614.834 660.182 85.789 181.764 549.941
[3,] 319.300 187.357 700.374 561.046 664.115 80.560 199.850 515.981
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.525 3.339 2.002 2.953 1.94 2.87 3.833 2.84 3.498
[2,] 602.979 614.651 305.675 550.060 245.27 483.96 588.337 314.56 519.957
[3,] 611.635 571.223 269.385 418.462 235.90 463.68 528.611 346.10 589.718
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 3.238 4.812 3.788 7.942 2.673 8.166 4.153 0.8252
[2,] 602.873 736.883 575.035 1016.467 327.455 1499.185 741.605 119.8104
[3,] 552.726 881.172 585.290 882.253 302.178 1274.042 656.673 104.8616
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.004 3.525 3.126 3.824 0.9988 3.482 3.27 1.827
[2,] 637.603 727.743 391.758 551.082 122.0100 524.444 395.78 233.778
[3,] 832.733 672.498 362.857 602.994 112.2288 658.804 357.32 191.398
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 3.841 3.128 3.136 3.169 2.428 1.8 0.7426 1.568
[2,] 591.886 618.970 564.717 394.192 408.553 254.2 77.3971 231.637
[3,] 593.699 592.044 485.259 382.533 327.751 234.6 92.2267 225.103
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.7203 2.575 2.404 2.016 1.23 2.659 2.409 2.65
[2,] 103.2590 384.484 419.281 242.615 180.47 402.390 373.243 326.81
[3,] 94.5069 331.889 353.573 248.840 170.89 436.245 294.134 373.40
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.526 3.18 1.803 1.224 2.607 2.601 2.541 1.996
[2,] 199.928 501.31 250.919 185.757 426.219 391.905 346.958 343.846
[3,] 198.957 527.60 261.893 155.784 479.145 434.101 409.414 451.719
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.259 0.9941 2.13 1.252 2.065 1.645 2.275 2.384
[2,] 306.754 154.9320 405.98 140.060 245.546 201.822 379.095 470.628
[3,] 292.041 127.8309 438.61 117.397 268.618 196.267 354.852 420.036
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.004 2.378 1.659 1.958 1.143 3.119 2.418 3.343
[2,] 199.339 416.429 213.488 424.390 129.367 393.200 440.514 380.823
[3,] 178.199 400.186 177.195 407.771 128.580 382.238 403.760 354.444
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 3.211 3.37 2.942 2.802 0.5435 2.372 2.099 2.701
[2,] 570.703 432.99 562.336 462.407 74.8635 450.814 312.154 469.525
[3,] 474.105 545.84 523.239 540.561 65.7749 523.919 287.869 509.058
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.497 1.492 0.9027 2.202 1.391 4.955 4.054 1.572
[2,] 209.743 192.941 111.2664 394.762 229.057 628.037 549.372 256.090
[3,] 214.392 175.786 104.0548 334.279 204.911 623.820 671.912 240.025
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.558 1.554 1.314 1.89 0.9693 0.5383 9.654 8.561
[2,] 303.857 245.098 209.018 277.62 151.5968 59.1116 1267.435 1261.094
[3,] 303.277 274.696 270.194 260.43 141.2313 48.6504 1261.127 1139.435
[,98]
[1,] 3.787
[2,] 555.752
[3,] 668.678
[1] "--- VAR model 2017-10-06 02:01:00 completed"
[1] "Completed training sample: 2017-10-06 02:01:00 - 2017-10-06 10:00:00"
[1] "SpVAR; training sample: 2017-10-06 02:31:00 - 2017-10-06 10:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.790 0.8905 11.4303 -3.235
24.847 -2.0026 3.2293 5.757
-9.197 3.6720 0.7681 -4.170
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
12.734 2.6976 7.758 17.622
-1.229 1.1625 7.486 5.583
2.683 0.2657 8.648 -11.606
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.215 -6.915 -4.1378 -23.35
2.196 23.252 -0.1812 -12.19
8.275 -7.509 1.4941 -26.14
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.7196 -9.207 -23.313 8.5317
-5.3089 -6.143 6.706 0.6152
-1.0321 7.849 8.147 -7.1328
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.786 7.899 -18.391 10.12
-15.616 -7.283 25.142 27.16
-19.542 -13.424 -3.342 28.03
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
15.820 6.317 -11.73 13.061
1.722 15.817 -26.35 -19.064
29.761 5.990 14.57 6.389
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.387 12.361 16.877 7.755
-2.943 -9.204 -5.993 -10.054
4.421 -20.396 -12.093 -10.906
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
3.945 0.5424 3.9882 -0.4691
2.751 2.9003 -0.1756 -1.2587
5.582 3.3861 11.1625 -0.3645
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.220 -17.2874 -5.127 1.085
2.137 31.7277 9.663 2.031
4.837 -0.8477 9.255 5.910
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.290 14.0329 5.886 -2.8730
19.464 -0.4177 -1.815 4.8052
6.906 6.3241 8.382 -0.4996
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.660 -1.048 1.172 -11.790
-4.943 4.751 12.032 7.303
8.051 2.282 1.079 -5.778
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.6221 -2.476 9.205 7.345
2.8414 -3.141 2.757 2.921
0.2016 -2.166 21.877 -3.507
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.201 2.358 -8.430 -0.7554
3.447 3.795 14.039 7.1236
3.449 -1.420 5.887 10.5589
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.7762 15.742 10.06 1.198
0.5674 -6.569 -11.16 5.179
8.2497 9.682 -6.42 -7.569
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
11.2490 1.169 -0.5065 -2.164
0.5053 14.654 -2.1710 12.546
-4.9057 5.285 1.5795 -3.319
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.544 -5.951 -7.876 1.812
-3.670 1.667 8.026 -5.375
-1.066 5.906 1.662 11.073
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.863 -4.838 -0.787 2.257
-6.283 2.353 -9.664 1.879
19.139 -5.740 9.855 6.568
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
15.487 -4.5949 18.9682 7.914
-7.898 -0.2254 1.6403 18.956
4.858 -0.2833 -0.5286 -6.234
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.707 15.835 -16.222 -15.67
-3.589 5.185 19.892 11.94
10.756 35.878 7.241 14.30
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-24.645 -1.3900 -3.6064 -7.5512
1.936 0.9697 -0.4321 3.2811
20.496 1.0381 10.3907 -0.6153
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.304 -4.005 -0.01147 3.2894
-14.326 -0.217 4.91475 -0.6858
13.382 -2.334 1.35317 0.5447
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.5264 1.599 15.926 -5.3528
8.8081 2.602 8.160 -0.4043
8.3088 -2.784 7.328 -9.9533
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.760 -9.441 -7.799 -3.951
1.927 -6.198 -11.119 -12.748
-6.196 6.969 5.912 6.409
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.967 -4.08654 -8.109 30.727
5.095 0.06214 -5.939 42.532
1.274 2.32552 -8.313 8.743
rnd_95776.volume rnd_95787.volume
26.022 19.548
29.903 -5.392
6.591 -5.339
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.179 1.334 4.867 3.129 3.049 0.5186 1.231 3.707 3.989 2.827 1.830
[2,] 2.968 1.683 6.086 4.426 4.472 0.6858 1.566 4.617 5.151 4.197 2.415
[3,] 3.426 1.898 7.016 5.272 5.647 0.7969 1.864 5.324 5.963 5.081 2.796
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.545 1.683 2.392 3.295 2.425 3.209 2.897 4.317 3.203 7.003 2.301
[2,] 3.663 2.097 3.585 4.446 2.943 4.048 4.125 5.699 4.375 8.780 2.930
[3,] 4.128 2.365 4.171 5.130 3.467 5.035 4.921 7.145 5.315 9.713 3.315
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.891 3.410 0.7647 3.426 3.013 2.763 3.271 0.8338 2.831 2.737 1.472
[2,] 10.388 5.095 0.9546 4.725 4.611 3.427 4.423 1.0148 3.921 3.452 1.872
[3,] 12.210 6.026 1.1142 6.351 5.759 3.817 5.207 1.1572 4.967 4.008 2.093
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.395 2.532 2.828 2.792 2.052 1.540 0.6928 1.457 0.6507 2.173 2.050
[2,] 4.590 3.968 3.955 3.464 2.910 1.965 0.8544 1.920 0.8236 2.858 2.962
[3,] 5.448 5.128 4.663 3.986 3.328 2.271 0.9822 2.218 0.9546 3.281 3.400
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.677 1.149 2.348 2.060 2.385 1.398 2.709 1.673 1.077 2.324 2.297
[2,] 2.099 1.452 3.158 2.804 2.991 1.832 3.925 2.098 1.379 3.131 3.052
[3,] 2.415 1.686 3.776 3.200 3.511 2.042 4.756 2.415 1.582 3.995 3.797
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.096 1.866 1.834 0.8784 1.857 1.037 1.661 1.489 1.902 1.945 1.005
[2,] 2.754 2.753 2.353 1.1843 2.692 1.244 2.105 1.822 2.800 3.145 1.396
[3,] 3.505 3.568 2.837 1.3584 3.420 1.402 2.536 2.075 3.269 3.805 1.621
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.056 1.567 1.962 0.992 2.789 2.132 2.999 2.760 3.177 2.714 2.386
[2,] 2.993 1.868 2.788 1.187 3.408 3.239 3.645 4.020 4.026 4.018 3.395
[3,] 3.619 2.063 3.474 1.371 3.941 3.866 4.042 4.668 4.852 4.825 4.438
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.5214 2.121 1.851 2.515 1.310 1.336 0.8357 1.905 1.277 4.246 3.795
[2,] 0.6661 3.287 2.387 3.551 1.728 1.680 1.0203 2.655 1.672 5.346 4.826
[3,] 0.7598 4.202 2.857 4.361 2.033 1.911 1.1586 3.098 1.958 6.249 5.873
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.351 1.276 1.407 1.232 1.726 0.9081 0.4503 7.966 7.548 3.407
[2,] 1.920 2.034 1.909 1.679 2.188 1.2075 0.5459 9.763 9.846 4.491
[3,] 2.260 2.571 2.303 2.110 2.465 1.3509 0.6019 11.247 11.440 5.682
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.767 1.694 6.181 3.973 3.871 0.6585 1.564 4.708
[2,] 392.417 199.570 711.247 609.256 636.980 87.3707 188.252 535.595
[3,] 333.150 171.090 679.577 557.616 671.178 79.0091 197.033 516.236
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.065 3.59 2.324 3.232 2.137 3.037 4.185 3.079
[2,] 634.443 603.80 306.887 512.702 243.416 519.837 580.908 324.517
[3,] 584.788 557.59 274.300 370.630 213.041 415.215 498.230 356.799
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.075 3.679 5.481 4.067 8.893 2.922 8.751 4.331
[2,] 480.266 571.651 724.320 580.156 1030.784 353.102 1513.124 736.799
[3,] 582.913 522.204 838.800 587.572 808.814 301.936 1248.971 626.401
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.971 4.351 3.825 3.509 4.154 1.059 3.595 3.476
[2,] 111.231 633.363 679.475 394.510 579.485 112.607 527.934 409.346
[3,] 111.843 826.186 671.747 327.136 534.843 108.267 593.590 396.552
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.87 4.311 3.215 3.591 3.546 2.605 1.955 0.8798 1.85
[2,] 224.94 601.277 594.647 538.304 398.927 401.782 237.582 97.3442 243.35
[3,] 182.16 571.515 632.358 480.834 383.982 314.111 221.581 94.2880 216.33
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 0.8263 2.76 2.603 2.13 1.459 2.982 2.615 3.029 1.775
[2,] 98.2707 361.40 416.184 245.69 172.658 411.083 370.474 351.281 230.535
[3,] 93.9527 313.79 324.945 232.39 166.819 403.062 300.197 358.016 175.628
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.439 2.124 1.368 2.951 2.916 2.662 2.37 2.329
[2,] 552.940 246.465 167.496 408.407 391.360 347.494 393.90 287.060
[3,] 522.985 232.924 151.185 483.107 439.501 422.173 441.89 308.427
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.115 2.358 1.317 2.109 1.891 2.415 2.47 1.276 2.61
[2,] 154.635 379.345 133.628 251.837 204.221 399.913 481.12 188.757 423.40
[3,] 129.535 410.795 126.043 275.292 193.265 328.666 416.80 160.396 396.14
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.99 2.492 1.26 3.542 2.707 3.808 3.504 4.035 3.446
[2,] 197.86 385.611 126.86 381.308 474.615 403.452 569.026 481.206 576.724
[3,] 170.64 403.261 133.41 385.075 410.969 340.004 461.970 527.232 519.905
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 3.03 0.662 2.694 2.351 3.194 1.664 1.697 1.061 2.419
[2,] 470.20 80.714 488.762 293.325 488.098 219.231 198.230 113.948 360.165
[3,] 556.39 71.137 509.642 305.742 492.715 208.448 177.231 106.865 310.534
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 1.621 5.392 4.819 1.716 1.62 1.787 1.565 2.192
[2,] 210.282 632.175 580.175 265.479 308.47 251.133 221.934 261.625
[3,] 198.191 630.183 651.703 232.130 305.99 250.857 248.709 221.254
[,94] [,95] [,96] [,97] [,98]
[1,] 1.153 0.5718 10.12 9.585 4.326
[2,] 154.922 60.0996 1098.80 1230.724 569.591
[3,] 117.899 49.3549 1086.98 1133.786 677.498
[1] "--- VAR model 2017-10-06 02:31:00 completed"
[1] "Completed training sample: 2017-10-06 02:31:00 - 2017-10-06 10:30:00"
[1] "SpVAR; training sample: 2017-10-06 03:01:00 - 2017-10-06 11:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
10.674 3.027 -29.250 7.544
-7.926 4.992 22.040 20.903
-12.799 -5.184 1.102 -18.183
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
1.734 1.880 -5.055 2.608
6.363 -0.995 2.445 -5.963
17.857 -3.688 -2.239 -24.570
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.6327 0.8069 7.382 -18.328
27.0664 18.8587 -2.785 -14.053
-43.3887 -8.0361 4.701 5.795
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.177 -9.7802 -25.052 14.03
-17.464 -0.8918 -9.764 10.20
7.123 9.7813 -9.410 22.11
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
12.770 9.342 -13.985 25.417
-9.952 -10.155 23.847 -5.624
1.751 -14.664 -1.316 34.675
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
9.593 13.5443 21.23 32.39
77.208 -0.4918 -103.92 -60.13
-14.475 0.1804 102.33 34.98
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.910 -2.345 5.176 -7.8059
2.143 7.757 13.643 -4.4289
-2.929 -31.216 -52.839 0.5631
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.120 5.442 4.701 -15.513
11.107 -2.492 3.692 -2.247
-5.924 -1.146 12.961 -19.027
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.711 1.818 -16.466 0.1092
-5.150 -16.600 5.730 2.6241
-2.125 23.475 2.146 -9.9385
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.2532 2.440 -3.7911 1.471
-7.8147 -3.732 13.0642 -1.020
-7.4126 -13.234 -0.8448 3.612
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.047 2.516 5.686 -9.244
10.597 1.616 -13.205 -12.804
-1.235 1.702 -10.439 -7.795
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-5.230 6.043 -9.956 -13.883
12.242 -6.488 -1.161 -8.568
1.146 4.449 -4.803 8.467
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.249 9.4127 -10.17 4.9636
-19.413 -9.4104 -14.27 0.4208
11.930 -0.7159 -11.58 5.7932
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
12.303 9.092 -0.7645 -21.492
-2.704 -17.803 -14.4333 1.376
1.044 -21.534 -6.4275 -11.191
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-28.751 -12.769 4.644 10.37
5.642 7.426 1.432 -35.51
-3.765 -14.996 -0.462 21.93
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.744 10.446 -2.4228 13.495
-4.265 -14.705 -9.1632 2.421
-3.910 5.922 -0.5258 -19.980
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
19.09 -2.531 20.614 2.282
11.47 5.442 3.410 -12.538
-14.85 8.982 -2.523 7.908
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
12.596 5.766 -15.742 23.321
3.625 -4.461 -5.500 -21.627
6.297 3.128 -4.953 5.197
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.01244 14.00 -9.023 -24.85
6.93531 11.49 20.741 41.88
-13.42464 -10.96 -4.981 -25.24
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.26 0.8491 -2.358 -2.967
-13.56 -1.7186 -1.845 16.544
23.21 1.8567 12.151 -6.553
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.039 -10.885 4.205 2.6150
19.955 7.884 -9.725 -0.1454
-10.550 1.146 7.167 2.8063
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.525 4.037 44.95 -36.280
0.385 8.475 18.36 16.276
-4.672 -1.948 -12.04 -3.074
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.336 -7.356 -10.363 -0.01943
-5.116 -6.311 -4.435 -9.38893
-9.597 -8.047 -4.798 -7.12322
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.237 -1.961 -8.371 5.32
-13.011 10.579 -8.296 -12.62
4.693 -4.069 -6.416 -22.26
rnd_95776.volume rnd_95787.volume
-35.60 15.22
-53.76 -41.34
30.07 20.33
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.633 1.437 5.804 3.537 3.443 0.6254 1.388 4.037 4.159 3.183 1.915
[2,] 3.333 1.824 7.120 4.918 5.096 0.8010 1.768 4.928 5.427 4.670 2.588
[3,] 3.680 2.070 8.153 5.817 6.280 0.9153 2.038 5.701 6.207 5.562 2.986
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.746 1.884 2.703 3.484 2.715 3.370 3.096 4.652 3.554 7.853 2.408
[2,] 3.885 2.270 3.885 4.623 3.339 4.354 4.447 6.175 4.848 10.044 3.157
[3,] 4.416 2.529 4.497 5.301 3.896 5.362 5.194 7.692 5.723 10.848 3.609
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.782 3.795 0.8972 3.587 3.243 2.996 3.502 0.908 3.047 3.017 1.660
[2,] 11.506 5.408 1.0673 5.021 4.864 3.783 4.703 1.107 4.197 3.672 1.991
[3,] 14.060 6.850 1.2277 6.930 6.126 4.317 5.792 1.250 5.377 4.287 2.215
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.576 2.765 3.012 3.166 2.390 1.783 0.7877 1.798 0.8209 2.527 2.358
[2,] 4.933 4.428 4.171 3.801 3.313 2.193 0.9722 2.212 0.9887 3.078 3.208
[3,] 5.830 5.569 5.011 4.332 3.738 2.509 1.1185 2.539 1.1468 3.594 3.629
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.782 1.279 2.655 2.405 2.817 1.485 3.054 1.787 1.164 2.600 2.455
[2,] 2.277 1.573 3.586 3.122 3.441 1.976 4.255 2.249 1.522 3.412 3.302
[3,] 2.645 1.823 4.152 3.597 3.964 2.264 5.190 2.587 1.757 4.222 4.073
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.384 2.166 2.356 0.9606 1.978 1.047 1.817 1.630 1.987 2.235 1.124
[2,] 3.116 3.188 2.854 1.2522 2.944 1.270 2.270 1.997 3.028 3.454 1.584
[3,] 3.898 4.124 3.321 1.4239 3.803 1.439 2.802 2.211 3.602 4.146 1.800
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.251 1.607 2.130 1.098 3.053 2.532 3.290 2.960 3.521 3.072 2.822
[2,] 3.256 1.975 3.046 1.302 3.761 3.797 3.974 4.516 4.444 4.362 3.858
[3,] 3.829 2.206 3.753 1.525 4.303 4.293 4.430 5.211 5.112 5.554 4.980
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6578 2.485 2.06 2.851 1.349 1.456 0.9376 2.149 1.696 5.041 4.163
[2,] 0.7891 3.773 2.59 4.062 1.834 1.771 1.1463 2.936 2.040 5.842 5.416
[3,] 0.8937 4.781 3.04 4.913 2.148 2.042 1.2919 3.406 2.364 6.729 6.358
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.599 1.462 1.497 1.399 1.863 1.105 0.4507 7.849 8.571 3.607
[2,] 2.165 2.325 2.163 1.956 2.331 1.477 0.5517 9.621 10.997 4.805
[3,] 2.486 2.842 2.613 2.389 2.703 1.629 0.6153 11.033 12.788 6.321
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.343 1.824 7.37 4.491 4.372 0.7942 1.762 5.127
[2,] 333.452 183.345 672.85 557.391 612.855 81.6570 178.765 461.095
[3,] 254.426 159.631 647.89 506.971 598.671 72.2403 165.305 467.616
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.281 4.042 2.432 3.487 2.392 3.432 4.424 3.447
[2,] 568.854 557.466 284.145 448.249 206.618 455.304 495.697 317.142
[3,] 491.269 492.822 242.857 342.574 181.946 369.414 423.329 327.636
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.279 3.931 5.908 4.513 9.972 3.058 9.882 4.819
[2,] 449.772 520.805 662.276 537.932 1021.617 333.034 1382.626 628.531
[3,] 510.565 437.672 748.346 496.203 668.373 285.331 1318.368 685.965
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.139 4.555 4.118 3.805 4.446 1.153 3.869 3.831
[2,] 94.308 573.160 591.258 376.634 512.158 103.406 470.951 341.459
[3,] 98.980 779.221 607.597 339.339 551.635 94.571 548.228 360.929
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 2.108 4.541 3.511 3.824 4.02 3.035 2.264 1.00 2.283
[2,] 179.479 554.320 564.181 470.703 343.04 374.427 208.371 92.96 210.055
[3,] 158.119 506.996 551.010 453.133 339.10 282.309 198.768 90.24 203.606
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.042 3.209 2.995 2.263 1.625 3.372 3.054 3.577
[2,] 89.894 286.718 354.831 231.219 149.223 393.122 324.720 322.309
[3,] 94.809 302.540 276.691 219.572 150.446 341.489 291.415 321.017
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.886 3.878 2.269 1.478 3.302 3.118 3.027 2.75
[2,] 212.544 483.266 222.831 159.918 360.262 360.184 327.419 381.67
[3,] 180.572 484.921 208.615 143.297 405.822 388.941 382.140 426.76
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.992 1.22 2.511 1.33 2.307 2.07 2.523 2.838 1.427
[2,] 262.696 131.05 355.789 117.11 222.089 188.16 372.742 429.721 182.016
[3,] 277.152 110.56 392.643 110.31 267.852 154.89 318.423 374.171 139.570
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.858 2.04 2.705 1.394 3.877 3.216 4.178 3.758
[2,] 383.934 187.50 355.084 114.149 358.274 461.430 363.630 556.504
[3,] 328.445 160.26 357.786 129.748 341.024 327.069 319.341 424.238
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.471 3.901 3.583 0.8353 3.155 2.617 3.62 1.712
[2,] 442.281 505.261 429.247 71.0951 463.222 256.131 472.00 202.857
[3,] 412.252 560.779 513.745 68.4669 478.913 259.564 450.81 182.408
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.849 1.191 2.729 2.154 6.402 5.287 2.03 1.856
[2,] 164.566 107.597 326.190 185.004 481.595 565.125 238.25 294.980
[3,] 165.806 97.201 281.623 194.660 544.653 543.213 199.34 266.547
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.902 1.777 2.366 1.403 0.5723 9.967 10.88 4.581
[2,] 254.655 222.984 228.416 159.791 51.9229 907.734 1124.00 517.897
[3,] 239.070 223.858 223.342 112.153 44.4543 880.888 1064.85 669.911
[1] "--- VAR model 2017-10-06 03:01:00 completed"
[1] "Completed training sample: 2017-10-06 03:01:00 - 2017-10-06 11:00:00"
[1] "SpVAR; training sample: 2017-10-06 03:31:00 - 2017-10-06 11:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.941 0.9255 41.59 15.966
1.604 -2.6637 -23.02 3.654
-1.523 -1.9883 14.65 -10.376
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
0.626 -6.2760 5.8031 36.483
3.958 4.5519 3.6011 -7.541
-2.107 0.1033 -0.4489 -10.202
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
30.833 13.75 2.8486 -25.650
5.758 11.04 -0.4819 -2.274
-2.298 -10.44 8.8838 -32.835
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9627 15.422 16.600 17.392
3.4406 11.577 16.769 -5.048
-2.9803 4.704 8.345 10.698
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
11.083 -17.746 6.285 11.97
-3.609 25.267 22.689 7.72
28.460 -1.283 18.030 12.07
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
16.97 -15.1944 -38.974 -13.236
12.04 -0.3043 37.617 15.817
12.82 -6.5979 -4.756 -2.573
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.4089 8.483 -0.4046 4.696
-5.0806 -10.566 4.4903 -11.786
0.7924 28.898 13.1640 -3.198
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
32.276 -6.7874 24.172 -6.402
-11.442 0.2789 21.463 19.056
0.292 -3.8788 0.978 -8.218
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.478 3.339 -15.103 -19.937
1.174 18.878 -10.313 -10.120
-1.679 4.233 7.473 2.511
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
10.707 2.2377 -6.403 -0.4646
-8.750 0.3312 -7.030 1.4030
6.402 -9.0461 -6.415 3.4655
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8125 8.040 -1.168 -14.557
-2.4473 -1.336 -4.757 -7.643
4.4489 1.784 -7.315 1.260
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.509 2.397 -6.552 4.898
5.133 1.345 4.147 -15.936
10.291 2.535 -12.010 19.877
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.2381 8.097 -13.418 17.930
-4.3647 -3.310 13.320 4.439
24.9758 2.698 -3.118 4.599
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
12.071 -8.416 -8.29 2.8970
-1.529 2.023 11.28 11.6547
11.733 7.903 5.11 0.7915
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
8.530 -7.6216 -0.65105 9.833
-5.666 -0.1334 -0.02274 -7.475
1.921 2.1356 -1.13178 5.632
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.926 3.584 0.5054 5.554
-4.080 9.392 -6.2696 -4.447
-2.237 -10.211 -4.0189 6.734
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
9.3913 9.219 -3.5095 -6.359
-0.5194 -1.011 0.4162 -11.217
6.0287 1.259 4.6771 -6.130
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.775 -3.486 10.9163 4.987
1.554 -2.079 -0.1234 -5.003
-7.137 1.854 7.9226 2.531
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
15.838 15.628 9.296 -7.596
-9.122 8.187 -8.761 28.277
5.839 6.186 2.366 -3.296
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-8.414 -0.1726 -7.35 10.907
14.017 3.2982 -10.89 -1.189
2.995 -0.1389 17.97 4.553
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.109 7.03783 -2.066 4.5354
-5.413 0.01826 -1.448 -0.2847
19.056 4.49194 -3.694 4.8731
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.8731 2.8233 33.293 -10.592
-0.5442 0.8392 -4.796 10.436
-4.7412 -4.3243 14.852 1.237
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-11.853 -8.89790 -0.07031 -5.461
5.054 -9.42779 -6.12845 -8.008
5.547 -0.05639 -7.95622 -1.218
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
6.019 6.6236 -10.641 -0.9617
-3.948 0.8143 -7.595 4.5518
5.172 0.8077 -10.714 5.9898
rnd_95776.volume rnd_95787.volume
-40.669 8.557
8.099 -4.383
10.038 13.086
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.966 1.698 6.603 3.876 3.820 0.7143 1.520 4.462 4.588 3.486 2.051
[2,] 3.681 2.087 7.963 5.211 5.550 0.9172 1.917 5.452 5.882 5.191 2.784
[3,] 4.151 2.412 8.807 6.133 6.746 1.0485 2.195 6.097 6.624 6.094 3.145
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.191 2.092 2.954 3.797 2.838 3.762 3.369 5.239 3.765 8.534 2.583
[2,] 4.324 2.450 4.089 4.809 3.490 4.851 4.807 6.734 5.180 10.797 3.301
[3,] 4.870 2.716 4.810 5.547 4.105 5.786 5.603 8.470 6.198 11.505 3.773
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.18 4.272 1.035 3.836 3.446 3.281 3.820 1.023 3.524 3.359 1.842
[2,] 12.74 6.024 1.218 5.408 5.200 4.148 5.087 1.234 4.633 3.943 2.172
[3,] 15.03 7.314 1.393 7.558 6.592 4.690 6.245 1.421 5.841 4.554 2.374
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.887 3.054 3.368 3.425 2.592 1.977 0.9019 2.112 0.9013 2.765 2.511
[2,] 5.377 4.871 4.647 4.101 3.489 2.435 1.1329 2.551 1.0877 3.360 3.375
[3,] 6.334 6.037 5.540 4.701 4.000 2.774 1.3033 2.874 1.2573 3.950 3.902
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.917 1.352 2.963 2.776 3.220 1.679 3.474 2.084 1.206 2.827 2.671
[2,] 2.488 1.691 3.847 3.470 3.832 2.210 4.704 2.516 1.616 3.751 3.559
[3,] 2.846 1.958 4.503 3.937 4.387 2.534 5.761 2.892 1.891 4.732 4.392
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.758 2.479 2.545 1.019 2.159 1.137 2.088 1.918 2.372 2.433 1.292
[2,] 3.530 3.466 3.102 1.353 3.316 1.368 2.533 2.277 3.481 3.804 1.748
[3,] 4.422 4.464 3.644 1.489 4.219 1.525 3.050 2.579 4.029 4.558 2.003
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.527 1.896 2.372 1.241 3.494 2.758 3.673 3.052 4.039 3.349 3.174
[2,] 3.475 2.316 3.406 1.436 4.213 4.055 4.327 4.843 4.879 4.893 4.193
[3,] 4.119 2.564 4.170 1.650 4.678 4.598 4.814 5.521 5.523 5.934 5.561
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7778 2.673 2.456 3.181 1.514 1.583 1.077 2.407 1.938 5.452 4.841
[2,] 0.9241 3.950 2.953 4.400 1.976 1.902 1.354 3.310 2.452 6.437 5.931
[3,] 1.0191 5.099 3.424 5.454 2.267 2.198 1.499 3.754 2.783 7.354 6.907
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.779 1.689 1.634 1.536 1.936 1.353 0.4394 7.094 9.75 3.875
[2,] 2.371 2.544 2.342 2.196 2.573 1.716 0.5465 8.793 12.76 5.202
[3,] 2.702 3.084 2.854 2.689 3.027 1.928 0.6286 10.019 14.84 6.856
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.766 2.157 8.385 4.922 4.85 0.9071 1.93 5.666 5.826
[2,] 305.452 169.895 623.727 488.137 564.28 80.6209 163.71 439.085 515.803
[3,] 269.128 169.503 527.191 453.019 537.35 71.1925 149.95 382.485 426.894
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 4.427 2.604 4.052 2.657 3.751 4.821 3.603 4.777
[2,] 539.037 263.832 409.015 178.749 396.165 413.597 284.821 429.126
[3,] 447.235 204.979 314.010 164.194 355.133 387.393 302.687 442.000
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 4.278 6.653 4.781 10.84 3.28 10.39 5.425 1.315 4.871
[2,] 480.498 592.902 498.655 926.89 288.02 1368.08 595.214 89.935 534.243
[3,] 403.573 719.992 476.837 556.92 256.17 1119.51 581.258 94.592 739.915
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 4.376 4.166 4.851 1.299 4.475 4.266 2.339 4.936
[2,] 545.719 355.602 470.821 96.627 421.459 289.288 161.400 520.703
[3,] 567.798 306.876 507.592 98.872 498.404 319.267 134.121 469.016
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.878 4.277 4.349 3.292 2.511 1.145 2.682 1.144 3.512
[2,] 531.801 448.634 316.112 327.330 199.170 96.077 200.400 85.328 267.433
[3,] 499.783 422.629 322.108 273.956 186.188 90.273 185.457 88.377 291.156
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.188 2.434 1.717 3.763 3.525 4.089 2.132 4.411
[2,] 316.145 222.282 142.259 343.833 291.755 291.211 201.277 444.597
[3,] 274.439 193.555 138.503 328.082 260.645 299.257 173.770 466.123
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 2.646 1.532 3.59 3.392 3.502 3.148 3.232 1.294
[2,] 197.585 150.718 345.51 329.573 308.747 339.386 248.475 124.650
[3,] 199.810 137.586 404.29 360.685 373.223 394.254 268.007 87.372
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.742 1.444 2.651 2.435 3.012 3.09 1.64 3.209 2.407
[2,] 352.712 106.600 201.069 171.910 356.896 409.78 165.04 334.254 186.433
[3,] 365.399 94.551 238.096 169.752 284.346 351.82 136.98 309.861 154.199
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.012 1.576 4.437 3.502 4.664 3.876 5.129 4.253
[2,] 342.530 101.131 329.920 416.549 320.633 526.952 383.560 499.969
[3,] 337.091 113.839 284.907 303.926 295.694 371.532 362.576 470.500
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.031 0.9877 3.394 3.119 4.04 1.923 2.01 1.368 3.056
[2,] 384.028 69.9177 407.627 229.597 425.86 177.890 147.64 114.943 318.364
[3,] 511.831 60.2059 451.756 242.966 451.75 155.754 154.42 90.197 248.388
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 2.46 6.924 6.147 2.259 2.144 2.075 1.951 2.459
[2,] 210.66 479.523 480.217 219.757 266.597 235.040 219.882 237.552
[3,] 184.25 498.375 496.002 181.480 244.439 228.522 217.624 223.250
[,94] [,95] [,96] [,97] [,98]
[1,] 1.718 0.558 9.008 12.38 4.921
[2,] 147.956 45.544 728.106 1153.92 486.232
[3,] 123.078 43.515 672.939 1062.62 625.896
[1] "--- VAR model 2017-10-06 03:31:00 completed"
[1] "Completed training sample: 2017-10-06 03:31:00 - 2017-10-06 11:30:00"
[1] "SpVAR; training sample: 2017-10-06 04:01:00 - 2017-10-06 12:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-19.880 8.112 14.730 6.356
2.309 -2.304 10.020 25.220
-23.341 4.065 -2.852 -18.073
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.391 2.910 1.585 -9.0239
4.761 -0.963 -5.907 -0.2236
13.311 4.255 2.454 -2.7303
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.664 -1.623 -5.068 -19.15
-11.191 -6.074 2.841 -15.76
-9.635 -13.963 -4.897 -29.04
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.1252 7.7019 26.982 -6.444
-0.4707 0.6485 -4.423 2.078
-12.0406 -8.0878 -2.664 7.808
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
10.599 5.4845 26.719 3.4491
12.198 2.7810 -5.366 19.1863
3.924 -0.8289 6.057 0.0364
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
11.306 -4.645 -37.21 0.3653
2.913 2.191 -23.25 -11.5825
6.783 -4.500 31.22 1.5166
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.4815 21.630 -3.116 -11.09
-3.0673 -21.039 18.226 13.58
0.3968 -3.819 -15.707 17.73
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
29.684 2.753 -2.283 -0.8231
6.022 4.349 12.646 -15.7532
-5.763 1.214 2.609 -7.6726
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.1838 -0.7166 -10.62 1.609
-0.4094 10.1893 11.33 -5.518
0.4186 27.7759 -14.97 2.679
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-14.6176 -15.400 -8.370 0.2509
13.2383 1.534 11.471 2.1986
0.3288 -3.398 3.258 6.0542
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.4317 1.2094 -8.826 -2.441
-6.5915 -4.1287 -1.360 -12.928
-1.9809 -0.5085 -3.243 -14.639
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.947 0.667 7.161 7.60
6.777 5.185 -13.348 11.04
7.095 2.845 -1.157 7.40
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.253 -9.0432 3.847 -0.4819
7.546 -0.4476 27.273 7.1465
5.392 -6.0938 -12.198 7.1093
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.551 17.41 -7.821 -11.880
-2.618 -25.07 -15.653 9.046
1.372 28.42 9.911 0.350
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.547 5.8656 5.174 -15.584
-6.956 -0.9399 -4.184 -6.985
1.167 5.2166 -1.866 -3.189
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.623 -2.5693 0.3392 13.492
-6.437 -0.9089 3.3236 -8.609
-1.460 -2.8276 12.0257 -1.393
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.780 7.7147 -11.376 3.1992
7.937 0.6733 7.254 6.8217
-7.382 -3.9190 -2.773 0.5415
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
6.586 6.8990 -11.502 -19.199
2.524 -4.2314 -3.694 -10.020
-1.482 -0.3691 -25.087 -4.451
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.467 -2.418 2.059 3.815
8.043 -19.097 -14.816 -15.541
-5.254 4.746 -9.095 5.062
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.0119 1.0363 7.903 3.969
0.9512 -4.4981 13.608 -7.208
-23.7281 -0.5117 -11.284 1.519
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.512 3.774 5.780 -3.741
7.834 -4.784 3.431 -3.992
-4.452 -3.581 4.033 -4.188
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-19.4153 6.6262 -36.391 23.062
-5.1300 2.7327 34.512 6.464
0.4076 -0.5228 -1.616 6.262
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.269 7.814 9.46688 -4.1614
3.790 -11.445 -2.84734 0.2157
-6.899 5.269 -0.08624 0.7315
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.3497 -4.2509 -11.471 -9.491
-10.2399 2.9011 -9.758 -4.129
-0.4323 0.2107 -10.269 -7.993
rnd_95776.volume rnd_95787.volume
-3.736 30.1605
23.752 -23.0014
4.278 -0.7908
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.234 1.931 7.006 4.559 4.222 0.8386 1.684 4.720 4.785 3.749 2.314
[2,] 3.978 2.327 8.553 5.827 6.013 1.0113 2.046 5.791 6.138 5.529 3.034
[3,] 4.496 2.679 9.332 6.655 7.259 1.1537 2.337 6.359 6.892 6.436 3.348
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.380 2.213 3.199 4.000 3.126 4.076 3.757 5.618 4.050 8.788 2.808
[2,] 4.607 2.589 4.393 4.971 3.664 5.261 5.136 7.150 5.559 11.137 3.556
[3,] 5.157 2.844 5.132 5.727 4.318 6.223 6.020 8.843 6.586 12.023 4.024
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.484 4.542 1.121 4.137 3.804 3.708 4.150 1.169 3.753 3.637 1.990
[2,] 13.580 6.312 1.324 5.621 5.585 4.631 5.338 1.346 5.036 4.258 2.287
[3,] 16.029 7.681 1.499 7.972 6.862 5.188 6.486 1.523 6.294 4.997 2.519
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.268 3.421 3.571 3.755 2.757 2.209 1.009 2.430 1.004 2.881 2.829
[2,] 5.788 5.252 4.987 4.463 3.809 2.709 1.243 2.833 1.215 3.545 3.596
[3,] 6.792 6.419 5.971 5.020 4.320 3.046 1.429 3.222 1.361 4.177 4.229
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.281 1.487 3.237 3.170 3.735 1.894 3.900 2.232 1.414 3.084 3.190
[2,] 2.700 1.809 4.309 4.018 4.360 2.367 5.318 2.709 1.769 4.040 4.145
[3,] 3.065 2.059 4.915 4.538 4.981 2.727 6.200 3.106 2.023 5.278 5.035
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.055 2.666 3.076 1.094 2.396 1.269 2.280 2.176 2.646 2.715 1.373
[2,] 3.904 3.876 3.554 1.438 3.750 1.482 2.842 2.545 3.815 4.275 1.839
[3,] 4.955 4.985 4.065 1.594 4.804 1.650 3.409 2.855 4.401 4.944 2.129
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.934 2.243 2.692 1.353 3.789 3.067 4.031 3.321 4.429 3.672 3.349
[2,] 3.959 2.632 3.742 1.554 4.541 4.392 4.816 5.438 5.321 5.276 4.524
[3,] 4.573 2.950 4.500 1.761 5.118 4.948 5.226 6.079 5.898 6.324 5.918
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8537 2.817 2.710 3.580 1.621 1.788 1.157 2.756 2.200 5.759 5.293
[2,] 1.0068 4.222 3.234 4.818 2.095 2.209 1.466 3.582 2.700 6.862 6.249
[3,] 1.1247 5.507 3.660 5.845 2.373 2.541 1.639 4.023 3.068 7.919 7.392
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.975 1.839 1.730 1.699 2.078 1.541 0.4545 6.686 10.70 4.067
[2,] 2.555 2.644 2.456 2.364 2.874 1.909 0.5839 8.113 13.64 5.385
[3,] 2.902 3.184 2.974 2.911 3.335 2.171 0.6634 9.315 16.11 7.316
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.106 2.452 8.897 5.789 5.361 1.065 2.138 5.994
[2,] 292.311 163.899 619.045 457.982 540.279 71.334 146.666 423.434
[3,] 264.447 167.551 471.303 405.815 513.361 70.083 142.625 331.504
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.076 4.761 2.939 4.292 2.811 4.062 5.079 3.969
[2,] 485.197 512.804 247.669 395.055 169.458 380.020 372.474 241.331
[3,] 395.592 415.720 178.702 292.580 148.657 334.729 358.831 288.304
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.176 4.771 7.134 5.142 11.16 3.566 10.77 5.767 1.424
[2,] 419.915 441.916 558.273 480.620 863.38 275.330 1338.20 553.264 88.951
[3,] 419.300 396.294 656.598 445.699 571.84 237.745 1074.86 552.329 88.566
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.254 4.83 4.708 5.269 1.484 4.765 4.619 2.527 5.419
[2,] 480.297 516.07 350.208 423.811 84.376 423.798 279.441 142.352 493.431
[3,] 713.431 503.15 295.132 464.926 89.795 476.568 330.006 133.187 448.691
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 4.344 4.535 4.768 3.501 2.805 1.281 3.085 1.275 3.659
[2,] 502.975 439.303 304.444 331.707 198.012 91.523 183.856 86.342 260.658
[3,] 465.751 414.349 290.000 257.201 175.832 89.118 193.741 77.570 278.921
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.592 2.897 1.888 4.111 4.025 4.743 2.405 4.952
[2,] 280.202 182.357 130.114 358.804 311.585 283.962 179.074 456.182
[3,] 280.872 182.942 124.099 298.501 266.435 303.919 171.078 402.277
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 2.835 1.795 3.916 4.05 3.879 3.385 3.906 1.389
[2,] 193.786 134.330 329.323 334.13 306.863 355.161 224.779 117.752
[3,] 191.569 123.647 428.618 360.69 385.100 395.658 248.924 86.986
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 3.042 1.612 2.895 2.763 3.36 3.447 1.743 3.726 2.849
[2,] 364.098 96.500 214.090 166.715 346.84 416.838 154.484 335.466 173.682
[3,] 378.985 91.603 237.781 163.268 276.96 313.396 135.251 288.892 168.294
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.419 1.718 4.811 3.894 5.118 4.217 5.625 4.663
[2,] 327.929 96.376 315.862 396.715 332.763 543.498 372.083 478.106
[3,] 315.627 104.518 298.043 287.771 256.133 342.811 321.072 440.021
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.252 1.084 3.577 3.441 4.546 2.059 2.27 1.469 3.5
[2,] 383.890 67.356 396.865 222.742 406.898 167.456 163.84 113.652 288.8
[3,] 481.532 63.276 446.245 216.433 417.669 140.684 158.51 92.487 231.1
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 2.794 7.313 6.721 2.508 2.335 2.196 2.157 2.638
[2,] 197.545 470.884 419.167 204.589 239.702 220.125 207.508 250.595
[3,] 183.955 498.828 498.420 173.769 223.974 211.616 214.255 213.551
[,94] [,95] [,96] [,97] [,98]
[1,] 1.957 0.5771 8.49 13.58 5.165
[2,] 142.229 46.2627 580.03 1067.90 445.324
[3,] 130.534 39.7517 577.60 1082.23 625.070
[1] "--- VAR model 2017-10-06 04:01:00 completed"
[1] "Completed training sample: 2017-10-06 04:01:00 - 2017-10-06 12:00:00"
[1] "SpVAR; training sample: 2017-10-06 04:31:00 - 2017-10-06 12:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.871 9.863 18.475 -8.382
1.425 2.014 -8.391 24.932
2.187 3.878 22.242 15.384
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.955 -1.3084 5.707 -15.383
3.255 0.7539 -3.351 -9.197
18.200 -1.3115 2.969 6.228
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.093 2.872 -0.3652 3.716
-13.349 -28.719 5.5914 -13.232
-6.387 1.706 -5.5697 -14.916
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.650 -11.84 -5.794 2.987
-3.372 10.45 4.360 19.327
-6.536 -13.75 -13.056 13.552
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
3.0236 -19.357 -33.31 10.95
3.9571 4.513 15.98 -10.26
-0.5473 5.848 29.32 12.56
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-10.349 -1.693 52.69 40.21
4.071 1.847 22.73 -12.01
32.504 -4.131 -11.27 12.88
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.1874 28.363 -15.28 4.059
7.9286 9.116 52.05 3.142
2.8290 7.251 -17.06 5.525
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
17.556 0.4310 14.000 1.725
5.987 8.3273 3.411 10.449
31.452 0.5444 26.973 1.498
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.577 -2.04089 -4.978 -6.3757
10.092 0.01501 5.203 0.2596
0.364 12.58764 -4.797 -0.9637
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.238 -1.525 -13.303 3.281
6.155 2.695 12.767 1.142
-13.110 5.302 -1.829 2.367
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.295 6.366 -7.877 -4.164
11.079 1.950 -1.285 -13.528
3.098 1.575 9.833 -7.612
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
12.029 2.8579 0.744 12.52
-0.745 -0.9777 -11.916 -17.87
9.070 -3.7193 9.920 15.96
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.7183 7.237 -5.324 1.984
-0.8488 2.123 17.129 10.530
3.8443 1.011 -26.204 11.658
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.011 12.47 11.332 -4.073
-0.474 -21.65 -8.418 18.783
-2.412 24.25 13.220 -9.909
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
25.975 27.559 -1.2429 -6.069
7.748 -7.200 -1.2954 34.081
-9.070 -2.631 0.9759 4.063
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.071 -24.818 -0.1530 27.26
-2.325 23.900 -0.7213 -16.06
-6.593 1.382 0.2162 20.61
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
28.75 2.5706 22.3721 -7.136
-30.02 2.0090 -16.0233 2.525
12.76 0.6777 0.7624 -5.565
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.826 -2.108 0.3116 25.754
10.060 -2.062 3.3087 6.037
-7.428 -1.956 -12.4178 -4.065
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
13.116 9.070 20.82 -1.222
14.317 10.413 -10.10 21.136
-5.209 4.146 -12.40 -4.033
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-13.538 -1.396 3.284 16.580
20.181 -2.566 5.602 7.331
7.998 -2.477 21.528 4.075
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
28.627 -2.774 -0.1147 -1.610
-15.051 -1.202 -3.2875 1.037
9.846 -4.412 0.0681 -6.515
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
18.972 8.618 -18.352 -16.390
5.668 5.670 -3.037 30.214
11.458 -3.716 -12.836 4.773
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
9.9527 -10.044 -0.6321 -6.735
5.1117 9.495 6.8354 8.618
0.7103 5.214 2.2563 0.809
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.960 2.032 -10.619 -12.18
18.992 7.649 -8.145 -15.22
6.841 -1.294 -8.313 -8.77
rnd_95776.volume rnd_95787.volume
-49.30 42.60
34.43 -22.39
-44.39 24.64
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.507 2.172 7.626 4.769 4.827 0.9667 1.826 5.156 5.171 4.297 2.413
[2,] 4.214 2.616 9.128 6.124 6.566 1.1638 2.197 6.142 6.662 6.077 3.175
[3,] 4.805 2.978 9.876 6.987 7.814 1.3006 2.455 6.750 7.556 7.126 3.572
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.606 2.351 3.559 4.458 3.229 4.261 4.186 6.099 4.558 9.722 3.232
[2,] 4.972 2.729 4.819 5.555 3.814 5.586 5.394 7.791 6.016 11.952 3.826
[3,] 5.522 3.019 5.493 6.207 4.413 6.668 6.400 9.301 6.950 13.096 4.277
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.44 4.867 1.237 4.465 4.041 3.861 4.303 1.235 4.017 3.805 2.125
[2,] 14.73 6.814 1.446 6.067 6.110 4.805 5.545 1.448 5.316 4.453 2.438
[3,] 17.34 8.272 1.622 8.547 7.637 5.400 6.685 1.642 6.652 5.236 2.660
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.559 3.656 3.774 4.182 3.087 2.456 1.183 2.58 1.101 3.002 3.013
[2,] 6.089 5.647 5.322 4.824 4.061 2.929 1.393 2.95 1.330 3.719 3.893
[3,] 7.199 6.875 6.341 5.346 4.583 3.279 1.582 3.36 1.469 4.518 4.564
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.452 1.669 3.504 3.471 4.154 2.087 4.199 2.519 1.581 3.346 3.591
[2,] 2.986 1.983 4.515 4.332 4.794 2.651 5.822 3.051 1.908 4.414 4.611
[3,] 3.320 2.242 5.211 4.847 5.457 2.965 6.747 3.446 2.169 5.677 5.439
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.223 2.811 3.299 1.175 2.763 1.330 2.497 2.338 2.931 2.901 1.511
[2,] 4.201 4.051 3.873 1.522 3.966 1.565 3.132 2.751 4.036 4.509 1.970
[3,] 5.280 5.370 4.359 1.647 5.042 1.759 3.822 3.079 4.681 5.264 2.287
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.181 2.497 2.960 1.447 4.309 3.315 4.291 3.723 4.612 3.975 3.652
[2,] 4.215 2.866 4.026 1.642 4.980 4.626 5.223 5.868 5.535 5.693 4.904
[3,] 4.773 3.179 4.846 1.844 5.507 5.157 5.663 6.511 6.194 6.857 6.389
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9232 3.099 2.855 3.881 1.748 2.055 1.293 2.924 2.347 6.307 5.733
[2,] 1.1041 4.596 3.379 5.247 2.224 2.476 1.621 3.891 2.875 7.362 6.744
[3,] 1.2229 5.934 3.865 6.392 2.492 2.767 1.810 4.437 3.256 8.349 7.985
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.110 1.938 1.832 1.902 2.335 1.701 0.4912 6.345 11.12 4.278
[2,] 2.812 2.743 2.532 2.464 3.104 2.079 0.6088 7.702 14.63 5.843
[3,] 3.087 3.395 3.140 3.079 3.616 2.359 0.6876 8.789 17.12 7.828
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.453 2.758 9.684 6.056 6.13 1.228 2.319 6.547 6.567
[2,] 272.223 169.653 584.078 447.353 518.14 75.448 142.165 388.727 489.013
[3,] 268.687 165.799 439.006 391.627 493.38 67.625 127.759 325.878 415.230
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.456 3.065 4.58 2.986 4.519 5.66 4.1 5.411 5.316
[2,] 500.373 240.233 398.44 161.312 378.332 385.98 236.3 420.454 396.003
[3,] 433.238 190.487 279.73 150.448 307.051 322.35 258.4 424.056 401.090
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 7.744 5.787 12.35 4.105 11.99 6.181 1.571 5.67 5.131
[2,] 564.586 457.289 809.50 238.427 1317.08 555.161 87.059 478.27 533.522
[3,] 591.525 405.078 623.18 222.538 1064.70 546.106 85.758 700.84 533.521
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 4.903 5.464 1.568 5.101 4.832 2.698 5.789 4.642
[2,] 332.986 407.138 88.117 405.407 269.345 139.337 469.838 501.127
[3,] 286.817 434.849 90.205 465.546 320.815 123.730 447.212 456.613
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.792 5.31 3.92 3.118 1.502 3.276 1.398 3.812 3.826
[2,] 436.881 279.95 307.21 185.809 85.669 166.691 86.783 255.515 286.966
[3,] 401.476 268.38 247.29 171.709 87.211 187.234 72.682 298.770 277.407
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.114 2.119 4.45 4.408 5.274 2.651 5.332 3.199
[2,] 198.382 124.652 331.48 301.782 278.835 190.383 469.588 200.418
[3,] 169.074 121.831 303.07 253.286 303.558 154.640 396.834 186.532
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.007 4.249 4.56 4.093 3.569 4.189 1.492 3.509 1.688
[2,] 124.372 335.138 336.89 313.732 339.573 236.256 112.712 331.255 96.101
[3,] 120.078 415.719 335.89 372.432 410.538 232.765 73.113 362.368 93.572
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 3.171 2.969 3.722 3.683 1.918 4.039 3.171 3.758
[2,] 220.100 168.638 323.151 401.978 147.150 321.988 163.654 317.836
[3,] 255.187 161.158 276.095 316.173 135.375 260.892 160.244 313.978
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.838 5.472 4.209 5.449 4.727 5.857 5.047 4.637 1.172
[2,] 90.297 290.648 375.632 346.779 528.153 356.215 474.498 381.185 70.506
[3,] 97.791 273.776 265.476 254.774 328.336 323.726 445.133 476.648 61.218
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.935 3.625 4.928 2.22 2.609 1.642 3.713 2.98 8.009
[2,] 395.202 210.434 411.158 160.09 160.814 113.682 298.899 193.27 442.013
[3,] 437.075 218.470 424.971 130.87 143.908 93.987 248.343 177.99 458.726
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 7.28 2.68 2.46 2.326 2.416 2.965 2.16 0.6237 8.057
[2,] 413.54 216.35 226.02 203.552 182.425 238.197 139.07 41.8848 508.271
[3,] 497.84 148.50 232.99 216.177 214.918 215.842 129.83 37.2178 492.988
[,97] [,98]
[1,] 14.12 5.432
[2,] 1106.00 463.309
[3,] 1035.95 606.482
[1] "--- VAR model 2017-10-06 04:31:00 completed"
[1] "Completed training sample: 2017-10-06 04:31:00 - 2017-10-06 12:30:00"
[1] "SpVAR; training sample: 2017-10-06 05:01:00 - 2017-10-06 13:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.11274 8.088 17.52 11.15416
-0.03347 -1.694 -16.26 -6.61963
4.10458 7.319 25.21 -0.07069
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.142 3.5559 -7.6135 -23.469
3.863 0.2366 0.4682 -1.013
-3.812 2.2795 -0.2660 13.625
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-24.401 -9.4206 -8.470 -9.685
-18.804 -31.8808 -12.283 -26.062
5.181 0.7225 -4.275 -16.908
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.802 11.387 -3.309 -1.330
-2.450 -4.021 2.641 6.262
3.994 -7.443 -10.223 7.162
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.638 0.002051 13.553 -2.932
5.183 2.160760 4.905 16.535
-7.832 8.584710 26.865 7.512
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
48.352 8.662 -29.555 9.809
-1.028 -1.717 38.093 12.940
-24.722 -1.693 -8.358 -1.591
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.257 31.22 12.985 11.595
-1.503 -13.07 -5.312 6.879
-0.230 14.11 22.190 22.455
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-11.27 0.987 -0.9775 6.033
24.53 4.396 17.1388 -7.747
-18.63 1.103 -6.6379 13.909
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
6.301 -0.9771 -12.399 -2.656
-4.678 28.1443 -7.974 -8.332
3.649 -19.6697 10.187 13.573
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.839 6.151 1.7399 -2.290
-6.116 -9.105 3.6351 3.527
-7.068 6.450 -0.8834 1.923
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-7.8478 2.894 4.802 1.548
1.7755 -1.675 -5.093 -15.503
-0.2316 1.745 -3.184 -8.009
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6776 -3.766 -0.507 -1.337
6.9145 -5.682 -16.792 1.036
11.2744 7.321 -11.125 8.229
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
15.799 -5.300 7.9051 3.366
-3.052 5.561 -0.4641 9.382
21.228 -4.783 -1.4048 11.519
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.120 -1.239 0.1024 -10.038
7.810 -6.119 -9.2814 -3.282
-2.276 5.105 7.7074 7.229
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.667 5.452 -2.648 1.7931
7.425 13.690 2.435 0.4941
-3.156 3.347 1.110 7.5016
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.538 -2.892 1.5076 11.85
-6.282 -7.218 1.2528 -12.57
-5.866 7.948 0.7471 -14.93
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.965 0.4370 3.879 -8.0146
-8.305 -2.1075 -5.346 1.3327
-12.304 -0.1682 -10.307 -0.3858
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.828 1.618 0.6159 -5.131
4.461 4.477 -6.2245 0.246
-2.179 -3.972 6.5273 12.640
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.808 26.428 19.690 17.135
-5.168 -11.420 19.500 9.502
-5.133 -8.713 2.547 2.865
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.726 2.7069 -6.739 1.360
14.364 -4.6568 27.432 6.512
4.588 0.1558 14.291 8.036
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
17.728 5.241 2.2096 0.8807
7.399 -2.096 1.3671 1.9982
15.961 3.388 0.8001 -2.2675
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.924 0.09259 -6.186 44.99
-7.821 8.18565 -3.708 30.52
4.403 6.77467 -8.367 34.28
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.299 -2.955 -1.348 1.695
-3.546 2.739 2.215 -2.699
-2.295 -3.692 -5.264 -1.363
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.6785 10.4721 -9.695 8.8638
6.9501 2.4006 -10.900 0.4781
0.1316 -0.3376 -11.010 5.6229
rnd_95776.volume rnd_95787.volume
8.039 3.168
-16.772 -16.190
24.948 8.217
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.751 2.395 8.031 5.071 5.195 1.043 1.856 5.567 5.699 4.562 2.523
[2,] 4.484 2.817 9.486 6.561 6.942 1.264 2.239 6.495 6.976 6.583 3.310
[3,] 5.035 3.157 10.247 7.330 8.128 1.424 2.492 7.168 7.903 7.447 3.693
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.812 2.491 3.810 4.510 3.249 4.412 4.394 6.686 4.822 10.05 3.370
[2,] 5.131 2.884 5.165 5.697 3.938 5.822 5.626 8.129 6.337 12.37 3.977
[3,] 5.672 3.163 5.805 6.399 4.524 6.871 6.613 9.586 7.325 13.42 4.465
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.10 5.252 1.326 4.687 4.071 3.987 4.675 1.329 4.259 4.083 2.268
[2,] 15.51 7.104 1.565 6.234 6.349 4.931 5.983 1.547 5.501 4.790 2.556
[3,] 17.88 8.554 1.724 8.846 7.864 5.550 7.083 1.759 6.901 5.523 2.804
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.891 4.044 3.992 4.361 3.288 2.856 1.297 2.794 1.210 3.150 3.158
[2,] 6.473 6.074 5.724 5.092 4.317 3.291 1.547 3.202 1.445 3.974 4.050
[3,] 7.553 7.219 6.774 5.613 4.923 3.631 1.701 3.595 1.576 4.733 4.877
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.654 1.800 3.783 3.796 4.415 2.257 4.486 2.764 1.666 3.513 3.739
[2,] 3.165 2.111 4.874 4.693 5.116 2.814 6.154 3.320 2.024 4.691 4.821
[3,] 3.481 2.355 5.532 5.226 5.850 3.176 7.145 3.694 2.263 5.991 5.668
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.306 2.967 3.693 1.272 3.091 1.478 2.781 2.688 3.153 3.130 1.607
[2,] 4.325 4.329 4.247 1.590 4.327 1.696 3.370 3.073 4.217 4.786 2.075
[3,] 5.454 5.620 4.669 1.713 5.457 1.877 4.044 3.438 4.859 5.574 2.385
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.605 2.766 3.291 1.500 4.683 3.418 4.757 4.015 4.850 4.123 3.778
[2,] 4.457 3.156 4.432 1.714 5.324 4.764 5.689 6.023 5.821 5.977 5.155
[3,] 5.166 3.463 5.283 1.922 5.808 5.348 6.164 6.771 6.431 7.081 6.670
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.009 3.283 3.006 4.128 1.828 2.139 1.528 3.090 2.531 6.673 6.314
[2,] 1.209 4.888 3.534 5.450 2.316 2.582 1.859 4.045 3.082 7.836 7.261
[3,] 1.327 6.292 4.040 6.573 2.622 2.903 2.072 4.619 3.433 8.784 8.646
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.284 2.038 1.901 2.008 2.632 1.886 0.5205 5.515 11.92 4.582
[2,] 2.957 2.928 2.680 2.613 3.457 2.324 0.6364 6.778 15.39 6.135
[3,] 3.217 3.580 3.309 3.207 3.932 2.669 0.7180 7.781 17.90 8.108
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.764 3.041 10.2 6.44 6.596 1.325 2.357 7.07 7.237
[2,] 274.441 165.776 564.3 465.19 514.646 79.773 140.023 373.81 449.711
[3,] 255.998 159.324 433.3 365.35 472.549 73.376 122.274 339.10 415.217
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18]
[1,] 5.792 3.204 4.84 3.163 4.838 5.727 4.126 5.602 5.58
[2,] 530.416 239.430 383.86 162.579 389.712 389.123 248.598 424.663 392.64
[3,] 389.346 183.079 270.30 145.222 296.244 325.652 249.060 407.805 388.53
[,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27]
[1,] 8.491 6.123 12.76 4.28 12.82 6.67 1.683 5.951 5.169
[2,] 516.675 459.621 806.37 235.88 1315.44 534.56 93.045 459.505 544.594
[3,] 567.987 410.692 582.88 226.84 995.15 532.54 80.776 701.433 518.490
[,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 5.063 5.937 1.688 5.408 5.185 2.88 6.211 5.135 5.069
[2,] 324.397 417.238 88.475 389.133 279.837 131.74 473.940 506.460 458.515
[3,] 284.545 423.892 93.489 465.642 307.338 128.94 434.947 436.043 404.852
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 5.538 4.175 3.626 1.646 3.548 1.536 4.0 4.011 3.371
[2,] 293.906 312.743 182.921 94.215 174.871 88.303 270.7 283.299 192.765
[3,] 263.766 264.460 171.427 79.184 182.699 70.358 287.3 303.833 161.971
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 2.285 4.804 4.821 5.606 2.866 5.697 3.509 2.116
[2,] 123.402 343.410 308.394 288.957 187.710 470.801 205.566 128.549
[3,] 116.660 292.600 257.114 317.123 164.601 405.848 181.084 113.125
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 4.461 4.748 4.198 3.767 4.69 1.616 3.926 1.877 3.531
[2,] 347.399 340.180 311.678 352.344 234.26 106.512 338.317 92.890 212.682
[3,] 416.562 333.061 371.301 400.559 216.85 71.403 371.614 89.948 249.973
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.413 4.004 3.975 2.041 4.578 3.512 4.18 1.905 5.946
[2,] 166.484 312.888 404.689 146.757 292.895 169.763 331.72 92.749 283.192
[3,] 172.262 269.922 319.408 131.424 291.921 159.552 321.32 97.147 259.503
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.341 6.041 5.099 6.158 5.236 4.797 1.282 4.168
[2,] 370.827 348.770 501.706 359.799 483.680 391.975 74.359 404.709
[3,] 271.785 265.126 345.753 305.658 424.231 473.030 61.181 442.803
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.817 5.242 2.321 2.717 1.941 3.924 3.214 8.474
[2,] 207.684 397.718 158.892 161.484 118.288 291.774 196.616 459.060
[3,] 218.961 410.733 137.393 148.307 102.195 249.160 168.987 443.641
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 8.017 2.9 2.588 2.414 2.55 3.343 2.395 0.6609 7.003
[2,] 400.754 210.0 235.032 211.172 186.81 250.523 151.795 40.9275 440.385
[3,] 524.722 141.4 230.244 216.969 207.85 209.288 146.558 37.1674 427.065
[,97] [,98]
[1,] 15.13 5.819
[2,] 1087.86 455.890
[3,] 1021.99 592.588
[1] "--- VAR model 2017-10-06 05:01:00 completed"
[1] "Completed training sample: 2017-10-06 05:01:00 - 2017-10-06 13:00:00"
[1] "SpVAR; training sample: 2017-10-06 05:31:00 - 2017-10-06 13:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
9.8712 -3.845 23.330 2.431
-2.7801 2.195 -1.670 4.010
-0.3509 1.390 8.521 -7.663
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
16.961 0.7606 3.729 1.114
-1.141 4.5289 5.075 5.697
9.008 0.5296 4.135 10.334
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.033 -11.8148 4.146 -22.06
3.145 2.9619 -5.716 -14.65
1.743 -0.2351 -4.433 -20.62
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-7.545 -0.2090 3.636 6.199
4.543 -0.6877 -2.649 -12.463
3.328 8.3623 7.829 -5.436
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.939 7.940 1.765 13.66
-17.925 4.010 29.627 21.09
3.830 -8.514 9.742 17.86
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
2.204 -16.690 -34.102 -3.385
2.357 -4.233 8.792 -8.024
11.900 -8.092 -15.975 7.674
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.9760 11.35 -10.8824 21.298
0.6500 -23.95 -0.2910 15.078
-0.0174 20.99 0.1162 4.713
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.947 -2.854 -2.131 0.3714
7.417 1.613 7.858 11.0236
-16.568 -4.259 -11.676 -13.7428
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
2.226 17.269 8.2662 9.034
-3.215 -11.802 0.6042 10.476
-2.931 9.734 12.7246 -1.918
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-16.5082 2.175 -4.8867 2.4342
5.6353 4.044 3.4729 -0.3087
0.5929 3.433 0.7744 -1.0021
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.3217 -0.2522 5.935 -8.856
1.4924 1.2813 8.340 5.350
-0.2083 0.8997 4.331 2.358
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.3512 -1.803 5.311 10.6939
0.3064 1.534 -9.548 0.5283
5.3159 6.192 -2.264 -0.8638
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.69 -1.911 -18.823 7.526
-11.80 -6.561 5.732 11.429
25.09 1.780 -1.233 4.576
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.879 -2.696 -3.164 -3.265
4.152 -18.465 -19.860 -2.293
1.423 13.319 7.897 -14.859
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.965 12.245 -1.1232 -11.950
-8.226 3.468 -0.2023 -4.617
-11.425 9.049 2.3839 -2.665
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-9.630 -15.410 2.053 14.6821
-4.306 2.229 5.682 3.4049
-4.972 -1.417 4.800 -0.7577
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
30.216 10.354 27.039 5.133
-3.314 2.690 6.328 8.057
2.915 -4.305 -1.551 8.200
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
10.163 6.1630 19.434 9.564
21.686 -0.2516 -7.593 7.445
1.751 4.7534 8.250 -6.271
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.377 -6.034 -6.248 -7.763
-9.375 7.662 -6.565 7.804
15.398 8.009 -1.928 2.895
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.7728 -6.615 7.616 4.049
0.8801 1.287 12.987 -3.535
6.3320 -2.184 6.476 -12.149
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.891 11.868 -2.6874 -3.027
5.097 -1.305 -0.9098 -1.480
6.281 6.331 -2.8825 -2.598
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
17.390 -0.1605 43.230 -9.855
4.277 2.9317 6.421 27.096
-2.016 1.0377 2.026 16.590
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
11.564 3.7162 3.487 5.262
1.698 -0.7441 2.217 -2.059
6.002 5.1379 1.920 5.314
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.5044 -1.969 -9.511 3.4299
-6.2235 3.827 -8.842 6.4584
0.3798 -2.950 -10.242 -0.4295
rnd_95776.volume rnd_95787.volume
-7.495 1.20
41.438 -20.03
19.483 8.20
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 4.046 2.611 8.034 5.222 5.162 1.123 1.942 5.935 5.916 4.642 2.616
[2,] 4.723 3.086 9.412 6.763 7.042 1.347 2.310 6.844 7.132 6.841 3.473
[3,] 5.239 3.372 10.223 7.527 8.304 1.518 2.563 7.446 8.024 7.649 3.850
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.829 2.691 3.927 4.711 3.432 4.645 4.481 6.893 5.136 9.995 3.480
[2,] 5.327 3.114 5.150 5.820 4.112 6.079 5.733 8.349 6.699 12.461 4.140
[3,] 5.924 3.421 5.845 6.615 4.715 7.043 6.697 9.886 7.646 13.577 4.599
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.46 5.540 1.460 5.009 4.273 4.129 4.934 1.421 4.441 4.222 2.302
[2,] 15.54 7.335 1.719 6.447 6.642 5.084 6.219 1.647 5.612 5.013 2.622
[3,] 18.14 8.742 1.891 8.913 8.071 5.792 7.402 1.862 7.124 5.701 2.849
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.076 4.228 3.968 4.456 3.534 3.157 1.286 3.087 1.279 3.214 3.235
[2,] 6.773 6.214 5.706 5.246 4.592 3.604 1.593 3.515 1.519 4.089 4.059
[3,] 7.954 7.427 6.876 5.745 5.129 3.967 1.775 3.873 1.638 4.850 4.944
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.672 1.857 4.135 4.006 4.601 2.288 4.376 3.017 1.752 3.680 4.037
[2,] 3.208 2.198 5.127 4.908 5.402 2.843 6.346 3.493 2.113 4.897 5.119
[3,] 3.544 2.434 5.703 5.414 6.168 3.231 7.298 3.905 2.345 6.260 6.002
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.456 3.159 3.999 1.305 3.138 1.580 2.992 2.934 3.265 3.373 1.688
[2,] 4.560 4.643 4.585 1.595 4.562 1.814 3.630 3.324 4.376 5.098 2.161
[3,] 5.602 5.847 4.979 1.715 5.669 1.981 4.338 3.722 5.108 5.873 2.475
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.723 3.028 3.596 1.561 4.968 3.575 4.914 4.250 5.033 4.346 3.862
[2,] 4.654 3.439 4.748 1.791 5.698 4.966 6.084 6.319 5.914 6.077 5.255
[3,] 5.433 3.745 5.623 2.025 6.182 5.603 6.677 7.084 6.550 7.205 6.872
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.138 3.413 3.117 4.405 2.021 2.304 1.658 3.352 2.728 6.780 6.440
[2,] 1.310 5.211 3.654 5.737 2.439 2.762 2.002 4.245 3.319 8.218 7.541
[3,] 1.457 6.598 4.143 6.918 2.776 3.092 2.220 4.873 3.733 9.071 9.004
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.363 2.067 1.985 2.029 2.875 2.084 0.555 4.351 12.41 5.017
[2,] 3.048 3.003 2.790 2.647 3.680 2.491 0.665 5.861 16.29 6.420
[3,] 3.313 3.657 3.372 3.221 4.132 2.827 0.756 6.953 18.61 8.278
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.138 3.316 10.2 6.631 6.555 1.426 2.466 7.537 7.512
[2,] 250.029 168.736 503.2 441.066 491.547 76.437 128.359 349.825 408.797
[3,] 232.700 139.544 409.7 339.108 451.570 71.859 113.838 300.888 377.370
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.895 3.321 4.863 3.418 4.987 5.982 4.358 5.898
[2,] 515.698 234.538 380.092 160.668 341.858 350.684 232.467 402.430
[3,] 351.215 170.448 265.885 145.452 283.762 322.698 236.722 365.104
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.69 8.754 6.522 12.69 4.419 13.28 7.034 1.854 6.361
[2,] 367.04 483.320 441.385 763.77 230.192 1179.89 493.363 93.264 416.550
[3,] 355.15 543.501 378.251 553.28 205.627 959.49 488.192 80.900 631.612
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.426 5.244 6.265 1.804 5.64 5.362 2.924 6.446 5.369
[2,] 521.809 304.299 388.646 85.428 352.11 277.393 128.670 460.145 467.346
[3,] 470.632 284.895 411.893 89.293 450.36 278.469 114.611 428.060 417.556
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.038 5.658 4.488 4.009 1.632 3.92 1.624 4.081 4.107
[2,] 420.761 284.110 300.883 178.374 96.618 172.45 84.018 259.523 251.638
[3,] 393.734 240.428 234.554 170.331 80.181 166.88 63.075 267.598 289.661
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.393 2.358 5.251 5.087 5.842 2.905 5.557 3.831
[2,] 182.207 120.734 311.134 290.971 290.477 173.168 471.594 180.711
[3,] 154.720 107.179 256.316 234.719 305.547 157.508 369.878 179.032
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.225 4.673 5.127 4.389 4.011 5.078 1.657 3.985 2.007
[2,] 121.133 331.614 322.934 305.201 349.284 230.292 94.178 339.783 91.497
[3,] 104.419 400.184 321.657 334.044 364.621 199.255 64.799 345.418 81.663
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.8 3.726 4.146 4.283 2.144 4.728 3.844 4.567 1.983
[2,] 210.9 160.335 299.040 392.253 138.490 286.481 167.348 318.127 90.011
[3,] 243.7 171.853 270.449 299.252 123.811 287.821 152.305 309.165 96.965
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 6.309 4.54 6.24 5.396 6.392 5.518 4.904 1.445 4.334
[2,] 286.410 353.74 368.09 479.994 318.593 435.941 365.723 66.712 404.188
[3,] 245.996 266.22 282.53 328.490 289.151 397.173 454.490 65.298 415.316
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.958 5.594 2.566 2.926 2.106 4.256 3.464 8.609
[2,] 195.853 377.260 140.140 156.226 115.142 267.328 194.054 476.586
[3,] 200.273 396.728 136.103 142.668 98.526 245.537 175.247 394.314
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 8.178 3.0 2.625 2.521 2.576 3.651 2.646 0.7047 5.525
[2,] 402.593 197.5 223.556 201.114 174.431 235.759 140.111 37.5965 403.046
[3,] 505.007 133.2 214.076 194.359 188.377 192.714 137.056 36.9069 383.879
[,97] [,98]
[1,] 15.76 6.371
[2,] 1082.43 411.077
[3,] 924.36 536.255
[1] "--- VAR model 2017-10-06 05:31:00 completed"
[1] "Completed training sample: 2017-10-06 05:31:00 - 2017-10-06 13:30:00"
[1] "SpVAR; training sample: 2017-10-06 06:01:00 - 2017-10-06 14:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.1544 4.3503 7.581 3.9719
-0.6865 5.2199 -7.311 7.1001
4.8126 -0.1194 -10.833 0.1914
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
22.798 -4.0453 0.5348 8.2946
-11.045 0.8262 3.5309 -0.7591
8.985 2.6839 -1.0962 7.7289
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.736 -6.090 -2.078 -20.36
1.252 7.971 1.946 -10.44
-11.965 -5.663 1.941 -15.63
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.187 1.2269 9.147 -4.1712
-2.704 -7.4557 -15.961 -0.9999
4.052 -0.3886 -1.633 -2.5596
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.614 -10.890 -9.032 6.313
-4.402 -4.700 4.120 -4.626
-6.761 -2.899 1.409 1.262
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.0723 -10.977 8.299 3.149
-12.6522 -3.571 25.665 11.485
16.0864 -5.119 -24.169 3.088
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.1992 10.17 -1.671 -8.137
-0.7409 -1.66 0.359 3.659
0.5607 14.35 13.901 8.715
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
13.694 0.2462 -4.456 -5.6308
-1.451 0.5426 3.540 -0.5371
3.499 -4.1036 -1.904 4.1107
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
5.911 21.50 14.7518 -4.328
1.291 -15.37 -4.5444 3.222
-3.082 11.80 -0.3573 -4.357
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
12.201 1.994 6.2451 2.441
2.181 -2.019 10.7532 3.207
8.374 3.024 0.5267 1.243
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.7800 -3.168 -7.926 -14.6340
-5.3944 1.007 3.817 -12.0847
-0.3189 -1.732 1.295 0.2654
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.653 2.2921 -0.5609 2.279
4.109 3.1552 -5.4904 4.919
4.736 -0.9099 -12.4784 -2.279
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.07 2.5275 -2.268 1.628
-16.32 0.4382 11.636 15.283
24.82 -0.9419 -19.095 13.355
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7907 14.30 -26.488 -16.164
-1.9820 -22.45 7.266 3.638
1.5169 15.17 13.258 -1.534
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.1866 2.929 -2.839 8.695
-13.1519 -2.237 -3.284 -9.407
0.1287 6.325 -1.647 7.084
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-11.366 7.724 -2.865 11.485
-4.340 -2.726 -5.201 5.966
-4.407 3.891 1.774 -5.226
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
11.099 -1.711 12.690 -7.0321
5.814 2.577 6.358 6.2478
-5.047 4.047 6.454 0.6605
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.101 3.467 10.310 -0.4952
15.549 -1.800 -2.520 -0.4429
4.830 2.742 1.839 -4.4884
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.313 25.487 2.1147 16.9047
-1.892 2.474 -0.9775 7.2132
4.243 4.346 -0.9834 0.5405
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.885 -1.53780 10.747 0.7255
14.037 0.03506 15.729 3.1823
1.293 0.80559 7.292 1.9683
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.997 1.4798 1.997 -6.7392
13.732 0.5909 1.312 -6.7860
6.994 7.0156 -7.982 -0.1331
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.874 7.329 1.626 34.15
7.240 6.580 -4.226 20.32
5.513 1.765 11.021 20.29
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.200 -4.887 -5.870 -3.873
3.138 2.772 3.875 -3.177
3.276 8.504 8.770 6.485
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.56497 -8.215 -10.363 -2.272
0.07453 3.376 -8.246 -1.140
-1.82173 -7.652 -11.008 -8.510
rnd_95776.volume rnd_95787.volume
-40.11 -2.019
-10.48 11.837
22.05 -1.241
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.934 2.742 7.784 5.365 5.798 1.212 1.951 6.090 5.928 4.648 2.678
[2,] 4.675 3.217 9.065 6.850 7.417 1.451 2.351 6.959 7.251 6.883 3.468
[3,] 5.161 3.508 10.023 7.713 8.561 1.640 2.633 7.509 8.056 7.720 3.833
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.781 2.759 3.903 3.941 3.534 4.518 4.378 6.866 5.226 9.929 3.721
[2,] 5.284 3.236 5.100 4.897 4.247 6.004 5.737 8.290 6.734 12.256 4.332
[3,] 5.953 3.596 5.879 5.823 4.905 6.921 6.698 9.940 7.775 13.458 4.771
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.54 5.443 1.493 4.849 4.431 4.350 5.021 1.450 4.321 4.275 2.266
[2,] 15.21 7.159 1.759 6.564 6.647 5.290 6.252 1.680 5.424 4.998 2.590
[3,] 17.80 8.627 1.966 8.772 7.982 5.976 7.466 1.911 7.009 5.623 2.823
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.250 4.295 3.876 4.800 3.641 3.379 1.370 3.210 1.295 3.209 2.993
[2,] 6.831 6.291 5.845 5.768 4.760 3.837 1.675 3.720 1.536 4.040 4.039
[3,] 7.927 7.414 7.029 6.270 5.395 4.172 1.844 4.143 1.661 4.722 4.890
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.587 1.907 4.152 4.318 4.755 2.384 4.594 3.151 1.784 3.647 4.102
[2,] 3.075 2.226 5.106 5.217 5.605 2.938 6.572 3.683 2.197 4.987 5.213
[3,] 3.454 2.438 5.684 5.701 6.421 3.317 7.410 4.147 2.408 6.443 6.077
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.397 3.314 4.092 1.287 3.265 1.566 3.200 3.147 3.351 3.560 1.796
[2,] 4.552 4.852 4.734 1.600 4.747 1.798 3.858 3.537 4.610 5.317 2.180
[3,] 5.603 5.990 5.165 1.754 5.909 2.005 4.593 3.904 5.418 6.096 2.491
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.771 3.149 3.728 1.609 4.910 3.602 4.991 4.304 4.980 4.463 3.932
[2,] 4.878 3.622 4.991 1.824 5.646 4.901 6.238 6.319 5.949 6.039 5.384
[3,] 5.740 3.960 5.911 2.086 6.107 5.560 6.860 7.103 6.623 7.223 7.056
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.262 3.542 3.26 4.663 2.048 2.396 1.737 3.502 2.824 7.132 6.640
[2,] 1.415 5.419 3.73 6.027 2.495 2.885 2.098 4.343 3.429 8.401 7.867
[3,] 1.547 6.708 4.20 7.104 2.813 3.184 2.346 5.066 3.869 9.427 9.214
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.312 2.055 2.064 2.140 3.109 2.302 0.5628 3.632 12.38 4.683
[2,] 3.057 2.983 2.848 2.750 3.902 2.740 0.6763 4.974 16.56 6.008
[3,] 3.379 3.696 3.438 3.338 4.390 3.087 0.7789 6.066 19.06 8.144
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.996 3.481 9.885 6.813 7.363 1.539 2.477 7.733
[2,] 248.204 165.484 456.698 418.792 454.719 78.366 128.930 331.249
[3,] 214.980 137.530 420.582 348.599 420.442 75.184 116.682 277.362
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.528 5.903 3.4 4.801 3.504 4.956 5.005 4.488 5.737
[2,] 410.459 499.033 216.7 362.889 166.138 322.739 285.826 231.600 388.903
[3,] 345.190 343.967 160.4 269.579 154.265 287.553 309.688 241.191 338.364
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.56 8.718 6.636 12.61 4.725 13.39 6.912 1.896 6.158
[2,] 364.48 456.803 417.551 706.57 218.077 1078.12 457.124 91.386 434.922
[3,] 340.00 539.231 382.106 546.66 196.601 909.89 473.358 86.538 572.201
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.627 5.523 6.375 1.842 5.487 5.428 2.877 6.666
[2,] 487.057 296.068 366.288 83.427 322.386 254.734 123.273 429.815
[3,] 434.510 273.362 401.241 89.585 436.467 253.243 110.613 395.314
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.454 4.922 6.095 4.624 4.291 1.739 4.077 1.644 4.075
[2,] 451.885 430.197 314.503 301.427 178.713 94.775 184.703 81.338 241.284
[3,] 385.823 383.825 241.848 249.718 161.040 75.761 179.423 62.154 240.355
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.801 3.285 2.421 5.272 5.484 6.038 3.028 5.834
[2,] 266.589 163.481 112.942 292.270 287.810 291.919 168.792 462.095
[3,] 271.058 154.748 97.797 245.561 226.111 307.865 151.287 336.581
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.001 2.265 4.631 5.209 4.313 4.208 5.196 1.635
[2,] 187.569 126.135 334.410 316.283 297.894 348.438 234.085 93.438
[3,] 187.519 96.848 401.136 307.139 321.340 345.379 203.064 70.753
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 4.146 1.988 4.064 3.996 4.256 4.521 2.281 4.789
[2,] 338.849 86.925 211.799 158.904 311.259 388.275 121.415 304.249
[3,] 345.997 87.280 245.155 162.314 279.930 293.171 118.485 297.478
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.998 4.734 2.043 6.234 4.574 6.337 5.466 6.323
[2,] 176.074 326.331 84.519 274.207 326.768 368.002 454.899 320.138
[3,] 157.528 311.389 99.613 228.876 258.187 280.614 319.028 286.150
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.668 4.993 1.602 4.498 4.139 5.921 2.601 3.043
[2,] 400.040 361.592 62.952 403.141 178.336 375.409 140.065 158.053
[3,] 389.543 448.415 61.556 388.765 189.813 369.908 127.931 132.519
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.206 4.447 3.586 9.057 8.431 2.936 2.609 2.62
[2,] 115.765 252.498 191.363 436.584 415.004 196.622 212.680 192.97
[3,] 103.179 256.424 176.235 420.521 471.563 141.566 214.445 189.39
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.717 3.948 2.924 0.7146 4.612 15.72 5.946
[2,] 169.818 231.750 146.031 36.8814 334.122 1081.42 370.067
[3,] 186.005 197.966 139.842 38.0017 341.480 927.14 540.564
[1] "--- VAR model 2017-10-06 06:01:00 completed"
[1] "Completed training sample: 2017-10-06 06:01:00 - 2017-10-06 14:00:00"
[1] "SpVAR; training sample: 2017-10-06 06:31:00 - 2017-10-06 14:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.602 -9.224 15.75 -6.554
10.343 -2.105 33.42 3.700
-3.031 -5.325 15.73 -16.521
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.5307 2.8259 -1.344 -6.51
-0.2111 5.1240 3.870 10.45
-14.9738 -0.3345 8.493 3.56
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.701 7.798 -1.047 -16.12
0.197 -15.496 -1.804 -9.29
5.282 4.727 7.973 -29.39
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-8.200 1.651 -2.420 -10.4019
-11.460 -7.716 -4.003 -0.5383
4.483 5.229 1.786 -3.1209
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.322 -7.646 28.325 17.493
-7.280 9.647 -10.380 10.527
-10.329 -11.364 8.369 8.968
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.190 -12.115 -16.78 -8.321
40.792 -13.034 -14.27 -10.663
-2.448 -3.124 48.56 23.548
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.736 8.396 -4.099 5.5122
1.143 -17.131 19.443 -0.4342
-2.792 13.603 -6.309 13.6388
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-8.566 1.024 -6.471 17.016
-16.487 -1.529 -11.100 7.857
-12.991 3.153 -12.635 11.587
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.9155 -15.692 11.038 10.6495
-0.2313 3.334 -9.767 2.7008
0.5301 -10.247 -9.646 -0.9744
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.479 -2.005 -6.197 -10.273
-3.419 7.590 12.039 -2.369
-3.561 -12.172 0.302 -1.276
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.724 -2.92232 -30.892 -12.483
-3.371 0.05404 3.077 -35.947
-6.889 0.11588 -1.025 -8.526
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.995 -4.840 -0.8097 4.481
13.448 6.427 -28.7619 2.807
7.812 6.649 -13.7383 -1.209
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
23.739 -3.362 8.854 10.193
3.485 -4.042 23.161 10.326
29.302 -1.729 -17.272 4.893
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.539 9.882 7.151 7.12
1.502 9.062 11.103 22.81
2.490 27.335 23.423 19.06
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.928 -1.754 3.980 -23.378
6.027 4.761 1.830 -1.954
23.949 -4.058 -1.302 8.400
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.105 -22.017 1.2764 1.848
-7.473 13.623 5.1297 -13.977
-9.573 1.469 0.5369 6.847
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
12.310 1.882 21.223 8.002
-14.519 -2.444 -8.723 -5.689
4.503 -3.952 -2.167 9.074
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
7.361 -4.402 4.989 -5.076
8.705 -4.083 11.142 16.950
-7.526 -1.743 4.097 7.820
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
27.33 17.565 -19.512 -5.666
15.55 2.382 -14.299 -24.677
-6.50 13.028 -2.694 -1.267
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-6.52 -0.1402 -21.86 7.472
6.93 4.0277 13.03 11.344
-10.30 2.7415 -21.47 13.106
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-7.204 10.577 -11.871 3.074
-19.645 3.725 -3.993 3.496
-4.045 7.463 -1.928 -1.432
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-11.719 -4.3930 28.82 -4.158
0.652 -0.6133 11.78 -11.533
-1.012 -0.9595 17.94 -9.477
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
10.211 15.622 13.174 11.875
7.936 9.367 13.453 12.226
-1.361 1.742 1.413 1.084
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.0894 -0.2991 -8.214 2.6184
2.9994 -1.2734 -8.558 0.2683
-0.8327 -2.7466 -9.131 -2.7923
rnd_95776.volume rnd_95787.volume
33.887 25.092
4.008 -19.059
-45.334 8.135
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.979 2.894 7.517 5.363 6.040 1.309 1.890 5.516 5.918 4.580 2.708
[2,] 4.793 3.323 8.904 6.678 7.671 1.565 2.317 6.481 7.182 6.513 3.594
[3,] 5.297 3.628 9.975 7.657 8.457 1.763 2.648 7.063 7.956 7.431 3.912
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.608 2.753 3.956 3.889 3.701 4.436 4.573 6.932 5.045 9.684 3.694
[2,] 5.001 3.260 4.993 4.825 4.432 5.957 5.908 8.345 6.449 12.013 4.320
[3,] 5.639 3.643 5.613 5.551 5.143 6.708 6.688 9.890 7.513 13.078 4.757
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.81 5.695 1.560 4.446 4.330 4.288 4.896 1.438 4.634 4.714 2.182
[2,] 15.37 7.247 1.828 6.192 6.805 5.247 6.229 1.690 5.827 5.488 2.511
[3,] 17.85 8.672 2.060 8.567 8.034 6.021 7.510 1.925 7.344 6.216 2.722
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.221 4.380 3.947 5.062 4.035 3.365 1.369 3.463 1.325 3.160 2.961
[2,] 6.888 6.383 6.043 6.125 5.205 3.873 1.671 3.975 1.547 4.001 4.003
[3,] 7.720 7.311 7.197 6.722 5.885 4.242 1.848 4.474 1.662 4.644 4.801
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.621 1.912 4.017 4.375 4.873 2.516 4.753 3.300 1.844 3.553 4.304
[2,] 3.077 2.214 4.962 5.403 5.864 3.041 6.519 3.836 2.225 5.148 5.507
[3,] 3.505 2.444 5.598 5.941 6.644 3.345 7.394 4.326 2.459 6.496 6.382
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.501 3.280 4.159 1.292 3.601 1.614 3.447 3.191 3.522 4.047 1.806
[2,] 4.763 5.025 4.724 1.615 5.133 1.875 4.100 3.629 4.851 5.627 2.152
[3,] 5.932 6.185 5.174 1.776 6.375 2.051 4.882 4.011 5.711 6.534 2.504
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.059 3.336 3.857 1.663 4.926 3.708 4.901 4.386 5.244 4.475 4.074
[2,] 5.097 3.789 5.316 1.909 5.672 4.955 6.266 6.360 6.149 5.996 5.646
[3,] 6.089 4.238 6.362 2.137 6.222 5.589 6.834 7.150 6.869 7.060 6.980
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.381 3.594 3.245 4.523 2.143 2.541 1.810 3.892 2.831 7.469 6.813
[2,] 1.549 5.360 3.855 5.847 2.606 2.981 2.229 4.793 3.502 8.869 7.834
[3,] 1.670 6.502 4.292 6.946 2.926 3.294 2.465 5.529 3.870 9.785 9.306
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.393 2.101 2.110 2.190 3.249 2.410 0.5906 1.824 12.52 4.652
[2,] 3.107 3.001 2.908 2.779 3.983 2.791 0.7087 2.334 17.06 6.017
[3,] 3.460 3.759 3.545 3.475 4.442 3.140 0.8086 2.691 19.37 8.387
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.053 3.675 9.545 6.81 7.669 1.662 2.4 7.005 7.515
[2,] 245.851 150.387 439.221 366.11 435.132 78.955 123.2 313.086 374.428
[3,] 207.567 133.948 413.687 344.84 327.574 74.768 118.1 258.266 314.942
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.816 3.439 4.582 3.496 5.023 4.938 4.699 5.633
[2,] 426.093 217.472 318.621 160.587 280.357 262.901 224.367 365.839
[3,] 329.116 142.151 239.746 149.589 236.024 252.493 240.050 283.746
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.807 8.802 6.406 12.3 4.69 13.73 7.231 1.98 5.645
[2,] 344.087 427.521 369.682 654.1 206.09 1005.55 412.399 87.75 396.554
[3,] 288.512 488.449 354.516 475.7 183.27 834.75 438.191 87.38 544.738
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35]
[1,] 5.498 5.446 6.217 1.826 5.884 5.986 2.771 6.63 5.561
[2,] 483.052 278.165 354.312 81.679 325.039 258.555 114.219 413.31 427.288
[3,] 392.951 271.842 385.961 84.818 411.285 268.587 96.786 320.80 327.869
[,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.012 6.428 5.124 4.273 1.738 4.397 1.683 4.012 3.761
[2,] 420.961 317.261 302.446 176.522 88.248 179.616 73.535 225.807 247.856
[3,] 359.659 254.820 252.862 159.159 72.456 188.849 55.851 217.049 243.752
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 3.328 2.428 5.101 5.555 6.188 3.195 6.035 4.191
[2,] 148.281 102.671 267.955 291.713 300.075 157.179 410.552 179.833
[3,] 154.584 95.342 238.616 227.440 287.508 128.287 321.121 184.149
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.342 4.511 5.466 4.446 4.165 5.281 1.641 4.573 2.05
[2,] 114.612 342.759 316.041 297.108 350.248 206.150 89.102 336.598 87.81
[3,] 96.193 364.554 296.863 325.286 331.763 194.257 67.952 347.761 76.48
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.378 4.052 4.473 5.14 2.293 5.154 4.236 4.898 2.112
[2,] 204.230 159.033 306.931 359.72 107.723 283.674 165.322 336.614 86.329
[3,] 243.781 157.320 277.281 305.55 117.711 306.546 174.754 321.514 88.238
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 6.256 4.709 6.224 5.569 6.659 5.682 5.173 1.754
[2,] 258.565 302.383 359.124 423.802 295.373 367.213 359.620 64.587
[3,] 235.568 237.919 251.091 300.667 281.857 342.938 377.614 57.407
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 4.564 4.121 5.743 2.721 3.226 2.298 4.942 3.595
[2,] 365.878 191.531 340.958 136.369 143.532 119.692 257.351 189.604
[3,] 338.691 173.538 344.939 122.567 128.960 96.859 253.588 151.678
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 9.485 8.651 3.039 2.667 2.679 2.781 4.125 3.06 0.75
[2,] 440.004 355.808 182.291 197.148 184.128 157.424 212.081 129.50 36.04
[3,] 380.436 462.122 140.224 208.344 186.580 191.999 180.936 132.47 35.82
[,96] [,97] [,98]
[1,] 2.316 15.9 5.908
[2,] 134.070 1066.2 351.027
[3,] 123.179 843.7 537.568
[1] "--- VAR model 2017-10-06 06:31:00 completed"
[1] "Completed training sample: 2017-10-06 06:31:00 - 2017-10-06 14:30:00"
[1] "SpVAR; training sample: 2017-10-06 07:01:00 - 2017-10-06 15:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-15.815 -3.000 -27.61420 -42.54
-4.667 6.535 0.06312 -18.57
3.078 7.733 -8.78026 -12.15
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-17.43 3.223 -3.221 16.940
-23.79 2.992 3.424 -7.969
-22.12 1.470 4.441 5.110
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-19.900 -14.373 -7.9423 -28.28
4.164 2.762 -3.8262 -26.93
9.217 2.862 0.7635 -21.97
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-8.052 -22.772 -17.398 5.39515
-3.536 -20.571 -20.300 0.03151
-12.693 -5.661 -6.226 -5.61831
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-14.96 -19.62 -17.81 -25.942
-28.19 -16.47 -34.30 -7.366
-13.99 -25.39 -31.36 -9.107
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.753 -0.4103 -27.01 -14.06
-7.137 2.6782 -53.26 -16.36
-43.749 -11.7050 -31.31 -16.63
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.7256 -30.05 -37.010 11.810
-1.3459 -13.55 -8.008 2.834
-1.7279 -10.62 -10.695 1.515
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-33.20 0.041560 -17.71 16.25
-24.91 2.463681 -42.26 14.10
-16.69 -0.001876 -13.46 16.80
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.037 -18.13 -18.21 -9.48
-4.646 -28.98 -29.26 -24.50
-6.033 -29.91 -20.25 -27.82
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.994 -25.355 5.078 -3.712
-3.626 -9.813 15.778 -5.784
-11.421 -2.849 1.888 -2.083
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.931 0.99787 0.3501 -6.938
-2.487 -1.54557 -12.8241 -16.093
2.013 -0.08651 -13.0606 -18.451
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
9.771 -5.826 4.023 -9.769
-3.182 -5.226 5.500 -9.772
7.538 -4.998 -9.053 15.847
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
31.0149 -3.651 -6.066 22.09
0.6073 -8.366 8.379 22.56
15.8846 1.521 6.090 21.38
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.448 10.536 31.020 23.750
3.796 9.802 -8.532 6.794
-2.702 15.853 18.746 11.878
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
29.390 -20.605 -0.1896 18.99
22.890 -20.835 1.5992 22.09
-6.202 -7.138 -2.7667 17.04
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.389 -5.655 5.1459 1.262
-5.491 10.559 -0.9293 11.121
-5.402 9.036 -14.0213 8.189
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.78 6.8614 1.094 -2.198
-10.47 2.6364 -5.752 10.144
6.57 -0.2409 7.125 -1.357
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-15.284 -0.2333 -8.948 -4.589
9.144 -1.8559 -18.932 -16.789
2.121 -0.3485 -17.691 -1.667
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
10.53 -12.920 29.253 13.13
25.48 -3.827 1.292 -14.86
17.55 -3.790 12.761 -4.73
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.524 -4.070 1.236 -3.828
8.238 -3.988 18.763 2.621
-10.601 -2.027 -5.343 5.711
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.7781 -2.038 -3.6397 -8.7974
9.9771 -2.144 0.9299 3.5184
2.2281 4.061 3.6707 -0.1005
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-21.656 -1.6784 -6.2789 44.49
-22.321 0.5653 23.5077 30.84
4.451 9.3766 -0.5904 32.37
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
11.84333 -1.505 0.087 -2.534
4.59819 12.565 12.406 10.047
-0.08422 1.090 5.494 9.922
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
8.567 2.374 -11.55 -0.1421
6.269 -4.344 -11.97 5.3870
4.417 1.650 -10.51 -3.2135
rnd_95776.volume rnd_95787.volume
34.91 -9.982
-45.27 -25.073
39.25 -24.350
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.974 2.907 7.816 5.308 5.857 1.389 1.923 5.489 5.672 4.803 2.681
[2,] 4.672 3.376 8.927 6.703 7.584 1.632 2.377 6.321 6.971 6.405 3.480
[3,] 5.167 3.718 10.099 7.682 8.469 1.829 2.700 7.010 7.830 7.294 3.845
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.744 2.729 3.859 3.802 3.663 4.791 4.664 6.812 5.194 8.893 3.668
[2,] 5.009 3.308 4.767 4.620 4.414 6.209 6.008 8.354 6.433 11.283 4.269
[3,] 5.653 3.734 5.384 5.353 5.044 6.854 6.754 9.911 7.609 12.263 4.646
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.02 5.908 1.586 4.487 4.475 4.299 4.897 1.511 4.574 4.719 2.100
[2,] 15.43 7.295 1.851 6.315 7.133 5.128 6.113 1.770 5.779 5.461 2.424
[3,] 18.12 8.833 2.072 8.549 8.191 5.933 7.448 2.027 7.322 6.298 2.628
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.307 4.266 4.257 5.020 4.222 3.593 1.447 3.582 1.311 3.300 2.844
[2,] 6.840 6.334 6.167 6.144 5.312 4.093 1.715 4.060 1.515 4.053 4.052
[3,] 7.607 7.322 7.120 6.837 5.937 4.478 1.861 4.569 1.658 4.663 4.857
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.534 1.844 3.939 4.430 4.933 2.500 4.758 3.352 1.725 3.348 4.320
[2,] 3.089 2.152 4.767 5.337 6.044 3.086 6.360 3.992 2.095 5.042 5.564
[3,] 3.450 2.381 5.486 5.859 6.862 3.418 7.377 4.545 2.329 6.450 6.352
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.343 3.310 4.180 1.353 3.875 1.682 3.384 3.371 3.466 4.230 1.782
[2,] 4.778 5.176 4.853 1.603 5.432 1.913 4.061 3.820 4.924 6.003 2.149
[3,] 5.950 6.324 5.337 1.738 6.697 2.100 4.894 4.166 5.764 6.781 2.486
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.372 3.352 3.891 1.602 4.905 3.786 4.757 3.956 4.952 4.479 4.078
[2,] 5.404 3.818 5.337 1.868 5.618 4.947 6.130 6.078 5.917 5.986 5.559
[3,] 6.366 4.285 6.368 2.125 6.145 5.603 6.871 6.874 6.625 6.936 7.022
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.473 3.514 3.235 4.636 2.152 2.648 1.857 4.052 2.927 7.784 6.744
[2,] 1.639 5.170 3.876 5.892 2.598 3.057 2.229 5.020 3.646 8.959 7.824
[3,] 1.778 6.324 4.259 6.875 2.951 3.363 2.472 5.608 4.103 9.825 9.334
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.405 2.184 2.179 2.249 3.382 2.588 0.5937 1.617 12.46 4.777
[2,] 3.048 2.936 2.873 2.777 4.159 2.946 0.7172 1.986 17.58 6.253
[3,] 3.442 3.589 3.432 3.375 4.574 3.292 0.8015 2.226 20.16 8.491
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 5.047 3.692 9.925 6.74 7.438 1.764 2.441 6.97 7.202
[2,] 256.874 179.458 451.262 428.21 503.947 89.647 146.274 327.95 424.052
[3,] 231.027 162.954 493.868 392.71 394.457 86.461 133.830 317.13 372.868
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.099 3.404 4.754 3.465 4.901 4.828 4.652 6.083
[2,] 443.277 232.166 348.145 195.522 292.762 274.687 257.535 413.232
[3,] 365.030 171.000 274.067 181.182 261.751 282.884 255.397 303.598
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26]
[1,] 5.923 8.65 6.596 11.29 4.658 14.0 7.502 2.014 5.697
[2,] 396.075 505.97 397.032 726.43 228.482 1129.9 447.651 99.896 464.903
[3,] 322.855 557.87 425.060 502.60 191.663 993.9 520.941 97.306 602.724
[,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34]
[1,] 5.683 5.46 6.218 1.919 5.808 5.992 2.667 6.739
[2,] 581.047 292.27 382.749 96.326 369.485 287.549 126.588 451.534
[3,] 421.093 312.17 445.170 103.422 470.307 328.122 106.273 348.052
[,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 5.418 5.406 6.374 5.361 4.563 1.837 4.549 1.665 4.19
[2,] 489.749 466.743 370.653 337.272 205.011 96.406 199.960 79.423 246.21
[3,] 384.207 372.219 313.722 277.359 190.113 75.578 219.239 70.527 241.26
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 3.612 3.217 2.342 5.002 5.625 6.265 3.175 6.041
[2,] 301.928 184.829 116.007 280.749 311.380 365.314 189.195 441.522
[3,] 280.089 160.697 106.493 284.200 253.079 339.950 153.726 391.053
[,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 4.257 2.191 4.252 5.486 4.245 4.203 5.308 1.718
[2,] 226.727 124.416 394.285 366.756 357.130 416.253 258.002 89.916
[3,] 227.352 106.319 420.901 320.515 370.857 380.118 232.211 70.485
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 4.921 2.136 4.298 4.281 4.401 5.371 2.263 5.552
[2,] 398.191 95.227 234.883 188.056 365.872 445.572 125.695 332.235
[3,] 409.823 90.628 285.698 173.724 313.409 330.053 130.651 352.110
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.256 4.941 2.034 6.229 4.808 6.04 5.024 6.288
[2,] 191.298 382.171 100.584 286.415 333.075 404.54 482.649 338.814
[3,] 203.392 363.427 105.910 260.517 275.160 324.65 335.806 311.771
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.688 5.179 1.87 4.462 4.109 5.887 2.732 3.363 2.358
[2,] 415.371 395.168 75.13 396.632 223.363 380.316 152.294 159.705 128.946
[3,] 366.622 448.870 72.07 381.031 184.456 370.675 146.516 146.771 111.739
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 5.145 3.717 9.885 8.564 3.054 2.773 2.767 2.856
[2,] 310.117 227.324 463.917 414.977 195.898 205.340 195.884 170.326
[3,] 261.487 196.981 421.961 532.528 167.234 215.957 196.364 200.659
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.295 3.287 0.7539 2.053 15.82 6.066
[2,] 253.281 147.166 42.0901 120.617 1296.85 422.163
[3,] 198.991 153.658 37.4398 105.310 1033.70 600.798
[1] "--- VAR model 2017-10-06 07:01:00 completed"
[1] "Completed training sample: 2017-10-06 07:01:00 - 2017-10-06 15:00:00"
[1] "SpVAR; training sample: 2017-10-06 07:31:00 - 2017-10-06 15:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.74999 5.525 -18.97 -36.99
0.02691 18.928 -18.03 -20.25
-12.74620 13.578 -36.19 -35.59
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.18 -0.4474 -7.1286 23.67
-11.59 4.3105 -8.0936 10.98
-23.76 0.3495 0.6422 10.30
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.807 -22.752 -6.749 -30.09
-2.675 -8.593 -8.083 -29.30
-8.399 -26.744 -12.259 -38.57
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
12.50 -9.647 -6.5547 -12.0233
6.13 -19.438 -20.6315 -0.8071
13.95 -11.146 -0.2366 -12.3448
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-11.19 -0.5725 -1.293 7.769
-21.14 -11.2815 13.944 33.360
-21.63 -8.2970 11.536 16.872
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
17.86 4.334 -39.53 -27.15
-37.55 -23.835 -33.72 -29.69
-38.46 -3.839 -42.11 -29.25
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
4.4873 -33.36 -43.52 -3.602
0.6647 -24.50 -20.30 19.454
3.5440 -18.40 -36.14 12.287
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-18.26 -3.093 -18.43 36.67
-50.20 -9.925 -39.36 40.58
-16.40 -5.574 -30.44 42.50
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.281 -31.13 -23.518 -2.974
-4.330 -25.91 2.598 -7.916
-12.521 -25.19 -34.870 -28.935
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.333 -35.25 2.036 3.099
8.488 -38.71 6.113 -0.438
4.945 -30.32 8.274 1.381
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.155 -8.9841 2.953 -9.746
1.081 -0.9158 1.433 -7.722
2.740 -3.5390 -7.292 -14.690
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.646 -3.233331 -0.7049 -18.1626
7.941 -2.641701 -6.5567 10.9160
5.780 0.009911 6.2790 0.9686
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.4336 1.472 -19.63 18.641
13.7576 -4.105 -18.87 24.970
0.7175 5.043 10.68 9.164
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.385 -22.01 -10.36 -7.538
-1.769 -18.73 -17.84 -20.700
5.573 -20.66 -18.05 -22.580
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.69 5.4662 9.3313 -36.440
-17.95 -5.8243 0.1598 7.607
-30.29 -0.4537 3.9397 -18.003
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.524 -7.665 -2.824 -24.044
1.506 4.365 -8.630 -14.042
-5.119 17.532 -4.394 -1.727
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-23.6224 -9.400 -19.74 10.29
-10.4351 -6.733 -29.54 11.85
-0.4225 -2.602 -4.54 13.79
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-12.86 10.117 -22.77 5.251
-10.44 6.507 -22.16 11.413
-12.60 3.769 -11.60 -5.036
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
21.95 -9.6632 0.03565 -16.90
32.99 -0.4011 28.17057 -18.32
40.72 -2.3247 26.29951 22.19
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.082 -4.778 -10.43 5.1893
-28.510 -1.008 -12.32 0.7001
-2.845 -4.262 -28.71 15.5793
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-9.164 -0.2104 -8.5407 -5.185
-1.625 4.2497 3.8182 -6.009
-22.990 1.0057 0.2036 -12.942
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-22.77 8.227 -3.632 25.632
-14.20 16.248 -6.118 1.241
-17.14 19.698 -14.235 40.357
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-6.155 7.024 -5.901 -6.6064
-15.591 -13.283 -12.225 0.2663
-3.242 -2.008 -5.569 -10.9729
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-23.998 -5.724 -12.36 2.022
-7.727 -1.897 -13.51 -1.294
-16.020 3.124 -12.09 1.362
rnd_95776.volume rnd_95787.volume
-38.01 -29.86
32.03 -33.32
15.64 -29.04
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.955 2.902 7.723 4.830 5.470 1.604 1.829 5.188 5.208 5.023 2.575
[2,] 4.755 3.458 9.051 6.336 7.511 1.875 2.297 5.922 6.330 6.270 3.319
[3,] 5.299 3.840 10.186 7.314 8.488 2.061 2.599 6.603 7.284 7.093 3.661
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.783 2.808 3.826 4.083 3.565 4.617 4.493 6.851 5.244 8.911 3.775
[2,] 5.005 3.370 4.763 4.834 4.235 6.065 5.784 8.604 6.573 11.056 4.399
[3,] 5.633 3.780 5.407 5.454 4.895 6.709 6.668 10.099 7.631 12.061 4.814
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.60 5.722 1.573 4.380 4.471 4.248 4.727 1.515 4.742 4.614 2.097
[2,] 15.27 7.334 1.905 6.109 7.103 5.078 6.223 1.820 5.817 5.386 2.460
[3,] 18.16 8.708 2.128 8.378 8.208 5.802 7.471 2.093 7.344 6.164 2.709
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.160 4.240 4.406 4.997 4.402 3.687 1.430 3.444 1.299 3.443 2.911
[2,] 6.799 6.382 6.186 6.245 5.453 4.309 1.715 3.960 1.511 4.269 4.208
[3,] 7.568 7.424 7.167 6.988 6.141 4.746 1.870 4.414 1.673 4.905 4.938
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.577 1.795 3.859 4.562 5.202 2.506 4.686 3.542 1.690 3.349 4.211
[2,] 3.117 2.121 4.706 5.503 6.322 3.128 6.382 4.053 2.027 5.299 5.424
[3,] 3.493 2.347 5.342 5.977 7.140 3.514 7.349 4.580 2.267 6.803 6.342
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.240 3.431 4.165 1.296 4.140 1.720 3.459 3.358 3.494 4.394 1.752
[2,] 4.620 5.274 4.822 1.531 5.416 1.964 4.092 3.889 4.749 6.108 2.203
[3,] 6.028 6.422 5.298 1.679 6.786 2.185 4.950 4.286 5.658 6.928 2.546
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.455 3.361 4.138 1.647 4.935 4.206 4.714 3.945 4.924 4.248 3.863
[2,] 5.641 3.858 5.397 1.992 5.710 5.288 6.135 5.934 5.894 5.618 5.364
[3,] 6.545 4.342 6.334 2.246 6.346 5.989 6.981 6.770 6.578 6.607 6.840
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.475 3.514 3.475 4.670 2.103 2.631 1.866 4.078 3.373 7.724 6.543
[2,] 1.669 5.241 4.106 5.968 2.536 3.071 2.219 4.964 4.126 9.014 7.832
[3,] 1.822 6.254 4.542 6.857 2.854 3.364 2.474 5.590 4.584 9.922 9.463
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.482 2.222 2.219 2.279 3.490 2.648 0.6079 1.556 12.77 4.807
[2,] 3.058 3.015 3.047 2.903 4.304 3.040 0.7319 1.830 17.97 6.497
[3,] 3.462 3.553 3.485 3.405 4.742 3.375 0.8264 2.017 20.40 8.513
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 5.022 3.685 9.807 6.134 6.946 2.036 2.322 6.588
[2,] 391.973 279.301 700.541 608.731 764.010 144.239 206.441 423.900
[3,] 347.048 247.942 693.838 542.242 586.916 127.021 180.281 433.551
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.614 6.378 3.27 4.804 3.566 4.858 5.185 4.526
[2,] 534.069 557.060 310.75 486.371 276.574 421.203 384.190 339.358
[3,] 534.902 492.325 229.47 383.724 254.001 379.829 374.976 364.432
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.863 5.705 8.699 6.659 11.32 4.794 13.46 7.266
[2,] 583.672 540.613 772.654 588.393 971.42 335.263 1631.55 680.947
[3,] 426.050 492.700 785.077 575.505 715.58 290.320 1460.08 696.912
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.998 5.562 5.677 5.394 6.002 1.924 6.021 5.86
[2,] 159.483 632.087 819.330 413.211 600.912 149.813 500.248 412.49
[3,] 140.841 851.160 610.495 416.461 613.661 153.357 665.532 444.81
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.663 6.552 5.384 5.595 6.345 5.59 4.682 1.816
[2,] 190.844 657.320 708.056 644.596 555.983 477.66 331.023 140.332
[3,] 168.518 493.492 563.048 537.344 465.692 419.40 295.510 110.881
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.373 1.649 4.371 3.696 3.272 2.28 4.901 5.793
[2,] 290.181 114.554 374.840 451.177 260.240 167.63 399.644 456.862
[3,] 289.487 106.577 358.663 383.507 234.092 149.33 375.486 346.476
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.606 3.182 5.951 4.498 2.146 4.253 5.347 4.115
[2,] 533.323 277.928 643.172 292.339 166.137 609.617 507.618 488.869
[3,] 492.772 237.558 541.025 316.689 150.661 633.242 487.750 574.779
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.356 5.29 1.646 5.257 2.184 4.392 4.264 4.437
[2,] 594.705 360.51 120.966 518.223 140.635 324.790 291.390 477.345
[3,] 543.992 326.05 102.192 607.048 142.111 413.290 267.439 456.788
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.579 2.225 5.657 4.268 5.254 2.091 6.266 5.34
[2,] 629.907 198.161 513.545 281.224 514.455 166.379 426.549 475.84
[3,] 485.365 189.355 492.825 295.708 492.139 154.139 411.079 417.36
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.986 5.01 6.252 5.394 4.905 1.873 4.462 4.412
[2,] 582.848 658.06 480.908 545.751 552.409 116.081 577.265 324.613
[3,] 494.567 483.86 433.642 516.387 630.139 108.333 506.644 288.258
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.931 2.671 3.341 2.369 5.179 4.283 9.808 8.309
[2,] 551.525 210.314 235.233 178.354 419.997 352.921 689.822 638.932
[3,] 501.436 194.305 203.620 162.454 381.671 296.323 615.730 788.512
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 3.151 2.822 2.818 2.894 4.432 3.362 0.7719 1.976
[2,] 265.238 302.560 309.906 266.860 373.900 221.604 60.5255 143.083
[3,] 241.030 278.949 251.232 264.247 295.527 217.715 56.9593 125.952
[,97] [,98]
[1,] 16.22 6.104
[2,] 1876.63 648.897
[3,] 1432.64 816.550
[1] "--- VAR model 2017-10-06 07:31:00 completed"
[1] "Completed training sample: 2017-10-06 07:31:00 - 2017-10-06 15:30:00"
[1] "SpVAR; training sample: 2017-10-06 08:01:00 - 2017-10-06 16:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
21.785 2.6894 5.835 -9.945
2.302 -3.6164 -18.210 -34.283
-5.615 0.3683 -8.812 -19.293
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-64.89 2.166 10.5141 7.114
-33.06 3.211 0.7108 10.480
-33.37 -1.738 6.1717 3.912
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
21.12 -9.447 -9.6815 -29.11
10.42 3.749 0.3135 -14.28
16.10 18.480 5.7027 -29.08
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.654 -26.750 -15.838 -1.466
-13.656 -2.562 -5.235 -6.040
-3.922 -8.005 -5.962 -9.236
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-18.73 -41.60 -43.94 -12.419
-41.89 -32.05 -41.17 -32.065
-25.96 -40.28 -37.40 -6.612
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-32.475 -3.016 -77.62 -40.34
-16.036 6.462 -45.26 -18.16
1.975 -6.470 -31.93 -21.84
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.3761 -28.09 -14.53 -12.058
-0.4320 -39.90 -58.93 2.478
0.3932 -18.84 -24.23 -6.130
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-3.634 0.7014 -11.64 12.40
-20.523 0.5080 -10.30 30.04
-27.732 -5.2934 -31.36 18.55
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
1.461 -43.201 -48.74 -25.916
-9.024 -4.753 -28.25 -35.493
-4.349 -40.044 -12.43 -9.374
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.020 -28.77 7.756 2.710
-9.206 -17.51 3.155 -2.583
-10.158 -28.58 -2.639 -2.974
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-6.083 -3.631 -2.261 0.9284
-11.895 -3.526 -9.847 -10.3503
-1.679 -2.337 -3.819 -22.9827
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
14.0288 -2.3566 -1.561 1.322
-2.9845 -0.8869 17.721 -8.404
0.0221 0.0536 -14.955 -13.894
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-14.960 -9.2948 15.172 11.33
12.550 -0.6129 -9.142 -2.99
-7.621 1.0439 14.990 10.42
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
6.8653 -22.153 0.03009 4.694
0.5493 5.256 -2.40890 -17.400
0.4368 -6.061 -12.03911 3.322
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.3581 -1.618 10.189 -12.474
-5.8191 -8.833 5.010 2.868
0.3146 -13.696 4.757 -18.798
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.473 2.457 -10.905 1.310
-4.639 3.286 -7.457 -4.405
-3.129 -14.641 -8.730 -5.422
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.171 -0.3967 4.171 9.711
-4.094 -4.6648 -1.985 13.440
1.594 -5.6787 4.200 6.076
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
9.147 4.5312 8.1318 14.192
4.907 5.0228 -13.1773 6.934
6.431 0.1907 0.7189 -6.806
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
27.233 -5.318 16.40 -15.984
3.906 9.461 -11.58 9.054
-5.097 -15.532 10.16 -2.275
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-18.788 2.955 -17.63 14.066
6.573 1.594 -11.47 9.522
7.256 2.151 4.20 5.340
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-24.250 1.611 -5.5299 -3.4153
-12.251 -2.068 5.1291 -0.7524
7.291 -2.145 -0.1835 -3.7962
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-20.90 6.3010 9.014 -61.68
-24.50 1.9900 -5.335 -43.80
-25.38 0.3833 6.964 -54.65
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.3948 0.5868 -0.9924 1.021
8.5324 -0.2672 -8.1066 -7.673
0.7583 1.7060 6.8481 8.584
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.242 -1.8645 -13.077 1.045
-5.481 0.5147 -9.858 -2.684
-13.873 1.2804 -11.703 4.677
rnd_95776.volume rnd_95787.volume
-48.15 -47.21
23.96 -22.97
-15.36 -10.09
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.801 2.952 7.712 4.529 5.400 1.711 1.860 5.022 5.131 4.970 2.562
[2,] 4.712 3.476 9.080 5.996 7.359 2.038 2.285 5.787 6.279 6.306 3.253
[3,] 5.221 3.819 10.076 7.136 8.329 2.285 2.516 6.336 7.133 7.125 3.641
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.675 2.931 3.545 3.917 3.274 4.422 4.460 6.892 5.269 9.025 3.807
[2,] 4.931 3.468 4.597 4.706 3.983 5.821 5.896 8.592 6.634 10.936 4.472
[3,] 5.602 3.899 5.374 5.450 4.572 6.591 6.667 10.237 7.638 12.100 4.841
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.82 5.789 1.610 4.463 4.341 4.296 4.197 1.591 4.619 4.736 2.111
[2,] 15.73 7.443 1.901 6.363 6.902 5.117 5.960 1.894 5.833 5.514 2.445
[3,] 18.44 8.774 2.120 8.772 8.181 5.759 7.354 2.119 7.246 6.229 2.746
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.252 4.194 4.190 4.915 4.334 3.725 1.435 3.598 1.290 3.554 3.022
[2,] 6.765 6.365 6.086 6.015 5.241 4.458 1.707 4.192 1.469 4.311 4.370
[3,] 7.553 7.387 7.094 6.923 5.962 4.896 1.878 4.622 1.623 4.951 4.973
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.670 1.802 3.650 4.464 5.200 2.490 5.157 3.808 1.769 3.393 3.937
[2,] 3.176 2.105 4.651 5.374 6.424 3.008 6.540 4.359 2.100 5.541 5.496
[3,] 3.617 2.329 5.280 5.854 7.331 3.452 7.616 4.931 2.349 6.886 6.353
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.283 3.363 4.075 1.388 4.400 1.718 3.583 3.309 3.518 4.580 1.785
[2,] 4.596 5.153 4.820 1.617 5.938 1.956 4.386 3.791 4.769 6.337 2.208
[3,] 5.982 6.410 5.313 1.794 7.257 2.172 5.288 4.191 5.679 7.148 2.542
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.312 3.371 4.279 1.688 4.777 4.310 4.800 4.063 5.034 4.321 3.957
[2,] 5.561 3.860 5.478 2.042 5.648 5.435 6.197 5.973 5.957 5.663 5.408
[3,] 6.494 4.364 6.468 2.298 6.231 6.094 6.942 6.742 6.705 6.676 6.687
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.479 3.375 3.583 4.786 2.076 2.614 1.929 4.068 3.368 7.889 6.644
[2,] 1.709 5.022 4.321 5.814 2.514 3.091 2.255 4.989 4.172 9.161 7.893
[3,] 1.894 6.181 4.751 6.808 2.809 3.394 2.521 5.637 4.612 10.055 9.336
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.096 2.203 2.313 2.387 3.434 2.782 0.6417 1.600 12.50 4.945
[2,] 2.676 2.907 2.964 2.888 4.186 3.145 0.7545 1.927 17.80 6.464
[3,] 3.105 3.328 3.386 3.350 4.652 3.473 0.8536 2.093 20.33 8.637
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.827 3.748 9.793 5.751 6.857 2.173 2.362 6.378
[2,] 568.357 374.449 978.242 801.683 1020.032 226.112 270.831 586.607
[3,] 458.632 323.101 891.273 789.539 796.233 210.679 215.029 526.408
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.516 6.311 3.253 4.667 3.722 4.502 4.974 4.157
[2,] 738.419 792.008 409.021 670.880 378.146 597.172 532.351 462.977
[3,] 690.929 676.822 334.043 542.640 363.588 567.873 560.960 458.000
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.615 5.663 8.751 6.69 11.46 4.834 13.74 7.351
[2,] 772.477 787.073 1047.127 822.58 1260.18 479.026 2329.91 954.433
[3,] 630.745 634.861 1135.476 772.60 1056.94 378.258 1964.92 948.070
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.044 5.667 5.513 5.456 5.33 2.021 5.866 6.015
[2,] 206.135 925.574 1094.858 567.044 863.55 209.624 726.805 576.226
[3,] 191.834 1232.193 896.165 539.266 878.84 193.980 877.183 591.182
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.681 6.669 5.326 5.321 6.242 5.504 4.731 1.823
[2,] 251.832 870.278 977.061 900.747 707.432 601.221 499.728 188.584
[3,] 255.120 685.505 765.035 743.645 699.643 579.829 412.906 159.663
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.569 1.638 4.513 3.838 3.39 2.288 4.635 5.669
[2,] 438.899 143.410 497.911 644.130 351.14 222.251 588.351 610.460
[3,] 397.600 140.781 496.660 484.523 353.01 203.371 509.743 473.641
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 6.603 3.161 6.549 4.836 2.246 4.309 5.0 4.169 4.27
[2,] 769.854 344.521 820.575 432.720 231.057 893.869 782.4 656.269 796.65
[3,] 720.594 345.776 796.522 470.587 214.848 834.417 650.2 781.225 778.20
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.174 1.763 5.588 2.181 4.549 4.202 4.467 5.816
[2,] 525.491 169.062 813.593 191.043 516.277 377.494 656.983 893.647
[3,] 456.173 158.931 851.484 192.820 602.856 364.761 629.125 674.763
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.266 5.475 4.28 5.434 2.144 6.066 5.473 6.095 5.16
[2,] 265.320 716.654 383.94 697.990 234.252 615.133 675.548 799.852 893.26
[3,] 257.063 684.234 415.36 701.786 215.435 536.848 562.746 638.658 638.40
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.392 5.488 5.025 1.879 4.286 4.55 6.077 2.636
[2,] 649.865 746.880 752.384 174.632 758.902 492.83 673.681 289.508
[3,] 628.295 721.423 802.500 166.650 735.249 402.95 722.888 255.577
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.319 2.45 5.166 4.277 10.02 8.437 2.662 2.798
[2,] 336.571 238.15 589.156 502.350 950.21 869.382 339.397 387.134
[3,] 286.393 230.15 535.505 401.180 845.90 1017.510 321.401 330.523
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.937 3.032 4.36 3.533 0.8148 2.031 15.88 6.28
[2,] 378.199 331.598 488.35 299.415 80.9826 219.368 2585.01 849.46
[3,] 334.027 346.651 414.14 300.707 81.4544 166.677 2006.04 1168.96
[1] "--- VAR model 2017-10-06 08:01:00 completed"
[1] "Completed training sample: 2017-10-06 08:01:00 - 2017-10-06 16:00:00"
[1] "SpVAR; training sample: 2017-10-06 08:31:00 - 2017-10-06 16:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-15.636 -16.050 -15.684 -13.27
-1.703 2.128 5.526 -15.22
-12.914 0.281 2.856 -24.92
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-49.421 7.8021 2.376 10.779
-4.284 0.7246 1.821 -4.379
-24.511 0.7881 3.634 3.410
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
18.79 8.281 -1.3619 -18.099
-17.62 5.629 14.1797 -2.062
11.86 -4.957 -0.7908 -26.118
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-9.828 -4.120 -2.530 -14.1028
-1.022 5.548 -4.672 -0.2029
-7.439 -9.136 -6.757 -5.2462
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.167 -18.907 8.949 -1.832
-12.217 8.274 7.571 3.170
-5.532 -1.519 -24.129 -3.301
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-33.78 0.7991 -56.13 -19.30
-32.24 -7.1969 -78.96 -28.94
-10.84 3.2571 -30.25 -21.98
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.2731 -4.153 -5.748 -1.280
-0.1155 -38.634 -22.355 -3.750
-7.4306 -17.003 -33.084 2.679
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-14.09 2.3612 -39.07 9.345
-13.62 2.5131 -20.40 -10.655
-31.01 0.1057 -27.60 -6.008
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.677 -37.418 -10.073 -0.04609
-5.648 -6.967 -18.566 -17.18610
-3.980 -8.304 0.637 -7.84740
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
9.513 -4.358 4.854 5.4543
-9.521 4.417 18.104 0.9698
-6.685 -18.906 -1.104 -1.3444
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.6212 3.311 6.082 -21.087
-0.6343 3.100 -9.015 -9.241
-3.2272 1.736 -1.180 -23.084
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.5368 -0.9562 -9.823 15.46
1.5626 3.8272 -9.731 -13.39
-0.3718 -0.3522 -10.842 13.02
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.982 -12.6830 -27.431 24.62
10.987 0.3255 6.949 14.90
7.720 -7.4417 1.201 21.45
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.344 -3.269 8.628 -10.085
4.420 -19.382 -27.201 -0.702
5.040 3.345 3.351 -12.260
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.960 -0.1258 -0.2225 -28.768
3.535 -5.3886 4.6533 -9.581
-20.870 0.7028 3.1156 -7.707
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.754 -14.94 -19.076 -18.62
-10.391 -10.13 -6.965 -29.30
-9.065 -13.95 -3.152 -18.82
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.5481 -5.3033 -0.7752 9.587
-32.2212 5.5292 -28.0072 -6.313
-14.8462 -0.4905 -25.1107 9.796
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.159 0.02775 -29.80 -29.413
-1.499 -3.42146 -21.44 -8.004
-27.848 4.59146 -18.89 -10.810
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
10.786 -1.459 -17.865 -0.8697
-5.903 -24.299 -8.406 -30.5909
4.270 -5.852 -5.084 -16.9966
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-25.58 -0.008628 -27.108 -6.163
-17.57 -3.191850 -5.623 8.222
-33.41 2.253327 -27.755 1.429
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-19.44 -13.451 -9.468 11.943
-16.34 -8.718 1.932 -5.684
-10.92 -5.282 -2.869 -6.771
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-14.778 -23.0887 -10.700 -41.00
5.992 1.5351 -6.572 -27.62
-5.341 -0.4235 4.133 -49.00
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.854 6.998 1.935 2.167
1.366 -1.009 -3.434 1.995
-2.041 -5.247 2.896 -1.459
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.492 -10.66943 -12.71 -2.042
-15.055 0.02267 -10.40 -1.329
-6.854 -3.25097 -15.01 3.852
rnd_95776.volume rnd_95787.volume
-11.79 -20.10
56.34 -29.67
-32.83 -17.85
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.740 2.961 7.985 4.228 5.371 1.920 1.768 4.912 5.231 4.965 2.543
[2,] 4.526 3.505 9.274 5.780 6.949 2.312 2.125 5.804 6.361 6.371 3.289
[3,] 5.050 3.797 10.150 6.761 7.981 2.606 2.336 6.281 7.234 7.128 3.638
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.550 3.070 3.778 3.996 3.398 4.332 4.279 7.037 4.987 8.509 3.524
[2,] 4.775 3.628 4.617 4.700 4.059 5.648 5.578 8.690 6.380 10.389 4.156
[3,] 5.456 4.065 5.273 5.400 4.521 6.376 6.321 10.251 7.192 11.679 4.511
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.56 5.665 1.614 4.135 4.086 3.851 3.997 1.618 4.696 4.559 2.110
[2,] 15.83 7.540 1.936 6.302 6.711 4.506 5.704 1.959 5.904 5.290 2.402
[3,] 18.44 8.902 2.190 8.573 7.912 5.028 7.070 2.197 7.210 6.042 2.694
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.020 4.351 4.179 4.896 4.465 3.937 1.427 3.714 1.217 3.568 3.044
[2,] 6.374 6.156 6.230 6.028 5.270 4.684 1.700 4.305 1.414 4.257 4.166
[3,] 7.358 7.208 7.177 6.915 5.924 5.161 1.871 4.778 1.543 4.817 4.791
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.575 1.752 3.698 4.418 5.157 2.404 5.040 3.881 1.732 3.795 4.156
[2,] 3.148 2.068 4.672 5.192 6.618 2.956 6.530 4.419 2.085 5.830 5.654
[3,] 3.567 2.263 5.250 5.697 7.685 3.403 7.544 4.981 2.293 7.176 6.580
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.282 3.244 4.214 1.451 4.429 1.719 3.843 3.308 3.643 4.543 1.938
[2,] 4.815 5.178 4.997 1.656 5.810 1.924 4.527 3.883 4.969 6.413 2.340
[3,] 6.069 6.551 5.443 1.830 7.184 2.120 5.334 4.237 5.814 7.195 2.765
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.343 3.348 4.365 1.835 5.003 4.655 4.850 4.178 5.098 4.182 4.020
[2,] 5.597 3.821 5.471 2.115 5.803 5.590 6.251 5.961 5.983 5.576 5.269
[3,] 6.436 4.295 6.413 2.385 6.415 6.435 6.919 6.725 6.719 6.635 6.557
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.498 3.393 3.570 4.973 2.228 2.548 1.959 4.039 3.765 8.047 6.544
[2,] 1.747 5.079 4.367 6.015 2.656 3.051 2.301 4.929 4.490 9.317 7.560
[3,] 1.961 6.186 5.077 6.859 2.969 3.384 2.567 5.674 4.946 10.125 8.669
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.942 1.926 2.221 2.605 3.353 2.702 0.7258 1.665 12.35 4.757
[2,] 2.526 2.841 2.991 3.108 4.058 3.110 0.8700 2.021 17.24 6.515
[3,] 3.070 3.263 3.341 3.441 4.671 3.482 0.9949 2.234 19.85 8.572
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.75 3.76 10.14 5.369 6.82 2.438 2.244 6.238 6.643
[2,] 593.34 436.79 1098.55 917.729 1026.86 299.933 274.904 719.749 842.858
[3,] 521.69 340.13 960.75 817.135 914.30 280.187 225.688 559.698 802.477
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.304 3.23 4.508 3.898 4.798 5.075 4.315 5.501
[2,] 929.969 485.79 743.829 450.354 618.207 576.313 517.057 844.207
[3,] 744.390 362.18 614.710 426.919 592.851 619.305 463.627 689.073
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.434 8.936 6.333 10.8 4.475 13.41 7.194 2.049
[2,] 833.340 1187.506 926.685 1388.4 512.885 2747.10 1159.068 249.251
[3,] 692.599 1266.649 773.120 1242.8 408.747 2200.61 1101.948 238.234
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.251 5.189 4.891 5.076 2.055 5.963 5.79 2.68
[2,] 1107.759 1239.985 544.591 947.747 257.048 833.544 624.77 267.29
[3,] 1353.724 975.768 519.707 972.769 231.553 963.951 679.95 284.09
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.375 5.525 5.307 6.217 5.67 5.0 1.812 4.716
[2,] 914.755 1014.365 1076.042 819.015 651.92 590.9 215.299 507.054
[3,] 856.234 873.164 829.984 789.465 630.19 505.0 181.989 482.865
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 1.546 4.53 3.866 3.27 2.225 4.696 5.611 6.548 3.053
[2,] 167.719 540.79 662.444 422.02 255.603 665.203 635.109 966.315 400.669
[3,] 143.890 524.96 551.143 390.69 214.063 557.806 546.318 909.901 392.704
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 6.4 4.928 2.2 4.819 5.277 4.168 4.119 5.352 1.843
[2,] 967.0 492.390 270.2 1030.878 892.953 820.683 940.001 625.277 185.949
[3,] 880.1 535.186 222.1 974.405 784.031 860.163 934.811 502.749 181.354
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 5.625 2.183 4.88 4.201 4.626 5.769 2.461 5.515
[2,] 875.864 201.299 557.24 473.707 787.177 1054.166 305.164 822.321
[3,] 983.818 207.279 656.97 394.861 702.763 759.789 343.257 739.793
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.252 5.542 2.331 6.353 5.911 6.159 5.305 6.474
[2,] 428.663 768.471 244.870 684.893 720.651 918.383 990.257 729.522
[3,] 457.144 779.233 256.559 637.112 742.675 690.796 725.415 711.768
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 5.31 5.104 1.903 4.308 4.533 6.315 2.83 3.235 2.487
[2,] 859.03 793.299 209.183 880.202 586.118 787.959 336.51 391.094 281.081
[3,] 837.67 909.035 207.536 822.506 602.887 768.064 309.00 340.634 265.176
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 5.129 4.781 10.22 8.31 2.467 2.446 2.821 3.308
[2,] 658.060 569.590 1093.90 881.54 376.004 486.474 466.562 394.851
[3,] 654.218 483.055 922.86 988.18 406.311 373.995 346.659 343.908
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.258 3.431 0.9217 2.114 15.68 6.04
[2,] 532.273 358.909 111.7195 266.617 2801.69 1036.74
[3,] 538.906 364.334 112.4015 221.875 2291.78 1297.52
[1] "--- VAR model 2017-10-06 08:31:00 completed"
[1] "Completed training sample: 2017-10-06 08:31:00 - 2017-10-06 16:30:00"
[1] "SpVAR; training sample: 2017-10-06 09:01:00 - 2017-10-06 17:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-11.581 4.634 -8.52 0.5688
-9.940 3.796 -14.28 -23.3752
-1.771 2.096 -26.03 3.1476
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-3.701 1.927 1.6723 -2.408
-12.575 4.774 0.9324 -1.666
-20.897 2.910 2.0966 1.121
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.1607 -13.723 -3.00658 -10.59
-9.4404 2.031 -1.05722 -17.03
-0.7242 -3.411 -0.03375 -15.40
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.697 2.238 9.700 -7.1099
5.996 -6.973 -7.290 -0.4849
1.943 -5.154 -5.104 -12.9443
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.241 -23.208 3.6856 -2.0461
-11.137 -4.463 0.5354 -0.5773
-12.518 -15.362 -2.1849 -2.9749
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-5.861 -20.980 -5.563 -9.263
-7.183 -4.872 -45.378 -20.003
-13.281 -4.828 -10.546 -8.234
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.082 -21.6397 -6.727 2.7024
1.680 0.5142 -19.382 2.5419
-2.115 -21.8544 -21.911 -0.2849
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-9.133 6.291 -0.4969 1.605
-12.444 -6.889 -1.9319 1.847
-3.650 -4.214 -7.9218 -0.282
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-17.093 16.11 -21.183 -20.5827
-10.857 12.76 -1.133 0.5533
-3.625 -10.93 4.731 2.0741
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-13.314 -10.46 17.089 -0.61414
-6.228 -10.70 5.765 1.58503
-12.552 -12.12 20.623 0.05741
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.386 -3.0142 8.173 -12.406
-2.918 -0.5602 -6.276 -6.335
5.382 -5.2103 -5.780 -14.552
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.4455 2.04524 -17.9355 13.473
0.3549 0.84764 -0.3629 -12.607
1.3803 0.03137 -8.6123 9.539
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-19.205 2.445 -10.9459 25.120
14.236 6.751 -3.5295 9.735
-7.965 0.128 0.7718 16.911
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4217 -11.74 2.316 3.829
-2.7463 21.74 -4.759 -16.440
3.8358 -18.89 -15.150 8.408
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.758 8.077 2.5601 16.25
3.485 -13.053 5.3886 -10.58
-2.573 -9.100 0.9081 -27.50
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.203 2.08 -5.361 10.93
-7.935 -10.95 -8.256 -11.34
-7.318 -12.71 -8.784 -10.58
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
13.00 1.934 8.340 6.9695
-11.59 11.460 -9.786 3.1615
-24.75 3.964 -22.745 0.3677
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.33 -3.1186 -22.529 -13.1879
16.70 -0.1475 -20.636 -16.0083
-11.01 3.8819 -9.535 0.8925
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.4961 16.10 18.70 8.766
-0.2354 -15.48 26.70 8.065
-5.0272 -19.80 13.85 2.110
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-11.064 1.9446 9.289 15.550
14.405 0.4031 5.504 17.249
6.225 -2.3510 4.586 -3.778
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.396 7.325 6.101 -6.3303
-5.175 7.187 12.134 -7.8306
13.238 4.319 2.893 -0.6787
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-8.263 -11.940 4.249 -11.41
-10.931 7.101 6.586 -24.22
-4.816 -1.236 6.872 -4.92
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.870 -5.054 1.460 5.748
3.800 9.155 1.844 -5.800
2.805 -4.294 4.831 11.834
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
17.3996 3.726 -11.794 1.370
0.2788 8.558 -7.057 4.091
-11.5884 2.513 -12.742 7.937
rnd_95776.volume rnd_95787.volume
3.055 -28.91
-10.436 -14.85
-9.789 -13.82
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.496 2.971 8.173 4.507 5.935 2.074 1.738 4.943 5.456 4.956 2.564
[2,] 4.266 3.534 9.258 5.858 7.349 2.522 2.082 5.902 6.599 6.251 3.336
[3,] 4.815 3.839 10.245 6.802 8.138 2.847 2.285 6.489 7.302 7.136 3.702
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.550 3.183 3.760 3.896 3.419 4.179 3.927 7.073 4.565 8.31 3.671
[2,] 4.687 3.659 4.458 4.520 4.030 5.295 5.053 8.532 5.864 10.21 4.306
[3,] 5.252 4.107 5.078 5.167 4.480 5.803 5.787 9.755 6.626 11.32 4.646
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.65 5.650 1.613 3.962 4.223 3.666 4.143 1.696 4.836 4.363 2.065
[2,] 15.92 7.578 1.935 6.200 6.708 4.288 5.836 2.007 6.003 5.192 2.411
[3,] 18.61 8.922 2.204 8.419 8.027 4.724 7.097 2.248 7.231 5.845 2.739
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.048 4.484 4.306 4.932 4.366 4.296 1.414 3.808 1.207 3.433 2.880
[2,] 6.395 6.089 6.354 6.008 5.180 4.997 1.671 4.433 1.398 4.174 4.105
[3,] 7.277 7.079 7.308 6.851 5.741 5.606 1.844 4.930 1.523 4.724 4.769
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.671 1.690 3.646 4.140 5.273 2.559 5.132 3.796 1.769 3.911 4.013
[2,] 3.203 1.956 4.700 4.955 6.775 3.018 6.429 4.439 2.141 5.890 5.504
[3,] 3.557 2.153 5.237 5.470 7.865 3.389 7.446 4.970 2.343 7.069 6.400
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.393 3.409 4.157 1.431 4.678 1.707 4.136 3.177 3.881 4.619 1.943
[2,] 4.989 5.200 4.853 1.639 6.053 1.931 4.810 3.720 5.103 6.450 2.304
[3,] 6.266 6.526 5.368 1.823 7.418 2.086 5.562 4.148 5.863 7.237 2.683
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.409 3.305 4.284 1.848 4.868 4.864 4.928 4.176 5.257 4.280 4.013
[2,] 5.542 3.781 5.472 2.212 5.667 5.762 6.537 5.882 6.200 5.622 5.238
[3,] 6.599 4.169 6.321 2.494 6.261 6.638 7.188 6.650 6.986 6.427 6.578
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.500 3.472 3.315 5.134 2.202 2.463 2.030 3.785 4.033 7.720 6.381
[2,] 1.769 5.084 4.136 6.036 2.582 2.995 2.344 4.823 4.830 8.952 7.576
[3,] 1.987 6.080 4.846 6.863 2.901 3.313 2.563 5.567 5.321 9.771 8.543
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.854 2.000 2.118 2.468 3.302 2.733 0.7511 1.719 12.07 4.647
[2,] 2.402 2.891 2.806 3.014 4.005 3.157 0.9168 2.088 17.19 6.497
[3,] 3.027 3.285 3.182 3.349 4.612 3.480 1.0833 2.316 19.64 8.542
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.439 3.773 10.38 5.724 7.537 2.633 2.207 6.277
[2,] 593.617 464.175 1055.67 907.983 1052.107 348.555 278.167 782.879
[3,] 541.682 364.389 1064.79 839.439 848.001 320.310 228.272 654.560
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.928 6.294 3.256 4.508 4.042 4.774 4.947 4.342
[2,] 901.162 924.569 518.018 742.739 438.181 581.439 556.462 517.598
[3,] 758.781 835.566 389.637 575.400 452.372 589.896 607.635 475.024
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.307 4.986 8.982 5.797 10.55 4.661 13.53 7.175
[2,] 789.251 771.858 1158.155 893.210 1441.85 546.358 2871.38 1225.794
[3,] 576.124 684.554 1147.760 748.771 1185.10 423.780 2340.80 1142.963
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.048 5.031 5.362 4.655 5.261 2.154 6.142 5.541
[2,] 259.649 1157.562 1264.993 539.954 997.730 260.191 863.171 682.808
[3,] 255.967 1382.340 1070.123 481.165 980.208 245.728 978.558 651.801
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.622 6.41 5.694 5.468 6.262 5.545 5.455 1.795
[2,] 302.387 952.85 999.719 1134.155 832.938 676.477 619.528 216.507
[3,] 315.306 842.79 876.440 876.273 798.903 600.862 616.859 188.919
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.836 1.533 4.36 3.657 3.391 2.145 4.63 5.257
[2,] 550.838 171.092 576.38 710.004 429.174 239.365 719.99 660.803
[3,] 523.514 146.942 536.61 589.101 375.601 218.132 560.37 562.357
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.696 3.25 6.517 4.82 2.247 4.966 5.095 4.308
[2,] 1032.347 388.50 939.849 558.61 292.479 1069.102 914.275 887.763
[3,] 969.624 374.01 911.521 542.53 231.087 948.496 792.918 920.038
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.329 5.279 1.818 5.941 2.167 5.253 4.034 4.928
[2,] 953.082 607.537 193.989 932.174 219.386 595.777 469.883 804.046
[3,] 957.204 557.017 193.727 1040.775 191.422 677.925 445.563 700.883
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 5.866 2.468 5.598 4.197 5.44 2.347 6.181 6.177
[2,] 1092.735 300.285 814.919 446.026 826.21 294.840 704.147 749.893
[3,] 796.626 333.879 869.490 425.893 767.93 279.713 646.516 799.907
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.258 5.302 6.676 5.436 5.096 1.905 4.409 4.209
[2,] 1042.381 1005.563 797.971 884.803 817.004 227.344 901.436 600.249
[3,] 725.575 752.857 781.420 755.690 965.718 219.895 809.440 613.093
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.52 2.797 3.127 2.577 4.806 5.122 9.803 8.103
[2,] 770.21 327.179 413.903 284.664 725.694 644.840 1100.073 991.122
[3,] 792.98 320.838 343.561 251.703 674.493 541.755 950.576 958.539
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.355 2.54 2.689 3.134 4.193 3.471 0.9538 2.183
[2,] 370.780 506.79 446.856 419.977 550.334 383.212 127.6167 287.683
[3,] 447.117 378.49 364.025 354.224 554.726 355.460 140.0410 243.259
[,97] [,98]
[1,] 15.33 5.901
[2,] 2968.87 1101.909
[3,] 2304.87 1346.072
[1] "--- VAR model 2017-10-06 09:01:00 completed"
[1] "Completed training sample: 2017-10-06 09:01:00 - 2017-10-06 17:00:00"
[1] "SpVAR; training sample: 2017-10-06 09:31:00 - 2017-10-06 17:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-7.884 6.088 -13.54 -8.895
5.026 -4.182 -17.35 -17.952
-2.084 -5.360 -19.30 -23.991
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.09 0.5811 -7.118 -14.530
-19.77 3.4987 5.289 5.573
-33.41 1.9182 3.538 -5.855
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.418 11.221 10.4286 -17.08
-3.070 -2.194 -9.5887 -17.98
1.626 2.585 0.9089 -19.96
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
8.889 9.4703 0.4774 -26.930
4.206 -5.3004 -12.8639 -6.604
5.134 0.3131 2.0128 -6.775
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.02292 1.939 -16.675 -29.1477
-10.64950 -3.703 -3.962 -0.9763
-16.02359 -24.506 1.450 0.6849
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-37.35 -5.449 -31.32 -4.448
-18.35 -8.891 -74.87 -49.152
-24.97 -1.380 -24.44 -19.543
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
3.4916 -24.24 -19.138 -5.276
-5.5949 -24.83 -6.841 -12.170
0.1414 -29.62 -49.206 5.425
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-15.966 2.48204 2.4433 -2.163
-31.374 -1.10257 -20.3076 4.811
-4.536 -0.05678 -0.6932 -6.076
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.8807 9.324 -5.238 -11.13
0.4363 -6.866 -3.680 -10.56
3.5194 -29.582 -23.707 -13.84
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-17.833 -17.512245 -1.355 0.8611
1.999 0.006472 -16.495 0.1204
8.090 -9.008016 7.167 -1.0999
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-9.296 -1.5835 -12.7821 -12.79
-12.499 4.0841 0.3217 -15.00
-12.944 0.7759 0.1238 -13.35
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.436 -0.9706 -14.42 7.454
4.406 2.8460 -18.03 -8.465
-3.406 1.8897 -14.91 4.722
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-15.26 -1.7251 4.103 1.32
19.36 -5.8603 8.904 12.66
-20.92 0.8628 -9.794 12.81
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.851 -28.088 -31.058 -17.562
-2.845 13.722 7.882 -16.427
1.988 1.653 -4.456 -1.124
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.968 -10.712 -0.4601 -15.65
-22.407 1.447 3.9395 -17.31
3.662 -10.147 4.0168 -30.09
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.175 -6.509 -8.939 -1.311
-0.288 -6.410 2.386 -1.092
-5.019 -15.300 -9.308 -4.502
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.504 10.121552 1.230 7.961
3.339 1.153933 -7.101 4.381
8.588 0.005915 -8.610 -2.073
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.4492 7.831 -5.476 0.08171
-0.7609 7.859 -6.389 -0.92664
-19.8493 -1.690 -8.061 0.83896
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.422 -5.742 -3.144 -18.048
10.818 -2.144 3.874 -0.254
12.512 3.608 8.979 6.998
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.451 -7.8757 -2.675 -8.5235
1.226 -1.8133 -4.027 0.5482
11.536 -0.9973 6.370 3.3310
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.373 2.2484 -7.762 7.60976
9.091 -1.9957 2.952 -0.06849
1.129 0.7694 7.246 -0.59500
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-10.301 13.729 -11.77 -6.577
-19.723 3.469 -16.95 -17.020
-6.528 -5.334 -12.68 -24.633
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
6.922 8.1131 6.616 9.0541
6.649 -1.0185 1.598 -0.5411
1.186 0.2695 -2.063 4.6610
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.237 -3.8170 -11.596 1.9514
-3.163 0.1636 -9.100 -1.0439
-8.182 2.8986 -8.965 0.9055
rnd_95776.volume rnd_95787.volume
-18.272 -16.48
4.829 -32.54
-113.575 -17.59
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.290 2.924 7.92 4.602 5.902 2.123 1.748 5.252 5.900 5.252 2.644
[2,] 4.082 3.492 9.00 5.756 7.278 2.670 2.095 6.100 6.991 6.643 3.411
[3,] 4.676 3.797 10.01 6.718 8.041 3.005 2.307 6.600 7.624 7.379 3.802
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.417 3.414 3.645 3.563 3.281 4.143 4.149 6.855 4.978 8.251 3.676
[2,] 4.685 3.872 4.451 4.224 3.884 5.295 5.306 8.365 6.192 10.006 4.189
[3,] 5.262 4.223 5.087 4.950 4.438 5.849 6.022 9.514 6.990 11.168 4.574
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.95 5.846 1.660 4.076 4.175 3.560 4.218 1.757 4.967 4.264 2.054
[2,] 15.19 7.414 1.989 6.261 6.877 4.199 5.770 2.053 6.164 5.136 2.391
[3,] 18.00 8.772 2.257 8.266 7.843 4.692 7.129 2.272 7.267 5.724 2.682
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.908 4.311 4.508 4.876 4.585 4.453 1.407 3.818 1.214 3.351 2.752
[2,] 6.312 6.008 6.265 5.925 5.386 5.252 1.659 4.553 1.376 4.101 4.096
[3,] 7.139 6.998 7.207 6.840 5.904 5.965 1.825 5.041 1.493 4.682 4.689
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.697 1.644 3.623 4.136 5.042 2.486 5.212 3.791 1.716 4.183 4.155
[2,] 3.295 1.910 4.645 4.948 6.707 3.039 6.376 4.447 2.135 5.963 5.483
[3,] 3.629 2.157 5.228 5.565 7.729 3.420 7.415 4.966 2.362 7.165 6.308
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.512 3.369 4.173 1.493 4.813 1.662 4.279 3.268 3.890 4.368 2.006
[2,] 5.063 5.306 4.784 1.675 6.098 1.922 4.917 3.806 5.346 6.271 2.387
[3,] 6.117 6.579 5.294 1.858 7.488 2.084 5.632 4.196 6.092 7.105 2.753
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.592 3.380 4.199 1.966 5.092 4.916 5.312 4.429 5.261 4.100 3.982
[2,] 5.690 3.780 5.442 2.324 5.936 5.838 6.906 5.913 6.276 5.255 5.141
[3,] 6.622 4.143 6.270 2.608 6.407 6.752 7.620 6.718 7.060 6.002 6.292
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.521 3.340 3.423 4.870 2.299 2.588 2.093 4.014 4.065 7.218 5.911
[2,] 1.780 4.826 4.302 5.861 2.624 3.035 2.379 5.080 4.843 8.674 7.166
[3,] 1.985 5.671 4.914 6.547 2.921 3.369 2.593 5.800 5.298 9.470 8.060
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.835 2.044 2.039 2.594 3.346 2.716 0.8109 1.654 11.88 4.708
[2,] 2.380 3.123 2.806 3.106 4.018 3.207 0.9913 2.059 17.38 6.444
[3,] 3.089 3.510 3.255 3.415 4.579 3.520 1.1735 2.286 19.80 8.396
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.178 3.713 10.06 5.844 7.494 2.696 2.22 6.669
[2,] 586.013 462.938 1036.75 838.610 1033.121 392.762 280.25 753.002
[3,] 553.257 362.023 1062.46 840.372 829.650 334.380 234.45 611.091
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.492 6.67 3.357 4.339 4.336 4.629 4.524 4.166 5.26
[2,] 909.714 986.82 522.721 777.578 443.110 619.792 550.466 504.415 800.07
[3,] 738.031 779.15 407.545 581.298 408.638 597.628 625.992 520.647 602.87
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.268 8.705 6.322 10.48 4.668 13.9 7.424 2.108
[2,] 802.413 1162.597 893.150 1373.24 487.091 2556.2 1105.867 266.066
[3,] 690.728 1099.621 786.981 1202.91 445.760 2343.0 1137.350 258.747
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.176 5.301 4.521 5.356 2.231 6.307 5.415 2.608
[2,] 1152.818 1325.696 539.959 955.201 257.646 885.504 694.757 296.946
[3,] 1309.382 914.964 507.932 1015.450 236.032 933.437 612.627 294.608
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.233 5.475 5.724 6.192 5.823 5.655 1.787 4.849
[2,] 962.847 1015.122 1055.631 816.669 685.405 675.333 213.103 601.644
[3,] 809.097 870.201 864.133 829.106 586.919 686.009 184.347 524.890
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.542 4.255 3.494 3.425 2.088 4.601 5.252 6.403
[2,] 157.032 573.497 735.890 459.290 235.589 705.166 658.858 1072.885
[3,] 140.343 547.928 554.024 368.671 243.423 581.902 618.175 931.765
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.157 6.618 4.814 2.179 5.312 5.276 4.46 4.278
[2,] 424.149 891.075 563.685 307.962 1030.764 868.057 884.50 994.188
[3,] 380.213 918.467 536.231 245.119 963.956 756.634 832.88 943.928
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.299 1.896 6.112 2.111 5.433 4.15 4.94 5.547
[2,] 567.516 184.203 908.204 233.979 587.492 472.99 889.70 1091.302
[3,] 549.968 195.156 1054.488 195.495 666.373 429.03 708.33 810.269
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.548 5.831 4.292 5.332 2.497 6.466 6.243 6.746
[2,] 313.923 815.194 410.589 839.857 300.565 739.832 763.673 1070.443
[3,] 332.393 821.734 411.781 755.157 287.169 585.417 823.092 781.516
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.624 6.681 5.206 5.056 1.931 4.242 4.347 6.185
[2,] 950.591 830.297 797.572 789.003 224.500 845.149 632.002 790.828
[3,] 773.426 784.297 703.404 880.119 212.810 722.425 576.167 707.840
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.919 3.286 2.657 5.097 5.162 9.166 7.506 2.33
[2,] 306.707 384.577 274.529 755.507 638.717 1166.972 983.021 367.47
[3,] 311.770 354.642 250.384 678.817 520.935 921.833 894.958 477.90
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.596 2.589 3.293 4.249 3.449 1.03 2.1 15.08 5.979
[2,] 572.780 467.791 414.380 539.520 413.765 138.33 297.5 3077.20 1067.166
[3,] 388.799 400.042 344.536 533.050 352.087 152.36 241.0 2302.19 1305.791
[1] "--- VAR model 2017-10-06 09:31:00 completed"
[1] "Completed training sample: 2017-10-06 09:31:00 - 2017-10-06 17:30:00"
[1] "SpVAR; training sample: 2017-10-06 10:01:00 - 2017-10-06 18:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.102 -14.61 -4.156 -3.458
-9.183 10.67 -3.781 1.452
-6.532 3.35 -10.433 -15.299
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
4.881 4.894 7.2408 31.230
4.578 -9.263 0.7998 4.433
-5.992 12.629 -0.4099 -1.639
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
13.313 -10.089 3.405 -6.28
18.196 26.583 3.237 -12.98
-5.594 -5.509 7.466 -17.53
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.695 7.9655 7.4203 -12.919
8.379 -0.3275 -6.5044 -1.143
9.119 2.6511 0.9443 -8.240
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.0890 -2.314 31.03 28.708
0.4406 -7.343 14.63 21.610
1.0856 4.701 20.58 -0.909
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
5.272 4.862 16.271 1.790
-4.659 -0.541 -1.664 2.307
-9.649 5.638 -8.899 -4.386
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
7.928 6.816 17.406 5.145
1.362 2.574 -2.811 -3.398
3.620 -4.785 -3.902 5.933
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.444 -1.261 -31.374 2.812
-2.793 -1.636 -9.287 -5.202
-11.264 -2.857 3.960 -2.267
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.241 -1.117 11.841 6.101
-2.297 -5.778 -8.064 8.721
-1.218 1.546 1.269 -2.580
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-10.106 -12.371 1.439 -0.2717
-9.474 -3.279 1.642 1.5744
-1.176 -14.608 4.571 -2.2696
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-7.454 4.857 2.679 -12.236
2.164 1.064 5.924 -4.552
11.057 2.722 -6.354 -6.346
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.9093 0.7366 -21.799 -14.927
4.1080 1.7208 -8.038 9.409
4.0590 4.8559 -1.033 -11.082
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.765 5.174 -6.366 22.14
6.235 -8.040 -8.601 13.45
3.956 -7.629 -11.316 18.33
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1128 7.002 2.851 4.9461
3.6536 5.572 1.705 0.9442
-3.3952 -13.672 -7.982 -0.7189
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.156 -1.436 4.140 20.47
11.434 -12.464 2.914 -14.17
5.745 7.244 1.409 -13.19
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-9.737 10.764 -4.774 8.236
-5.781 2.439 -10.856 -4.755
-2.289 -11.855 -9.651 -5.621
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.7276 2.272 6.001 3.6183
-3.4636 5.611 -3.850 9.7049
-7.9086 -2.189 -9.740 0.6532
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.994 6.233 6.942 5.818
2.894 4.748 8.736 -9.381
-0.479 4.157 -1.293 -6.259
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
10.114 -3.337 10.704 7.454
6.237 3.933 9.433 -2.806
7.060 -9.733 7.416 -7.190
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.620 2.2421 -5.4921 -10.567
1.192 -0.0937 2.7402 -8.730
2.593 0.4627 -0.4569 -3.898
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.082 -2.880 2.512 -7.260
-16.130 -4.148 1.943 -4.663
-4.990 -1.315 1.061 -1.184
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-14.482 -1.4535 -20.607 1.49185
-1.315 -0.6736 -11.836 -2.99160
-2.358 1.0138 2.743 0.07725
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.6751 4.134 6.801 7.643
11.5441 3.240 2.745 2.319
0.5301 8.199 -1.789 -6.379
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.455 6.090 -11.17 3.902
-4.649 -7.472 -11.89 5.232
-2.810 4.864 -11.92 -2.410
rnd_95776.volume rnd_95787.volume
42.80 -8.1548
-76.15 -0.7427
-7.12 -8.2007
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.460 3.036 8.067 4.688 6.048 2.135 1.793 5.442 5.908 5.119 2.680
[2,] 4.148 3.633 9.062 5.880 7.621 2.723 2.102 6.290 6.973 6.630 3.410
[3,] 4.652 3.929 9.913 6.833 8.364 3.047 2.291 6.820 7.606 7.385 3.795
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.333 3.461 3.639 3.575 3.292 4.079 4.313 8.024 5.135 8.355 3.593
[2,] 4.533 3.945 4.448 4.212 3.852 5.284 5.309 9.301 6.277 10.288 4.257
[3,] 5.097 4.310 5.011 4.905 4.377 5.950 6.134 10.336 7.061 11.506 4.613
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.89 5.735 1.660 4.063 3.925 3.438 4.262 1.878 4.956 4.152 2.040
[2,] 15.44 7.342 2.043 6.172 6.397 4.038 5.924 2.185 6.241 4.997 2.436
[3,] 18.31 8.709 2.285 8.303 7.394 4.603 7.145 2.407 7.249 5.600 2.694
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.874 4.336 4.672 4.798 4.621 4.426 1.390 3.882 1.180 3.492 2.764
[2,] 6.294 5.946 6.244 5.884 5.388 5.284 1.664 4.583 1.379 4.256 4.136
[3,] 7.071 6.924 7.145 6.760 5.868 5.938 1.830 5.006 1.473 4.842 4.724
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.826 1.555 3.526 4.303 5.270 2.304 5.013 4.039 1.623 4.329 4.049
[2,] 3.440 1.829 4.549 5.144 6.923 2.984 6.303 4.541 2.026 6.198 5.499
[3,] 3.718 2.065 5.127 5.738 7.911 3.365 7.516 5.043 2.256 7.359 6.384
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.520 3.416 4.034 1.542 4.746 1.731 4.081 3.134 4.019 4.507 1.965
[2,] 5.055 5.372 4.585 1.723 6.015 1.941 4.818 3.668 5.323 6.056 2.374
[3,] 6.177 6.471 5.107 1.900 7.480 2.110 5.617 4.135 6.165 6.965 2.702
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.569 3.473 4.221 2.005 5.143 4.944 5.269 4.355 5.189 4.169 4.155
[2,] 5.635 3.856 5.610 2.389 5.989 5.920 6.997 5.791 6.264 5.255 5.191
[3,] 6.609 4.213 6.268 2.663 6.478 6.749 7.863 6.662 6.944 6.060 6.231
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.533 3.572 3.526 4.944 2.299 2.683 2.122 3.982 4.077 7.241 5.986
[2,] 1.775 4.942 4.432 5.948 2.672 3.121 2.473 5.049 4.818 8.696 7.295
[3,] 1.979 5.755 5.052 6.563 2.966 3.521 2.660 5.806 5.319 9.392 8.188
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.889 2.151 2.130 2.743 3.277 2.734 0.8271 1.747 11.96 4.379
[2,] 2.451 3.159 2.989 3.213 3.963 3.209 1.0034 2.120 17.48 6.316
[3,] 3.113 3.594 3.403 3.544 4.538 3.543 1.1804 2.340 19.92 8.404
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.394 3.856 10.24 5.954 7.679 2.712 2.276 6.911
[2,] 542.493 473.231 978.64 841.630 1099.668 400.513 260.201 747.835
[3,] 499.442 354.734 953.26 825.279 817.366 324.593 216.363 625.118
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 7.503 6.5 3.403 4.232 4.395 4.621 4.539 4.18 5.18
[2,] 878.120 999.3 499.982 728.401 449.020 606.654 528.353 474.36 796.60
[3,] 720.435 771.0 395.024 552.786 411.457 547.166 595.783 493.02 648.54
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.477 10.19 6.52 10.61 4.563 13.83 7.283 2.107
[2,] 734.224 1115.37 856.32 1423.67 541.363 2595.30 1086.981 282.526
[3,] 728.397 1069.16 766.85 1221.56 421.070 2332.10 1110.936 242.979
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.159 4.984 4.366 5.411 2.385 6.293 5.273 2.591
[2,] 1101.601 1197.820 502.090 975.967 264.932 899.475 659.336 315.590
[3,] 1317.044 879.437 523.887 947.313 239.227 874.320 599.268 272.729
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 6.19 5.507 5.932 6.093 5.867 5.62 1.765 4.93 1.499
[2,] 944.15 964.777 982.409 807.556 657.072 684.69 217.211 577.54 169.234
[3,] 764.23 841.127 823.677 788.989 551.525 642.31 180.534 477.73 122.726
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 4.434 3.51 3.588 1.975 4.478 5.464 6.691 2.926
[2,] 577.045 729.53 465.320 228.392 681.396 668.710 1064.726 449.717
[3,] 547.671 541.26 334.634 227.309 560.967 602.721 907.956 368.491
[,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 6.366 5.128 2.061 5.497 5.142 4.469 4.338 5.123
[2,] 906.180 492.137 287.585 1051.725 882.333 860.497 983.248 516.644
[3,] 970.787 520.300 235.131 941.001 768.890 841.717 855.642 533.279
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.959 6.026 2.198 5.183 3.979 5.103 5.723 2.496
[2,] 181.969 876.433 208.240 607.271 452.091 827.846 959.149 315.920
[3,] 190.289 1054.183 196.153 684.776 452.485 737.327 816.033 305.600
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.802 4.411 5.36 2.546 6.531 6.279 6.691 5.53
[2,] 782.061 396.915 876.09 307.991 727.424 771.964 1091.641 905.33
[3,] 818.854 402.878 663.07 278.878 585.474 768.559 850.923 780.61
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.589 5.294 5.276 1.947 4.536 4.478 6.278 2.919
[2,] 831.834 758.355 738.004 212.030 809.920 636.420 784.074 322.838
[3,] 711.188 715.879 817.346 207.717 699.154 575.461 657.645 305.671
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.407 2.695 5.057 5.178 9.194 7.602 2.399 2.732
[2,] 377.817 300.790 736.080 608.858 1142.039 988.764 370.064 548.540
[3,] 386.651 232.584 679.548 534.274 841.369 881.721 455.137 406.398
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.705 3.484 4.161 3.471 1.05 2.218 15.19 5.56
[2,] 497.131 396.809 528.556 398.313 134.71 284.822 3022.64 1079.45
[3,] 386.006 354.272 524.360 356.299 147.42 235.029 2262.90 1314.45
[1] "--- VAR model 2017-10-06 10:01:00 completed"
[1] "Completed training sample: 2017-10-06 10:01:00 - 2017-10-06 18:00:00"
[1] "SpVAR; training sample: 2017-10-06 10:31:00 - 2017-10-06 18:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-8.881 3.714 5.590 7.077
-1.963 -6.329 9.977 5.369
1.364 1.129 1.840 2.926
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.22 7.6024 4.433 15.1887
13.85 3.2571 2.932 15.2572
15.86 0.5369 7.235 -0.4607
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.08 -10.274 0.2832 -8.20
11.56 8.445 -5.1526 -17.39
-2.01 7.156 4.9279 -18.05
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-11.401 -2.6401 8.3716 -11.234
-1.698 0.2731 -0.2911 3.350
1.913 -2.4619 -6.8594 -3.515
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.1175 -2.8475 26.26 4.153
4.8126 0.4255 14.11 13.682
-2.7060 0.9379 26.45 13.253
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-13.848 3.977 19.34 5.750
14.311 4.383 -19.66 -1.511
2.362 -2.854 10.38 2.476
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.8935 8.8462 -5.5682 4.810
2.1702 -0.8617 4.0300 -3.256
-1.7355 -1.6242 -0.9412 -1.708
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
2.088 -2.4003 -13.025 -2.795
4.886 5.3901 0.433 3.624
11.990 -0.6952 13.294 -3.166
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
4.1051 -22.631 -28.683 2.488
-0.3235 -1.207 1.822 -22.565
1.9000 1.171 11.288 3.736
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.507 15.091 9.0850 0.3464
8.992 9.762 0.7099 2.4616
14.592 16.652 0.7476 2.5717
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.061 1.1972 -4.412 -4.601
9.182 3.6424 -8.259 -12.248
5.271 0.4285 -3.219 -16.440
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.518 -0.8506 -4.151 20.581
5.116 4.0459 -3.396 -1.597
8.708 5.2600 -4.935 6.925
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
15.661 -5.9551 -10.79 10.31
6.941 0.1200 19.63 18.93
11.294 0.4068 23.55 16.10
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.4379 -20.9713 -17.309 5.8374
0.8239 -0.3578 -5.885 -13.6911
5.3380 21.7188 8.716 0.5014
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
24.828 3.2731 1.596 11.64
-1.423 4.0794 1.869 19.09
-3.338 -0.4647 -2.476 -15.81
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.737 -7.362 4.639 6.353
-5.517 8.163 4.096 3.585
-4.217 -9.942 -2.289 18.585
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
25.9417 5.3228 31.543 -6.2834
1.3436 0.7920 4.706 6.7910
0.8929 -0.6786 5.540 0.5485
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.6190 -2.143 -8.4617 5.774
25.2726 -2.043 0.3097 -7.508
-0.9431 -1.837 4.4151 -2.629
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
23.6452 18.8338 30.84 4.849
4.0442 -7.7845 12.21 -2.123
-0.9088 -0.2062 15.76 -2.171
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-12.474 -0.7155 5.334 11.053
7.793 2.3813 -9.767 5.026
-10.326 1.0726 1.743 18.434
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
10.857 2.356 -9.3284 0.5513
4.945 4.330 6.1450 2.6987
-8.163 7.871 0.2912 1.9474
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.641 6.353 29.76 -6.1145
9.895 -2.286 10.90 -4.8197
16.595 1.775 -9.97 0.2848
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.06463 -0.8695 0.3972 -2.447
4.84900 -2.5460 -5.1756 -7.321
0.40221 -7.0861 -5.0482 -5.463
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
13.035 3.536 -11.36 -2.450
13.002 10.004 -10.53 -1.077
-6.971 -5.838 -12.15 -1.005
rnd_95776.volume rnd_95787.volume
27.91 11.7983
49.96 0.5557
12.08 6.3045
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.498 2.949 7.818 4.603 6.128 2.183 1.791 5.273 5.737 4.826 2.583
[2,] 4.233 3.475 8.837 5.903 7.631 2.759 2.126 6.051 6.892 6.442 3.218
[3,] 4.731 3.844 9.733 6.842 8.420 3.079 2.335 6.649 7.496 7.240 3.621
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.254 3.571 3.463 3.385 3.089 4.078 4.277 8.125 5.375 8.298 3.623
[2,] 4.410 4.063 4.199 3.976 3.647 5.245 5.238 9.401 6.529 10.096 4.240
[3,] 4.954 4.437 4.730 4.587 4.089 5.833 5.969 10.411 7.110 11.478 4.582
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.92 5.630 1.748 4.109 4.186 3.623 4.264 1.959 4.903 4.093 1.994
[2,] 14.93 7.065 2.092 6.297 6.496 4.231 5.947 2.272 6.214 4.758 2.420
[3,] 17.70 8.540 2.302 8.200 7.435 4.718 7.197 2.523 7.227 5.396 2.730
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.782 4.267 4.681 4.774 4.563 4.403 1.420 4.106 1.160 3.449 2.813
[2,] 6.253 5.941 6.406 5.832 5.379 5.388 1.695 4.905 1.381 4.289 4.066
[3,] 7.222 7.047 7.266 6.823 5.938 6.147 1.839 5.378 1.500 4.895 4.678
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.812 1.559 3.567 4.429 5.408 2.363 4.998 4.082 1.702 4.283 3.919
[2,] 3.453 1.849 4.593 5.258 6.938 3.023 6.390 4.639 2.103 6.281 5.353
[3,] 3.699 2.068 5.131 5.882 7.929 3.473 7.606 5.136 2.337 7.498 6.291
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.476 3.377 4.054 1.478 4.778 1.807 4.147 3.173 4.193 4.685 1.913
[2,] 5.132 5.317 4.563 1.663 6.121 2.011 4.909 3.744 5.570 6.221 2.294
[3,] 6.350 6.579 5.053 1.858 7.639 2.156 5.716 4.157 6.245 7.136 2.672
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.590 3.571 4.278 2.009 4.971 4.911 5.243 4.489 5.166 4.008 4.112
[2,] 5.794 3.987 5.664 2.389 5.865 5.903 6.961 5.892 6.352 5.153 5.101
[3,] 6.640 4.405 6.318 2.640 6.349 6.789 7.835 6.614 7.089 5.949 6.098
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.551 3.627 3.405 4.809 2.240 2.658 2.082 4.135 4.068 7.232 6.072
[2,] 1.816 4.858 4.371 5.838 2.649 3.114 2.440 5.127 4.760 8.390 7.406
[3,] 2.059 5.692 5.028 6.430 2.941 3.556 2.633 5.884 5.270 9.229 8.264
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.841 2.090 2.147 2.692 3.448 2.720 0.8321 1.771 12.07 4.358
[2,] 2.494 3.144 3.090 3.154 4.049 3.207 1.0164 2.124 17.40 6.261
[3,] 3.148 3.593 3.457 3.515 4.621 3.532 1.1860 2.349 19.68 8.352
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.442 3.745 9.928 5.845 7.782 2.772 2.274 6.696
[2,] 532.604 411.039 920.510 826.049 1016.100 377.089 256.355 663.151
[3,] 472.271 366.844 911.519 773.088 795.617 305.653 215.650 616.005
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 7.285 6.128 3.281 4.131 4.534 4.397 4.298 3.922
[2,] 853.448 953.580 428.928 665.208 433.363 530.706 466.404 433.407
[3,] 658.900 738.619 371.057 504.371 398.199 486.656 511.075 413.195
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.178 5.431 10.32 6.825 10.54 4.601 13.86 7.149
[2,] 737.329 675.941 1057.14 828.352 1285.30 492.176 2277.57 953.851
[3,] 570.474 639.740 999.46 629.281 1220.42 388.326 2124.91 1072.183
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.22 5.217 5.316 4.601 5.415 2.487 6.226 5.197
[2,] 256.86 1066.467 1110.151 488.168 926.368 257.300 853.325 542.156
[3,] 214.60 1173.730 808.384 466.609 906.072 245.063 824.505 569.060
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.532 6.072 5.419 5.944 6.063 5.794 5.591 1.803
[2,] 306.517 900.554 923.962 977.295 748.517 636.680 693.995 206.987
[3,] 282.277 807.367 846.979 766.491 791.292 562.407 661.182 159.158
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 5.214 1.473 4.38 3.573 3.57 1.98 4.53 5.624 6.868
[2,] 599.535 167.332 569.96 656.135 448.02 222.36 646.63 633.372 971.275
[3,] 493.275 130.711 526.95 516.715 296.64 206.60 511.25 589.414 857.623
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.001 6.347 5.184 2.161 5.439 4.976 4.415 4.288
[2,] 421.501 889.665 492.544 276.094 1026.672 814.876 843.631 917.886
[3,] 381.810 921.927 492.464 227.687 915.332 738.806 835.958 865.859
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.148 1.876 6.068 2.295 5.266 4.03 5.325 5.949
[2,] 467.886 170.633 855.018 197.000 587.040 443.92 819.329 914.809
[3,] 485.369 185.077 1021.438 174.115 654.606 403.92 630.889 781.141
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.429 5.829 4.534 5.433 2.551 6.313 6.237 6.658
[2,] 283.018 790.106 396.484 829.361 288.964 695.702 731.760 1023.479
[3,] 306.291 725.070 418.397 625.980 250.869 543.190 749.567 803.446
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.7 6.56 5.09 5.222 1.97 4.605 4.323 6.107 2.844
[2,] 853.0 826.00 723.81 674.437 211.24 722.342 612.603 739.564 316.358
[3,] 671.7 703.55 664.24 747.097 216.56 662.776 555.275 602.258 285.225
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.375 2.644 5.251 5.166 9.183 7.711 2.338 2.655
[2,] 362.358 284.175 677.367 552.422 950.730 947.704 376.107 524.675
[3,] 383.872 221.137 645.172 505.418 858.991 819.322 429.140 388.795
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.726 3.418 4.378 3.454 1.057 2.249 15.33 5.534
[2,] 496.760 367.423 474.693 379.469 130.439 261.952 2799.14 1004.710
[3,] 346.572 346.621 497.509 330.823 136.619 224.321 2058.11 1235.461
[1] "--- VAR model 2017-10-06 10:31:00 completed"
[1] "Completed training sample: 2017-10-06 10:31:00 - 2017-10-06 18:30:00"
[1] "SpVAR; training sample: 2017-10-06 11:01:00 - 2017-10-06 19:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.279 -5.589 -10.1284 -0.1143
-10.290 4.417 0.1924 -7.0356
3.092 2.477 18.8199 -5.0374
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
9.488 0.7852 3.825 1.503
18.333 7.8136 2.585 16.396
-3.209 -0.9308 3.585 2.635
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.776 16.286 0.9987 -5.358
17.133 -8.445 0.2552 -24.972
-2.175 16.015 11.6227 -9.361
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2682 2.8498 3.7119 1.248
-2.1447 -0.2715 0.6524 -2.506
1.2276 -8.0826 -5.0170 -3.096
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
6.375 -5.547 30.124 22.01
2.680 -2.401 6.173 22.92
-6.360 -3.902 2.944 18.44
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-20.011 -7.447 -35.188 -15.85
5.307 4.196 -15.874 -11.25
8.179 -2.284 -6.512 -7.52
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.4108 -15.391 7.791 -2.681
0.5459 -9.639 -12.474 4.912
-2.1239 -16.861 -15.822 -8.063
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-1.049 4.245 2.549 7.0913
-14.806 4.219 -1.928 -0.1855
-1.392 2.513 -23.163 -7.1290
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.7256 -7.837 -2.629 6.320
-0.8103 7.080 10.433 -3.286
-5.3274 -13.239 -2.378 7.071
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
24.59 4.388 2.092 -0.4334
5.76 12.256 3.347 3.9356
10.37 1.039 4.412 3.4990
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
10.950 4.4812 -8.4107 -8.010
-9.175 -0.7683 0.4846 -12.749
1.349 1.9803 5.8663 -8.978
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.784 2.905 -15.205 -3.825
5.950 -0.461 -1.678 5.336
6.340 -2.863 -10.382 7.851
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
23.894 -0.177 5.033 3.654
6.804 1.669 -19.269 11.332
-7.739 3.107 7.229 11.807
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.10190 -13.5882 -9.6119 6.295
3.94228 0.3126 -0.1877 -15.195
0.08612 -7.8455 -12.4516 -7.421
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
13.669 -0.2547 2.26807 6.305
-3.459 -3.1440 -1.65601 5.554
-3.502 -0.9016 -0.03492 -14.615
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-7.414 0.8486 7.494 4.482
-4.664 -1.7923 -5.525 1.266
-6.251 -10.8684 1.545 4.557
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
5.9998 1.331 -14.445 6.160
-1.6704 6.924 1.378 -7.038
0.8973 -2.330 -2.222 16.348
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.03657 -2.02131 -4.6736 0.04065
0.07706 -0.40200 0.8877 8.96982
0.30529 0.04151 9.9869 -8.71286
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
23.609 -1.943 -18.690 -2.345
-5.583 -6.508 -10.282 -3.595
-5.295 -16.752 -5.688 1.089
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.924 -2.811 -3.755 0.5876
1.119 2.504 -11.667 -10.6456
3.405 -1.616 8.895 -4.8649
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-17.944 7.181 -12.074 2.0999
18.311 -3.913 3.464 3.3675
-4.614 -2.249 -3.252 -0.4637
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.266 2.4398 25.56 14.191
9.300 -0.7272 12.98 -2.121
2.266 2.8351 20.60 12.071
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.436 -1.5023 -1.231 2.399
-3.638 -0.1899 -2.271 -7.032
1.156 -4.6628 -3.909 -2.139
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.022 8.556 -10.670 119.7
1.389 -2.269 -12.185 135.2
-10.831 3.198 -9.871 140.8
rnd_95776.volume rnd_95787.volume
-14.360 -1.563
3.223 -12.463
19.620 -18.618
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.575 2.783 7.213 4.543 6.132 2.205 1.724 5.014 5.169 4.678 2.661
[2,] 4.240 3.311 8.387 5.952 7.557 2.754 2.079 5.770 6.352 6.302 3.299
[3,] 4.742 3.740 9.297 6.921 8.364 3.089 2.294 6.360 7.098 7.096 3.643
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.414 3.634 3.394 3.401 2.755 3.836 4.128 7.992 5.357 7.763 3.599
[2,] 4.428 4.126 4.239 4.005 3.313 4.982 5.122 9.191 6.560 9.666 4.165
[3,] 4.908 4.468 4.709 4.584 3.696 5.616 5.925 10.536 7.170 10.991 4.513
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.38 5.323 1.801 3.982 4.163 3.835 4.130 1.987 4.989 4.139 2.028
[2,] 14.26 6.638 2.096 6.163 6.397 4.433 5.781 2.306 6.147 4.839 2.403
[3,] 17.26 8.100 2.337 7.967 7.405 4.892 6.984 2.594 7.193 5.547 2.680
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.810 4.681 4.876 4.733 4.665 4.385 1.374 4.175 1.120 3.417 2.864
[2,] 6.271 6.119 6.554 5.776 5.504 5.375 1.652 4.946 1.353 4.312 4.103
[3,] 7.334 7.075 7.371 6.799 6.077 6.277 1.794 5.482 1.479 4.870 4.732
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.775 1.602 3.558 4.543 5.508 2.398 4.786 4.155 1.744 4.194 3.886
[2,] 3.534 1.881 4.549 5.349 6.894 3.073 6.331 4.768 2.129 6.210 5.226
[3,] 3.743 2.096 5.257 5.953 7.914 3.506 7.519 5.218 2.366 7.413 6.259
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.363 3.539 4.176 1.414 4.864 1.746 4.239 3.083 4.250 4.837 1.913
[2,] 5.101 5.267 4.642 1.611 6.143 1.978 4.930 3.762 5.590 6.358 2.273
[3,] 6.315 6.372 5.101 1.805 7.609 2.131 5.717 4.168 6.252 7.156 2.656
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.774 3.598 4.366 2.049 4.902 4.863 5.417 4.601 5.383 3.987 4.034
[2,] 6.012 3.985 5.718 2.415 5.738 5.779 7.020 5.863 6.578 4.967 5.026
[3,] 6.822 4.397 6.423 2.652 6.274 6.619 7.870 6.615 7.248 5.838 6.053
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.583 3.608 3.418 4.904 2.266 2.625 2.094 4.237 3.901 7.370 6.169
[2,] 1.812 4.598 4.358 5.861 2.663 3.180 2.471 5.307 4.594 8.682 7.501
[3,] 2.056 5.458 5.104 6.486 3.000 3.566 2.659 6.093 5.068 9.523 8.583
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.849 2.069 2.135 2.552 3.422 2.833 0.8369 3.590 12.34 4.435
[2,] 2.472 3.045 3.016 3.063 4.045 3.295 1.0089 4.987 17.58 6.350
[3,] 3.135 3.515 3.365 3.479 4.580 3.583 1.1769 6.401 19.62 8.307
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.54 3.534 9.159 5.769 7.787 2.799 2.189 6.367
[2,] 473.76 372.608 889.701 799.297 917.935 342.933 241.666 593.578
[3,] 441.36 361.539 833.741 733.931 745.073 291.094 201.211 556.172
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.564 5.94 3.379 4.336 4.615 4.309 4.318 3.498
[2,] 767.257 877.78 405.268 585.960 405.939 528.110 439.753 382.435
[3,] 658.527 677.96 321.328 439.983 356.698 426.093 463.609 340.645
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.872 5.243 10.15 6.803 9.858 4.571 13.18 6.76
[2,] 660.750 630.023 943.36 786.782 1197.065 435.480 2030.75 824.36
[3,] 538.793 619.140 1070.76 601.522 1087.415 361.348 2023.66 964.69
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.287 5.056 5.287 4.87 5.245 2.524 6.335 5.256
[2,] 222.873 977.710 1009.428 462.21 840.885 243.248 746.288 520.912
[3,] 214.921 1049.360 775.248 429.96 814.344 246.877 776.640 563.676
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.575 6.108 5.944 6.192 6.01 5.923 5.569 1.744
[2,] 268.177 836.517 819.288 910.164 688.08 607.172 645.954 190.959
[3,] 246.349 790.450 738.160 701.234 745.55 535.700 673.966 145.177
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.302 1.423 4.339 3.637 3.524 2.034 4.519 5.769
[2,] 551.262 157.636 546.514 610.723 454.815 205.005 589.177 586.844
[3,] 491.128 124.418 470.674 489.963 256.583 192.121 547.416 543.147
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.994 3.045 6.078 5.276 2.214 5.326 4.935 4.27
[2,] 861.615 399.509 861.390 486.226 253.895 952.034 726.321 797.17
[3,] 808.099 350.842 843.127 440.367 214.598 841.219 715.909 773.89
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.494 5.303 1.795 6.177 2.217 5.383 3.915 5.397
[2,] 810.782 421.281 160.680 779.707 193.255 523.051 448.169 754.665
[3,] 745.448 439.524 169.224 933.534 164.730 601.477 372.604 582.311
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 6.142 2.43 6.062 4.569 5.545 2.602 6.225 6.176
[2,] 857.859 255.11 759.558 356.126 767.194 265.821 619.961 648.748
[3,] 682.311 285.37 670.128 386.436 608.387 227.578 527.475 670.797
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.879 5.842 6.835 5.063 5.123 2.01 4.582 4.341
[2,] 928.074 755.499 785.854 615.623 622.918 183.44 592.297 561.905
[3,] 739.704 636.672 632.803 637.818 700.998 201.68 611.105 552.131
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 6.227 2.877 3.333 2.66 5.381 4.953 9.358 7.834
[2,] 667.253 291.020 373.023 272.52 664.065 504.551 953.910 886.977
[3,] 577.387 286.783 335.543 204.08 622.020 444.805 813.206 866.951
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.348 2.628 2.711 3.241 4.346 3.597 1.063 4.558
[2,] 340.861 464.225 442.679 352.170 448.184 349.722 117.089 719.533
[3,] 400.704 364.895 310.205 342.779 446.636 292.807 125.976 834.203
[,97] [,98]
[1,] 15.66 5.632
[2,] 2604.15 944.633
[3,] 1810.66 1113.127
[1] "--- VAR model 2017-10-06 11:01:00 completed"
[1] "Completed training sample: 2017-10-06 11:01:00 - 2017-10-06 19:00:00"
[1] "SpVAR; training sample: 2017-10-06 11:31:00 - 2017-10-06 19:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.401 -0.7377 -19.845 -2.562
3.370 1.0310 16.799 -8.266
3.566 0.9534 -9.776 -7.510
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-2.006 1.298 -2.7937 2.167
-13.186 4.365 0.5701 5.647
-12.439 -3.259 1.1699 8.163
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.741 2.736 -1.132 -7.755
21.287 8.863 3.399 -18.905
5.699 10.294 6.745 -6.407
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
6.8481 2.8612 -1.6033 -2.6931
0.4931 -6.6552 -3.1157 1.1804
0.8998 0.7926 0.4557 -0.1349
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.2319 -8.410 16.34 -1.796
-8.7922 -3.366 3.91 8.326
-12.4724 -15.907 16.77 8.281
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-30.913 -4.3234 -37.00 -13.02
5.764 -2.7139 -33.80 -13.08
-7.381 -0.4782 -23.02 -18.95
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.491 -10.06 -4.005 -1.095
-7.500 -11.20 -7.212 2.049
-3.130 -15.79 -4.157 7.032
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
5.626 -6.639 -4.559 -5.874
-11.509 -3.673 -1.897 -5.632
-5.428 -0.726 -4.653 -3.131
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.3078 9.44 0.04993 -7.947
-3.0789 -12.80 -5.52756 -4.517
3.7496 -4.28 -11.69359 -12.429
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
25.33 7.930 0.06931 4.5429
23.68 4.264 10.87130 0.9792
13.86 -4.550 -0.40510 2.1025
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.5790 -0.1244 -12.856 -5.803
0.9929 -1.6335 -6.019 -19.561
-0.5461 -1.6487 0.909 -11.641
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-10.289 -5.67777 -9.542 -12.16621
7.051 -0.93133 -13.923 -0.02633
-3.058 -0.08563 -12.817 8.84515
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.157 -7.4361 7.007 7.830
-3.071 -0.5392 -6.084 9.898
13.455 -0.8038 -13.438 9.262
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.7624 -13.682 -15.2354 -12.62
0.7043 -4.459 -0.9036 -10.25
-4.6350 -1.634 3.4104 2.86
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.529 -0.5461 1.068 -16.39
-13.597 -4.5299 -2.088 6.85
9.240 6.6499 -1.963 -10.39
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.0661 -0.5392 9.277 9.232
0.3259 1.7945 5.903 12.284
0.6948 -8.2026 1.437 2.026
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
12.79 2.427 13.774 3.467
14.91 1.640 9.411 4.985
9.59 4.984 9.771 3.273
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
4.641 6.03497 -1.1691 -18.7821
8.241 0.06904 -11.0604 -3.6761
12.465 -2.64850 -0.6938 0.3691
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.176 -12.784 4.184 -7.854
-6.753 4.090 5.420 -2.786
-3.626 2.241 14.163 2.946
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.638 3.098 -8.3917 6.909
-9.844 1.063 0.5233 1.969
-6.282 0.533 -6.1150 -2.177
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.491 -4.1482 -1.156 8.4616
2.071 0.6208 3.864 0.5072
-10.040 4.2888 -6.018 3.9391
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
11.569 1.465 15.51 -0.7994
8.389 -2.839 11.77 -6.2185
-1.672 -4.195 25.50 -7.5655
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-6.029 2.8490 -1.022 3.856
1.800 -1.9713 1.109 -2.206
3.871 0.3985 -3.445 -3.716
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.9943 -7.482 -10.780 113.8
0.5901 5.024 -8.665 119.1
-8.0745 1.727 -9.665 109.8
rnd_95776.volume rnd_95787.volume
-12.291 -3.529
-25.721 -4.736
6.487 -19.482
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.477 2.688 7.025 4.610 6.208 2.231 1.741 5.006 5.055 4.808 2.758
[2,] 4.344 3.239 8.202 5.962 7.631 2.775 2.144 5.767 6.142 6.389 3.354
[3,] 4.943 3.616 9.152 6.825 8.458 3.100 2.364 6.332 6.905 7.115 3.692
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.246 3.611 3.477 3.317 2.821 3.903 4.264 8.228 5.306 8.288 3.514
[2,] 4.267 4.123 4.244 4.052 3.409 5.036 5.225 9.254 6.499 9.956 4.159
[3,] 4.757 4.499 4.753 4.711 3.885 5.705 5.897 10.472 7.078 11.184 4.489
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.03 5.168 1.787 4.143 4.238 3.715 4.150 2.037 5.061 4.312 1.978
[2,] 14.58 6.676 2.099 6.075 6.319 4.212 5.612 2.346 6.259 5.024 2.358
[3,] 17.23 7.894 2.357 7.940 7.316 4.711 6.927 2.619 7.178 5.718 2.682
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.874 4.765 4.811 4.883 4.683 4.664 1.344 4.305 1.095 3.382 2.898
[2,] 6.396 6.102 6.546 6.079 5.575 5.498 1.602 4.935 1.340 4.251 4.091
[3,] 7.396 7.024 7.447 7.096 6.206 6.374 1.758 5.537 1.469 4.796 4.670
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.679 1.534 3.495 4.629 5.535 2.330 4.707 4.142 1.797 4.177 3.768
[2,] 3.409 1.890 4.519 5.410 6.869 3.014 6.329 4.864 2.159 6.057 5.055
[3,] 3.637 2.120 5.220 6.009 8.034 3.441 7.352 5.300 2.369 7.355 6.084
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.275 3.326 4.176 1.436 4.771 1.735 3.938 2.989 4.331 4.922 1.949
[2,] 4.981 5.069 4.628 1.611 5.950 1.984 4.691 3.617 5.599 6.421 2.288
[3,] 6.045 6.118 5.085 1.807 7.325 2.139 5.517 4.039 6.197 7.191 2.660
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.973 3.671 4.558 2.095 4.868 4.756 5.611 4.900 5.276 4.037 4.197
[2,] 6.198 4.067 5.792 2.439 5.857 5.860 7.077 6.029 6.546 4.997 5.151
[3,] 6.828 4.457 6.475 2.702 6.430 6.804 7.927 6.818 7.167 5.834 6.133
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.555 3.675 3.522 5.113 2.183 2.603 2.032 4.252 3.880 7.243 6.032
[2,] 1.783 4.779 4.610 6.179 2.627 3.154 2.401 5.197 4.532 8.590 7.395
[3,] 2.012 5.488 5.312 6.597 2.972 3.536 2.627 6.004 4.983 9.449 8.471
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.771 2.099 2.205 2.704 3.402 2.823 0.8544 4.056 12.26 4.732
[2,] 2.422 3.118 3.183 3.179 3.992 3.214 1.0152 5.440 17.32 6.351
[3,] 3.098 3.573 3.486 3.588 4.543 3.543 1.2013 6.756 19.31 8.265
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.415 3.413 8.921 5.854 7.883 2.833 2.211 6.357
[2,] 525.887 364.763 854.828 763.222 895.957 333.169 252.466 577.947
[3,] 476.164 324.529 819.837 670.847 736.533 278.780 201.310 527.968
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.419 6.106 3.502 4.122 4.585 4.415 4.212 3.583
[2,] 704.241 849.426 385.405 559.251 401.657 491.269 469.694 386.361
[3,] 637.099 632.272 311.731 424.732 363.856 432.104 485.353 376.110
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.956 5.415 10.45 6.738 10.52 4.462 12.74 6.562
[2,] 642.718 609.677 855.32 757.679 1113.99 449.196 2135.85 853.447
[3,] 541.005 552.151 989.85 566.281 1028.60 341.164 1854.49 850.708
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.269 5.261 5.381 4.717 5.27 2.586 6.426 5.475
[2,] 222.325 897.077 946.460 401.074 762.63 235.155 743.798 520.714
[3,] 216.385 1032.333 744.450 426.167 819.87 235.071 709.296 551.258
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.512 6.19 6.051 6.109 6.201 5.947 5.922 1.707
[2,] 259.120 836.16 769.550 896.440 731.281 610.635 588.129 175.790
[3,] 257.984 749.78 702.520 716.944 738.932 550.557 651.183 146.444
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.467 1.39 4.294 3.679 3.402 1.948 4.438 5.878
[2,] 487.311 156.06 520.063 583.106 425.685 223.054 578.491 565.569
[3,] 506.760 121.49 448.552 454.860 255.476 193.818 527.460 528.175
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 7.029 2.958 5.978 5.26 2.282 5.304 4.784 4.158
[2,] 821.110 386.113 854.126 514.66 241.559 885.723 680.492 757.950
[3,] 841.405 335.069 755.313 424.93 197.135 842.551 683.752 691.329
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.224 5.302 1.823 6.059 2.203 5.001 3.796 5.5 6.25
[2,] 772.245 403.122 147.614 717.730 194.204 514.670 411.181 716.5 832.72
[3,] 691.747 425.321 165.376 862.739 161.505 586.080 363.093 536.4 653.66
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.474 6.315 4.662 5.788 2.661 6.182 6.039 7.126
[2,] 242.288 746.880 353.667 721.474 252.078 657.576 691.332 870.874
[3,] 273.648 578.279 368.157 584.866 234.668 535.768 698.055 721.017
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 6.222 6.699 5.126 5.33 1.975 4.667 4.473 6.493
[2,] 709.401 782.539 594.661 602.85 176.115 616.987 600.541 700.367
[3,] 642.866 588.942 607.952 672.35 188.316 544.617 532.892 466.530
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.772 3.305 2.58 5.399 4.927 9.197 7.66 2.249 2.666
[2,] 295.253 359.944 258.18 603.538 473.060 932.415 863.82 333.436 465.495
[3,] 280.515 322.404 215.26 606.851 418.040 794.831 834.38 390.126 352.157
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.8 3.434 4.319 3.585 1.085 5.151 15.56 6.009
[2,] 463.4 337.608 421.955 310.036 110.703 731.821 2471.77 855.221
[3,] 286.8 336.068 437.669 301.069 129.700 809.107 1724.68 1067.937
[1] "--- VAR model 2017-10-06 11:31:00 completed"
[1] "Completed training sample: 2017-10-06 11:31:00 - 2017-10-06 19:30:00"
[1] "SpVAR; training sample: 2017-10-06 12:01:00 - 2017-10-06 20:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
8.288 0.2822 30.443 -8.260
3.588 -7.6281 -4.339 -9.552
6.250 -2.4439 -1.259 5.193
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-0.4342 3.14905 6.316 -5.5535
-9.6852 0.01824 0.251 -0.7044
6.9609 4.08623 2.298 7.1966
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.940 -5.767 -0.6019 -9.524
-5.501 -1.315 -0.1025 -10.563
-9.859 4.454 4.3145 -10.309
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.8304 -4.453 2.793 -11.406
1.7165 3.298 4.227 1.415
1.4679 1.577 2.495 -2.058
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
14.266 -4.977 2.745 18.308
-2.909 6.505 15.983 -8.162
1.103 -6.059 7.407 13.934
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
8.593 3.111 4.245 -1.446
-3.325 2.968 8.274 2.463
13.378 -4.076 16.658 14.675
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
2.723 -18.7977 -14.25 -7.165
-2.363 0.4756 -22.21 10.055
2.149 19.7766 13.09 4.277
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.336 -0.4758 -1.476 0.3579
-1.323 5.2549 -4.743 -9.4321
-15.061 -3.2366 -12.175 2.9438
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.583 3.669 -12.576 -3.376
1.124 -6.490 5.078 2.349
-2.786 -3.938 -4.393 -3.178
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.501 -2.8340 -0.3813 -1.862
5.861 -0.5571 9.4975 -0.930
4.195 4.8877 6.1176 1.464
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.053 -0.6005 13.901 -8.643
-5.755 -1.7973 -6.270 -2.245
-5.039 0.7979 -9.427 -12.509
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.4931 -0.8131 -22.736 8.134
0.6166 -0.3571 -1.464 1.693
-3.5959 0.2694 -7.100 -2.877
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.1290 -7.180 6.256 -3.126
15.0545 2.334 -16.432 -1.204
0.1128 -1.482 5.126 14.329
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-5.2726 3.573 12.095 -5.3745
6.7474 7.403 -2.655 1.0755
-0.6233 -29.032 -12.880 0.7604
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.8476 10.675 1.8596 6.420
11.3093 -7.750 1.6181 -1.247
-0.8526 7.698 0.1595 11.135
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.758 3.130 6.311 6.867
-2.310 3.903 -4.980 -9.736
-1.677 1.528 1.398 5.664
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
23.213 0.17699 4.449 -8.7609
-1.901 2.65192 4.107 0.9653
1.373 0.01944 2.040 3.0361
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
5.7360 0.365 5.3892 6.735
-0.3096 -1.845 0.2692 -5.426
5.4114 -3.097 3.3068 12.180
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-9.585 -4.5673 -9.403 -6.653
-4.693 -3.6309 -9.675 -2.463
-14.469 -0.9329 -7.544 -1.639
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.536 4.304 1.673 -2.9552
1.550 2.905 7.914 -0.6464
3.075 5.038 -3.492 -0.2678
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.407 5.55642140 -5.106 -1.421
0.185 3.96986984 3.043 -3.733
4.417 0.00003063 -2.649 4.166
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.233 9.155 12.273 2.066
1.171 -3.691 9.023 12.898
6.994 -6.828 6.436 7.059
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.8788 -0.07985 -3.2121 -2.3950
3.5650 3.57542 6.1513 -0.3212
1.3951 1.46029 -0.7412 2.9101
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.091 6.489 -10.566 121.9
4.309 2.422 -8.436 119.2
-3.700 -1.574 -8.461 117.8
rnd_95776.volume rnd_95787.volume
-19.608 -18.442
-14.648 4.048
-4.474 19.571
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.556 2.650 7.284 4.625 5.988 2.152 1.760 5.024 5.001 4.858 2.580
[2,] 4.475 3.150 8.272 6.001 7.320 2.709 2.083 5.886 6.043 6.383 3.262
[3,] 5.003 3.526 9.212 6.829 8.088 3.020 2.323 6.414 6.777 7.110 3.608
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.249 3.612 3.336 3.304 3.103 3.925 4.507 8.211 5.389 8.580 3.561
[2,] 4.227 4.087 4.088 4.036 3.641 5.041 5.414 9.429 6.632 9.968 4.160
[3,] 4.750 4.450 4.630 4.726 4.149 5.689 5.918 10.584 7.257 10.871 4.496
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.72 5.118 1.700 4.201 4.193 3.643 4.429 2.043 5.192 4.218 2.001
[2,] 15.18 6.791 2.088 6.083 6.301 4.130 5.783 2.405 6.349 4.864 2.395
[3,] 17.56 8.015 2.392 7.891 7.271 4.560 6.927 2.669 7.272 5.526 2.709
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.897 4.644 4.751 4.966 4.659 4.682 1.383 4.138 1.070 3.286 2.821
[2,] 6.428 5.940 6.456 5.942 5.481 5.516 1.596 4.702 1.291 4.161 3.958
[3,] 7.356 6.863 7.215 6.842 6.088 6.332 1.768 5.339 1.415 4.769 4.553
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.740 1.594 3.397 4.420 5.423 2.472 4.620 4.131 1.900 4.096 3.698
[2,] 3.426 1.914 4.433 5.166 6.844 3.134 6.212 4.869 2.250 5.808 5.019
[3,] 3.659 2.138 5.144 5.705 7.941 3.485 7.339 5.297 2.451 7.090 5.878
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.216 3.519 3.966 1.397 4.694 1.668 3.857 2.939 4.251 4.909 1.955
[2,] 5.027 5.065 4.502 1.569 5.854 1.915 4.593 3.583 5.481 6.334 2.311
[3,] 6.153 5.950 4.974 1.758 7.173 2.078 5.277 3.965 6.109 7.027 2.595
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.858 3.527 4.542 2.119 4.765 4.691 5.591 4.714 5.064 3.949 4.174
[2,] 6.096 3.909 5.768 2.439 5.809 5.810 6.957 5.821 6.273 4.908 5.141
[3,] 6.836 4.342 6.565 2.667 6.379 6.797 7.843 6.661 6.985 5.682 6.014
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.557 3.642 3.634 4.937 2.224 2.561 1.999 4.270 3.671 6.903 5.946
[2,] 1.790 4.747 4.579 6.107 2.644 3.065 2.379 5.182 4.353 8.214 7.316
[3,] 2.023 5.476 5.321 6.636 3.011 3.456 2.620 5.862 4.871 9.155 8.384
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.750 1.940 2.151 2.602 3.377 2.833 0.8672 4.228 12.27 4.560
[2,] 2.376 2.989 3.096 3.146 3.890 3.196 1.0152 5.587 17.09 6.082
[3,] 3.057 3.486 3.413 3.565 4.473 3.528 1.2070 6.823 19.04 8.261
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.516 3.365 9.25 5.873 7.604 2.732 2.235 6.379 6.35
[2,] 554.264 347.567 799.38 780.102 858.816 335.573 227.040 625.661 691.96
[3,] 456.250 323.049 827.30 665.000 701.534 272.579 209.916 519.646 625.93
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.169 3.276 4.126 4.587 4.236 4.196 3.941 4.985
[2,] 844.649 407.167 551.495 389.968 482.064 472.860 388.353 645.082
[3,] 638.670 314.582 442.256 359.080 443.603 501.558 406.066 537.950
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.723 10.43 6.843 10.9 4.522 13.61 6.499 2.158
[2,] 611.923 945.45 788.580 1035.0 438.485 2191.76 910.570 247.316
[3,] 487.436 980.51 600.907 884.8 348.211 1801.46 868.413 238.100
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.335 5.325 4.626 5.624 2.594 6.592 5.356 2.541
[2,] 897.441 959.440 396.909 758.528 258.790 745.640 494.153 268.566
[3,] 1025.372 740.062 394.204 777.982 236.270 723.198 535.065 258.122
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.219 5.897 6.033 6.306 5.917 5.946 1.756 5.254
[2,] 849.353 755.514 891.750 665.680 588.772 594.640 162.597 455.714
[3,] 729.338 701.310 657.305 691.852 540.676 634.418 155.114 515.734
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.359 4.173 3.583 3.479 2.024 4.314 5.613 6.886
[2,] 147.387 520.866 566.279 419.457 216.095 580.797 545.474 851.958
[3,] 118.125 475.254 458.901 262.453 194.157 532.306 493.953 821.361
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.14 5.867 5.245 2.413 5.201 4.695 4.084 4.468
[2,] 392.76 846.988 525.859 245.775 839.946 692.198 788.010 743.115
[3,] 311.06 797.240 425.220 198.391 829.479 624.058 724.047 636.974
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 5.036 1.774 5.96 2.118 4.897 3.732 5.398 6.234
[2,] 434.896 145.775 713.44 191.731 508.961 418.041 705.583 816.538
[3,] 431.126 161.456 845.82 164.786 529.752 346.421 550.511 620.797
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 2.483 6.168 4.479 5.767 2.691 6.051 5.957 7.1 5.986
[2,] 251.120 751.293 343.776 725.193 246.410 677.610 699.259 844.3 696.538
[3,] 240.848 631.167 385.548 639.718 219.830 537.630 719.661 738.9 660.412
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.43 5.014 5.301 1.977 4.624 4.615 6.269 2.825
[2,] 755.38 594.605 612.206 180.178 621.272 568.290 733.312 291.704
[3,] 626.66 584.169 636.454 192.185 556.599 552.694 529.533 293.608
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 3.252 2.538 5.422 4.661 8.765 7.551 2.222 2.463
[2,] 343.499 263.088 598.885 477.484 908.026 869.520 327.941 463.970
[3,] 325.819 223.996 559.274 445.900 824.705 835.144 392.380 365.938
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.732 3.304 4.288 3.598 1.101 5.369 15.57 5.79
[2,] 454.122 360.861 393.634 301.513 107.659 744.870 2428.32 820.93
[3,] 292.981 342.162 450.483 304.831 133.163 799.100 1711.69 1140.56
[1] "--- VAR model 2017-10-06 12:01:00 completed"
[1] "Completed training sample: 2017-10-06 12:01:00 - 2017-10-06 20:00:00"
[1] "SpVAR; training sample: 2017-10-06 12:31:00 - 2017-10-06 20:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
11.107 6.892 -27.6112 -11.39
-3.700 -2.590 -2.6084 -16.92
2.353 2.744 -0.3687 -3.93
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.222 11.128 -0.4953 -7.359
-11.138 -1.256 1.7961 7.027
-9.057 6.876 1.0274 -2.059
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.9492 -2.602 2.019 -16.303
-0.4286 -2.516 7.181 -14.815
6.7607 5.799 1.020 -7.096
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.830 -7.437 -4.18510 -2.5216
-1.992 -2.353 -11.59532 -1.7564
1.887 -8.446 -0.05377 -0.3024
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.548 -12.14 -0.4247 -14.115
-6.151 -11.67 -5.6942 3.986
-16.963 -11.00 13.9112 1.560
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.65 14.618 -3.243 -2.716
-12.21 -2.144 -11.196 -10.938
1.46 -4.085 -14.114 -7.027
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.31950 -22.752 -10.445 3.520
-4.24213 -8.772 -2.077 1.354
-0.03403 -15.399 -12.688 11.258
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-16.74 -4.5075 -10.89 -4.583
-16.28 -0.7694 -10.36 -6.295
-8.96 -3.8289 -14.86 -3.248
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.063 -13.46 1.246 -1.755
-3.027 -14.09 -8.014 2.395
-2.161 -16.84 -11.355 -4.262
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-12.2497 -8.257 -14.007 -0.04966
0.2717 -10.498 -3.973 -0.01541
-5.0081 -3.395 -9.068 0.68650
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.660 0.9872 3.769 -2.031
-4.469 0.8948 3.089 -15.307
-3.022 -0.2039 -3.574 -4.408
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7137 -0.7803 -7.168 6.587
-6.5572 1.8642 -7.873 -3.652
4.8342 -0.2138 -14.507 4.328
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.451 -5.773 -9.925 -12.058
5.285 8.144 -14.273 12.045
14.174 2.305 8.297 -3.118
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.2280 6.019 -2.371 -1.861
0.5521 -29.672 -6.872 4.613
2.8480 -2.217 -14.498 -25.274
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-6.770 -8.140 -0.4361 -16.964
-6.325 7.317 -1.8992 -4.344
-9.240 -5.861 0.6316 -8.402
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.226 -2.232 -4.0772 -7.739
-2.361 5.152 -0.5464 3.982
-1.753 4.918 4.8936 -4.224
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.736 -1.502 -0.1016 2.319
6.763 -2.601 1.3991 6.493
2.203 4.212 2.6510 6.459
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
18.172 1.2170 8.303 12.1368
-4.182 -0.9673 1.598 0.7226
5.415 -0.4376 5.688 2.0649
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
20.935 4.351 -0.3239 -7.505
6.399 3.267 -9.7028 -8.052
10.164 -3.136 -0.2274 1.690
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-15.927 -1.0000 1.962 1.634
-1.940 2.5840 -13.334 -5.040
-5.994 -0.4578 5.759 -3.512
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.118 4.9226 2.1517 2.2187
-10.617 0.1283 -6.6703 6.5524
5.274 -2.1886 -0.6308 0.9609
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.804 5.117 -3.375 -5.170
1.607 2.957 15.990 11.774
-5.647 4.616 2.072 -8.989
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.1496 -0.4473 0.8104 8.534
0.8893 7.8251 2.4040 -1.405
5.5509 0.8095 1.4788 2.458
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-17.157 -0.302 -9.137 111.4
-3.763 -5.961 -10.634 127.7
0.420 1.566 -10.035 115.3
rnd_95776.volume rnd_95787.volume
-48.71 -4.085
33.44 -18.329
-13.65 -6.601
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.447 2.571 7.525 4.607 6.068 2.063 1.765 4.981 4.832 4.675 2.680
[2,] 4.313 3.050 8.350 5.972 7.327 2.676 2.069 5.738 5.879 6.151 3.333
[3,] 4.875 3.396 9.323 6.842 7.970 2.990 2.303 6.392 6.760 6.888 3.638
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.265 3.687 3.165 3.343 3.224 4.025 4.326 8.250 5.240 8.591 3.660
[2,] 4.035 4.109 3.903 4.036 3.821 5.091 5.380 9.383 6.373 9.903 4.306
[3,] 4.566 4.456 4.413 4.730 4.289 5.630 5.919 10.661 7.171 10.705 4.647
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.22 4.853 1.773 4.107 4.150 3.469 4.241 2.031 5.239 4.137 2.005
[2,] 14.93 6.623 2.093 5.931 6.027 3.922 5.559 2.381 6.353 4.746 2.377
[3,] 17.24 7.874 2.383 7.907 7.059 4.349 6.741 2.598 7.326 5.384 2.693
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.787 4.556 4.763 4.862 4.458 4.529 1.391 4.163 1.010 3.381 2.732
[2,] 6.196 5.696 6.316 5.949 5.352 5.410 1.603 4.705 1.211 4.209 3.882
[3,] 7.076 6.661 7.108 6.794 5.968 6.187 1.767 5.329 1.353 4.708 4.503
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.747 1.619 3.298 4.219 5.311 2.553 4.581 4.087 1.952 4.166 3.767
[2,] 3.375 1.911 4.342 4.885 6.755 3.126 6.113 4.722 2.308 5.771 5.007
[3,] 3.632 2.115 5.150 5.605 7.793 3.439 7.128 5.271 2.507 7.037 5.977
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.143 3.582 3.861 1.405 4.501 1.538 3.582 2.817 4.295 4.867 1.929
[2,] 5.035 5.248 4.379 1.591 5.711 1.796 4.408 3.480 5.513 6.245 2.301
[3,] 6.063 6.099 4.853 1.761 7.079 1.991 5.097 3.856 6.154 6.958 2.594
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.885 3.670 4.511 2.125 4.665 4.627 5.423 4.667 5.211 3.828 4.109
[2,] 6.140 4.098 5.843 2.378 5.678 5.665 6.776 5.693 6.373 4.898 4.955
[3,] 6.945 4.460 6.582 2.621 6.294 6.608 7.586 6.584 7.014 5.613 5.620
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.537 3.739 3.610 4.770 2.141 2.443 1.924 4.114 3.680 6.919 5.720
[2,] 1.776 4.648 4.601 5.983 2.580 2.913 2.321 5.054 4.398 8.138 7.071
[3,] 2.008 5.364 5.337 6.483 2.906 3.326 2.585 5.734 4.840 9.126 8.213
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.763 1.905 2.063 2.495 3.213 2.743 0.8751 4.455 12.16 4.674
[2,] 2.399 2.840 3.031 3.115 3.747 3.159 1.0323 5.858 16.87 6.198
[3,] 3.032 3.460 3.406 3.510 4.317 3.453 1.2031 7.103 18.94 8.336
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.377 3.265 9.556 5.851 7.705 2.619 2.241 6.325
[2,] 538.736 340.904 751.789 789.582 853.408 354.158 224.471 592.141
[3,] 472.167 310.200 861.545 693.579 651.586 277.307 210.230 585.035
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.136 5.937 3.403 4.146 4.682 4.018 4.245 4.094
[2,] 695.770 830.620 411.737 492.594 376.708 474.753 469.923 426.055
[3,] 693.522 644.104 302.963 444.178 358.137 427.911 512.519 404.662
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.111 5.493 10.48 6.654 10.91 4.648 12.97 6.163
[2,] 647.987 664.485 928.92 753.709 1023.61 471.246 2261.91 936.325
[3,] 499.362 513.076 1051.65 683.028 844.44 363.193 1793.82 884.968
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.252 5.216 5.269 4.405 5.386 2.579 6.653 5.253
[2,] 231.166 888.971 908.257 380.288 746.645 257.987 746.576 483.499
[3,] 236.490 1086.565 763.557 390.587 792.167 216.293 758.165 528.194
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.546 6.078 5.785 6.049 6.174 5.661 5.751 1.767
[2,] 265.301 817.325 710.463 861.920 712.213 615.507 614.815 165.338
[3,] 263.208 710.289 717.348 677.152 681.864 548.524 623.599 154.409
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 5.287 1.283 4.294 3.469 3.488 2.056 4.188 5.358
[2,] 455.217 138.776 520.752 573.279 407.477 210.775 586.758 511.543
[3,] 520.315 125.380 438.427 474.106 278.485 188.638 575.713 571.073
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.744 3.241 5.817 5.19 2.479 5.291 4.784 3.991
[2,] 867.326 374.989 840.980 491.33 255.609 829.841 685.471 817.515
[3,] 807.498 297.616 761.723 486.65 203.735 836.518 678.067 701.857
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.548 4.903 1.784 5.715 1.953 4.548 3.577 5.454
[2,] 797.142 429.363 155.433 730.382 192.723 533.767 424.631 718.271
[3,] 645.572 434.492 156.750 869.123 178.342 531.843 345.233 568.340
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 6.18 2.45 6.204 4.66 5.728 2.698 5.923 5.875 6.887
[2,] 813.25 260.59 772.765 379.15 771.722 221.674 672.830 679.238 844.197
[3,] 637.34 248.68 674.400 365.66 629.535 229.065 563.994 706.832 708.525
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.926 6.617 4.861 5.218 1.952 4.748 4.585 6.058
[2,] 677.491 762.245 634.768 575.196 184.983 573.774 592.495 750.262
[3,] 687.150 609.028 569.794 551.145 194.611 556.275 562.127 518.638
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.719 3.102 2.443 5.224 4.673 8.787 7.264 2.238
[2,] 298.882 329.602 269.802 610.234 500.203 890.140 863.734 338.240
[3,] 277.987 333.613 236.693 562.762 420.167 857.991 868.120 385.111
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.418 2.62 3.168 4.081 3.483 1.111 5.657 15.44
[2,] 437.823 461.50 387.539 400.428 325.597 113.797 790.416 2431.10
[3,] 410.734 322.80 336.232 445.367 289.641 128.381 834.558 1789.55
[,98]
[1,] 5.935
[2,] 845.766
[3,] 1158.225
[1] "--- VAR model 2017-10-06 12:31:00 completed"
[1] "Completed training sample: 2017-10-06 12:31:00 - 2017-10-06 20:30:00"
[1] "SpVAR; training sample: 2017-10-06 13:01:00 - 2017-10-06 21:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
11.915 1.3834 -1.235 -10.51
1.058 1.6768 10.497 -11.79
11.599 -0.7504 -8.243 -14.35
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-17.19 -6.210 1.9630 -7.770
-4.89 8.001 -0.1945 3.505
-6.72 1.091 2.1613 -8.194
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.687 -11.756 -1.283 -20.68
9.639 -3.153 0.109 -19.43
-5.204 -2.152 2.095 -12.60
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.869 -1.669 -9.579 0.6782
3.557 -11.157 -6.482 -5.0315
-6.728 -5.937 -5.824 -9.7218
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-14.150 -8.373 22.133 22.934
-8.640 -11.062 2.423 -2.502
-9.593 -5.228 -4.966 1.456
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
10.637 -0.07178 -31.116 -16.80
7.303 -1.66455 -6.566 -10.77
-1.045 -1.51625 -12.107 -12.45
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.5352 -24.047 -13.326 1.213
-1.2609 -21.925 -28.165 8.241
0.3837 -6.172 -6.138 3.015
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.685 -3.551 -7.147 -1.912
-11.954 -4.205 -10.552 -1.627
-19.683 -1.804 -9.788 -4.316
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.9283 -28.524 -10.827 -13.719
0.9189 -4.194 -12.466 -8.292
-3.9744 -10.229 -7.837 -6.529
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.125 5.7588 -6.300 -2.4123
3.873 -1.9254 2.469 3.4387
3.695 0.3988 5.015 0.3906
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.088 1.8220 0.9839 -11.33
-4.617 -0.9986 -5.0771 -10.43
-4.745 0.4751 0.1804 -12.82
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.7455 -0.8269 -13.508 15.447
6.2321 -0.2525 -7.392 -4.553
-0.3096 2.1859 -4.802 10.777
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.43 7.897 -6.401 -1.984
-14.15 -1.913 -3.461 7.803
8.19 1.454 3.727 4.619
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3868 -9.4600 -0.3376 -2.031
0.2851 0.3693 -10.8263 -8.888
2.2686 -10.7934 -1.9975 -2.703
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
3.515 -1.807 3.305 -11.2374
-4.280 -1.482 1.712 9.0298
-7.231 4.141 2.954 -0.4431
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.702 -3.775 -4.242 0.7903
1.380 10.010 1.558 4.3552
-2.014 7.679 4.576 12.0815
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
6.465 -5.128 -9.856 -11.2596
-1.617 1.679 -2.255 5.0793
16.034 1.597 -2.865 -0.1274
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-11.586 0.7931 0.7416 3.839
2.795 1.1528 -0.5782 -2.986
-6.748 -1.3497 6.3199 3.266
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.557 5.682 7.284 -1.3771
2.309 -3.247 5.377 0.3459
-3.387 -3.795 -4.346 -0.5575
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.476 4.2102 -5.065 0.4021
1.567 -0.1753 -3.505 5.7899
5.115 0.4589 10.844 8.3144
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.936 -3.186 5.422 0.1739
-3.938 4.615 -1.648 -1.1794
1.335 0.251 2.879 0.9752
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.422 -1.4442 -11.233 -8.709
6.963 0.4466 6.356 -15.135
8.906 0.7653 1.752 -15.674
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.06139 2.084 2.433 2.9506
-0.08484 -1.276 3.178 5.2007
-0.31466 4.092 3.606 -0.5691
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.005438 -5.990 -7.875 127.1
1.159679 -4.748 -10.118 119.3
1.882943 0.123 -6.965 124.1
rnd_95776.volume rnd_95787.volume
-17.373 -26.136
1.959 -17.640
-10.347 -7.991
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.484 2.576 7.470 4.504 6.031 2.106 1.733 4.890 4.841 4.492 2.699
[2,] 4.271 2.980 8.234 5.820 7.238 2.623 2.014 5.578 5.735 5.842 3.288
[3,] 4.849 3.304 9.108 6.722 7.940 2.947 2.264 6.196 6.483 6.605 3.614
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.138 3.564 3.034 3.275 3.210 4.042 4.300 8.232 5.201 9.216 3.660
[2,] 4.013 4.015 3.588 3.891 3.844 5.145 5.444 9.487 6.289 10.611 4.353
[3,] 4.483 4.415 4.004 4.525 4.252 5.662 6.007 10.669 7.002 11.427 4.736
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.23 4.793 1.762 4.015 4.181 3.615 4.321 1.909 5.453 4.099 1.997
[2,] 14.64 6.543 2.116 5.669 6.004 4.035 5.624 2.260 6.397 4.751 2.398
[3,] 17.18 7.887 2.417 7.682 7.026 4.482 6.643 2.510 7.333 5.353 2.660
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.973 4.519 4.704 4.648 4.296 4.374 1.334 4.064 1.045 3.280 2.703
[2,] 6.445 5.733 6.342 5.613 5.142 5.369 1.565 4.668 1.204 4.168 3.826
[3,] 7.242 6.658 7.117 6.607 5.729 6.203 1.719 5.250 1.348 4.667 4.456
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.660 1.597 3.415 4.164 5.229 2.560 4.378 4.229 1.955 4.000 3.762
[2,] 3.299 1.879 4.311 4.761 6.581 3.150 5.869 4.868 2.309 5.729 4.804
[3,] 3.597 2.096 5.019 5.374 7.589 3.443 6.999 5.349 2.519 6.982 5.777
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.224 3.748 3.852 1.417 4.427 1.496 3.389 2.743 4.270 4.713 1.905
[2,] 4.985 5.360 4.288 1.597 5.587 1.770 4.202 3.343 5.514 6.115 2.250
[3,] 5.978 6.100 4.704 1.756 6.923 1.967 4.918 3.698 6.149 6.862 2.561
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.697 3.513 4.381 2.094 4.756 4.778 5.188 4.686 5.308 3.864 4.104
[2,] 6.094 3.960 5.666 2.349 5.557 5.823 6.544 5.746 6.461 4.983 5.110
[3,] 6.842 4.457 6.430 2.566 6.219 6.556 7.399 6.658 7.169 5.658 5.783
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.515 3.600 3.529 4.813 2.061 2.344 1.834 4.165 3.735 6.390 5.796
[2,] 1.748 4.609 4.528 6.026 2.514 2.858 2.215 5.069 4.409 7.849 7.048
[3,] 2.008 5.258 5.253 6.507 2.821 3.292 2.440 5.685 4.848 8.992 7.964
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.669 1.803 2.089 2.502 3.147 2.514 0.8998 4.843 11.92 4.564
[2,] 2.266 2.762 2.988 3.108 3.685 2.918 1.0568 6.095 17.23 6.108
[3,] 2.919 3.416 3.423 3.534 4.241 3.199 1.2406 7.302 19.23 8.237
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 4.425 3.271 9.486 5.72 7.659 2.674 2.2 6.21 6.148
[2,] 507.369 307.754 711.292 756.83 821.735 321.003 210.6 550.98 631.400
[3,] 471.424 292.834 799.404 690.64 670.570 275.937 212.6 554.08 620.908
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.704 3.427 3.984 4.525 3.853 4.159 4.077 5.133
[2,] 766.846 385.708 513.845 379.918 393.329 431.247 434.143 653.728
[3,] 633.103 308.004 410.129 377.139 364.913 474.432 373.079 485.611
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.461 10.45 6.605 11.7 4.647 12.99 6.086 2.237
[2,] 685.689 968.46 725.988 1080.1 483.949 2151.71 914.661 240.442
[3,] 521.159 1002.28 631.977 871.0 383.170 1846.73 904.390 239.899
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.098 5.309 4.591 5.487 2.424 6.924 5.205 2.536
[2,] 821.835 884.947 367.987 739.202 248.498 686.767 493.433 272.634
[3,] 1064.773 749.483 400.956 726.281 224.408 736.451 506.370 236.520
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.315 5.738 5.973 5.902 5.456 5.555 1.694 5.16
[2,] 842.018 724.640 873.410 646.205 580.047 639.145 167.950 471.87
[3,] 678.224 695.299 663.505 715.771 518.819 637.994 146.101 493.05
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.327 4.165 3.432 3.378 2.027 4.336 5.287 6.641
[2,] 123.143 528.081 556.056 400.594 203.481 540.539 474.089 820.386
[3,] 124.397 431.387 469.224 294.663 190.529 527.605 512.052 776.158
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.251 5.559 5.37 2.482 5.08 4.777 4.094 4.76 4.892
[2,] 376.743 802.880 495.14 252.337 842.35 613.560 780.853 786.78 386.749
[3,] 285.332 782.823 455.55 206.937 819.49 658.863 677.678 597.92 397.215
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.799 5.621 1.899 4.304 3.483 5.422 5.985 2.419
[2,] 151.366 699.890 194.500 510.076 392.492 716.422 800.324 246.015
[3,] 149.633 839.850 175.993 524.830 324.487 558.683 639.065 251.051
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 5.964 4.46 5.564 2.659 6.039 6.067 6.587 5.95 6.741
[2,] 797.440 375.60 737.793 218.658 590.496 683.405 819.186 683.03 756.457
[3,] 638.989 419.95 624.080 212.275 573.159 618.872 709.205 690.85 637.879
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.906 5.211 1.924 4.571 4.481 6.112 2.617 2.977
[2,] 646.204 625.259 179.094 591.193 582.614 744.625 295.621 335.777
[3,] 550.451 556.036 202.694 519.660 546.977 503.999 262.791 335.386
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 2.329 5.29 4.742 8.114 7.36 2.119 2.29 2.653 3.177
[2,] 255.048 593.12 481.450 936.059 823.43 314.805 429.74 438.727 378.670
[3,] 210.222 528.61 413.949 900.935 761.58 377.855 412.73 342.771 345.630
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.996 3.193 1.143 6.15 15.13 5.796
[2,] 393.909 303.977 113.853 759.89 2554.15 833.518
[3,] 431.143 269.307 133.439 825.77 1756.28 1134.978
[1] "--- VAR model 2017-10-06 13:01:00 completed"
[1] "Completed training sample: 2017-10-06 13:01:00 - 2017-10-06 21:00:00"
[1] "SpVAR; training sample: 2017-10-06 13:31:00 - 2017-10-06 21:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-7.246 -3.4211 -8.910 -19.12
-3.693 -3.7560 -1.801 -25.16
-2.845 -0.2154 -20.752 -28.55
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-22.09 5.02743 -1.2372 0.4866
-39.01 0.36988 1.3590 0.4159
-27.50 -0.09844 -0.3192 -7.5815
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.7474 0.2876 -3.552 -4.747
-6.9782 2.8780 4.271 -10.724
-9.5326 -5.8664 -1.211 -10.053
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.837 0.9447 0.6202 -2.909
-3.427 -2.3612 3.1648 -4.212
-5.012 -2.7370 -3.2300 -3.745
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.247 0.7151 42.624 9.368
-1.791 -5.7337 10.926 6.006
-2.800 -3.6502 3.542 9.372
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.168 -0.5378 -49.48 -28.235
5.622 1.3147 -56.11 -15.625
-21.989 -6.5471 -11.20 -9.885
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.04397 -14.08 -26.57 -11.727
-2.87449 -23.28 -30.47 -11.729
-2.56280 -21.05 -27.93 -7.188
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.99 -2.028 -28.77 -19.70
-19.96 -3.825 -22.80 -21.36
-24.54 -4.678 -30.96 -15.57
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-3.179 -20.42 -20.39 -17.80
-4.966 -29.56 -26.18 -19.46
-2.386 -31.76 -28.50 -23.32
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.837 6.251 3.3542 -3.7396
3.368 -10.395 4.4333 -0.3889
-2.007 -5.961 0.8712 0.3403
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.7356 1.0626 -10.82 -23.57
0.1945 0.1388 -12.96 -16.06
-2.6109 -0.9294 -15.16 -18.55
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.229 1.759 -18.831 7.739
3.430 1.658 -16.715 6.019
4.112 -1.139 -5.372 6.386
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.246 2.8931 -1.472 5.254
5.683 -0.4702 -14.879 6.756
-1.469 1.2495 -12.789 6.296
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.6552 -13.623 -3.478 -8.770
-0.4304 6.565 -1.848 -5.062
0.6625 -18.945 -10.357 -6.447
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-19.514 -1.824 -0.83582 -2.411
1.051 -2.855 0.02361 -19.999
-6.366 -4.641 0.27148 -4.060
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.06242 0.6049 1.383 -11.099
-4.99595 -12.6587 -1.616 -2.411
-2.11610 -6.5837 -2.958 -8.523
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.130 -2.047 -7.949 -1.1144
4.742 4.988 -6.842 4.0299
-13.602 2.337 -2.318 -0.8745
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-14.133 -1.893 -1.616 -11.818
-4.472 -1.950 -3.769 -3.291
5.310 -1.605 -11.658 5.287
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
5.499 0.2293 0.3614 -4.259
4.152 -1.1617 4.0215 2.510
-4.361 -8.3240 2.0276 -2.400
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.213 -0.6957 -1.052 8.991
-8.310 -2.4292 -9.684 12.668
4.048 2.0325 -4.827 9.489
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-8.912 -0.5893 1.7522 0.7296
-7.618 3.7961 -0.1717 2.2104
-1.520 -1.2236 1.3536 -1.0256
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.103 -5.408 8.4278 -5.865
-10.262 -1.791 -7.0948 -5.268
-6.847 1.729 -0.5808 -10.935
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.09551 3.5827 2.491 -1.831
0.79216 -0.6073 -2.210 -3.623
0.76697 -3.8820 -1.289 -2.969
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.460 -4.84819 -7.960 112.5
-9.389 -0.02233 -9.540 104.2
-4.197 -0.36679 -9.841 102.5
rnd_95776.volume rnd_95787.volume
-43.137 -19.03
-9.031 -31.28
-19.748 -7.44
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.475 2.493 7.107 4.487 5.911 2.061 1.719 4.701 4.746 4.331 2.550
[2,] 4.223 2.857 7.897 5.799 7.104 2.650 1.997 5.356 5.422 5.660 3.171
[3,] 4.803 3.200 8.819 6.647 7.669 2.961 2.231 6.028 6.162 6.404 3.518
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.973 3.420 3.004 3.257 3.121 3.936 4.334 8.527 5.287 9.075 3.858
[2,] 3.794 3.890 3.528 3.887 3.683 4.962 5.459 9.912 6.334 10.523 4.513
[3,] 4.208 4.279 3.965 4.501 4.008 5.424 6.019 11.011 6.968 11.312 4.879
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.09 4.762 1.739 4.000 4.052 3.563 4.240 1.848 5.339 4.034 2.018
[2,] 14.52 6.571 2.087 5.569 6.052 4.176 5.460 2.165 6.236 4.676 2.382
[3,] 17.11 7.930 2.355 7.651 7.074 4.735 6.604 2.422 7.327 5.396 2.648
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.742 4.246 4.712 4.637 4.039 4.275 1.333 3.964 0.9888 3.356 2.689
[2,] 6.154 5.552 6.085 5.578 5.056 5.292 1.533 4.518 1.1541 4.200 3.797
[3,] 6.941 6.379 6.892 6.501 5.618 6.132 1.663 5.073 1.3130 4.711 4.425
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.558 1.559 3.208 3.954 4.959 2.606 4.434 4.217 2.02 3.851 3.703
[2,] 3.272 1.820 4.259 4.599 6.247 3.171 5.773 4.835 2.32 5.532 4.743
[3,] 3.544 2.080 5.036 5.137 7.173 3.491 6.943 5.322 2.54 6.672 5.696
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.081 3.843 3.772 1.352 4.297 1.460 3.369 2.761 4.069 4.579 1.869
[2,] 4.829 5.304 4.120 1.538 5.541 1.691 4.116 3.331 5.323 5.977 2.220
[3,] 5.941 6.106 4.507 1.693 6.760 1.879 4.844 3.631 5.994 6.699 2.548
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.592 3.378 4.541 2.072 4.744 4.863 4.998 4.658 5.440 3.928 3.962
[2,] 5.876 3.815 5.648 2.310 5.484 5.794 6.420 5.713 6.593 5.087 5.007
[3,] 6.556 4.266 6.396 2.517 6.133 6.519 7.230 6.570 7.300 5.763 5.817
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.410 3.549 3.362 4.701 2.042 2.334 1.731 4.134 3.676 6.530 5.774
[2,] 1.690 4.591 4.491 5.873 2.395 2.827 2.093 5.075 4.355 8.027 6.841
[3,] 1.942 5.344 5.189 6.442 2.707 3.221 2.331 5.667 4.753 8.956 7.857
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.637 1.707 2.083 2.476 3.014 2.457 0.9031 4.982 11.95 4.659
[2,] 2.243 2.714 2.997 3.100 3.518 2.807 1.0424 6.256 16.26 6.081
[3,] 2.933 3.373 3.381 3.504 4.026 3.044 1.2299 7.596 18.39 8.170
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.413 3.165 9.025 5.698 7.506 2.617 2.182 5.97
[2,] 519.125 302.101 745.004 794.981 852.654 360.652 220.115 555.64
[3,] 495.379 312.168 849.570 703.051 625.124 285.926 215.409 598.58
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 6.027 5.5 3.238 3.775 4.343 3.814 4.136 3.963 4.998
[2,] 567.268 788.5 408.089 510.280 401.142 400.600 459.292 423.545 653.978
[3,] 633.968 648.4 329.453 393.823 385.547 391.702 491.246 341.794 474.220
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.503 10.83 6.714 11.52 4.899 12.81 6.046 2.209
[2,] 718.525 1093.46 754.748 1152.76 506.837 2260.75 979.915 249.594
[3,] 548.411 1038.00 628.575 898.34 401.351 1957.38 961.039 236.212
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.08 5.145 4.525 5.384 2.347 6.779 5.123 2.562
[2,] 838.37 972.912 471.464 744.475 244.192 697.653 511.773 273.903
[3,] 1135.61 792.751 482.862 803.893 235.115 832.394 582.728 250.173
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 6.022 5.392 5.983 5.889 5.129 5.428 1.692 5.034
[2,] 848.616 774.062 833.444 671.085 658.273 675.016 164.206 469.086
[3,] 694.852 680.133 700.343 722.362 529.987 670.514 139.118 499.492
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.256 4.262 3.414 3.249 1.98 4.074 5.021 6.297
[2,] 128.790 546.351 580.266 441.624 203.30 606.272 508.312 822.497
[3,] 135.520 461.882 491.853 294.231 217.64 581.666 495.231 762.629
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 3.309 5.63 5.355 2.565 4.89 4.702 3.913 4.88 4.79
[2,] 390.925 800.15 511.914 247.144 859.65 641.423 804.816 791.23 358.91
[3,] 316.318 834.82 481.663 223.735 807.10 682.721 748.944 654.54 395.39
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.717 5.456 1.854 4.278 3.505 5.168 5.814 2.374
[2,] 158.806 757.108 184.485 511.798 403.265 742.643 831.403 259.163
[3,] 153.088 838.221 177.399 552.813 313.102 596.167 654.652 270.831
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 5.832 4.289 5.767 2.631 6.024 6.176 6.346 5.915
[2,] 793.213 383.878 726.902 220.941 595.313 681.574 872.048 715.787
[3,] 629.410 413.317 649.488 216.575 594.416 646.858 719.765 702.295
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.908 4.988 5.031 1.791 4.506 4.269 5.97 2.593
[2,] 806.255 699.358 662.825 201.517 630.470 644.376 761.69 270.741
[3,] 678.186 586.384 640.527 206.954 591.966 562.562 572.87 273.332
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.964 2.198 5.25 4.668 8.292 7.332 2.078 2.168
[2,] 345.120 254.674 636.91 505.445 1010.139 793.753 331.919 456.460
[3,] 334.448 222.263 545.91 411.807 860.044 836.480 409.116 433.731
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.645 3.144 3.827 3.12 1.147 6.326 15.18 5.916
[2,] 466.387 403.548 392.699 293.60 112.690 818.891 2386.27 845.669
[3,] 338.578 353.830 423.791 255.17 141.261 932.537 1859.71 1180.826
[1] "--- VAR model 2017-10-06 13:31:00 completed"
[1] "Completed training sample: 2017-10-06 13:31:00 - 2017-10-06 21:30:00"
[1] "SpVAR; training sample: 2017-10-06 14:01:00 - 2017-10-06 22:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-5.2951 -7.3219 -40.88 -43.87
0.8931 0.1462 -14.26 -46.16
-1.9275 -0.2198 -36.05 -48.11
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-44.05 3.920 2.1306 -5.352
-39.13 2.995 5.5929 6.843
-54.95 -1.957 -0.6657 -1.681
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-21.240 -7.717 -0.7329 -14.58
2.778 -8.546 -3.2730 -10.51
-2.265 -8.183 2.5467 -13.96
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.382 -0.912 8.264 -11.640
-7.140 -12.197 -2.282 -7.679
7.621 -6.825 -8.088 4.217
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.829 -5.783 13.69 -7.9070
-13.703 1.201 -10.89 -4.9058
-8.855 -7.254 3.10 0.6687
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-22.76 -1.628 -113.72 -47.97
-27.32 -4.617 -54.38 -33.31
-27.33 4.307 -68.87 -35.60
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.026 -42.71 -66.47 -18.98
-2.517 -48.40 -57.07 -12.33
-3.929 -37.87 -50.79 -12.03
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-44.88 -5.251 -42.31 -37.15
-45.32 -5.439 -59.24 -24.86
-51.73 -4.536 -45.01 -28.04
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.365 -51.99 -46.33 -15.68
-5.002 -57.51 -43.09 -44.34
-4.979 -51.39 -51.95 -35.25
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.038 8.282 0.343 3.779
2.730 4.803 2.154 -1.953
4.774 7.554 -2.989 -1.295
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2047 0.5484 -12.95 -24.01
-2.1516 -1.0093 -18.13 -16.91
0.5823 -0.9677 -19.95 -29.96
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.500 -0.6042 -11.09 10.764
-3.390 1.8991 -17.88 3.178
1.671 0.5456 -11.63 6.684
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.260 1.755 1.325 9.242
-5.361 -1.800 5.211 10.103
-1.374 -2.129 -5.850 9.137
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4753 4.525 -3.7525 -13.345
1.1470 -6.784 -5.5984 1.968
3.2484 5.156 0.2622 -11.059
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-18.123 -5.194 1.867 8.003
-6.992 5.527 1.278 -28.377
2.034 -1.725 1.137 -5.384
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.0641 3.859 5.405 -3.362
-1.3409 -16.036 5.148 4.402
-0.7248 -6.337 2.543 2.047
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.516 3.7497 9.353 1.048
16.728 -0.7921 -1.436 2.805
1.612 4.4594 6.643 -1.038
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
17.406 1.288 -13.142 -3.002
1.596 2.397 6.429 5.489
1.799 3.546 7.176 2.672
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
14.184 1.060 -1.1262 5.624
-2.650 -4.081 6.5773 8.891
4.002 8.673 0.4974 4.639
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.1471 -2.305 4.564 -6.222
8.8062 2.323 12.621 -4.203
-0.1874 1.041 7.667 -9.492
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.149 2.263 0.3594 0.16735
10.098 4.346 2.6288 0.82828
8.844 3.145 5.9839 -0.01191
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.909 7.032 4.382 -9.548
1.380 4.466 17.530 -2.760
2.503 3.180 18.379 -17.188
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.08152 -4.706 3.676 5.117
-2.38242 5.032 1.950 1.125
3.06615 1.232 -1.525 -2.093
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.959 2.465 -5.627 131.7
-7.576 4.067 -8.032 138.0
-5.617 -3.545 -4.998 142.0
rnd_95776.volume rnd_95787.volume
4.004 -50.37
-25.153 -37.03
-48.074 -34.00
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.320 2.368 7.112 4.193 5.746 1.959 1.636 4.641 4.570 4.198 2.480
[2,] 4.080 2.770 8.137 5.476 6.915 2.545 1.950 5.270 5.275 5.392 3.140
[3,] 4.717 3.099 8.940 6.438 7.524 2.866 2.189 5.891 5.959 6.162 3.465
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.958 3.383 2.974 3.605 3.247 3.862 4.229 8.399 5.359 8.641 3.843
[2,] 3.728 3.832 3.466 4.245 3.776 4.952 5.356 9.928 6.512 10.244 4.493
[3,] 4.053 4.118 3.853 4.814 4.088 5.459 5.979 11.048 7.171 11.069 4.857
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.09 4.942 1.689 3.768 3.862 3.431 4.133 1.815 5.058 3.925 1.951
[2,] 14.28 6.457 2.023 5.537 5.883 4.066 5.336 2.154 6.062 4.598 2.283
[3,] 16.96 7.907 2.291 7.461 6.921 4.574 6.458 2.423 7.204 5.344 2.527
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.486 3.965 4.498 4.345 3.893 4.119 1.269 3.779 0.9753 3.150 2.635
[2,] 6.004 5.379 5.941 5.167 4.817 5.176 1.467 4.419 1.1496 4.070 3.653
[3,] 6.774 6.205 6.716 6.027 5.411 5.995 1.598 5.000 1.3088 4.624 4.342
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.559 1.537 3.106 3.933 5.008 2.605 4.507 4.305 1.961 3.824 3.572
[2,] 3.194 1.836 4.200 4.608 6.211 3.175 5.762 4.902 2.274 5.332 4.534
[3,] 3.497 2.090 5.003 5.031 7.070 3.500 6.953 5.384 2.496 6.430 5.584
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.006 3.869 3.635 1.311 4.344 1.460 3.288 2.512 3.990 4.493 1.850
[2,] 4.756 5.291 4.072 1.485 5.454 1.721 3.934 2.956 5.177 5.770 2.222
[3,] 5.758 6.177 4.496 1.651 6.637 1.921 4.714 3.308 5.801 6.467 2.507
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.510 3.162 4.273 2.028 4.585 4.820 4.899 4.460 5.348 3.829 3.825
[2,] 5.682 3.658 5.542 2.246 5.392 5.732 6.228 5.540 6.485 4.966 4.970
[3,] 6.437 4.053 6.367 2.482 6.058 6.516 7.195 6.417 7.180 5.544 5.740
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.340 3.445 3.272 4.542 1.950 2.369 1.607 3.987 3.599 6.525 6.035
[2,] 1.626 4.526 4.346 5.741 2.292 2.806 1.946 5.007 4.365 7.795 6.898
[3,] 1.849 5.124 5.080 6.343 2.614 3.171 2.199 5.603 4.804 8.721 8.019
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.521 1.588 2.020 2.386 3.055 2.388 0.8694 5.259 12.43 4.647
[2,] 2.112 2.637 2.988 2.979 3.514 2.700 1.0306 6.587 16.13 5.978
[3,] 2.884 3.268 3.313 3.294 3.973 2.896 1.2041 7.964 18.42 8.031
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.216 3.007 9.031 5.325 7.297 2.488 2.077 5.894
[2,] 570.076 345.435 950.615 846.381 924.705 390.202 255.158 600.161
[3,] 569.153 333.877 889.658 813.885 712.550 316.852 239.261 632.661
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.804 5.331 3.15 3.756 4.296 3.777 4.578 4.123
[2,] 633.084 813.171 462.96 545.647 432.457 427.863 538.843 463.454
[3,] 666.119 717.120 351.73 381.819 362.950 404.656 545.763 376.689
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.904 5.371 10.66 6.805 10.97 4.88 12.81 6.276
[2,] 745.079 789.834 1272.70 889.289 1322.42 559.49 2428.00 998.633
[3,] 552.411 638.820 1165.12 721.579 1008.26 443.65 2198.31 1097.130
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.145 4.784 4.904 4.357 5.249 2.305 6.422 4.984
[2,] 267.660 975.368 1066.856 524.299 811.363 278.762 803.326 575.740
[3,] 258.649 1202.106 876.244 503.586 874.412 266.994 935.407 654.640
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.478 5.697 5.035 5.712 5.518 4.943 5.231 1.611
[2,] 285.184 958.971 873.905 932.725 672.133 681.991 753.466 176.776
[3,] 260.016 754.023 743.515 753.112 745.779 592.651 726.962 152.721
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 4.799 1.238 4.0 3.346 3.249 1.951 3.944 4.994 6.36
[2,] 550.554 146.283 619.5 608.251 459.372 241.505 679.577 577.256 882.73
[3,] 562.263 150.385 527.4 564.000 342.452 240.198 653.488 485.248 812.21
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.308 5.723 5.466 2.491 4.856 4.535 3.818 4.913
[2,] 436.514 862.955 563.514 276.594 893.289 671.276 885.831 867.754
[3,] 353.874 935.282 535.260 247.620 863.658 783.636 779.972 766.029
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.615 1.665 5.516 1.854 4.175 3.19 5.066 5.705
[2,] 441.571 167.777 792.935 219.240 519.222 374.55 792.998 870.410
[3,] 457.816 173.142 908.818 205.178 624.098 356.95 629.268 701.997
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.349 5.727 4.015 5.426 2.575 5.822 6.12 6.221
[2,] 295.908 830.541 442.110 848.205 232.148 682.043 745.80 924.408
[3,] 278.961 727.389 419.706 753.504 253.709 663.598 744.70 865.836
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.664 6.791 4.862 4.857 1.701 4.375 4.155 5.767
[2,] 789.733 881.554 760.341 762.761 221.418 705.512 687.506 843.941
[3,] 778.630 741.106 592.384 690.114 211.818 577.329 632.093 648.492
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.477 3.008 2.041 5.062 4.571 8.285 7.664 1.931
[2,] 289.486 361.522 263.685 728.365 593.667 1025.134 802.812 352.194
[3,] 301.880 355.250 246.198 604.446 482.152 940.036 982.909 472.250
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.016 2.565 3.03 3.879 3.033 1.104 6.679 15.78
[2,] 506.241 529.216 428.79 417.387 302.508 133.000 953.352 2471.55
[3,] 463.672 343.947 337.75 445.797 252.261 149.665 1076.046 2138.91
[,98]
[1,] 5.9
[2,] 904.1
[3,] 1289.2
[1] "--- VAR model 2017-10-06 14:01:00 completed"
[1] "Completed training sample: 2017-10-06 14:01:00 - 2017-10-06 22:00:00"
[1] "SpVAR; training sample: 2017-10-06 14:31:00 - 2017-10-06 22:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.258 4.111 -39.62 -33.98
7.427 -6.945 -63.60 -36.80
5.942 -5.005 -37.39 -48.27
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-25.17 -0.77808 0.2007 -21.254
-27.98 0.03959 3.1022 -1.734
-38.79 1.79369 5.3710 -4.562
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-9.722 -10.466 -0.4284 2.986
-12.212 -9.832 1.0722 -8.465
-7.639 -8.745 -1.7645 -8.720
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-12.7381 -2.515 -13.333 -13.73
0.5002 -1.963 2.116 -5.06
-2.4331 -12.420 -4.965 -5.29
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.03 -10.525 -17.67 9.612
-11.90 -32.846 -8.36 -11.963
-7.92 -5.829 -25.39 -15.329
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-43.68 -4.101 -97.44 -48.26
-58.68 -6.213 -83.40 -44.19
-42.69 3.299 -118.73 -50.05
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
5.793 -37.78 -40.70 -9.010
-5.326 -62.73 -54.67 -5.138
-3.822 -28.86 -53.07 -5.923
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-37.61 -1.913 -52.25 -4.75
-37.18 -3.244 -46.91 -18.53
-44.08 -2.017 -38.90 -14.06
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.308 -41.45 -20.26 -48.69
-8.799 -45.70 -42.73 -36.86
-7.614 -29.89 -33.72 -39.78
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
2.3748 -18.157 5.001 -3.0656
-4.4679 -0.262 -13.220 -0.6571
0.4718 -1.657 -9.767 0.5299
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.299 -1.4907 -12.15 -35.57
-6.573 -0.1428 -29.15 -35.88
-3.762 -3.5182 -24.74 -33.71
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
8.417 4.680 -23.23 9.435
-3.763 1.001 -15.09 1.275
-1.121 2.374 -33.70 8.179
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.379 2.713 -12.57 -14.547
8.871 -2.226 -16.58 0.501
7.091 -0.143 -15.08 8.830
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.9745 -3.535 3.882 4.253
-1.6815 -14.879 -13.248 -6.996
-0.8746 -11.124 -16.168 -12.900
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.035 -7.4869 2.384 -4.087
-1.400 0.3418 1.369 -4.416
-16.181 -1.9387 4.848 3.729
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.177 -0.8133 -10.498 -12.172
3.911 -3.0099 3.029 -6.383
-1.584 -4.5592 -1.797 -3.507
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-18.025 -7.379 -5.905 -1.545
-15.287 -8.897 -13.127 -9.101
-3.928 -1.021 -8.991 -3.482
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.141 6.839 5.381 1.607
-16.510 -1.772 -4.496 11.767
-7.446 -4.606 8.803 3.764
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.949 10.1848 -1.947 2.0052
-11.091 -3.4269 3.945 0.7643
-8.503 0.1892 17.744 -3.1280
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.105 -0.6391 4.464 9.207
8.607 2.1542 -1.704 18.173
-3.676 -1.8013 3.281 11.624
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
19.52 -1.433 -1.544 -0.4767
13.49 9.260 3.104 6.2390
10.24 7.140 1.203 -2.3282
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-17.245 -2.7940 -11.49 8.299
-5.187 0.5769 -21.52 -7.763
-7.217 -13.2309 -10.13 8.890
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
4.499 -4.680 -2.446 -5.239
-1.296 -8.586 -4.500 -2.364
-8.335 -3.091 -5.399 2.069
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.061 5.6889 -8.570 117.3
-2.577 0.8464 -4.787 111.6
3.479 5.9238 -7.930 112.8
rnd_95776.volume rnd_95787.volume
-9.796 -50.48
-20.885 -51.96
-31.301 -39.12
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.199 2.517 7.098 4.178 5.791 1.970 1.612 4.496 4.330 3.872 2.350
[2,] 3.905 2.825 8.175 5.461 6.956 2.447 1.890 5.269 4.984 5.220 2.962
[3,] 4.453 3.154 8.912 6.423 7.623 2.761 2.118 5.884 5.906 6.042 3.306
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.904 3.297 2.968 3.674 3.063 3.780 4.109 8.464 5.443 8.318 3.864
[2,] 3.683 3.785 3.512 4.416 3.573 4.867 5.299 9.917 6.443 9.869 4.490
[3,] 3.975 4.116 3.872 5.042 3.882 5.446 6.062 11.090 7.110 10.711 4.831
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.07 5.371 1.626 4.210 4.233 3.280 4.265 1.772 4.787 3.876 1.907
[2,] 13.82 6.558 1.951 5.769 6.276 3.860 5.408 2.088 5.793 4.471 2.227
[3,] 16.45 7.969 2.243 7.533 7.138 4.413 6.397 2.377 6.998 5.168 2.521
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.436 3.896 4.588 4.075 3.844 4.263 1.238 3.962 0.9185 3.147 2.669
[2,] 5.965 5.166 5.730 4.714 4.739 5.251 1.478 4.488 1.1170 4.004 3.758
[3,] 6.807 6.158 6.569 5.384 5.261 6.022 1.618 5.029 1.2881 4.532 4.306
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.633 1.600 3.112 3.728 5.145 2.454 4.471 4.236 1.961 3.649 3.517
[2,] 3.293 1.892 4.169 4.350 6.265 3.078 5.653 4.886 2.289 5.204 4.479
[3,] 3.556 2.131 5.037 4.755 7.317 3.446 6.749 5.367 2.536 6.152 5.441
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.888 3.730 3.435 1.261 4.267 1.399 3.065 2.415 3.737 4.363 1.753
[2,] 4.415 5.149 4.029 1.452 5.280 1.637 3.773 2.857 4.767 5.564 2.151
[3,] 5.457 6.065 4.442 1.601 6.286 1.846 4.471 3.192 5.407 6.217 2.452
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.237 3.074 4.142 1.967 4.167 4.586 4.826 4.354 5.426 3.953 3.703
[2,] 5.464 3.506 5.267 2.228 5.002 5.498 6.041 5.585 6.513 5.105 4.990
[3,] 6.146 3.900 6.069 2.454 5.534 6.176 7.037 6.435 7.236 5.627 5.712
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.320 3.368 3.121 4.452 1.884 2.343 1.644 3.721 3.474 5.658 6.308
[2,] 1.572 4.450 4.180 5.619 2.227 2.741 1.924 4.658 4.200 7.000 7.201
[3,] 1.765 5.136 4.976 6.264 2.558 3.094 2.150 5.263 4.603 8.003 8.408
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.474 1.637 2.027 2.347 2.980 2.290 0.8699 5.638 12.13 4.820
[2,] 2.156 2.655 2.906 2.863 3.445 2.590 1.0110 7.180 15.79 6.090
[3,] 2.906 3.182 3.209 3.210 3.880 2.779 1.1951 8.563 18.46 7.933
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.063 3.196 9.013 5.306 7.354 2.502 2.047 5.709
[2,] 654.230 374.892 1185.212 1027.624 1125.861 424.319 288.445 802.898
[3,] 625.393 410.262 1036.869 988.208 911.434 373.255 278.859 765.283
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 5.499 4.917 2.984 3.688 4.187 3.768 4.665 3.89 4.8
[2,] 721.198 1023.272 526.991 661.686 543.188 549.082 715.982 537.57 896.2
[3,] 925.775 888.715 429.203 437.565 472.794 476.108 711.216 443.69 713.6
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 5.218 10.75 6.911 10.56 4.906 12.79 6.821 2.065
[2,] 977.812 1510.35 1007.714 1552.20 668.626 2767.32 1099.414 314.871
[3,] 860.320 1450.49 878.282 1216.67 520.556 2604.02 1323.022 323.364
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.347 5.375 4.165 5.416 2.25 6.078 4.921 2.421
[2,] 1152.423 1354.088 594.866 971.587 322.92 953.650 651.550 336.421
[3,] 1415.865 993.953 625.068 998.450 331.85 1147.346 757.568 344.941
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 5.633 4.947 5.826 5.174 4.881 5.413 1.572 5.032
[2,] 1165.242 991.480 1003.124 693.000 809.988 895.758 236.203 616.185
[3,] 958.684 979.475 938.502 759.885 667.599 861.564 191.971 662.805
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.166 3.997 3.389 3.343 2.032 3.951 4.734 6.533
[2,] 185.734 723.490 773.211 578.006 294.988 810.680 654.852 1044.885
[3,] 187.455 620.396 614.225 392.011 286.758 826.296 561.637 1104.643
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.116 5.677 5.379 2.491 4.634 4.466 3.668 4.737
[2,] 543.157 1011.150 711.854 344.592 1084.088 810.638 975.727 1037.205
[3,] 452.889 1077.288 648.684 319.170 958.877 902.712 937.349 936.562
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.363 1.602 5.419 1.776 3.893 3.067 4.746 5.54
[2,] 615.158 210.148 908.604 248.780 643.046 446.036 864.934 1009.20
[3,] 546.806 196.868 997.177 248.904 701.005 415.844 745.700 810.17
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.226 5.38 3.903 5.259 2.498 5.291 5.823 6.128
[2,] 364.339 1008.28 492.619 950.964 305.621 808.431 886.060 1062.074
[3,] 343.598 822.41 499.453 881.317 300.720 692.255 822.430 1054.382
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.529 6.89 5.019 4.702 1.676 4.277 3.963 5.653
[2,] 1021.894 1052.71 944.176 977.686 249.759 850.022 812.858 1001.964
[3,] 934.177 921.83 691.746 812.029 234.647 749.312 788.853 808.998
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.392 2.975 2.087 4.725 4.412 7.184 8.01 1.872
[2,] 346.851 415.678 292.032 818.746 689.605 1204.743 1015.22 459.851
[3,] 367.856 419.739 280.585 716.222 550.285 1133.706 1268.46 569.284
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.078 2.574 2.98 3.784 2.907 1.105 7.159 15.4
[2,] 610.832 608.599 479.07 505.137 353.825 150.517 1299.129 2953.4
[3,] 512.957 397.695 424.31 521.698 294.168 186.250 1363.944 2795.4
[,98]
[1,] 6.12
[2,] 1087.71
[3,] 1485.93
[1] "--- VAR model 2017-10-06 14:31:00 completed"
[1] "Completed training sample: 2017-10-06 14:31:00 - 2017-10-06 22:30:00"
[1] "SpVAR; training sample: 2017-10-06 15:01:00 - 2017-10-06 23:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
6.823 -4.359 -21.69 -39.92
-9.521 5.924 -41.02 -34.86
3.213 -3.494 -37.04 -40.95
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-28.92 7.4256 2.183 7.7410
-18.52 -2.2591 -1.088 -0.5629
-27.53 0.6831 1.384 1.6014
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
6.040 3.2112 2.905 -11.198
1.673 7.5981 7.121 -9.809
2.404 -0.5277 3.034 -5.449
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
7.841 4.137 6.598643 11.211
-1.080 -2.363 0.008582 3.081
3.820 1.989 8.178821 7.299
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
9.177 0.1969 14.35 15.86
7.314 2.5574 32.74 29.21
3.235 3.2183 24.80 25.93
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-4.728 -1.3797 -109.40 -46.49
-40.379 -0.5842 -40.27 -33.85
-30.097 -9.1298 -70.19 -27.64
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.95877 -32.58 -32.97 -1.49982
-1.64083 -49.77 -55.56 -5.42932
-0.03613 -24.82 -34.37 0.05905
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-34.40 -4.395 -42.50 -17.96
-28.95 -5.285 -30.75 -22.18
-49.04 -5.200 -35.94 -18.83
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-8.066 -37.93 -39.28 -18.51
-11.318 -30.28 -19.37 -32.61
-9.253 -33.25 -29.20 -22.44
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
5.084 -4.1335 3.821 1.5478
7.862 -1.2112 -2.321 3.1597
11.604 0.1217 -7.129 0.2166
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
6.765 -3.0224 -12.39 -25.14
6.172 -0.3054 -27.79 -17.02
1.702 0.2190 -15.25 -31.59
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.548 -4.266 -6.432 8.339
4.756 1.290 -16.813 2.468
8.063 3.993 -16.489 -1.905
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.776 -5.584 -36.45 7.537
-13.916 -4.835 -1.04 4.404
9.267 -3.996 -10.54 12.114
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.708 -0.9639 2.902 5.036
-5.050 -26.0367 -9.989 -8.850
-3.903 -0.1278 -9.398 -17.488
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
10.49 3.00271 -0.0313 7.734
-10.40 -0.01656 -0.6168 -2.148
-8.47 -8.42884 -1.8796 11.361
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.0538 3.1630 3.78191 -4.156
-0.6092 -6.6545 -1.14762 1.104
-0.6015 0.1251 0.02015 1.643
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.454 -2.601 -10.6750 4.512
2.442 3.034 -11.4067 -1.954
-12.351 3.295 0.4094 -0.669
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-9.392 4.098 -2.863 9.550
-3.572 1.762 -6.674 -3.489
-4.792 5.499 7.053 3.763
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.593 0.3379 13.78 -1.269
-5.824 -2.9125 17.57 10.484
6.828 -10.7460 10.30 0.214
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
12.735 -2.8808 9.046 4.027
-3.600 -0.1965 -7.824 1.167
8.376 -0.2489 7.695 4.961
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.887 -0.6198 -3.154 1.4496
-5.189 1.3853 -1.374 -0.3003
13.034 -1.0624 -3.558 3.2567
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-11.6977 7.20292 -2.627 4.067
0.8189 0.09019 4.761 -4.473
0.8899 1.84411 3.695 6.478
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.655 10.047 0.7171 5.908
6.125 3.418 7.4947 2.419
5.441 1.977 -3.5497 -6.099
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.772 0.6068 -5.520 126.9
1.730 -1.8252 -5.775 108.8
11.440 -0.5275 -5.722 122.8
rnd_95776.volume rnd_95787.volume
-54.68 -40.04
-16.58 -47.00
-33.91 -16.85
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.147 2.442 7.085 4.165 5.497 1.902 1.668 4.261 4.204 3.574 2.242
[2,] 3.857 2.741 7.915 5.270 6.665 2.370 1.940 5.000 4.858 4.954 2.858
[3,] 4.444 3.040 8.577 6.238 7.357 2.685 2.128 5.579 5.751 5.678 3.215
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.737 3.173 2.789 3.644 3.258 3.723 3.936 8.132 5.430 8.517 3.771
[2,] 3.564 3.714 3.448 4.401 3.781 4.796 5.112 9.667 6.354 9.900 4.435
[3,] 3.907 4.037 3.863 4.966 4.094 5.457 5.880 10.850 7.219 10.733 4.777
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.716 5.244 1.593 3.983 4.056 3.302 4.316 1.696 4.683 3.820 1.857
[2,] 13.849 6.472 1.887 5.439 6.080 3.847 5.378 2.025 5.714 4.361 2.162
[3,] 16.241 7.813 2.132 7.445 6.980 4.366 6.382 2.254 6.835 4.932 2.450
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.375 3.769 4.742 3.761 3.513 4.172 1.155 3.851 0.9534 3.108 2.782
[2,] 5.817 5.243 5.862 4.343 4.424 5.098 1.379 4.403 1.1568 3.901 3.754
[3,] 6.629 6.127 6.539 4.965 4.984 5.798 1.537 4.957 1.2984 4.401 4.275
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.607 1.568 3.002 3.703 5.225 2.387 4.243 4.318 1.948 3.579 3.484
[2,] 3.268 1.867 4.085 4.274 6.338 3.018 5.524 4.849 2.284 5.010 4.536
[3,] 3.529 2.090 4.903 4.716 7.302 3.394 6.679 5.304 2.507 6.030 5.354
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.804 3.465 3.270 1.197 3.853 1.343 3.165 2.301 3.481 4.137 1.751
[2,] 4.297 4.844 3.892 1.391 4.836 1.538 3.756 2.690 4.690 5.426 2.157
[3,] 5.224 5.895 4.249 1.556 5.838 1.716 4.463 3.104 5.376 6.084 2.382
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.182 3.125 3.979 1.874 4.014 4.525 4.747 4.434 5.620 4.041 3.581
[2,] 5.328 3.480 5.135 2.138 4.760 5.551 5.864 5.612 6.668 5.162 4.963
[3,] 5.961 3.895 6.048 2.392 5.325 6.208 6.720 6.306 7.298 5.688 5.620
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.220 3.418 2.946 4.540 1.789 2.182 1.605 3.524 3.356 5.445 6.299
[2,] 1.476 4.492 4.111 5.673 2.176 2.708 1.874 4.314 4.177 6.781 7.195
[3,] 1.665 5.253 4.850 6.347 2.499 3.085 2.088 5.010 4.631 7.691 8.309
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.448 1.548 1.920 2.336 2.804 2.154 0.8795 5.629 11.37 4.526
[2,] 2.011 2.637 2.753 2.844 3.296 2.443 0.9866 7.230 15.23 5.824
[3,] 2.788 3.201 3.119 3.175 3.781 2.605 1.1763 8.543 17.57 7.673
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.996 3.1 8.997 5.289 6.98 2.415 2.118 5.411
[2,] 667.515 373.0 1055.852 966.232 1127.72 423.181 296.249 782.957
[3,] 660.128 393.1 988.650 998.876 932.20 377.180 262.073 740.529
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.338 4.538 2.847 3.476 4.029 3.541 4.628 4.137
[2,] 728.450 1026.706 530.343 682.742 577.622 606.673 738.488 574.317
[3,] 921.013 829.851 440.949 479.568 473.680 521.616 687.994 470.079
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.728 4.998 10.33 6.895 10.81 4.788 12.34 6.659
[2,] 904.439 976.422 1564.09 987.569 1510.38 698.597 2953.24 1135.141
[3,] 779.463 869.343 1474.09 1025.137 1240.54 531.209 2538.63 1309.640
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.023 5.058 5.151 4.193 5.481 2.153 5.946 4.85
[2,] 302.354 1108.362 1355.350 591.012 960.153 331.173 979.759 629.81
[3,] 297.171 1521.110 1025.748 617.647 1028.130 296.519 1122.318 689.00
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.358 5.555 4.786 6.021 4.776 4.461 5.298 1.467
[2,] 330.935 1147.150 1090.713 1031.246 649.661 804.553 876.516 225.387
[3,] 345.060 951.619 948.828 866.949 720.062 686.516 826.977 203.251
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.891 1.211 3.947 3.533 3.311 1.991 3.812 4.702
[2,] 638.503 196.039 705.303 754.212 589.562 303.301 829.245 638.581
[3,] 681.619 176.423 609.499 611.616 398.344 281.075 811.253 597.027
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.635 3.031 5.388 5.483 2.473 4.545 4.424 3.561
[2,] 1073.580 552.488 1058.561 660.603 357.029 1049.091 869.222 974.132
[3,] 1085.235 464.834 1123.639 642.645 309.402 1004.042 850.835 888.930
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.4 4.153 1.52 4.893 1.705 4.019 2.921 4.42 5.254
[2,] 1013.0 631.718 212.06 874.529 224.504 605.100 417.050 940.41 1050.521
[3,] 1005.0 510.239 208.61 978.451 227.545 721.427 463.285 786.41 823.795
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 2.223 5.31 3.968 5.053 2.38 5.098 5.746 6.028
[2,] 377.115 987.82 458.247 971.358 307.79 765.338 962.301 1030.190
[3,] 302.567 799.67 523.938 956.087 321.25 714.368 831.568 981.905
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 5.63 7.137 5.132 4.548 1.549 4.34 3.741 5.765
[2,] 1029.52 1073.680 960.827 1028.268 248.669 872.33 857.954 1017.890
[3,] 860.81 887.880 715.329 788.939 230.390 814.86 769.693 852.103
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.272 2.771 2.039 4.475 4.262 6.915 7.999 1.838
[2,] 370.631 479.927 289.414 744.525 743.921 1209.206 1040.679 417.462
[3,] 367.657 442.504 275.459 762.222 598.551 1085.642 1243.615 578.120
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.966 2.438 2.967 3.56 2.735 1.117 7.148 14.44
[2,] 638.646 590.541 484.991 518.64 345.068 133.819 1357.404 3030.08
[3,] 542.864 438.360 422.347 554.36 270.015 191.675 1362.014 2624.68
[,98]
[1,] 5.747
[2,] 1096.825
[3,] 1494.890
[1] "--- VAR model 2017-10-06 15:01:00 completed"
[1] "Completed training sample: 2017-10-06 15:01:00 - 2017-10-06 23:00:00"
[1] "SpVAR; training sample: 2017-10-06 15:31:00 - 2017-10-06 23:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.040 -2.973 -25.48 -38.42
1.598 -6.888 -33.01 -34.46
-4.367 6.852 -41.22 -31.08
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-23.57 0.03253 1.479 3.514
-27.29 1.01040 -1.176 -3.670
-41.01 1.83105 1.033 1.228
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.9632 -2.056 1.409 -8.284
-0.8654 3.227 4.689 -8.544
-9.1052 -3.721 -1.074 -12.294
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.0559 1.989 1.640 -3.132
-4.1254 -11.896 -11.536 -1.573
0.1742 -7.008 -8.231 0.909
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.484 1.7653 -2.1326 2.548
-12.478 0.3994 2.2690 22.267
-10.503 -10.8251 0.1965 15.192
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-32.48 -16.046 -88.39 -30.86
-29.69 2.872 -78.90 -34.71
-40.47 -1.369 -62.38 -32.50
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.870 -37.39 -63.51 -11.725
-6.920 -23.95 -36.39 -9.803
-2.226 -35.63 -33.39 -3.874
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-35.31 -6.789 -34.59 -15.37
-38.79 -7.710 -45.47 -9.83
-32.17 -3.231 -27.26 -15.52
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.068 -35.39 -26.03 -28.89
-10.444 -37.51 -23.60 -39.20
-5.194 -42.03 -39.81 -34.71
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.932 3.953 7.0203 3.7677
4.674 4.371 -2.9529 -0.5323
2.822 5.072 -0.2439 -0.8436
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
16.435 1.9368 -23.41 -21.80
4.805 1.5642 -20.93 -24.81
4.403 -0.1905 -18.45 -26.08
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.6242 1.9421 -14.93 2.867
-2.1936 -0.5342 -14.44 1.389
4.6021 -1.0338 -16.33 5.299
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.776 -1.806 -11.25 14.242
1.576 -2.231 -10.18 4.630
-1.465 -7.256 -16.13 2.281
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.9309 -8.771 0.1656 -4.477
-0.8802 -3.716 -1.5843 -6.206
-2.4336 -12.852 -11.1141 -3.722
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.2206 -0.7591 -1.008 -9.106
-7.0733 -4.5665 -1.426 -4.373
-0.1888 -3.5365 1.265 -6.084
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.1545 -13.489 -0.08748 -7.534
-2.4458 -8.017 1.69579 -13.534
-1.9944 -2.417 0.67075 -8.927
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.302 0.3321 3.369 -2.3104
-12.596 -3.6383 -3.059 -0.5442
-8.358 -3.2451 -10.189 3.1485
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
3.133 1.7423 9.5849 9.729
-1.236 -1.5502 1.7073 4.123
-5.939 0.2528 0.8498 1.223
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.002 2.547 4.446 11.253
-6.009 0.170 7.408 10.895
-4.732 1.974 9.723 8.163
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
1.197 2.3995 -8.942 -8.583
15.349 2.3455 9.211 -6.361
8.917 0.9536 5.362 -8.886
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.777 -1.601 -1.625 -0.5759
9.111 -1.388 -2.285 1.3980
11.375 1.896 -2.421 1.3418
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
8.986 -1.421 -1.114 -4.601
4.192 -2.476 -3.730 3.045
6.147 -1.435 -6.948 -6.874
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4794 -1.645 -2.946 4.6222
-1.9338 3.370 2.958 -2.9498
0.9732 -1.410 -1.089 -0.2041
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.6896 -4.327 -5.798 113.5
-1.9614 3.771 -6.042 115.5
-5.1092 -1.739 -5.454 115.8
rnd_95776.volume rnd_95787.volume
-4.247 -32.53
-43.768 -31.62
-47.208 -28.49
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.134 2.367 6.899 4.029 4.985 1.880 1.664 4.096 3.944 3.465 2.188
[2,] 3.816 2.696 7.752 5.138 6.104 2.280 1.929 4.792 4.613 5.000 2.812
[3,] 4.319 2.942 8.469 6.086 6.922 2.516 2.085 5.311 5.433 5.683 3.152
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.704 3.071 2.877 3.645 3.165 3.669 3.838 8.138 5.365 8.254 3.567
[2,] 3.551 3.652 3.541 4.333 3.699 4.993 5.150 9.538 6.459 9.576 4.223
[3,] 3.921 3.955 3.927 4.876 4.061 5.681 5.891 10.863 7.295 10.238 4.530
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.107 5.129 1.563 4.171 4.027 3.210 4.306 1.631 4.336 3.609 1.791
[2,] 13.008 6.382 1.842 5.488 5.975 3.674 5.259 1.927 5.370 4.181 2.077
[3,] 15.369 7.609 2.052 7.347 6.954 4.227 6.023 2.160 6.380 4.749 2.333
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.367 3.744 4.399 3.650 3.640 4.087 1.167 3.641 0.9455 3.001 2.669
[2,] 5.644 5.088 5.545 4.195 4.473 4.939 1.354 4.221 1.1173 3.652 3.613
[3,] 6.341 6.022 6.310 4.759 5.012 5.561 1.497 4.743 1.2610 4.229 4.050
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.474 1.569 2.943 3.562 5.032 2.386 4.232 3.928 1.896 3.587 3.520
[2,] 3.138 1.812 4.061 4.086 6.204 3.027 5.401 4.563 2.251 4.962 4.436
[3,] 3.446 2.048 4.836 4.564 7.101 3.392 6.446 5.022 2.466 5.996 5.221
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.753 3.371 3.284 1.077 3.680 1.124 3.019 2.206 3.330 3.807 1.608
[2,] 4.151 4.559 3.844 1.259 4.586 1.344 3.639 2.574 4.579 5.161 1.942
[3,] 4.991 5.539 4.199 1.439 5.724 1.527 4.344 3.000 5.185 5.718 2.153
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.691 3.002 3.522 1.696 3.654 3.947 4.729 4.250 5.492 4.034 3.692
[2,] 4.769 3.394 4.729 1.965 4.483 4.985 5.663 5.483 6.472 5.204 4.965
[3,] 5.461 3.769 5.702 2.195 5.000 5.612 6.464 6.181 7.060 5.697 5.670
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.140 3.303 2.705 4.284 1.768 2.089 1.534 3.420 3.028 5.285 6.197
[2,] 1.370 4.480 3.718 5.500 2.188 2.610 1.791 4.152 3.724 6.814 7.016
[3,] 1.561 5.345 4.404 6.309 2.506 3.010 1.965 4.659 4.186 7.692 8.136
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.359 1.445 1.833 2.268 2.594 2.034 0.8336 5.760 10.82 4.549
[2,] 1.852 2.542 2.582 2.691 3.030 2.305 0.9420 7.297 14.56 5.847
[3,] 2.620 3.028 2.931 3.016 3.586 2.477 1.1082 8.640 16.93 7.532
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.979 3.006 8.761 5.117 6.33 2.387 2.113 5.201
[2,] 691.645 409.432 1122.146 1012.219 1118.98 409.541 309.949 789.971
[3,] 642.456 374.440 1083.433 1035.753 1036.18 338.074 250.900 727.491
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.008 4.401 2.779 3.434 3.9 3.654 4.629 4.02
[2,] 759.817 1144.482 560.639 731.168 627.1 655.096 743.979 607.49
[3,] 911.165 858.054 452.589 527.694 482.8 539.624 709.972 532.91
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.659 4.874 10.33 6.813 10.48 4.529 11.56 6.513
[2,] 1075.484 1090.619 1579.33 1142.133 1541.69 718.128 2949.24 1205.728
[3,] 860.440 908.243 1651.32 1076.760 1150.07 520.080 2599.60 1315.982
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.984 5.296 5.114 4.076 5.468 2.071 5.506 4.583
[2,] 309.797 1132.551 1401.517 567.704 958.745 326.022 1005.809 669.968
[3,] 287.289 1551.231 1130.203 663.685 931.999 309.508 1093.769 715.755
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.274 5.546 4.754 5.586 4.635 4.622 5.19 1.482
[2,] 333.950 1135.241 1093.879 1072.290 656.728 825.542 880.23 217.714
[3,] 337.308 917.750 1022.927 955.844 713.333 718.328 812.02 202.826
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.623 1.201 3.811 3.389 3.141 1.993 3.738 4.523
[2,] 678.444 189.062 661.018 773.098 613.245 287.786 888.271 635.699
[3,] 686.680 185.594 677.235 581.632 451.707 303.090 834.365 645.641
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.39 3.029 5.374 4.988 2.408 4.555 4.469 3.496
[2,] 1152.04 591.669 1065.428 737.052 385.258 1088.906 857.366 986.631
[3,] 1097.51 486.214 1117.394 665.996 319.775 1068.791 874.657 879.711
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.281 4.17 1.368 4.673 1.428 3.834 2.801 4.229
[2,] 974.767 634.57 207.204 868.844 233.732 645.248 421.235 997.730
[3,] 998.920 536.14 220.821 1087.624 230.198 753.118 489.391 772.953
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.834 2.041 4.687 3.812 4.472 2.154 4.641 5.012
[2,] 1106.859 345.841 959.097 502.610 1002.117 315.099 824.780 967.073
[3,] 781.737 295.320 844.929 520.519 1011.842 310.816 703.088 818.627
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 6.006 5.397 6.974 5.123 4.688 1.448 4.195 3.435
[2,] 989.221 1100.200 1087.546 1043.940 1054.045 241.110 961.224 810.161
[3,] 989.508 905.735 895.768 735.825 869.595 237.947 925.525 749.432
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.44 2.246 2.653 1.948 4.343 3.845 6.711 7.869
[2,] 1095.28 409.331 496.942 293.742 747.795 688.316 1365.651 1044.849
[3,] 981.61 387.775 475.885 256.895 671.163 607.579 1133.604 1308.220
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.726 1.835 2.328 2.88 3.294 2.583 1.059 7.314
[2,] 399.495 664.069 577.444 459.73 497.185 344.181 139.268 1422.458
[3,] 588.478 522.312 440.331 432.56 609.386 287.789 185.370 1469.527
[,97] [,98]
[1,] 13.74 5.777
[2,] 3091.17 1166.585
[3,] 2742.66 1507.767
[1] "--- VAR model 2017-10-06 15:31:00 completed"
[1] "Completed training sample: 2017-10-06 15:31:00 - 2017-10-06 23:30:00"
[1] "SpVAR; training sample: 2017-10-06 16:01:00 - 2017-10-07 00:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 16:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
4.659 -1.537 -13.88 -27.79
-3.802 -3.033 -37.31 -13.78
-1.407 0.635 -23.22 -28.89
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-27.41 3.0876 -2.026 -10.52342
-21.78 0.9695 1.629 0.09887
-29.90 2.5595 2.179 -5.75109
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.17595 -3.100 4.8638 -14.336
0.01562 -1.169 -0.4612 -6.861
-3.89600 2.428 2.8832 -9.095
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.13545 -11.6895 -6.873 -4.3168
-1.68572 0.7588 -3.476 -5.9630
0.04192 -2.2186 -1.609 0.3676
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.970 14.681 -12.101 10.406
-11.340 -17.414 1.324 12.810
1.287 -3.376 -10.803 0.996
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-38.27 -5.5795 -53.42 -22.87
-35.29 -0.1687 -53.95 -28.48
-24.30 1.0078 -64.21 -21.50
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
1.274 -29.21 -31.24 -3.7754
-1.565 -27.76 -21.43 -0.5705
-2.989 -24.99 -32.20 -1.4459
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-23.88 -1.859 -31.63 -8.484
-25.74 -3.256 -34.90 -4.920
-22.76 -1.030 -22.08 -12.647
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.187 -20.29 -29.56 -40.27
-9.843 -26.58 -19.57 -20.70
-5.872 -28.20 -26.70 -28.56
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.417 -5.17103 3.136 0.7320
-2.042 -4.95427 2.004 -0.7263
1.355 0.07773 2.197 0.4762
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.703 -0.2591 -16.74 -22.21
3.413 -0.2362 -21.87 -21.61
-3.415 0.7027 -11.17 -25.13
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.3647 -0.6185 -14.30 4.9113
0.6313 0.8101 -14.40 2.0571
0.4090 -4.0136 -15.49 0.8494
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-10.844 -5.482 -7.838 3.530
3.127 4.268 -3.650 -2.045
-4.206 -2.222 -14.225 5.598
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
3.8205 3.497 1.156 4.068
-0.5440 -11.374 -5.213 2.226
0.8392 -10.656 -9.881 -9.805
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.395 -3.7283 0.9886 -7.903
1.709 0.1122 -0.4164 4.995
-3.108 0.5052 -0.7090 -1.316
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.863266 -6.7071 0.9042 -3.43293
-2.544680 0.7807 3.6493 -4.04859
0.003271 -0.9998 -0.8713 0.08536
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-3.296 -0.79286 -4.5506 -2.736
-1.087 0.01602 -9.2338 -4.991
4.505 0.12212 0.4061 1.963
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.430 1.142 -0.5055 -1.910
-5.679 0.102 -6.5469 -2.288
-4.996 -0.164 0.7387 -4.321
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.149 -4.9964 5.083 -3.931
-2.651 -0.2962 1.658 7.195
-13.221 -10.5048 5.418 2.339
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.152 -0.6929 3.533 2.2835
0.153 0.1382 -1.061 -0.6133
3.820 -0.2331 6.645 1.0257
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.0261 -2.65386 1.8855 0.2709
-0.4237 -0.98505 -0.7003 -1.9814
2.7208 -0.01861 -0.7633 0.2420
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.767 -7.668 1.649 -16.25
-4.806 3.324 4.490 3.59
-3.416 -3.936 1.319 -10.92
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.347 2.0904 4.527 -4.687
2.589 -0.6472 -2.725 -3.416
-1.335 -3.3792 -4.000 -1.609
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.769 -1.649 -4.653 111.3
-2.218 -2.081 -4.500 113.6
2.540 1.875 -5.925 113.4
rnd_95776.volume rnd_95787.volume
-8.031 -25.24
-26.096 -30.56
-28.274 -19.07
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.936 2.283 6.491 3.786 4.842 1.801 1.627 3.753 3.913 3.253 2.064
[2,] 3.748 2.656 7.446 4.926 5.821 2.173 1.905 4.590 4.636 4.616 2.763
[3,] 4.150 2.933 8.202 5.855 6.602 2.384 2.060 5.060 5.412 5.425 3.065
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.583 2.767 2.794 3.555 3.234 3.463 3.743 7.900 5.026 7.839 3.588
[2,] 3.412 3.433 3.523 4.220 3.707 4.764 4.943 9.393 6.025 9.123 4.255
[3,] 3.853 3.705 3.962 4.807 4.128 5.550 5.687 10.744 6.992 9.762 4.566
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 9.057 4.931 1.409 4.300 4.035 3.071 3.946 1.525 4.169 3.282 1.683
[2,] 12.629 6.058 1.707 5.528 5.831 3.554 4.925 1.822 5.243 3.868 1.966
[3,] 14.728 7.304 1.911 7.263 6.677 4.131 5.761 2.020 6.259 4.415 2.218
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.351 3.765 4.030 3.674 3.554 3.794 1.103 3.612 0.9867 2.965 2.664
[2,] 5.471 4.971 5.275 4.173 4.356 4.639 1.307 4.121 1.1559 3.549 3.564
[3,] 6.173 5.853 6.074 4.667 4.886 5.322 1.438 4.539 1.2812 4.067 3.985
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.420 1.538 2.829 3.395 4.988 2.274 3.700 3.752 1.722 3.380 3.499
[2,] 3.088 1.752 3.963 4.013 6.056 2.956 5.044 4.402 2.113 4.753 4.310
[3,] 3.356 1.993 4.735 4.425 6.790 3.371 6.014 4.790 2.290 5.815 5.103
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.68 3.232 3.251 0.9206 3.332 1.004 2.813 2.249 2.975 3.677 1.491
[2,] 3.91 4.369 3.754 1.0924 4.126 1.200 3.366 2.605 4.217 5.048 1.737
[3,] 4.76 5.362 4.079 1.2137 5.269 1.373 4.008 2.981 4.740 5.480 1.971
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.473 2.882 3.153 1.497 3.498 3.808 4.454 4.006 5.313 4.071 3.496
[2,] 4.533 3.380 4.351 1.782 4.262 4.901 5.480 5.207 6.274 5.287 4.880
[3,] 5.193 3.741 5.343 2.004 4.738 5.478 6.183 5.883 6.841 5.756 5.585
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.122 3.107 2.659 4.083 1.712 2.038 1.456 3.348 2.867 5.353 6.004
[2,] 1.345 4.393 3.556 5.351 2.165 2.489 1.730 4.064 3.599 6.626 6.959
[3,] 1.481 5.310 4.180 6.166 2.444 2.881 1.921 4.610 4.033 7.520 7.985
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.228 1.405 1.729 2.097 2.509 1.848 0.8015 6.179 9.819 4.444
[2,] 1.680 2.413 2.457 2.476 2.939 2.105 0.9063 7.538 13.555 5.793
[3,] 2.412 2.831 2.793 2.770 3.519 2.315 1.0732 8.941 16.204 7.348
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.728 2.899 8.243 4.808 6.149 2.288 2.066 4.765
[2,] 738.608 430.196 1156.387 999.217 1024.121 385.384 314.310 838.003
[3,] 564.764 394.588 1090.521 1002.875 987.257 310.848 248.135 675.127
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.968 4.13 2.621 3.28 3.514 3.547 4.514 4.107
[2,] 788.592 1038.47 582.655 706.74 644.215 680.254 720.634 574.373
[3,] 885.317 903.36 420.547 567.52 441.844 574.860 729.686 575.625
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.398 4.753 10.03 6.382 9.954 4.557 11.5 6.261
[2,] 1037.000 1023.223 1610.86 1053.395 1479.840 724.639 2790.4 1115.708
[3,] 902.943 891.792 1653.55 1124.561 1101.277 525.083 2402.1 1293.661
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.79 5.461 5.123 3.899 5.011 1.936 5.294 4.168
[2,] 305.48 1100.955 1334.784 567.050 934.196 315.922 1007.586 648.736
[3,] 272.20 1493.466 1030.913 667.748 947.700 276.628 1084.061 675.083
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 2.137 5.525 4.781 5.118 4.666 4.513 4.818 1.401
[2,] 322.342 1051.262 1029.247 1078.636 626.983 798.202 846.414 222.247
[3,] 325.055 906.474 979.257 954.576 662.420 701.822 826.938 190.325
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.587 1.253 3.766 3.383 3.073 1.953 3.592 4.311
[2,] 628.967 190.866 618.184 750.767 608.321 265.926 879.742 678.443
[3,] 602.648 175.184 629.698 564.843 415.986 300.809 821.711 590.518
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 6.334 2.888 4.699 4.764 2.186 4.292 4.444 3.403
[2,] 1088.912 598.430 1086.882 730.191 388.269 1059.343 797.379 902.830
[3,] 973.122 514.055 1038.180 598.387 279.553 1062.195 866.195 860.654
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 4.105 4.128 1.169 4.231 1.275 3.571 2.856 3.778
[2,] 931.998 594.892 186.428 771.366 208.370 586.072 416.427 947.280
[3,] 985.303 506.276 167.632 1038.596 211.760 690.198 459.408 686.380
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 4.67 1.894 4.41 3.659 4.004 1.901 4.442 4.835
[2,] 1096.19 282.123 923.90 560.197 950.435 306.617 771.999 977.996
[3,] 676.25 295.232 802.63 507.974 983.043 290.658 656.217 775.733
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 5.656 5.087 6.747 5.169 4.439 1.425 3.946 3.376
[2,] 1011.987 1054.419 1057.683 1069.410 1079.515 235.105 984.409 748.822
[3,] 907.887 867.918 865.082 721.431 861.081 196.719 945.795 696.335
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 5.184 2.174 2.589 1.849 4.251 3.64 6.797 7.624
[2,] 1096.607 420.013 452.788 295.916 730.583 689.66 1238.063 1115.334
[3,] 971.285 359.595 459.813 265.348 689.978 577.16 1127.573 1241.899
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.56 1.784 2.196 2.663 3.186 2.347 1.018 7.846
[2,] 363.50 622.001 553.423 417.296 485.227 319.622 134.180 1368.643
[3,] 548.38 469.401 420.605 393.972 613.488 305.005 182.184 1524.326
[,97] [,98]
[1,] 12.47 5.643
[2,] 2962.28 1178.275
[3,] 2814.66 1433.093
[1] "--- VAR model 2017-10-06 16:01:00 completed"
[1] "Completed training sample: 2017-10-06 16:01:00 - 2017-10-07 00:00:00"
[1] "SpVAR; training sample: 2017-10-06 16:31:00 - 2017-10-07 00:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 16:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.893 -3.275 -31.90 -32.70
3.488 -3.154 -12.64 -26.90
5.483 -4.208 -32.76 -23.79
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.41 0.3326 1.0633 1.112
-18.27 -1.0710 -0.5482 -2.270
-29.47 0.8920 0.3455 -4.111
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.188 1.222 6.630 -11.44
-6.664 -4.541 1.706 -6.14
-1.854 -2.912 -2.296 -10.45
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.2026 -7.411 -4.6624 3.540
3.6821 -3.549 0.4763 -3.238
3.3748 -3.452 -0.4138 1.784
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.099 1.050 -20.704 1.715
-14.788 -12.751 1.043 12.304
3.272 -6.288 -7.182 5.298
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-26.47 -7.903 -65.37 -38.87
-20.32 -2.599 -39.90 -26.44
-29.43 -3.798 -39.03 -15.49
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.844 -26.57 -27.84 -5.1639
-1.214 -36.67 -39.87 -0.5822
-1.535 -23.42 -20.48 -3.7370
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-25.06 -2.430 -26.36 -8.246
-32.86 -1.414 -31.40 -4.885
-29.94 -4.939 -33.61 -5.955
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.323 -30.32 -33.31 -18.64
-6.574 -21.54 -16.89 -27.74
-5.327 -29.43 -30.78 -26.75
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.411 -5.292 0.236 2.854
1.474 -4.486 -2.335 -3.482
4.260 -2.752 -1.056 -1.254
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4169 0.3119 -6.846 -19.29
4.0364 -0.3724 -14.740 -12.75
3.3086 -0.1841 -10.979 -18.05
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.995 -1.3074 -2.80 5.185
-3.527 0.7122 -12.08 4.710
2.834 0.7552 -13.31 6.368
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.372 0.3761 -14.357 3.9845
5.767 1.1056 1.447 0.2921
-1.986 0.3420 -6.434 2.2923
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.685 -4.608 -9.56660 -5.233
-2.419 -8.021 -5.21940 -7.692
1.923 -1.847 0.03528 -4.520
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.859 6.2542 2.231 -1.515
-11.057 3.5647 1.763 -3.551
-6.207 0.6886 -1.969 -6.795
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.4035 -0.172 0.05203 -2.193
-2.0703 -2.558 6.15376 3.909
-1.0589 -2.749 1.42738 2.773
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.189 0.4967 2.445 3.1775
4.740 0.4733 1.369 -0.6694
5.415 1.7221 8.074 1.8029
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.2222 0.9311 2.953 6.4625
0.8997 1.0207 2.998 -0.8565
-0.4073 1.3762 4.000 6.9919
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.632 -5.640 8.824 8.133
-8.040 -3.227 9.445 -1.576
-5.688 -2.406 11.282 5.673
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.394 1.98885 13.260 -0.6940
-1.199 2.24958 12.638 -0.3913
3.370 -0.07814 4.264 0.2880
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
14.9088 3.755 4.22893 0.06967
14.0704 1.790 -1.02226 1.04648
0.5078 1.449 -0.08084 -0.13587
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.235 2.652 2.933 -1.3309
-8.484 -6.375 8.557 6.0240
0.144 -3.426 7.855 0.8086
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
2.093 1.628 1.514 4.479
1.027 2.322 6.074 2.057
3.969 4.176 -1.305 3.238
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.763 -0.5008 -5.993 117.0
-3.492 -2.9969 -3.211 110.7
-3.457 -1.1129 -3.865 105.0
rnd_95776.volume rnd_95787.volume
-21.817 -24.07
3.121 -29.99
-25.805 -20.59
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.848 2.246 5.820 3.893 4.264 1.603 1.542 3.474 3.694 3.043 1.924
[2,] 3.620 2.603 6.864 4.940 5.454 1.919 1.822 4.296 4.371 4.244 2.714
[3,] 4.046 2.896 7.568 5.842 6.319 2.115 1.996 4.800 5.146 5.061 2.977
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.415 2.642 2.659 3.392 3.037 3.388 3.505 7.059 4.725 7.130 3.355
[2,] 3.226 3.313 3.386 4.134 3.486 4.645 4.749 8.797 5.853 8.430 4.057
[3,] 3.653 3.600 3.808 4.701 3.882 5.407 5.527 10.116 6.762 9.237 4.413
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.883 4.786 1.309 4.176 3.744 2.927 3.854 1.404 3.833 3.096 1.530
[2,] 11.892 5.880 1.552 5.418 5.532 3.444 4.915 1.670 5.004 3.621 1.865
[3,] 13.745 6.885 1.730 6.733 6.502 3.995 5.798 1.860 5.932 4.096 2.102
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.032 3.544 3.865 3.508 3.279 3.570 1.096 3.349 0.991 2.858 2.541
[2,] 5.260 4.661 5.013 4.015 4.010 4.221 1.302 3.881 1.157 3.423 3.456
[3,] 5.942 5.505 5.821 4.508 4.534 4.850 1.439 4.273 1.291 3.915 3.854
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.407 1.453 2.655 3.345 4.877 2.400 3.645 3.582 1.631 3.134 3.239
[2,] 3.076 1.707 3.764 3.961 5.890 2.969 4.794 4.262 1.989 4.458 4.070
[3,] 3.363 1.923 4.615 4.368 6.639 3.353 5.821 4.645 2.192 5.422 4.859
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.568 2.800 3.190 0.7650 3.128 0.9676 2.605 2.197 2.864 3.437 1.308
[2,] 3.694 3.932 3.717 0.9435 3.880 1.1600 3.173 2.566 4.032 4.688 1.569
[3,] 4.573 4.911 3.988 1.0774 5.006 1.3288 3.815 2.982 4.571 5.209 1.764
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.353 2.850 2.953 1.343 3.277 3.143 4.422 3.910 5.228 4.089 3.248
[2,] 4.631 3.313 4.083 1.585 4.018 4.291 5.393 5.219 5.942 5.161 4.725
[3,] 5.242 3.684 5.064 1.826 4.422 4.926 6.089 5.826 6.533 5.625 5.510
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.084 3.096 2.425 3.889 1.647 1.957 1.365 3.035 2.573 5.238 5.757
[2,] 1.279 4.385 3.214 5.220 2.045 2.422 1.632 3.788 3.286 6.282 6.773
[3,] 1.427 5.245 3.794 6.025 2.307 2.824 1.815 4.329 3.750 7.259 7.806
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.118 1.279 1.537 1.934 2.190 1.635 0.7190 6.398 9.558 4.254
[2,] 1.554 2.170 2.193 2.295 2.708 1.922 0.8376 7.637 13.170 5.764
[3,] 2.156 2.615 2.525 2.519 3.300 2.151 0.9766 9.113 15.898 6.957
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.617 2.852 7.39 4.943 5.415 2.036 1.958 4.411
[2,] 688.238 405.186 1121.26 936.863 1047.513 324.859 299.065 778.794
[3,] 556.782 391.325 981.71 960.963 983.124 274.055 251.009 659.980
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.691 3.864 2.444 3.067 3.355 3.377 4.307 3.856
[2,] 719.867 911.581 589.541 658.770 615.761 645.804 728.326 527.067
[3,] 836.795 849.256 377.365 528.522 434.684 537.115 689.363 526.389
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.302 4.451 8.964 6 9.054 4.26 11.28 6.078
[2,] 979.004 987.402 1617.556 1064 1385.776 703.25 2435.85 1052.224
[3,] 853.113 870.843 1538.437 1044 1162.991 534.32 2123.62 1103.841
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.662 5.303 4.755 3.717 4.894 1.783 4.867 3.931
[2,] 256.631 1063.702 1254.750 559.259 939.943 278.734 991.427 578.461
[3,] 235.701 1231.662 1052.442 623.720 947.529 252.174 981.453 590.385
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.942 5.12 4.5 4.908 4.454 4.163 4.534 1.392 4.253
[2,] 328.530 1040.59 932.9 983.571 601.649 711.241 693.672 216.354 604.240
[3,] 299.198 851.75 902.5 911.651 631.719 651.944 736.278 188.697 551.267
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.258 3.629 3.227 3.057 1.846 3.372 4.248 6.193
[2,] 184.110 580.567 721.893 590.090 275.585 822.102 653.348 1017.574
[3,] 176.484 584.967 525.415 418.772 273.048 822.733 567.771 943.867
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.047 4.629 4.548 2.071 3.979 4.113 3.261 3.556
[2,] 538.350 959.073 711.652 350.885 976.978 759.426 817.937 850.265
[3,] 480.538 1017.465 568.791 283.760 950.718 818.032 830.528 906.465
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 4.051 0.9714 3.972 1.229 3.308 2.79 3.636 4.365
[2,] 587.472 170.1497 707.421 197.098 557.905 408.70 874.762 982.301
[3,] 445.841 160.2926 974.513 199.746 652.879 467.87 663.437 699.616
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.661 4.257 3.619 3.749 1.705 4.161 3.992 5.615
[2,] 267.150 984.162 520.787 868.738 259.337 716.273 899.955 951.250
[3,] 248.033 756.927 496.162 923.277 279.314 569.407 745.100 870.890
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.965 6.639 5.192 4.125 1.376 3.932 3.079 4.938
[2,] 1065.251 870.194 970.374 1057.274 209.475 956.757 649.860 1072.828
[3,] 797.814 836.023 689.179 873.488 194.552 886.666 621.528 926.790
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.091 2.485 1.733 3.854 3.267 6.651 7.311 1.42
[2,] 373.384 439.766 275.876 698.510 629.771 1068.675 1099.176 332.75
[3,] 329.447 447.682 244.798 645.362 556.495 1120.835 1195.840 460.46
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.625 1.952 2.456 2.781 2.076 0.913 8.125 12.14
[2,] 539.875 482.074 380.835 491.005 311.272 132.377 1284.722 2791.76
[3,] 449.551 385.587 320.045 580.879 297.303 154.750 1532.154 2743.35
[,98]
[1,] 5.401
[2,] 1198.487
[3,] 1200.031
[1] "--- VAR model 2017-10-06 16:31:00 completed"
[1] "Completed training sample: 2017-10-06 16:31:00 - 2017-10-07 00:30:00"
[1] "SpVAR; training sample: 2017-10-06 17:01:00 - 2017-10-07 01:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 17:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.090 1.6366 -26.29 -16.90
5.298 3.4655 -21.06 -18.93
6.569 0.9295 -22.74 -18.74
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-18.71 -1.5661 -1.386 -1.6428
-14.51 -1.0500 2.524 0.1185
-16.99 0.7528 -1.408 -2.5918
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.281 -2.2361 -0.1566 -3.197
1.263 -2.3964 2.4319 -5.317
-2.458 0.2921 2.6781 -5.470
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
3.439 -3.261 1.636 -0.05707
1.220 -2.462 -1.597 3.04396
2.777 -7.332 -2.930 2.15936
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-7.8476 -6.486 -0.9865 9.613
-0.7427 -7.876 -9.9548 5.765
-0.2492 6.648 -4.5049 -2.327
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-30.64 -2.8072 -34.06 -16.70
-19.75 -0.3906 -38.63 -26.45
-22.14 -3.2622 -35.90 -14.22
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.9037 -13.94 -26.17 -1.1828
0.5118 -16.02 -22.89 -4.5183
0.1629 -23.63 -27.23 -0.4233
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.38 -2.118 -23.76 -5.836
-19.31 -1.953 -20.05 -4.648
-14.60 -1.175 -23.27 -1.249
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.770 -23.54 -20.72 -18.14
-4.813 -17.09 -14.20 -23.57
-3.510 -11.91 -18.25 -15.59
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.004 -4.131 8.5326 3.192
6.345 -3.335 -3.3429 -1.555
4.032 -1.063 0.5464 1.016
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.832 -0.6742 -5.252 -13.664
-0.799 -0.9756 -11.568 -8.907
3.643 0.5254 -9.137 -17.415
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.7461 -2.6210 -9.616 9.4188
1.3211 -1.7789 -8.773 0.8408
-1.2267 -0.2979 -9.541 2.4556
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.517 -4.369 -9.287 -4.087
-5.158 -1.136 -8.067 -2.995
4.011 1.138 -4.406 -2.045
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5182 -4.489 0.9948 -6.998
-1.9887 -10.120 -7.4819 -3.842
-0.9869 -4.874 -6.0144 -9.228
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.832 1.718 0.6283 -1.846
-1.416 -2.696 0.6878 -8.003
-8.568 -3.526 -0.2666 4.100
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.0842 -0.2082 1.462 -1.352
-1.5277 -6.2785 1.995 -2.129
-1.5248 0.9907 3.715 -2.314
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.9546 -2.3313 -2.725 3.2996
-3.4623 0.8287 1.065 -0.8692
-2.6768 -0.9996 1.576 -0.8900
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.6741 -0.8930 3.886 -2.597
0.5375 -0.1717 6.427 4.905
-3.4872 -0.1208 4.154 3.762
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-1.762 -0.938 -0.5795 -1.649
1.403 1.728 4.1643 2.489
-2.379 1.632 4.2737 3.438
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.5935 1.4794 12.3813 -3.4242
-0.4559 -0.9277 0.8742 -2.7794
5.1227 2.8124 4.8010 0.2815
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
9.330 2.7041 -2.15343 -0.8873
2.106 0.6637 -0.01337 0.4578
1.627 -1.2714 0.31015 2.0570
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.232 0.7342 -0.9283 -4.675
-2.234 1.0963 -0.2142 5.113
1.828 1.3640 -0.1638 -7.837
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6353 1.647 2.583 1.721
2.9983 1.995 3.136 3.960
0.6599 3.812 1.760 -1.358
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.347 -2.972 -3.229 115.0
-2.271 3.243 -3.407 120.5
-1.483 -1.017 -3.200 123.6
rnd_95776.volume rnd_95787.volume
-34.25 -19.68
-13.84 -23.11
-16.47 -18.28
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.777 2.121 5.526 3.630 3.896 1.358 1.496 3.192 3.400 2.875 1.871
[2,] 3.544 2.509 6.535 4.594 4.816 1.608 1.783 3.955 4.240 4.057 2.618
[3,] 3.955 2.766 7.217 5.439 5.609 1.777 1.971 4.403 4.988 4.721 2.910
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.428 2.525 2.516 3.216 2.917 3.216 3.271 6.432 4.656 6.774 3.070
[2,] 3.212 3.225 3.309 4.020 3.405 4.467 4.442 8.010 5.747 7.956 3.817
[3,] 3.631 3.511 3.686 4.547 3.795 5.197 5.194 9.582 6.545 8.746 4.167
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 8.188 4.536 1.224 4.163 3.527 2.766 3.555 1.234 3.314 2.925 1.526
[2,] 11.157 5.573 1.437 5.350 5.248 3.343 4.635 1.471 4.547 3.432 1.808
[3,] 12.979 6.507 1.581 6.563 6.155 3.908 5.337 1.711 5.566 3.849 2.023
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.707 3.383 3.598 3.428 3.067 3.260 1.043 3.119 0.9415 2.696 2.343
[2,] 4.845 4.379 4.660 3.931 3.874 3.817 1.270 3.544 1.1268 3.206 3.190
[3,] 5.642 5.198 5.373 4.378 4.401 4.385 1.407 3.904 1.2773 3.684 3.693
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.375 1.420 2.424 3.320 4.727 2.376 3.495 3.522 1.543 2.975 2.989
[2,] 3.028 1.665 3.453 3.935 5.718 2.912 4.622 4.140 1.853 4.364 3.824
[3,] 3.302 1.878 4.354 4.297 6.419 3.254 5.620 4.547 2.096 5.266 4.637
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.356 2.657 2.972 0.6989 2.570 0.9643 2.425 2.096 2.624 3.206 1.233
[2,] 3.491 3.768 3.491 0.8597 3.252 1.1414 2.883 2.494 3.856 4.471 1.447
[3,] 4.404 4.660 3.797 0.9893 4.344 1.3012 3.516 2.831 4.398 4.947 1.640
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.752 2.742 2.592 1.243 3.122 2.862 4.255 3.464 5.114 3.849 3.067
[2,] 4.829 3.215 3.823 1.474 3.808 3.975 5.179 4.885 5.743 4.994 4.519
[3,] 5.467 3.604 4.859 1.702 4.214 4.550 5.829 5.511 6.303 5.457 5.362
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.033 2.806 2.195 3.537 1.633 1.964 1.293 2.827 2.357 5.002 5.702
[2,] 1.227 4.136 2.843 4.844 2.005 2.366 1.539 3.572 2.992 6.011 6.613
[3,] 1.379 4.981 3.392 5.581 2.205 2.737 1.704 4.167 3.436 6.887 7.581
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.085 1.142 1.498 1.789 2.160 1.542 0.6599 6.272 9.371 4.097
[2,] 1.524 1.939 2.110 2.147 2.626 1.841 0.7815 7.598 12.812 5.511
[3,] 2.068 2.382 2.389 2.369 3.188 2.060 0.8977 9.052 15.328 6.661
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9]
[1,] 3.527 2.694 7.017 4.61 4.947 1.725 1.9 4.053 4.318
[2,] 677.288 412.034 1073.135 866.33 871.096 264.686 298.5 718.378 779.027
[3,] 540.351 358.158 942.568 895.62 884.885 232.648 258.7 595.541 808.802
[,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 3.65 2.376 3.083 3.206 3.195 4.084 3.705 4.084
[2,] 880.73 563.166 647.241 617.542 661.251 742.089 539.979 953.826
[3,] 742.99 391.194 520.902 427.004 499.617 654.137 516.121 816.993
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 4.154 8.167 5.913 8.601 3.899 10.4 5.76 1.554
[2,] 924.499 1468.923 1036.561 1284.328 697.735 2331.6 996.08 231.620
[3,] 828.098 1618.353 963.167 1117.317 514.399 2040.3 1033.32 202.894
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.287 4.478 3.512 4.515 1.566 4.209 3.715 1.937
[2,] 1034.015 1195.914 578.069 915.009 246.454 957.957 551.936 298.318
[3,] 1169.671 989.582 622.322 814.091 268.886 987.576 536.049 279.640
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 4.707 4.296 4.568 4.353 3.894 4.139 1.324 3.961
[2,] 960.064 855.487 911.325 591.973 728.431 610.961 223.011 517.522
[3,] 889.137 861.328 823.230 592.752 642.561 663.991 186.318 504.237
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.196 3.424 2.975 3.016 1.803 3.078 4.216 6.002
[2,] 190.490 533.459 666.243 578.095 267.835 756.809 649.680 989.862
[3,] 185.082 558.814 572.061 405.039 267.300 816.078 531.133 897.953
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 3.017 4.438 4.472 1.96 3.777 3.796 2.991 3.374
[2,] 517.887 930.927 669.688 315.54 982.443 733.799 792.561 822.126
[3,] 447.033 983.268 578.347 301.22 906.913 806.797 826.317 843.850
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.773 0.8875 3.263 1.224 3.08 2.662 3.332 4.072
[2,] 563.911 154.0609 613.170 187.945 479.55 415.850 869.642 958.515
[3,] 459.673 150.6028 886.204 192.216 619.11 412.472 650.797 651.652
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.565 4.764 3.482 3.291 1.578 3.964 3.634 5.403
[2,] 233.269 935.679 516.386 864.746 243.907 671.017 848.744 908.371
[3,] 237.548 788.102 501.191 922.659 261.528 555.041 681.215 823.328
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 4.399 6.495 4.888 3.895 1.312 3.564 2.787 4.491
[2,] 1059.659 803.521 978.980 1021.066 203.993 934.928 555.891 1018.375
[3,] 785.033 799.668 676.888 888.178 193.280 853.866 569.003 852.925
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.074 2.494 1.642 3.59 2.993 6.352 7.241 1.378
[2,] 357.850 405.889 256.561 671.71 566.898 1025.773 1030.669 328.938
[3,] 282.457 423.625 225.483 660.37 519.884 1034.102 1140.095 430.065
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.45 1.902 2.272 2.743 1.958 0.838 7.965 11.9
[2,] 482.05 457.302 364.938 459.247 309.471 128.827 1319.245 2688.1
[3,] 425.92 344.813 308.344 556.178 284.058 135.917 1513.971 2588.9
[,98]
[1,] 5.203
[2,] 1133.811
[3,] 1151.559
[1] "--- VAR model 2017-10-06 17:01:00 completed"
[1] "Completed training sample: 2017-10-06 17:01:00 - 2017-10-07 01:00:00"
[1] "SpVAR; training sample: 2017-10-06 17:31:00 - 2017-10-07 01:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 17:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.211 1.5352 -10.17 -14.41
-4.163 2.0750 -13.37 -20.19
1.362 -0.6663 -18.14 -10.63
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.47 -0.8255 -0.4156 1.4640
-15.58 2.0437 0.4894 -0.5308
-17.97 0.4279 1.4272 8.9761
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-6.983 0.1591 1.664 -2.0968
3.497 0.4209 -1.492 -7.3003
6.943 -1.4098 3.125 -0.2553
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.013 -2.3039 -1.5794 -0.2163
-3.250 -0.5339 0.1587 -1.3439
3.711 -4.0515 -4.9550 -1.7431
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
1.950 1.938 1.798 14.557
-3.823 3.149 15.103 8.798
-4.816 -8.054 -5.295 8.693
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.4519 -0.7380 -48.102 -23.464
-9.7479 1.3253 -7.171 -5.797
-21.6109 -0.2673 -31.412 -20.497
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.028 -11.71 -20.897 0.08221
1.101 -19.81 -18.558 -0.77804
0.295 -11.39 -5.581 1.34862
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-20.84 -0.9849 -16.21 -9.735
-13.77 -1.1772 -18.35 -6.316
-18.28 -2.0893 -18.43 -3.055
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.787 -20.12 -15.36 -17.51
-2.326 -18.28 -18.03 -14.27
-4.511 -15.93 -12.65 -19.47
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.000 -0.3452 3.108 0.7362
1.032 0.8961 -2.586 3.2899
5.175 -4.8217 0.926 -0.1146
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.7498 0.10136 -7.860 -12.724
-0.5868 0.15622 -9.904 -8.802
0.1952 0.03931 -7.194 -13.593
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.0581 -0.5338 -11.77 -3.882
-2.5613 -2.0119 -13.65 3.079
-0.3515 -1.0290 -12.27 5.573
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.3373 -2.130 -4.152 3.245
0.0311 -1.794 -11.918 -1.632
0.9713 -1.017 -8.746 1.842
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.6598 -1.157 2.828 1.091
0.2852 -5.886 -9.376 -5.403
-3.0015 -11.207 -2.212 -4.550
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.386 5.108 -0.2558 -5.708
-1.338 4.342 0.7305 -5.672
-8.812 -2.359 -0.1215 2.970
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3023 -0.3527 5.557 -3.456
-0.6241 -4.5144 -1.445 2.097
0.5729 5.1700 1.092 -2.887
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.2539 1.0287 -0.4355 4.305
2.1730 -0.3973 -0.6956 -0.678
-0.8256 -0.1073 3.0734 1.756
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.29788 1.6315 1.225 1.14598
-3.71230 -0.9897 -3.584 -0.04986
-0.05226 1.0014 3.696 -3.82909
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-6.958 -10.944 4.511 -4.942
1.212 -2.791 9.201 7.315
7.558 1.706 4.811 4.937
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.150 -2.2598 -4.289 4.011
-6.615 -0.1695 -0.490 -2.689
5.859 0.3753 6.107 2.402
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.308 0.5296 -1.3268 1.75762
-4.082 1.3617 -1.3911 -1.26719
5.846 -1.4413 -0.2355 -0.08923
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.7238 1.761 -1.106 -6.914
-0.8429 1.890 -1.768 1.819
-2.4710 -2.929 3.792 -10.134
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-2.725 0.1579 1.12503 0.0470
0.475 3.2691 0.04238 0.4792
2.599 -1.8604 1.18557 -1.4541
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.456 -1.2296 -2.246 98.98
-5.350 -1.4714 -1.936 108.16
1.179 -0.2542 -2.224 111.24
rnd_95776.volume rnd_95787.volume
-15.43 -19.349
-34.30 -8.271
-17.75 -19.114
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.587 1.970 4.920 3.391 3.762 1.049 1.340 2.805 3.198 2.781 1.769
[2,] 3.369 2.413 6.038 4.364 4.681 1.308 1.636 3.527 3.961 3.884 2.529
[3,] 3.746 2.675 6.638 5.045 5.372 1.459 1.809 3.987 4.510 4.459 2.804
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.184 2.274 2.362 3.021 2.815 2.996 2.921 5.763 4.023 6.577 3.023
[2,] 3.065 2.889 3.163 3.788 3.314 4.064 4.070 7.276 5.016 7.763 3.708
[3,] 3.489 3.161 3.484 4.280 3.690 4.838 4.791 8.740 5.830 8.492 4.132
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 7.751 4.452 1.019 3.798 3.316 2.539 3.454 1.149 3.007 2.674 1.381
[2,] 10.628 5.476 1.186 4.885 4.993 3.119 4.494 1.368 4.256 3.195 1.671
[3,] 12.306 6.348 1.313 5.951 5.852 3.600 5.188 1.550 5.314 3.638 1.891
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.386 3.002 3.321 3.319 2.826 3.055 0.9118 3.013 0.9339 2.330 2.167
[2,] 4.376 3.969 4.320 3.827 3.561 3.550 1.1927 3.410 1.1115 2.914 2.910
[3,] 5.192 4.701 4.939 4.232 4.055 3.993 1.3215 3.734 1.2488 3.433 3.454
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.358 1.343 2.155 3.023 4.265 2.295 3.252 3.409 1.366 2.578 2.579
[2,] 2.925 1.537 3.237 3.693 5.146 2.780 4.331 3.978 1.637 4.001 3.558
[3,] 3.242 1.739 3.934 4.025 5.826 3.132 5.375 4.370 1.896 4.934 4.432
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.284 2.566 2.804 0.6183 2.270 0.932 2.171 1.997 2.406 2.992 1.016
[2,] 3.219 3.552 3.330 0.7468 3.070 1.092 2.667 2.388 3.510 4.147 1.243
[3,] 4.219 4.365 3.616 0.8558 3.907 1.251 3.228 2.677 4.063 4.622 1.402
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 3.769 2.665 2.303 1.168 3.056 2.407 3.974 3.318 4.817 3.705 2.705
[2,] 4.892 3.130 3.521 1.371 3.611 3.646 4.723 4.781 5.638 4.910 4.146
[3,] 5.553 3.503 4.511 1.608 4.030 4.155 5.226 5.518 6.086 5.482 5.042
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9806 2.648 2.036 3.369 1.571 1.789 1.147 2.603 2.225 4.865 5.490
[2,] 1.1698 3.966 2.539 4.570 1.865 2.161 1.405 3.349 2.864 5.874 6.350
[3,] 1.3167 4.886 2.958 5.382 2.063 2.556 1.582 3.806 3.278 6.722 7.326
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.016 0.9885 1.471 1.630 1.981 1.480 0.5828 6.437 8.752 3.843
[2,] 1.415 1.7250 1.921 1.871 2.463 1.752 0.6939 7.717 11.921 5.070
[3,] 1.904 2.0493 2.124 2.065 2.991 1.956 0.7814 9.171 14.381 6.076
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.285 2.501 6.247 4.306 4.778 1.332 1.702 3.562
[2,] 704.146 454.491 1141.634 895.735 908.384 254.485 306.275 697.528
[3,] 534.254 376.864 899.933 825.660 859.441 211.282 251.491 606.228
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 4.06 3.531 2.246 2.773 2.887 2.999 3.837 3.575
[2,] 762.48 884.391 589.462 701.320 581.566 686.387 745.084 569.965
[3,] 703.41 714.493 395.021 543.718 418.593 476.230 649.793 529.484
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.805 3.709 7.318 5.109 8.351 3.838 9.843 5.653
[2,] 895.432 924.354 1448.998 976.869 1345.484 700.450 2371.460 1040.040
[3,] 856.257 824.776 1579.398 969.086 1122.171 594.909 2023.443 1047.287
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.294 4.823 4.211 3.225 4.386 1.459 3.818 3.396
[2,] 197.587 1001.933 1217.751 590.931 937.770 242.262 982.551 570.069
[3,] 183.615 1108.559 995.527 585.946 845.579 237.332 1037.682 567.538
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.754 4.3 3.812 4.217 4.215 3.589 3.879 1.158 3.826
[2,] 306.604 903.9 847.051 901.371 621.372 706.753 589.882 250.792 520.991
[3,] 288.686 911.5 821.596 780.927 589.394 632.434 596.507 185.609 496.232
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 1.186 2.959 2.751 2.994 1.705 2.737 3.839 5.416
[2,] 196.575 570.879 633.615 564.798 244.155 787.606 691.764 939.423
[3,] 185.661 591.679 606.862 455.692 265.262 729.650 522.438 890.888
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.915 4.13 4.328 1.734 3.273 3.275 2.901 3.259
[2,] 511.642 932.71 668.864 294.505 998.171 799.751 740.006 800.810
[3,] 470.528 1038.22 590.260 311.672 941.868 861.888 889.444 827.747
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 3.56 0.7852 2.882 1.183 2.757 2.537 3.056 3.8 1.29
[2,] 585.97 136.6147 674.548 185.734 505.535 426.633 833.411 936.6 233.31
[3,] 460.23 136.3155 787.825 198.774 592.928 394.991 667.540 665.3 211.79
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 4.786 3.384 2.925 1.483 3.881 3.057 5.046 4.213
[2,] 1017.179 535.748 868.611 233.847 627.480 893.326 832.852 1122.788
[3,] 856.841 512.969 919.807 274.291 583.626 649.902 729.776 898.796
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 6.117 4.705 3.435 1.245 3.362 2.585 4.278 1.995
[2,] 955.790 1051.037 1024.932 208.051 963.206 494.911 1007.193 327.602
[3,] 747.638 794.887 935.676 197.084 930.402 495.002 927.511 287.625
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.272 1.457 3.305 2.826 6.178 6.971 1.29 1.255
[2,] 395.587 264.397 687.204 588.093 1073.442 1040.561 321.20 461.107
[3,] 445.007 237.114 590.378 519.708 1066.050 1191.634 415.77 360.823
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.868 2.07 2.515 1.879 0.74 8.173 11.11 4.88
[2,] 403.053 299.64 477.527 306.046 122.87 1388.718 2640.18 1078.58
[3,] 295.192 285.14 553.767 283.217 117.19 1616.314 2623.58 1092.10
[1] "--- VAR model 2017-10-06 17:31:00 completed"
[1] "Completed training sample: 2017-10-06 17:31:00 - 2017-10-07 01:30:00"
[1] "SpVAR; training sample: 2017-10-06 18:01:00 - 2017-10-07 02:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 18:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.535 1.6833 -19.97 -18.071
3.807 1.5384 -13.39 -9.718
3.760 -0.2376 -12.08 -19.117
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-6.591 -0.2983 2.2154 1.941
-14.797 0.6324 0.6279 3.871
-10.375 -1.5402 -0.2622 -2.218
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.8808 2.621 -1.4069 -5.6475
-0.6677 -1.550 2.5170 -3.1072
3.5903 3.871 0.8535 -0.2151
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.5368 -1.1929 -0.05167 0.4081
5.4627 0.5292 -0.02876 -1.0768
-0.7984 -2.2380 -2.45749 -0.3754
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.6417 0.1317 -4.1174 5.3453
-3.1238 -0.6636 2.1509 -0.4237
0.5975 1.4420 -0.7422 6.5545
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-25.31 -0.36818 -29.59 -13.59
-20.35 -0.78191 -31.18 -18.31
-14.09 0.01394 -34.35 -17.86
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.2054 -12.38 -11.57 -1.135
0.6596 -20.33 -18.95 -4.808
0.4656 -13.86 -20.55 -2.693
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-13.18 -0.8796 -10.907 0.07444
-16.11 -0.1770 -15.537 -6.14246
-13.31 -2.0726 -9.805 -3.28756
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
0.2887 -10.58 -9.805 -14.672
-2.7308 -11.76 -14.658 -9.512
-4.0835 -12.32 -12.316 -15.511
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.1685 -1.169 1.9718 0.5964
1.0743 2.615 1.7395 0.4888
3.0734 1.511 0.6066 1.5189
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.0397 0.4098 -2.590 -6.194
1.8101 -0.1875 -4.445 -6.031
-0.4179 -0.1179 -2.935 -5.725
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.777 -1.4194 -10.057 5.631
-6.408 -0.6538 -8.571 6.426
-5.551 -1.8867 -6.686 -1.562
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.3733 -2.6891 -3.0169 3.526
-0.1139 0.1664 -0.6897 3.030
5.1063 -2.1707 -3.3936 -1.443
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.1969 -5.088 -12.20565 -6.367
-2.0360 -3.408 4.31392 -2.357
-1.0022 -1.099 0.01407 -2.664
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
0.007389 1.4639 -0.03753 -1.440
-7.273332 0.1981 -0.14678 -1.360
2.618971 2.5798 -0.04204 -6.199
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.09464 -1.683 2.537 0.2201
-0.42277 3.155 1.864 2.3088
1.02066 -4.093 1.709 -0.8564
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.728 -0.1281 3.050 -1.993
-2.604 1.6504 5.216 -1.651
0.903 0.5886 5.023 -0.860
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.590 -0.09115 5.7296 2.872
-2.334 0.37593 7.1942 6.890
-4.995 -0.40814 -0.5709 5.349
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
1.991 -0.1738 9.791 6.564
8.390 10.6235 7.390 2.831
-1.794 2.6565 -1.078 8.672
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.815 -0.7294 5.06545 -0.4372
4.061 0.2751 8.32369 -0.5052
10.154 0.3992 -0.06968 0.4391
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.1535 2.348 -3.119 -1.1477
11.5140 1.314 -2.120 -0.7408
1.7519 2.491 2.680 1.5405
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.5833 0.02595 -1.128 -9.051
-4.0433 3.81082 -6.113 5.397
0.9201 1.50503 6.674 -4.029
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.03543 2.6286 1.9865 -0.4970
2.12194 -0.7684 -0.3023 1.1742
-1.04827 2.1567 -0.7719 -0.5667
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.492 -1.910 -2.427 118.3
-1.992 1.366 -2.176 112.3
-3.150 1.590 -2.539 110.9
rnd_95776.volume rnd_95787.volume
-8.15164 -11.40
-18.81413 -21.26
-0.02193 -13.05
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.529 1.811 4.508 3.119 3.320 0.9985 1.298 2.735 3.090 2.767 1.629
[2,] 3.150 2.270 5.664 4.113 4.284 1.2031 1.562 3.302 3.788 3.830 2.441
[3,] 3.502 2.532 6.287 4.714 4.879 1.3272 1.711 3.733 4.323 4.277 2.732
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.999 2.101 2.242 2.724 2.723 2.872 2.559 4.247 3.733 6.091 2.696
[2,] 2.925 2.775 2.997 3.378 3.165 3.875 3.820 5.623 4.687 7.221 3.250
[3,] 3.271 3.010 3.349 4.002 3.574 4.687 4.589 6.642 5.647 7.929 3.683
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 6.896 4.276 0.9703 3.361 2.929 2.411 3.189 1.036 2.870 2.603 1.262
[2,] 9.723 5.246 1.1064 4.379 4.611 2.908 4.100 1.261 3.941 3.031 1.526
[3,] 11.359 6.068 1.2254 5.363 5.484 3.377 4.739 1.431 5.035 3.437 1.721
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 3.086 2.728 3.036 2.911 2.653 2.954 0.873 2.620 0.8599 2.074 2.056
[2,] 4.098 3.749 3.885 3.428 3.310 3.439 1.115 2.956 1.0267 2.657 2.733
[3,] 4.850 4.381 4.494 3.843 3.768 3.848 1.255 3.317 1.1814 3.102 3.209
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.187 1.270 1.995 2.787 4.103 2.153 3.124 3.314 1.324 2.501 2.527
[2,] 2.758 1.482 2.987 3.405 4.929 2.602 4.268 3.861 1.586 3.746 3.283
[3,] 3.099 1.644 3.670 3.733 5.640 2.978 5.031 4.228 1.822 4.707 4.070
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.201 2.372 2.556 0.5440 2.069 0.9012 2.008 1.845 2.230 2.891 0.8946
[2,] 3.108 3.302 3.126 0.6518 2.879 1.0574 2.508 2.191 3.174 3.881 1.1049
[3,] 3.842 4.018 3.404 0.7346 3.687 1.1881 2.998 2.532 3.644 4.375 1.2410
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.127 2.466 2.169 1.045 2.694 2.382 3.741 3.106 4.667 3.545 2.354
[2,] 5.077 2.848 3.331 1.253 3.200 3.397 4.461 4.419 5.332 4.600 3.826
[3,] 5.625 3.178 4.111 1.413 3.639 3.901 4.912 5.153 5.740 5.187 4.787
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.902 2.369 1.904 2.970 1.413 1.639 1.102 2.406 2.051 4.617 5.203
[2,] 1.094 3.729 2.321 4.260 1.722 1.967 1.305 3.027 2.702 5.537 6.070
[3,] 1.231 4.552 2.751 4.978 1.935 2.323 1.475 3.422 3.086 6.446 7.104
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9234 0.8299 1.322 1.451 1.864 1.384 0.5594 6.831 8.269 3.498
[2,] 1.2826 1.5126 1.692 1.736 2.332 1.632 0.6677 8.030 11.226 4.470
[3,] 1.7180 1.8156 1.907 1.921 2.815 1.808 0.7437 9.506 13.457 5.324
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.212 2.3 5.724 3.961 4.216 1.268 1.648 3.473
[2,] 672.803 490.4 1228.938 960.984 970.156 240.537 311.401 663.010
[3,] 548.783 402.1 978.012 825.403 837.056 200.762 250.406 624.374
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.924 3.513 2.069 2.538 2.668 2.847 3.459 3.458
[2,] 785.159 948.991 651.722 765.249 649.783 712.814 716.216 578.285
[3,] 746.782 682.722 439.171 524.985 417.966 534.933 768.861 594.764
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.647 3.25 5.393 4.74 7.734 3.424 8.757 5.43
[2,] 932.282 1016.34 1321.062 1016.01 1390.228 650.436 2456.058 1089.26
[3,] 944.997 911.13 1266.852 1128.68 1173.627 620.898 2104.698 1093.15
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.232 4.268 3.719 3.061 4.049 1.315 3.645 3.305
[2,] 190.519 1005.846 1276.464 583.091 923.822 257.565 967.855 556.573
[3,] 188.753 1109.973 1063.661 614.905 851.619 243.027 1122.908 580.364
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.603 3.919 3.465 3.856 3.697 3.369 3.751 1.109
[2,] 307.438 966.191 921.621 868.708 648.393 709.706 630.748 248.693
[3,] 284.652 929.412 811.781 809.629 623.002 645.180 619.186 206.502
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 3.327 1.092 2.634 2.61 2.777 1.613 2.533 3.539 5.21
[2,] 490.661 201.018 594.895 645.18 602.652 273.785 796.851 701.096 979.03
[3,] 538.959 209.488 574.035 603.29 505.776 254.754 764.079 548.953 982.42
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.734 3.967 4.209 1.681 3.176 3.209 2.795 3.012
[2,] 523.821 1041.829 709.657 313.304 999.688 751.147 786.502 823.344
[3,] 518.882 954.488 617.238 321.430 1021.365 861.697 809.198 820.150
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 3.245 0.6908 2.627 1.144 2.55 2.343 2.832 3.671
[2,] 645.179 128.6860 717.671 198.242 538.33 423.276 809.324 927.775
[3,] 482.338 121.4196 825.543 194.147 588.33 454.780 641.430 723.911
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.136 5.241 3.131 2.754 1.327 3.422 3.025 4.75
[2,] 232.417 1059.330 510.820 905.893 247.974 618.834 867.947 871.00
[3,] 202.475 868.219 505.324 863.245 234.174 620.769 687.498 736.85
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81]
[1,] 3.944 5.927 4.502 2.989 1.145 3.008 2.418 3.771
[2,] 1126.659 923.943 1050.415 1080.928 221.905 1032.294 475.503 1094.272
[3,] 949.982 762.064 858.715 1030.930 201.978 935.229 529.371 923.354
[,82] [,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 1.794 2.082 1.399 3.055 2.604 5.863 6.607 1.173
[2,] 352.962 389.931 250.581 658.280 630.409 1095.179 1120.837 319.005
[3,] 316.327 442.660 246.458 572.512 534.575 1183.045 1322.439 409.624
[,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.054 1.679 1.843 2.367 1.758 0.7104 8.675 10.5
[2,] 453.213 378.047 341.466 502.505 309.399 130.6735 1512.840 2721.2
[3,] 359.888 315.759 294.609 565.131 279.011 117.3553 1823.220 2659.3
[,98]
[1,] 4.441
[2,] 997.739
[3,] 1036.532
[1] "--- VAR model 2017-10-06 18:01:00 completed"
[1] "Completed training sample: 2017-10-06 18:01:00 - 2017-10-07 02:00:00"
[1] "SpVAR; training sample: 2017-10-06 18:31:00 - 2017-10-07 02:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 18:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.7759 -0.78369 -7.923 -8.667
0.6506 -2.93839 -10.886 -12.151
-0.3292 -0.02113 -8.069 -8.557
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-12.875 1.7634 -1.1996 -0.07078
-8.033 0.4895 -0.0208 0.45363
-12.666 1.1669 0.8326 -1.30129
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.983 -1.369 -1.337 -5.8512
-2.445 -2.742 -2.172 -0.4576
5.063 2.523 -1.070 -0.5652
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3948 1.360 0.232 1.7912
-3.4549 -3.371 -4.158 -0.1162
0.2551 -2.128 -2.070 -0.2384
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.360 1.4362 -3.3457 7.339
-4.973 0.2897 2.6845 7.018
-1.181 -3.5149 0.7496 4.451
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-15.470 -1.8504 -24.91 -14.019
-5.395 0.5573 -13.53 -4.888
-13.605 -3.2023 -13.89 -9.279
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.0321 -9.140 -9.955 -4.746
-1.8459 -11.824 -10.185 -1.024
0.3105 -9.581 -9.245 -1.500
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.189 -1.490 -8.943 -4.286
-15.080 -1.177 -13.300 -4.626
-7.327 -1.917 -10.278 -5.648
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.8989 -13.39 -14.08 -12.25
-2.9267 -10.57 -10.26 -11.93
-0.7498 -13.42 -15.81 -9.56
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-1.553 -2.1591 -0.7539 0.2263
-2.149 -6.6413 3.9014 0.1230
1.317 0.7061 5.6444 0.2925
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4531 1.11190 -1.460 -5.437
-1.6842 1.16617 -8.221 -3.776
0.5912 -0.07508 -2.615 -8.434
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.610 -1.19542 -10.574 -0.03663
-6.180 -1.81557 -4.834 2.68791
-1.953 -0.06134 -8.913 4.57718
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.9905 -2.803 2.830 6.12177
7.7962 -1.045 -0.766 4.31876
0.9913 -2.466 -3.978 -0.03282
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.2042 -2.2331 -4.9255 -6.0068
0.9344 -0.5762 3.4944 1.7830
0.5048 -1.5898 0.6093 0.4144
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.5971 0.4685 1.1753 -0.3217
-1.3548 1.5622 0.9391 -2.4202
0.3494 -1.1889 0.3117 -3.0798
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3005 1.716 -2.5032 1.548
-0.2785 -3.231 3.7086 1.397
0.7846 -2.525 0.8572 -1.647
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.228 0.004294 9.282 0.3871
2.760 0.476037 8.946 2.5247
1.658 -0.087551 6.037 1.4858
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.271 0.1455 4.5082 3.169
2.256 0.8088 -0.6305 2.169
3.358 -0.2774 4.4051 -2.098
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.4852 -3.188 1.574 1.226
-0.4782 3.927 5.077 7.800
-3.7440 -2.022 1.201 6.465
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.935 0.04157 4.729 -0.8604
4.547 0.73333 2.495 -2.0590
5.906 -0.43022 6.163 1.0839
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.305 -2.4819 -2.5720 -2.795
3.403 -0.8751 -0.7439 -1.466
9.973 0.9715 -1.5042 -1.522
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.48048 -0.9872 8.670 5.092
-4.33845 1.1253 4.083 4.801
0.04843 -3.3922 5.073 -7.253
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.203 -3.305 -0.9196 0.03135
-3.158 2.134 1.8190 2.89668
1.907 3.117 3.1221 0.29274
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.1524 -2.5564 -2.442 110.7
-3.0326 -1.8008 -2.012 116.5
-0.7931 -0.2798 -1.954 104.4
rnd_95776.volume rnd_95787.volume
-4.928 -7.867
-11.340 -6.684
-9.075 -10.505
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.344 1.754 4.111 2.977 3.193 0.9129 1.192 2.377 2.966 2.645 1.552
[2,] 2.914 2.112 5.200 3.869 4.042 1.0877 1.464 2.902 3.519 3.548 2.300
[3,] 3.308 2.364 5.840 4.428 4.585 1.2089 1.614 3.340 4.065 4.042 2.532
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.879 1.910 2.207 2.673 2.597 2.694 2.433 3.798 3.414 5.332 2.418
[2,] 2.768 2.616 2.976 3.312 3.055 3.670 3.743 5.137 4.505 6.524 3.023
[3,] 3.121 2.850 3.324 3.876 3.432 4.444 4.480 6.075 5.460 7.060 3.465
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.913 3.904 0.8107 3.044 2.723 2.021 2.917 0.8808 2.609 2.151 1.129
[2,] 8.940 4.826 0.9735 3.908 4.143 2.426 3.798 1.0867 3.556 2.545 1.384
[3,] 10.630 5.715 1.1031 4.918 4.945 2.886 4.417 1.2372 4.572 2.961 1.528
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.874 2.563 2.684 2.696 2.423 2.567 0.855 2.151 0.787 1.911 1.888
[2,] 3.688 3.520 3.484 3.167 3.080 3.008 1.076 2.492 0.930 2.345 2.496
[3,] 4.372 4.053 4.088 3.540 3.491 3.412 1.197 2.783 1.057 2.771 2.929
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.963 1.154 1.856 2.669 4.016 2.029 2.823 3.002 1.190 2.404 2.353
[2,] 2.546 1.366 2.642 3.266 4.739 2.490 3.982 3.492 1.466 3.549 3.097
[3,] 2.869 1.492 3.238 3.616 5.390 2.852 4.721 3.851 1.688 4.488 3.788
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.029 2.205 2.420 0.5256 1.758 0.8348 1.730 1.804 2.096 2.562 0.8478
[2,] 2.933 3.063 2.919 0.6043 2.519 0.9901 2.234 2.101 2.962 3.512 1.0289
[3,] 3.575 3.692 3.156 0.6965 3.255 1.1177 2.651 2.394 3.380 3.869 1.1539
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.312 2.070 2.012 1.026 2.455 2.155 3.078 2.890 4.215 3.282 2.157
[2,] 5.171 2.433 3.044 1.195 2.874 3.193 3.819 4.267 4.823 4.339 3.575
[3,] 5.555 2.720 3.789 1.325 3.290 3.663 4.288 4.890 5.258 4.992 4.599
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.8299 2.115 1.887 2.618 1.366 1.522 0.9565 2.221 1.911 4.350 4.857
[2,] 1.0125 3.462 2.220 3.865 1.641 1.853 1.1697 2.793 2.457 5.172 5.813
[3,] 1.1358 4.354 2.543 4.746 1.863 2.117 1.3456 3.150 2.848 5.887 6.645
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7831 0.7726 1.208 1.270 1.740 1.250 0.5311 6.779 8.046 3.227
[2,] 1.1673 1.3393 1.590 1.596 2.185 1.490 0.6321 7.993 10.498 4.093
[3,] 1.5402 1.6797 1.798 1.764 2.658 1.672 0.7169 9.448 12.745 4.817
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.976 2.227 5.221 3.78 4.054 1.159 1.514 3.018
[2,] 662.103 449.935 1217.938 945.35 947.967 226.192 325.267 636.571
[3,] 599.149 406.491 1016.230 823.80 827.680 201.749 259.502 632.826
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.766 3.359 1.971 2.386 2.426 2.802 3.394 3.298
[2,] 724.903 904.642 649.116 777.434 683.665 763.528 748.417 615.250
[3,] 777.906 740.359 405.334 551.484 432.364 566.428 769.458 597.664
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.421 3.09 4.823 4.335 6.771 3.071 7.509 4.957
[2,] 952.841 1087.94 1322.618 1124.023 1437.384 693.944 2564.470 1085.130
[3,] 958.848 941.56 1240.501 1180.055 1032.630 647.374 2199.157 1171.146
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 1.029 3.865 3.457 2.567 3.705 1.118 3.313 2.732
[2,] 206.153 937.492 1194.548 512.847 930.009 243.462 924.011 520.276
[3,] 198.388 1142.130 1032.091 598.044 862.403 226.168 1099.244 578.978
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.434 3.649 3.254 3.408 3.424 3.076 3.26 1.086
[2,] 306.432 884.309 923.106 849.607 635.544 727.219 599.85 249.951
[3,] 247.017 897.411 768.295 817.743 604.829 628.523 616.20 200.081
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.732 0.9993 2.427 2.398 2.493 1.465 2.357 3.389
[2,] 480.780 189.5435 519.706 624.609 620.051 279.714 719.279 719.805
[3,] 474.174 192.4762 564.752 586.206 505.911 229.463 715.763 593.949
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 5.1 2.576 3.584 3.812 1.512 3.053 2.987 2.577
[2,] 962.0 552.352 1074.331 682.545 327.007 998.408 770.463 809.734
[3,] 981.8 531.588 970.042 620.781 320.409 1050.705 833.883 781.695
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.801 3.073 0.6674 2.233 1.06 2.196 2.291 2.661
[2,] 812.797 624.342 114.0610 689.655 203.57 541.055 411.862 800.686
[3,] 788.198 458.576 132.4551 788.918 198.34 545.455 439.005 622.613
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.253 1.077 5.476 2.628 2.555 1.303 3.117 2.737
[2,] 918.764 222.921 1091.875 489.321 873.827 234.221 571.380 901.233
[3,] 621.198 199.782 775.934 465.316 862.443 218.297 612.468 686.019
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.909 3.67 5.352 4.168 2.738 1.054 2.685 2.396
[2,] 864.522 1200.84 896.476 1085.198 1090.615 221.819 1048.390 447.488
[3,] 746.250 913.26 800.600 944.504 1106.537 196.897 1009.655 474.575
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 3.325 1.734 1.932 1.215 2.82 2.427 5.523 6.167
[2,] 1087.231 348.026 404.403 257.476 647.41 590.779 1070.556 1221.325
[3,] 1053.486 337.164 391.994 254.366 557.16 550.874 1075.285 1231.256
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.9944 0.9811 1.534 1.612 2.209 1.587 0.6744 8.608
[2,] 331.0758 418.3995 395.271 369.666 505.863 310.103 131.1147 1619.642
[3,] 384.2743 387.7315 321.165 287.275 578.341 290.751 129.3376 1926.710
[,97] [,98]
[1,] 10.22 4.098
[2,] 2579.33 962.864
[3,] 2763.61 971.299
[1] "--- VAR model 2017-10-06 18:31:00 completed"
[1] "Completed training sample: 2017-10-06 18:31:00 - 2017-10-07 02:30:00"
[1] "SpVAR; training sample: 2017-10-06 19:01:00 - 2017-10-07 03:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 19:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3094 2.9816 -5.567 -5.815
0.4727 -0.5276 -10.560 -8.072
-2.4103 0.7991 -8.795 -5.708
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.03 1.02553 0.9205 0.21305
-11.12 0.44913 1.3279 0.53259
-12.07 0.07526 -1.1420 -0.06656
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.6509 -2.510 -0.5901 -5.5386
0.5221 -2.810 1.2776 -2.6713
3.9508 4.931 0.6314 -0.4494
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.8864 -3.9478 5.32050 -0.9362
1.7656 0.5553 2.85683 1.8886
-0.1489 -0.6367 0.08132 1.9693
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.7595 -3.227 4.523 6.400
-1.4800 -2.777 1.638 2.619
-0.8147 2.073 -2.205 2.542
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-11.737 0.6358 -15.42 -5.538
-6.840 0.5207 -27.43 -11.231
-4.512 -2.3284 -18.11 -11.355
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.9591 -7.081 -8.588 -2.645
-1.1745 -5.813 -2.263 -2.377
0.8197 -11.943 -14.391 -2.764
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.956 -0.3472 -8.048 -3.063
-10.064 -1.2507 -7.730 -5.259
-3.639 0.1839 -4.703 -4.825
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-0.7275 -10.186 -11.292 -5.167
-3.1802 -12.483 -9.704 -11.156
-1.0025 -8.604 -13.085 -9.781
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.7815 -4.2985 3.271 0.7134
-0.2665 -0.3142 1.338 -1.3108
-0.5736 -2.7987 2.889 1.1159
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.33472 1.6852 -5.137 -3.424
-0.01215 -0.5514 -4.048 -7.658
-2.73651 0.6399 -5.799 -3.606
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.343 0.1604 -7.527 6.941
-2.179 0.4581 -6.982 3.154
-3.745 -0.5886 -8.169 2.009
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-5.489 -0.5214 -3.0436 3.4055
-1.417 -0.8641 -0.2744 0.6078
-2.025 -0.8567 -4.2205 -2.4123
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.7268 2.297 4.301 -2.117
-0.6202 -5.968 -1.519 2.191
-0.3077 4.200 -3.564 -3.966
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-2.855 1.711 -0.1881 -3.3385
4.610 -1.887 -0.1637 -1.2780
-2.923 0.427 1.4346 0.2236
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.1159 -0.7020 -1.5501 -1.050
0.7706 -1.6502 2.3837 -1.263
0.5907 0.9843 -0.2745 1.851
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-2.78590 -1.0100 7.343 4.1893
-0.04643 -1.2173 3.877 4.0645
2.85024 0.4025 4.594 0.5553
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
0.3834 0.8575 0.9094 -3.8480
-0.3454 0.6001 -3.5162 0.5886
2.0603 0.5900 0.8319 -4.0111
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.010 -0.4944 3.0098 3.201
-2.379 -1.1449 0.6562 1.033
-1.614 0.6415 6.5616 8.603
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.283 0.1881 -1.786 0.02767
2.552 -0.3479 1.403 -0.62386
2.514 -1.1000 2.548 0.67853
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
1.210 1.711510 -0.6392 -1.5445
-2.065 0.099065 -0.9102 -0.5392
1.776 0.002472 1.3872 -0.6171
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.2139 2.4851 2.014 -4.252
-2.0385 0.9419 5.293 9.729
0.9852 0.4730 1.882 -5.052
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.4437 1.052 0.1640 -1.5617
0.2151 -1.323 -1.8540 -1.8825
-0.8632 -1.238 -0.2393 0.5472
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.2995 0.35892 -0.8597 103.79
0.1661 -0.85784 -1.2203 98.48
1.0536 -0.05821 -1.7602 93.19
rnd_95776.volume rnd_95787.volume
-4.363 -7.436
-4.049 -7.981
-20.397 -14.122
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.050 1.655 3.893 2.656 2.973 0.8699 1.041 2.170 2.829 2.603 1.496
[2,] 2.634 1.927 4.840 3.557 3.707 1.0409 1.297 2.606 3.305 3.425 2.159
[3,] 3.018 2.178 5.358 3.970 4.215 1.1627 1.418 3.028 3.783 3.843 2.406
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.807 1.782 1.981 2.544 2.393 2.575 2.364 3.734 3.310 5.083 2.309
[2,] 2.557 2.353 2.638 3.167 2.983 3.520 3.476 4.992 4.426 6.153 2.826
[3,] 2.920 2.563 3.018 3.697 3.348 4.210 4.187 5.854 5.267 6.639 3.321
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 5.334 3.527 0.6553 2.800 2.574 1.721 2.732 0.7362 2.362 1.892 1.044
[2,] 8.048 4.435 0.8002 3.661 3.829 2.055 3.589 0.9081 3.241 2.264 1.259
[3,] 9.739 5.307 0.9564 4.513 4.655 2.412 4.112 1.0408 4.173 2.646 1.402
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.599 2.456 2.499 2.457 2.177 2.275 0.8106 1.868 0.7502 1.657 1.699
[2,] 3.395 3.237 3.212 2.907 2.713 2.714 1.0244 2.233 0.8815 2.047 2.170
[3,] 4.091 3.752 3.756 3.264 3.149 3.058 1.1403 2.523 0.9772 2.376 2.612
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.790 0.987 1.717 2.309 3.452 1.884 2.604 2.821 1.081 2.244 2.072
[2,] 2.270 1.189 2.338 2.929 4.042 2.238 3.678 3.278 1.370 3.354 2.826
[3,] 2.545 1.319 2.816 3.321 4.698 2.616 4.329 3.669 1.551 4.215 3.478
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.695 1.933 2.234 0.4766 1.554 0.8128 1.672 1.718 1.898 2.414 0.7744
[2,] 2.676 2.803 2.773 0.5643 2.242 0.9570 2.154 1.990 2.815 3.320 0.9474
[3,] 3.301 3.401 3.023 0.6311 3.002 1.0703 2.569 2.267 3.207 3.647 1.0711
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.308 1.963 1.879 0.9609 2.303 1.951 2.780 2.532 3.966 2.956 1.964
[2,] 5.139 2.321 2.941 1.1300 2.678 2.924 3.498 3.815 4.579 3.999 3.342
[3,] 5.574 2.564 3.599 1.2569 3.041 3.328 4.002 4.427 4.953 4.633 4.348
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.7376 1.922 1.785 2.329 1.204 1.342 0.8509 2.022 1.765 3.836 4.706
[2,] 0.9018 3.220 2.116 3.485 1.496 1.710 1.0401 2.572 2.241 4.664 5.457
[3,] 1.0250 4.041 2.393 4.398 1.754 1.942 1.1835 2.932 2.604 5.295 6.079
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.7007 0.726 1.166 1.233 1.648 1.169 0.4942 6.375 7.146 2.979
[2,] 1.0908 1.298 1.549 1.497 2.107 1.374 0.5915 7.377 9.572 3.749
[3,] 1.4743 1.582 1.757 1.685 2.488 1.519 0.6795 8.673 11.501 4.489
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.604 2.101 4.943 3.372 3.776 1.105 1.322 2.755
[2,] 668.199 398.684 1162.059 956.032 894.295 230.938 312.756 582.843
[3,] 595.604 410.430 928.998 712.698 810.872 209.301 231.482 622.977
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.593 3.305 1.899 2.295 2.262 2.515 3.231 3.039
[2,] 690.395 899.302 628.964 730.797 621.245 703.897 761.695 719.872
[3,] 743.339 703.961 429.311 570.168 410.447 592.707 770.714 613.803
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 3.27 3.002 4.742 4.203 6.454 2.932 6.773 4.479
[2,] 969.62 1029.903 1338.249 1187.268 1400.777 658.353 2435.195 1086.305
[3,] 933.44 942.910 1235.553 1153.885 1008.204 704.695 2216.009 1178.025
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.8322 3.556 3.269 2.186 3.469 0.9348 2.999 2.402
[2,] 185.5378 952.875 1145.290 453.780 940.753 214.8436 896.873 502.300
[3,] 211.6252 1066.502 1069.887 510.180 810.694 205.4405 1061.990 554.045
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.326 3.301 3.119 3.174 3.12 2.765 2.889 1.029
[2,] 284.559 882.260 852.227 815.167 627.49 654.273 597.575 253.061
[3,] 248.772 922.186 766.422 787.106 600.11 646.007 569.290 202.376
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 2.372 0.9526 2.104 2.158 2.274 1.253 2.18 2.932
[2,] 494.956 187.0277 485.472 545.413 563.952 267.613 641.20 728.124
[3,] 474.420 170.4167 487.819 587.191 464.669 231.506 634.57 631.981
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 4.384 2.393 3.307 3.582 1.373 2.85 2.631 2.152
[2,] 849.123 488.005 1049.597 674.366 339.544 1007.09 776.313 836.988
[3,] 967.653 546.904 921.997 665.835 294.529 1031.76 819.534 780.556
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.455 2.836 0.6052 1.973 1.032 2.123 2.182 2.411
[2,] 819.904 663.963 122.1194 652.786 204.135 548.564 405.604 839.573
[3,] 778.681 486.309 114.2035 806.829 193.646 565.438 438.762 621.327
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 3.066 0.9833 5.471 2.493 2.385 1.22 2.924 2.477
[2,] 921.032 220.5644 1131.622 500.488 914.105 240.29 552.222 880.010
[3,] 609.758 201.8335 872.524 440.443 838.590 222.37 581.904 642.372
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 3.53 3.215 5.036 3.753 2.494 0.9367 2.441 2.267
[2,] 857.52 1153.271 925.188 1088.509 1092.763 209.5965 1043.470 459.344
[3,] 785.90 907.099 762.262 945.080 1123.409 196.8948 986.497 451.244
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.957 1.528 1.704 1.08 2.568 2.242 4.871 5.976
[2,] 1047.614 358.640 428.283 241.70 642.390 557.448 1071.954 1116.536
[3,] 1084.008 370.203 371.831 228.15 568.358 536.335 1013.097 1082.596
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.8898 0.9219 1.481 1.566 2.093 1.484 0.6276 8.096
[2,] 337.7562 434.5997 411.887 342.772 530.185 292.064 131.3372 1499.303
[3,] 400.7485 365.4832 335.026 312.229 534.860 261.806 135.0942 1843.184
[,97] [,98]
[1,] 9.074 3.783
[2,] 2573.185 919.534
[3,] 2576.480 997.850
[1] "--- VAR model 2017-10-06 19:01:00 completed"
[1] "Completed training sample: 2017-10-06 19:01:00 - 2017-10-07 03:00:00"
[1] "SpVAR; training sample: 2017-10-06 19:31:00 - 2017-10-07 03:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 19:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.3676 1.1630 -7.841 -6.523
-0.1848 0.1064 -5.821 -8.279
1.8737 0.1209 -7.776 -3.705
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-10.169 -0.33895 0.5464 2.5644
-7.553 -0.01327 0.9673 -0.5641
-4.741 -0.01727 -0.2307 3.5989
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.0151 -0.13371 3.436 -3.694
1.6785 0.84543 1.436 -2.976
0.2506 0.02068 2.656 -3.112
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5640 0.6707 4.464 -9.141
-0.6811 -3.2425 -2.067 1.443
0.2761 -1.8478 -2.405 -1.296
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-9.940 -3.497 -1.6168 5.2358
-2.121 -2.464 -6.1871 -0.2288
-3.375 -2.337 0.5953 3.5994
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-0.7363 2.09757 -19.901 -11.801
-6.6953 0.09725 -9.953 -5.570
-13.2606 0.75932 -15.663 -8.924
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.31576 -10.122 -11.778 1.535
-0.47379 -7.809 -9.394 2.091
0.09752 -8.267 -6.257 1.101
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.739 0.3528 -7.394 -3.770
-4.055 0.1744 -6.290 -2.746
-5.914 -0.8853 -5.801 -3.985
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.8451 -7.312 -10.034 -5.402
-0.5999 -10.141 -6.928 -8.275
-1.9789 -5.334 -4.675 -8.653
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.6971 -2.33353 0.850009 0.1211
1.5872 -1.35454 0.415383 0.8072
0.5039 0.00879 -0.006608 1.6730
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.205 0.9810 -2.995 -4.700
1.756 -0.5363 -1.048 -1.591
1.454 0.7316 -3.224 -4.270
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.972 0.4707 -3.622 -0.9756
-3.308 -0.5285 -5.333 -0.4649
-4.052 -2.0791 -3.145 2.1615
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.077 -2.470 -5.150 -0.4303
4.880 -2.411 -4.391 2.4746
2.271 1.578 1.209 3.1046
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.8349 -0.1219 2.540 -1.4315
-1.2394 -3.0376 -6.706 -0.8056
-0.8593 0.1989 -3.099 -4.2285
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-3.734 -4.6932 0.03294 -2.6501
-1.399 0.7936 0.31495 -4.0181
-6.550 1.2994 0.47030 0.4175
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.06845 -2.1477 0.5866 1.066
-0.43495 -3.7776 -1.7719 -5.232
0.25261 -0.2823 -1.3504 -3.705
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.4159 -0.7230 2.970 0.80461
-2.7211 0.2719 -2.876 -0.05064
-4.5633 0.6629 -1.643 -1.17177
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.020 0.7013 -0.9612 2.3999
-2.287 0.7123 -0.8637 -0.5071
-4.214 0.2290 1.6802 -0.9451
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-2.6523 0.3818 4.9440 4.571
-1.0485 -3.7272 0.9282 -1.206
-0.6154 -0.1924 7.8600 1.740
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.2202 0.27830 -1.454 -0.8561
2.3505 -0.05398 2.996 0.4715
-0.9725 0.56284 -2.097 1.3910
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.5554 1.6058 0.8315 -0.09442
3.8667 -0.5914 1.2027 -0.17695
-0.3983 -1.3180 1.1204 0.61967
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.778 0.2549 0.7788 -0.5924
1.856 0.5284 -0.5152 0.9476
-0.939 -1.2749 0.8521 0.4427
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7683 -0.0981 -1.681 -1.3279
-0.1172 -1.6159 -1.144 -1.3916
-0.8881 -1.3239 -0.770 0.7335
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.0805 0.9300 -1.025 115.0
0.4019 0.8278 -1.845 102.3
1.3364 0.5130 -2.081 113.6
rnd_95776.volume rnd_95787.volume
-7.572 -9.949
-10.443 -10.114
-4.269 -8.057
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.859 1.507 3.210 2.394 2.749 0.7950 0.9809 1.978 2.598 2.378 1.420
[2,] 2.260 1.739 4.075 3.172 3.353 0.9644 1.1871 2.425 3.163 3.231 2.006
[3,] 2.635 2.032 4.608 3.647 3.839 1.0993 1.3055 2.843 3.567 3.629 2.297
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.653 1.531 1.833 2.446 2.182 2.343 2.183 3.643 3.099 4.504 2.013
[2,] 2.407 2.105 2.384 3.066 2.679 3.233 3.275 4.720 4.175 5.511 2.528
[3,] 2.792 2.365 2.751 3.544 3.003 3.867 3.854 5.469 4.891 6.051 3.029
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 4.637 2.990 0.5475 2.555 2.356 1.514 2.452 0.6225 2.186 1.385 0.8793
[2,] 6.996 3.846 0.6829 3.306 3.484 1.807 3.177 0.7693 2.902 1.745 1.0952
[3,] 8.476 4.627 0.7912 4.066 4.182 2.148 3.727 0.8723 3.844 2.042 1.2332
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.325 2.192 2.145 2.149 1.848 2.107 0.7501 1.715 0.6728 1.470 1.429
[2,] 3.028 2.900 2.759 2.554 2.469 2.510 0.8934 2.037 0.8061 1.823 1.830
[3,] 3.655 3.386 3.226 2.840 2.843 2.769 1.0025 2.305 0.8927 2.087 2.298
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.660 0.9134 1.486 2.082 3.106 1.848 2.466 2.586 0.9775 2.017 1.888
[2,] 2.120 1.1023 2.085 2.685 3.678 2.166 3.443 2.973 1.2506 2.990 2.580
[3,] 2.413 1.2314 2.526 3.078 4.340 2.469 4.046 3.346 1.4426 3.759 3.184
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.622 1.697 2.058 0.4382 1.350 0.7401 1.550 1.618 1.795 2.188 0.7283
[2,] 2.533 2.483 2.599 0.5207 2.018 0.8721 2.053 1.870 2.598 2.974 0.8845
[3,] 3.133 3.107 2.868 0.5830 2.756 0.9792 2.398 2.130 2.964 3.290 0.9913
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.322 1.823 1.614 0.881 2.070 1.768 2.664 2.257 3.697 2.588 1.645
[2,] 5.129 2.170 2.647 1.067 2.341 2.707 3.380 3.379 4.324 3.727 2.988
[3,] 5.566 2.373 3.228 1.186 2.711 3.062 3.779 3.940 4.774 4.369 3.889
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6660 1.773 1.568 2.073 1.112 1.278 0.7485 1.817 1.592 3.533 4.407
[2,] 0.8242 2.720 1.833 3.187 1.393 1.617 0.9284 2.322 2.039 4.306 5.067
[3,] 0.9284 3.618 2.077 3.950 1.623 1.814 1.0421 2.708 2.402 4.916 5.668
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.6018 0.6656 1.084 1.064 1.618 1.012 0.4777 6.432 6.275 2.793
[2,] 1.0044 1.1961 1.374 1.265 2.016 1.222 0.5697 7.540 8.748 3.435
[3,] 1.3716 1.4158 1.531 1.458 2.358 1.343 0.6463 8.714 10.632 4.045
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.361 1.914 4.076 3.04 3.491 1.01 1.246 2.512
[2,] 590.463 397.847 1153.069 955.83 881.956 250.76 307.135 643.844
[3,] 622.590 482.822 987.999 826.95 858.360 242.40 249.593 682.342
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.299 3.02 1.803 2.099 1.944 2.328 3.106 2.77
[2,] 828.691 1004.58 651.014 804.062 663.811 699.603 849.278 714.15
[3,] 756.845 758.77 514.028 649.466 495.148 630.967 816.713 622.82
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.975 2.772 4.626 3.935 5.719 2.556 5.888
[2,] 1023.008 1121.352 1378.551 1285.241 1458.634 702.332 2406.025
[3,] 974.546 933.736 1269.175 1170.266 1147.882 766.761 2198.282
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 3.797 0.6953 3.245 2.992 1.922 3.113 0.7905 2.776
[2,] 1110.548 187.5060 963.894 1178.670 453.384 928.205 207.6310 876.555
[3,] 1181.719 183.4590 1086.938 1062.776 533.394 895.170 188.8564 1158.209
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.759 1.117 2.952 2.784 2.724 2.729 2.347 2.676
[2,] 487.489 299.887 891.542 871.962 797.021 634.027 752.271 626.911
[3,] 487.348 260.339 939.643 802.966 767.955 570.133 646.996 536.271
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.9525 2.178 0.8543 1.867 1.814 2.108 1.16 1.887
[2,] 222.9572 504.856 203.9261 495.362 525.374 605.770 283.45 671.872
[3,] 208.8528 494.856 176.2748 466.226 638.588 529.195 252.08 654.784
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.644 3.944 2.347 3.131 3.284 1.241 2.561 2.397
[2,] 779.156 905.341 518.913 1103.830 673.941 358.351 1014.028 807.761
[3,] 690.732 1057.888 544.038 976.003 704.980 330.275 1046.329 857.344
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 2.06 2.155 2.614 0.5565 1.715 0.9398 1.968 2.055
[2,] 893.38 832.508 728.884 129.1578 688.843 211.9476 618.170 430.824
[3,] 846.96 857.638 557.165 120.4990 862.027 204.5596 569.533 468.485
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 2.279 2.779 0.9248 5.488 2.315 2.05 1.119 2.629
[2,] 862.876 925.263 230.5643 1268.407 540.103 963.43 276.144 502.082
[3,] 655.179 645.773 205.5473 992.701 441.378 848.99 238.055 628.473
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 2.245 3.383 2.866 4.695 3.286 2.089 0.8457 2.252
[2,] 941.537 955.541 1155.484 1029.982 1232.040 1145.758 223.0462 947.048
[3,] 657.409 775.965 930.467 929.832 1046.877 1143.762 196.2368 1095.882
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.991 2.632 1.412 1.623 0.9505 2.308 2.022 4.487
[2,] 436.585 1111.959 385.308 455.023 252.2819 664.079 585.031 1130.310
[3,] 448.491 1071.966 382.662 377.292 217.3818 639.780 583.469 1089.809
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 5.596 0.7643 0.8452 1.377 1.35 2.055 1.285 0.6066
[2,] 1148.506 369.3655 456.4894 387.810 314.81 552.536 314.800 142.5348
[3,] 1166.896 429.0124 347.9115 309.963 333.23 561.138 256.063 140.2627
[,96] [,97] [,98]
[1,] 8.167 7.968 3.546
[2,] 1808.008 2799.762 918.628
[3,] 2006.636 2775.485 981.207
[1] "--- VAR model 2017-10-06 19:31:00 completed"
[1] "Completed training sample: 2017-10-06 19:31:00 - 2017-10-07 03:30:00"
[1] "SpVAR; training sample: 2017-10-06 20:01:00 - 2017-10-07 04:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 20:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-2.232 1.8565 -2.444 -6.673
-1.560 0.1228 -3.945 -4.291
-1.229 -0.5746 -1.150 -6.095
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-7.387 0.8562 0.4947 0.3216
-8.788 -0.2015 1.1466 0.5041
-5.799 -0.7819 0.6701 1.1995
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.6300 5.3475 3.532 -2.1353
0.6504 0.6743 2.551 0.5575
2.1997 1.5790 1.552 -0.7010
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.4319 -2.281 -1.146 -1.33587
-0.6825 1.480 3.772 -1.05707
1.5842 -1.562 -2.056 -0.03788
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.119 -2.3890 5.700 6.2695
-0.105 -0.7571 -5.707 -0.4373
1.035 3.9277 -2.063 1.1947
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
0.5221 0.857 -11.475 -8.141
-9.3113 2.187 -7.047 -5.445
0.3286 2.506 -10.032 -3.861
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.4103 -6.743 -5.349 0.006832
0.9261 -6.281 -4.712 0.838052
0.6014 -6.732 -7.468 1.187616
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.592 0.55335 -6.042 -1.839
-3.666 -0.18700 -4.798 -3.336
-5.780 -0.03841 -6.788 -3.236
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.2274 -8.574 -8.117 -3.249
-0.3082 -10.937 -5.262 -5.802
0.4333 -5.824 -7.109 -5.999
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.08128 -1.7880 5.496 -0.1804
-3.05816 -0.6763 2.420 -0.7335
-2.64898 -3.6483 4.214 -0.3144
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.161 0.3840 0.4148 -1.378
1.823 -0.1546 -0.9598 -0.551
1.662 0.2977 -2.5191 -4.659
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.4013 -0.6405 -4.521 3.9270
-3.8806 0.1047 -1.537 -0.5104
-4.0521 -1.9625 -4.075 5.9668
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.7104 1.3534 -0.9338 -0.5813
0.8109 -0.7683 5.0209 0.4821
4.2846 0.0760 -2.7342 2.2428
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.8665 -0.8063 -1.926 -1.4268
-0.1832 -1.3581 -1.384 0.3445
-0.2032 5.1377 1.890 -1.0932
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.0092 0.4044 -0.2691 -1.0224
-0.5354 1.6314 -0.3577 -2.4698
-1.3766 0.5950 -0.1447 0.8593
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.2076 -0.4449 0.06519 2.5769
0.9201 -0.5722 0.16470 -1.3461
0.2820 0.5238 2.23754 0.6416
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.271 1.1156 4.428 -0.3878
-1.476 0.6491 7.636 0.4376
-1.234 0.1725 5.526 3.1164
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.8669 0.5485 -2.2389 -1.2971
1.1583 1.1500 -1.9202 0.2414
0.3593 0.3736 -0.2454 0.4182
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.12893 -4.8577 8.662 1.3141
-2.53778 -5.5227 2.366 1.7915
-0.01595 -0.3673 3.397 -0.7972
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.066 0.9210 1.7306 0.30363
3.718 1.1758 -0.2764 0.02591
-3.844 0.8916 0.9949 1.21385
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.2172 1.2681 -0.5302 -1.0044
0.2157 0.5303 0.3341 0.6316
2.4219 -1.2593 2.9103 0.4832
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.734 0.8494 -2.1661 3.1734
-2.448 1.7076 -0.3921 -0.9683
-2.353 -0.7972 1.5056 -3.4375
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3201 0.3291 1.77802 2.2650
0.6741 0.6976 1.08088 0.6204
0.9877 0.9642 -0.02695 1.0794
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.3005 -0.3075 -1.277 120.5
-2.0121 -0.7975 -1.686 108.5
0.5122 0.2593 -1.537 117.6
rnd_95776.volume rnd_95787.volume
2.169 -5.893
11.371 -7.722
-3.565 -6.020
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.700 1.390 2.898 2.235 2.584 0.7463 0.9064 1.880 2.540 2.272 1.406
[2,] 2.105 1.632 3.612 2.929 3.115 0.8918 1.1292 2.248 3.037 3.118 1.957
[3,] 2.486 1.894 4.069 3.410 3.586 1.0086 1.2464 2.612 3.426 3.476 2.185
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.506 1.498 1.718 2.355 1.940 2.284 2.007 3.197 2.776 4.127 2.059
[2,] 2.278 1.953 2.264 2.977 2.327 3.057 3.059 4.330 3.727 5.111 2.529
[3,] 2.597 2.203 2.644 3.472 2.636 3.736 3.527 5.148 4.446 5.560 2.926
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 3.943 2.712 0.4317 2.226 2.089 1.039 2.223 0.5356 1.728 1.210 0.7155
[2,] 6.052 3.392 0.5545 2.823 3.039 1.376 2.936 0.6708 2.434 1.492 0.9225
[3,] 7.407 3.998 0.6527 3.549 3.635 1.645 3.413 0.7731 3.192 1.725 1.0393
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.029 1.873 1.898 1.906 1.549 1.834 0.6421 1.446 0.5833 1.216 1.281
[2,] 2.685 2.581 2.552 2.259 2.102 2.263 0.7500 1.812 0.6859 1.523 1.674
[3,] 3.254 3.157 2.953 2.563 2.484 2.549 0.8473 2.097 0.7889 1.793 2.004
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.449 0.8136 1.324 1.931 2.862 1.745 2.305 2.449 0.855 1.811 1.736
[2,] 1.860 0.9963 1.848 2.486 3.404 2.044 3.178 2.831 1.134 2.796 2.331
[3,] 2.164 1.1471 2.269 2.883 4.039 2.314 3.799 3.201 1.315 3.434 2.865
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.438 1.526 1.890 0.3937 1.290 0.6738 1.459 1.468 1.507 2.084 0.6467
[2,] 2.177 2.267 2.307 0.4685 1.896 0.8043 1.820 1.703 2.271 2.772 0.7709
[3,] 2.707 2.825 2.592 0.5168 2.544 0.8997 2.179 1.935 2.617 3.043 0.8576
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 4.117 1.595 1.489 0.7967 1.889 1.572 2.326 1.925 3.197 2.277 1.403
[2,] 5.000 1.887 2.463 0.9401 2.207 2.443 3.014 2.955 3.896 3.475 2.699
[3,] 5.450 2.091 2.953 1.0476 2.566 2.786 3.329 3.476 4.330 4.098 3.646
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.6302 1.596 1.487 1.913 1.070 1.099 0.6652 1.602 1.454 3.165 4.029
[2,] 0.7582 2.421 1.734 2.849 1.306 1.454 0.7874 2.084 1.867 3.845 4.765
[3,] 0.8528 3.317 1.944 3.631 1.509 1.667 0.8896 2.450 2.210 4.373 5.354
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5751 0.6005 0.9828 1.026 1.513 0.8727 0.4274 6.345 5.838 2.234
[2,] 0.9434 1.1297 1.2603 1.208 1.884 1.0697 0.5110 7.351 8.255 2.849
[3,] 1.3119 1.3420 1.4309 1.363 2.217 1.2037 0.5832 8.635 10.067 3.475
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.158 1.765 3.68 2.838 3.281 0.9476 1.151 2.387
[2,] 766.285 527.409 1329.67 1167.975 1072.642 301.1798 415.371 760.897
[3,] 816.021 592.795 1156.39 1077.453 1096.134 290.5930 325.581 819.876
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 3.225 2.885 1.785 1.913 1.903 2.182 2.991 2.463
[2,] 1027.367 1317.721 839.511 1054.586 773.082 909.430 1122.886 792.930
[3,] 977.858 947.897 600.102 768.982 628.783 842.521 1102.658 764.654
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.9 2.548 4.059 3.525 5.24 2.614 5.007 3.443
[2,] 1254.0 1423.927 1802.155 1534.291 1860.54 906.222 2831.883 1257.011
[3,] 1324.5 1083.186 1716.742 1494.689 1349.53 908.079 2634.409 1305.111
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.5482 2.827 2.653 1.32 2.822 0.6801 2.195 1.536
[2,] 214.7365 1070.864 1361.314 556.37 1183.419 249.1405 1057.189 538.557
[3,] 212.3008 1326.592 1229.884 555.55 1073.378 237.1064 1274.139 534.212
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.9085 2.576 2.379 2.41 2.42 1.968 2.328 0.8154
[2,] 359.2091 1085.141 1094.763 1052.77 747.57 876.413 817.905 239.0513
[3,] 295.2643 1133.899 1121.995 916.71 747.19 816.182 724.139 243.1073
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.836 0.7407 1.544 1.626 1.84 1.033 1.681 2.453
[2,] 673.581 222.5813 566.056 664.814 719.85 354.703 795.523 965.950
[3,] 650.675 240.4466 583.911 680.085 681.51 350.689 812.095 900.124
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.634 2.216 2.926 3.11 1.086 2.299 2.204 1.826
[2,] 1137.061 656.587 1350.141 876.18 459.188 1314.375 960.004 1007.901
[3,] 1340.933 669.301 1283.752 921.55 410.798 1229.754 1027.049 993.005
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.937 2.4 0.4999 1.639 0.8556 1.853 1.864 1.913
[2,] 1034.561 816.1 156.6455 856.557 270.9677 671.110 531.694 1048.482
[3,] 1040.067 729.3 134.6148 1046.991 248.6760 739.527 566.633 802.114
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.647 0.8212 5.228 2.025 1.891 1.012 2.398 1.997
[2,] 1127.524 258.8961 1750.633 622.075 1209.893 307.842 704.037 1153.804
[3,] 773.841 231.7422 1336.694 555.943 1005.527 285.175 807.190 825.160
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 2.954 2.444 4.059 2.891 1.782 0.8002 2.027
[2,] 1182.175 1382.805 1373.636 1619.315 1422.130 260.0341 1122.687
[3,] 872.595 1129.769 1165.413 1340.160 1511.912 240.9196 1399.148
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.888 2.429 1.358 1.395 0.8447 2.035 1.846 4.019
[2,] 550.765 1302.776 462.411 587.287 259.8706 821.810 722.445 1347.327
[3,] 542.035 1388.224 466.138 503.326 255.4782 795.448 729.957 1284.192
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 5.116 0.7302 0.7626 1.248 1.302 1.921 1.108 0.5427
[2,] 1569.122 461.3516 590.2187 486.677 393.651 693.034 381.550 172.8083
[3,] 1506.700 562.3855 446.9013 418.030 389.605 720.291 340.495 173.4576
[,96] [,97] [,98]
[1,] 8.057 7.414 2.837
[2,] 2290.082 3599.681 1090.733
[3,] 2794.001 3554.660 1227.061
[1] "--- VAR model 2017-10-06 20:01:00 completed"
[1] "Completed training sample: 2017-10-06 20:01:00 - 2017-10-07 04:00:00"
[1] "SpVAR; training sample: 2017-10-06 20:31:00 - 2017-10-07 04:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 20:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7427 1.008 -12.048 -4.223
-0.8417 1.418 -9.356 -10.035
1.0272 2.169 -8.145 -8.025
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-9.167 -0.5500 2.2329 -0.925
-5.478 -0.7268 1.2151 1.217
-6.004 0.5548 0.0635 -2.651
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.2189 2.6546 3.629 -0.8958
-0.8215 -0.5895 2.323 -2.6410
-4.4009 -1.8173 0.736 -3.3058
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.9786 -1.9869 0.6627 -2.724
2.1076 -2.7731 -3.9098 2.004
-0.8067 -0.6922 -2.7807 3.656
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.138 -2.91631 -0.6292 3.385
-1.459 -2.25250 0.7198 4.146
2.557 -0.07294 1.3641 2.620
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.867 2.9689 -16.66 -7.588
-6.499 0.7324 -15.89 -10.037
-8.744 1.2882 -15.27 -10.503
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.02222 -6.372 -7.535 -0.94849
0.24111 -12.924 -10.706 0.02387
-0.32380 -10.316 -10.257 -1.00394
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-6.930 0.32189 -9.223 -2.068
-7.207 0.02061 -6.024 -3.174
-10.271 -0.94927 -8.181 -2.314
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.1507 -11.371 -6.600 -7.680
-0.6804 -5.794 -8.963 -6.810
-1.6461 -6.452 -6.074 -6.705
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.1513 -1.5501 0.4508 -0.8454
-0.5418 -1.6564 1.3189 -0.1285
1.4694 0.5391 1.6807 0.6016
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.1997 0.2550 -5.252 -3.199
0.6278 -0.3763 -3.745 -6.610
0.6840 0.2648 -3.544 -3.353
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.2287 -0.9576 -3.163 3.2715
0.3181 -0.2964 -1.351 0.4723
-1.5396 -0.8615 -4.314 1.9527
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.6273 0.2053 -4.96093 0.6512
-1.0187 -1.5637 -0.52355 2.1518
2.6560 0.3097 -0.01783 2.7323
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.71365 -1.963 0.3486 -1.258
0.03550 -1.551 -4.0543 -1.372
0.07704 1.143 1.5136 -2.166
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.414 -0.3219 -0.10599 -0.4137
0.069 -1.4661 0.01903 -1.5364
-3.182 0.6400 -0.02915 -0.8510
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.3571 -0.3448 1.2177 -1.298
-0.1702 -0.4663 0.4944 -1.493
0.6921 -0.1309 0.2519 1.095
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-1.97271 -0.4483 2.4298 0.2474
-0.07548 0.5566 -0.2774 2.5168
-0.17548 -0.1249 -0.4465 -1.2917
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2843 0.92935 -1.4985 -0.8821
0.3570 0.10110 1.7102 -1.4894
-3.7360 -0.09111 0.4527 1.9351
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.01558 0.3498 -5.7154 4.505
-1.08767 -2.0539 0.4167 -3.044
2.89259 2.7590 3.8045 -2.136
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
6.5069 -0.3384 1.600 -0.3927
-4.8294 0.6954 4.034 -0.6891
0.4048 0.2706 -1.967 0.2933
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
0.05002 -0.9730 -1.4199 0.2586
4.32324 -1.2655 -0.8270 0.1779
-3.94413 0.3761 -0.1844 0.6333
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.1654 2.4431 2.834 7.371
-0.7933 0.3492 -1.399 -1.889
0.3260 1.4552 -1.012 1.558
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.39448 0.6734 0.39506 0.96877
0.01899 -0.7405 0.06263 0.08381
0.37107 0.8721 1.01571 0.45455
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.2785 -0.1914 -0.1935 123.4
-0.6330 0.4548 -1.1023 120.8
-1.4083 0.5412 -0.6309 116.1
rnd_95776.volume rnd_95787.volume
-2.547 -3.382
-4.180 -10.043
1.265 -11.062
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.579 1.237 2.432 1.824 2.440 0.6788 0.8611 1.683 2.347 2.087 1.264
[2,] 1.988 1.522 3.171 2.416 2.946 0.8315 1.0560 2.046 2.827 2.836 1.826
[3,] 2.314 1.747 3.597 2.850 3.344 0.9449 1.1663 2.392 3.202 3.232 2.080
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.376 1.406 1.628 2.274 1.798 2.125 1.775 2.894 2.599 3.223 1.779
[2,] 2.108 1.820 2.132 2.847 2.129 2.774 2.738 4.059 3.579 4.157 2.173
[3,] 2.381 2.046 2.492 3.279 2.454 3.453 3.258 4.813 4.193 4.612 2.514
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.548 2.464 0.3540 1.847 1.898 0.8908 2.006 0.4615 1.616 0.9425
[2,] 5.339 3.060 0.4809 2.496 2.695 1.1643 2.648 0.5564 2.146 1.1922
[3,] 6.397 3.617 0.5406 3.191 3.201 1.3880 3.149 0.6617 2.713 1.3833
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.5871 1.816 1.721 1.679 1.861 1.411 1.670 0.5698 1.187 0.5336 1.010
[2,] 0.7240 2.425 2.222 2.290 2.190 1.928 2.057 0.6925 1.524 0.6540 1.273
[3,] 0.8513 2.935 2.723 2.654 2.450 2.238 2.276 0.7739 1.752 0.7345 1.498
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.080 1.292 0.7258 1.150 1.725 2.641 1.543 2.047 2.226 0.837 1.750
[2,] 1.449 1.704 0.8818 1.576 2.297 3.190 1.821 2.876 2.597 1.061 2.529
[3,] 1.703 1.998 1.0270 1.934 2.731 3.770 2.073 3.548 2.888 1.204 3.079
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.525 1.315 1.315 1.736 0.3456 1.105 0.6218 1.316 1.276 1.427 1.864
[2,] 2.101 1.968 1.898 2.120 0.4262 1.606 0.7457 1.616 1.533 2.086 2.476
[3,] 2.626 2.452 2.482 2.332 0.4814 2.184 0.8460 1.942 1.772 2.385 2.754
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6247 3.948 1.393 1.350 0.7399 1.815 1.460 2.115 1.729 2.952 2.128
[2,] 0.7195 4.763 1.593 2.115 0.8819 2.088 2.343 2.768 2.710 3.525 3.137
[3,] 0.8030 5.255 1.786 2.630 0.9785 2.357 2.637 3.101 3.298 4.055 3.776
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.312 0.5761 1.475 1.296 1.718 0.9936 1.036 0.5690 1.366 1.333 2.677
[2,] 2.490 0.6852 2.201 1.574 2.524 1.2067 1.303 0.6750 1.817 1.782 3.344
[3,] 3.280 0.7724 2.984 1.792 3.262 1.3955 1.502 0.7604 2.126 2.049 3.700
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.792 0.5281 0.5499 0.8765 0.9815 1.465 0.7903 0.3883 6.699 5.228
[2,] 4.578 0.8628 1.0387 1.1489 1.1589 1.799 0.9596 0.4711 7.806 7.372
[3,] 5.131 1.2202 1.2465 1.3223 1.3067 2.083 1.0925 0.5270 9.002 9.196
[,98]
[1,] 1.941
[2,] 2.477
[3,] 2.999
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.005 1.57 3.088 2.316 3.098 0.8619 1.094 2.137
[2,] 794.448 582.53 1337.501 1040.848 1084.658 315.5188 401.572 764.676
[3,] 777.898 564.07 1114.836 992.863 1039.094 294.8785 325.209 814.735
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.98 2.651 1.605 1.748 1.785 2.068 2.887 2.283
[2,] 1035.90 1260.988 865.891 1049.352 759.185 904.441 1126.146 749.435
[3,] 987.62 1018.402 654.772 726.469 614.016 847.181 1068.733 802.433
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.699 2.254 3.675 3.301 4.093 2.259 4.505
[2,] 1171.664 1370.153 1869.895 1615.811 1724.940 820.259 2621.198
[3,] 1350.201 1160.031 1699.688 1435.666 1311.687 830.653 2315.033
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 3.128 0.4496 2.346 2.411 1.131 2.548 0.586 2.052
[2,] 1192.864 213.8417 1102.649 1256.495 492.538 1135.781 204.161 927.678
[3,] 1267.142 162.2605 1305.934 1135.636 496.502 1118.783 235.357 1090.995
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.197 0.7455 2.306 2.185 2.132 2.363 1.791 2.12
[2,] 479.680 278.4062 1056.363 923.732 1022.875 758.963 863.700 788.85
[3,] 460.977 294.1591 1085.872 1033.955 881.491 721.471 746.569 640.57
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.7236 1.508 0.6776 1.282 1.371 1.641 0.9216 1.461
[2,] 258.5942 628.183 248.4139 509.848 634.399 729.358 329.0563 707.518
[3,] 226.9181 566.675 219.7275 518.014 588.392 685.245 345.8094 736.693
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.191 3.354 1.96 2.6 2.827 1.063 2.223 1.936
[2,] 996.357 1175.405 634.65 1326.7 879.245 428.728 1198.945 949.966
[3,] 970.410 1319.500 651.31 1365.0 830.120 373.008 1154.177 1034.753
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.67 1.67 2.204 0.4389 1.403 0.7896 1.671 1.621
[2,] 961.35 899.02 799.471 163.7961 766.008 270.3623 616.362 557.674
[3,] 961.28 1050.54 638.079 147.1382 972.072 262.5022 707.829 584.638
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.812 2.367 0.7932 5.014 1.769 1.714 0.9395 2.304
[2,] 999.943 1070.841 234.5437 1749.943 508.149 1069.559 315.3649 679.016
[3,] 758.866 792.538 234.2884 1459.421 529.949 1027.578 278.5017 718.469
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.853 2.686 2.196 3.749 2.703 1.667 0.7316
[2,] 1204.478 1173.130 1371.178 1265.377 1513.875 1389.931 243.6956
[3,] 794.967 918.408 1234.794 1317.270 1381.604 1403.477 234.2804
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.873 1.646 2.181 1.262 1.316 0.7225 1.735 1.693
[2,] 1073.102 586.683 1214.943 449.834 518.633 238.6289 787.391 776.936
[3,] 1323.362 563.335 1357.698 460.575 491.315 229.9552 725.294 663.647
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.399 4.815 0.6706 0.6983 1.113 1.246 1.86 1.004
[2,] 1316.503 1684.810 448.2545 578.9822 487.989 404.825 686.59 357.625
[3,] 1041.158 1522.551 566.8787 452.6820 430.052 396.681 689.15 343.100
[,95] [,96] [,97] [,98]
[1,] 0.4931 8.506 6.639 2.464
[2,] 175.2760 2632.902 3414.175 1011.486
[3,] 155.2173 2946.192 3612.415 1110.630
[1] "--- VAR model 2017-10-06 20:31:00 completed"
[1] "Completed training sample: 2017-10-06 20:31:00 - 2017-10-07 04:30:00"
[1] "SpVAR; training sample: 2017-10-06 21:01:00 - 2017-10-07 05:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 21:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8509 0.05359 -7.654 -9.067
-2.0106 0.82011 -6.907 -9.514
1.1456 1.04316 -4.853 -8.766
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-11.628 0.266137 0.8429 -0.1059
-7.093 -0.407305 0.2827 1.4369
-10.563 0.007698 0.9295 -0.5116
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-4.7449 2.23132 0.2056 1.664
-1.4164 -3.97980 -1.1927 -2.738
0.0555 -0.08605 -0.3388 -2.225
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.2375 3.6955 4.7272 3.4849
0.8566 1.0050 0.6585 0.6237
-0.8538 -0.9294 -0.5599 -2.0802
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
4.071 2.5701 -0.08287 5.238
4.525 3.9860 1.62667 6.639
-3.461 0.9178 3.88230 8.536
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-8.739 -1.1497 -19.29 -10.387
-1.687 -1.7047 -21.28 -6.858
-5.704 0.7857 -12.98 -10.223
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.09409 -7.056 -8.319 0.04480
0.59696 -5.180 -11.444 1.20075
-0.21067 -9.143 -6.988 -0.03218
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-5.882 -0.96227 -6.24 -3.951
-7.436 -0.45903 -8.00 -3.775
-8.590 -0.03083 -11.57 -3.736
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-1.150 -6.483 -9.802 -7.572
-1.375 -9.636 -4.950 -4.920
-1.879 -11.310 -8.769 -11.402
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.8771 3.1479 -1.42358 0.8655
0.2474 0.7047 1.41033 1.0928
-0.1963 -1.9150 -0.04346 -0.2461
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.6417 -0.3388 -4.015 -4.599
-0.2522 0.8306 -4.025 -5.144
-0.7575 0.6494 -3.125 -5.725
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-0.8999 0.03195 -5.013 1.21580
-1.6299 -0.57634 -3.478 0.24117
-0.1635 -0.04782 -4.473 0.08588
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.2942 2.8324 -2.892 0.3533
2.3047 -2.7581 -2.043 -0.1464
-1.9678 -0.6691 -3.790 -1.8797
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4574 1.479 -3.2006 -3.82926
0.4429 -2.357 -0.5119 -0.73168
2.1279 -1.832 -2.4746 -0.09217
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.158 -2.4657 0.086326 -0.5685
-4.342 0.1952 -0.005928 -4.3077
-1.525 0.6707 0.462117 -2.6832
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.111042 -2.1487 2.101 -3.9567
0.577154 -2.1555 1.514 1.1693
0.004067 -0.3996 -1.655 -0.3087
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.7459 -0.0574 -3.732 -1.65282
1.2968 0.8698 2.153 -0.01767
0.4647 1.3491 2.744 1.33661
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.359 -0.05113 -2.3744 -0.85258
-6.393 1.29514 1.4918 -0.04143
1.777 0.39909 0.6596 0.05199
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.4578 0.9138 4.1319 4.3423
-1.9380 -2.3917 -0.5064 -0.4687
0.9384 -2.5998 7.4413 -0.6529
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
0.5996 0.6975 -0.9055 1.625
2.6961 0.2960 4.2517 0.829
-3.2970 -0.4919 -2.2406 1.132
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.9285 -0.4895 1.8218 0.09352
1.1550 0.6801 -0.9914 -0.48567
0.9845 0.4751 -0.5524 -0.32260
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
2.187 0.7090 -2.6667 -1.0848
1.492 -0.4374 0.5504 -0.6999
-0.514 -0.1364 -0.6919 -1.6555
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.23601 -0.9580 -1.6646 0.1997
-1.15055 0.1463 1.9017 1.2137
0.09647 1.5161 0.7004 1.1825
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.923 0.5181 -0.9512 114.5
-1.844 0.4410 -0.2413 105.4
-2.222 -1.1174 -0.8022 114.3
rnd_95776.volume rnd_95787.volume
7.857 -11.504
-14.198 -7.833
-10.961 -9.429
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.352 1.164 2.157 1.709 2.140 0.6122 0.8139 1.622 2.139 1.867 1.207
[2,] 1.780 1.421 2.750 2.206 2.720 0.7775 0.9864 1.933 2.623 2.687 1.705
[3,] 2.088 1.671 3.161 2.568 3.138 0.8884 1.0932 2.256 2.935 3.077 1.934
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.297 1.361 1.537 2.189 1.630 1.951 1.622 2.564 2.405 2.663 1.516
[2,] 1.994 1.717 1.982 2.678 1.938 2.612 2.577 3.512 3.290 3.359 1.738
[3,] 2.270 1.909 2.371 3.065 2.258 3.286 3.064 4.230 3.976 3.790 1.934
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.016 2.178 0.2752 1.741 1.622 0.6543 1.807 0.3624 1.440 0.7627
[2,] 4.457 2.693 0.3507 2.349 2.235 0.8144 2.387 0.4467 1.885 0.9509
[3,] 5.390 3.223 0.4059 2.970 2.760 0.9647 2.865 0.5178 2.354 1.1023
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4925 1.592 1.630 1.475 1.568 1.281 1.548 0.4951 1.039 0.4116 0.8658
[2,] 0.5958 2.156 2.078 1.955 1.866 1.797 1.873 0.6040 1.315 0.5220 1.1208
[3,] 0.6999 2.654 2.480 2.262 2.118 2.099 2.097 0.6837 1.558 0.5995 1.3142
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 0.9611 1.219 0.6111 1.043 1.675 2.501 1.423 1.817 2.138 0.7704 1.517
[2,] 1.3010 1.507 0.7765 1.435 2.119 3.043 1.694 2.590 2.487 0.9751 2.283
[3,] 1.5568 1.782 0.9095 1.702 2.514 3.473 1.961 3.107 2.790 1.1024 2.764
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.352 1.198 1.043 1.629 0.3273 1.034 0.5702 1.250 1.263 1.270 1.782
[2,] 1.967 1.867 1.587 1.975 0.4031 1.519 0.6939 1.530 1.511 1.848 2.328
[3,] 2.510 2.308 2.095 2.173 0.4489 2.063 0.7904 1.825 1.702 2.175 2.626
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.5804 3.836 1.190 1.254 0.6705 1.614 1.496 1.966 1.635 2.871 2.083
[2,] 0.6937 4.656 1.420 1.975 0.8106 1.889 2.160 2.594 2.475 3.400 3.084
[3,] 0.7702 5.143 1.568 2.489 0.9017 2.157 2.439 2.976 3.016 3.845 3.567
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.166 0.5286 1.294 1.160 1.548 0.9332 0.9834 0.4578 1.194 1.190 2.513
[2,] 2.366 0.6381 2.132 1.402 2.229 1.1255 1.1965 0.5685 1.578 1.575 3.026
[3,] 3.115 0.7215 2.845 1.619 2.971 1.3177 1.4002 0.6341 1.908 1.832 3.441
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.576 0.4766 0.5062 0.785 0.8437 1.288 0.6964 0.3630 6.810 5.122
[2,] 4.340 0.7902 0.9623 1.046 1.0284 1.614 0.8730 0.4439 7.949 6.934
[3,] 4.857 1.0978 1.1464 1.232 1.1737 1.896 0.9709 0.4990 8.981 8.137
[,98]
[1,] 1.784
[2,] 2.323
[3,] 2.789
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.717 1.478 2.739 2.171 2.718 0.7774 1.034 2.059
[2,] 860.294 606.470 1267.289 1036.783 1247.843 356.1662 414.204 781.468
[3,] 811.077 653.132 1159.487 976.033 1161.886 319.5085 350.212 864.524
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.717 2.371 1.532 1.647 1.729 1.952 2.779 2.07
[2,] 1128.245 1436.151 895.448 1126.166 777.196 930.048 1146.672 779.36
[3,] 978.266 1114.711 678.681 806.052 621.096 967.243 1108.061 861.22
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.477 2.06 3.256 3.054 3.382 1.925 3.83 2.766
[2,] 1290.505 1488.21 1783.388 1668.019 1521.035 632.840 2439.42 1176.635
[3,] 1482.440 1232.01 1752.222 1659.614 1305.240 630.071 2252.50 1315.449
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.3495 2.211 2.06 0.8309 2.294 0.4602 1.829
[2,] 161.5193 1172.043 1142.38 360.3796 1159.598 194.0620 904.123
[3,] 151.9756 1351.054 1204.26 384.2450 1177.286 194.6436 1047.295
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.9686 0.6254 2.021 2.07 1.873 1.991 1.626 1.966
[2,] 422.0474 249.1882 1081.201 958.10 953.384 752.000 937.048 783.222
[3,] 414.3734 272.9276 1149.750 1005.61 846.025 743.693 806.124 700.900
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.6287 1.319 0.5227 1.099 1.22 1.548 0.7759 1.324
[2,] 257.1465 598.872 238.5324 528.908 651.65 658.337 356.0532 732.862
[3,] 238.0683 620.673 219.0914 509.966 635.43 706.104 351.9525 679.778
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.127 3.176 1.807 2.307 2.714 0.9783 1.927 1.717
[2,] 964.844 1288.396 683.011 1371.553 944.524 444.2485 1267.761 1061.265
[3,] 1004.656 1244.506 733.429 1275.462 940.055 382.2507 1157.259 1159.445
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.522 1.325 2.068 0.4156 1.313 0.724 1.587 1.603
[2,] 1063.845 888.464 829.693 174.9037 827.264 293.954 656.109 617.392
[3,] 1008.226 1017.169 673.906 146.7286 1037.596 281.204 738.745 581.182
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.613 2.263 0.7371 4.872 1.511 1.593 0.8515 2.049
[2,] 997.372 1113.238 282.3195 1960.399 576.655 1133.212 338.4367 730.435
[3,] 852.037 903.811 248.6680 1624.202 493.045 1125.899 293.6233 772.898
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 1.9 2.496 2.076 3.646 2.645 1.481 0.6712 1.643
[2,] 1157.2 1258.583 1380.713 1352.953 1690.115 1529.581 265.5707 1259.659
[3,] 842.5 1083.603 1281.694 1335.296 1332.441 1505.988 250.2752 1399.762
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.473 1.966 1.185 1.249 0.5813 1.516 1.512 3.191
[2,] 585.460 1191.692 467.617 506.519 250.5614 767.416 766.368 1253.372
[3,] 601.056 1459.830 509.305 540.466 208.6225 796.045 695.737 1217.552
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 4.541 0.6052 0.6428 0.9968 1.071 1.636 0.8843 0.461
[2,] 1828.482 468.3836 608.1943 514.2806 437.016 722.636 391.2719 189.853
[3,] 1620.399 566.4034 463.1350 483.0442 420.362 739.641 315.8075 169.306
[,96] [,97] [,98]
[1,] 8.647 6.504 2.265
[2,] 3046.932 3473.545 1106.404
[3,] 3107.096 3164.643 1146.777
[1] "--- VAR model 2017-10-06 21:01:00 completed"
[1] "Completed training sample: 2017-10-06 21:01:00 - 2017-10-07 05:00:00"
[1] "SpVAR; training sample: 2017-10-06 21:31:00 - 2017-10-07 05:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 21:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
2.342 2.484 -19.38 -14.414
-1.182 0.782 -17.96 -8.768
1.662 1.866 -15.93 -16.612
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-14.29 0.6092 0.6560 0.02924
-11.36 -0.5251 -1.5674 -2.47413
-11.31 0.4069 0.4649 -0.51014
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.303 0.6255 2.490 -2.538
1.485 3.0878 2.184 -2.559
-4.317 1.8694 2.072 -2.723
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.3633 -4.4022 -8.923 -0.7840
-0.1294 -5.6020 -2.724 1.4374
1.2440 -0.6053 -3.800 -0.9976
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.6688 -3.3427 5.750 6.906
-0.9961 -7.5205 -11.931 3.159
-1.6468 -0.2256 1.641 2.714
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.33 -4.741 -39.61 -20.57
-12.61 -3.344 -39.80 -20.46
-19.43 -3.028 -36.89 -13.26
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.3309 -9.379 -12.33 -1.5391
-0.5573 -14.863 -18.86 -1.6600
-1.0765 -15.650 -19.33 -0.8107
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-10.672 -1.3537 -12.34 -3.967
-9.797 -0.7798 -11.77 -2.183
-18.759 -1.5648 -22.97 -4.463
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.222 -16.57 -14.095 -9.564
-2.427 -18.36 -8.979 -12.264
-2.207 -14.05 -7.715 -15.493
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.3553 2.914 -1.4178 0.1506
2.3478 -1.344 -0.4042 0.8893
2.4413 2.618 -1.6955 0.2249
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.28322 -1.1213 -5.502 -6.443
0.67717 -0.1397 -5.811 -6.743
-0.08641 -0.0638 -7.200 -6.711
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.839 1.4717 -6.871 7.33153
-1.907 0.1304 -6.203 0.04003
-4.254 -1.2287 -5.147 3.01100
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.186 -1.7466 -8.5067 0.6040
4.204 -0.7041 -0.3146 0.5927
3.474 0.8088 1.1222 -3.6634
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.262 -1.246 -5.6272 -5.739
-1.318 -4.031 -4.5490 -3.366
0.675 1.835 0.4981 -1.503
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-1.793 0.3826 0.780518 -0.8192
-5.740 2.7697 -0.114655 -4.5253
-5.249 0.2359 -0.003887 -2.8321
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7614 -0.6105 2.273 -4.447
1.1808 -2.5555 3.476 0.535
0.6620 -4.6544 1.191 -0.401
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-5.4440 -0.9746 -0.4591 1.8849
0.9141 1.6744 -3.7302 -0.5451
-2.8676 0.9169 6.7642 1.4592
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.89679 1.0576 0.7105 2.4902
-2.66160 1.5041 1.7318 -3.8571
-0.08861 -0.8644 -0.9703 0.6248
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.73450 6.921 11.021 5.854
-1.80455 4.235 -2.827 4.644
0.08087 -1.805 4.621 -2.569
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.6264 2.0093 3.620 -2.992
11.2170 -0.7319 4.900 1.670
-0.4863 -0.8397 7.443 3.519
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-2.069 3.035 2.0416 1.6489
4.093 2.462 -0.6177 0.9436
13.577 1.650 -1.7911 1.0744
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
3.4715 2.8734 2.77988 3.605
-0.1945 -0.8578 -0.06184 -6.165
-0.5618 4.0629 -2.32728 -1.342
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5903 -0.2590 -0.60063 0.1784
0.6949 -1.1777 1.59714 0.6701
-0.4979 0.9057 -0.03144 -0.4274
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.3630 -0.7164 -0.1635 131.3
-1.7987 -0.2913 -1.8125 118.4
-0.4976 0.5146 -1.3511 120.6
rnd_95776.volume rnd_95787.volume
-12.26 -19.21
10.70 -22.53
-13.11 -16.82
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.304 1.059 1.651 1.588 1.992 0.5599 0.7683 1.554 2.096 1.918 1.177
[2,] 1.715 1.315 2.076 2.003 2.485 0.7152 0.9200 1.854 2.508 2.613 1.645
[3,] 1.966 1.533 2.528 2.322 2.851 0.8243 1.0419 2.154 2.796 2.954 1.827
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.243 1.295 1.462 2.094 1.563 1.808 1.548 2.339 2.231 2.296 1.416
[2,] 1.796 1.647 1.946 2.633 1.854 2.479 2.388 3.168 3.114 2.772 1.661
[3,] 2.085 1.817 2.286 2.992 2.153 3.029 2.844 3.826 3.683 3.222 1.831
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.710 1.757 0.2459 1.711 1.460 0.4572 1.695 0.3447 1.281 0.6726
[2,] 3.923 2.168 0.3056 2.216 1.941 0.5335 2.225 0.3986 1.699 0.8021
[3,] 4.715 2.633 0.3470 2.729 2.311 0.5933 2.665 0.4627 2.037 0.9222
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.4007 1.416 1.498 1.325 1.508 1.198 1.445 0.4286 0.9658 0.3464
[2,] 0.4973 1.884 1.899 1.737 1.788 1.676 1.714 0.5554 1.2351 0.4484
[3,] 0.5841 2.278 2.256 2.024 2.037 1.964 1.890 0.6298 1.4455 0.5331
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.7042 0.8139 1.076 0.5257 1.002 1.593 2.450 1.283 1.651 1.893 0.7339
[2,] 0.8868 1.1274 1.312 0.6892 1.344 2.085 2.931 1.546 2.360 2.199 0.9213
[3,] 1.0419 1.2876 1.599 0.8008 1.553 2.432 3.316 1.775 2.863 2.466 1.0323
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.380 1.177 1.165 0.8883 1.442 0.3027 1.011 0.5349 1.177 1.214 1.165
[2,] 2.019 1.810 1.670 1.4292 1.741 0.3592 1.463 0.6489 1.460 1.444 1.768
[3,] 2.438 2.200 2.078 1.9033 1.958 0.4129 1.964 0.7339 1.717 1.624 2.108
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.655 0.5071 3.847 1.134 1.187 0.6063 1.502 1.455 1.835 1.603 2.698
[2,] 2.186 0.6425 4.622 1.358 1.846 0.7457 1.805 2.025 2.426 2.419 3.231
[3,] 2.527 0.7085 5.053 1.501 2.338 0.8586 1.981 2.327 2.767 2.918 3.586
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.008 1.126 0.4924 1.158 1.077 1.343 0.9034 0.9098 0.4124 1.078 1.068
[2,] 2.827 2.302 0.5950 2.023 1.279 1.958 1.0749 1.1009 0.5007 1.507 1.490
[3,] 3.287 2.887 0.6696 2.676 1.468 2.704 1.2621 1.2960 0.5639 1.840 1.730
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.435 3.201 0.4291 0.4380 0.7269 0.7618 1.318 0.6097 0.3413 6.679
[2,] 2.958 3.904 0.7062 0.8688 0.9139 0.9089 1.554 0.7470 0.4150 7.801
[3,] 3.277 4.454 0.9842 1.0285 1.0964 1.0862 1.789 0.8401 0.4638 8.789
[,97] [,98]
[1,] 4.699 1.496
[2,] 6.652 1.990
[3,] 7.892 2.325
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.656 1.345 2.097 2.016 2.53 0.7109 0.9756 1.973
[2,] 832.238 582.868 940.407 912.463 1110.47 332.7021 378.3381 756.765
[3,] 719.443 589.611 1079.273 878.516 1044.20 306.3853 365.6589 818.741
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.662 2.436 1.494 1.579 1.644 1.857 2.659 1.985
[2,] 1028.965 1326.516 859.490 969.552 760.410 959.518 1192.858 745.676
[3,] 923.933 1030.171 594.458 791.470 574.519 896.702 1063.113 818.085
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.296 1.966 2.97 2.833 2.915 1.798 3.441 2.232
[2,] 1267.778 1359.584 1597.12 1624.279 1162.017 648.704 2120.888 949.662
[3,] 1301.232 1154.619 1604.78 1469.482 1227.964 575.680 1955.323 1116.273
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.3123 2.172 1.854 0.5806 2.152 0.4378 1.627 0.8541
[2,] 135.6816 1052.969 956.586 205.4898 1077.513 149.6696 833.741 326.7215
[3,] 122.8411 1191.397 937.512 194.1585 1097.181 175.5399 840.403 340.1671
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.5089 1.798 1.902 1.682 1.915 1.521 1.835 0.5442
[2,] 220.1991 929.080 872.193 840.038 718.886 876.478 689.740 264.0587
[3,] 229.0818 957.320 911.451 776.333 728.211 765.325 594.486 221.9962
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 1.226 0.4399 0.8943 1.034 1.367 0.6676 1.273 2.022
[2,] 575.555 212.8873 402.8976 583.244 560.676 333.1685 669.780 1006.366
[3,] 561.398 215.4487 408.9696 464.957 683.186 304.9076 580.646 936.404
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 3.111 1.63 2.097 2.404 0.932 1.753 1.495 1.48
[2,] 1202.693 643.92 1260.437 836.124 416.380 1101.205 1027.796 893.91
[3,] 1159.741 652.03 1211.255 834.673 348.016 1021.659 934.696 924.87
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.128 1.831 0.3844 1.283 0.6793 1.495 1.542 1.48
[2,] 837.033 729.210 144.5932 790.582 274.6022 644.887 584.235 994.41
[3,] 939.680 670.048 152.1129 979.348 256.2638 676.341 555.907 858.30
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.102 0.644 4.885 1.441 1.507 0.7699 1.907 1.848
[2,] 1067.991 294.918 1915.011 557.385 1057.017 324.5970 747.941 1052.621
[3,] 946.986 223.268 1526.073 478.436 1072.991 318.2229 610.579 856.804
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.33 2.036 3.426 2.55 1.43 0.6253 1.47 1.368
[2,] 1185.81 1354.024 1328.891 1487.60 1501.13 249.7208 1239.89 515.216
[3,] 995.26 1220.815 1162.571 1253.77 1302.40 229.5959 1310.00 538.281
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.705 1.147 1.155 0.5237 1.369 1.356 3.092 4.065
[2,] 1065.630 435.444 463.390 212.3251 787.183 777.021 1255.669 1671.369
[3,] 1394.274 494.539 511.290 193.8699 788.943 656.202 1054.162 1602.738
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.5449 0.5563 0.923 0.9674 1.674 0.7742 0.4334 8.482
[2,] 419.3251 560.8919 414.163 370.5512 614.768 322.5824 176.5048 3013.092
[3,] 512.4688 411.6182 452.848 444.6254 663.407 287.4469 154.9221 3026.637
[,97] [,98]
[1,] 5.967 1.9
[2,] 3520.058 981.3
[3,] 3174.681 898.5
[1] "--- VAR model 2017-10-06 21:31:00 completed"
[1] "Completed training sample: 2017-10-06 21:31:00 - 2017-10-07 05:30:00"
[1] "SpVAR; training sample: 2017-10-06 22:01:00 - 2017-10-07 06:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 22:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5516 0.7065 -22.79 -14.90
2.2813 0.3804 -13.53 -16.87
4.8721 2.5889 -14.46 -11.53
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-22.28 -0.3939 1.7834 -0.536404
-21.55 0.6190 -0.7868 -0.008114
-16.73 -0.1637 -0.6000 -2.144213
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.766 -4.530 2.746 -12.557
-4.985 -2.149 3.531 -4.870
-2.239 -2.227 -2.102 -5.765
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.5837 -6.141 -9.3453 6.431
5.6748 -5.567 -5.4960 3.064
-1.0006 -3.061 -0.7611 0.977
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.920 4.803 -2.969 4.025
-5.604 -2.439 1.616 7.708
1.318 1.767 -5.140 3.502
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-19.30 -1.392 -33.22 -13.61
-12.42 -1.501 -34.72 -16.31
-20.35 -1.412 -30.26 -13.00
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
0.06567 -11.30 -17.63 -2.036
-0.51532 -19.25 -21.09 -2.107
-0.71910 -14.71 -14.90 -2.156
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-19.68 -1.0297 -23.29 -3.819
-14.85 -0.3304 -18.55 -6.131
-11.47 -1.3834 -15.68 -4.162
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-2.873 -17.48 -18.73 -16.02
-2.926 -15.14 -19.75 -21.36
-2.648 -18.03 -20.53 -16.92
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.128 -0.1208 -0.5970 -0.2319
3.565 2.3816 -1.0107 0.6539
2.973 1.1020 0.7578 0.9078
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.082948 0.4233 -8.449 -9.564
0.007969 0.2786 -7.266 -7.627
0.949583 -1.1831 -7.305 -10.612
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.9606 0.2028 -9.031 2.9546
0.3449 -0.4538 -8.120 0.1663
-3.6644 0.4464 -8.791 1.6959
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-0.0230 -0.6393 -8.505 0.956
-5.2599 -0.7291 1.418 1.555
-0.2213 -1.3292 -12.680 2.928
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3761 -8.059 -1.886 -6.532
1.4594 -2.394 -7.794 -5.893
-3.3041 1.512 3.494 -3.181
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.747 4.766 -0.2671 -3.398
-2.454 4.036 0.1247 -5.216
-7.818 -2.148 -0.2894 -3.819
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.0592 -0.1921 0.6469 -1.397
-0.1910 -0.8166 1.3564 -2.485
0.3136 -6.5602 1.9924 -1.725
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.359 -0.75371 1.354 0.7610
-3.533 -0.76826 2.867 1.2439
-2.215 0.03494 9.183 -0.5213
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.7263 1.0431 2.156 2.802
-0.2394 0.1841 1.980 3.339
-0.9727 -0.1412 3.093 4.082
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.9068 -2.341 6.803 -4.073
-2.7681 -2.909 3.002 1.498
0.6969 3.398 4.088 -1.221
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.764 0.2380 0.4578 0.9628
1.689 0.5994 -0.5947 1.2946
-1.356 -0.3551 0.8478 0.3518
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
7.46385 3.399 0.9627 0.1978
-1.39835 -1.180 0.2281 1.6913
-0.03426 0.302 1.0436 0.4278
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.7122 0.4970 1.545 3.598
0.4424 -0.5098 1.180 -1.065
0.1825 2.5860 -3.754 5.759
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.6875 -0.4786 1.6643 2.4012
-0.2778 2.1219 1.7493 0.9033
0.9583 0.2827 -0.5866 -0.7620
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-2.2230 -0.97641 -0.8149 110.6
0.5445 -0.16290 -1.4325 131.5
-2.3977 -0.08723 -1.2857 125.0
rnd_95776.volume rnd_95787.volume
-3.286 -14.53
-24.057 -19.94
-11.848 -17.77
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.282 1.028 1.430 1.380 1.812 0.5570 0.7273 1.572 2.060 1.699 1.171
[2,] 1.653 1.233 1.808 1.835 2.331 0.6850 0.8529 1.885 2.475 2.497 1.564
[3,] 1.835 1.434 2.259 2.173 2.654 0.7943 0.9690 2.167 2.842 2.816 1.751
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.234 1.280 1.439 1.850 1.490 1.721 1.408 2.310 1.979 2.173 1.279
[2,] 1.851 1.598 1.933 2.363 1.785 2.400 2.276 3.013 2.842 2.651 1.547
[3,] 2.100 1.745 2.289 2.788 2.001 2.901 2.788 3.618 3.435 3.051 1.751
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.484 1.685 0.2084 1.667 1.363 0.4247 1.540 0.3043 1.262 0.6614
[2,] 3.552 2.138 0.2498 2.146 1.871 0.4934 2.075 0.3509 1.590 0.8076
[3,] 4.180 2.516 0.2809 2.612 2.220 0.5540 2.490 0.3881 1.912 0.9192
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3350 1.321 1.391 1.247 1.412 1.080 1.287 0.3998 0.8991 0.3426
[2,] 0.4147 1.660 1.698 1.674 1.733 1.591 1.524 0.4979 1.1101 0.4383
[3,] 0.4715 2.051 1.984 1.874 1.953 1.813 1.700 0.5712 1.3127 0.4991
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.5416 0.7056 1.027 0.5117 0.860 1.600 2.283 1.212 1.446 1.656 0.7012
[2,] 0.7203 0.9628 1.262 0.6364 1.191 1.959 2.740 1.454 2.141 1.950 0.8900
[3,] 0.8445 1.1001 1.490 0.7132 1.381 2.238 3.189 1.655 2.616 2.194 0.9938
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.352 1.101 1.108 0.766 1.315 0.2753 0.9267 0.5267 1.102 1.134 1.117
[2,] 1.931 1.746 1.602 1.308 1.580 0.3356 1.3952 0.6262 1.346 1.348 1.694
[3,] 2.298 2.127 2.001 1.833 1.762 0.3731 1.8752 0.7034 1.590 1.511 1.977
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.483 0.4914 3.727 1.075 1.078 0.5769 1.450 1.395 1.712 1.609 2.465
[2,] 2.084 0.6113 4.537 1.231 1.700 0.7147 1.712 1.983 2.330 2.294 3.104
[3,] 2.344 0.6964 5.011 1.371 2.155 0.8040 1.891 2.217 2.640 2.828 3.531
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.872 1.140 0.4593 1.047 1.067 1.443 0.8613 0.8533 0.3708 0.9648
[2,] 2.717 2.115 0.5372 1.870 1.240 1.921 0.9932 1.0675 0.4669 1.4175
[3,] 3.176 2.726 0.6271 2.527 1.415 2.579 1.1862 1.2428 0.5106 1.6535
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 1.035 2.329 3.074 0.3926 0.3929 0.6835 0.6649 1.236 0.5193 0.3173
[2,] 1.350 2.847 3.684 0.6624 0.7756 0.8705 0.8137 1.455 0.6433 0.3785
[3,] 1.536 3.177 4.145 0.8997 0.9473 1.0474 0.9845 1.651 0.7165 0.4190
[,96] [,97] [,98]
[1,] 6.731 4.509 1.341
[2,] 8.184 6.253 1.761
[3,] 9.105 7.377 2.055
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.628 1.305 1.816 1.752 2.302 0.7073 0.9235 1.997
[2,] 886.345 579.408 940.234 1027.967 1244.868 338.7210 378.4462 884.054
[3,] 676.875 621.854 1150.480 989.440 1078.392 341.6664 390.7877 906.941
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.616 2.158 1.487 1.567 1.626 1.827 2.349 1.893
[2,] 1164.833 1553.976 880.572 1171.888 812.005 1096.339 1249.941 833.802
[3,] 1186.599 1107.640 668.536 841.934 595.616 1041.361 1256.950 769.092
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.186 1.788 2.934 2.513 2.759 1.625 3.154 2.14
[2,] 1420.576 1519.491 1643.483 1732.756 1290.481 738.466 2157.202 1117.21
[3,] 1385.560 1367.636 1701.345 1638.580 1282.277 696.592 1872.007 1126.84
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.2646 2.117 1.731 0.5394 1.955 0.3864 1.603
[2,] 116.9700 1148.669 1089.286 213.2459 1181.692 148.4772 821.211
[3,] 109.2799 1264.009 1014.728 214.1419 1168.838 140.9094 901.702
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 0.8398 0.4254 1.678 1.766 1.584 1.794 1.371 1.634
[2,] 393.8112 207.6633 854.254 826.807 948.979 853.620 992.641 693.816
[3,] 372.8882 190.5940 1022.989 872.121 714.298 764.796 738.358 639.805
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 0.5077 1.142 0.4351 0.6877 0.896 1.305 0.6498 1.092
[2,] 252.1481 553.125 232.1961 403.4591 556.511 622.644 321.4785 699.562
[3,] 237.7594 595.213 202.9294 374.4831 452.087 672.271 273.5375 594.338
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.032 2.899 1.539 1.836 2.102 0.8904 1.716 1.399
[2,] 959.974 1287.450 682.051 1341.542 875.595 465.7118 1171.067 1150.886
[3,] 918.959 1386.119 672.543 1276.506 853.856 375.6320 1059.662 1032.349
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 1.407 0.9727 1.67 0.3495 1.177 0.6689 1.4 1.44
[2,] 983.433 900.4451 743.18 163.1452 886.076 287.7225 656.0 618.93
[3,] 1018.330 1090.8481 663.16 138.5125 1064.421 272.1321 719.9 580.46
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 1.419 1.883 0.624 4.733 1.365 1.368 0.7326 1.841
[2,] 1081.765 1244.389 308.951 2197.694 509.508 1116.757 358.4408 773.170
[3,] 865.442 911.291 283.410 1808.116 512.973 1125.702 312.8545 683.466
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 1.771 2.174 2.043 3.131 2.378 1.447 0.5833
[2,] 1197.741 1343.199 1388.959 1602.596 1672.166 1513.193 236.7135
[3,] 841.274 1054.174 1405.640 1429.131 1398.562 1461.659 274.7634
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.33 1.354 1.832 1.094 1.084 0.4708 1.225 1.314
[2,] 1316.16 536.814 1077.496 420.149 544.963 241.1557 882.321 736.302
[3,] 1443.46 579.290 1461.350 550.983 540.587 175.6076 723.217 623.418
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 2.957 3.904 0.4985 0.4989 0.868 0.8443 1.569 0.6595
[2,] 1391.801 1724.458 453.2552 568.1458 458.033 398.5550 652.102 322.4795
[3,] 1196.298 1614.402 517.2765 462.0835 494.741 470.8172 663.328 268.1271
[,95] [,96] [,97] [,98]
[1,] 0.4029 8.547 5.726 1.702
[2,] 175.2773 3955.711 3680.388 969.477
[3,] 152.7810 3390.571 3325.128 900.284
[1] "--- VAR model 2017-10-06 22:01:00 completed"
[1] "Completed training sample: 2017-10-06 22:01:00 - 2017-10-07 06:00:00"
[1] "SpVAR; training sample: 2017-10-06 22:31:00 - 2017-10-07 06:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 22:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.438 0.2575 -20.97 -35.20
7.184 0.6409 -32.79 -27.23
-3.198 -1.8033 -35.51 -25.71
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-21.06 -0.1233 2.0915 -5.089
-27.23 -2.0621 -0.0172 -4.340
-25.62 0.1244 0.6726 -2.982
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-10.326 -3.502 -1.604 -8.757
-2.211 -11.395 -3.760 -9.975
1.774 2.314 2.692 -7.406
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.656 -3.224 -3.066 -1.2467
-2.062 -4.059 1.656 2.4692
3.956 -2.106 -6.291 -0.3061
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.374 1.560 0.02296 2.156
-2.548 -5.175 9.89153 22.266
-8.470 -1.377 -2.45006 7.375
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-20.53 4.042 -45.81 -22.00
-36.77 -4.985 -42.43 -24.99
-22.40 2.319 -58.03 -23.78
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.7614 -26.25 -34.01 -5.384
-0.8648 -28.40 -28.62 -2.981
-1.4180 -26.79 -27.21 -4.081
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-34.97 -1.833 -32.03 -3.751
-30.01 -2.160 -30.93 -7.698
-28.79 -1.837 -25.73 -8.289
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.092 -22.23 -27.06 -37.06
-3.953 -28.98 -30.89 -29.31
-5.180 -32.32 -29.91 -32.33
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.8872 -8.829 7.3138 0.6001
-4.2947 -4.891 7.0770 -1.4442
0.5608 -8.733 -0.4539 -0.9160
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.4793 1.3974 -14.91 -19.60
1.4382 1.0718 -15.73 -19.10
2.4458 0.9769 -15.47 -15.32
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.590 -1.5873 -16.60 8.384
-3.129 -1.7745 -14.21 2.984
1.767 0.5898 -16.53 14.386
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.626 -9.2862 -3.578 7.2063
4.151 -4.2454 -6.498 2.9497
11.057 -0.5189 -6.309 -0.5862
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5496 -1.628 -5.408 -9.436
2.2658 -4.037 2.068 -1.063
1.1284 -1.710 -2.918 -5.244
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-11.8678 1.1968 -0.8081 -7.522
-2.2646 -1.4281 -0.4181 -9.456
0.9671 -0.7647 0.6587 -5.107
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.7733 -5.6584 0.6387 -4.4790
0.7601 -0.4777 -2.3674 0.7909
-0.7868 -3.9111 -0.3543 -0.7613
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.727 0.3111 14.01 2.866
-2.147 -1.0804 -15.43 2.944
0.976 -0.9001 -12.37 6.590
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.933 -0.5388 2.6123 -0.697
-1.003 0.1141 5.2896 6.571
3.850 1.0868 -0.5111 6.149
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.5073 -6.734 9.279 3.287
-5.6325 -3.544 10.315 2.584
-0.6591 5.394 10.582 9.036
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.5859 1.4010 1.986 2.659
0.3354 -0.7974 -2.015 -1.813
-4.1641 -1.2710 5.353 1.030
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-0.7422 1.4045 0.2508 0.6916
-1.0119 -0.1303 -1.6501 0.2609
2.8365 1.4699 -2.3117 -0.3414
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.471 3.659 9.309 7.187
-7.711 -1.500 4.148 1.028
-5.137 -2.326 8.330 1.703
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.3299 -0.2624 3.926 4.0275
0.2650 2.8128 2.025 -0.3736
2.7592 2.4066 7.493 7.2593
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.4178 -0.6221 -2.0050 139.2
-4.9749 -2.6906 -0.7167 139.5
-3.7770 1.4866 -2.9375 109.3
rnd_95776.volume rnd_95787.volume
-17.56 -23.08
-18.71 -19.41
-17.05 -26.61
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.213 0.9819 1.180 1.126 1.522 0.5309 0.6859 1.456 1.980 1.607 1.132
[2,] 1.611 1.1632 1.475 1.504 2.050 0.6537 0.7955 1.723 2.389 2.274 1.503
[3,] 1.785 1.3291 1.756 1.803 2.375 0.7374 0.9215 1.967 2.659 2.603 1.682
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.260 1.308 1.417 1.695 1.412 1.630 1.427 2.174 1.855 1.963 1.252
[2,] 1.827 1.582 1.920 2.192 1.734 2.289 2.206 2.899 2.637 2.420 1.470
[3,] 2.039 1.744 2.229 2.533 1.903 2.786 2.700 3.468 3.141 2.706 1.694
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.427 1.423 0.2011 1.40 1.049 0.3953 1.230 0.3151 1.127 0.6991
[2,] 3.339 1.791 0.2428 1.82 1.498 0.4744 1.698 0.3700 1.339 0.8211
[3,] 3.863 2.101 0.2754 2.14 1.813 0.5257 2.064 0.4036 1.597 0.9105
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3218 1.198 1.318 1.155 1.386 1.076 1.099 0.3718 0.7316 0.3086
[2,] 0.3978 1.460 1.639 1.495 1.659 1.528 1.382 0.4664 0.9610 0.3967
[3,] 0.4512 1.792 1.824 1.687 1.831 1.712 1.511 0.5197 1.1141 0.4604
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.5473 0.6426 0.8941 0.4549 0.754 1.583 2.069 1.095 1.344 1.502
[2,] 0.7067 0.8520 1.1330 0.5616 1.033 1.901 2.625 1.350 2.103 1.801
[3,] 0.8162 0.9750 1.3574 0.6306 1.208 2.141 2.928 1.539 2.530 2.009
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 0.7185 1.247 1.062 1.048 0.685 1.201 0.2652 0.9045 0.4834 1.039 1.095
[2,] 0.8887 1.813 1.615 1.521 1.200 1.392 0.3215 1.3061 0.5632 1.279 1.269
[3,] 1.0065 2.211 1.974 1.882 1.645 1.588 0.3573 1.7562 0.6492 1.490 1.471
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.104 1.463 0.4921 3.672 0.9895 1.033 0.5694 1.321 1.444 1.659 1.601
[2,] 1.622 2.018 0.6064 4.459 1.1436 1.660 0.6746 1.592 1.964 2.230 2.213
[3,] 1.876 2.257 0.6824 4.919 1.2818 2.038 0.7788 1.827 2.215 2.522 2.617
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 2.466 1.939 1.202 0.4600 1.056 1.063 1.446 0.7571 0.8049 0.3713
[2,] 2.981 2.809 2.133 0.5444 1.954 1.260 1.946 0.9354 1.0147 0.4578
[3,] 3.406 3.198 2.693 0.6203 2.641 1.402 2.633 1.0981 1.1618 0.5000
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 0.9866 0.9648 2.274 2.807 0.3605 0.3354 0.6353 0.6164 1.159 0.4798
[2,] 1.3807 1.2540 2.871 3.363 0.5725 0.7168 0.7901 0.7262 1.379 0.5946
[3,] 1.6150 1.4308 3.260 3.776 0.7885 0.8279 0.9421 0.8997 1.561 0.6619
[,95] [,96] [,97] [,98]
[1,] 0.3073 6.804 4.420 1.133
[2,] 0.3709 8.170 6.153 1.473
[3,] 0.4164 9.260 7.171 1.732
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.54 1.247 1.499 1.43 1.933 0.6742 0.8709 1.849
[2,] 729.21 428.671 607.896 684.91 943.524 262.1946 277.0436 633.801
[3,] 527.97 441.897 654.552 683.96 824.420 234.3952 319.6790 652.467
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17]
[1,] 2.514 2.041 1.437 1.6 1.66 1.8 2.153 1.793 2.07
[2,] 918.633 1105.419 679.412 909.5 612.33 889.7 954.711 692.557 1103.83
[3,] 802.031 871.721 519.207 621.8 503.99 778.4 872.339 537.788 1092.38
[,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] 1.812 2.76 2.355 2.493 1.59 3.082 1.807 0.2554
[2,] 1156.202 1318.35 1288.737 972.825 528.39 1575.983 747.347 93.4865
[3,] 1070.169 1308.17 1172.130 831.787 579.62 1335.789 754.555 89.3204
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 1.778 1.331 0.502 1.562 0.4002 1.431 0.8878 0.4087
[2,] 799.380 735.644 180.294 804.386 133.2113 496.998 295.9572 160.6773
[3,] 773.769 701.015 155.601 806.463 110.7820 597.755 270.3694 146.3751
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41]
[1,] 1.521 1.674 1.467 1.76 1.366 1.395 0.4721 0.929
[2,] 574.530 669.656 652.739 626.77 745.353 575.605 193.5829 428.298
[3,] 713.747 549.724 536.474 532.45 530.596 420.144 157.4580 387.374
[,42] [,43] [,44] [,45] [,46] [,47] [,48] [,49]
[1,] 0.3919 0.695 0.816 1.135 0.5776 0.9574 2.01 2.627
[2,] 171.3496 307.269 384.468 478.270 226.3529 484.9951 723.84 1110.308
[3,] 160.4858 280.618 325.898 513.814 197.1900 430.8557 677.53 892.308
[,50] [,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 1.39 1.707 1.907 0.9124 1.583 1.349 1.331 0.8698
[2,] 543.39 1111.668 683.929 359.4130 905.062 835.825 758.037 677.2555
[3,] 507.40 967.322 611.988 324.7789 869.052 780.701 761.063 773.0367
[,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.525 0.3368 1.149 0.6139 1.319 1.39 1.402 1.858
[2,] 483.758 124.9006 647.619 198.5197 512.367 441.01 816.259 955.405
[3,] 524.628 107.0953 806.827 221.9182 525.378 511.53 647.955 695.129
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.6249 4.663 1.256 1.312 0.723 1.677 1.834 2.107
[2,] 243.5412 1738.957 394.101 892.727 248.715 610.562 915.148 1024.157
[3,] 215.0112 1427.299 397.909 812.512 267.472 616.743 703.341 809.108
[,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.033 3.131 2.462 1.526 0.5842 1.341 1.349
[2,] 1049.615 1151.563 1397.469 1210.788 200.0998 1129.466 465.466
[3,] 960.787 1132.477 1050.370 1129.919 204.2980 1221.663 422.150
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.837 0.9614 1.022 0.4715 1.253 1.225 2.887 3.565
[2,] 895.247 377.5499 424.617 184.0715 663.829 550.635 1204.608 1272.404
[3,] 1218.588 395.4114 388.952 138.1665 575.819 473.481 1062.217 1180.211
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4577 0.4259 0.8067 0.7828 1.472 0.6093 0.3902 8.64
[2,] 305.6702 435.4245 322.8412 263.8811 513.067 241.3602 142.7120 3108.80
[3,] 372.6820 284.6477 352.6477 364.9596 503.047 199.8370 130.2157 2995.92
[,97] [,98]
[1,] 5.612 1.439
[2,] 2941.930 646.347
[3,] 2532.170 626.015
[1] "--- VAR model 2017-10-06 22:31:00 completed"
[1] "Completed training sample: 2017-10-06 22:31:00 - 2017-10-07 06:30:00"
[1] "SpVAR; training sample: 2017-10-06 23:01:00 - 2017-10-07 07:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 23:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
5.394 0.5893 -30.13 -31.21
3.530 1.0952 -29.28 -32.54
2.506 -1.4865 -26.94 -19.79
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.88 0.14501 2.808 3.0096
-21.61 -0.37572 2.970 0.9368
-28.82 0.09454 1.356 0.1066
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
0.4941 -11.072 1.243 -8.317
3.6124 5.967 2.004 -1.316
-2.1291 7.036 2.380 -4.109
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.7266 -5.550 -2.055 5.703
2.9696 -5.304 -5.866 2.965
0.9589 1.714 1.564 -2.760
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.1277 -3.3945 -4.4570 0.7776
-9.7928 -0.6481 -0.8215 3.3079
-2.0934 0.7123 -11.8266 6.6035
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-26.71 -1.062 -61.01 -33.06
-25.90 -3.256 -58.48 -34.67
-20.86 -4.609 -51.52 -29.02
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.4326 -27.32 -25.37 -3.680
-0.8801 -31.31 -30.77 -4.235
-1.2834 -28.12 -40.32 -3.742
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-25.96 -1.7639 -26.47 -7.582
-30.60 -1.1037 -30.06 -10.088
-24.61 -0.7274 -29.85 -9.424
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.435 -32.71 -29.58 -30.01
-4.837 -27.99 -26.39 -31.54
-3.698 -27.24 -32.47 -24.91
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.4508 -5.517 -4.1227 -0.4970
2.9624 -7.172 0.3883 -0.3092
0.4451 -7.773 1.2280 -0.6639
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.8122 -0.38492 -14.64 -18.71
1.2400 -0.03083 -11.10 -17.50
-1.1833 -1.65726 -12.24 -15.32
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.815 -2.408 -10.68 3.969
-1.685 -1.194 -13.96 4.001
-4.128 -1.615 -12.16 -1.744
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.392 -1.491 -8.325 -0.6459
11.254 -7.252 -7.298 1.5445
6.326 2.128 -9.207 -3.2069
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.6947 -10.010 0.9678 -0.5442
0.5203 -7.942 -1.1257 -3.6741
0.4135 -6.703 -5.7005 -7.9265
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.3467 -4.738 0.1626 -6.744
-1.6544 -2.368 1.1277 -9.065
-0.0919 1.609 0.5138 -4.895
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.39321 2.14646 1.176 -6.1712
0.08463 0.04245 1.041 1.3060
-0.24114 -0.22593 6.735 -0.3487
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.7934 2.7418 14.01 -1.0342
-0.2897 -1.0084 2.40 0.8417
2.2799 -0.1446 12.56 4.6245
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.305 -4.753 5.6713 0.942
2.140 -1.168 0.1671 6.851
4.195 -0.941 2.8810 2.284
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.2454 4.237 4.191 -1.293
8.0413 5.065 18.610 7.426
-0.4571 2.042 8.928 13.943
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.0924 1.6892 0.1735 1.229
-0.7231 0.2800 1.0151 -4.542
20.6791 0.4503 7.2560 -4.815
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.670 -0.51811 -2.803 -1.4285
-5.250 0.01486 -3.401 0.5858
-7.457 -1.32426 -3.254 0.9576
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-2.423 0.9068 1.22570 -4.8261
-5.125 0.8627 -4.74861 -1.0916
-7.213 -1.2701 -0.09283 0.1797
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8545 0.7134 0.658 1.8333
1.4552 0.7932 1.519 3.2681
1.2060 3.8737 1.133 -0.6649
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-12.368 -0.9055 -3.310 -48.25
-7.322 -0.1510 -2.245 -17.06
-5.408 0.1922 -3.410 -21.47
rnd_95776.volume rnd_95787.volume
-24.99 -28.60
-10.39 -36.05
-24.26 -27.77
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.252 0.9235 1.180 1.097 1.501 0.5136 0.6755 1.520 2.025 1.671 1.047
[2,] 1.684 1.1066 1.502 1.469 1.920 0.6209 0.7977 1.808 2.467 2.299 1.428
[3,] 1.827 1.2918 1.729 1.735 2.249 0.7080 0.9086 2.060 2.734 2.667 1.656
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.254 1.310 1.389 1.663 1.330 1.646 1.606 1.981 1.795 2.041 1.418
[2,] 1.885 1.542 1.997 2.229 1.683 2.363 2.428 2.684 2.635 2.439 1.650
[3,] 2.095 1.720 2.277 2.556 1.856 2.865 2.962 3.189 3.118 2.724 1.827
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.423 1.393 0.1951 1.296 1.096 0.4116 1.068 0.3862 1.104 0.6845
[2,] 3.282 1.685 0.2455 1.635 1.477 0.4838 1.451 0.4652 1.292 0.8007
[3,] 3.830 1.965 0.2784 1.925 1.798 0.5284 1.786 0.5123 1.511 0.8931
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.3281 1.196 1.280 1.141 1.365 1.116 1.157 0.3684 0.686 0.2929 0.5245
[2,] 0.4110 1.415 1.600 1.456 1.674 1.466 1.379 0.4615 0.886 0.3730 0.6703
[3,] 0.4695 1.706 1.802 1.644 1.830 1.670 1.497 0.5063 1.002 0.4327 0.7855
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.6195 0.8734 0.4308 0.7214 1.574 1.963 1.077 1.279 1.343 0.6852
[2,] 0.7474 1.0972 0.5207 1.0523 1.845 2.349 1.293 1.988 1.693 0.8214
[3,] 0.8707 1.2825 0.5861 1.2446 2.067 2.602 1.468 2.360 1.893 0.9549
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.276 1.029 1.044 0.6836 1.186 0.2710 0.8959 0.4855 1.048 1.050 1.098
[2,] 1.789 1.518 1.562 1.1672 1.427 0.3211 1.3139 0.5629 1.313 1.262 1.591
[3,] 2.221 1.878 1.945 1.5737 1.649 0.3559 1.7440 0.6424 1.512 1.455 1.868
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.447 0.4700 3.897 0.9847 0.9613 0.5420 1.345 1.388 1.582 1.542 2.503
[2,] 1.969 0.5713 4.621 1.1487 1.6413 0.6664 1.585 1.917 2.178 2.286 2.970
[3,] 2.273 0.6531 5.121 1.2759 2.0416 0.7587 1.814 2.112 2.464 2.669 3.283
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.839 1.201 0.4376 1.070 1.050 1.481 0.7624 0.7993 0.3860 0.9332
[2,] 2.638 2.083 0.5397 1.895 1.243 1.954 0.9710 1.0221 0.4629 1.3252
[3,] 3.100 2.687 0.6068 2.481 1.372 2.620 1.1056 1.1810 0.5000 1.5314
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.857 2.298 2.759 0.3392 0.2903 0.5261 0.5660 1.098 0.4958 0.3051
[2,] 1.105 2.840 3.291 0.4942 0.6253 0.6525 0.6561 1.311 0.5903 0.3692
[3,] 1.307 3.170 3.677 0.6651 0.7156 0.7889 0.7989 1.464 0.6694 0.4228
[,96] [,97] [,98]
[1,] 7.128 4.405 1.156
[2,] 8.735 5.947 1.509
[3,] 10.163 6.899 1.753
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.59 1.173 1.498 1.393 1.906 0.6523 0.8578 1.93
[2,] 784.53 424.714 647.511 680.375 834.357 242.9543 295.5500 681.92
[3,] 493.81 464.335 596.272 643.676 815.282 236.9717 303.0012 687.40
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.572 2.122 1.33 1.593 1.663 1.764 2.112 1.688
[2,] 982.005 1099.375 675.94 980.052 567.269 999.473 1034.032 718.172
[3,] 820.798 941.677 584.58 637.795 530.677 762.032 870.800 545.174
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.09 2.04 2.516 2.28 2.592 1.8 3.077 1.769
[2,] 1181.55 1267.95 1261.639 1343.44 930.085 588.0 1542.419 660.927
[3,] 1128.67 1181.70 1199.576 1161.49 844.271 546.8 1375.608 704.142
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2477 1.646 1.392 0.5227 1.356 0.4904 1.402 0.8692
[2,] 103.8426 694.509 689.888 177.0509 684.179 180.6865 467.176 289.3708
[3,] 91.4703 707.105 714.127 148.1063 725.009 149.4763 545.532 275.6938
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.4166 1.519 1.626 1.449 1.733 1.417 1.469 0.4678
[2,] 172.4171 526.263 668.231 629.756 675.932 662.672 523.233 193.6668
[3,] 158.1185 664.055 578.109 532.847 513.839 557.247 405.419 144.9747
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8711 0.3719 0.666 0.7867 1.109 0.547 0.916 1.999
[2,] 390.5920 160.8875 290.780 291.1756 462.663 203.802 533.659 670.160
[3,] 325.7229 152.8394 285.293 311.1997 462.584 187.403 463.027 649.039
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.493 1.368 1.624 1.706 0.87 1.62 1.307 1.325
[2,] 898.690 498.438 1060.563 718.225 315.59 873.42 776.979 809.962
[3,] 778.551 484.448 885.224 589.844 339.24 917.70 770.511 807.473
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.868 1.506 0.3441 1.138 0.6165 1.331 1.334 1.394
[2,] 659.057 552.210 120.0298 669.492 198.4667 551.487 487.974 802.733
[3,] 735.315 576.483 106.8415 798.836 215.6284 522.048 504.254 681.294
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.837 0.5969 4.949 1.25 1.221 0.6882 1.708 1.763
[2,] 930.380 226.2122 1729.542 411.97 926.751 270.0681 584.305 920.721
[3,] 790.685 220.4869 1537.378 386.84 845.822 252.6502 614.233 617.414
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 2.009 1.958 3.178 2.335 1.525 0.5556 1.359
[2,] 1043.235 1176.141 1113.731 1317.038 1185.243 220.1226 1089.616
[3,] 801.385 959.292 973.914 1135.061 1183.001 193.0848 1115.005
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.333 1.881 0.9682 1.015 0.4902 1.185 1.088 2.918
[2,] 463.491 888.210 418.8707 443.777 177.9093 655.463 486.317 1162.752
[3,] 404.268 1215.514 368.1949 412.154 131.6674 534.542 485.225 980.798
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.504 0.4307 0.3687 0.6681 0.7187 1.394 0.6296
[2,] 1249.290 250.3493 385.7996 268.8138 231.0973 499.157 223.1618
[3,] 1142.278 310.0572 242.4189 308.8978 317.5862 454.348 219.8226
[,95] [,96] [,97] [,98]
[1,] 0.3874 9.052 5.593 1.468
[2,] 144.8505 3517.456 2782.987 676.088
[3,] 143.5517 3618.917 2436.688 621.128
[1] "--- VAR model 2017-10-06 23:01:00 completed"
[1] "Completed training sample: 2017-10-06 23:01:00 - 2017-10-07 07:00:00"
[1] "SpVAR; training sample: 2017-10-06 23:31:00 - 2017-10-07 07:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-06 23:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-10.361 -1.5223 -35.66 -40.52
-3.950 -0.9321 -37.54 -31.46
3.214 2.0071 -30.11 -37.92
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-47.48 0.3608 2.344 7.2606
-46.67 0.7561 -1.159 0.8248
-31.10 -0.5323 -1.951 -7.1694
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.060 -2.278 5.145 -15.483
-3.519 -3.109 7.640 -11.435
-4.570 1.252 -2.786 -8.618
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.262 -11.216 -3.968 10.436
-0.409 -15.461 -12.607 3.562
-2.680 -7.883 -13.449 -2.606
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
8.369 3.2497 -3.216 18.28
-5.136 -0.2472 7.533 14.27
-12.858 -2.9996 4.041 15.19
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-30.18 1.4053 -65.75 -32.89
-30.80 4.1271 -83.21 -41.12
-35.10 -0.5353 -79.97 -36.00
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-0.5497 -36.47 -44.48 -10.658
-2.6229 -31.68 -38.39 -8.116
-1.5119 -47.42 -39.67 -8.582
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-39.36 -2.7857 -43.20 -13.74
-36.06 -0.6141 -43.29 -17.07
-39.68 -0.9846 -31.89 -12.93
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-4.293 -32.52 -32.94 -32.09
-5.699 -34.83 -36.22 -33.24
-5.565 -44.39 -36.34 -42.39
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
1.1031 1.370 -0.8039 0.5892
-9.0959 -3.864 1.4514 1.7380
0.6484 -2.536 2.9193 -0.2356
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.510 -1.0690 -20.08 -28.63
1.943 -2.8997 -22.17 -25.47
2.144 -0.7714 -23.47 -25.68
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-7.100 -4.841 -25.28 5.632
-6.363 -3.229 -21.33 2.158
-6.249 -3.605 -22.78 8.345
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
4.415 -1.211 -14.44 8.238
3.710 1.380 -12.03 7.852
3.971 -4.011 -10.88 10.632
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.4072 -8.504 -14.048 -9.812
2.3490 -13.813 -7.968 -7.948
-0.4668 -8.306 -12.390 -12.812
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.34 0.2441 0.878 -4.565
-11.94 0.4970 -0.583 -7.480
-10.13 -2.4454 1.027 -11.237
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.4852 -14.980 5.666 -0.7532
1.7781 -3.026 4.227 -7.1121
-0.5451 -5.267 -6.918 1.2950
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-11.5574 -2.2059 7.060 0.6552
-8.5804 -0.9998 24.541 1.3537
0.9443 1.8237 -2.584 4.5904
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.244 -3.7264 -9.6846 -15.324
-5.247 1.6260 0.1166 -2.953
-2.705 -0.6084 -0.2375 4.817
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.08795 -14.922 8.762 13.2189
-7.79821 -5.076 16.344 -9.7112
4.48845 -2.346 10.507 -0.7082
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.781 4.363 2.488 -1.6151
-1.917 2.074 8.238 -5.5421
-3.228 -3.352 -4.670 -0.5864
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.62510 2.1695 0.9971 3.9485
-0.03601 -0.3131 -3.4704 2.9446
-9.86543 -1.0482 -0.7272 0.5192
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.041 -0.4908 -15.229 -24.648
-4.681 -2.5821 9.240 17.642
-2.019 -0.5350 7.083 -7.224
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.2637 -1.5266 0.4055 1.3654
0.6847 1.0383 0.4628 2.4049
1.2029 0.5564 1.3676 0.3892
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.7768 -1.4428 -1.323 43.586
-1.6827 -2.2265 -2.045 -6.228
-2.6543 0.3192 -2.943 24.508
rnd_95776.volume rnd_95787.volume
-20.27 -28.28
-15.89 -39.88
-36.49 -41.67
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.361 0.9515 1.171 1.013 1.569 0.4601 0.7091 1.549 2.013 1.655 1.033
[2,] 1.749 1.0994 1.484 1.400 1.979 0.5464 0.8242 1.799 2.471 2.282 1.379
[3,] 1.956 1.2551 1.707 1.630 2.285 0.6205 0.9348 2.093 2.724 2.539 1.605
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.205 1.319 1.326 1.681 1.381 1.707 1.465 1.983 1.887 2.001 1.379
[2,] 1.914 1.528 1.983 2.246 1.640 2.331 2.224 2.703 2.581 2.401 1.608
[3,] 2.114 1.689 2.281 2.611 1.830 2.917 2.819 3.196 3.008 2.653 1.798
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.592 1.211 0.1961 1.163 1.127 0.4299 1.081 0.3825 1.175 0.6799
[2,] 3.322 1.495 0.2474 1.501 1.425 0.4909 1.494 0.4629 1.405 0.7877
[3,] 3.966 1.727 0.2792 1.728 1.795 0.5364 1.673 0.5098 1.617 0.8831
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3362 1.230 1.299 1.058 1.392 1.121 1.057 0.3726 0.7225 0.3060
[2,] 0.4085 1.433 1.563 1.369 1.706 1.452 1.252 0.4610 0.8856 0.3731
[3,] 0.4708 1.667 1.754 1.528 1.853 1.645 1.381 0.5152 1.0099 0.4322
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.5415 0.5790 0.8399 0.3746 0.7049 1.433 1.965 1.017 1.212 1.376
[2,] 0.6508 0.7289 1.0052 0.4575 1.0012 1.744 2.289 1.227 1.900 1.653
[3,] 0.7560 0.8532 1.1872 0.5153 1.1526 1.979 2.570 1.392 2.271 1.859
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6928 1.249 1.047 1.023 0.6693 1.198 0.2637 0.8524 0.5084 1.092
[2,] 0.8194 1.745 1.462 1.589 1.1829 1.405 0.3068 1.2563 0.5994 1.285
[3,] 0.9184 2.148 1.803 1.918 1.5520 1.569 0.3470 1.6543 0.6763 1.480
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.9944 1.058 1.387 0.4989 4.258 0.9582 0.957 0.5754 1.485 1.334 1.649
[2,] 1.2321 1.531 1.985 0.5967 5.013 1.1185 1.654 0.6887 1.736 1.985 2.113
[3,] 1.4150 1.796 2.227 0.6677 5.584 1.2527 2.066 0.7797 1.970 2.215 2.435
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.651 2.527 1.701 1.228 0.4443 1.206 1.053 1.448 0.7946 0.7892 0.3887
[2,] 2.363 3.019 2.469 2.085 0.5280 1.957 1.244 1.897 0.9573 1.0060 0.4784
[3,] 2.731 3.291 2.890 2.720 0.5930 2.537 1.391 2.634 1.0775 1.1555 0.5203
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 0.9317 0.8954 2.356 2.657 0.3364 0.2766 0.4742 0.5166 1.104 0.5188
[2,] 1.3751 1.1282 2.959 3.221 0.4821 0.5663 0.6327 0.6438 1.315 0.6141
[3,] 1.5882 1.3104 3.249 3.650 0.6312 0.6823 0.7260 0.7452 1.454 0.6887
[,95] [,96] [,97] [,98]
[1,] 0.3019 7.338 4.252 1.111
[2,] 0.3657 8.810 5.735 1.345
[3,] 0.4032 10.219 6.549 1.549
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.728 1.208 1.487 1.286 1.993 0.5842 0.9005 1.967
[2,] 865.253 433.958 717.819 761.060 950.300 232.2452 330.8675 721.136
[3,] 690.882 476.971 665.951 659.110 899.374 231.7390 347.5185 841.505
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.556 2.101 1.311 1.53 1.675 1.684 2.135 1.754
[2,] 1129.085 1238.545 719.540 1171.10 608.058 1161.994 1173.504 697.317
[3,] 903.294 875.627 648.046 708.63 566.653 888.444 1049.586 640.179
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.168 1.86 2.518 2.396 2.54 1.751 3.291 1.538
[2,] 1249.917 1318.58 1446.943 1387.870 1046.36 651.055 1637.060 690.835
[3,] 1381.654 1364.90 1344.105 1217.028 889.02 634.023 1707.082 680.521
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.249 1.477 1.431 0.5459 1.373 0.4857 1.492 0.8634
[2,] 118.823 747.586 686.727 186.8006 812.011 205.4556 607.364 313.3852
[3,] 101.973 674.625 859.442 170.2345 594.321 168.3064 629.690 314.5401
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.427 1.562 1.649 1.344 1.768 1.423 1.343 0.4731
[2,] 182.835 579.678 685.032 684.299 776.000 728.031 527.402 213.8657
[3,] 184.381 671.380 627.017 534.250 571.138 607.949 460.307 181.3039
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.9175 0.3886 0.6876 0.7352 1.067 0.4757 0.8951 1.82
[2,] 403.4485 168.1024 284.4162 348.9421 435.075 206.8715 560.2048 782.50
[3,] 382.5019 171.8742 303.1101 349.3954 497.685 186.8935 449.9445 736.56
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.495 1.292 1.539 1.747 0.8797 1.586 1.329 1.298
[2,] 924.574 540.156 1153.147 722.091 344.7344 960.300 803.767 958.026
[3,] 921.491 517.828 979.450 669.609 326.7544 986.434 831.406 845.938
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.8499 1.521 0.3349 1.082 0.6456 1.387 1.263 1.344
[2,] 768.4726 579.045 123.4625 727.092 250.1209 533.290 573.186 871.387
[3,] 791.6709 549.797 127.7796 848.096 246.7733 578.699 548.194 740.013
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.762 0.6335 5.407 1.217 1.215 0.7307 1.885 1.694
[2,] 1118.685 257.9359 2084.506 454.619 1062.807 298.1233 709.494 1158.643
[3,] 795.438 236.0155 1937.446 444.469 975.008 288.0161 732.302 773.983
[,73] [,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.094 2.097 3.209 2.16 1.559 0.5641 1.531 1.338
[2,] 1041.421 1331.841 1301.216 1409.51 1327.907 224.7539 1214.306 521.960
[3,] 953.676 1077.802 1032.956 1184.47 1376.098 212.7862 1272.123 488.949
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.838 1.009 1.002 0.4936 1.183 1.137 2.991 3.374
[2,] 965.391 420.573 491.577 219.7654 796.814 540.841 1411.290 1434.094
[3,] 1440.127 389.685 447.825 161.1598 626.216 525.158 1055.914 1353.575
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.4271 0.3512 0.6022 0.656 1.402 0.6588 0.3834 9.318
[2,] 272.1234 389.3672 330.0033 302.737 562.237 258.8359 162.6532 3841.351
[3,] 320.9505 299.8859 280.5880 295.710 488.670 245.7315 133.7425 4080.381
[,97] [,98]
[1,] 5.4 1.411
[2,] 3032.3 596.785
[3,] 2490.6 605.166
[1] "--- VAR model 2017-10-06 23:31:00 completed"
[1] "Completed training sample: 2017-10-06 23:31:00 - 2017-10-07 07:30:00"
[1] "SpVAR; training sample: 2017-10-07 00:01:00 - 2017-10-07 08:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 00:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-11.357 -4.080 -46.87 -36.57
-5.020 1.093 -44.40 -32.10
-3.412 -2.804 -34.86 -41.69
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-51.85 -4.822 6.841 -8.442
-52.20 -3.705 6.456 -16.477
-50.23 -2.031 7.181 -1.286
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.436 4.214 5.6465 -20.11
-14.277 -13.008 -10.3693 -19.01
-1.927 -13.674 -0.7593 -15.39
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.869 -9.468 2.18 -2.121
-4.029 -5.980 21.36 2.731
-6.981 -12.705 13.63 8.169
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-15.792 -4.917 24.86 43.722
-15.288 -11.445 -10.20 3.928
-2.977 1.150 -10.04 8.736
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-35.65 -6.416 -53.95 -35.10
-39.67 -4.165 -80.52 -35.25
-43.57 -2.903 -92.62 -40.95
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.768 -38.61 -46.09 -12.126
-2.390 -31.46 -45.00 -8.399
-2.216 -33.67 -48.68 -9.824
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-41.25 1.084 -37.64 -11.08
-29.14 -2.885 -42.12 -13.76
-39.76 -2.344 -33.44 -12.79
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-5.388 -48.91 -54.96 -36.49
-3.931 -44.73 -49.68 -33.63
-4.368 -36.90 -31.78 -46.64
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.551 -1.959 3.826 -0.7440
2.794 1.195 1.423 1.3247
9.005 11.268 -1.844 -0.1045
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.470 1.0580 -26.87 -27.75
-8.921 3.8556 -24.73 -30.24
-3.284 -0.1902 -24.82 -28.18
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-8.53 -1.0877 -26.95 15.409
-12.83 -0.7031 -32.08 13.699
-11.41 -3.4933 -26.80 -1.884
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
3.395 0.9947 -6.217 0.809
-12.544 -9.1630 -25.347 8.632
7.855 -0.8740 -15.882 9.520
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-7.747 -13.10 -3.601 -16.6766
1.552 -12.67 -1.053 -0.7974
1.426 -15.38 -19.490 -11.5546
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-7.074 3.106 0.5192 -12.6910
-2.053 11.218 1.3595 -2.8303
-6.357 6.628 1.0431 0.1597
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.708 -5.420 -0.9037 -4.0810
-2.483 -2.200 13.5032 -8.4918
-3.034 -3.707 7.2577 -0.4144
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.297 0.1608 -13.7174 -6.6114
-8.907 0.2299 2.7666 -0.1398
12.404 -2.0838 -0.6149 0.5893
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.413 -4.08697 -12.775 -7.556
-10.290 0.03389 -1.809 -4.439
-9.589 -2.13877 -2.734 10.226
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.6515 -16.37 1.1257 -5.046
-15.6278 -20.41 -0.5011 -14.928
6.5393 10.42 21.5152 -3.620
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
9.520 -0.68824 -1.698 6.460
-5.675 -0.02006 -1.213 7.892
-25.657 1.15607 -7.643 -3.430
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.128 2.790 -3.105 -0.4321
15.037 4.364 -4.434 -1.2261
-10.182 2.147 -5.429 -0.7626
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.769 -3.7484 13.337 32.700
-2.491 -4.2834 5.147 -10.119
9.087 0.8173 3.216 3.978
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.8762 0.4572 -2.6366 -2.5554
-3.0586 -1.2061 -0.6594 -0.2379
-1.1155 -1.7027 0.9765 1.3515
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-0.3185 0.7655 -2.432 -10.870
-3.8760 -3.4353 -3.017 -22.643
-0.5631 0.2844 -3.608 5.546
rnd_95776.volume rnd_95787.volume
-82.55 -35.53
-42.88 -36.63
-27.97 -35.85
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.344 0.9096 1.456 1.132 1.795 0.4472 0.7042 1.548 1.951 1.636 1.041
[2,] 1.702 1.0715 1.797 1.566 2.169 0.5404 0.8443 1.902 2.372 2.211 1.390
[3,] 1.885 1.2265 2.003 1.787 2.498 0.6097 0.9799 2.163 2.683 2.559 1.599
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.263 1.306 1.353 2.495 1.357 1.715 1.628 2.069 1.920 2.045 1.263
[2,] 1.892 1.529 1.971 3.351 1.655 2.386 2.254 2.787 2.694 2.393 1.515
[3,] 2.141 1.707 2.262 3.935 1.827 2.889 2.817 3.193 2.983 2.696 1.692
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.380 1.248 0.2058 1.136 1.270 0.4546 1.057 0.3810 1.197 0.6698
[2,] 3.331 1.545 0.2559 1.551 1.567 0.5164 1.459 0.4661 1.513 0.7845
[3,] 4.137 1.777 0.2807 1.785 1.992 0.5693 1.659 0.5325 1.833 0.8702
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3410 1.286 1.265 1.077 1.399 1.126 1.002 0.3773 0.6720 0.3092
[2,] 0.4289 1.556 1.582 1.390 1.738 1.562 1.209 0.4662 0.8627 0.3722
[3,] 0.4871 1.800 1.787 1.585 1.931 1.788 1.321 0.5295 0.9879 0.4366
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.6016 0.6265 0.7632 0.3369 0.6970 1.452 1.849 1.004 1.160 1.394
[2,] 0.7137 0.8095 0.9077 0.4089 0.9942 1.723 2.207 1.217 1.819 1.699
[3,] 0.8479 0.9805 1.0406 0.4585 1.1553 1.966 2.433 1.405 2.199 1.887
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6796 1.188 1.054 1.055 0.6742 1.187 0.2655 0.8652 0.5156 1.115
[2,] 0.8114 1.725 1.519 1.495 1.1154 1.427 0.3048 1.2938 0.5976 1.306
[3,] 0.9053 2.181 1.849 1.816 1.5553 1.589 0.3436 1.6791 0.6657 1.522
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 1.033 1.033 1.383 0.5003 4.065 0.942 0.999 0.5340 1.468 1.413 1.651
[2,] 1.271 1.474 2.009 0.6182 5.080 1.104 1.618 0.6634 1.687 1.948 2.178
[3,] 1.456 1.745 2.256 0.6996 5.671 1.268 2.010 0.7666 1.930 2.184 2.471
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.626 2.531 1.810 1.308 0.4345 1.183 1.082 1.527 0.8868 0.7759 0.4227
[2,] 2.341 3.031 2.531 2.151 0.5164 1.962 1.247 2.096 1.0354 0.9511 0.5030
[3,] 2.687 3.273 3.065 2.796 0.5721 2.583 1.414 2.775 1.1520 1.1020 0.5458
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 0.9619 0.8569 2.389 2.569 0.3082 0.2805 0.4197 0.4805 1.077 0.4852
[2,] 1.3851 1.1094 2.888 3.206 0.4531 0.5034 0.5491 0.5752 1.239 0.5735
[3,] 1.5611 1.2634 3.138 3.674 0.5758 0.5946 0.6488 0.6716 1.399 0.6692
[,95] [,96] [,97] [,98]
[1,] 0.2997 7.295 4.080 1.143
[2,] 0.3550 8.837 5.559 1.420
[3,] 0.3916 10.132 6.203 1.687
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.706 1.155 1.848 1.437 2.279 0.5679 0.8942 1.966
[2,] 891.399 483.004 898.815 923.298 1038.485 258.7106 397.1572 942.831
[3,] 690.497 508.872 754.968 734.113 1057.156 240.7239 423.9879 877.189
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.477 2.078 1.322 1.604 1.659 1.719 3.168 1.724
[2,] 1151.025 1268.138 785.519 1200.910 677.615 1222.394 1907.784 806.765
[3,] 1068.166 1099.058 673.792 855.229 647.389 945.596 1758.762 660.050
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 2.178 2.067 2.627 2.438 2.597 1.603 3.023 1.584
[2,] 1414.739 1329.638 1591.696 1611.243 1060.662 714.416 1987.227 777.168
[3,] 1387.900 1439.860 1329.900 1091.831 1057.411 641.979 2091.872 748.669
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.2614 1.442 1.612 0.5773 1.343 0.4839 1.521 0.8505
[2,] 129.7084 900.983 783.621 208.7982 857.476 228.9570 788.762 348.2227
[3,] 98.2875 752.780 1047.822 204.4457 672.305 219.4604 881.779 321.0524
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 0.4331 1.632 1.607 1.367 1.777 1.43 1.272 0.4791
[2,] 221.8116 747.127 809.920 749.636 879.758 922.84 576.394 233.4605
[3,] 196.8188 771.283 708.309 648.510 716.814 742.24 454.778 214.1590
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 0.8533 0.3926 0.764 0.7955 0.9691 0.4278 0.8851 1.843
[2,] 461.2822 176.7708 327.399 437.0761 418.9621 197.5661 604.5299 791.894
[3,] 410.4647 194.4996 390.376 471.8303 433.9804 176.8537 501.6942 806.401
[,49] [,50] [,51] [,52] [,53] [,54] [,55] [,56]
[1,] 2.347 1.274 1.473 1.77 0.863 1.508 1.338 1.339
[2,] 1027.776 586.366 1194.117 828.71 378.007 1066.207 932.805 902.989
[3,] 873.268 598.412 1054.078 699.87 342.312 1138.299 898.921 880.224
[,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 0.8561 1.507 0.3371 1.099 0.6547 1.416 1.312 1.312
[2,] 757.6356 675.896 127.7134 820.271 257.5770 579.037 631.514 896.861
[3,] 924.3040 596.552 135.2630 912.558 250.1139 666.172 606.010 795.901
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 1.756 0.6354 5.162 1.196 1.269 0.6781 1.864 1.795
[2,] 1242.787 309.6561 2597.688 490.110 1085.425 335.6596 708.577 1142.537
[3,] 874.499 279.2514 2149.744 532.222 1016.559 327.4672 800.249 843.310
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 2.096 2.065 3.214 2.298 1.661 0.5518 1.502
[2,] 1211.329 1436.332 1421.888 1509.020 1456.202 237.8504 1334.758
[3,] 995.013 1124.672 1052.253 1474.232 1523.190 210.0994 1432.942
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.373 1.939 1.126 0.9852 0.5367 1.221 1.088 3.033
[2,] 528.589 1224.796 455.817 469.0261 232.4950 849.835 600.738 1384.538
[3,] 568.810 1550.619 430.611 474.6402 180.6695 613.892 515.413 1047.181
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.262 0.3914 0.3562 0.5329 0.6101 1.368 0.6161
[2,] 1635.295 283.1450 356.4643 301.9232 269.5885 522.620 260.7818
[3,] 1530.278 303.0476 269.8015 294.6156 295.7149 553.984 293.9646
[,95] [,96] [,97] [,98]
[1,] 0.3806 9.264 5.181 1.451
[2,] 162.2662 4252.505 3219.529 718.778
[3,] 140.9250 4226.524 2347.681 776.817
[1] "--- VAR model 2017-10-07 00:01:00 completed"
[1] "Completed training sample: 2017-10-07 00:01:00 - 2017-10-07 08:00:00"
[1] "SpVAR; training sample: 2017-10-07 00:31:00 - 2017-10-07 08:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 00:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-10.815 9.5255 -40.73 -46.05
-5.815 -3.7088 -48.78 -47.81
2.793 0.1662 -47.15 -47.78
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-40.15 0.6625 6.134 4.372
-52.88 1.5023 7.150 -2.581
-57.90 0.5378 -2.006 3.369
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
14.915 15.6015 4.667 -6.427
-1.789 -0.4239 8.002 -5.810
-9.681 -8.1175 1.183 -14.231
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-5.379 -26.4572 -12.8021 6.925
6.637 5.6347 -0.1469 4.908
-2.140 -0.1411 10.2736 -13.816
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.0843 -7.538 3.467 11.345
-15.1576 -6.859 2.174 26.503
0.1047 15.923 -15.024 -4.532
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-56.68 -1.024 -95.42 -60.06
-35.19 9.790 -95.02 -44.96
-72.17 -5.774 -101.26 -39.30
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.535 -49.31 -58.71 -9.835
-3.031 -41.38 -56.66 -14.031
-3.125 -43.51 -44.89 -13.557
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-58.40 -4.5091 -66.18 -19.82
-54.06 -0.6482 -50.47 -17.20
-46.90 -0.4992 -60.84 -18.64
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-7.170 -50.44 -50.78 -45.24
-9.089 -52.29 -48.55 -47.17
-8.713 -58.37 -58.16 -51.54
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.331 -5.687 3.0512 2.992
-1.739 2.451 -0.2161 2.171
2.483 -6.907 3.0715 2.050
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-5.503 -5.15539 -33.91 -35.62
1.981 -0.08804 -30.84 -34.79
-2.494 -0.48994 -30.99 -25.48
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-13.07 -1.619 -30.87 12.33
-10.86 -5.378 -35.73 13.65
-11.84 -4.447 -29.76 16.08
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.802 -4.692 -40.601 5.4906
-2.263 -3.104 4.029 2.0035
-2.897 -1.084 -30.295 0.8466
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.512 -10.30 -4.2075 -18.95
-0.700 -30.59 -35.6834 -12.60
-4.526 -12.45 0.8924 -22.01
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-20.29 0.5164 -2.5907 -10.19
-15.66 -7.0415 0.8362 -22.18
-28.34 -2.1491 -1.0352 -12.90
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.6856 -6.740 7.533 1.422
0.2574 -5.187 -4.129 -1.335
-3.2536 -19.785 8.087 -7.947
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.876 0.2871 -3.899 6.052
-1.990 3.1800 14.294 -2.245
-11.076 3.8676 21.563 5.300
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.915 -0.7893 -5.473 -8.925
-2.193 -3.5575 -10.151 -6.081
-7.590 2.6529 9.682 -1.996
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-5.230 -3.652 22.640 3.663
7.128 -2.979 -5.261 8.825
-17.319 -20.642 21.729 5.812
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.678 -0.1278 7.723 1.096
-8.206 1.3170 -1.466 -1.768
6.610 2.3853 12.220 1.187
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
20.73 7.6352 -2.338 0.2774
-13.03 0.4361 -7.271 3.8649
10.97 2.9779 2.952 -1.7109
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.793 8.1302 -9.524 -0.5659
-11.749 1.7505 11.476 -22.4810
-2.496 -0.4053 -5.439 23.6303
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.9396 2.9470 1.3436 -4.437
-0.5123 -0.5736 -0.9913 3.278
0.2069 -0.2525 -0.4726 0.892
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-5.923 -1.2599 -4.617 -3.905
-6.308 -1.1870 -2.212 -38.881
-9.417 -0.6583 -3.251 -31.893
rnd_95776.volume rnd_95787.volume
-55.22 -50.36
-44.33 -49.98
-36.72 -45.53
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.449 0.9239 1.506 1.262 1.782 0.4463 0.7225 1.721 2.102 1.745 1.105
[2,] 1.824 1.0970 1.892 1.614 2.224 0.5460 0.8577 2.057 2.508 2.350 1.439
[3,] 2.037 1.2107 2.137 1.878 2.586 0.6110 0.9599 2.316 2.818 2.658 1.606
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.329 1.323 1.408 2.564 1.298 1.630 1.582 2.108 2.038 2.679 1.312
[2,] 2.000 1.509 2.064 3.542 1.698 2.414 2.178 2.800 2.583 3.138 1.618
[3,] 2.248 1.721 2.384 4.105 1.964 2.991 2.841 3.212 2.970 3.663 1.851
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.472 1.344 0.2027 1.253 1.358 0.4801 1.198 0.4021 1.286 0.6828
[2,] 3.618 1.620 0.2518 1.658 1.617 0.5534 1.567 0.4747 1.651 0.7949
[3,] 4.352 1.911 0.2752 1.901 2.156 0.6353 1.859 0.5214 1.946 0.9034
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3456 1.467 1.322 1.191 1.463 1.141 1.027 0.3836 0.6773 0.3151
[2,] 0.4476 1.799 1.683 1.523 1.791 1.575 1.228 0.4484 0.8144 0.3966
[3,] 0.5113 2.073 2.066 1.809 1.984 1.796 1.337 0.5205 0.9264 0.4578
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.6300 0.6382 0.6332 0.2893 0.6440 1.503 1.863 0.9559 1.163 1.454
[2,] 0.7621 0.8516 0.7646 0.3420 0.9258 1.710 2.193 1.1640 1.885 1.687
[3,] 0.9222 1.0073 0.8840 0.3870 1.0816 1.923 2.384 1.3201 2.207 1.924
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.7112 1.236 1.052 1.004 0.7587 1.113 0.2637 0.9163 0.4929 1.024
[2,] 0.8126 1.777 1.509 1.409 1.1311 1.358 0.3216 1.2940 0.5746 1.248
[3,] 0.9071 2.253 1.847 1.793 1.5960 1.564 0.3697 1.6509 0.6455 1.464
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.9815 1.030 1.349 0.5061 4.021 0.9678 1.103 0.5580 1.665 1.498 1.710
[2,] 1.2770 1.420 1.925 0.6251 4.867 1.1369 1.645 0.6696 1.905 2.034 2.180
[3,] 1.4813 1.713 2.202 0.7070 5.407 1.2652 1.999 0.7510 2.070 2.298 2.489
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.747 2.535 1.883 1.280 0.4317 1.329 1.033 1.530 0.8564 0.7391 0.4507
[2,] 2.560 2.970 2.683 2.204 0.5107 2.068 1.217 2.102 0.9983 0.9152 0.5346
[3,] 2.929 3.232 3.240 2.937 0.5643 2.758 1.418 2.853 1.1367 1.0938 0.5944
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 0.9923 0.8623 2.360 2.610 0.2852 0.2618 0.4123 0.4539 1.010 0.4933
[2,] 1.3908 1.1155 2.939 3.199 0.4041 0.4815 0.5180 0.5557 1.216 0.5972
[3,] 1.5803 1.2492 3.234 3.680 0.5146 0.5608 0.5929 0.6279 1.366 0.6996
[,95] [,96] [,97] [,98]
[1,] 0.3083 7.195 4.295 1.269
[2,] 0.3560 8.667 5.763 1.665
[3,] 0.3922 9.951 6.249 1.933
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.84 1.173 1.913 1.603 2.263 0.5667 0.9174 2.186
[2,] 1097.40 586.119 1133.946 997.283 1317.921 311.6890 457.9992 1116.818
[3,] 899.57 507.432 984.578 951.812 1307.285 271.6512 427.0512 1054.196
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.669 2.216 1.403 1.688 1.68 1.788 3.256 1.648
[2,] 1356.534 1559.962 913.732 1480.417 718.26 1495.211 2421.306 1085.297
[3,] 1272.063 1229.937 707.053 1018.179 820.60 1183.636 2055.542 977.416
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.069 2.009 2.676 2.588 3.402 1.666 3.139
[2,] 1764.421 1482.573 1826.492 1572.314 1619.740 939.007 2618.777
[3,] 1751.068 1808.305 1560.552 1453.060 1872.795 889.714 2396.065
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 1.706 0.2574 1.591 1.724 0.6097 1.521 0.5106
[2,] 897.391 147.9580 1076.547 870.207 272.7110 1000.498 249.9525
[3,] 1004.441 110.1274 921.576 1413.466 309.1477 992.332 213.7685
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 1.633 0.867 0.4389 1.863 1.679 1.513 1.858 1.448
[2,] 1025.493 403.352 281.8068 1032.522 1032.082 940.725 1024.377 1076.124
[3,] 1020.698 425.432 244.9325 1019.194 1187.657 966.670 845.615 856.490
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.304 0.4871 0.8601 0.4001 0.8 0.8105 0.8041 0.3674
[2,] 667.216 230.1711 448.1303 238.7327 425.0 558.6901 424.7220 180.7778
[3,] 524.161 261.8581 437.4640 226.5063 514.5 533.0646 439.5417 179.3086
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 0.8178 1.909 2.365 1.214 1.476 1.846 0.9032 1.57
[2,] 658.9953 808.203 1147.457 658.279 1470.973 846.939 389.3630 1264.46
[3,] 554.2954 870.786 927.114 616.935 1135.862 916.358 399.5608 1372.19
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 1.336 1.274 0.9635 1.413 0.3349 1.164 0.6259 1.3
[2,] 1071.998 980.195 831.3181 770.415 182.3427 905.420 292.6227 707.3
[3,] 1055.750 1098.618 1115.7021 768.612 180.8146 1015.948 291.3861 758.5
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 1.246 1.308 1.713 0.6426 5.106 1.229 1.401 0.7085
[2,] 809.529 968.215 1361.004 363.6840 2717.340 591.311 1208.811 366.8397
[3,] 743.885 949.942 1059.766 327.1537 2334.577 549.942 1125.313 336.9227
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 2.114 1.903 2.171 2.218 3.218 2.392 1.626
[2,] 917.474 1363.726 1339.692 1854.068 1533.982 1892.994 1777.530
[3,] 802.741 1059.088 1190.830 1410.276 1263.850 1800.217 1923.185
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 0.5482 1.688 1.312 1.943 1.088 0.9386 0.5724 1.26
[2,] 270.3652 1569.191 637.906 1428.720 508.246 534.8778 284.9225 965.77
[3,] 237.8955 1809.496 720.759 1910.653 538.705 593.4739 257.5028 743.52
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 1.095 2.997 3.314 0.3621 0.3325 0.5235 0.5764 1.283
[2,] 701.160 1736.044 1832.342 283.7179 400.4941 310.8198 317.5882 671.123
[3,] 557.340 1336.531 1802.635 315.8014 284.8955 285.8728 289.7843 616.809
[,94] [,95] [,96] [,97] [,98]
[1,] 0.6264 0.3915 9.137 5.454 1.612
[2,] 333.5224 176.4522 4788.002 3807.690 1067.230
[3,] 361.1202 162.9460 4845.667 2393.715 974.330
[1] "--- VAR model 2017-10-07 00:31:00 completed"
[1] "Completed training sample: 2017-10-07 00:31:00 - 2017-10-07 08:30:00"
[1] "SpVAR; training sample: 2017-10-07 01:01:00 - 2017-10-07 09:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 01:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.726 -0.1708 -44.01 -53.35
-7.218 -3.7153 -45.28 -48.05
11.082 -2.1053 -56.64 -55.97
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-58.84 -1.794 9.074 -9.557
-67.38 -3.462 2.563 -12.092
-54.09 2.409 4.081 -4.503
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.195 -1.324 -6.740 -11.54
-21.764 -13.082 10.845 -17.88
-1.904 -17.220 -3.552 -32.03
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.1107 -3.075 -24.37 5.243
-3.4613 -8.317 -17.73 16.545
4.5451 -5.849 -13.34 20.844
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.446 -10.157 -9.313 25.308
5.932 -3.289 1.829 7.526
5.277 14.418 -9.025 22.908
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-72.11 -5.397 -132.6 -47.98
-76.02 -9.505 -124.2 -65.51
-46.38 -1.720 -121.6 -64.12
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.041 -50.40 -37.13 -10.31
-5.646 -57.93 -68.43 -11.45
-5.349 -56.46 -66.32 -14.06
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-44.06 -4.240 -63.35 -19.15
-56.14 -7.915 -48.99 -22.87
-51.42 -4.039 -63.35 -20.12
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.039 -79.10 -61.16 -59.61
-11.847 -59.71 -68.31 -57.34
-9.427 -65.50 -47.78 -50.01
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
8.773 5.46 2.3544 1.1797
8.184 6.95 -4.0244 0.4516
9.986 -12.71 0.6773 -1.5450
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.5867 2.9458 -37.77 -34.67
3.0705 0.1284 -35.80 -43.18
5.5078 -1.7911 -37.01 -40.29
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-14.04 -5.332 -31.96 1.20372
-8.94 -4.165 -33.06 -0.05501
-14.27 -3.323 -36.21 4.55284
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
20.983 -9.131 -31.08 0.634
2.509 -9.883 -29.58 -12.016
7.688 -4.283 -28.48 6.708
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.3625 -17.43 -10.48 -20.177
-3.2594 -28.48 -20.72 -7.852
-2.0089 -36.37 -25.20 -26.937
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-16.21 10.0057 0.4537 -11.432
-11.96 0.2202 -2.1929 -5.297
-15.46 -1.3685 -1.4218 -12.640
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8028 -8.551 17.395 -5.51731
0.3738 -6.186 7.605 3.79207
0.3541 -7.198 4.791 0.07772
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
14.2634 -1.0196 -30.721 1.585
1.9279 1.9722 30.466 -2.955
-0.8058 0.9786 -1.367 3.034
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
2.632 -1.9343 -1.741 13.682
-2.995 2.5153 -0.766 2.745
11.574 -0.5359 6.303 2.435
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-4.564 3.397 4.235 17.445
-8.985 -6.092 30.618 16.406
10.057 7.264 20.042 8.957
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
24.611 -2.265 34.94 -3.4135
9.065 -1.148 11.98 0.6348
17.690 -2.009 22.98 -3.3377
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
34.50 2.249 -7.744 -1.3178
16.56 -4.819 -4.686 2.2598
15.08 4.945 -5.944 -0.8501
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.3438 -0.7668 6.533 -15.840
-0.5723 -3.1442 9.179 2.061
-6.5781 -2.7286 11.412 2.924
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.9069 3.6459 3.504 3.6428
4.8438 3.1231 2.941 0.2781
4.1477 0.6983 1.856 2.9200
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.967 -3.030 -4.526 -59.424
-6.334 2.609 -7.309 -4.528
-9.539 -2.298 -4.851 -8.777
rnd_95776.volume rnd_95787.volume
-93.92 -51.41
-56.26 -62.57
-57.92 -62.16
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.442 0.8948 1.783 1.425 1.547 0.4295 0.7596 1.698 2.114 1.774 1.085
[2,] 1.818 1.0581 2.225 1.870 2.008 0.5285 0.9071 2.097 2.597 2.313 1.422
[3,] 2.088 1.1442 2.545 2.197 2.280 0.5782 1.0252 2.352 2.916 2.636 1.603
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.420 1.326 1.378 2.585 1.387 1.611 1.570 2.059 1.962 3.191 1.391
[2,] 2.055 1.540 2.083 3.635 1.876 2.545 2.181 2.879 2.668 3.912 1.828
[3,] 2.285 1.749 2.428 4.237 2.178 3.006 2.889 3.495 3.133 4.712 2.077
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 2.418 1.559 0.2007 1.710 1.537 0.4712 1.231 0.4099 1.566 0.6967
[2,] 3.757 1.866 0.2487 2.202 1.907 0.5744 1.737 0.4842 1.972 0.7852
[3,] 4.659 2.225 0.2866 2.487 2.453 0.6822 2.131 0.5373 2.367 0.9100
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3599 1.684 1.538 1.392 1.726 1.211 0.9978 0.3995 0.6482 0.3121
[2,] 0.4599 2.055 2.001 1.802 2.043 1.641 1.1993 0.4682 0.8081 0.3803
[3,] 0.5338 2.415 2.393 2.201 2.219 1.886 1.3076 0.5542 0.9098 0.4462
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.7298 0.7961 0.4131 0.2833 0.7196 1.520 1.805 0.9364 1.199 1.398
[2,] 0.9371 1.0778 0.4867 0.3331 0.9490 1.799 2.173 1.1074 1.912 1.663
[3,] 1.1041 1.2873 0.5638 0.3703 1.1366 2.025 2.388 1.2814 2.209 1.874
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 0.6706 1.259 1.151 1.005 0.7899 1.228 0.2784 0.9597 0.4748 0.9798
[2,] 0.7823 1.792 1.552 1.375 1.1996 1.452 0.3326 1.3304 0.5718 1.2127
[3,] 0.8587 2.337 1.898 1.757 1.6293 1.637 0.3890 1.6927 0.6347 1.4183
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 0.9929 1.153 1.256 0.5403 4.090 1.055 1.195 0.5537 1.762 1.501 1.688
[2,] 1.2524 1.554 1.814 0.6441 4.861 1.248 1.715 0.6663 1.981 2.159 2.089
[3,] 1.4726 1.815 2.094 0.7438 5.279 1.368 2.043 0.7471 2.158 2.432 2.326
[,74] [,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.753 2.689 2.002 1.369 0.4063 1.354 1.082 1.474 0.8482 0.6877 0.4579
[2,] 2.563 3.114 2.819 2.407 0.4758 2.208 1.280 2.098 1.0181 0.9056 0.5335
[3,] 2.897 3.355 3.373 3.065 0.5390 2.836 1.478 2.886 1.1706 1.0649 0.6066
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 1.051 0.8572 2.470 2.669 0.2790 0.2393 0.3850 0.4028 0.9723 0.5053
[2,] 1.516 1.1009 3.007 3.179 0.3757 0.4258 0.4672 0.4949 1.1479 0.6180
[3,] 1.801 1.2331 3.318 3.623 0.4762 0.4993 0.5415 0.5619 1.3120 0.7242
[,95] [,96] [,97] [,98]
[1,] 0.3075 7.045 4.047 1.542
[2,] 0.3554 8.803 5.529 1.856
[3,] 0.3866 10.167 6.168 2.270
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 1.831 1.136 2.264 1.809 1.964 0.5453 0.9645
[2,] 1273.518 649.391 1529.870 1392.873 1472.602 354.2338 570.0379
[3,] 1179.978 500.549 1420.901 1325.033 1240.959 269.4977 549.3533
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.157 2.685 2.253 1.377 1.803 1.684 1.75 3.282
[2,] 1413.232 1734.039 1706.063 1057.035 1707.802 899.071 1796.02 2938.602
[3,] 1224.967 1524.638 1454.324 850.219 1149.876 953.352 1433.70 2501.532
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.762 2.045 1.993 2.615 2.491 4.053 1.766
[2,] 1452.235 2265.748 1741.355 2312.562 2079.094 2601.216 1364.005
[3,] 1271.969 1837.877 2177.648 2279.645 1889.058 3020.161 1134.495
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 3.071 1.979 0.2548 2.172 1.952 0.5983 1.563
[2,] 3305.234 1178.303 168.9497 1595.017 1296.742 377.7840 1408.423
[3,] 3167.629 1394.081 163.7913 1327.406 1774.662 423.0532 1418.954
[,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 0.5205 1.989 0.8846 0.457 2.138 1.954 1.768
[2,] 296.3711 1378.004 416.5080 329.201 1355.332 1471.008 1316.065
[3,] 267.8686 1505.239 528.6938 311.560 1458.008 1508.869 1453.257
[,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.192 1.537 1.267 0.5073 0.8231 0.3963 0.9267 1.011
[2,] 1255.885 1273.194 764.999 280.6656 554.8248 249.8870 675.8782 835.309
[3,] 994.466 1070.320 598.964 341.0264 480.4169 268.3422 671.2939 809.321
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.5245 0.3597 0.9138 1.93 2.292 1.189 1.522 1.776
[2,] 296.0263 201.5174 711.2551 1106.90 1390.389 679.607 1712.375 1034.916
[3,] 327.0800 185.8972 719.0839 1070.32 1138.893 741.272 1272.088 992.262
[,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 0.8516 1.599 1.461 1.276 1.003 1.559 0.3536
[2,] 463.0585 1466.192 1196.667 1079.767 1038.068 891.114 209.2439
[3,] 407.0573 1725.063 1256.516 1256.287 1267.608 869.371 231.9159
[,60] [,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.219 0.6029 1.244 1.261 1.464 1.594 0.6861 5.194
[2,] 1059.353 366.3835 821.521 877.529 1197.636 1505.799 402.9694 3018.960
[3,] 1203.187 316.7312 845.527 890.527 1078.941 1202.871 427.6649 2367.084
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.34 1.517 0.7031 2.237 1.906 2.144 2.225 3.415
[2,] 765.61 1413.940 426.2129 1041.907 1783.866 1414.830 2149.804 1805.349
[3,] 645.25 1277.658 388.5795 984.361 1288.779 1174.715 1552.112 1434.676
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 2.542 1.738 0.5159 1.719 1.374 1.872 1.077 0.8732
[2,] 2281.598 2276.470 284.6238 2004.604 786.380 1715.738 647.350 677.4282
[3,] 2130.232 2181.862 291.2678 2046.474 849.386 2279.416 664.351 644.2223
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 0.5815 1.335 1.089 3.137 3.39 0.3543 0.3038 0.4889
[2,] 314.7693 1256.225 794.149 1971.693 1985.11 289.3709 404.9112 304.3067
[3,] 331.9078 1118.169 638.768 1613.197 1998.14 336.2816 299.7697 314.7125
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5115 1.235 0.6416 0.3905 8.945 5.139 1.959
[2,] 330.5098 701.371 409.1839 204.9265 6069.008 4331.726 1185.833
[3,] 305.9557 730.615 434.0500 174.9876 5848.389 3142.272 1503.089
[1] "--- VAR model 2017-10-07 01:01:00 completed"
[1] "Completed training sample: 2017-10-07 01:01:00 - 2017-10-07 09:00:00"
[1] "SpVAR; training sample: 2017-10-07 01:31:00 - 2017-10-07 09:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 01:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
19.274 -7.134 -83.89 -55.97
-11.048 3.594 -55.45 -25.99
-8.958 1.914 -30.63 -39.69
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-43.74 -1.965 6.413 -26.549
-45.07 2.411 2.767 1.278
-46.96 -2.282 4.694 -6.296
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.177 -4.276 9.955 -12.36
-19.337 -14.715 6.782 -29.48
-7.676 -12.453 -1.775 -30.08
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.3776 -22.900 -37.014 -15.223
9.9886 5.385 -22.888 1.942
-8.1457 -30.931 -9.803 7.697
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-17.54 8.648 -4.063 25.49
-16.52 -20.880 -19.923 17.91
-20.70 -10.217 -26.050 -17.80
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-57.606 -9.176 -79.32 -55.99
-7.314 -8.813 -120.48 -47.90
-54.263 -2.079 -97.02 -32.58
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.241 -57.58 -50.70 -15.84
-5.181 -53.62 -54.94 -14.28
-4.562 -34.60 -90.44 -16.65
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-68.56 -5.114 -48.40 -19.75
-43.23 -1.834 -67.82 -22.64
-34.15 -2.876 -40.91 -22.75
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.873 -60.35 -35.40 -42.56
-10.136 -46.22 -56.01 -75.85
-4.937 -54.17 -50.54 -53.97
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
10.44 11.187 12.823 6.526
13.04 -10.962 -1.098 -4.593
18.84 9.539 -9.503 1.519
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.349 -2.707 -38.06 -41.81
4.115 -3.006 -30.42 -42.25
-2.623 -1.149 -31.89 -44.62
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-7.843 -3.887 -33.23 9.788
-13.812 -4.116 -30.43 10.334
-11.581 -1.967 -29.85 17.786
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.083 -3.102 -21.42 -2.877
-3.009 -11.133 -29.75 8.600
10.584 -3.937 -54.03 -4.429
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.615 -21.19 -18.57 -27.51
-7.821 -17.36 -27.80 -19.61
2.226 -40.45 -26.15 -26.12
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-29.179 -5.598 -0.2182 -21.47
-5.965 3.446 3.7184 -27.26
-26.029 6.586 -1.8172 -17.73
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.184 -3.231 9.425 3.018
-1.319 -17.221 -4.794 -11.801
-1.929 -19.942 25.654 -19.100
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
16.80 -5.279 -19.987 -6.599
-25.35 -1.719 3.001 7.285
-20.51 -5.291 -26.166 3.083
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-19.90 5.58256 0.5664 10.3729
19.28 -0.06203 0.7014 4.9213
-17.31 2.38777 -10.9659 0.6718
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
4.282 21.285 18.07 7.564
-13.084 -9.121 14.60 30.158
-1.661 -10.596 13.85 23.377
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
23.47 0.3686 0.3755 17.994
16.56 0.1446 14.1179 4.418
19.53 -2.3352 1.4577 -3.160
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-3.703 -1.902 -2.640 -2.050
8.179 10.721 1.432 3.058
15.384 7.291 -1.264 -4.404
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
15.961 -8.3066 19.061 0.3443
-7.161 2.0712 -15.537 -29.5317
15.496 -0.5501 5.445 -10.4769
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.9499 -5.461 -0.5652 -0.194
-1.6965 3.948 -0.5584 -2.802
-0.5880 -1.711 -0.3692 5.502
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-18.9236 -0.6990 -9.676 50.54
3.2818 0.2706 -8.414 20.95
-0.9641 -2.4347 -8.009 47.11
rnd_95776.volume rnd_95787.volume
-68.53 -58.59
-116.46 -59.11
-59.97 -39.25
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.440 0.8665 1.989 1.604 1.801 0.4305 0.857 1.842 2.244 1.710 1.119
[2,] 1.915 1.0668 2.464 2.160 2.279 0.5142 1.014 2.227 2.746 2.431 1.494
[3,] 2.195 1.1580 2.896 2.575 2.639 0.5676 1.116 2.496 3.018 2.803 1.691
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.363 1.330 1.454 2.704 1.535 1.713 1.654 2.030 2.009 3.359 1.424
[2,] 2.013 1.572 2.050 3.748 1.970 2.520 2.313 2.890 2.708 4.215 1.882
[3,] 2.321 1.765 2.475 4.398 2.354 3.121 2.978 3.454 3.186 4.985 2.089
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.283 1.792 0.2028 1.997 1.574 0.4956 1.439 0.3884 1.808 0.6672
[2,] 4.597 2.158 0.2644 2.555 2.020 0.6135 2.105 0.4892 2.197 0.7971
[3,] 5.396 2.562 0.3016 2.955 2.528 0.7227 2.508 0.5444 2.617 0.9245
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.3735 1.780 1.790 1.645 1.732 1.259 1.080 0.4509 0.7236 0.3403
[2,] 0.4704 2.188 2.315 2.123 2.051 1.753 1.321 0.5544 0.9188 0.4218
[3,] 0.5514 2.556 2.752 2.575 2.353 2.011 1.469 0.6521 1.0499 0.4831
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.8218 0.9883 0.4299 0.2963 0.9265 1.546 1.900 0.9313 1.325 1.421
[2,] 1.0835 1.3030 0.5160 0.3490 1.1704 1.915 2.307 1.1385 2.018 1.731
[3,] 1.2556 1.5279 0.5869 0.3868 1.4052 2.142 2.513 1.2894 2.329 1.972
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 0.6446 1.201 1.238 1.009 0.805 1.396 0.2856 1.078 0.4828 1.058 1.070
[2,] 0.7847 1.915 1.629 1.411 1.287 1.669 0.3404 1.555 0.5787 1.266 1.349
[3,] 0.8632 2.396 2.002 1.824 1.711 1.924 0.3965 1.882 0.6331 1.452 1.606
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 1.221 1.371 0.5715 4.119 1.076 1.289 0.5683 1.765 1.448 1.761 1.848
[2,] 1.592 1.978 0.7289 4.929 1.284 1.825 0.6904 2.049 2.145 2.144 2.729
[3,] 1.845 2.280 0.8413 5.257 1.442 2.150 0.7745 2.264 2.467 2.345 3.115
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 2.829 2.014 1.327 0.4424 1.326 1.116 1.610 0.810 0.7496 0.4366 1.027
[2,] 3.282 2.974 2.434 0.5307 2.177 1.372 2.169 1.054 0.9244 0.5379 1.572
[3,] 3.628 3.672 3.170 0.5811 2.938 1.576 2.985 1.193 1.0845 0.6664 1.987
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.8868 2.532 2.906 0.2868 0.2538 0.3818 0.4156 1.010 0.5547 0.2868
[2,] 1.1083 3.188 3.338 0.3880 0.4428 0.4727 0.5082 1.183 0.6693 0.3517
[3,] 1.2341 3.496 3.743 0.5137 0.5346 0.5473 0.5888 1.363 0.7891 0.3960
[,96] [,97] [,98]
[1,] 6.844 4.349 1.666
[2,] 8.682 5.731 2.069
[3,] 10.032 6.679 2.484
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.829 1.1 2.525 2.036 2.287 0.5467 1.088 2.339
[2,] 1543.600 761.2 1778.828 1770.103 1708.904 343.7445 663.285 1531.660
[3,] 1312.470 550.6 1862.004 1713.636 1626.253 294.0596 569.761 1378.502
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 2.85 2.171 1.42 1.73 1.689 1.846 3.434 1.949
[2,] 1935.40 2113.295 1211.50 1813.07 1024.234 1767.558 3173.403 1509.966
[3,] 1530.31 1705.638 969.65 1411.88 982.662 1695.252 2815.858 1576.558
[,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 2.175 2.101 2.578 2.551 4.265 1.808 4.169
[2,] 2260.855 1976.081 2515.626 2221.697 3114.956 1505.017 3935.838
[3,] 2251.910 2295.204 2312.912 2053.319 3254.374 1107.455 3455.349
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 2.276 0.2575 2.535 1.999 0.6293 1.827 0.4932
[2,] 1470.792 207.5335 1949.691 1548.409 442.2028 1879.878 363.8163
[3,] 1687.537 177.3556 1816.305 1858.877 467.2493 1667.665 292.2089
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 2.296 0.8473 0.4743 2.26 2.274 2.089 2.199
[2,] 1527.134 533.3888 349.6406 1556.35 1794.059 1640.724 1345.064
[3,] 1737.050 572.6426 351.8373 1615.37 1819.814 1783.373 1410.081
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.599 1.372 0.5726 0.9188 0.4322 1.044 1.255 0.5459
[2,] 1492.106 929.567 394.4511 692.4700 304.7556 863.606 1038.419 349.0631
[3,] 1205.103 784.733 419.8834 621.4934 288.1054 775.943 976.002 341.8979
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.3763 1.177 1.963 2.412 1.183 1.682 1.805 0.8186
[2,] 225.4277 874.647 1381.651 1600.224 800.795 1862.370 1208.748 547.2439
[3,] 203.9932 950.897 1173.049 1218.840 740.436 1420.630 1156.006 439.8293
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 1.525 1.572 1.281 1.022 1.773 0.3627 1.369
[2,] 1824.011 1294.248 1206.905 1228.280 1118.892 226.4746 1371.237
[3,] 1760.279 1424.389 1413.489 1379.444 1170.502 248.6984 1295.885
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.6131 1.344 1.359 1.55 1.741 0.7257 5.23 1.366
[2,] 390.1758 849.542 1004.351 1250.52 1742.989 553.2789 3312.59 857.501
[3,] 313.9417 871.000 1066.667 1140.67 1386.752 513.8424 2232.86 801.866
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.637 0.7216 2.242 1.839 2.236 2.347 3.592
[2,] 1580.070 479.4996 1271.675 1935.532 1496.122 2455.920 2034.498
[3,] 1390.029 429.4118 1179.505 1490.551 1160.218 1836.729 1891.461
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 2.557 1.686 0.5618 1.684 1.417 2.045 1.029 0.9519
[2,] 2677.321 2494.463 358.5279 2111.256 976.034 1777.967 824.657 661.6646
[3,] 2634.142 2485.185 289.5476 2412.898 947.676 2507.087 684.318 693.5398
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 0.5544 1.304 1.126 3.215 3.69 0.3642 0.3223 0.4848
[2,] 384.2342 1455.127 812.989 2370.183 2008.50 319.5904 443.7021 341.0039
[3,] 481.0445 1486.440 664.046 1753.493 2072.03 411.6991 366.4000 337.2401
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.5277 1.283 0.7044 0.3642 8.691 5.523 2.115
[2,] 357.6451 751.817 457.9300 248.9717 6532.993 4564.703 1501.500
[3,] 363.7102 827.610 511.2905 222.5482 6146.252 4193.626 1680.922
[1] "--- VAR model 2017-10-07 01:31:00 completed"
[1] "Completed training sample: 2017-10-07 01:31:00 - 2017-10-07 09:30:00"
[1] "SpVAR; training sample: 2017-10-07 02:01:00 - 2017-10-07 10:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 02:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.7326 2.173 -53.15 -67.44
1.0039 -4.585 -72.36 -27.48
1.9937 4.988 -58.30 -53.64
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-26.89 -1.6964 8.026 -15.970
-70.31 3.2520 -4.285 3.325
-42.69 0.0665 3.370 -4.689
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-2.959 1.693 3.11236 -20.98
-22.186 -20.568 -3.36143 -21.54
6.078 -1.132 0.05027 -26.38
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
12.606 -4.092 -12.26 1.001
-1.125 -7.226 -13.01 -4.878
-5.453 -17.857 -49.20 -4.208
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.110 -14.017 -29.188 16.135
5.333 1.892 -8.555 3.887
-23.731 -4.029 14.588 16.004
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-85.91 -6.07155 -124.3 -46.02
-82.51 0.09227 -103.5 -38.11
-63.00 -4.74845 -118.7 -44.98
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.570 -39.28 -58.37 -11.70
-7.374 -54.50 -56.59 -20.26
-7.918 -49.27 -69.04 -13.81
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-75.01 -3.030 -46.22 -23.43
-37.62 -3.267 -58.80 -24.69
-42.87 -4.365 -58.43 -18.84
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.28 -60.49 -41.71 -62.98
-11.00 -73.46 -66.30 -53.85
-11.90 -43.57 -44.92 -41.07
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
11.623 -3.158 1.5041 -2.4813
9.529 -13.137 -4.3055 5.8021
17.151 3.108 0.6563 0.7801
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.943 -3.4699 -41.55 -34.09
2.890 -1.5261 -41.38 -40.32
2.564 -0.4097 -34.26 -30.91
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-11.609 -3.969 -29.14 5.425
-15.653 -3.779 -21.20 8.399
-8.742 -4.757 -27.30 15.469
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
5.942 -6.275 -39.21 21.068
13.801 -8.516 -24.00 15.125
-4.728 -10.120 -27.93 -1.104
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.236 -15.86 -17.76 -23.04
-2.214 -17.17 -21.65 -17.02
-2.739 -25.24 -21.59 -25.25
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-27.51 -5.433 1.930 -27.24
-19.19 1.180 -1.093 -34.67
-21.10 6.575 2.216 -14.38
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.844 -16.142 5.198 3.579
-3.983 -13.553 -0.617 -12.026
-1.454 -9.088 8.999 -23.324
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.476 -5.954 -22.744 1.210
-14.426 3.260 -14.684 9.359
-20.993 -2.819 -9.688 -5.404
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.152 0.5901 -10.522 0.08946
-7.900 2.3038 4.577 -0.19916
-13.967 -1.7059 10.276 2.63106
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
18.50847 18.97 40.90 23.93
0.05705 -12.02 27.07 21.45
3.10777 4.62 13.61 16.05
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.182 0.4231 23.773 -4.1997
29.221 -1.2446 26.233 -1.3796
9.224 4.2774 1.873 0.4462
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.38 8.3073 -0.9126 -4.216
35.56 5.9612 2.2402 1.249
20.33 0.7114 -2.8260 1.568
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.818 6.9196 5.714 -11.497
-15.801 -2.8687 -15.947 2.588
-8.853 0.2304 -12.347 -6.497
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-1.1635 -1.120 1.2646 1.821
0.1685 1.731 2.8253 3.466
1.9261 5.331 0.4351 1.366
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-20.352 5.687 -7.951 20.036
-8.339 -3.666 -8.596 -2.467
-15.566 2.997 -8.384 14.874
rnd_95776.volume rnd_95787.volume
-62.12 -43.12
-93.56 -31.81
-73.75 -42.51
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.477 0.9108 2.186 2.024 2.025 0.4163 0.9185 1.964 2.301 1.648 1.205
[2,] 1.946 1.1206 2.721 2.755 2.636 0.4850 1.0518 2.339 2.779 2.414 1.574
[3,] 2.270 1.2586 3.158 3.124 3.136 0.5318 1.1633 2.590 3.123 2.856 1.762
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.404 1.335 1.497 3.010 1.818 1.752 1.699 2.293 2.195 3.613 1.479
[2,] 2.086 1.598 2.139 3.926 2.220 2.630 2.339 3.102 2.951 4.504 1.933
[3,] 2.430 1.811 2.563 4.634 2.616 3.256 3.031 3.710 3.450 5.390 2.160
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 3.774 1.969 0.1989 2.203 2.026 0.5619 1.753 0.4152 2.049 0.6954
[2,] 5.159 2.363 0.2455 2.827 2.640 0.7017 2.654 0.5111 2.607 0.8396
[3,] 6.082 2.870 0.2915 3.202 3.142 0.7872 3.109 0.5717 3.076 0.9768
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42]
[1,] 0.4094 2.054 2.115 1.934 1.773 1.264 1.206 0.4856 0.8147 0.3632
[2,] 0.5093 2.556 2.748 2.503 2.228 1.846 1.407 0.6321 1.0285 0.4489
[3,] 0.6022 2.995 3.322 3.025 2.698 2.059 1.548 0.7570 1.1613 0.5187
[,43] [,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.9723 1.107 0.4267 0.2993 1.072 1.755 1.981 1.005 1.470 1.437 0.7055
[2,] 1.2605 1.437 0.5278 0.3533 1.430 2.082 2.326 1.237 2.186 1.716 0.8370
[3,] 1.4717 1.741 0.5900 0.4016 1.719 2.370 2.593 1.375 2.529 2.033 0.9346
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 1.276 1.259 1.013 0.9198 1.362 0.2846 1.074 0.4711 1.090 1.161 1.162
[2,] 2.010 1.666 1.445 1.4122 1.673 0.3448 1.541 0.5707 1.301 1.431 1.701
[3,] 2.522 2.028 1.847 1.8192 1.976 0.4055 1.891 0.6319 1.495 1.686 2.018
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 1.335 0.6509 3.867 1.114 1.376 0.6090 1.803 1.496 1.733 1.875 2.984
[2,] 2.001 0.7941 4.798 1.325 1.899 0.7318 2.128 2.176 2.240 2.674 3.355
[3,] 2.288 0.9060 5.303 1.510 2.246 0.8440 2.369 2.522 2.496 3.042 3.759
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 2.151 1.328 0.4681 1.449 1.095 1.717 0.886 0.7634 0.5779 1.175 0.8543
[2,] 3.024 2.480 0.5605 2.301 1.379 2.378 1.137 0.9894 0.7017 1.668 1.1047
[3,] 3.734 3.172 0.6137 3.068 1.593 3.183 1.297 1.1589 0.8411 2.035 1.2460
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 2.583 2.860 0.3031 0.2931 0.4055 0.4535 1.088 0.5511 0.3022 6.759
[2,] 3.227 3.266 0.4305 0.4827 0.5100 0.5466 1.308 0.6923 0.3641 8.477
[3,] 3.591 3.714 0.5497 0.5800 0.5858 0.6334 1.467 0.8290 0.4063 9.798
[,97] [,98]
[1,] 4.386 1.974
[2,] 6.220 2.430
[3,] 7.169 2.947
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 1.875 1.157 2.776 2.57 2.572 0.5286 1.166 2.494
[2,] 1661.483 855.588 2124.135 2448.58 2211.649 326.1572 671.747 1664.346
[3,] 1531.421 751.088 2098.765 1930.58 2225.169 285.9235 651.364 1457.849
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 2.922 2.093 1.53 1.783 1.696 1.901 3.822
[2,] 2042.058 2311.575 1326.58 2022.623 1150.239 2001.512 3304.950
[3,] 1868.210 2001.432 1037.95 1633.050 1116.605 1851.348 3224.618
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.309 2.225 2.157 2.911 2.787 4.587 1.878
[2,] 1670.332 2571.097 2106.869 2739.205 2585.251 3525.576 1630.212
[3,] 1813.239 2514.381 2525.843 2667.628 2343.030 3881.161 1263.136
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 4.792 2.5 0.2526 2.797 2.572 0.7136 2.226 0.5272
[2,] 4610.625 1712.7 188.6120 2323.151 2218.847 550.8596 2612.302 390.6770
[3,] 4221.444 2135.7 205.9532 1969.005 2233.775 467.4187 2120.555 335.6604
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 2.602 0.8831 0.5198 2.608 2.685 2.456 2.251
[2,] 2112.697 616.4494 397.0329 1993.216 2299.674 2083.128 1768.870
[3,] 2139.716 654.4545 421.2994 2046.954 2447.498 2226.711 1995.145
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 1.605 1.531 0.6166 1.035 0.4612 1.235 1.406 0.5418
[2,] 1762.909 949.267 530.4109 822.664 345.6998 1051.380 1200.401 407.2509
[3,] 1194.985 846.719 545.8309 706.888 340.6533 995.637 1287.158 345.3428
[,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.3801 1.361 2.228 2.516 1.276 1.866 1.825
[2,] 246.0507 1240.261 1467.630 1597.712 945.474 2120.107 1228.489
[3,] 250.1822 1251.025 1485.703 1501.745 786.420 1667.822 1429.563
[,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 0.8959 1.62 1.599 1.286 1.168 1.729 0.3614
[2,] 590.2541 2036.37 1429.847 1351.403 1404.499 1274.084 255.2601
[3,] 544.7859 1995.77 1516.783 1508.395 1502.894 1376.662 279.5577
[,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.364 0.5982 1.384 1.474 1.476 1.695 0.8265
[2,] 1447.003 422.1950 931.614 1097.826 1628.727 1954.825 596.1708
[3,] 1436.494 355.5451 963.695 1167.333 1421.948 1451.814 571.7456
[,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 4.911 1.415 1.748 0.7734 2.289 1.899 2.201
[2,] 3722.064 939.748 1715.529 531.6590 1482.035 2072.157 1859.034
[3,] 2960.438 949.110 1570.664 551.0657 1364.891 1670.523 1442.648
[,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.381 3.789 2.731 1.687 0.5944 1.841 1.391
[2,] 2498.557 2008.579 2784.875 2745.469 404.1180 2341.772 1097.799
[3,] 1901.738 2223.118 2871.239 2591.007 327.5050 2660.336 1046.356
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.181 1.125 0.9693 0.7339 1.492 1.085 3.28 3.632
[2,] 2156.703 932.880 824.9319 521.5807 1550.985 918.010 2536.74 2066.415
[3,] 2773.000 818.639 790.8620 607.8483 1528.812 755.276 2062.12 2317.254
[,89] [,90] [,91] [,92] [,93] [,94] [,95]
[1,] 0.3849 0.3721 0.5149 0.5758 1.382 0.6998 0.3838
[2,] 400.6189 502.6358 405.4760 399.9569 950.839 549.1708 266.1801
[3,] 447.9260 421.6295 377.6023 419.4003 871.539 597.7352 236.1893
[,96] [,97] [,98]
[1,] 8.583 5.569 2.507
[2,] 6705.057 5780.228 1856.588
[3,] 6439.387 4671.670 2184.751
[1] "--- VAR model 2017-10-07 02:01:00 completed"
[1] "Completed training sample: 2017-10-07 02:01:00 - 2017-10-07 10:00:00"
[1] "SpVAR; training sample: 2017-10-07 02:31:00 - 2017-10-07 10:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 02:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-10.355 -6.006 -79.48 -49.37
15.177 -4.378 -68.64 -59.87
2.576 -2.781 -23.31 -60.65
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-48.62 0.009341 1.561 -17.612
-49.65 3.573620 10.516 -6.291
-39.91 0.059182 3.631 -22.216
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-17.73 -11.8285 -1.994 -6.901
-14.80 -23.2099 -1.346 -36.100
-15.44 -0.3959 9.349 -44.243
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.2257 -1.712 -15.85 12.957
-0.1783 -10.513 -19.49 2.423
2.4592 -31.276 -31.26 13.136
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-24.433 -22.804 -13.344 8.510
-8.529 -3.958 -28.555 -8.483
-15.504 -16.528 5.116 31.490
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-42.94 -2.118 -98.54 -44.11
-48.23 -3.897 -129.76 -54.75
-39.03 -12.641 -105.31 -48.93
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.499 -55.22 -40.79 -21.06
-9.429 -72.26 -61.59 -24.14
-8.848 -53.27 -77.26 -23.77
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-70.25 -6.552 -38.23 -28.61
-64.03 -3.227 -52.49 -31.17
-55.96 -8.357 -38.13 -30.50
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.21 -41.13 -55.13 -50.42
-13.64 -62.59 -48.02 -44.00
-15.88 -51.07 -45.38 -54.09
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
22.166 0.8794 2.927 7.14585
1.294 -6.5263 -2.836 -0.03966
-9.168 -9.0088 -3.422 0.10541
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.766 2.687 -31.54 -54.16
1.905 1.474 -45.68 -50.51
3.196 2.025 -40.57 -36.44
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-18.82 -6.407 -38.36 -4.973
-19.33 -5.533 -37.29 12.356
-20.34 -7.384 -39.72 13.002
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
16.61 -8.509 -27.07 14.9140
22.26 -9.930 -38.72 -0.8629
11.39 -8.081 -25.15 9.0675
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.2228 -30.48 -23.87 -26.101
-5.1474 -10.84 -12.26 -25.059
-0.5871 -33.57 -28.37 -9.632
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-27.82 -4.949 -2.6472 -7.79
-22.04 11.420 -3.1392 -27.43
-22.92 9.088 0.1143 -15.06
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.3759 -7.003 9.166 -1.1275
-1.6658 -2.842 11.042 -0.5737
-0.4176 -12.035 22.526 2.9070
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.639 -1.530 -1.733 -15.646
-2.394 -2.376 19.176 1.507
-3.566 -3.678 2.333 -6.396
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.120 1.785 6.871 -4.959
-12.184 -1.814 9.759 6.140
-2.784 1.636 -4.746 3.166
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-21.221 -17.60119 26.60 10.224
-2.975 -9.03320 20.03 -19.428
-7.984 -0.07147 28.11 -1.873
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
28.341 3.700 9.931 12.898
6.682 1.243 24.277 -7.426
5.172 -1.068 -7.309 -3.918
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
12.22 -3.016 -6.061 -2.153
37.53 2.161 -3.876 1.294
-12.20 6.946 -5.703 -3.542
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.342 0.8551 2.0677 -15.87
-4.551 -2.9828 -0.4801 14.90
1.997 -12.9208 -28.0685 -20.91
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.833 2.718 0.08336 3.950
3.185 5.245 4.99628 2.312
3.182 1.205 3.65563 3.196
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-11.979 0.2906 -7.522 11.34
-7.592 1.4440 -9.793 22.98
-7.876 -0.4990 -7.381 44.09
rnd_95776.volume rnd_95787.volume
-44.08 -44.82
-84.08 -68.84
-70.41 -52.83
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.570 0.963 3.129 2.153 2.285 0.3987 0.9618 2.174 2.385 1.733 1.220
[2,] 1.985 1.216 4.056 3.092 2.984 0.4612 1.1025 2.545 2.947 2.694 1.654
[3,] 2.354 1.377 4.801 3.765 3.519 0.5193 1.2120 2.812 3.257 3.055 1.855
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.480 1.387 1.667 3.188 1.999 1.992 1.858 2.685 2.512 3.720 1.430
[2,] 2.194 1.707 2.283 4.190 2.392 2.894 2.580 3.409 3.220 4.659 1.847
[3,] 2.581 1.921 2.763 4.946 2.729 3.408 3.281 4.029 3.792 5.764 2.065
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 4.562 2.190 0.2075 2.573 2.430 0.6025 2.134 0.4245 2.339 0.7881
[2,] 6.282 2.752 0.2539 3.315 3.177 0.7514 3.106 0.5209 2.988 0.9385
[3,] 7.285 3.335 0.2984 3.891 3.731 0.8478 3.692 0.5757 3.482 1.0694
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.4741 2.182 2.288 2.340 1.928 1.519 1.320 0.5407 0.9068 0.4179 1.138
[2,] 0.5678 2.936 2.964 2.948 2.436 1.955 1.525 0.6969 1.1529 0.5416 1.543
[3,] 0.6538 3.507 3.592 3.483 2.925 2.239 1.691 0.8116 1.3180 0.6184 1.847
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.342 0.4193 0.3079 1.198 1.897 2.032 1.012 1.645 1.495 0.7062 1.348
[2,] 1.746 0.5185 0.3580 1.638 2.286 2.420 1.276 2.319 1.869 0.8448 2.090
[3,] 2.097 0.5860 0.4013 1.999 2.599 2.731 1.414 2.672 2.171 0.9607 2.713
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.332 1.099 0.9509 1.422 0.3258 1.120 0.4972 1.083 1.204 1.178 1.366
[2,] 1.742 1.530 1.5036 1.759 0.3896 1.569 0.6068 1.312 1.497 1.802 2.102
[3,] 2.166 1.967 1.9380 2.043 0.4488 1.938 0.6802 1.536 1.750 2.070 2.378
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.6914 3.978 1.121 1.427 0.6907 1.873 1.550 1.766 1.946 2.928 2.616
[2,] 0.8284 4.962 1.345 1.932 0.8011 2.183 2.283 2.334 2.836 3.441 3.682
[3,] 0.9670 5.549 1.564 2.288 0.8946 2.466 2.617 2.580 3.169 3.912 4.325
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.350 0.4616 1.739 1.169 1.766 0.891 0.8361 0.6347 1.292 1.028 2.813
[2,] 2.586 0.5701 2.513 1.405 2.391 1.160 1.0215 0.7837 1.816 1.290 3.603
[3,] 3.387 0.6329 3.300 1.636 3.227 1.410 1.2110 0.9275 2.205 1.431 4.080
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.837 0.3008 0.3240 0.4228 0.5206 1.113 0.6450 0.3060 7.001 4.381
[2,] 3.303 0.4643 0.5376 0.5811 0.6391 1.348 0.8254 0.3631 8.669 6.501
[3,] 3.808 0.6100 0.6574 0.6543 0.7148 1.547 0.9537 0.4029 9.930 7.496
[,98]
[1,] 2.342
[2,] 2.960
[3,] 3.491
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 1.993 1.223 3.973 2.734 2.901 0.5063 1.221
[2,] 1775.452 1085.440 3770.349 3241.846 2803.546 338.5925 787.368
[3,] 1849.258 944.668 3754.134 3139.076 2725.902 348.9488 735.530
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 2.761 3.029 2.201 1.55 1.879 1.761 2.117
[2,] 1934.572 2528.506 3013.698 1632.04 2366.000 1456.027 2278.528
[3,] 1746.975 2025.545 2103.362 1227.11 1987.371 1285.014 2273.729
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.048 2.539 2.529 2.359 3.41 3.19 4.724 1.816
[2,] 3973.610 1918.822 3066.729 2615.385 3069.43 2944.03 4097.812 1706.452
[3,] 3839.698 1917.581 2630.462 2962.287 3137.39 2924.79 4957.984 1349.683
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 5.793 2.781 0.2635 3.268 3.086 0.765 2.709
[2,] 6311.222 2434.894 213.6887 3053.078 2991.267 656.178 3298.479
[3,] 5390.299 2751.817 229.2173 2976.128 2856.515 573.661 2916.782
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.5391 2.97 1.001 0.6021 2.771 2.905 2.971 2.449
[2,] 440.9422 2717.81 744.573 456.4846 2870.203 2753.472 2619.090 2175.861
[3,] 358.3727 2610.35 748.907 473.5878 2802.547 2964.242 2709.735 2364.783
[,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 1.929 1.677 0.6866 1.151 0.5307 1.445 1.704
[2,] 1798.220 1115.228 642.4866 1040.200 503.3003 1521.803 1632.866
[3,] 1595.616 1065.751 607.6106 933.206 436.0653 1485.052 1696.588
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.5325 0.391 1.521 2.408 2.58 1.285 2.089 1.898
[2,] 445.5588 266.948 1633.543 1863.970 1921.63 1135.585 2388.014 1640.373
[3,] 398.9769 264.746 1672.007 1808.435 1849.51 889.950 1940.776 1611.455
[,53] [,54] [,55] [,56] [,57] [,58] [,59]
[1,] 0.8968 1.712 1.691 1.395 1.208 1.805 0.4138
[2,] 677.4271 2334.713 1641.149 1555.723 1701.703 1512.679 311.9607
[3,] 668.5185 2527.595 1879.693 1806.583 1786.654 1519.312 325.7123
[,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.423 0.6314 1.375 1.529 1.496 1.735 0.878
[2,] 1604.436 508.2623 1083.462 1300.218 1992.064 2333.693 666.598
[3,] 1663.395 448.8921 1165.280 1323.750 1488.450 1624.617 728.806
[,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 5.051 1.424 1.812 0.8771 2.378 1.968 2.242
[2,] 4333.110 1086.659 1903.436 592.8626 1640.428 2448.696 2230.771
[3,] 3630.976 1164.786 1790.696 581.8571 1676.059 1869.182 1607.124
[,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.471 3.718 3.322 1.714 0.5862 2.208 1.485
[2,] 3013.760 2639.958 3785.150 3223.613 488.7283 2651.551 1138.921
[3,] 2067.913 2719.399 3317.040 3194.373 401.5459 3123.788 1222.528
[,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 2.242 1.131 1.062 0.806 1.641 1.306 3.572 3.603
[2,] 2355.089 1085.133 857.512 671.683 1863.816 1138.304 3291.148 2470.688
[3,] 3167.690 1171.980 950.332 724.722 1828.707 905.813 2796.790 2768.205
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 0.382 0.4114 0.5369 0.6611 1.413 0.8191 0.3885 8.89
[2,] 516.783 626.8829 582.4153 541.6283 1111.743 752.4474 285.5377 7470.95
[3,] 577.975 552.8873 439.5299 467.9299 1108.140 698.1751 255.0867 7075.19
[,97] [,98]
[1,] 5.563 2.974
[2,] 7017.607 2645.729
[3,] 5452.000 2704.377
[1] "--- VAR model 2017-10-07 02:31:00 completed"
[1] "Completed training sample: 2017-10-07 02:31:00 - 2017-10-07 10:30:00"
[1] "SpVAR; training sample: 2017-10-07 03:01:00 - 2017-10-07 11:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 03:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.9221 -3.983 -35.71 -60.10
14.3298 -4.655 -54.78 -40.54
13.5398 9.959 -40.35 -51.04
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-74.00 -4.6444 1.112 14.524
-81.02 0.3519 -9.159 7.488
-30.52 0.2005 12.434 9.971
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
14.4690 21.569 0.1212 -10.609
0.3936 -4.017 11.2335 -5.939
-4.7228 5.756 -4.3458 -21.363
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
12.76 9.521 -30.84 12.066
10.10 -4.673 -23.17 15.223
13.31 11.196 -40.30 -6.552
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
17.69 -11.615 28.49 36.92
10.51 18.907 28.06 13.03
15.79 8.721 17.66 20.07
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-63.84 -0.2427 -61.86 -30.70
-66.67 -18.8521 -78.06 -46.68
-95.39 -17.6505 -128.89 -56.41
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-6.883 -42.45 -65.94 -18.29
-8.731 -90.27 -34.12 -17.20
-6.620 -29.60 -57.27 -17.20
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-63.00 -5.901 -34.76 -24.09
-40.46 -7.504 -60.04 -34.18
-54.58 -6.248 -26.09 -21.32
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.74 -29.43 -68.58 -54.70
-18.81 -40.01 -61.54 -25.84
-14.03 -40.27 -28.05 -31.94
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
27.418 5.264 -0.3823 -4.574
3.343 10.986 14.2192 5.000
-25.282 -21.196 -0.9549 -2.876
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-7.815 -3.7706 -37.56 -45.16
-6.620 1.1593 -31.54 -24.92
-7.849 -0.6572 -36.90 -20.66
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-16.22 -6.988 -19.69 6.931
-19.07 -7.578 -21.71 29.840
-16.38 -8.623 -23.51 6.261
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
19.698 -9.238 -38.07 -16.753
-3.966 -8.782 -27.61 -1.637
9.230 -9.029 -10.70 19.262
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.5212 -20.12 -22.57 -29.81
0.8075 -17.95 -36.91 -23.86
-0.5663 -35.77 -15.41 -18.59
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-27.91 -0.9840 -1.958 -32.53
-22.91 25.7256 -2.440 -20.60
-32.71 0.9956 2.283 -2.53
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.7146 -18.112 -0.8905 -12.832
-1.0991 -21.059 10.1041 -6.261
0.2188 -2.454 12.1651 -15.461
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
0.9003 3.480 -13.15 4.138
-18.7943 2.848 9.34 11.840
-12.7353 -3.531 -52.85 4.863
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.9971 -5.561 -1.633 3.729
-0.2971 -5.095 22.642 3.646
-6.1365 -2.552 16.519 22.045
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
14.824 20.865 32.14 -13.97
-4.653 9.833 16.73 -6.74
2.150 17.958 12.91 -21.64
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
2.167 -1.497 24.612 -8.926
21.479 1.240 -9.047 2.364
6.798 1.547 6.124 10.153
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
15.976 1.359 -2.373 6.780
1.123 -6.864 -6.123 -1.051
25.241 9.903 -1.942 2.187
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-13.965 2.064 17.62 -12.303
11.022 -4.774 -7.98 9.909
-4.169 8.530 -10.14 -3.812
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-6.2279 -2.914 2.206 6.3351
-1.8795 2.387 2.513 -0.5186
0.8304 1.207 1.710 0.9523
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-17.477 -5.485 -7.126 -6.032
-1.992 -2.971 -8.086 24.164
-7.275 -1.732 -9.721 5.000
rnd_95776.volume rnd_95787.volume
11.91 -30.51
-115.78 -39.42
-14.22 -49.75
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.685 1.003 3.561 2.580 2.598 0.3906 1.003 2.290 2.521 1.852 1.267
[2,] 2.157 1.289 4.721 3.545 3.586 0.4673 1.164 2.831 3.101 2.818 1.751
[3,] 2.584 1.428 5.429 4.340 4.298 0.5291 1.275 3.175 3.513 3.280 1.999
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.589 1.383 1.793 3.208 2.075 2.126 2.044 3.385 2.816 4.189 1.561
[2,] 2.306 1.754 2.436 4.235 2.526 3.067 2.966 4.457 3.568 5.233 1.981
[3,] 2.761 1.971 2.952 5.058 2.858 3.764 3.668 5.268 4.165 6.267 2.203
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 5.500 2.785 0.2291 2.795 2.711 0.6183 2.378 0.4434 2.605 0.8286
[2,] 7.612 3.453 0.2749 3.709 3.515 0.7578 3.430 0.5387 3.353 0.9837
[3,] 9.103 4.095 0.3225 4.278 4.142 0.8625 4.082 0.5872 4.040 1.1535
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.5329 2.556 2.599 2.800 2.047 1.591 1.456 0.6134 0.9889 0.4495 1.333
[2,] 0.6327 3.366 3.587 3.566 2.582 2.155 1.753 0.7627 1.2404 0.5751 1.673
[3,] 0.7362 4.129 4.324 4.166 3.102 2.461 2.000 0.8771 1.3993 0.6756 2.033
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.589 0.4289 0.3299 1.530 1.934 2.149 1.043 1.644 1.586 0.7218 1.497
[2,] 2.098 0.5345 0.3755 2.038 2.345 2.648 1.342 2.433 2.046 0.8747 2.234
[3,] 2.495 0.5986 0.4126 2.476 2.640 2.972 1.467 2.923 2.316 1.0247 2.889
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.378 1.182 1.010 1.671 0.3603 1.222 0.5062 1.063 1.463 1.368 1.583
[2,] 1.833 1.614 1.581 2.084 0.4202 1.714 0.6588 1.368 1.805 1.978 2.247
[3,] 2.387 2.076 2.056 2.400 0.4809 2.089 0.7286 1.642 2.083 2.285 2.582
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.7747 3.833 1.287 1.512 0.6890 1.893 1.612 2.041 2.257 3.037 2.833
[2,] 0.9500 5.137 1.554 2.042 0.8143 2.358 2.410 2.761 3.228 3.632 3.892
[3,] 1.1041 5.825 1.765 2.437 0.9389 2.679 2.898 3.051 3.685 4.034 4.594
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.505 0.5047 1.876 1.333 1.979 0.9653 0.8248 0.7666 1.377 1.142 2.985
[2,] 2.679 0.6054 2.751 1.628 2.712 1.2323 1.0329 0.9642 1.971 1.443 3.712
[3,] 3.561 0.6725 3.471 1.860 3.493 1.4600 1.2629 1.1233 2.382 1.598 4.243
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.986 0.3248 0.3602 0.4623 0.5609 1.059 0.6954 0.3041 6.880 4.838
[2,] 3.561 0.5010 0.6282 0.6648 0.7100 1.369 0.8945 0.3752 8.594 7.079
[3,] 4.078 0.6869 0.7587 0.7601 0.8018 1.607 1.0784 0.4147 9.867 8.189
[,98]
[1,] 2.692
[2,] 3.506
[3,] 4.057
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 2.14 1.274 4.522 3.277 3.299 0.496 1.273 2.908
[2,] 2025.11 1216.896 4659.636 3653.855 3715.244 385.685 887.712 2502.132
[3,] 2137.98 921.831 4029.919 3763.027 3561.491 372.853 781.461 2160.614
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 3.201 2.352 1.61 2.018 1.756 2.277 4.073
[2,] 2713.569 3192.433 1816.15 2511.508 1622.077 2479.057 4156.972
[3,] 2483.893 2523.537 1451.16 2283.672 1352.966 2506.427 4157.044
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.635 2.699 2.596 4.298 3.576 5.32 1.982
[2,] 2166.075 3323.593 3229.807 4358.783 3293.456 4715.26 1834.465
[3,] 2008.944 3281.238 3244.690 4223.403 3229.830 5182.33 1447.548
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 6.984 3.537 0.291 3.549 3.443 0.7851 3.019
[2,] 7912.613 3068.935 228.316 3664.843 3363.559 658.6610 3716.052
[3,] 7503.022 3307.194 253.494 3206.467 3293.520 619.2389 3327.216
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.5631 3.308 1.052 0.6767 3.245 3.3 3.556 2.6
[2,] 459.7851 3172.595 797.136 512.7161 3294.181 3716.3 3320.600 2365.6
[3,] 351.5700 3389.512 905.611 565.9077 3595.006 3630.1 3236.644 2583.4
[,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 2.02 1.849 0.7789 1.256 0.5708 1.693 2.018
[2,] 2184.98 1466.447 681.3522 1125.648 539.3117 1520.247 2059.460
[3,] 1788.00 1446.460 651.2677 973.669 532.9664 1736.628 2029.962
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 0.5446 0.4189 1.943 2.456 2.729 1.324 2.087
[2,] 479.4540 269.5876 2023.744 1992.778 2325.819 1269.225 2696.657
[3,] 405.2636 257.2066 2114.504 1823.562 2028.062 892.966 2435.672
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 2.014 0.9166 1.901 1.75 1.501 1.282 2.122
[2,] 1942.732 742.7290 2493.432 1817.01 1652.842 1829.503 1870.819
[3,] 1633.330 802.4326 2754.025 2298.05 1962.124 1974.534 1791.779
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.4575 1.552 0.6428 1.35 1.858 1.737 2.01 0.9838
[2,] 325.2353 1806.526 634.0271 1293.86 1588.678 2148.390 2398.60 826.6631
[3,] 351.5923 1796.219 467.6799 1365.89 1562.821 1718.259 1911.18 845.8224
[,67] [,68] [,69] [,70] [,71] [,72] [,73]
[1,] 4.867 1.634 1.92 0.8749 2.404 2.047 2.592
[2,] 5143.302 1311.002 2063.02 652.3695 2114.467 2692.682 2795.071
[3,] 4127.091 1256.245 1998.79 702.6601 1910.117 2418.985 1950.006
[,74] [,75] [,76] [,77] [,78] [,79] [,80]
[1,] 2.866 3.856 3.598 1.911 0.6408 2.382 1.692
[2,] 3469.698 2996.031 4012.565 3331.520 502.7255 3025.529 1404.352
[3,] 2670.317 2637.609 3667.326 3528.270 440.1371 3180.694 1354.672
[,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.513 1.226 1.047 0.9735 1.748 1.451 3.791
[2,] 2787.406 1151.534 934.672 879.1314 2120.138 1324.295 3316.079
[3,] 3308.802 1177.220 1092.506 866.5194 2009.968 1032.351 3091.079
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 3.791 0.4125 0.4573 0.587 0.7123 1.345 0.8831
[2,] 2917.195 573.3591 773.7278 718.219 654.4721 1304.665 845.6632
[3,] 2989.175 706.6178 639.7309 553.973 559.7640 1265.362 905.6166
[,95] [,96] [,97] [,98]
[1,] 0.3862 8.736 6.144 3.418
[2,] 330.2617 7744.171 7769.045 3377.787
[3,] 265.7064 7285.561 6186.559 3068.316
[1] "--- VAR model 2017-10-07 03:01:00 completed"
[1] "Completed training sample: 2017-10-07 03:01:00 - 2017-10-07 11:00:00"
[1] "SpVAR; training sample: 2017-10-07 03:31:00 - 2017-10-07 11:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 03:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-1.12234 2.420 -69.42 -78.44
-0.03063 3.052 -45.01 -80.78
-11.17162 -5.171 -80.40 -50.50
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-71.49 4.132 7.6947 11.549
-87.16 1.960 1.7265 -5.321
-71.82 1.076 -0.7242 -5.136
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-1.514 -10.580 0.2358 -44.20
-0.504 2.528 3.1335 -15.33
-6.624 -20.747 1.9688 -38.44
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-8.653 -23.01 -3.373 1.771
-2.421 -12.20 -19.847 -1.156
6.969 -16.27 17.698 6.452
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-36.586 -2.819 -35.892 24.099
-26.517 -35.393 -2.372 3.761
-6.343 -17.012 -32.674 -9.606
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-80.11 2.141 -150.5 -75.50
-58.80 -12.758 -112.7 -57.69
-75.29 -6.680 -127.4 -60.43
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-10.581 -100.63 -67.99 -25.09
-5.782 -48.51 -89.97 -14.20
-7.365 -81.57 -68.79 -19.80
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-55.26 -8.266 -74.75 -39.68
-86.32 -8.703 -63.57 -23.54
-56.98 -7.528 -83.28 -24.26
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.59 -49.14 -63.99 -22.63
-18.78 -67.30 -67.90 -98.85
-19.60 -74.69 -77.33 -76.23
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-6.935 -9.845 3.609 2.609
-4.708 -3.125 -11.046 1.764
7.440 11.017 1.077 -2.522
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-0.003717 1.048 -26.89 -44.34
-7.107098 -4.627 -36.36 -33.20
2.719690 1.447 -35.20 -69.09
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-10.774 -4.037 -39.44 21.839
-5.301 -4.432 -35.68 6.924
-4.595 -7.334 -44.88 20.262
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.128 -6.489 -33.33 -0.4786
-10.232 -4.168 -24.10 17.7136
23.704 -2.654 -24.90 1.9346
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.833 -15.7 -13.046 -21.4432
1.527 -24.0 -24.295 -8.9673
-1.525 -18.2 -3.406 -0.7717
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-16.17 5.800 -1.5960 -9.604
-14.17 2.012 2.2680 -13.980
-14.29 -4.005 -0.8162 -14.811
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.007 -19.48 4.778 -6.863
-7.420 -4.69 6.168 -14.694
-4.644 -14.47 -2.299 -7.422
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-14.556 -10.416 35.531 8.9388
8.503 1.747 -5.339 3.4298
-18.570 1.747 13.668 0.5796
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.4360 -4.5069 12.32 3.383
-12.4013 8.0674 -15.82 -5.316
-0.2099 -0.9685 8.08 -6.679
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.323 -29.06 0.19052 -10.719
-12.991 13.15 43.96596 18.646
3.360 -12.82 0.03913 4.899
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-15.59 2.1381 1.398 -8.092
-16.63 -7.2459 -16.335 -1.828
41.32 0.2783 23.084 -4.139
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-15.69185 3.4728 -3.465 -4.223
-0.08924 -0.3181 -13.172 -3.957
-30.77769 2.9308 -2.644 7.616
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-18.3177 4.2851 -10.551 -5.715
4.0696 -0.3243 22.163 6.865
-0.6088 -4.9663 1.414 18.602
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.773 4.885 1.8225 -0.1578
2.435 -2.346 1.2731 5.2787
-1.253 2.826 0.1803 -7.4220
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.694 1.564 -9.351 19.5534
1.564 1.846 -11.452 0.5306
-12.099 3.223 -10.130 6.1990
rnd_95776.volume rnd_95787.volume
-55.16 -71.37
-71.49 -67.31
-58.53 -83.80
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 1.895 1.145 4.047 2.799 2.841 0.3947 1.073 2.451 2.641 2.003 1.385
[2,] 2.417 1.452 5.145 3.889 3.845 0.4950 1.265 2.969 3.291 3.074 1.890
[3,] 2.804 1.610 5.889 4.831 4.566 0.5615 1.400 3.323 3.748 3.533 2.154
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.601 1.547 1.869 3.238 2.181 2.312 2.452 4.341 3.091 4.597 1.634
[2,] 2.372 1.895 2.558 4.416 2.700 3.356 3.587 5.332 3.860 5.682 2.053
[3,] 2.821 2.103 3.058 5.263 3.140 3.957 4.251 6.231 4.740 6.803 2.288
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 6.527 3.311 0.2488 3.311 3.193 0.6255 2.679 0.4572 3.066 0.902
[2,] 8.474 4.107 0.3059 4.364 3.981 0.7693 3.717 0.5491 3.901 1.079
[3,] 10.197 4.786 0.3470 5.069 4.892 0.9135 4.510 0.6012 4.675 1.271
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.5759 2.867 2.840 3.174 2.471 1.764 1.524 0.6937 1.319 0.4762 1.531
[2,] 0.6807 3.883 3.838 4.184 2.997 2.392 1.808 0.8917 1.502 0.6140 1.981
[3,] 0.7882 4.563 4.568 4.873 3.583 2.749 2.120 1.0309 1.684 0.7263 2.342
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 1.878 0.6649 0.3626 1.754 2.039 2.424 1.124 1.856 1.726 0.7495 1.488
[2,] 2.522 0.8567 0.4267 2.250 2.503 2.996 1.405 2.663 2.241 0.9062 2.351
[3,] 3.023 0.9954 0.4826 2.695 2.893 3.312 1.535 3.262 2.581 1.0651 3.000
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.454 1.256 1.090 1.988 0.3891 1.311 0.5441 1.179 1.588 1.484 1.684
[2,] 1.949 1.702 1.722 2.419 0.4522 1.835 0.6934 1.479 1.958 2.111 2.461
[3,] 2.468 2.235 2.212 2.706 0.5204 2.242 0.7792 1.790 2.269 2.427 2.756
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.9003 4.228 1.348 1.606 0.7662 2.023 1.741 2.437 2.493 3.273 3.118
[2,] 1.0787 5.534 1.653 2.144 0.9087 2.580 2.561 3.050 3.445 3.958 4.160
[3,] 1.2364 6.205 1.885 2.679 1.0288 2.946 3.043 3.448 4.102 4.405 4.825
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.710 0.5593 2.085 1.454 2.236 1.121 0.8875 0.8589 1.561 1.166 3.210
[2,] 2.969 0.6607 3.099 1.766 3.084 1.439 1.1025 1.0548 2.148 1.515 4.086
[3,] 3.915 0.7505 3.869 1.994 3.856 1.652 1.3423 1.2426 2.597 1.691 4.607
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.229 0.4436 0.4964 0.5658 0.6328 1.085 0.8588 0.3121 6.792 5.455
[2,] 3.846 0.6429 0.8177 0.8279 0.8344 1.406 1.1154 0.3946 8.357 7.586
[3,] 4.466 0.8166 1.0147 1.0035 0.9447 1.665 1.3021 0.4479 9.677 8.865
[,98]
[1,] 3.093
[2,] 4.035
[3,] 4.558
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 2.407 1.454 5.139 3.555 3.608 0.5012 1.362
[2,] 2255.922 1343.527 4776.524 4058.823 3894.387 449.0035 1008.428
[3,] 2134.510 1043.355 4305.433 4308.278 3701.125 398.4494 900.583
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 3.112 3.354 2.543 1.758 2.033 1.964 2.373
[2,] 2519.301 2951.998 3505.857 1933.900 2632.054 1646.148 2624.801
[3,] 2242.034 2695.559 2618.701 1552.971 2294.881 1368.803 2519.755
[,15] [,16] [,17] [,18] [,19] [,20] [,21]
[1,] 4.112 2.769 2.936 3.114 5.513 3.925 5.837
[2,] 4513.578 2392.513 3656.128 3934.867 4654.120 3475.688 5021.368
[3,] 4304.873 2411.661 3151.234 3429.735 4846.751 4136.858 5623.615
[,22] [,23] [,24] [,25] [,26] [,27] [,28]
[1,] 2.075 8.289 4.204 0.3159 4.204 4.055 0.7943
[2,] 1868.226 8123.765 3652.438 267.6315 4273.657 3574.807 673.3813
[3,] 1516.974 8526.818 3695.723 245.9854 3876.857 4272.217 740.5483
[,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
[1,] 3.402 0.5806 3.893 1.145 0.7313 3.64 3.607 4.03
[2,] 3873.121 457.0114 3625.326 888.858 545.5049 3937.68 3879.229 4099.34
[3,] 3838.224 368.2226 3872.287 1011.491 597.3168 3603.23 3725.057 3755.36
[,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 3.137 2.24 1.935 0.8809 1.675 0.6047 1.944
[2,] 2549.731 2428.48 1463.042 842.2981 1080.276 582.6010 1890.987
[3,] 2951.313 2037.62 1665.498 777.5699 1143.563 583.1581 1876.072
[,44] [,45] [,46] [,47] [,48] [,49] [,50]
[1,] 2.384 0.8443 0.4605 2.227 2.59 3.078 1.428
[2,] 2530.733 812.0731 338.2094 2119.112 2182.22 2646.128 1265.695
[3,] 2505.632 761.8736 338.8126 2231.386 2180.97 2123.353 929.869
[,51] [,52] [,53] [,54] [,55] [,56] [,57]
[1,] 2.357 2.192 0.9518 1.889 1.846 1.595 1.384
[2,] 2870.452 2148.369 765.6756 2736.477 1950.902 1725.472 2004.533
[3,] 2833.413 1924.591 841.4101 2800.359 2276.559 2178.125 2086.107
[,58] [,59] [,60] [,61] [,62] [,63] [,64]
[1,] 2.524 0.4941 1.665 0.691 1.497 2.016 1.885
[2,] 2072.828 346.3116 1930.384 646.026 1343.440 1721.656 2256.700
[3,] 1823.632 387.3059 1936.654 534.290 1516.034 1723.096 1801.099
[,65] [,66] [,67] [,68] [,69] [,70] [,71] [,72]
[1,] 2.138 1.143 5.369 1.712 2.04 0.9729 2.568 2.21
[2,] 2698.803 893.340 5368.659 1437.082 2135.53 734.4772 2406.726 2823.87
[3,] 1864.762 908.141 4217.715 1363.618 2413.61 725.2454 2139.406 2471.01
[,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 3.094 3.165 4.156 3.96 2.171 0.7102 2.648
[2,] 2758.761 3574.193 3346.647 4139.62 3648.615 528.7415 3446.080
[3,] 2415.613 3347.557 2906.266 3673.20 3836.672 535.0620 3481.635
[,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 1.847 2.839 1.424 1.127 1.091 1.982 1.481
[2,] 1505.016 3194.078 1355.725 983.167 920.363 2219.550 1453.384
[3,] 1394.506 3478.462 1220.977 1151.183 987.480 2194.199 1130.519
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 4.076 4.101 0.5633 0.6304 0.7185 0.8036 1.378
[2,] 3801.127 3138.575 699.6098 976.8463 908.5478 817.5621 1344.241
[3,] 3199.121 3412.657 756.8017 903.0514 852.4637 665.9767 1339.628
[,94] [,95] [,96] [,97] [,98]
[1,] 1.091 0.3964 8.625 6.927 3.928
[2,] 1069.950 362.8708 7319.921 7925.797 3894.215
[3,] 1009.829 318.7235 7334.230 6894.065 3188.639
[1] "--- VAR model 2017-10-07 03:31:00 completed"
[1] "Completed training sample: 2017-10-07 03:31:00 - 2017-10-07 11:30:00"
[1] "SpVAR; training sample: 2017-10-07 04:01:00 - 2017-10-07 12:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 04:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-11.764 -0.3529 -57.03 -21.54
-3.869 -4.0741 -81.33 -68.93
-9.971 -4.1589 -48.66 -48.11
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-45.72 3.771 -3.923 -7.77983
-53.39 1.197 8.426 -15.56151
-61.40 -1.594 4.564 -0.02635
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.675 6.297 21.4610 -45.80
-10.575 -5.899 0.3928 -37.50
-6.744 -27.357 3.1683 -32.25
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-8.434 -22.50 -41.675 -5.100
21.680 -13.63 -21.908 -10.077
1.977 -29.28 -9.427 7.852
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-28.614 -17.50 7.399 34.73
-21.724 -44.13 -71.139 16.16
-7.886 -12.98 -52.879 13.23
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
3.985 -18.11 -90.56 -88.12
-36.603 -22.25 -150.35 -61.53
-78.431 -10.93 -139.96 -34.88
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-10.211 -72.02 -36.18 -13.72
-7.786 -63.80 -106.25 -15.43
-5.674 -71.31 -64.57 -18.85
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-51.26 -5.646 -65.84 -25.50
-42.98 -7.784 -51.96 -26.37
-50.80 -9.658 -71.43 -22.99
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.36 -74.19 -59.89 -80.61
-12.54 -43.20 -58.04 -88.33
-14.79 -89.53 -51.58 -49.24
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-34.158 -18.936 2.270 3.910
21.257 -3.832 4.712 3.579
6.079 9.740 -1.906 2.051
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.528 -2.4967 -32.19 -62.20
-11.533 -2.4399 -37.21 -40.41
-3.034 -0.7755 -45.40 -39.48
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-4.272 -0.2301 -48.37 17.94
-2.861 -3.0777 -10.14 14.59
1.279 -3.4681 -40.09 8.06
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
35.158 -7.685 -23.887 13.564
-15.820 1.335 -5.392 -3.792
-5.553 -10.094 -26.378 17.044
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-8.1627 -14.33 -7.073 -12.513
1.2351 12.15 -20.242 -12.256
-0.9053 -25.58 -4.660 9.711
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-25.699 19.66 3.325 -19.08
-6.037 11.30 1.226 -3.17
-10.784 -17.31 -1.331 -17.67
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.494 -24.31 -10.2886 -9.938
-4.671 -24.81 0.8456 -19.436
-1.648 -14.77 15.8678 -22.184
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
17.23 3.066 12.957 4.4614
-38.21 -1.706 -14.283 -3.2010
-3.98 -1.511 -8.607 0.1899
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.662 -4.343 -13.800 -12.813
-5.713 -1.226 -5.672 1.748
-18.689 6.884 7.941 -6.592
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-13.88 -28.34535 53.27 15.425
12.91 0.04999 25.11 22.057
-13.26 -10.41193 25.62 -5.292
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
7.943 1.450 9.624 -14.336
12.017 -1.612 2.556 -13.987
-11.763 3.305 10.891 8.061
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.226 3.601 5.337 0.01855
-2.483 2.537 -1.330 -0.66907
20.815 9.043 5.650 -0.96614
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.237 -12.739 27.335 -4.255
-13.150 8.329 -1.897 -29.506
1.514 -6.071 26.811 -2.775
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.1935 -4.259 -2.674 3.9448
-6.8703 6.049 5.074 0.1514
1.8482 1.285 1.873 1.7972
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.211 -3.868 -9.093 22.38
6.800 19.763 -8.865 17.19
3.954 -9.546 -9.813 33.76
rnd_95776.volume rnd_95787.volume
27.49 -100.83
-74.52 -62.11
-50.44 -67.31
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.123 1.316 4.317 3.344 3.599 0.4257 1.129 2.787 2.903 2.177 1.441
[2,] 2.682 1.688 5.804 4.574 4.674 0.5522 1.300 3.336 3.601 3.420 2.034
[3,] 3.075 1.886 6.654 5.506 5.475 0.6076 1.487 3.665 4.071 3.906 2.346
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 1.760 1.627 1.975 3.583 2.387 2.603 2.780 4.801 3.131 6.040 1.628
[2,] 2.583 2.069 2.761 4.767 2.941 3.552 3.934 6.079 4.089 7.499 2.069
[3,] 3.142 2.320 3.296 5.809 3.350 4.121 4.719 7.126 5.085 8.818 2.304
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 8.051 3.839 0.3049 3.865 4.117 0.6602 3.196 0.4894 3.331 0.9923
[2,] 10.152 4.773 0.3547 4.968 5.175 0.8200 4.350 0.5741 4.215 1.1799
[3,] 11.629 5.451 0.4042 5.798 6.126 0.9673 5.074 0.6221 5.201 1.3925
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.6420 3.328 3.436 3.617 2.911 1.944 1.797 0.7773 1.478 0.5612 1.690
[2,] 0.7386 4.238 4.443 4.526 3.466 2.646 2.147 1.0371 1.718 0.7363 2.253
[3,] 0.8603 5.112 5.223 5.196 4.096 3.046 2.502 1.1911 1.948 0.8609 2.617
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.398 0.809 0.4177 2.079 2.195 2.615 1.208 2.038 1.987 0.8384 1.608
[2,] 3.219 1.043 0.5020 2.547 2.764 3.344 1.526 2.841 2.505 0.9774 2.459
[3,] 3.688 1.283 0.5710 3.043 3.214 3.800 1.701 3.566 2.878 1.1419 3.259
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.594 1.361 1.122 2.231 0.4305 1.474 0.6004 1.393 1.835 1.609 1.891
[2,] 2.148 1.853 1.893 2.607 0.5218 2.063 0.7912 1.699 2.310 2.317 2.770
[3,] 2.671 2.417 2.446 2.981 0.6169 2.520 0.8872 2.020 2.610 2.642 3.076
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 0.9695 4.792 1.571 1.801 0.8011 2.318 2.007 2.650 2.725 3.445 3.404
[2,] 1.1687 6.119 1.876 2.430 0.9519 2.811 2.914 3.297 3.862 4.274 4.439
[3,] 1.3231 6.635 2.165 3.054 1.0750 3.207 3.418 3.699 4.473 4.783 5.271
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 1.901 0.6325 2.227 1.659 2.386 1.261 0.9468 0.9666 1.791 1.229 3.532
[2,] 3.174 0.7399 3.309 1.987 3.276 1.595 1.2034 1.1944 2.457 1.674 4.447
[3,] 4.221 0.8130 4.050 2.183 4.005 1.809 1.4400 1.3994 2.930 1.932 5.060
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.455 0.5549 0.6633 0.6561 0.7238 1.249 1.099 0.3430 6.369 5.719
[2,] 4.159 0.7737 1.0082 0.9176 0.9771 1.584 1.380 0.4340 7.899 8.170
[3,] 4.853 0.9489 1.1914 1.1060 1.0841 1.886 1.598 0.4971 9.150 9.552
[,98]
[1,] 3.599
[2,] 4.641
[3,] 5.261
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 2.696 1.671 5.482 4.246 4.571 0.5406 1.433
[2,] 2323.297 1498.630 5498.774 4423.964 4224.517 498.4705 915.423
[3,] 2131.410 1190.101 4610.175 4342.227 4042.173 359.2462 1022.795
[,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 3.539 3.687 2.764 1.83 2.234 2.066 2.508 4.55
[2,] 2597.754 3017.897 3739.248 2034.33 2680.214 1810.728 2733.921 4456.19
[3,] 2152.924 2692.469 2673.044 1655.89 2533.886 1487.467 2553.274 4702.99
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.032 3.305 3.53 6.096 3.976 7.67 2.068 10.22
[2,] 2433.394 3426.244 3944.15 5285.271 3727.611 6298.90 1810.087 8762.87
[3,] 2273.814 2960.627 3694.93 5269.007 4284.697 6574.14 1435.573 8037.71
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 4.875 0.3872 4.908 5.228 0.8384 4.058 0.6214
[2,] 4018.533 256.9841 4423.906 4442.510 689.1889 4182.468 425.5578
[3,] 3731.110 274.4920 4237.257 4648.056 727.2559 3701.786 339.3766
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 4.23 1.26 0.8152 4.226 4.363 4.593 3.696 2.469
[2,] 3660.33 904.70 517.4396 3717.659 3991.319 3857.067 2666.041 2544.281
[3,] 4318.56 1048.03 625.3846 4051.349 3891.464 3615.429 3094.211 2136.257
[,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 2.282 0.987 1.877 0.7126 2.146 3.045 1.027
[2,] 1664.501 973.025 1241.515 675.5815 2111.004 3042.258 933.923
[3,] 1822.266 830.250 1301.941 632.2733 1885.994 2552.107 1057.407
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.5304 2.64 2.787 3.321 1.534 2.588 2.523 1.065
[2,] 394.6425 2085.56 2379.413 2953.476 1321.614 2805.147 2162.349 712.050
[3,] 385.5697 2359.32 2326.633 2557.491 1066.285 3055.160 2007.765 836.746
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.042 2.024 1.728 1.425 2.833 0.5467 1.872
[2,] 2636.725 2039.633 1782.146 2160.147 1913.663 417.8579 2044.196
[3,] 3030.724 2249.705 2200.519 2196.633 2048.725 466.3396 2050.796
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.7624 1.769 2.33 2.043 2.401 1.231 6.085 1.995
[2,] 730.2679 1377.254 1989.86 2362.850 2869.518 924.856 5392.927 1453.725
[3,] 568.9149 1550.113 1721.59 1797.888 1894.715 879.065 3635.306 1531.817
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.287 1.017 2.944 2.548 3.366 3.46 4.374 4.322
[2,] 2311.794 728.680 2252.283 2994.386 2779.374 3879.80 3585.698 4037.131
[3,] 2621.281 707.877 2187.179 2531.979 2375.865 3196.80 3041.507 4029.123
[,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 2.414 0.8031 2.828 2.106 3.03 1.602 1.202
[2,] 3602.482 544.2266 3468.125 1549.130 3181.05 1383.564 1052.710
[3,] 3942.567 477.3466 3310.465 1282.000 3264.14 1209.850 1120.704
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.227 2.274 1.56 4.485 4.387 0.7047 0.8423
[2,] 994.487 2383.823 1610.30 3829.164 3282.002 764.0316 1076.0901
[3,] 1033.252 2263.841 1366.84 3422.394 3544.607 778.5576 899.5778
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 0.8332 0.9191 1.586 1.396 0.4356 8.087 7.263
[2,] 909.0882 930.3011 1379.859 1183.102 376.8498 6622.591 8268.857
[3,] 875.0251 665.5918 1450.551 1140.875 343.4055 6544.347 7011.778
[,98]
[1,] 4.57
[2,] 4151.79
[3,] 3511.99
[1] "--- VAR model 2017-10-07 04:01:00 completed"
[1] "Completed training sample: 2017-10-07 04:01:00 - 2017-10-07 12:00:00"
[1] "SpVAR; training sample: 2017-10-07 04:31:00 - 2017-10-07 12:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 04:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
9.669 -0.5589 -48.22 -83.34
23.048 -5.5477 -77.68 -57.00
-16.174 14.0246 -49.82 -66.53
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-56.90 -3.2883 6.661 -8.511
-101.28 -0.2165 3.462 -19.668
-39.02 -0.6432 -1.963 -4.158
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-13.43 -9.62 -9.084 -29.41
-11.54 -33.92 -3.374 -24.82
-11.65 -14.69 1.850 -32.76
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.0190 -13.151 9.023 -15.9153
-6.8850 -7.199 -26.208 -0.8161
0.1603 -22.299 -27.115 0.9054
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-19.77 8.342 -24.69 23.29
-14.58 -13.997 -19.32 25.26
-25.43 -25.703 3.48 14.62
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-53.02 -12.684 -99.09 -53.74
-51.73 -2.939 -92.98 -68.40
-49.04 -1.271 -102.44 -26.99
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.964 -57.88 -79.85 -18.92
-7.793 -77.31 -50.73 -22.63
-6.865 -48.98 -98.34 -18.64
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-71.81 -6.383 -60.08 -27.62
-64.29 -7.381 -50.36 -29.61
-67.49 -8.027 -42.77 -28.96
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.22 -91.69 -45.46 -38.42
-13.90 -62.60 -97.61 -51.55
-12.78 -41.59 -30.30 -53.23
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.176 -13.362 10.2339 -1.913
-6.575 -10.208 4.5939 1.317
1.974 -2.902 0.4048 2.258
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.9861 -6.417 -29.27 -29.01
3.1253 -1.107 -20.85 -24.19
-10.0422 -1.054 -12.09 -21.04
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-3.7756 -2.711 -32.05 18.14
-0.6481 -2.450 -31.84 12.40
-4.5962 -6.951 -29.45 12.86
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
13.315 -6.302 -40.64 21.179
8.262 -1.548 -33.86 -1.091
15.144 -13.836 -11.03 -8.521
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.5697 -17.184 4.293 -24.591
-4.5705 -8.069 -35.605 -16.887
0.5320 -36.329 -21.138 -6.149
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.837 -6.224 0.7667 -37.25
3.207 -5.168 3.8935 -14.59
-26.829 4.200 2.9265 -13.47
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.5526 -15.536 -4.758 -18.317
0.2406 -11.658 15.975 -13.440
-4.5032 -4.295 -5.129 -2.578
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-23.301 5.3119 -14.351 -4.091
-8.596 -3.6022 1.193 1.536
2.572 -0.9298 8.274 14.445
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-10.360 6.150 17.604 11.2496
-13.453 -4.324 5.858 23.0493
4.126 -2.384 -10.095 0.9078
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.063 4.705 21.52 -0.6096
-17.822 12.560 14.55 16.6344
-15.559 7.009 20.18 -2.9709
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-2.768 1.981 12.903 20.303
22.722 3.881 -2.655 -3.487
-1.751 -5.652 5.744 -1.022
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
23.741 7.197 2.660 -4.1474
6.282 15.437 -10.808 -0.3859
11.581 -2.347 -2.026 -6.3474
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-27.959 -3.076 1.775 -20.80
14.490 -12.435 8.145 -22.60
-1.359 12.576 19.037 -11.94
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.3529 3.0871 2.011 -1.294
0.8351 -2.7864 -2.001 5.235
-1.9780 0.5199 -1.176 -6.592
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.136 -1.501 -9.081 19.73
-2.733 5.821 -10.741 15.05
3.361 -3.952 -9.819 12.26
rnd_95776.volume rnd_95787.volume
-28.90 -37.74
-57.32 -78.64
-56.28 -38.90
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.342 1.499 4.869 4.001 4.125 0.5086 1.225 3.161 3.257 2.278 1.768
[2,] 2.940 1.859 6.446 5.100 5.352 0.6386 1.428 3.740 3.983 3.696 2.367
[3,] 3.465 2.072 7.453 6.119 6.333 0.7096 1.611 4.056 4.507 4.391 2.680
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.065 1.773 2.256 3.916 2.655 3.103 3.199 5.295 3.610 6.972 1.803
[2,] 3.020 2.305 2.967 5.163 3.243 3.968 4.445 6.682 4.670 8.320 2.261
[3,] 3.484 2.557 3.541 6.134 3.720 4.595 5.222 7.635 5.533 9.648 2.446
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 8.563 4.285 0.3277 4.194 4.542 0.7307 3.537 0.5419 3.893 1.123
[2,] 11.296 5.278 0.3803 5.401 5.688 0.8975 4.816 0.6209 4.887 1.347
[3,] 12.967 6.049 0.4302 6.249 6.560 1.0558 5.604 0.6662 5.971 1.569
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.6945 3.775 3.859 3.701 3.128 2.130 2.140 0.911 1.793 0.6968 1.986
[2,] 0.8361 5.008 5.114 4.925 3.665 2.889 2.615 1.180 2.052 0.9067 2.612
[3,] 0.9572 6.039 6.011 5.625 4.169 3.342 3.062 1.375 2.304 1.0409 3.040
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.612 1.012 0.4695 2.353 2.461 2.976 1.330 2.243 2.232 0.8565 1.756
[2,] 3.364 1.269 0.5879 2.898 2.981 3.705 1.637 3.184 2.718 1.0335 2.772
[3,] 3.855 1.483 0.6740 3.348 3.438 4.194 1.823 3.975 3.114 1.1850 3.564
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.768 1.432 1.326 2.556 0.4904 1.586 0.6943 1.578 1.948 1.732 2.186
[2,] 2.313 1.951 2.134 2.958 0.5840 2.287 0.8833 1.886 2.486 2.509 3.110
[3,] 2.905 2.620 2.725 3.348 0.6756 2.882 0.9656 2.201 2.801 2.837 3.528
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.047 5.823 1.747 1.919 0.8838 2.575 2.147 2.895 2.912 3.751 3.832
[2,] 1.228 6.857 2.154 2.620 1.0771 3.037 3.167 3.567 4.169 4.590 4.785
[3,] 1.394 7.558 2.413 3.243 1.2188 3.457 3.745 4.065 4.870 5.042 5.694
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.036 0.7243 2.425 1.824 2.678 1.381 1.093 1.104 1.944 1.416 4.084
[2,] 3.288 0.8549 3.504 2.157 3.599 1.721 1.380 1.376 2.675 1.853 5.087
[3,] 4.513 0.9606 4.384 2.385 4.470 1.948 1.687 1.573 3.203 2.168 5.951
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 3.714 0.7031 0.8461 0.7674 0.7959 1.654 1.194 0.3650 6.216 6.629
[2,] 4.530 0.9451 1.1707 1.0894 1.0996 2.058 1.557 0.4542 7.566 9.467
[3,] 5.132 1.1131 1.3766 1.2600 1.2270 2.337 1.810 0.5277 8.617 10.709
[,98]
[1,] 4.055
[2,] 5.141
[3,] 5.831
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 2.974 1.903 6.183 5.081 5.238 0.6458 1.556
[2,] 2209.602 1367.847 5252.231 3931.045 4239.392 480.0863 910.951
[3,] 2280.208 1138.556 4650.666 4205.242 4208.564 384.8406 928.316
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 4.014 4.136 2.893 2.246 2.623 2.252 2.864
[2,] 2483.951 2850.591 3618.589 1956.793 2739.440 1830.370 2396.025
[3,] 1953.794 2621.626 2946.847 1561.264 2159.042 1377.580 2403.395
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.973 3.371 3.94 4.062 6.723 4.585 8.853 2.29
[2,] 4182.336 2314.701 3074.54 3837.013 5067.322 3682.939 5645.719 1697.05
[3,] 4118.512 2265.489 2881.90 3407.899 4593.434 3688.764 6073.111 1157.22
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 10.87 5.441 0.4161 5.326 5.767 0.9279 4.492
[2,] 9159.19 3831.649 239.9697 4229.858 4256.151 647.9333 4062.730
[3,] 7917.24 3673.237 249.9203 3906.993 4064.277 691.1523 3562.925
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.6882 4.943 1.426 0.8819 4.794 4.9 4.7 3.972
[2,] 376.6896 3674.144 925.577 578.7931 4091.026 4173.2 4039.6 2374.753
[3,] 300.3730 4265.394 999.652 579.2667 4195.275 3925.9 3379.9 2469.683
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 2.705 2.718 1.157 2.277 0.8849 2.522 3.317 1.286
[2,] 2425.811 1867.244 932.282 1241.284 721.2165 2107.829 2636.030 950.459
[3,] 2088.444 1981.624 877.057 1302.795 635.5449 1934.483 2341.142 954.783
[,46] [,47] [,48] [,49] [,50] [,51] [,52]
[1,] 0.5962 2.987 3.125 3.779 1.689 2.848 2.835
[2,] 439.9725 2104.898 2091.798 2744.047 1186.063 2808.750 1928.287
[3,] 409.6409 2082.810 2127.827 2444.912 996.898 2960.139 1887.976
[,53] [,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 1.088 2.23 2.246 1.818 1.684 3.246 0.6227 2.014
[2,] 719.141 2666.09 1854.376 1647.426 2078.638 1851.452 394.1849 2048.622
[3,] 720.741 2785.63 2183.851 2174.502 2106.686 1950.055 422.3004 2179.679
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.8816 2.004 2.474 2.2 2.776 1.329 7.394 2.218
[2,] 678.8834 1283.872 1919.777 2257.1 2750.676 797.983 4503.821 1565.998
[3,] 485.1388 1410.982 1606.216 1644.8 2071.053 820.819 3950.920 1351.746
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.436 1.122 3.27 2.726 3.676 3.698 4.763 4.866
[2,] 2218.077 765.359 2000.99 2895.341 2591.238 3709.986 3289.654 3563.085
[3,] 2375.501 709.151 2054.99 2484.441 2422.318 3128.030 2592.462 3836.395
[,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 2.585 0.9197 3.079 2.317 3.401 1.754 1.388
[2,] 3210.082 564.5718 3145.216 1429.707 2987.835 1277.457 1047.287
[3,] 3843.398 544.6326 3275.468 1267.431 3296.088 1132.611 1205.844
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.401 2.469 1.798 5.186 4.716 0.8928 1.074
[2,] 1022.311 2284.195 1485.937 3769.355 3224.943 785.2580 1005.994
[3,] 946.440 2189.621 1399.698 3840.678 2999.225 730.8933 900.499
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 0.9744 1.011 2.1 1.516 0.4635 7.894 8.418 5.149
[2,] 961.3978 943.221 1521.4 1242.691 336.0723 5363.266 8403.635 3928.355
[3,] 787.0468 676.956 1377.3 1147.045 333.9263 5127.030 6222.307 3421.119
[1] "--- VAR model 2017-10-07 04:31:00 completed"
[1] "Completed training sample: 2017-10-07 04:31:00 - 2017-10-07 12:30:00"
[1] "SpVAR; training sample: 2017-10-07 05:01:00 - 2017-10-07 13:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 05:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-6.109 0.6433 -54.79 -96.95
-15.239 -0.1004 -70.30 -90.46
8.042 7.9162 -77.31 -62.33
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-71.83 3.382 -4.322 -16.360
-75.37 3.892 4.045 -2.678
-76.88 1.853 -3.022 -14.010
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-37.37 -26.226 -1.448 -18.826
21.78 -6.662 -10.912 -55.765
-16.16 -4.437 5.442 -8.475
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
13.680 -6.413 7.186 -7.930
-8.263 -26.064 -13.275 1.125
3.209 -9.947 -4.920 -1.482
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-47.02 -59.008 -27.86 -5.718
-15.04 -2.417 -35.82 -8.862
-38.46 1.033 -36.09 17.953
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-56.57 4.143 -100.8 -58.52
-84.55 -6.211 -144.6 -62.02
-84.58 -5.277 -207.1 -97.40
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.341 -81.42 -95.70 -18.25
-8.594 -64.43 -97.55 -16.33
-9.320 -74.30 -55.15 -19.02
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-92.72 -11.668 -66.93 -30.66
-78.62 -8.289 -58.91 -37.88
-67.59 -7.994 -51.01 -25.66
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.99 -50.42 -86.39 -82.14
-14.51 -61.69 -71.28 -79.62
-10.63 -89.86 -71.82 -62.50
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-8.874 -7.700 1.701 2.8033
-2.075 -5.345 26.325 0.4185
-11.010 -6.243 -4.754 4.2787
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
5.933 4.4512 -32.33 -42.84
-1.774 -0.4414 -35.13 -39.73
1.589 -7.1628 -26.96 -48.80
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.5627 -0.9287 -32.33 5.763
2.3315 -1.6917 -29.78 -16.711
-1.1246 -3.2110 -45.27 18.678
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
17.077 -2.142 -34.366 14.969
-21.969 -3.537 -1.318 -6.327
6.406 -7.386 -54.771 2.841
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.109 -18.36 -27.590 -19.187
2.026 -33.41 -5.970 -12.672
4.572 -24.57 -7.291 -9.645
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
5.842 0.0168 3.053 -11.47
-30.831 -2.1772 -1.230 -11.78
-13.032 -15.2189 -1.101 -12.70
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8996 -19.20 -13.448 -15.435
0.2506 -12.80 -6.343 -6.598
-4.5651 -13.14 -1.846 -8.754
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.95 -3.38549 -17.099 9.794
-10.57 -1.57199 4.064 -3.530
-15.91 -0.06703 -3.255 -1.590
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.539 1.110 10.062 -2.588
1.904 -2.127 -4.802 3.067
-16.510 4.094 1.332 -1.795
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-16.254 -2.790 -6.908 26.066
4.933 -2.482 18.212 -2.917
-14.657 -40.522 -11.843 14.837
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-4.019 6.417 15.912 6.667
-10.718 2.076 -4.603 4.176
16.415 1.562 -19.643 -2.684
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-12.364 6.208 -6.602 -1.2660
-15.655 5.449 -9.069 5.8836
-8.033 8.270 -8.133 -0.5823
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-13.511 -12.244 3.244 -7.4321
-5.595 5.009 -18.278 -1.1606
-15.614 10.272 5.776 0.5424
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.6842 -3.410 0.8595 3.819
2.7918 3.086 0.3213 1.094
-0.6219 9.546 5.9428 10.311
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
0.9482 3.600 -8.078 21.234
-7.6738 12.531 -9.801 -17.851
-3.4475 1.797 -11.459 1.782
rnd_95776.volume rnd_95787.volume
-31.63 -54.28
-67.82 -64.83
-72.01 -91.46
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.737 1.583 6.178 4.974 4.739 0.5679 1.337 3.534 3.932 2.598 1.857
[2,] 3.332 1.963 7.907 6.036 6.104 0.7175 1.549 4.155 4.584 4.065 2.555
[3,] 3.823 2.217 9.139 6.940 6.971 0.7902 1.745 4.523 5.158 4.900 2.891
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.132 1.920 2.552 4.186 2.842 3.342 3.676 5.912 3.953 7.406 1.927
[2,] 3.510 2.453 3.302 5.485 3.455 4.251 4.846 7.337 5.072 8.891 2.389
[3,] 3.923 2.741 3.903 6.372 3.919 5.005 5.664 8.142 5.902 10.168 2.613
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 9.732 4.776 0.3421 4.622 4.869 0.8247 4.363 0.5473 4.435 1.262
[2,] 12.531 5.687 0.4034 5.798 6.109 0.9824 5.740 0.6442 5.616 1.499
[3,] 14.121 6.469 0.4632 6.825 7.177 1.1499 6.476 0.6880 6.540 1.756
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 0.7638 4.449 4.439 4.445 3.550 2.416 2.330 1.018 1.963 0.7834 2.096
[2,] 0.9623 5.618 5.718 5.812 4.082 3.097 2.854 1.306 2.293 0.9829 2.764
[3,] 1.1008 6.439 6.572 6.595 4.691 3.620 3.380 1.488 2.586 1.1362 3.195
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 2.782 1.128 0.5643 2.485 2.711 3.327 1.461 2.736 2.549 1.002 2.025
[2,] 3.629 1.430 0.7071 3.011 3.236 4.065 1.758 3.793 3.062 1.168 3.236
[3,] 4.188 1.679 0.7998 3.533 3.804 4.529 1.963 4.449 3.507 1.290 3.979
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 1.942 1.547 1.430 2.917 0.5356 1.719 0.7539 1.712 2.325 1.872 2.425
[2,] 2.624 2.216 2.315 3.348 0.6402 2.460 0.9373 2.019 2.743 2.637 3.290
[3,] 3.302 3.022 3.014 3.803 0.7446 3.210 1.0522 2.384 3.059 2.982 3.716
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.179 6.417 1.943 2.109 0.9498 2.963 2.211 3.271 3.121 3.798 4.013
[2,] 1.409 7.400 2.308 2.882 1.1526 3.411 3.516 3.962 4.818 4.660 5.056
[3,] 1.576 8.186 2.613 3.500 1.2956 3.836 4.063 4.418 5.383 5.081 6.017
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.343 0.8495 2.688 2.141 3.058 1.654 1.239 1.246 2.256 1.602 4.548
[2,] 3.777 1.0494 3.788 2.486 4.166 1.989 1.518 1.520 3.023 2.111 5.507
[3,] 5.041 1.1789 4.673 2.734 4.867 2.206 1.863 1.713 3.533 2.509 6.356
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.901 0.865 1.054 0.8746 0.8853 1.728 1.351 0.4008 5.979 7.443 4.672
[2,] 4.752 1.177 1.433 1.2206 1.2278 2.219 1.755 0.4929 7.390 10.321 5.646
[3,] 5.369 1.387 1.681 1.4182 1.4176 2.569 2.057 0.5703 8.439 11.662 6.440
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 3.475 2.01 7.845 6.316 6.018 0.7212 1.698 4.487
[2,] 2327.359 1422.02 6040.227 4186.360 4710.389 536.6953 957.836 2675.852
[3,] 2294.991 1259.30 5609.888 4192.055 4119.906 405.3629 983.171 2186.781
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 4.993 3.299 2.359 2.707 2.438 3.241 5.315
[2,] 2884.675 3828.257 2148.034 3413.672 1869.335 2564.120 4340.113
[3,] 2893.474 3349.400 1656.577 2144.870 1497.506 2548.272 3970.300
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 3.608 4.244 4.667 7.508 5.02 9.405 2.447 12.36
[2,] 2406.468 3216.901 3866.433 5317.899 3890.18 6021.488 1727.985 9664.01
[3,] 2264.780 3232.866 3588.794 4322.461 3694.84 6039.172 1294.950 7969.57
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 6.065 0.4344 5.87 6.183 1.047 5.541 0.6949 5.632
[2,] 3779.992 261.7796 4285.48 4517.066 653.378 4566.053 415.9749 4217.629
[3,] 3773.127 278.5971 4406.73 4611.565 731.673 3670.657 295.9097 4101.637
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.602 0.97 5.649 5.636 5.645 4.508 3.068 2.959
[2,] 991.496 716.53 4199.900 4413.243 4582.735 2467.582 2371.558 2017.854
[3,] 1117.811 654.38 3852.432 3965.162 3816.490 2830.068 2296.032 2217.671
[,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 1.293 2.492 0.9947 2.662 3.533 1.433 0.7165
[2,] 1000.615 1450.310 726.8601 2205.572 2851.946 1075.802 521.6185
[3,] 873.922 1465.465 697.6555 1961.305 2559.205 1076.751 457.5733
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.156 3.442 4.225 1.855 3.475 3.237 1.273
[2,] 2081.575 2164.460 2859.480 1197.907 3215.447 2077.381 734.806
[3,] 2261.108 2447.819 2444.927 1068.062 2846.771 2093.353 669.283
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.572 2.466 1.965 1.816 3.704 0.6801 2.183
[2,] 3090.019 2159.303 1941.801 2228.368 2013.080 429.4062 2154.680
[3,] 2834.591 2454.961 2516.296 2362.756 2206.804 465.3535 2524.624
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 0.9574 2.174 2.952 2.377 3.08 1.498 8.149 2.467
[2,] 681.7107 1310.358 1780.763 2274.886 2721.72 944.347 4510.519 1525.490
[3,] 585.4774 1550.630 1659.982 1702.579 2115.73 864.718 4286.943 1498.177
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 2.678 1.206 3.763 2.808 4.154 3.963 4.823
[2,] 2405.215 799.231 2068.892 3346.839 2736.937 4493.033 3306.895
[3,] 2431.406 724.282 2147.763 2492.254 2392.483 2940.787 2478.663
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.095 2.976 1.079 3.413 2.719 3.883 2.1 1.574
[2,] 3765.271 3626.101 754.255 3267.694 1545.548 3463.018 1352.9 1072.589
[3,] 3993.704 4087.002 657.746 3350.038 1393.238 3081.763 1168.4 1322.532
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 1.583 2.865 2.034 5.776 4.954 1.098 1.339
[2,] 1064.820 2462.839 1682.015 3800.960 3321.055 976.629 1188.194
[3,] 967.627 2239.963 1660.526 3884.431 3059.843 897.918 1075.265
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.111 1.124 2.195 1.715 0.5089 7.593 9.452
[2,] 1042.349 1041.488 1704.379 1371.717 351.1989 5317.139 8753.025
[3,] 883.933 867.330 1584.467 1312.697 351.2925 4987.053 6645.657
[,98]
[1,] 5.933
[2,] 3881.728
[3,] 3791.222
[1] "--- VAR model 2017-10-07 05:01:00 completed"
[1] "Completed training sample: 2017-10-07 05:01:00 - 2017-10-07 13:00:00"
[1] "SpVAR; training sample: 2017-10-07 05:31:00 - 2017-10-07 13:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 05:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
18.864 4.279 -41.79 -67.58
-10.977 7.835 -81.63 -61.76
6.822 1.007 -10.87 -40.57
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-54.77 -1.667 6.612 -2.992
-62.21 2.175 2.694 9.210
-57.48 -0.541 1.148 -10.655
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-8.442 -16.628 6.504 -15.73
-13.237 -17.702 -16.776 -32.95
9.136 8.059 3.220 -21.03
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-3.933 -25.6231 -25.27 2.960
5.426 -18.9362 -20.06 19.066
-1.409 -0.2504 -32.21 8.402
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.8067 -11.688 -55.4901 16.17
6.2089 -6.981 -47.3374 15.43
-36.8554 -26.969 -0.4739 21.18
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-18.33 1.237 -238.75 -60.08
-69.55 -16.868 -87.89 -59.20
-73.00 -15.436 -156.83 -80.70
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.544 -70.64 -94.57 -22.20
-8.313 -90.06 -77.33 -15.01
-8.872 -64.26 -68.44 -18.71
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-74.45 -8.262 -84.7 -33.58
-42.05 -9.468 -76.2 -24.33
-55.53 -10.085 -81.8 -23.45
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.021 -72.29 -48.03 -55.67
-16.580 -76.55 -76.70 -77.78
-9.524 -61.84 -88.45 -62.42
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
20.450 -19.5911 -8.555 -2.3437
-6.650 0.1902 9.201 0.4459
2.901 -13.5377 14.707 1.8503
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.4908 4.8283 -26.15 -17.30
0.3209 -0.4651 -19.88 -46.96
-8.5437 0.3249 -37.56 -27.41
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.168 -5.721 -29.34 14.520
6.759 -2.740 -29.98 -5.905
6.166 -1.311 -31.02 19.559
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
18.9391 4.599 -32.416 -0.42309
10.1000 -2.811 -4.753 -0.07557
0.6631 -1.585 -24.822 25.25931
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.0890 -28.93 -21.14 -16.05
-0.6822 -13.06 -19.08 -18.69
-1.6767 -22.26 -11.20 -11.33
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-19.592 -20.33 0.5243 -34.303
-6.121 10.29 -2.4745 -29.644
-16.832 -10.59 -1.3335 -6.568
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.90838 -9.043 -2.823 -10.479
1.08406 -10.678 6.739 -1.357
0.07911 -7.820 7.877 -13.186
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
10.402 2.514 25.95 13.515
-6.082 11.274 27.82 -5.714
-4.656 -1.729 11.23 -4.635
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.961 5.5551 9.096 15.092
2.763 0.5102 4.007 -12.886
1.962 2.6393 7.364 8.508
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-3.837 7.038 23.87 27.87
15.451 24.275 23.27 12.43
7.069 10.514 13.80 25.21
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.555 5.2769 14.42 -20.760
12.389 -0.3008 20.54 3.290
14.957 5.5544 16.25 6.046
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
36.637 4.921 -14.124 -7.5578
1.485 4.182 -8.336 6.6163
23.639 8.725 -2.047 0.3504
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-11.694 -2.539 38.60 18.33
-2.784 3.244 -11.60 -23.70
-11.033 6.953 20.85 -13.43
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.6605 4.8506 6.1882 8.573
1.9813 4.3933 0.5057 -2.260
-5.4372 -0.7826 9.5580 9.499
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
11.26 5.2716 -10.07 18.890
-16.85 0.5754 -9.49 3.442
-20.51 6.8021 -13.03 -6.511
rnd_95776.volume rnd_95787.volume
-24.64 -59.33
-58.06 -45.87
-61.81 -89.51
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 2.875 1.775 6.655 5.353 5.192 0.6210 1.360 3.787 4.229 2.861 2.003
[2,] 3.607 2.127 8.444 6.707 6.626 0.7661 1.605 4.375 4.961 4.500 2.802
[3,] 4.139 2.418 9.660 7.431 7.629 0.8376 1.785 4.743 5.434 5.267 3.191
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.411 2.147 2.680 4.579 3.051 3.736 4.015 6.379 4.338 8.486 2.355
[2,] 3.673 2.664 3.457 5.827 3.689 4.625 5.263 7.832 5.356 10.315 2.838
[3,] 4.133 2.976 4.070 6.720 4.189 5.363 5.929 8.736 6.238 11.895 3.137
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 10.49 5.266 0.3786 5.251 5.604 0.8663 4.866 0.5783 4.953 1.428 0.827
[2,] 13.45 6.197 0.4466 6.312 6.864 1.0473 6.160 0.6769 6.198 1.705 1.053
[3,] 15.06 7.033 0.5058 7.381 7.824 1.2031 6.994 0.7259 7.065 1.947 1.195
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.164 5.143 4.977 4.109 2.632 2.800 1.083 2.254 0.8765 2.461 3.174
[2,] 6.405 6.471 6.317 4.547 3.431 3.343 1.374 2.643 1.0706 3.159 3.984
[3,] 7.259 7.360 7.215 5.242 3.935 3.736 1.569 3.002 1.2132 3.591 4.486
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.278 0.6332 2.665 3.093 3.642 1.635 2.948 2.836 1.096 2.220 2.093
[2,] 1.577 0.8155 3.266 3.789 4.442 2.027 4.047 3.349 1.259 3.551 2.869
[3,] 1.844 0.9213 3.745 4.269 4.939 2.230 4.840 3.760 1.396 4.260 3.575
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.599 1.603 3.144 0.5629 1.883 0.8448 1.794 2.463 2.068 2.627 1.230
[2,] 2.386 2.574 3.581 0.6754 2.697 1.0313 2.159 2.896 2.754 3.564 1.494
[3,] 3.309 3.277 4.048 0.7717 3.431 1.1572 2.588 3.191 3.116 4.044 1.677
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.770 2.231 2.294 1.030 3.218 2.544 3.429 3.238 4.157 4.391 2.593
[2,] 7.693 2.600 3.223 1.220 3.667 3.838 4.232 5.031 4.900 5.423 4.033
[3,] 8.554 2.921 3.797 1.397 4.077 4.427 4.735 5.683 5.344 6.412 5.295
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 0.9593 2.955 2.245 3.465 1.795 1.326 1.339 2.445 1.834 4.868 4.193
[2,] 1.1472 4.117 2.654 4.503 2.107 1.672 1.661 3.336 2.323 5.928 5.074
[3,] 1.3086 5.052 2.980 5.224 2.366 2.102 1.860 3.808 2.673 6.887 5.729
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.104 1.195 1.009 1.045 1.939 1.627 0.4446 5.879 8.242 5.290
[2,] 1.421 1.665 1.420 1.374 2.469 2.062 0.5257 7.256 11.094 6.389
[3,] 1.615 1.925 1.671 1.655 2.880 2.370 0.5966 8.285 12.754 7.252
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 3.651 2.254 8.451 6.798 6.593 0.7885 1.727
[2,] 2496.523 1343.492 5957.914 4632.523 4718.067 514.3677 976.395
[3,] 2326.603 1319.898 5378.050 3667.159 4335.132 388.2049 895.489
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 4.809 5.37 3.633 2.544 3.061 2.726 3.403
[2,] 2510.997 2973.31 3981.163 2246.716 3176.347 1808.395 2503.443
[3,] 2101.338 2542.60 3137.680 1749.553 2174.108 1521.034 2463.089
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.815 3.874 4.744 5.099 8.101 5.509 10.78 2.99
[2,] 4130.359 2377.549 3125.142 3900.023 5208.247 3601.258 6721.21 1815.72
[3,] 3837.277 2276.716 3112.281 3130.103 4436.347 3665.251 6792.58 1531.73
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 13.32 6.687 0.4807 6.667 7.116 1.1 6.18 0.7343
[2,] 9653.46 3744.802 271.7430 4015.207 4544.406 674.6 4330.03 403.4397
[3,] 7772.33 3812.721 272.2348 4386.166 4305.307 678.9 3796.66 300.3206
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 6.29 1.813 1.05 6.558 6.531 6.32 5.218 3.342
[2,] 4271.73 1068.821 747.82 4344.250 4502.842 4459.74 2231.390 2523.779
[3,] 3886.49 1077.175 647.77 3916.253 4018.529 3996.34 2990.970 2208.939
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 3.555 1.375 2.862 1.113 3.125 4.03 1.622 0.8041
[2,] 2094.405 969.554 1582.552 704.733 2269.681 2760.66 1059.684 589.0841
[3,] 1911.938 869.011 1632.857 654.158 1958.047 2363.41 1095.718 491.4658
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.385 3.927 4.625 2.076 3.743 3.601 1.391
[2,] 2163.166 2509.056 2915.586 1372.916 3179.238 2042.328 710.475
[3,] 2101.935 2256.355 2474.561 1066.107 3042.580 1960.262 692.397
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.819 2.658 2.031 2.036 3.992 0.7147 2.391
[2,] 3176.443 2248.942 2030.130 2308.021 1965.401 427.9022 2214.072
[3,] 2699.104 2446.528 2628.500 2324.926 2163.217 427.9332 2431.321
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.073 2.278 3.128 2.626 3.335 1.561 8.596 2.833
[2,] 678.095 1376.788 1744.919 2084.029 2762.098 972.649 4189.553 1530.747
[3,] 601.816 1635.718 1537.445 1671.007 2189.669 872.855 4286.697 1527.285
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 2.913 1.308 4.086 3.23 4.355 4.112 5.279 5.576
[2,] 2594.183 748.246 2016.155 3295.39 2843.354 4415.125 2974.319 3647.326
[3,] 2302.794 781.714 2044.260 2529.59 2434.701 3029.643 2443.847 3922.450
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 3.293 1.218 3.752 2.851 4.4 2.279 1.684 1.7
[2,] 3541.803 721.131 3286.816 1621.630 3296.6 1265.668 1166.853 1126.3
[3,] 3931.888 721.895 3356.196 1553.112 3036.4 1232.522 1460.297 959.5
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.105 2.329 6.181 5.324 1.402 1.517 1.281
[2,] 2602.205 1634.313 3878.556 3277.003 1024.693 1329.671 1146.079
[3,] 2104.919 1515.195 4017.839 3047.480 879.973 1107.176 1009.734
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.328 2.463 2.066 0.5646 7.465 10.47 6.718
[2,] 1021.269 1751.430 1453.233 321.5302 4875.883 8513.71 4107.805
[3,] 1058.953 1699.807 1338.691 323.3874 4585.676 7213.83 3931.457
[1] "--- VAR model 2017-10-07 05:31:00 completed"
[1] "Completed training sample: 2017-10-07 05:31:00 - 2017-10-07 13:30:00"
[1] "SpVAR; training sample: 2017-10-07 06:01:00 - 2017-10-07 14:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 06:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
17.56 2.989 -60.39 -25.03
10.92 -5.865 -57.26 -59.19
11.26 2.793 -53.25 -55.03
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-34.34 1.1941 5.445 16.5870
-44.56 0.5275 -1.053 0.5289
-66.93 0.2508 -2.901 -1.9645
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
13.534 0.8687 -1.209 -29.25
7.141 6.9192 10.241 -13.19
-11.928 -4.4224 8.223 -19.32
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.757 -17.04 -12.44 -7.558
3.238 -12.66 11.95 -7.294
-2.302 -10.29 15.49 -5.706
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-10.953 -38.202 -24.43 37.051
-6.271 -27.091 -13.77 5.185
-16.990 -2.939 -13.04 10.359
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-45.74 -2.522 -109.2 -32.28
-19.33 -2.930 -106.2 -38.25
-55.04 -9.533 -133.3 -46.09
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.171 -76.39 -71.78 -13.50
-6.935 -42.53 -37.48 -17.08
-7.403 -85.70 -46.38 -15.43
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-32.09 -8.132 -58.79 -27.88
-53.91 -7.956 -62.75 -28.14
-54.28 -9.228 -43.24 -25.30
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.067 -51.57 -32.04 -35.22
-10.069 -58.20 -34.14 -56.91
-13.780 -82.81 -53.28 -76.48
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
18.590 26.1657 -5.8739 3.323
2.903 0.2798 -0.5159 3.105
10.303 -1.7821 4.7955 1.506
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
7.263 -1.984 -39.37 -31.21
3.661 1.743 -15.47 -25.06
1.902 0.174 -38.00 -18.09
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
11.299 0.03267 -27.05 17.752
13.118 -1.89364 -22.62 28.978
9.302 -2.65592 -35.65 -9.719
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
0.7742 -3.5978 -28.540 10.988
5.1587 0.7225 -12.238 11.515
18.0767 1.3303 -2.083 5.465
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.9906 -6.029 -3.780 -18.802
-1.9277 -32.985 -15.838 -3.215
0.5913 -19.617 -8.602 -16.008
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-23.7318 6.336 0.3668 -11.794
0.6129 -6.329 1.9460 -8.529
-13.3983 -0.562 2.6926 -8.393
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.7116 -12.745 10.368 -6.139
-6.7460 -14.638 6.211 -13.029
-5.7764 -4.617 -1.523 -15.263
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.539 0.3031 -3.504 -7.3213
-11.713 -0.3599 0.366 0.2618
-14.578 -0.2288 -13.183 -7.3731
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-26.9726 0.8233 18.661 -0.6731
-0.2515 -2.4032 15.406 15.4086
-18.1800 3.4206 8.686 20.6744
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.232 -4.504 2.492 19.287
10.820 26.598 6.018 8.963
3.418 10.214 2.995 19.193
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
17.03 -4.101 -7.007 -2.5809
-10.91 2.095 15.120 -0.7452
30.91 -2.880 17.394 1.1473
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-6.188 -6.667 -5.666 2.145
11.160 1.757 -12.284 -2.295
6.737 1.955 -1.654 4.777
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
10.821 2.777 15.78 -20.321
5.438 -9.120 10.21 7.710
-6.016 7.788 -20.92 -5.972
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-4.2876 4.0193 1.078 3.53893
0.1980 -0.3121 1.509 -0.01673
-0.6675 1.4648 3.720 6.14510
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.614 -2.635 -9.308 27.131
-5.009 2.060 -8.785 1.582
-7.532 -1.228 -9.244 18.463
rnd_95776.volume rnd_95787.volume
-27.29 -28.28
-31.84 -48.77
13.69 -66.74
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.031 2.031 7.599 5.906 5.496 0.6723 1.412 3.979 4.353 3.091 2.174
[2,] 3.876 2.361 9.168 7.361 7.215 0.7986 1.681 4.648 5.132 4.727 3.025
[3,] 4.466 2.634 10.530 8.046 8.218 0.8729 1.855 5.012 5.562 5.439 3.362
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.607 2.262 2.899 4.762 3.350 4.008 4.497 6.585 4.616 9.413 2.450
[2,] 3.828 2.743 3.704 6.062 4.001 5.020 5.595 8.054 5.637 11.094 2.925
[3,] 4.385 3.101 4.377 6.999 4.464 5.801 6.430 8.831 6.595 12.690 3.192
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.68 5.740 0.3729 5.568 6.073 0.9389 5.519 0.5996 5.437 1.509 0.9143
[2,] 14.52 7.012 0.4602 6.871 7.558 1.1036 6.780 0.7067 6.795 1.809 1.1435
[3,] 16.00 7.948 0.5286 7.992 8.488 1.2593 7.657 0.7565 7.659 2.053 1.2848
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.587 5.560 5.612 4.399 2.881 3.076 1.192 2.524 0.9364 2.880 3.507
[2,] 6.885 6.941 7.096 4.887 3.791 3.652 1.501 2.949 1.1480 3.583 4.309
[3,] 7.828 7.893 8.047 5.545 4.304 4.063 1.679 3.339 1.2756 4.052 4.811
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.428 0.6821 2.920 3.319 3.892 1.757 3.188 3.127 1.138 2.324 2.152
[2,] 1.753 0.9190 3.523 4.133 4.724 2.110 4.338 3.629 1.322 3.788 3.058
[3,] 2.041 1.0355 3.968 4.687 5.233 2.327 5.176 4.043 1.467 4.632 3.785
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.636 1.728 3.414 0.6138 2.052 0.9117 1.924 2.668 2.274 2.961 1.273
[2,] 2.521 2.724 3.845 0.7208 2.831 1.0815 2.308 3.137 3.016 3.774 1.563
[3,] 3.551 3.536 4.256 0.8125 3.551 1.2090 2.806 3.466 3.462 4.302 1.711
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.253 2.352 2.374 1.061 3.435 2.626 3.499 3.361 4.518 4.672 2.836
[2,] 8.280 2.846 3.476 1.265 3.938 4.129 4.404 5.200 5.187 5.600 4.275
[3,] 9.013 3.183 4.022 1.457 4.338 4.814 4.987 6.007 5.632 6.605 5.535
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.060 3.119 2.488 3.697 1.963 1.454 1.567 2.609 2.081 5.372 4.513
[2,] 1.249 4.280 2.871 4.692 2.286 1.807 1.873 3.539 2.510 6.268 5.407
[3,] 1.391 5.154 3.178 5.384 2.566 2.219 2.070 4.062 2.853 7.273 6.050
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.244 1.251 1.067 1.094 2.201 1.854 0.4756 5.253 9.141 5.642
[2,] 1.563 1.789 1.549 1.478 2.675 2.287 0.5456 6.506 12.678 7.012
[3,] 1.798 2.107 1.841 1.856 3.104 2.617 0.6258 7.473 14.248 7.878
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 3.849 2.579 9.649 7.499 6.979 0.8537 1.793
[2,] 2494.821 1244.755 5298.001 4538.192 4828.212 445.1334 943.387
[3,] 2291.543 1205.369 5351.467 3357.845 4064.192 364.1014 809.872
[,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 5.053 5.527 3.925 2.761 3.311 2.873 3.682
[2,] 2481.485 2807.289 3693.954 2172.924 2895.776 1602.777 2380.421
[3,] 1935.570 2216.235 2779.079 1515.493 2208.634 1494.226 2408.621
[,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 6.047 4.253 5.09 5.711 8.362 5.861 11.95 3.111
[2,] 3874.832 2260.139 3121.17 3438.116 4790.445 3343.442 6064.84 1650.770
[3,] 3613.074 2044.380 3004.01 3273.458 3742.215 3534.262 6363.02 1319.257
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 14.83 7.289 0.4736 7.071 7.712 1.192 7.008 0.7614
[2,] 8915.14 4160.216 278.5778 4159.037 4647.023 599.154 4067.584 386.2787
[3,] 6933.24 3864.129 268.6551 4215.736 3989.719 626.552 3675.754 278.9399
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 6.905 1.917 1.161 7.095 7.061 7.126 5.586
[2,] 4209.760 1030.768 709.335 4155.465 4291.231 4485.637 2198.305
[3,] 3649.695 1002.985 605.242 3847.753 3881.390 3919.268 2707.917
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 3.659 3.906 1.514 3.205 1.189 3.657 4.453 1.813
[2,] 2544.331 2032.946 942.016 1574.704 685.970 2202.398 2585.262 1050.151
[3,] 2105.889 1839.126 777.771 1617.235 574.375 1953.475 2211.826 1081.151
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 0.8662 3.708 4.214 4.943 2.231 4.049 3.97 1.446
[2,] 636.1502 2036.214 2545.015 2765.328 1207.169 3038.717 1901.98 695.360
[3,] 492.9180 1885.245 2281.975 2325.949 1012.019 2915.403 1842.79 655.280
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 2.951 2.733 2.077 2.194 4.336 0.7794 2.606
[2,] 3090.425 2243.952 1980.960 2175.677 1826.354 390.3634 2014.350
[3,] 2752.048 2303.268 2583.201 2327.890 1885.307 387.3576 2214.574
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.158 2.443 3.388 2.888 3.761 1.616 9.21 2.986
[2,] 601.071 1317.048 1704.500 2046.381 2417.202 937.401 4125.71 1655.067
[3,] 558.062 1648.444 1520.984 1756.643 2132.432 718.719 3676.84 1474.322
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.015 1.347 4.363 3.335 4.443 4.267 5.737
[2,] 2621.823 712.427 1987.891 3290.626 2762.299 4098.901 2631.782
[3,] 2090.249 747.096 1879.167 2557.113 2417.020 3106.411 2267.469
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.933 3.601 1.346 3.96 3.159 4.695 2.493 1.847
[2,] 3188.048 3304.335 683.075 3028.75 1479.073 2983.011 1210.199 1107.763
[3,] 3618.041 3631.386 631.859 2965.34 1409.297 2727.911 1204.685 1330.011
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.99 3.312 2.642 6.821 5.731 1.579 1.588 1.355
[2,] 1059.57 2470.203 1450.868 3336.012 3075.456 978.124 1320.659 1159.881
[3,] 909.39 2060.962 1399.261 3811.500 2804.407 918.692 1150.062 1028.550
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.389 2.795 2.354 0.6039 6.67 11.61 7.164
[2,] 1027.751 1570.446 1383.548 276.1320 3965.55 9073.98 4300.837
[3,] 1158.883 1627.548 1314.126 316.7109 3797.84 6715.52 3708.257
[1] "--- VAR model 2017-10-07 06:01:00 completed"
[1] "Completed training sample: 2017-10-07 06:01:00 - 2017-10-07 14:00:00"
[1] "SpVAR; training sample: 2017-10-07 06:31:00 - 2017-10-07 14:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 06:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
3.8469 15.352 -87.97 -70.79
-0.9635 -5.496 -77.63 -80.27
6.2692 -1.965 -75.71 -75.71
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-74.26 0.1074 0.1593 14.833
-66.18 -1.5267 3.0282 -6.765
-54.78 2.3664 0.3804 6.787
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
12.5376 3.124 7.4482 -20.78
-7.1135 14.987 6.1221 -13.55
-0.8392 -16.102 0.6608 -26.84
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-2.021 -10.979 -2.796 -0.3221
12.523 -2.649 -26.315 1.1319
-4.508 -3.099 -10.366 6.2269
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-31.767 -12.96 -10.82 -4.431
-15.334 -20.86 -51.80 23.503
5.585 13.74 -21.43 2.210
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-49.61 -4.554 -117.7 -59.12
-94.17 -3.757 -163.1 -82.31
-93.49 -3.072 -167.0 -74.73
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.121 -70.76 -56.18 -13.69
-8.724 -65.55 -80.46 -19.90
-8.889 -71.29 -79.01 -15.36
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-65.32 -7.985 -66.51 -30.49
-75.33 -6.733 -60.38 -27.07
-69.01 -10.759 -65.04 -29.99
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.32 -89.61 -65.68 -97.19
-18.09 -50.43 -60.68 -60.75
-15.37 -72.23 -52.58 -45.48
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-12.764 -19.002 8.016 -4.208
11.458 7.885 6.760 1.513
-7.371 -3.661 -4.571 0.762
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.397 -3.3543 -18.15 -36.79
-3.319 0.2655 -35.66 -44.47
1.940 1.7567 -36.01 -22.39
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.049 -3.0287 -37.50 8.320
4.242 0.3098 -36.96 4.047
-0.104 -3.9804 -39.68 14.596
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
9.303 -1.4136 -23.72 16.40
-9.010 -7.1023 -25.91 14.42
12.342 0.2904 -40.91 8.23
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-2.935 4.924 -16.33 -31.3555
-3.626 -20.453 -15.64 0.5117
1.475 -30.768 -12.83 -15.5399
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-15.96 1.525 -2.930 -18.706
-14.86 -1.609 1.581 -21.773
-13.31 -1.855 -2.084 -7.344
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.7636 -15.75 4.042 -16.78
0.6404 -15.73 -6.109 -16.08
-4.2617 -5.57 7.908 -21.10
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-11.474 -2.661 -40.056 4.924
-8.731 3.634 5.928 -5.069
-16.165 1.123 -5.581 6.318
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-28.184 0.3902 5.163 19.182
-4.625 1.2810 2.468 5.376
-8.672 -1.8385 12.484 7.380
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-19.00 -9.323 20.16 6.060
17.56 23.374 16.57 4.238
-10.54 -14.695 12.20 14.758
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
19.51 1.62084 29.741 -0.7189
13.40 6.35971 3.036 -7.4192
19.27 0.09954 8.857 3.9034
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
25.512 2.173 4.883 -0.358
8.151 5.448 -3.203 6.173
2.998 3.335 -4.442 2.942
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.076 10.009 20.33 -20.002
-8.865 6.551 30.05 -26.703
7.163 -1.975 25.49 -8.003
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-7.972 -4.354 -0.7743 0.3974
-5.265 -1.185 -3.5057 -3.4677
3.300 2.656 0.8719 -5.7959
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.408 9.5123 -10.215 16.816
-7.760 -0.2550 -10.453 6.729
-3.661 -0.8374 -9.375 10.672
rnd_95776.volume rnd_95787.volume
-49.84 -73.54
-89.55 -72.76
-77.34 -92.93
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.249 2.207 8.116 6.053 6.134 0.7666 1.499 4.139 4.615 3.386 2.257
[2,] 4.110 2.589 9.755 7.601 7.721 0.8774 1.759 4.863 5.477 5.060 3.170
[3,] 4.667 2.838 11.140 8.326 8.616 0.9539 1.927 5.259 5.944 5.772 3.582
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.650 2.411 3.122 4.858 3.534 3.996 4.816 6.791 4.835 9.902 2.438
[2,] 3.945 2.940 3.975 6.321 4.106 5.026 5.949 8.182 5.722 11.660 2.924
[3,] 4.516 3.266 4.706 7.306 4.607 5.912 6.726 8.985 6.598 13.165 3.222
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.68 6.558 0.3900 6.416 6.500 0.985 5.713 0.6278 5.687 1.590 0.9733
[2,] 15.65 7.695 0.4765 7.554 8.077 1.153 7.019 0.7432 6.944 1.857 1.1806
[3,] 17.29 8.611 0.5373 8.540 9.127 1.292 7.885 0.7996 7.960 2.112 1.2945
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.499 6.234 6.070 4.723 2.980 3.309 1.293 2.650 0.9979 3.159 3.651
[2,] 7.771 7.526 7.617 5.196 3.982 3.846 1.600 3.079 1.2245 3.841 4.468
[3,] 8.666 8.393 8.477 5.948 4.502 4.278 1.780 3.478 1.3612 4.362 5.011
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.598 0.7559 3.199 3.549 4.110 1.868 3.275 3.301 1.262 2.476 2.266
[2,] 1.925 0.9838 3.700 4.409 5.004 2.233 4.544 3.892 1.438 3.961 3.179
[3,] 2.181 1.1003 4.174 4.968 5.535 2.500 5.451 4.324 1.570 4.898 4.000
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 1.777 1.856 3.622 0.6612 2.146 0.9728 1.996 2.743 2.388 3.144 1.294
[2,] 2.747 2.916 4.104 0.7746 2.945 1.1656 2.364 3.292 3.136 4.045 1.619
[3,] 3.755 3.698 4.507 0.8714 3.747 1.3011 2.884 3.596 3.594 4.632 1.786
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.628 2.676 2.620 1.068 3.741 2.872 3.767 3.528 4.636 4.697 2.915
[2,] 8.739 3.145 3.714 1.285 4.197 4.450 4.599 5.541 5.456 5.712 4.395
[3,] 9.610 3.497 4.259 1.508 4.568 5.049 5.204 6.424 5.877 6.804 5.707
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.116 3.234 2.540 3.821 2.055 1.580 1.693 2.749 2.251 5.604 4.667
[2,] 1.317 4.396 2.941 4.885 2.399 1.991 1.952 3.711 2.733 6.653 5.458
[3,] 1.467 5.345 3.241 5.629 2.688 2.365 2.180 4.219 3.074 7.732 6.202
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.288 1.371 1.176 1.221 2.233 2.008 0.5029 4.512 9.171 6.369
[2,] 1.628 1.855 1.695 1.621 2.814 2.440 0.5667 5.757 13.196 7.592
[3,] 1.893 2.193 1.948 1.946 3.219 2.735 0.6439 6.598 14.866 8.449
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.125 2.803 10.31 7.687 7.789 0.9735 1.903 5.255
[2,] 2609.798 1401.843 5610.91 4765.515 4862.608 442.4395 954.131 2647.154
[3,] 2292.053 1205.525 5575.75 3523.151 3964.600 388.0676 815.897 2075.834
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 5.86 4.3 2.867 3.365 3.062 3.964 6.169 4.488
[2,] 3059.31 3898.8 2307.191 3030.341 1743.508 2550.580 4192.655 2166.911
[3,] 2392.77 2878.7 1729.345 2278.955 1474.610 2612.485 3799.031 2166.530
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 5.074 6.115 8.623 6.14 12.57 3.095 16.1 8.328
[2,] 3160.184 3621.689 4731.407 3172.17 6383.14 1675.190 9501.5 4173.877
[3,] 3228.178 3253.617 3850.007 3405.50 6336.22 1403.033 7632.7 4006.355
[,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 0.4952 8.147 8.254 1.251 7.254 0.7972 7.221
[2,] 283.8365 4134.334 4971.295 620.660 4228.722 412.3266 4131.644
[3,] 257.4622 4128.414 4404.449 605.729 3723.702 305.9445 4035.359
[,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 2.019 1.236 8.253 7.917 7.708 5.998 3.785
[2,] 995.516 692.705 4417.270 4371.206 4769.910 2245.161 2738.362
[3,] 1041.712 550.598 3977.046 3850.888 3857.750 3000.817 2178.015
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.201 1.642 3.365 1.267 4.011 4.637 2.03 0.9599
[2,] 2032.924 976.227 1626.331 735.727 2265.848 2670.098 1112.93 652.8223
[3,] 1942.906 809.857 1675.640 616.391 2143.031 2352.193 1061.84 510.8896
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 4.062 4.507 5.219 2.373 4.158 4.192 1.602
[2,] 1927.577 2712.598 2959.464 1266.899 3266.300 2138.090 715.444
[3,] 2002.261 2372.787 2452.145 1167.181 3121.975 1952.306 651.672
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.144 2.877 2.256 2.357 4.6 0.8396 2.725 1.235
[2,] 3205.138 2311.292 2171.702 2331.745 2000.1 418.3401 2091.761 665.641
[3,] 2988.024 2517.926 2654.553 2358.187 1931.9 413.9349 2400.835 599.526
[,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.535 3.483 3.033 3.992 1.644 9.687 3.398
[2,] 1314.064 1887.566 2106.731 2637.741 1008.233 4420.202 1713.263
[3,] 1712.804 1501.017 1820.136 2340.167 782.343 4146.448 1585.933
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 3.327 1.357 4.75 3.647 4.784 4.48 5.888 5.964
[2,] 2729.672 741.118 1973.50 3523.290 2735.580 4429.92 2981.415 3369.418
[3,] 2160.544 818.413 1868.70 2474.864 2523.985 3369.89 2265.289 3832.609
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 3.701 1.417 4.107 3.225 4.852 2.609 2.006 2.15
[2,] 3409.957 725.814 3086.420 1537.601 3155.616 1284.400 1256.259 1007.22
[3,] 3774.855 670.190 3153.293 1411.127 2898.965 1255.626 1322.605 1007.20
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.491 2.858 7.116 5.926 1.635 1.741 1.493
[2,] 2584.396 1606.084 3719.127 2933.026 1032.144 1296.011 1266.325
[3,] 2079.792 1459.351 4082.943 3054.927 1001.727 1212.255 993.657
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.551 2.836 2.55 0.6386 5.729 11.65 8.087
[2,] 1104.439 1775.853 1436.43 270.8414 3706.854 9837.87 4284.521
[3,] 1116.896 1619.879 1282.57 316.8821 3341.717 7095.75 3843.586
[1] "--- VAR model 2017-10-07 06:31:00 completed"
[1] "Completed training sample: 2017-10-07 06:31:00 - 2017-10-07 14:30:00"
[1] "SpVAR; training sample: 2017-10-07 07:01:00 - 2017-10-07 15:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 07:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.33691 5.546 -42.78 -80.82
-0.05943 3.545 -64.74 -60.56
-3.83259 -4.029 -67.07 -67.18
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-75.03 0.4055 4.876 -3.314
-67.16 1.7063 -4.269 -11.782
-60.23 1.9365 6.641 4.536
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-0.7929 -1.133 6.231 -27.83
-3.1123 -7.209 8.739 -26.10
-11.4209 -20.142 2.123 -27.20
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-6.5430 -25.74 -12.075 -2.809
0.8826 -6.33 -19.753 -10.898
-2.5648 -22.47 -9.055 -1.876
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-16.49 -10.77 -31.6371 38.16
-27.98 -15.49 -0.8807 16.68
-19.78 -17.01 -9.4855 10.35
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-54.37 -7.735 -152.9 -64.81
-29.82 -7.081 -114.2 -68.08
-55.69 -12.070 -108.7 -56.87
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.452 -64.02 -47.89 -16.21
-9.110 -58.34 -60.23 -18.01
-8.078 -78.01 -82.20 -14.65
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-63.98 -9.099 -52.32 -25.80
-74.19 -9.560 -77.53 -25.24
-57.18 -8.944 -35.03 -25.06
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.01 -58.78 -87.37 -70.28
-16.51 -71.39 -53.08 -57.24
-10.35 -67.22 -67.70 -79.79
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
7.80799 -11.745 -11.22 -2.434
-4.40883 -8.599 23.86 -3.131
-0.05521 -4.731 -11.13 -2.903
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.7748 -1.1527 -19.31 -34.25
-0.4954 -1.9142 -17.88 -24.32
-2.9207 0.3792 -38.09 -40.39
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
0.7023 -4.950 -41.07 23.452
3.3204 -5.286 -36.59 7.464
2.4563 -3.201 -25.93 14.923
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
12.00 -1.600 -20.11 8.1154
-7.82 -1.599 -25.24 18.2041
14.52 -3.284 -15.83 0.6224
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.3684 -16.36 -15.49 -11.33
-0.7789 -22.19 -25.67 -11.97
-0.4921 -10.75 -10.49 -27.95
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.87 -2.3024 0.04105 -14.829
-14.73 -0.5626 -0.29316 -8.628
-20.29 -5.5922 0.47790 -17.137
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.434 -6.695 9.25427 1.306
-2.406 -5.416 0.67501 -2.223
-1.071 -13.768 0.05089 -2.732
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-9.047 -0.3406 -16.97 -1.305
8.359 -0.8842 11.87 1.575
-15.519 2.2206 12.77 4.947
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-16.9471 -1.9441 4.0670 0.4052
-0.2015 1.1975 -2.3365 4.9804
8.1538 0.4523 0.3867 -1.5029
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-10.438 -3.417 17.05 -17.39
-7.206 1.489 31.45 13.30
-13.648 -15.041 13.87 11.00
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.753 1.697 12.726 8.718
-1.158 1.886 -7.199 -6.220
21.013 0.630 7.945 -2.478
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
13.539 8.094 1.4289 -3.150
-4.212 3.312 -2.4930 -2.929
-3.482 1.226 0.2018 3.185
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-13.498 -1.584 -22.321 -17.422
1.984 3.921 8.620 -2.408
-12.248 -3.540 -8.997 -8.212
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.3297 -5.505 1.139 2.731
-0.1696 2.319 -4.782 -7.254
-5.2149 -2.888 2.687 2.509
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.025 -1.295 -9.618 -0.5279
-5.495 6.245 -8.829 -1.1538
-1.038 -4.158 -10.201 3.1643
rnd_95776.volume rnd_95787.volume
-61.46 -70.26
-43.09 -76.47
-39.48 -62.83
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.333 2.329 8.869 6.185 6.490 0.8120 1.532 4.286 4.851 3.603 2.408
[2,] 4.216 2.743 10.254 7.647 8.132 0.9258 1.783 4.949 5.744 5.267 3.324
[3,] 4.831 3.003 11.550 8.518 9.007 1.0060 1.972 5.408 6.262 6.040 3.785
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.626 2.566 3.305 4.941 3.586 4.034 5.024 6.958 4.837 10.44 2.458
[2,] 3.992 3.196 4.166 6.428 4.112 5.102 6.112 8.459 5.719 12.30 2.901
[3,] 4.522 3.504 4.795 7.386 4.614 6.027 6.847 9.211 6.708 13.78 3.186
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.11 6.544 0.4079 6.383 6.658 1.059 5.774 0.5389 6.137 1.631 1.024
[2,] 16.49 7.896 0.4861 7.617 8.137 1.245 7.146 0.6789 7.397 1.899 1.241
[3,] 18.22 8.912 0.5544 8.854 9.136 1.390 8.102 0.7482 8.396 2.174 1.357
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.648 6.670 6.535 4.795 3.020 3.462 1.435 2.895 1.054 3.329 3.718
[2,] 7.872 7.995 8.176 5.396 4.145 4.029 1.722 3.317 1.283 4.000 4.648
[3,] 8.844 8.852 8.958 6.091 4.726 4.490 1.863 3.776 1.409 4.432 5.200
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.802 0.7946 3.342 3.497 4.307 1.910 3.465 3.351 1.302 2.519 2.421
[2,] 2.116 1.0487 3.960 4.477 5.162 2.274 4.806 3.992 1.471 3.938 3.336
[3,] 2.389 1.1525 4.348 5.153 5.728 2.594 5.609 4.446 1.606 4.867 4.196
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.038 1.857 3.715 0.6805 2.192 1.037 2.138 2.832 2.460 3.376 1.265
[2,] 3.045 3.044 4.328 0.8102 3.022 1.216 2.515 3.398 3.236 4.253 1.617
[3,] 3.938 3.795 4.748 0.9037 3.831 1.340 2.998 3.699 3.695 4.813 1.786
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.789 2.873 2.789 1.059 3.888 3.030 3.862 3.609 4.470 4.895 2.848
[2,] 9.037 3.366 3.896 1.295 4.334 4.597 4.683 5.630 5.466 5.974 4.334
[3,] 9.838 3.737 4.499 1.524 4.781 5.206 5.345 6.654 5.905 7.185 5.755
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.186 3.223 2.701 3.896 2.085 1.710 1.766 2.858 2.443 6.133 4.990
[2,] 1.402 4.552 3.181 5.236 2.442 2.141 2.069 3.894 2.945 7.280 5.830
[3,] 1.530 5.479 3.477 5.846 2.760 2.575 2.311 4.419 3.322 8.191 6.501
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.402 1.497 1.261 1.280 2.376 2.156 0.5157 1.410 9.677 6.626
[2,] 1.724 1.985 1.834 1.812 2.915 2.637 0.6012 1.768 13.431 7.818
[3,] 1.986 2.281 2.086 2.126 3.318 2.980 0.6705 1.974 15.480 8.827
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.233 2.957 11.26 7.854 8.241 1.031 1.945 5.442
[2,] 2717.280 1526.336 5418.19 4734.131 5158.876 468.263 960.648 2605.249
[3,] 2483.930 1286.026 5595.81 3949.977 4075.342 414.345 886.376 2295.857
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.16 4.575 3.058 3.335 3.258 4.197 6.274
[2,] 3238.27 4044.146 2412.837 3164.895 2005.310 2669.611 4328.609
[3,] 2626.08 3113.038 1904.454 2236.690 1512.424 2499.524 3829.793
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.553 5.122 6.379 8.835 6.143 13.26 3.122
[2,] 2119.440 3288.337 3665.547 5064.714 3210.615 6848.67 1622.305
[3,] 2203.314 3377.319 3247.385 3837.475 3690.945 6529.47 1386.581
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 16.64 8.31 0.518 8.105 8.454 1.345 7.332 0.6843
[2,] 10542.05 4651.45 278.392 4375.487 4924.206 689.770 4430.956 434.7464
[3,] 8146.31 4349.46 280.583 4752.120 4374.608 651.422 4019.152 330.9268
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 7.793 2.072 1.3 8.442 8.47 8.298 6.089 3.835
[2,] 4346.483 1022.400 737.6 4439.077 4640.66 5173.319 2604.836 2989.424
[3,] 4181.619 1115.047 579.0 4242.843 4000.12 3852.659 2974.306 2388.285
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.396 1.823 3.676 1.338 4.227 4.721 2.289 1.009
[2,] 2169.600 1001.370 1703.457 770.852 2334.614 2936.691 1166.619 720.531
[3,] 2087.593 748.338 1900.375 614.256 2009.414 2454.214 1168.757 503.136
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.244 4.441 5.47 2.426 4.401 4.255 1.654 3.199
[2,] 2235.825 2942.212 2995.02 1299.237 3506.130 2284.367 721.062 3185.663
[3,] 1890.561 2686.082 2613.12 1312.019 3043.792 2059.877 677.390 3012.170
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.074 2.588 2.359 4.718 0.8641 2.784 1.317
[2,] 2416.253 2381.483 2539.390 2337.913 462.8034 2189.253 668.708
[3,] 2679.343 2628.340 2385.399 2053.624 421.4414 2479.416 590.920
[,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.715 3.597 3.124 4.287 1.606 9.891 3.648
[2,] 1395.338 1975.573 2213.684 2722.590 1060.445 4824.499 1846.812
[3,] 1717.379 1540.389 1878.191 2372.504 798.830 4092.629 1707.150
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 3.541 1.345 4.937 3.847 4.905 4.583 5.676
[2,] 2864.419 783.892 2015.228 3640.393 2788.035 4548.473 3312.822
[3,] 2368.716 846.426 2124.697 2571.249 2711.280 3733.962 2351.082
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 6.216 3.617 1.506 4.092 3.43 4.947 2.647 2.172
[2,] 3603.707 3438.805 787.128 3384.756 1768.68 3683.052 1338.805 1356.068
[3,] 4203.384 3986.667 645.567 3209.248 1477.07 2738.032 1353.372 1506.437
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.242 3.629 3.102 7.788 6.337 1.78 1.901
[2,] 1134.494 2783.595 1730.760 4128.532 3172.805 1056.09 1371.830
[3,] 1085.649 2200.251 1617.539 3953.097 3029.306 1037.00 1184.234
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 1.601 1.626 3.017 2.737 0.6549 1.791 12.29
[2,] 1402.363 1350.558 1778.965 1599.104 325.4087 1122.307 9805.64
[3,] 1046.446 1169.516 1667.672 1462.074 312.3793 924.558 8101.43
[,98]
[1,] 8.414
[2,] 4369.292
[3,] 4312.698
[1] "--- VAR model 2017-10-07 07:01:00 completed"
[1] "Completed training sample: 2017-10-07 07:01:00 - 2017-10-07 15:00:00"
[1] "SpVAR; training sample: 2017-10-07 07:31:00 - 2017-10-07 15:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 07:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.749 -5.6178 -36.36 -72.52
2.133 -5.5211 -68.11 -81.11
-2.955 0.6246 -62.25 -68.06
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-52.84 0.6300 0.4157 7.634
-77.87 2.5208 0.5547 3.295
-83.80 0.2645 2.9341 -9.376
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.055 -11.656 -3.779 -17.20
-7.475 -10.212 1.409 -21.24
-9.353 -7.191 -2.862 -29.03
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.785 8.936 -1.737 4.131
-2.784 -17.780 -10.979 2.229
1.067 -5.507 -14.575 -2.701
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-0.33539 0.06298 -21.11 26.347
0.04198 -17.82837 -10.69 21.991
-21.67725 -12.50768 -16.17 3.278
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-96.31 -15.711 -128.3 -42.21
-35.78 -6.503 -142.1 -56.14
-81.26 -12.545 -117.7 -43.57
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.505 -81.48 -72.49 -19.83
-8.856 -83.38 -79.06 -19.50
-8.278 -65.82 -45.22 -17.49
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-72.58 -7.834 -65.52 -23.93
-50.48 -7.376 -87.65 -25.15
-60.58 -7.151 -54.31 -25.76
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.57 -58.62 -60.97 -77.61
-10.87 -56.62 -70.30 -65.05
-13.10 -78.92 -66.21 -83.06
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.442 -15.1876 0.5489 -1.1044
10.910 0.9816 11.5059 -2.4615
12.444 -10.2962 9.3978 0.5425
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.236 6.1688 -31.04 -23.31
3.548 -1.2718 -13.44 -44.96
-1.884 -0.5405 -36.42 -25.03
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.1916 -6.022 -43.47 16.624
8.6538 -2.190 -28.42 3.001
0.6327 1.585 -34.67 6.730
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
2.283 6.894 -26.73 13.37
6.978 -3.451 -15.20 14.41
12.646 -4.084 -33.40 21.51
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.1225 -13.88 -19.120 -28.353
-5.3560 -14.43 -24.442 -9.876
-3.9374 -20.88 -9.404 -23.335
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.106 -16.062 -0.6879 -13.76
-22.448 -5.087 -3.2684 -25.26
-23.644 6.445 -0.7840 -19.67
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-6.191 -14.621 0.9296 -27.642
-5.016 -5.195 2.8430 -10.265
-3.252 -14.127 0.3745 -7.959
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-18.793 -0.3463 17.509 -5.8350
-7.790 -3.0615 0.629 0.1224
-7.332 -2.0305 2.792 6.3418
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-23.149 -0.2861 9.8570 2.184
-27.370 0.5737 0.0091 18.653
8.894 -1.4057 -5.0474 -5.976
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-7.916 -5.634 14.321 13.788
-11.587 7.488 11.544 13.571
-3.976 -5.340 3.055 8.332
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.9283 -0.3830 -4.449 12.395
-0.8092 -0.8438 11.424 7.014
6.3330 2.5339 16.189 1.277
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.740 2.4067 -4.768 -1.862
5.436 5.6081 4.517 -1.539
7.990 -0.1325 -2.587 4.362
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-9.015 -3.805 -0.8974 10.049
-1.164 -6.015 -26.9094 -8.970
-8.754 0.518 18.4415 -3.897
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.7899 -3.4055 6.658 11.036
2.8408 8.0387 2.486 -4.341
0.2701 -0.4095 4.464 6.207
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
3.132 1.338 -11.739 0.004948
-7.006 3.253 -9.860 -2.464463
-17.822 -3.122 -9.836 3.449580
rnd_95776.volume rnd_95787.volume
-77.24 -61.19
-51.64 -56.61
-36.74 -48.56
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.436 2.466 9.363 6.516 6.984 0.8779 1.534 4.421 5.082 3.919 2.494
[2,] 4.390 2.858 10.988 7.952 8.508 0.9767 1.825 4.994 5.919 5.480 3.431
[3,] 4.981 3.124 12.188 8.878 9.449 1.0629 1.997 5.460 6.409 6.217 3.904
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.717 2.699 3.444 4.947 3.831 4.351 5.236 7.674 5.322 10.78 2.534
[2,] 4.123 3.321 4.346 6.272 4.422 5.363 6.472 9.043 6.206 12.72 2.982
[3,] 4.661 3.632 5.062 7.369 4.986 6.181 7.245 9.803 7.166 14.05 3.244
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.43 7.112 0.4464 6.609 6.740 1.128 6.058 0.5885 6.674 1.693 1.056
[2,] 17.32 8.499 0.5079 8.024 8.473 1.301 7.466 0.7201 7.827 1.946 1.290
[3,] 18.97 9.576 0.5715 9.485 9.455 1.473 8.502 0.7997 8.878 2.202 1.393
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.909 7.116 6.942 4.943 3.296 3.742 1.511 3.039 1.069 3.759 3.966
[2,] 8.145 8.313 8.742 5.609 4.357 4.491 1.815 3.436 1.317 4.382 5.052
[3,] 9.211 9.281 9.499 6.259 4.902 5.035 1.945 3.856 1.465 4.887 5.672
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 1.910 0.8491 3.498 3.606 4.362 1.946 3.590 3.452 1.340 2.560 2.508
[2,] 2.255 1.1274 4.149 4.681 5.358 2.296 5.006 4.048 1.523 3.902 3.411
[3,] 2.605 1.2313 4.547 5.300 5.954 2.670 5.926 4.486 1.696 4.928 4.308
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.183 1.878 3.844 0.7230 2.325 1.109 2.180 2.879 2.528 3.414 1.310
[2,] 3.228 3.139 4.543 0.8302 3.181 1.297 2.593 3.507 3.313 4.372 1.679
[3,] 4.180 3.935 4.974 0.9338 3.997 1.445 3.068 3.787 3.850 4.979 1.858
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.464 3.100 2.999 1.074 3.975 3.110 4.064 3.930 4.705 5.061 2.791
[2,] 8.868 3.659 4.137 1.293 4.456 4.615 4.994 5.817 5.669 6.051 4.525
[3,] 9.871 4.025 4.760 1.530 4.954 5.235 5.626 6.834 6.094 7.229 5.986
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.225 3.268 2.776 3.903 2.122 1.716 1.834 3.007 2.716 6.322 5.037
[2,] 1.434 4.569 3.282 5.283 2.495 2.215 2.143 4.065 3.187 7.604 5.896
[3,] 1.574 5.563 3.572 5.850 2.887 2.667 2.450 4.584 3.562 8.535 6.592
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.437 1.572 1.242 1.276 2.519 2.275 0.5255 1.344 9.805 7.097
[2,] 1.799 2.061 1.874 1.866 3.054 2.807 0.6202 1.671 13.637 8.350
[3,] 2.049 2.446 2.154 2.191 3.487 3.139 0.7019 1.842 16.234 9.292
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.363 3.132 11.89 8.274 8.869 1.115 1.948 5.614
[2,] 2956.047 1562.701 6220.63 4929.822 5255.392 463.034 1068.589 2511.286
[3,] 2545.467 1363.887 5702.79 4270.911 4444.867 453.479 877.469 2388.951
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.453 4.977 3.167 3.45 3.427 4.373 6.281
[2,] 3282.280 4142.640 2548.006 3354.33 2093.722 2866.913 4171.070
[3,] 2657.900 3176.153 2014.448 2350.50 1590.509 2806.654 4183.139
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.864 5.525 6.649 9.745 6.759 13.69 3.217
[2,] 2389.260 3390.932 4114.657 5174.090 3452.600 7299.91 1700.643
[3,] 2490.929 3324.879 3520.059 4092.211 3875.085 6446.99 1380.208
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 17.06 9.031 0.5669 8.393 8.559 1.433 7.693
[2,] 11833.52 5032.123 262.0760 4920.240 5554.414 700.322 4719.009
[3,] 8354.69 4773.032 283.4133 5470.810 4538.538 747.043 4399.684
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.7473 8.475 2.15 1.341 8.773 9.036 8.816 6.277
[2,] 448.9054 4422.502 1037.53 802.320 4665.883 4648.810 5746.506 2865.878
[3,] 376.1338 4532.423 1115.37 566.755 4651.848 4463.272 4018.019 3004.598
[,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 4.185 4.752 1.919 3.859 1.357 4.773 5.037
[2,] 3082.326 2685.214 1086.742 1733.795 831.589 2436.625 3384.650
[3,] 2429.478 2462.153 757.134 1894.092 695.455 2340.095 2787.796
[,45] [,46] [,47] [,48] [,49] [,50] [,51]
[1,] 2.425 1.078 4.442 4.579 5.539 2.472 4.559
[2,] 1296.241 802.198 2413.854 3228.170 3365.699 1316.849 3772.377
[3,] 1411.341 535.442 2011.533 2689.239 2807.273 1474.869 3431.882
[,52] [,53] [,54] [,55] [,56] [,57] [,58]
[1,] 4.384 1.701 3.251 3.184 2.772 2.385 4.881
[2,] 2285.581 782.722 3184.321 2501.080 2572.299 2720.998 2619.154
[3,] 2091.233 808.540 3256.219 2845.429 2871.158 2566.366 2192.005
[,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 0.9181 2.952 1.408 2.768 3.656 3.21 4.336 1.664
[2,] 441.1736 2348.483 728.552 1518.624 2164.789 2315.83 2953.013 1136.385
[3,] 462.4321 2617.268 688.984 1772.564 1546.516 2120.85 2577.091 859.319
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74]
[1,] 9.478 3.937 3.809 1.363 5.048 3.949 5.16 4.991
[2,] 5178.599 2100.899 3082.060 778.953 2177.211 3688.423 3139.45 4638.871
[3,] 4690.361 1815.245 2545.675 884.252 2340.390 2672.404 2802.56 3880.088
[,75] [,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 5.975 6.426 3.544 1.556 4.15 3.526 4.956 2.695
[2,] 3420.831 3586.809 3853.251 805.756 3453.20 1892.379 3850.771 1418.377
[3,] 2418.165 4277.988 4237.675 702.484 3433.38 1525.761 2718.033 1572.509
[,83] [,84] [,85] [,86] [,87] [,88] [,89]
[1,] 2.179 2.329 3.818 3.448 8.028 6.396 1.824
[2,] 1514.215 1198.464 2959.252 1804.755 4569.167 3314.607 1171.581
[3,] 1607.557 1284.277 2291.055 1719.970 4193.978 3188.702 1059.819
[,90] [,91] [,92] [,93] [,94] [,95] [,96]
[1,] 1.996 1.577 1.621 3.199 2.889 0.6672 1.707
[2,] 1442.040 1517.422 1471.878 1867.721 1776.992 356.2872 1074.879
[3,] 1423.648 1149.439 1241.416 1819.560 1521.722 355.6281 837.874
[,97] [,98]
[1,] 12.45 9.012
[2,] 10251.14 4757.378
[3,] 9525.98 4409.502
[1] "--- VAR model 2017-10-07 07:31:00 completed"
[1] "Completed training sample: 2017-10-07 07:31:00 - 2017-10-07 15:30:00"
[1] "SpVAR; training sample: 2017-10-07 08:01:00 - 2017-10-07 16:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 08:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.547 -5.451 -101.96 -52.26
7.340 -6.910 -32.42 -62.86
12.980 -3.892 -53.55 -79.96
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-66.88 1.5459 4.890 -6.296
-74.40 -1.1249 3.214 -3.981
-69.98 -0.4162 -1.958 -7.119
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.171 9.116 12.881 -20.35
-13.109 -17.048 -2.813 -25.85
-9.214 -8.065 -3.429 -24.61
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.0674 -22.932 -25.8736 16.750
0.5053 -8.449 0.7175 2.756
-3.0829 -6.493 -17.5064 -2.223
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-26.684 -6.46 -5.805 5.658
-5.128 -10.20 -16.605 18.045
-17.535 -16.61 -24.352 -5.498
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-78.82 -10.539 -138.09 -40.27
-24.09 -3.217 -167.65 -60.69
-61.04 -8.316 -79.94 -48.67
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.952 -30.08 -66.73 -14.83
-9.649 -89.87 -61.10 -17.36
-7.118 -67.58 -78.65 -14.92
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-53.82 -8.517 -46.88 -25.00
-49.20 -9.149 -64.37 -23.07
-69.93 -9.276 -69.26 -23.20
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-15.39 -45.74 -71.35 -59.15
-18.37 -78.42 -60.29 -47.47
-17.51 -70.53 -68.87 -72.27
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-12.626 -1.153 5.628 -0.3199
3.830 -3.241 0.449 -0.4487
-3.498 -3.016 5.813 0.8255
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-2.514 -2.044 -34.74 -27.84
8.000 4.545 -42.74 -26.29
1.366 1.169 -23.57 -32.43
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.304 -5.6925 -32.41 -12.858
2.654 -3.7501 -24.31 9.864
2.451 -0.7476 -39.74 12.321
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
6.564 -10.206 -29.39 5.052
-7.711 -3.166 -15.02 2.516
20.289 -1.915 -37.34 2.908
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.206 -22.81 -22.33 -19.78
-1.262 -19.90 -27.29 -23.42
-3.175 -29.90 -18.76 -14.51
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.84 -5.7588 -0.567385 -9.185
-22.18 0.4947 0.004344 -28.050
-23.96 9.1947 1.062461 -18.982
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.3833 -12.428 11.3318 -10.29
-0.0331 -13.181 1.7045 -1.23
-2.5560 -9.806 -0.2583 -3.23
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-8.499 -0.61140 -45.162 9.282
-7.926 -0.68281 -2.676 -3.431
-2.722 -0.04247 -8.027 -2.855
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-3.925 3.2044 13.417 19.851
-7.548 -1.8983 10.444 7.767
-7.105 -0.3096 7.598 1.698
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-14.091 1.476 8.904 8.855
3.974 4.175 23.745 23.198
-7.612 7.713 18.679 18.286
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.623 -3.8881 6.827 -8.949
2.058 -0.6953 12.189 -8.675
21.215 0.5396 14.483 -7.278
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
4.2994 4.365 -7.591 2.921
9.7093 2.929 -2.167 -3.874
0.1179 -2.968 2.099 2.595
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
6.224 -0.1477 2.433 -15.320
-20.961 -1.1018 -5.608 7.327
8.174 -10.7486 14.052 -13.690
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.7697 6.4039 5.086 4.417
-1.1582 3.9082 3.576 4.007
4.0781 -0.6185 -1.883 0.407
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-12.019 1.317 -10.816 -1.428
-4.469 -1.700 -9.381 1.995
-10.347 9.122 -9.768 2.727
rnd_95776.volume rnd_95787.volume
-51.38 -40.07
-103.42 -78.31
-12.25 -70.69
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.477 2.577 9.883 6.590 7.462 0.8305 1.558 4.460 5.045 4.033 2.474
[2,] 4.517 2.959 11.209 8.221 8.936 0.9691 1.848 5.164 6.003 5.638 3.464
[3,] 5.079 3.243 12.410 9.162 9.918 1.0729 2.013 5.569 6.540 6.368 3.897
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.766 2.767 3.245 3.396 3.946 4.186 5.373 7.499 5.405 10.99 2.552
[2,] 4.147 3.409 4.331 4.598 4.577 5.225 6.604 8.959 6.327 12.91 2.966
[3,] 4.722 3.773 5.089 5.656 5.229 6.046 7.262 9.675 7.285 14.06 3.212
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.64 7.621 0.4676 6.620 7.080 1.116 6.259 0.6019 7.137 1.663 1.125
[2,] 17.45 9.024 0.5343 8.279 8.737 1.339 7.808 0.7323 8.389 1.936 1.314
[3,] 19.37 10.071 0.6025 9.792 9.873 1.503 8.901 0.8076 9.298 2.207 1.432
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.139 7.427 7.255 5.124 3.383 3.913 1.654 3.213 1.114 3.817 4.149
[2,] 8.519 8.619 9.025 5.751 4.629 4.759 1.926 3.588 1.321 4.491 5.243
[3,] 9.577 9.578 9.962 6.438 5.181 5.298 2.073 4.032 1.468 5.004 5.833
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.075 0.9151 3.684 3.729 4.428 1.985 3.657 3.757 1.317 2.741 2.487
[2,] 2.481 1.1754 4.361 4.860 5.485 2.319 5.155 4.346 1.527 4.071 3.483
[3,] 2.846 1.3088 4.743 5.543 6.133 2.687 6.101 4.731 1.700 5.129 4.433
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.388 1.970 3.975 0.7389 2.351 1.128 2.242 3.085 2.613 3.569 1.337
[2,] 3.405 3.180 4.635 0.8631 3.254 1.314 2.660 3.634 3.389 4.436 1.708
[3,] 4.349 4.016 5.082 0.9613 4.165 1.455 3.106 3.934 3.956 5.087 1.885
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.590 3.157 3.151 1.114 3.945 3.225 4.159 3.976 4.783 4.929 2.980
[2,] 9.029 3.808 4.321 1.324 4.518 4.691 5.133 5.955 5.613 5.959 4.555
[3,] 10.183 4.157 4.935 1.575 5.038 5.385 5.752 6.975 6.074 7.218 6.005
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.296 3.355 2.739 3.857 2.124 1.694 1.881 3.090 2.781 6.843 5.064
[2,] 1.510 4.471 3.307 5.253 2.563 2.262 2.252 4.125 3.247 8.156 5.895
[3,] 1.656 5.482 3.600 5.854 2.949 2.728 2.550 4.794 3.622 8.926 6.500
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.524 1.615 1.302 1.279 2.582 2.433 0.5401 1.293 9.793 7.763
[2,] 1.869 2.174 1.963 1.942 3.186 2.955 0.6332 1.563 14.026 8.994
[3,] 2.144 2.527 2.246 2.282 3.639 3.353 0.7113 1.721 16.576 9.711
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.416 3.273 12.55 8.368 9.475 1.055 1.979 5.663
[2,] 3155.839 1590.225 5788.41 5379.883 5380.544 546.826 1088.002 2849.966
[3,] 2540.206 1454.110 5829.91 4426.802 4711.125 503.713 873.598 2282.082
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.407 5.121 3.142 3.512 3.514 4.121 4.313
[2,] 3559.503 4313.258 2653.096 3382.689 2180.065 3139.279 3392.618
[3,] 2840.486 3240.410 1954.847 2470.725 1769.483 2924.151 3604.424
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.011 5.316 6.822 9.523 6.863 13.96 3.24 17.32
[2,] 2539.080 3421.940 4203.161 5364.361 3599.221 7408.30 1654.15 11913.41
[3,] 2765.720 3329.789 3305.309 3997.498 3953.437 6103.00 1350.47 9211.26
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 9.678 0.5937 8.407 8.991 1.417 7.948 0.7643
[2,] 5289.451 283.0053 5440.782 5603.080 809.943 5108.642 456.6776
[3,] 4893.563 304.6762 5722.883 5032.380 745.998 4678.797 372.5861
[,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 9.063 2.112 1.429 9.065 9.431 9.213 6.507
[2,] 4825.688 1084.286 743.762 5088.904 4787.418 5875.847 2856.836
[3,] 4388.508 1159.384 621.693 4788.813 4571.385 4616.135 3167.565
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 4.296 4.969 2.101 4.08 1.414 4.847 5.269 2.635
[2,] 3459.113 2964.770 1079.674 1748.00 777.765 2591.045 3508.007 1488.291
[3,] 2546.775 2548.238 837.966 2014.51 700.944 2415.933 2797.543 1526.962
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.162 4.678 4.735 5.623 2.521 4.644 4.771 1.673
[2,] 807.430 2553.422 3412.083 3543.226 1312.104 3976.149 2390.291 844.063
[3,] 630.249 2041.037 2916.261 3002.565 1484.491 3572.821 2045.455 819.928
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.481 3.158 3.032 2.502 5.048 0.9383 2.986
[2,] 3293.701 2669.009 2656.468 2731.999 2608.819 488.3599 2462.556
[3,] 3415.441 3001.264 2961.015 2684.382 2282.493 463.2840 2844.644
[,61] [,62] [,63] [,64] [,65] [,66] [,67]
[1,] 1.432 2.847 3.918 3.318 4.532 1.698 9.638
[2,] 738.723 1568.285 2101.506 2361.760 2883.768 1163.196 5353.408
[3,] 682.879 1753.478 1648.268 2234.559 2725.807 872.096 5153.597
[,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.009 4.001 1.415 5.01 4.095 5.281 5.049 6.074
[2,] 2331.266 3235.700 782.848 2409.08 3728.949 3292.175 4852.325 3215.008
[3,] 1824.820 2610.973 933.251 2440.29 2893.851 2841.018 3975.817 2541.949
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 6.259 3.784 1.645 4.26 3.478 4.898 2.697 2.151
[2,] 3665.144 3770.773 848.082 3234.82 2028.829 3903.454 1569.569 1640.116
[3,] 4458.638 4283.581 744.240 3471.58 1556.592 2828.535 1596.679 1668.487
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 2.389 3.924 3.531 8.69 6.43 1.935 2.051 1.654
[2,] 1355.711 2991.757 1835.328 4857.28 3302.79 1184.140 1593.724 1608.354
[3,] 1307.936 2674.008 1755.626 3968.23 2997.07 1150.237 1408.128 1193.782
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.624 3.278 3.09 0.6859 1.641 12.44 9.858
[2,] 1599.843 2043.590 1834.14 361.8326 961.676 10989.57 4971.273
[3,] 1310.688 1925.366 1734.88 354.6750 788.096 9670.45 4008.483
[1] "--- VAR model 2017-10-07 08:01:00 completed"
[1] "Completed training sample: 2017-10-07 08:01:00 - 2017-10-07 16:00:00"
[1] "SpVAR; training sample: 2017-10-07 08:31:00 - 2017-10-07 16:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 08:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
14.574 -8.2704 -55.74 -52.24
2.625 0.2249 -75.95 -72.22
-2.554 0.6736 -48.43 -51.57
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-42.84 0.3951 5.1073 -3.764
-59.22 0.6371 6.7499 2.628
-75.40 -0.6232 -0.3824 -9.519
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-13.712 -10.6138 -7.070 -15.95
4.018 0.8399 1.922 -22.44
-13.662 -1.8932 9.769 -29.58
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.548 -0.6844 -6.739 3.358
2.789 0.3189 -5.503 1.734
-4.625 -7.9775 -5.786 -2.484
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.1463 -11.27 -10.96 1.919
-0.6979 -19.64 -30.52 23.906
-17.7025 -21.75 -12.40 8.623
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-70.24 -3.761 -112.8 -58.65
-71.00 -9.266 -141.0 -43.85
-64.23 -9.348 -157.7 -84.37
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.703 -80.07 -62.08 -15.33
-9.027 -47.79 -73.63 -16.59
-7.887 -50.44 -67.16 -18.30
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-48.62 -7.683 -39.02 -31.75
-69.81 -9.073 -66.14 -30.75
-56.20 -8.547 -73.30 -25.91
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.65 -53.15 -52.15 -60.81
-16.89 -54.30 -58.70 -66.12
-13.47 -74.88 -65.62 -56.65
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-3.665 -2.3469 -1.159 1.3707
7.612 0.2066 6.729 -2.0848
17.300 -2.7942 -4.376 0.2918
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-4.8600 2.097 -36.58 -35.84
12.4724 -2.376 -36.44 -31.91
-0.2285 2.132 -27.46 -34.79
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-6.1773 -2.707 -18.01 19.453
-2.4559 -7.632 -38.70 2.222
0.1886 -3.577 -34.00 10.101
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-1.885 3.041 -30.62 15.924
5.524 -8.018 -25.69 6.492
-4.175 -3.283 -26.66 15.163
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-6.189 -23.14 -14.41 -19.41
-3.111 -21.81 -15.81 -21.24
1.415 -13.07 -24.61 -20.25
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-37.513 3.114 0.9655 -22.91
-16.147 -7.662 -2.0385 -24.62
-6.519 11.168 -1.9251 -15.57
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-5.367 -10.460 4.256 -12.65
-6.505 -19.077 -2.488 -13.10
-3.265 -3.828 1.577 -18.97
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-22.892 -4.088 -5.6999 6.604
4.002 -5.782 13.9773 -4.983
-25.954 2.260 0.9308 -7.393
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.337 0.4363 20.940 3.5522
-19.210 4.4391 1.087 21.0363
-5.948 -1.3208 -4.850 0.4165
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
6.581 4.796 1.56 10.936
-6.607 11.164 20.29 9.497
-6.223 -5.903 19.57 28.092
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.5278 -3.814 -6.120 0.7401
0.6223 1.409 12.981 -3.0380
26.9375 1.817 8.869 2.1884
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.0414 3.370 -8.0981 0.8099
-0.7847 4.990 0.2888 5.6339
12.7761 5.242 0.7881 -2.1481
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.791 -1.718 -9.371 13.643
-2.132 -2.462 15.752 2.422
-8.781 -1.569 -10.853 -18.689
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.5750 -1.765 0.5455 -2.080
-0.5969 6.548 1.5002 2.855
-1.4419 -1.719 4.3770 3.561
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-8.567 7.355 -8.830 -0.2769
-9.999 1.006 -12.277 -0.7597
-9.426 -4.432 -9.594 0.2541
rnd_95776.volume rnd_95787.volume
-71.05 -53.03
-26.76 -44.84
-72.74 -80.99
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.447 2.640 10.44 6.647 7.824 0.8516 1.657 4.509 5.141 4.163 2.609
[2,] 4.499 3.035 11.54 8.321 9.299 0.9792 1.942 5.273 6.105 5.789 3.595
[3,] 5.027 3.316 12.84 9.369 10.157 1.0715 2.086 5.658 6.665 6.597 4.093
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.879 2.779 3.470 3.402 3.995 4.354 5.580 7.599 5.735 10.66 2.166
[2,] 4.285 3.517 4.489 4.646 4.698 5.344 6.867 9.205 6.593 12.41 2.535
[3,] 4.870 3.804 5.266 5.726 5.357 6.198 7.507 9.953 7.475 13.76 2.778
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 13.80 7.620 0.4597 7.073 7.278 1.166 6.465 0.5837 7.204 1.694
[2,] 17.95 9.131 0.5366 8.363 8.869 1.376 7.890 0.7090 8.628 1.973
[3,] 20.06 10.234 0.5988 10.037 10.134 1.532 9.056 0.7754 9.534 2.261
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.178 7.738 7.460 7.462 5.095 3.424 4.035 1.664 3.382 1.133 3.966
[2,] 1.391 8.960 8.650 9.117 5.950 4.665 4.882 1.961 3.798 1.325 4.672
[3,] 1.494 10.021 9.472 10.192 6.556 5.182 5.374 2.114 4.299 1.483 5.185
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.252 2.147 0.9593 3.960 3.894 4.609 1.990 3.745 3.804 1.311 2.759
[2,] 5.403 2.567 1.2217 4.584 4.890 5.757 2.328 5.225 4.448 1.567 4.090
[3,] 5.961 2.971 1.3892 5.045 5.532 6.332 2.726 6.236 4.813 1.749 5.339
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.405 2.441 1.772 4.076 0.7721 2.400 1.125 2.430 3.146 2.681 3.914
[2,] 3.460 3.580 3.076 4.685 0.8803 3.320 1.310 2.894 3.767 3.525 4.772
[3,] 4.422 4.431 4.001 5.110 0.9847 4.265 1.475 3.305 4.058 4.111 5.353
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.402 8.255 3.301 3.081 1.176 3.951 3.320 4.208 3.903 4.748 4.923
[2,] 1.768 9.607 3.984 4.436 1.415 4.602 4.614 5.367 5.953 5.551 6.154
[3,] 1.968 10.743 4.333 5.087 1.666 5.159 5.368 5.973 6.995 6.091 7.222
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.026 1.336 3.205 2.827 4.016 2.224 1.796 1.946 2.981 2.838 7.043
[2,] 4.554 1.543 4.496 3.317 5.263 2.607 2.362 2.320 4.182 3.402 8.385
[3,] 5.935 1.689 5.521 3.612 5.918 3.003 2.800 2.589 4.851 3.785 9.135
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.136 1.619 1.833 1.410 1.313 2.562 2.502 0.5484 1.358 9.941 8.006
[2,] 5.977 1.979 2.372 2.132 2.115 3.211 3.077 0.6432 1.630 14.526 9.212
[3,] 6.685 2.274 2.770 2.455 2.462 3.668 3.474 0.7260 1.795 16.884 10.195
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.377 3.353 13.26 8.44 9.935 1.081 2.104 5.725
[2,] 3242.070 1678.275 5504.96 5613.16 5635.735 541.947 1136.001 3065.650
[3,] 2515.317 1498.515 6325.30 4828.01 4580.964 487.999 854.291 2301.522
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.529 5.286 3.312 3.656 3.529 4.407 4.319
[2,] 3691.353 4510.871 2773.805 3557.863 2416.281 3192.863 3548.191
[3,] 2999.470 3546.579 2194.101 2596.846 1626.839 3086.696 3752.965
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.074 5.529 7.085 9.649 7.282 13.54 2.75 17.53
[2,] 2771.138 3473.951 4489.573 5824.796 3648.535 7133.80 1478.22 12867.70
[3,] 2886.016 3521.360 3400.756 4246.986 3949.585 6648.51 1272.29 10044.81
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.677 0.5837 8.982 9.242 1.481 8.21 0.7412 9.148
[2,] 5640.966 310.4621 5003.167 5683.802 818.089 5072.29 451.4035 5324.874
[3,] 5183.449 298.1072 6223.837 5497.914 755.509 4983.04 352.0596 4548.563
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.152 1.496 9.826 9.472 9.475 6.47 4.348 5.123
[2,] 1134.373 828.078 5066.230 4910.830 5874.765 3447.04 3553.615 3083.128
[3,] 1237.520 612.295 5032.814 4326.935 5107.316 3084.78 2528.711 2518.959
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.114 4.294 1.439 5.036 5.399 2.726 1.218 5.029
[2,] 1163.212 1937.825 768.826 2770.264 3738.875 1578.935 848.365 2587.833
[3,] 885.648 2259.306 746.461 2520.253 2823.302 1677.744 741.513 2364.758
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.944 5.852 2.527 4.756 4.83 1.665 3.503 3.054
[2,] 3317.425 3868.097 1355.119 4085.264 2584.81 962.892 3386.792 2788.655
[3,] 2900.091 2956.793 1590.346 3817.948 2061.99 871.644 3848.265 3089.259
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.1 2.25 5.176 0.9805 3.048 1.429 3.086 3.995
[2,] 2936.5 2819.73 2590.887 474.1008 2572.584 752.393 1762.028 2323.885
[3,] 2927.4 2869.78 2287.018 494.8558 3001.277 759.012 1790.059 1692.916
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.405 4.97 1.78 10.48 4.191 3.913 1.494 5.017
[2,] 2566.397 3061.49 1208.24 5510.14 2502.808 3578.256 881.527 2646.698
[3,] 2372.796 2719.39 968.51 5392.96 1910.258 2791.927 985.591 2613.582
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.215 5.343 4.957 6.029 6.252 3.843 1.696 4.07
[2,] 3593.544 3735.980 5039.482 3225.491 4140.449 3815.828 866.695 3535.35
[3,] 3075.979 2939.787 4120.309 2812.223 4238.356 4268.028 770.788 3593.62
[,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.59 5.1 2.824 2.281 2.471 3.785 3.604 8.943
[2,] 1945.12 3815.1 1525.469 1719.191 1415.538 3289.979 2102.407 5102.352
[3,] 1603.49 3033.1 1670.801 1686.637 1288.277 2755.021 1861.238 4065.611
[,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 6.522 2.055 2.328 1.791 1.667 3.253 3.177
[2,] 3427.043 1276.164 1687.466 1793.227 1860.049 2170.515 2008.726
[3,] 3359.567 1255.566 1604.858 1365.544 1412.670 1989.459 1806.882
[,95] [,96] [,97] [,98]
[1,] 0.6964 1.725 12.62 10.17
[2,] 376.8242 1010.291 11877.90 5110.29
[3,] 377.6246 844.022 9649.92 4897.66
[1] "--- VAR model 2017-10-07 08:31:00 completed"
[1] "Completed training sample: 2017-10-07 08:31:00 - 2017-10-07 16:30:00"
[1] "SpVAR; training sample: 2017-10-07 09:01:00 - 2017-10-07 17:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 09:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
11.9622 2.0705 -83.45 -63.01
6.7257 -0.8517 -103.72 -87.38
0.4188 -0.8606 -74.36 -71.81
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-64.91 1.4171 7.1077 1.824
-61.06 2.3896 4.6238 -9.708
-72.43 0.6391 0.9726 -7.238
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
5.024 1.579 14.486 -19.69
-18.804 -18.655 4.774 -23.92
-11.961 -2.941 5.852 -38.21
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
0.9544 -8.925 -4.216 -6.7004
2.7496 -7.982 -4.870 0.5941
-0.9087 -21.429 -22.240 -19.1611
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-1.961 -22.88 1.4815 24.01
-17.037 -11.32 -0.8836 34.34
-21.676 -12.03 13.9160 20.80
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-97.18 -3.93 -104.3 -57.76
-79.60 -11.09 -167.9 -52.35
-79.45 -12.13 -149.0 -81.21
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.058 -101.03 -79.01 -18.38
-9.273 -49.83 -84.12 -20.38
-10.061 -71.41 -64.48 -16.82
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-69.70 -8.280 -64.08 -31.87
-91.09 -8.907 -77.51 -31.43
-72.06 -7.573 -86.73 -33.84
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.66 -49.25 -56.83 -32.77
-18.33 -41.71 -48.25 -38.53
-16.02 -78.30 -74.15 -57.38
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.59495 -13.427 10.284 -0.2179
8.77821 4.020 3.635 -4.1528
-0.07113 3.056 -11.035 -1.0956
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.5071 3.75278 -17.03 -13.75
-0.2577 -0.04647 -32.35 -33.48
-8.2382 0.40726 -29.09 -25.54
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-2.297 -6.094 -38.84 0.2871
4.561 -3.905 -36.30 -2.6141
4.807 -3.406 -31.15 11.5643
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
10.41 -6.927 -54.24 3.990
-17.20 -2.346 -16.60 3.509
11.87 -2.026 -45.28 10.255
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.73502 -19.39 -15.03 -26.75
0.07263 -39.19 -33.07 -17.23
-5.21781 -34.41 -16.02 -24.05
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-5.041 16.3250 -1.0285 -14.335
-12.754 -0.8235 -0.6030 -6.054
-33.610 -1.9624 -0.4172 -10.659
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.189 -10.19 6.966 -1.908
-3.453 -13.31 5.374 -12.830
-1.558 -11.35 5.197 -8.047
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
3.464 3.2851 -21.135 3.211
-10.104 -0.6793 -7.878 5.507
-2.872 -1.3624 -6.594 3.148
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.928 -2.6755 15.23736 9.328
4.564 0.7127 0.07734 17.082
-8.138 0.3431 14.91848 1.489
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-12.078 15.439 25.73 19.04
3.327 7.294 24.54 20.46
-12.736 -5.972 11.58 19.99
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
4.509 1.1581 -3.163 -2.6695
26.619 -1.4264 15.758 -5.5895
28.132 -0.1458 20.930 -0.8666
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
2.04 -5.175 -8.753 0.8171
-5.50 -1.217 -10.817 -1.2733
12.95 4.138 -5.352 -3.0131
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.385 -2.3123 8.745 -13.79100
-6.498 4.8154 13.153 -12.21775
-1.911 -0.9316 20.888 -0.01526
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.1657 10.193 5.094 6.462
-1.0462 7.336 9.650 11.354
0.6894 2.501 4.895 3.428
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.969 6.7185 -8.199 2.338
6.203 5.3239 -10.138 -3.672
-3.224 -0.2389 -10.857 -4.260
rnd_95776.volume rnd_95787.volume
-71.04 -65.09
-121.48 -61.20
-64.33 -78.13
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.539 2.683 10.58 6.821 7.791 0.9037 1.710 4.321 5.263 4.086 2.674
[2,] 4.690 3.108 11.64 8.523 9.144 1.0423 1.959 5.013 6.201 5.712 3.675
[3,] 5.303 3.403 12.93 9.601 9.953 1.1366 2.114 5.495 6.765 6.442 4.127
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.912 2.732 3.384 3.428 3.856 4.234 5.500 7.725 5.686 9.665 2.274
[2,] 4.383 3.451 4.525 4.785 4.532 5.238 6.761 9.373 6.668 11.466 2.630
[3,] 4.948 3.827 5.452 5.922 5.237 6.108 7.421 10.184 7.413 13.060 2.946
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 13.52 7.734 0.4787 7.084 7.171 1.166 6.586 0.5968 7.344 1.716
[2,] 17.70 9.146 0.5533 8.573 9.121 1.349 7.911 0.7060 8.674 2.016
[3,] 19.93 10.326 0.6194 10.124 10.340 1.515 9.213 0.7737 9.677 2.287
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.261 8.048 7.557 7.507 5.020 3.452 4.240 1.662 3.421 1.187 3.996
[2,] 1.437 9.234 8.612 9.343 5.922 4.821 5.048 2.023 3.929 1.379 4.642
[3,] 1.551 10.244 9.374 10.377 6.538 5.283 5.585 2.160 4.356 1.543 5.178
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.469 2.146 0.9772 4.057 3.888 4.559 2.044 3.881 3.562 1.332 2.773
[2,] 5.465 2.585 1.2878 4.694 4.936 5.643 2.465 5.524 4.326 1.568 3.996
[3,] 5.991 3.054 1.4533 5.072 5.651 6.322 2.865 6.450 4.730 1.741 5.238
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.395 2.453 1.676 4.125 0.7766 2.332 1.159 2.492 3.307 2.644 3.902
[2,] 3.508 3.555 3.046 4.844 0.9007 3.349 1.338 2.968 3.936 3.499 4.829
[3,] 4.517 4.383 4.010 5.250 0.9961 4.358 1.466 3.386 4.203 4.049 5.350
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.478 8.226 3.483 3.106 1.194 4.233 3.246 4.586 4.260 4.663 4.621
[2,] 1.792 9.591 4.121 4.716 1.442 4.886 4.693 5.554 6.271 5.335 5.986
[3,] 1.968 10.732 4.442 5.365 1.713 5.425 5.502 6.192 7.289 5.852 7.164
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.868 1.319 3.185 2.761 3.990 2.331 1.846 1.985 2.947 2.909 7.200
[2,] 4.494 1.521 4.278 3.314 5.284 2.698 2.363 2.345 4.368 3.508 8.424
[3,] 5.935 1.699 5.403 3.625 5.929 3.087 2.821 2.627 5.000 3.936 9.120
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.173 1.672 1.891 1.476 1.373 2.745 2.574 0.5473 1.343 10.07 8.140
[2,] 5.950 2.087 2.414 2.218 2.254 3.271 3.163 0.6526 1.611 14.60 9.346
[3,] 6.620 2.419 2.821 2.555 2.601 3.785 3.579 0.7363 1.812 17.18 10.309
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.494 3.407 13.44 8.662 9.894 1.148 2.172 5.487
[2,] 3498.062 1783.446 5515.28 5809.253 5441.338 590.276 1084.560 2888.598
[3,] 2814.025 1575.843 6380.78 5024.779 4467.349 515.289 902.944 2556.890
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.684 5.188 3.396 3.698 3.469 4.297 4.353
[2,] 3725.946 4538.287 2865.179 3723.924 2396.472 3414.460 3794.263
[3,] 3074.538 3385.743 2133.969 2608.487 1880.854 3456.069 3966.106
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.896 5.377 6.984 9.81 7.221 12.27 2.887 17.16
[2,] 2706.547 3505.456 4468.581 6034.09 3959.222 7011.33 1502.356 12986.97
[3,] 2984.031 3572.015 3479.788 4524.96 3681.435 7108.83 1509.381 10416.97
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.822 0.6079 8.996 9.105 1.48 8.363 0.7578 9.326
[2,] 5549.328 315.3614 5488.780 6408.147 771.36 4981.829 428.7301 5245.759
[3,] 5449.245 316.5680 6120.082 5534.921 784.43 5367.356 359.8806 4878.033
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.179 1.602 10.22 9.596 9.532 6.375 4.383 5.384
[2,] 1203.659 783.233 5148.00 4696.160 6323.210 3572.310 3825.762 3114.284
[3,] 1225.880 664.117 5041.12 4207.769 5133.106 3146.658 2455.007 2717.226
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.111 4.344 1.507 5.074 5.675 2.725 1.241 5.151
[2,] 1310.914 2197.067 798.350 2684.370 3576.261 1637.812 953.440 2684.132
[3,] 860.949 2137.381 787.520 2609.283 2790.040 1849.311 765.676 2183.449
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 4.937 5.79 2.596 4.928 4.524 1.692 3.521 3.041
[2,] 3456.280 3778.83 1566.091 4468.729 2789.922 940.997 3271.448 2913.674
[3,] 3127.867 3240.05 1659.547 3784.742 2174.930 859.113 3848.556 3235.001
[,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.115 2.129 5.239 0.9862 2.961 1.472 3.164
[2,] 2925.182 2891.430 2886.111 518.5731 2732.946 758.817 1832.921
[3,] 2913.757 2963.871 2300.760 483.6139 3168.852 681.055 1853.159
[,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 4.199 3.358 4.954 1.876 10.45 4.423 3.944
[2,] 2426.797 2605.180 3234.210 1152.679 5605.58 2503.374 4033.749
[3,] 1676.131 2315.657 2617.385 925.401 5472.57 1885.512 2907.759
[,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.516 5.375 4.122 5.824 5.41 5.921 5.868
[2,] 918.244 2773.406 3853.166 3559.801 5230.39 2947.546 4325.591
[3,] 1052.357 2678.856 3263.076 3113.967 4224.93 2732.326 4473.190
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 3.642 1.674 4.045 3.506 5.066 2.96 2.344 2.52
[2,] 3932.308 861.680 3246.771 2083.151 3937.659 1544.51 1677.908 1420.23
[3,] 4406.692 861.384 3751.152 1669.402 3058.589 1703.68 1750.594 1344.43
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.742 3.694 9.143 6.569 2.123 2.401 1.874
[2,] 3665.025 2229.402 4970.425 3340.286 1420.323 1705.963 1882.489
[3,] 2765.152 2028.761 3973.947 3299.550 1389.503 1659.328 1441.453
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.744 3.485 3.269 0.695 1.705 12.78 10.34
[2,] 2031.346 2022.875 2089.045 404.019 1011.218 12021.00 5221.70
[3,] 1475.316 2165.298 1905.138 387.669 944.373 10301.30 4943.98
[1] "--- VAR model 2017-10-07 09:01:00 completed"
[1] "Completed training sample: 2017-10-07 09:01:00 - 2017-10-07 17:00:00"
[1] "SpVAR; training sample: 2017-10-07 09:31:00 - 2017-10-07 17:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 09:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
16.676 -9.048 -96.46 -81.74
7.495 7.540 -64.54 -50.37
4.072 -2.008 -69.27 -62.30
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-52.78 6.698 4.8142 2.085
-71.02 -4.181 0.8844 -6.026
-57.11 2.670 2.3098 10.562
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.1360 -9.440 -2.951 -10.61
0.6559 4.705 2.732 -22.17
-18.7457 -18.511 2.443 -22.74
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
7.556 13.248 1.041 -4.841
-3.373 4.978 2.059 -14.430
3.223 -12.243 -10.981 -10.952
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.987 -8.62827 0.3001 16.68
-6.442 0.05913 -18.5255 27.65
-19.290 -1.31303 -12.2882 10.76
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-94.80 -8.907 -171.1 -62.36
-62.39 -5.676 -146.5 -64.69
-56.47 -6.393 -160.7 -57.05
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-11.510 -71.37 -77.35 -14.58
-8.797 -85.97 -55.31 -16.16
-9.510 -66.08 -68.85 -17.40
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-64.68 -8.752 -50.61 -22.28
-60.97 -9.198 -68.54 -23.34
-57.39 -10.116 -42.84 -26.16
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-14.16 -52.85 -47.63 -60.48
-12.96 -89.10 -67.79 -67.52
-12.97 -54.86 -56.45 -64.05
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-11.684 -6.090 3.708 -0.5305
14.837 -7.949 5.086 -2.6182
3.725 5.087 9.302 5.8970
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2243 -0.8427 -21.25 -34.55
12.9240 2.1107 -30.87 -25.07
-1.6120 -0.1154 -31.31 -31.89
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.396 1.379 -30.33 6.875
3.957 1.589 -26.69 3.737
3.015 -1.439 -31.63 14.795
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.364 -5.105 -17.43 0.8566
-3.505 -5.627 -26.80 -0.8390
17.132 -3.291 -13.18 23.3030
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
1.666 -16.00 -9.66 -16.98
-3.509 -27.71 -22.39 -15.84
-3.097 -21.02 -19.61 -14.05
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-12.466 2.805 0.78389 -20.715
-8.666 8.112 0.93017 -8.886
-22.411 3.914 -0.01176 -13.088
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.8492 -6.728 -4.915 -16.99
-0.2387 -10.661 2.870 -13.07
-0.6743 -4.073 -3.503 -11.01
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.951 1.4394 -10.703 -3.312
-10.298 -0.0767 -5.017 -7.227
-9.418 -2.2104 21.117 3.043
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-20.973 0.1517 13.555 13.476
-10.672 -3.6887 8.377 5.199
-6.804 0.8869 11.336 4.669
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
3.5599 13.29 8.140 -1.087
-17.0502 1.50 5.358 19.561
0.6142 10.04 -4.227 -2.826
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-5.389 4.8734 19.876 9.462
10.514 1.1039 -3.854 3.217
7.489 0.1988 14.641 3.825
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-4.338 -2.722 -10.924 4.182
5.492 -3.556 -2.880 -4.124
12.620 1.438 -6.079 -3.658
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.897 -1.515 -7.178 -5.762
-6.453 1.853 -7.885 -13.886
1.043 -2.119 11.325 -2.743
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.4888 -3.571 -6.617 -3.043
2.5496 8.628 6.290 4.266
3.5286 3.863 7.107 8.406
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.330 1.0422 -11.029 3.173
-1.605 3.4744 -9.473 -4.959
4.188 -0.6145 -9.962 -2.199
rnd_95776.volume rnd_95787.volume
-67.43 -55.28
-49.37 -57.26
-54.22 -45.91
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.556 2.804 10.76 6.821 7.514 0.9186 1.661 4.399 5.298 4.317 2.728
[2,] 4.678 3.214 11.92 8.722 9.307 1.1058 1.950 5.195 6.261 6.032 3.686
[3,] 5.299 3.489 13.01 9.734 10.138 1.2081 2.111 5.684 6.843 6.769 4.138
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.830 2.763 3.314 3.556 3.812 4.008 5.889 7.562 5.739 9.861 2.220
[2,] 4.483 3.490 4.598 4.869 4.540 4.958 6.935 9.325 6.545 11.835 2.607
[3,] 5.111 3.856 5.614 5.989 5.249 5.991 7.654 10.126 7.260 13.198 2.947
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 13.81 7.959 0.4737 7.510 7.575 1.192 6.829 0.5784 7.112 1.835
[2,] 17.64 9.384 0.5662 8.902 9.409 1.385 8.195 0.6952 8.611 2.130
[3,] 20.41 10.491 0.6359 10.443 10.474 1.533 9.223 0.7776 9.694 2.412
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.297 8.062 7.527 7.463 4.806 3.434 4.128 1.679 3.508 1.146 3.989
[2,] 1.480 9.346 8.900 9.280 5.786 4.743 4.913 2.049 4.049 1.426 4.631
[3,] 1.596 10.353 9.712 10.371 6.482 5.285 5.561 2.167 4.498 1.579 5.212
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.234 2.179 1.033 4.058 3.982 4.678 2.148 3.988 3.833 1.349 2.773
[2,] 5.365 2.640 1.323 4.585 4.942 5.783 2.651 5.697 4.539 1.600 3.943
[3,] 5.874 3.137 1.491 4.901 5.612 6.477 3.022 6.594 4.887 1.772 5.298
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.546 2.466 1.655 3.968 0.7930 2.317 1.196 2.510 3.271 2.791 4.063
[2,] 3.653 3.636 3.154 4.762 0.9148 3.352 1.365 2.976 3.886 3.627 4.805
[3,] 4.655 4.464 4.174 5.156 1.0118 4.403 1.505 3.403 4.159 4.120 5.345
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.454 8.456 3.625 3.164 1.216 4.242 3.217 4.469 4.161 4.547 4.544
[2,] 1.805 9.982 4.283 4.959 1.488 4.919 4.742 5.421 6.198 5.250 5.891
[3,] 1.982 10.986 4.632 5.546 1.754 5.420 5.459 6.110 7.300 5.858 7.314
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.986 1.362 3.535 2.821 4.104 2.396 1.868 1.922 2.993 2.919 7.483
[2,] 4.739 1.576 4.511 3.364 5.334 2.765 2.412 2.276 4.323 3.564 8.588
[3,] 6.077 1.735 5.709 3.673 6.049 3.111 2.870 2.570 4.900 3.949 9.281
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.095 1.800 1.938 1.519 1.355 2.829 2.626 0.5543 1.286 9.669 8.235
[2,] 5.861 2.223 2.512 2.354 2.301 3.328 3.203 0.6621 1.612 14.549 9.622
[3,] 6.521 2.524 2.994 2.673 2.727 3.783 3.603 0.7392 1.809 16.955 10.545
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.515 3.561 13.67 8.662 9.541 1.166 2.109 5.586
[2,] 3528.585 1821.089 5944.19 6307.953 6373.133 714.466 1185.416 3207.455
[3,] 2888.819 1576.786 6063.01 5015.723 4665.980 564.741 937.796 2675.125
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.728 5.482 3.465 3.593 3.508 4.209 4.516
[2,] 3871.348 4890.422 2877.050 4035.220 2474.680 3698.998 3860.346
[3,] 3204.979 3562.921 2182.645 2849.617 1904.182 3738.317 4045.679
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.841 5.09 7.478 9.602 7.287 12.52 2.819 17.54
[2,] 2860.427 3386.82 4251.158 6332.442 3651.670 7595.20 1586.444 12728.61
[3,] 3058.186 3903.59 3757.504 4583.683 3647.044 6779.20 1595.022 11925.30
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 10.11 0.6015 9.537 9.62 1.514 8.672 0.7345 9.031
[2,] 5771.04 359.9053 5546.834 6477.66 819.714 5258.879 447.5883 5633.911
[3,] 5443.18 336.0003 6336.185 5340.51 762.732 4909.223 404.3735 5167.790
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.33 1.647 10.24 9.558 9.477 6.103 4.361 5.242
[2,] 1256.55 826.628 5487.13 5511.082 6400.844 3738.747 3796.881 3091.699
[3,] 1313.30 693.205 5168.91 4512.174 5373.164 3392.406 2706.870 3023.712
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.132 4.454 1.455 5.066 5.376 2.767 1.311 5.153
[2,] 1363.370 2346.575 984.267 2729.844 3824.925 1729.216 959.839 2476.568
[3,] 817.314 2273.803 789.242 2775.449 2776.403 1966.696 798.437 2008.835
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.056 5.94 2.727 5.064 4.867 1.713 3.521 3.233
[2,] 3397.252 3946.20 1803.350 4721.949 2823.239 998.181 3252.857 3040.508
[3,] 3086.798 3384.88 1685.112 3855.146 2101.623 883.593 4107.387 3348.974
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.132 2.101 5.039 1.007 2.942 1.519 3.187 4.154
[2,] 3100.233 3116.611 3055.753 529.388 2812.041 761.998 1855.700 2433.929
[3,] 3006.187 3173.387 2294.682 501.774 3313.644 735.562 1916.646 1720.501
[,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.544 5.159 1.846 10.74 4.604 4.017 1.545
[2,] 2688.877 2977.575 1242.506 6156.69 2647.217 4432.332 994.233
[3,] 2269.399 2717.432 947.796 5325.24 2045.750 2882.747 1078.028
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 5.387 4.085 5.675 5.283 5.774 5.77 3.792 1.729
[2,] 2889.600 4042.668 3561.861 5331.692 3047.347 4351.72 4270.046 920.723
[3,] 2641.193 3139.499 3271.907 4477.194 3013.884 5030.15 4415.515 843.526
[,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 4.489 3.582 5.211 3.042 2.372 2.44 3.8 3.706
[2,] 3252.731 2126.192 3954.706 1602.005 1770.976 1415.37 3621.5 2374.166
[3,] 4060.025 1712.866 3311.928 1655.497 1805.598 1384.88 2677.1 1972.193
[,87] [,88] [,89] [,90] [,91] [,92] [,93] [,94]
[1,] 9.502 6.47 2.286 2.46 1.929 1.72 3.593 3.335
[2,] 4892.291 3362.80 1514.285 1856.31 2087.038 2158.87 2032.636 2127.609
[3,] 4082.519 3316.37 1386.149 1890.23 1469.235 1698.04 2088.936 1913.763
[,95] [,96] [,97] [,98]
[1,] 0.7038 1.633 12.28 10.46
[2,] 420.3110 1127.705 12617.77 5777.35
[3,] 381.4405 954.254 10103.22 5007.94
[1] "--- VAR model 2017-10-07 09:31:00 completed"
[1] "Completed training sample: 2017-10-07 09:31:00 - 2017-10-07 17:30:00"
[1] "SpVAR; training sample: 2017-10-07 10:01:00 - 2017-10-07 18:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 10:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
0.3337 -7.508 -61.64 -31.82
14.1837 -1.127 -41.60 -79.23
12.2464 2.750 -41.47 -66.86
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-50.79 -0.8359 -0.5407 12.841
-74.23 -0.5321 -2.3021 -4.353
-67.26 0.9006 6.6935 2.717
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
4.158 8.341 -4.55325 -20.67
-8.971 -3.424 15.84932 -25.20
-5.919 -5.954 -0.02948 -22.01
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.414 1.471 -10.705 2.712
5.508 -10.445 5.162 4.707
1.170 -6.585 -18.596 -8.823
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-2.539 -35.10 11.146 43.91
4.323 11.35 9.115 31.80
-28.280 -12.17 29.885 40.32
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-81.49 -15.21 -123.6 -60.43
-47.82 -15.56 -188.6 -70.27
-60.24 -11.03 -128.3 -52.24
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-9.457 -77.27 -89.84 -18.09
-11.195 -56.07 -46.00 -16.77
-9.846 -69.54 -86.13 -17.68
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-49.14 -11.23 -65.57 -25.89
-72.03 -12.03 -37.21 -28.09
-70.90 -10.13 -63.10 -27.81
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-10.41 -57.39 -49.61 -58.09
-15.19 -62.95 -77.22 -47.66
-18.28 -60.14 -60.67 -72.68
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
19.662 3.9478 -8.051 0.3975
7.445 -3.7042 1.221 -3.6461
5.453 -0.1277 5.219 0.8484
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.710 4.499 -26.89 -35.75
-2.615 3.951 -23.87 -14.02
11.335 -2.031 -34.28 -36.36
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.939 -5.087 -37.05 21.071
8.595 -4.367 -36.38 18.917
3.258 -4.096 -31.85 8.067
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
14.779 -1.598 -34.104 9.740
-1.162 -7.008 -7.596 5.959
12.845 -10.060 -25.218 13.297
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
4.6049 -16.631 -10.614 -3.796
0.3622 -23.750 -28.922 -16.944
-3.0775 -9.823 -5.094 -18.511
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-13.80 2.139 -0.07962 -14.256
-10.11 2.246 0.67470 -8.732
-27.82 11.654 2.31272 -11.497
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
0.1188 -3.706 7.707 -14.9542
-1.7478 -2.699 3.557 0.3753
-0.6907 -3.995 4.531 -3.1479
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-17.5522 4.7863 5.463 -12.778
0.5367 -0.5504 -2.347 8.168
-7.1448 0.8785 17.551 -1.621
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-23.387 1.094 -8.914 3.6893
1.151 -1.868 27.403 -0.3688
-8.366 2.226 16.628 17.4791
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
7.621 9.984 11.1674 14.578
-0.769 -6.755 -0.2117 11.924
-9.717 8.781 8.9131 5.434
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
8.707 2.343 -2.8872 -5.9955
7.835 1.876 8.4407 0.7068
-3.408 7.429 -0.1267 7.4379
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
5.694 4.506 -4.062 3.330
7.570 5.608 -6.933 -3.406
-1.853 3.113 2.779 2.306
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-6.932 6.222 2.234 -2.903
6.473 -5.292 -3.905 1.143
-2.915 2.004 -4.892 -1.846
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
7.6221 7.694 2.579 7.483
0.6809 10.684 10.664 6.319
1.8056 2.987 9.862 14.036
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-9.837 -4.0847 -12.570 -1.5321
-6.211 0.4995 -9.549 -0.5374
2.341 -5.0513 -10.762 0.6141
rnd_95776.volume rnd_95787.volume
-55.00 -63.89
-54.41 -69.83
-19.10 -63.62
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.566 2.686 10.70 6.836 7.513 0.9701 1.736 4.548 5.266 4.219 2.701
[2,] 4.697 3.195 12.01 8.721 9.320 1.1538 2.008 5.371 6.265 6.122 3.681
[3,] 5.252 3.503 13.03 9.602 10.116 1.2272 2.193 5.912 6.908 6.823 4.172
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.942 2.868 3.318 3.543 3.995 3.963 5.890 8.002 5.205 10.01 2.221
[2,] 4.513 3.505 4.538 4.855 4.759 4.903 6.998 9.644 6.036 12.06 2.629
[3,] 5.090 3.870 5.655 6.106 5.406 5.888 7.806 10.652 6.746 13.39 2.960
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 13.87 7.905 0.4822 7.583 7.190 1.182 6.849 0.5560 7.296 1.837
[2,] 17.88 9.506 0.5785 8.898 9.216 1.386 8.268 0.6726 8.807 2.154
[3,] 20.50 10.441 0.6478 10.540 10.498 1.534 9.034 0.7600 9.970 2.420
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.314 8.192 7.768 7.833 4.677 3.366 4.295 1.705 3.468 1.143 4.124
[2,] 1.499 9.405 9.229 9.759 5.584 4.581 5.080 2.050 4.021 1.410 4.726
[3,] 1.610 10.295 9.935 10.784 6.292 5.229 5.825 2.185 4.504 1.570 5.204
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.244 2.368 1.192 3.995 3.943 4.622 2.267 3.981 3.920 1.417 2.837
[2,] 5.304 2.811 1.468 4.496 4.858 5.800 2.778 5.632 4.615 1.627 4.042
[3,] 5.932 3.302 1.604 4.878 5.454 6.478 3.187 6.578 4.937 1.800 5.241
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.525 2.473 1.649 3.974 0.7949 2.334 1.143 2.447 3.308 2.692 3.989
[2,] 3.706 3.703 3.138 4.842 0.9125 3.356 1.341 2.951 3.914 3.618 4.774
[3,] 4.633 4.504 4.149 5.224 1.0159 4.574 1.480 3.441 4.217 4.136 5.286
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.467 8.453 3.473 3.214 1.243 4.359 3.339 4.512 4.246 4.555 4.408
[2,] 1.798 9.848 4.178 4.989 1.523 5.005 4.825 5.440 6.116 5.337 5.830
[3,] 1.966 10.950 4.605 5.616 1.758 5.569 5.396 6.120 7.204 5.957 7.320
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 2.992 1.416 3.778 2.698 4.404 2.455 1.846 1.906 2.965 2.869 7.566
[2,] 4.627 1.642 4.722 3.229 5.521 2.794 2.391 2.233 4.214 3.656 8.500
[3,] 6.007 1.804 5.838 3.644 6.193 3.129 2.835 2.494 4.817 4.019 9.191
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.955 1.813 1.926 1.548 1.387 2.815 2.658 0.5992 1.359 9.367 8.049
[2,] 5.736 2.288 2.522 2.393 2.329 3.368 3.228 0.6954 1.668 14.035 9.723
[3,] 6.323 2.620 3.102 2.737 2.777 3.781 3.594 0.7629 1.859 16.473 10.542
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.529 3.411 13.58 8.681 9.54 1.232 2.204 5.775
[2,] 3811.628 2156.284 6803.91 6752.447 6876.54 778.915 1258.640 3561.588
[3,] 2930.346 1790.535 6320.07 5009.854 4905.57 521.421 1099.789 3082.716
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.687 5.358 3.43 3.736 3.642 4.213 4.499
[2,] 4232.315 5532.049 3118.63 4268.053 2513.672 3860.349 4140.089
[3,] 3628.718 3756.695 2448.14 2935.841 2046.210 4207.384 4617.570
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 5.073 5.033 7.48 10.16 6.61 12.71 2.821 17.61
[2,] 3224.736 3598.752 4710.49 6711.39 3811.79 8390.91 1753.254 14074.68
[3,] 3198.696 4065.599 4312.76 5640.56 3755.36 7260.71 1695.543 12498.64
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 10.04 0.6123 9.629 9.13 1.501 8.697 0.7061 9.265
[2,] 6583.39 398.4965 5804.111 7190.22 902.492 5774.447 471.8854 6150.281
[3,] 5385.11 363.5034 7045.540 6267.80 820.368 4541.456 441.4438 5827.726
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.333 1.668 10.4 9.865 9.946 5.939 4.274 5.454
[2,] 1403.074 898.973 5762.1 6212.809 7259.685 3804.232 3875.309 3382.329
[3,] 1376.291 733.351 5220.7 4588.541 5721.886 3615.426 3144.115 3554.969
[,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 2.166 4.404 1.451 5.237 5.39 3.007 1.514
[2,] 1418.754 2537.828 1030.717 2879.205 3967.28 1888.240 1066.674
[3,] 943.232 2531.636 861.090 2716.765 3312.71 2161.961 807.496
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.073 5.007 5.869 2.879 5.055 4.978 1.8 3.602
[2,] 2572.646 3539.413 4368.809 2002.415 4968.877 3037.343 995.6 3590.599
[3,] 2361.077 3092.071 3599.290 1946.081 4237.542 2185.864 959.7 4160.151
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.206 3.141 2.094 5.046 1.009 2.963 1.451 3.107
[2,] 3383.121 3436.178 3329.639 3449.325 558.778 3007.835 874.851 2056.615
[3,] 3466.826 3197.085 3384.879 2446.824 556.845 3875.249 781.147 2206.732
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 4.2 3.419 5.065 1.862 10.73 4.411 4.082 1.578
[2,] 2608.1 3013.970 3270.648 1297.626 6302.61 2894.163 4758.547 1097.931
[3,] 1958.0 2499.073 2830.573 991.997 5968.93 2416.948 3215.183 1094.106
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.535 4.24 5.729 5.391 5.784 5.597 3.799
[2,] 3068.618 4343.61 3790.030 5489.612 3468.738 4759.090 4401.868
[3,] 3043.417 3010.91 3496.476 4747.673 3300.581 5518.345 4776.520
[,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.798 4.797 3.427 5.592 3.118 2.344 2.42
[2,] 1037.035 3532.506 2212.284 4152.228 1662.484 1895.719 1449.94
[3,] 932.578 4280.034 2105.649 3497.557 1756.563 1898.183 1386.44
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.765 3.644 9.608 6.292 2.303 2.445 1.966
[2,] 3734.632 2825.215 4831.726 3604.050 1739.578 2031.296 2276.190
[3,] 2908.779 2080.849 4358.378 3316.638 1591.642 2251.278 1654.786
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.761 3.574 3.375 0.7608 1.726 11.89 10.22
[2,] 2333.181 2307.460 2282.891 440.1970 1206.009 13034.23 6802.47
[3,] 1885.390 2142.859 1971.537 391.2507 1021.304 10754.57 5081.80
[1] "--- VAR model 2017-10-07 10:01:00 completed"
[1] "Completed training sample: 2017-10-07 10:01:00 - 2017-10-07 18:00:00"
[1] "SpVAR; training sample: 2017-10-07 10:31:00 - 2017-10-07 18:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 10:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
6.225 15.293 -85.25 -67.27
2.554 -1.389 -71.29 -29.95
-7.902 10.162 -66.69 -65.11
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-47.24 -1.816 5.3071 12.7256
-81.71 3.366 0.8244 0.8288
-63.22 3.526 -0.9469 6.1215
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
3.7206 -22.406 5.585 -7.457
-0.7612 20.154 3.859 -2.176
1.4024 -3.219 2.280 -23.633
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-1.424 6.337 4.628 -30.18
0.729 -4.619 -16.059 -30.40
5.495 12.333 16.421 -23.52
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-34.53 -12.69 -37.015 6.878
-22.88 -20.96 -8.413 7.341
-24.14 -17.17 -14.592 -4.553
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-81.16 -8.877 -40.99 -44.20
-38.93 -7.885 -198.87 -74.76
-79.60 -8.356 -63.86 -31.98
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-7.540 -40.07 -92.93 -12.49
-8.036 -70.18 -10.50 -18.28
-8.541 -69.16 -66.83 -12.75
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-63.75 -12.638 -34.47 -29.09
-45.29 -10.421 -75.42 -24.74
-64.36 -9.376 -28.90 -26.67
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-17.65 -57.53 -15.60 -68.95
-15.82 -70.95 -77.61 -34.84
-10.79 -39.27 -52.68 -54.74
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-9.705 -17.960 1.2920 -2.275
19.368 9.302 -0.2757 -4.320
3.564 -6.759 16.2533 1.708
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-1.278 1.3694 -22.19 -33.44
-6.146 1.5935 -21.83 -37.12
3.444 -0.6899 -37.17 -25.97
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.207 -5.317 -41.62 -5.278
8.795 -2.641 -38.07 14.379
3.188 -4.827 -29.33 -7.634
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.482 5.8485 -12.17 23.711
10.746 3.5468 -37.75 5.602
-1.324 -0.5008 -17.21 6.331
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
5.015 -9.625 -9.489 -15.024
-4.280 -17.174 -12.138 -3.221
-3.456 -28.364 -22.692 -29.744
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.116 -17.492 1.6600 -12.099
-8.602 1.368 0.2001 -21.857
-12.945 10.426 0.9492 -8.268
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.940 -0.3735 10.8492 -21.283
-2.203 -6.7384 -11.4436 -6.779
1.612 -17.5011 0.9501 -13.412
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-20.788 -2.637 29.692 12.420
-7.224 -4.495 -21.728 -4.519
-15.166 -1.054 6.903 -7.791
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-7.196 -3.1723 -4.321 11.229
-10.620 0.8855 12.005 3.007
-8.003 0.7311 1.980 1.388
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-11.201 -2.261 19.938 -22.884
1.695 6.865 13.016 17.980
-1.668 -1.304 9.295 7.305
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
-1.879 1.230 -3.014 5.950
12.181 1.593 -12.668 1.429
5.950 1.009 5.041 -4.761
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
-1.0609 10.794 -9.9979 2.5768
-11.7889 1.296 -0.9001 -0.6411
0.5393 2.756 -7.3100 2.9637
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-5.268 6.189 -10.412 17.668
-11.419 4.209 1.048 4.837
2.829 9.690 4.053 20.083
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.382 4.651 15.406 10.178
3.096 8.051 -3.453 2.106
4.903 8.204 10.890 9.011
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-1.107 1.083 -11.651 -0.3768
-1.044 6.528 -8.425 -3.2319
-10.384 3.140 -11.688 -2.4120
rnd_95776.volume rnd_95787.volume
-81.57 -39.91
-38.52 -75.02
-47.38 -44.67
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.534 2.766 9.638 7.034 8.228 0.991 1.758 4.606 5.283 4.414 2.701
[2,] 4.598 3.298 10.980 8.815 9.586 1.167 2.044 5.417 6.222 6.181 3.800
[3,] 5.237 3.629 11.963 9.703 10.301 1.258 2.202 6.165 6.972 6.907 4.188
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.986 2.808 3.491 3.554 3.976 3.929 6.011 7.766 4.898 10.26 2.551
[2,] 4.665 3.456 4.674 4.891 4.729 5.065 7.035 9.615 5.898 12.01 2.983
[3,] 5.213 3.824 5.865 6.060 5.357 6.047 7.861 10.777 6.675 13.27 3.405
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.29 8.436 0.5176 7.785 7.076 1.145 7.037 0.5826 7.484 1.843
[2,] 18.39 9.721 0.6179 8.974 9.240 1.351 8.444 0.6919 9.016 2.167
[3,] 20.84 10.662 0.6790 10.596 10.531 1.483 9.320 0.7835 10.160 2.418
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.321 8.424 8.011 8.038 4.608 3.407 4.157 1.647 3.456 1.162 4.072
[2,] 1.516 9.526 9.526 10.009 5.557 4.609 5.037 2.043 4.032 1.402 4.638
[3,] 1.638 10.514 10.277 11.003 6.212 5.225 5.874 2.215 4.578 1.554 5.120
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.104 2.408 1.202 3.910 3.960 4.676 2.350 3.893 3.899 1.438 2.774
[2,] 5.170 2.850 1.456 4.450 4.941 5.725 2.936 5.730 4.560 1.665 4.071
[3,] 5.851 3.351 1.604 4.724 5.595 6.442 3.352 6.665 4.877 1.830 5.232
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.712 2.463 1.635 4.058 0.7784 2.413 1.142 2.465 3.280 2.606 4.089
[2,] 3.852 3.655 3.251 4.771 0.8959 3.459 1.357 2.942 3.858 3.579 4.947
[3,] 4.759 4.480 4.207 5.172 0.9858 4.698 1.475 3.429 4.107 4.184 5.429
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.450 8.67 3.606 3.274 1.326 4.451 3.307 4.550 4.349 4.506 3.602
[2,] 1.773 10.13 4.245 5.027 1.591 5.117 4.726 5.467 6.075 5.341 5.367
[3,] 1.956 11.11 4.627 5.672 1.805 5.646 5.370 6.223 7.230 5.858 6.584
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.148 1.433 3.802 2.727 4.435 2.500 1.988 1.935 2.899 2.948 7.502
[2,] 4.691 1.650 4.785 3.260 5.707 2.917 2.553 2.286 4.270 3.752 8.625
[3,] 6.041 1.857 5.822 3.771 6.275 3.222 2.946 2.533 4.882 4.140 9.347
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 5.014 1.809 1.982 1.592 1.476 2.843 2.728 0.6162 1.320 9.178 8.481
[2,] 5.697 2.381 2.607 2.412 2.426 3.347 3.301 0.7025 1.672 13.864 9.848
[3,] 6.338 2.723 3.238 2.809 2.893 3.827 3.711 0.7755 1.877 16.789 10.679
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.488 3.512 12.24 8.933 10.45 1.258 2.233 5.849
[2,] 3376.809 2064.069 6039.93 6100.035 5646.32 706.543 1196.385 3272.961
[3,] 2878.309 1737.005 5452.51 4654.613 4330.09 541.650 940.003 3378.345
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.709 5.605 3.43 3.792 3.566 4.432 4.513
[2,] 3772.241 4968.226 3068.84 4115.339 2312.820 3568.256 3858.016
[3,] 3613.770 3537.966 2020.31 2670.347 1879.288 4068.977 4108.770
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 5.049 4.989 7.633 9.861 6.219 13.03 3.239
[2,] 2940.095 3669.976 4198.034 6509.177 3772.234 7172.58 1775.158
[3,] 2889.510 3791.644 4026.681 5588.855 3589.747 6480.03 1886.211
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 18.14 10.71 0.6573 9.886 8.985 1.454 8.936 0.7399
[2,] 13300.52 5544.80 387.5150 5125.460 6823.086 822.978 5359.485 428.5239
[3,] 11257.62 5028.87 323.2944 6468.738 5801.186 703.420 4529.909 422.0703
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 9.503 2.341 1.678 10.7 10.17 10.21 5.851 4.326
[2,] 5773.405 1308.530 852.322 5105.3 5918.32 6847.51 3565.848 3564.438
[3,] 5376.656 1230.490 714.324 5109.5 4427.02 5247.27 3188.306 2825.911
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 5.279 2.091 4.389 1.475 5.17 5.211 3.058 1.526
[2,] 3266.175 1388.294 2383.977 902.204 2549.22 3611.076 1749.451 944.693
[3,] 3469.157 983.256 2489.734 768.688 2489.89 3144.830 2025.409 772.482
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 4.966 5.029 5.937 2.984 4.944 4.952 1.825
[2,] 2438.522 3392.630 3793.198 2021.298 4826.331 2714.589 964.257
[3,] 1819.772 3012.736 3391.619 1857.444 3909.343 1986.051 872.366
[,54] [,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.523 3.444 3.128 2.076 5.153 0.9884 3.065 1.45
[2,] 3421.000 3140.250 3099.336 3225.514 2879.871 509.3077 2845.340 842.04
[3,] 3772.899 3208.591 2974.459 3066.033 2294.503 472.3059 3650.571 663.51
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 3.13 4.165 3.309 5.193 1.841 11.01 4.579 4.158
[2,] 1843.59 2333.577 2816.866 3196.861 1171.963 6020.33 2572.173 4379.240
[3,] 2022.74 1617.301 2487.495 2566.304 946.890 5227.16 2112.600 3017.789
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.684 5.652 4.2 5.778 5.523 5.722 4.574 3.998
[2,] 1010.509 2899.962 3875.8 3479.283 4870.232 3292.371 4568.771 3992.707
[3,] 978.794 2737.495 2927.9 3412.599 4499.614 2762.184 4378.637 4370.012
[,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.819 4.828 3.463 5.632 3.174 2.525 2.457
[2,] 940.035 3335.798 2050.131 4122.392 1726.661 1838.562 1397.591
[3,] 977.093 3807.466 2176.826 2996.438 1571.758 1688.306 1251.661
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.681 3.744 9.526 6.367 2.297 2.516 2.021
[2,] 3599.834 2664.671 4887.083 3104.574 1777.359 1945.889 2080.678
[3,] 2717.208 2009.391 4134.052 3190.230 1517.030 2205.076 1651.868
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.875 3.61 3.465 0.7825 1.676 11.65 10.77
[2,] 2210.789 2026.55 2134.263 387.2970 1179.103 11930.70 5748.57
[3,] 1809.147 2130.50 1945.056 377.2930 980.111 10871.31 4740.43
[1] "--- VAR model 2017-10-07 10:31:00 completed"
[1] "Completed training sample: 2017-10-07 10:31:00 - 2017-10-07 18:30:00"
[1] "SpVAR; training sample: 2017-10-07 11:01:00 - 2017-10-07 19:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 11:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
1.581 -8.725 -42.03 -50.89
4.758 3.649 -60.17 -70.43
6.161 -1.861 -67.88 -54.28
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-68.60 3.5146 5.375 7.0612
-58.51 0.8732 2.996 0.7439
-67.18 2.1418 3.676 1.3504
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.928 -9.447 5.699 -28.38
13.682 12.464 10.904 -24.51
-11.837 -10.437 5.115 -13.25
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-7.8524 -19.836 -18.849 15.7899
0.1393 -15.535 -17.074 0.4898
8.1856 -8.436 2.315 3.3734
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-8.862 -0.7393 17.50 27.65
-14.810 0.9145 15.67 22.99
-6.260 4.5811 22.07 21.11
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-37.93 -0.9457 -112.9 -57.61
-52.96 -3.2236 -109.4 -65.32
-68.57 -4.8917 -115.6 -52.78
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-8.827 -66.38 -74.98 -12.67
-7.777 -63.85 -39.22 -14.08
-5.573 -50.45 -79.43 -13.48
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-64.79 -8.074 -29.96 -25.40
-65.91 -8.688 -64.96 -21.06
-49.29 -7.168 -37.80 -28.26
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-16.08 -43.54 -54.60 -85.80
-14.24 -54.31 -49.86 -40.34
-12.07 -65.17 -59.10 -46.73
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-0.9717 -5.795 -12.105 0.4428
-0.5373 4.128 6.276 -2.0423
7.6089 5.428 14.429 -1.0034
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2793 -3.6137 -20.98 -33.62
0.2205 2.1405 -26.42 -39.31
5.4119 0.3236 -22.34 -33.38
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
2.712 0.7305 -31.23 13.082
5.938 -2.8605 -34.98 9.329
2.946 -0.8615 -34.17 10.497
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
-3.008 -11.307 -11.61 8.204
9.400 -3.874 -16.91 6.461
2.474 -7.190 -29.05 11.809
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.499 -13.65 -8.436 -16.900
2.910 -12.36 -15.487 -16.219
-4.861 -16.92 -12.766 -8.339
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-9.130 -1.8275 -0.1655 10.986
-8.531 -0.2955 -1.3531 -24.697
-13.764 -9.1381 -1.2798 -3.594
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.3628 -9.483 10.380 -8.452
-2.1126 -2.194 7.868 -2.720
-0.8893 -8.561 -5.296 2.047
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-13.843 -0.678 -39.190 15.9847
2.849 1.025 14.033 0.4064
-6.981 -2.594 9.291 0.4044
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-1.995 1.724 -8.411 18.58
-15.145 0.151 6.640 -15.45
10.222 -5.122 12.402 12.15
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
9.194 7.128 -7.360 4.561
-11.259 -5.348 -10.186 11.458
-6.276 4.956 -2.532 -1.620
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
13.581 -0.9684 18.598 6.947
13.713 -0.5650 8.904 9.919
8.537 3.7031 12.129 -2.772
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
23.6 12.874 -3.9312 2.182
13.3 8.183 0.5355 1.119
33.1 9.579 -0.4789 3.642
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-7.081 -6.8219 -4.580 -10.318
-1.283 0.6748 -7.231 10.346
10.625 0.9332 9.769 -1.348
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-3.496 -0.43189 -0.4348 -4.598
-2.224 -0.06963 -7.0273 -4.324
-5.709 -3.01034 7.7515 3.895
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-4.1090 -5.6436 -11.878 120.0
-0.7383 0.3303 -8.919 123.6
-13.0616 -8.6441 -9.751 120.2
rnd_95776.volume rnd_95787.volume
-34.30 -53.72
-47.23 -55.13
-46.43 -42.08
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.601 2.740 9.614 7.039 8.370 1.041 1.800 4.487 5.178 4.379 2.772
[2,] 4.581 3.242 10.927 8.820 9.834 1.192 2.048 5.253 6.327 6.257 3.800
[3,] 5.159 3.620 11.866 9.715 10.585 1.288 2.223 6.084 7.077 6.961 4.234
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.040 2.859 3.431 3.600 4.016 3.865 5.743 6.923 5.114 9.958 2.465
[2,] 4.591 3.472 4.567 4.914 4.704 4.970 6.878 8.755 6.214 12.003 2.887
[3,] 5.130 3.834 5.762 6.062 5.337 5.876 7.639 10.026 6.911 13.195 3.318
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 14.11 8.166 0.5164 7.771 7.475 1.089 6.665 0.5617 7.537 1.767
[2,] 18.14 9.530 0.6060 8.950 9.391 1.328 8.270 0.6775 9.008 2.112
[3,] 20.28 10.356 0.6724 10.560 10.415 1.447 9.290 0.7719 10.093 2.375
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.338 8.560 8.151 8.179 4.662 3.387 4.162 1.640 3.544 1.162 4.149
[2,] 1.546 9.557 9.468 10.130 5.519 4.553 4.991 2.035 4.097 1.398 4.807
[3,] 1.675 10.461 10.209 11.067 6.328 5.143 5.825 2.227 4.666 1.566 5.237
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.111 2.424 1.237 3.807 4.172 4.436 2.283 3.892 3.847 1.462 2.716
[2,] 5.164 2.830 1.536 4.377 5.081 5.522 2.966 5.690 4.480 1.702 4.004
[3,] 5.861 3.262 1.715 4.617 5.671 6.247 3.388 6.595 4.839 1.914 5.296
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.671 2.431 1.713 3.918 0.7666 2.422 1.092 2.378 3.152 2.625 4.144
[2,] 3.811 3.600 3.234 4.632 0.8904 3.370 1.326 2.836 3.693 3.598 4.897
[3,] 4.635 4.440 4.132 5.051 0.9661 4.679 1.461 3.281 4.030 4.159 5.398
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.481 8.481 3.571 3.244 1.303 4.426 3.346 4.426 4.307 4.362 3.648
[2,] 1.793 9.996 4.123 4.982 1.579 5.174 4.778 5.312 5.959 5.249 5.151
[3,] 1.957 11.208 4.614 5.702 1.790 5.773 5.429 6.017 6.952 5.738 6.253
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.284 1.461 3.758 2.738 4.678 2.507 1.965 1.880 2.746 2.830 7.619
[2,] 4.642 1.701 4.794 3.284 5.705 2.894 2.509 2.216 4.159 3.621 8.670
[3,] 5.835 1.874 5.770 3.786 6.267 3.197 2.904 2.523 4.715 4.118 9.464
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.660 1.939 2.169 1.688 1.552 2.732 2.648 0.6355 3.629 8.947 8.355
[2,] 5.429 2.515 2.848 2.576 2.563 3.330 3.187 0.7169 5.448 14.136 9.696
[3,] 6.148 2.917 3.483 2.954 3.043 3.819 3.627 0.7832 7.157 16.920 10.421
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.573 3.48 12.21 8.939 10.63 1.322 2.286 5.697
[2,] 3090.917 1891.91 5669.53 5801.069 5635.33 634.258 1065.401 2981.978
[3,] 2589.495 1757.55 5048.10 4445.213 4275.80 530.912 943.408 3350.037
[,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16]
[1,] 6.575 5.561 3.52 3.861 3.63 4.356 4.571 5.099
[2,] 3968.390 4878.273 2836.34 3755.626 2151.39 3290.336 3650.736 2674.896
[3,] 3462.303 3331.009 2040.40 2496.705 1774.73 3835.223 3874.978 2751.486
[,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
[1,] 4.908 7.293 8.792 6.494 12.65 3.13 17.92 10.37
[2,] 3410.027 4132.127 5848.904 3853.263 7314.80 1639.94 12450.08 5362.90
[3,] 3423.055 3628.812 5334.673 3303.164 5982.43 1786.96 9892.20 4424.52
[,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 0.6557 9.868 9.492 1.383 8.464 0.7132 9.57 2.244
[2,] 346.3189 4847.430 6205.931 829.868 5344.998 413.5403 5386.50 1262.175
[3,] 317.9577 6116.520 4917.200 626.377 4619.275 403.7071 4967.86 1187.923
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40]
[1,] 1.699 10.87 10.35 10.39 5.92 4.301 5.285 2.083
[2,] 844.764 4639.17 5259.46 6524.58 3224.63 3321.000 3007.652 1314.694
[3,] 703.821 4643.13 4166.45 4864.41 3380.33 2611.420 3278.051 988.379
[,41] [,42] [,43] [,44] [,45] [,46] [,47] [,48]
[1,] 4.5 1.476 5.268 5.22 3.078 1.571 4.834 5.298
[2,] 2244.8 847.681 2651.372 3412.01 1593.913 994.105 2358.813 3166.099
[3,] 2437.4 770.676 2267.851 3026.12 1770.576 833.052 1602.127 2749.084
[,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.633 2.899 4.943 4.885 1.856 3.449 3.392
[2,] 3588.832 2066.241 4530.969 2506.546 950.922 3211.638 2967.022
[3,] 3189.400 1787.951 3640.149 1995.360 955.540 3782.908 2881.132
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 3.087 2.175 4.975 0.9735 3.076 1.387 3.02 4.002
[2,] 2898.128 2994.084 2697.418 494.3761 2557.233 820.133 1687.60 2102.062
[3,] 2837.955 2807.260 2198.169 409.2555 3543.783 669.064 1801.23 1760.083
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.334 5.263 1.881 10.77 4.535 4.119 1.654 5.62
[2,] 2685.726 2848.595 1101.776 5776.34 2249.447 4127.822 973.956 2925.79
[3,] 2277.375 2479.140 858.125 5532.02 2260.852 3028.209 921.162 2794.28
[,72] [,73] [,74] [,75] [,76] [,77] [,78] [,79]
[1,] 4.248 5.621 5.469 5.54 4.633 4.17 1.855 4.773
[2,] 3723.512 3206.064 4495.892 3186.31 3970.009 3582.48 950.948 3248.629
[3,] 2814.136 3084.437 3907.794 2530.32 3869.622 3858.27 859.081 3505.241
[,80] [,81] [,82] [,83] [,84] [,85] [,86]
[1,] 3.477 5.94 3.184 2.495 2.387 3.487 3.594
[2,] 1979.944 3565.38 1576.927 1702.990 1281.665 3409.827 2465.041
[3,] 2055.957 2830.08 1484.625 1596.744 1316.040 2424.319 2142.329
[,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 9.675 5.917 2.463 2.754 2.144 1.971 3.469
[2,] 4516.580 3040.433 1747.515 2014.697 2123.804 2226.592 2078.877
[3,] 4143.011 3151.174 1614.207 2188.126 1578.784 1790.590 2041.508
[,94] [,95] [,96] [,97] [,98]
[1,] 3.363 0.8069 4.608 11.36 10.61
[2,] 1935.761 362.2160 4435.415 11946.15 5370.61
[3,] 1891.482 344.2163 5066.210 10150.09 4170.71
[1] "--- VAR model 2017-10-07 11:01:00 completed"
[1] "Completed training sample: 2017-10-07 11:01:00 - 2017-10-07 19:00:00"
[1] "SpVAR; training sample: 2017-10-07 11:31:00 - 2017-10-07 19:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 11:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
7.9466 -2.332 -73.92 -49.45
-4.0752 -4.067 -57.10 -69.84
0.7103 3.948 -46.43 -46.73
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-74.90 1.5476 1.747 8.259
-71.53 1.0845 -1.535 3.541
-66.08 0.6883 2.425 7.503
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-3.681 -7.651 4.2867 -20.13
12.961 3.545 2.8501 -11.91
2.484 5.112 0.3929 -12.37
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
7.811 -12.535 -16.3983 12.09
2.335 -4.670 0.3583 17.73
-1.113 -1.611 4.9918 10.01
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
7.821 -17.828 -23.011 19.49
-3.817 -2.217 -4.488 22.04
-3.112 -4.138 9.105 28.69
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-75.80 -8.150 -129.7 -56.17
-61.77 -9.363 -160.2 -67.04
-70.70 -4.985 -128.7 -54.49
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.746 -72.97 -72.66 -14.05
-6.548 -60.20 -85.19 -15.42
-6.919 -40.54 -81.92 -13.75
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-46.71 -6.726 -51.65 -25.98
-55.43 -7.450 -70.80 -28.97
-59.39 -7.977 -57.51 -28.21
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.38 -59.07 -70.48 -60.44
-11.45 -69.49 -76.60 -74.50
-15.43 -67.06 -66.94 -82.01
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-16.535 -7.902 -14.672 -1.644
-3.827 -5.794 6.049 -4.074
-0.619 -4.698 -2.104 -2.306
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
4.941 -3.4704 -25.04 -59.03
-10.559 -2.3797 -34.99 -44.30
1.251 0.6594 -38.06 -41.97
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
6.300 -1.500 -30.27 7.221
10.579 -3.038 -28.93 -3.322
3.966 -4.032 -33.88 18.452
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
8.2095 -4.766 -20.296 -0.710
-0.2337 3.367 -5.886 8.822
20.8365 -1.876 -28.276 10.133
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.742 -9.787 -19.700 -17.20
-2.340 -18.530 -22.860 -10.29
-3.054 -11.137 -0.858 -16.73
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.618 0.4693 1.060 -5.219
-12.935 4.1078 -1.689 -12.073
-22.667 2.9969 0.147 -8.877
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-4.1230 -4.485 -3.3070 -3.624
-1.6355 6.085 1.4540 -7.084
-0.6496 -9.282 0.2023 -2.199
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-6.899 4.4955 -1.7874 12.2090
-1.734 -0.5209 -10.4164 -0.8152
-3.895 -1.7456 -0.9901 1.5383
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-2.678 1.124 -1.855 -1.909
-9.454 2.177 -5.850 -5.484
6.458 2.900 5.115 -1.434
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.4929 -5.185 21.48 8.226
-4.1177 6.124 20.52 11.955
-5.5908 -7.173 17.43 12.795
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
20.27 1.51349 21.54 -4.234
14.75 -1.15138 22.50 -2.088
17.37 -0.05579 20.85 -0.191
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
25.35 0.403 -4.3222 3.4409
23.90 6.274 -1.0366 -3.2300
20.96 2.911 0.3536 -0.1213
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-4.366 -4.328 10.677 -8.0221
-5.681 -5.739 4.501 0.2851
-6.487 3.983 2.976 -16.6567
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
9.396 2.0765 2.026 -0.9896
5.126 5.7430 3.534 0.9285
2.306 0.2934 4.381 6.1768
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-3.2989 3.4905 -9.659 108.0
-7.7147 0.2631 -9.020 114.4
-0.7273 4.1514 -10.394 117.8
rnd_95776.volume rnd_95787.volume
-17.135 -42.91
-61.203 -54.62
-9.482 -46.97
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.682 2.844 9.285 7.199 8.077 1.053 1.755 4.515 5.103 4.412 2.763
[2,] 4.626 3.284 10.806 8.634 9.588 1.197 2.002 5.219 6.397 6.440 3.755
[3,] 5.214 3.624 11.858 9.402 10.518 1.296 2.194 6.027 7.138 7.107 4.222
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.141 2.875 3.403 3.615 3.707 3.829 5.510 6.501 4.696 9.943 2.164
[2,] 4.629 3.519 4.610 4.915 4.496 4.876 6.598 8.050 5.791 11.942 2.548
[3,] 5.142 3.839 5.835 6.142 5.140 5.756 7.413 9.283 6.483 13.037 2.926
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 13.64 7.769 0.5319 7.612 7.370 1.081 6.994 0.5580 7.500 1.784
[2,] 17.87 9.153 0.6244 8.813 9.422 1.298 8.316 0.6715 9.025 2.117
[3,] 20.26 10.024 0.6787 10.368 10.591 1.429 9.294 0.7676 10.239 2.396
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.290 8.666 8.023 7.853 4.794 3.283 4.189 1.663 3.340 1.179 3.959
[2,] 1.511 9.708 9.367 9.934 5.566 4.511 5.023 2.009 4.044 1.421 4.596
[3,] 1.650 10.623 10.167 10.998 6.319 5.128 5.811 2.204 4.647 1.578 5.078
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.126 2.310 1.299 3.669 4.245 4.540 2.299 3.777 3.897 1.499 2.895
[2,] 5.019 2.725 1.576 4.112 5.039 5.413 3.025 5.500 4.431 1.710 3.960
[3,] 5.612 3.074 1.718 4.370 5.605 6.196 3.476 6.509 4.812 1.912 5.233
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.530 2.406 1.665 3.927 0.7719 2.391 1.066 2.299 3.079 2.652 4.186
[2,] 3.694 3.654 3.125 4.710 0.8869 3.431 1.293 2.757 3.597 3.564 4.971
[3,] 4.618 4.429 4.055 5.132 0.9711 4.597 1.439 3.247 3.955 4.082 5.457
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.440 8.657 3.450 3.304 1.347 4.399 3.241 4.113 4.226 4.629 3.543
[2,] 1.741 10.257 4.107 4.939 1.609 5.186 4.867 5.058 5.945 5.574 5.126
[3,] 1.897 11.528 4.595 5.675 1.799 5.668 5.550 5.794 6.858 6.175 6.293
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.382 1.489 3.836 2.838 4.678 2.511 2.019 1.812 2.782 2.804 7.483
[2,] 4.541 1.692 4.820 3.327 5.773 2.862 2.632 2.162 4.078 3.555 8.544
[3,] 5.683 1.855 5.746 3.837 6.268 3.166 2.992 2.455 4.628 4.032 9.289
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.678 2.018 2.080 1.755 1.730 2.698 2.637 0.6226 3.840 8.889 8.288
[2,] 5.600 2.556 2.858 2.573 2.614 3.338 3.158 0.6919 5.726 13.970 9.551
[3,] 6.210 2.923 3.521 2.994 3.145 3.884 3.561 0.7677 7.286 16.577 10.363
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.676 3.612 11.79 9.142 10.26 1.337 2.229 5.733
[2,] 3281.805 1924.608 6481.45 5587.342 6055.86 667.193 1128.065 3069.185
[3,] 2820.249 1794.921 5723.57 4362.780 5069.04 582.234 1052.605 3533.293
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.48 5.602 3.509 3.989 3.651 4.321 4.591
[2,] 4521.42 5499.632 2980.959 3985.746 2377.464 3645.079 3903.220
[3,] 3712.81 3524.680 2262.561 2624.632 1798.453 4192.979 4317.532
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.707 4.863 6.997 8.255 5.963 12.63 2.747
[2,] 2983.496 3538.685 4253.940 5565.050 3973.924 7755.09 1576.871
[3,] 2919.994 3586.459 3962.353 5420.260 3413.895 6128.74 1687.186
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 17.32 9.865 0.6754 9.666 9.359 1.373 8.881
[2,] 13529.39 5673.666 383.5333 5205.809 6880.557 840.712 5273.251
[3,] 11194.64 4790.505 311.6262 6402.532 5669.376 702.335 4865.236
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.7086 9.524 2.266 1.638 11 10.19 9.972 6.088
[2,] 437.9062 5883.574 1335.488 921.207 5129 5666.00 7132.048 3314.911
[3,] 435.8062 5669.308 1316.305 777.125 5056 4635.51 5530.478 3505.664
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 4.169 5.32 2.112 4.241 1.497 5.027 5.24 2.933
[2,] 3625.839 3249.12 1322.039 2673.065 930.879 2738.464 3348.37 1696.036
[3,] 2858.838 3425.28 1060.518 2683.674 804.333 2531.187 2943.42 1666.229
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.65 4.659 5.39 5.765 2.919 4.796 4.948 1.903
[2,] 1045.24 2176.772 3182.26 3455.485 2304.434 4686.055 2471.838 965.881
[3,] 802.03 1732.260 2877.27 3532.568 2007.333 4080.955 2200.266 1002.106
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.677 3.212 3.055 2.115 4.987 0.9802 3.037
[2,] 3166.988 3155.873 3224.397 3099.510 3047.700 511.8684 2883.968
[3,] 4009.550 3247.422 2933.591 3029.758 2390.392 463.7751 3587.085
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.353 2.919 3.91 3.367 5.316 1.829 10.99 4.381
[2,] 858.610 1785.299 2180.34 2790.580 3141.129 1146.367 6449.10 2611.244
[3,] 740.751 2010.406 1927.08 2334.166 2641.270 882.880 6168.15 2416.680
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.196 1.71 5.586 4.116 5.223 5.366 5.878
[2,] 4303.208 1031.39 3220.246 4256.214 3451.509 4902.718 3638.405
[3,] 3275.821 944.05 2682.400 3126.624 3311.937 4006.949 3114.865
[,76] [,77] [,78] [,79] [,80] [,81] [,82]
[1,] 4.499 4.294 1.891 4.871 3.604 5.941 3.189
[2,] 4342.419 3552.746 941.937 3421.062 2033.506 3965.415 1607.720
[3,] 4280.338 4004.659 890.700 3666.483 2240.556 2861.658 1587.441
[,83] [,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.564 2.3 3.533 3.56 9.502 5.941 2.562 2.641
[2,] 1978.799 1382.9 3494.443 2563.13 4835.051 3607.819 1839.747 2298.170
[3,] 1666.900 1363.3 2565.659 2228.84 4270.840 3147.951 1660.839 2410.461
[,91] [,92] [,93] [,94] [,95] [,96] [,97]
[1,] 2.228 2.197 3.426 3.349 0.7905 4.876 11.29
[2,] 2206.015 2296.867 2304.050 2036.847 353.9366 4978.832 12633.16
[3,] 1794.481 2049.050 2327.922 1927.849 389.7678 5280.835 10462.03
[,98]
[1,] 10.52
[2,] 5564.77
[3,] 4711.23
[1] "--- VAR model 2017-10-07 11:31:00 completed"
[1] "Completed training sample: 2017-10-07 11:31:00 - 2017-10-07 19:30:00"
[1] "SpVAR; training sample: 2017-10-07 12:01:00 - 2017-10-07 20:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 12:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.5487 7.541 -64.90 -60.95
-8.0656 -4.624 -30.08 -33.87
6.2978 10.848 -47.42 -33.36
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-54.89 0.5391 2.7626 1.694
-48.24 -1.9953 0.2387 -11.733
-38.44 1.3675 6.2723 3.003
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
12.834 -0.8802 3.989 -29.68
-21.398 -3.3205 11.613 -14.16
4.153 -11.7968 -12.105 -25.24
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-4.7137 -3.4090 -13.645 8.558
9.9084 -12.4868 -6.441 1.105
0.3382 -0.4074 -2.378 5.417
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-4.075 3.267 14.699 31.58
-7.250 -8.922 -2.694 13.24
3.637 10.078 14.667 21.28
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-52.39 -4.115 -77.1 -41.45
-33.66 -1.625 -130.1 -57.63
-58.80 -4.409 -104.6 -35.53
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.573 -36.66 -70.98 -10.80
-5.737 -34.64 -67.83 -13.94
-4.874 -61.76 -39.85 -10.83
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-64.48 -4.013 -54.79 -22.73
-34.66 -5.861 -54.60 -22.90
-36.14 -4.834 -49.42 -23.58
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.148 -45.90 -73.36 -53.84
-10.406 -52.49 -39.39 -32.65
-12.470 -52.15 -47.01 -54.09
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.2344 -5.409 1.460 -2.1742
0.2851 -4.111 2.132 -1.2978
-3.2360 -2.873 2.285 0.5361
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
3.972 -2.2964 -6.324 -26.34
-2.047 -2.2219 -36.413 -22.16
-3.781 -0.6376 -24.744 -44.16
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.44715 -4.690 -17.20 5.701
9.29751 -2.591 -22.27 1.745
-0.01448 -2.164 -23.85 7.893
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
21.17 -4.617 -5.056 1.897
4.74 -3.279 -5.633 8.133
14.76 -5.134 -3.241 1.414
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
0.4838 -9.0660 -13.658 -6.817
2.0289 -8.7097 -7.491 -10.651
1.7321 0.1212 -5.946 -9.222
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-4.812 3.365 0.4625 -14.174
-12.094 -1.908 -1.3963 -7.126
-6.296 -2.292 0.9898 -12.898
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.860 -3.533 5.594 7.5583
1.111 -11.480 3.115 -7.2914
-1.308 -1.804 -2.098 0.7614
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
8.347 4.507 6.473 1.320
-1.936 -1.506 6.207 2.265
2.529 2.783 -15.572 14.164
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-6.434 1.788 -5.513 1.374
3.170 -1.757 -5.031 -8.749
2.309 1.072 5.071 6.731
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-0.6958 7.064 28.90 17.16
-2.8918 -6.892 28.71 12.80
-6.1906 -4.744 24.58 3.74
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
16.929 1.8592 24.16 -3.125
25.768 -1.5799 17.34 -5.484
9.536 -0.1865 24.51 -2.725
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
36.14 1.034 -4.1000 -1.2341
11.75 8.841 6.8044 0.5617
17.04 -2.099 0.1964 -3.5669
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.0911 1.889 5.887 -14.42
-0.3335 -2.037 6.521 15.95
-7.1938 6.733 6.658 -16.58
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
3.97412 -0.874 2.332 0.0852
-0.21787 1.692 -4.408 -1.7928
0.04998 -4.571 1.754 0.8456
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-10.075 -4.258 -9.389 130.4
-4.394 -2.888 -8.065 127.0
-1.888 1.397 -9.135 126.0
rnd_95776.volume rnd_95787.volume
-5.605 -45.89
-4.422 -53.16
-23.291 -32.08
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.544 2.802 9.246 7.421 7.977 0.989 1.725 4.419 5.284 4.424 2.677
[2,] 4.570 3.288 10.722 8.676 9.328 1.151 1.948 5.180 6.553 6.317 3.683
[3,] 5.224 3.617 11.645 9.512 10.340 1.244 2.128 5.929 7.217 7.023 4.132
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.172 2.916 3.179 2.910 3.761 3.907 5.418 6.280 4.637 9.232 2.371
[2,] 4.844 3.464 4.432 4.242 4.545 5.009 6.496 7.769 5.626 11.052 2.727
[3,] 5.290 3.816 5.727 5.292 5.169 5.871 7.317 8.777 6.311 12.275 3.123
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32]
[1,] 12.74 7.564 0.5143 7.773 7.248 1.042 7.283 0.5369 7.366 1.794
[2,] 17.35 9.156 0.5984 8.992 9.123 1.261 8.437 0.6632 8.822 2.099
[3,] 19.62 9.953 0.6566 10.301 10.468 1.394 9.407 0.7624 10.066 2.357
[,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43]
[1,] 1.305 8.300 7.725 7.747 4.639 3.248 3.962 1.645 3.308 1.178 4.079
[2,] 1.502 9.553 9.050 9.794 5.461 4.404 4.776 1.933 3.972 1.369 4.730
[3,] 1.631 10.503 9.910 10.890 6.235 5.037 5.548 2.112 4.557 1.518 5.227
[,44] [,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 4.090 2.212 1.295 3.579 4.317 4.720 2.430 3.779 3.691 1.474 2.901
[2,] 4.949 2.669 1.568 4.035 5.242 5.583 3.089 5.556 4.288 1.704 3.960
[3,] 5.482 3.037 1.702 4.278 5.834 6.295 3.475 6.446 4.647 1.930 5.286
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65]
[1,] 2.460 2.518 1.676 3.867 0.7540 2.258 1.003 2.265 2.893 2.709 4.106
[2,] 3.712 3.704 3.018 4.636 0.8548 3.388 1.231 2.775 3.467 3.592 4.841
[3,] 4.722 4.381 4.095 5.117 0.9393 4.473 1.373 3.310 3.834 4.091 5.381
[,66] [,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 1.391 8.324 3.363 3.343 1.323 4.389 3.123 3.964 3.928 4.722 3.857
[2,] 1.709 9.904 4.067 4.944 1.607 5.084 4.663 4.959 5.794 5.679 5.363
[3,] 1.853 11.089 4.536 5.669 1.792 5.672 5.243 5.793 6.706 6.325 6.513
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87]
[1,] 3.367 1.459 3.782 2.996 4.582 2.478 2.069 1.746 2.683 2.807 7.272
[2,] 4.532 1.639 4.779 3.426 5.641 2.841 2.638 2.091 4.005 3.501 8.340
[3,] 5.633 1.793 5.682 3.941 6.236 3.165 3.053 2.380 4.485 3.915 9.099
[,88] [,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 4.689 2.105 2.117 1.793 1.813 2.675 2.595 0.6079 4.012 8.897 7.860
[2,] 5.597 2.588 2.881 2.599 2.688 3.319 3.141 0.6847 6.021 13.690 9.338
[3,] 6.266 2.929 3.477 3.006 3.186 3.840 3.495 0.7596 7.482 16.275 10.033
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.501 3.558 11.74 9.424 10.13 1.256 2.19 5.612
[2,] 3140.292 1872.754 5908.95 4892.510 5263.64 640.932 986.75 2942.306
[3,] 2754.801 1641.594 4947.43 4244.732 4856.03 515.028 931.59 3138.017
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.709 5.618 3.399 4.028 3.702 4.036 3.695
[2,] 4220.178 4908.984 2753.571 3984.769 2036.738 3361.434 3359.208
[3,] 3290.477 3339.763 2039.768 2313.730 1742.950 3948.745 3444.004
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.776 4.962 6.88 7.975 5.888 11.72 3.01 16.18
[2,] 2777.982 3411.116 3901.80 4977.798 3469.532 6613.27 1467.61 12814.00
[3,] 2680.069 3333.359 3663.70 4446.902 3112.262 5813.79 1656.32 9993.00
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.605 0.653 9.871 9.204 1.323 9.249 0.6817 9.354
[2,] 5615.359 332.931 4919.906 6030.657 773.881 4634.521 423.9076 5285.238
[3,] 4248.852 294.363 5470.023 5588.605 644.903 4530.414 409.2465 5275.605
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.278 1.657 10.54 9.81 9.837 5.891 4.125 5.031
[2,] 1185.452 809.519 5148.60 5131.63 6522.112 3137.017 3236.218 2902.660
[3,] 1167.549 693.632 4752.65 4396.18 5183.594 3273.392 2662.025 3072.381
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.089 4.201 1.495 5.179 5.193 2.809 1.644 4.545
[2,] 1105.004 2392.252 759.522 2606.143 3033.889 1625.531 961.886 2027.058
[3,] 926.865 2431.480 715.303 2422.151 2565.081 1576.701 722.765 1547.992
[,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.481 5.994 3.085 4.799 4.687 1.872 3.684
[2,] 3237.425 3245.469 2075.864 4433.473 2376.056 929.540 2933.297
[3,] 2787.932 3165.411 1733.385 3557.733 1948.701 987.119 3812.118
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 3.124 3.198 2.128 4.911 0.9574 2.868 1.273
[2,] 3025.743 2956.809 2732.359 2783.095 438.3516 2748.869 776.572
[3,] 3177.381 2546.528 3012.320 2358.311 423.8404 3179.550 663.852
[,62] [,63] [,64] [,65] [,66] [,67] [,68] [,69]
[1,] 2.876 3.674 3.44 5.214 1.766 10.57 4.27 4.246
[2,] 1744.678 2078.401 2568.68 2790.940 1080.634 5841.98 2490.53 3964.874
[3,] 1965.336 1783.493 2129.76 2558.088 779.390 5429.85 2184.86 3018.574
[,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 1.68 5.574 3.966 5.034 4.988 5.996 4.898 4.275
[2,] 993.90 2793.459 3769.405 3243.622 4636.003 3435.267 4055.930 3302.146
[3,] 862.73 2736.277 2609.021 3259.517 3674.534 3030.484 4023.594 3642.150
[,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.852 4.803 3.804 5.818 3.146 2.628 2.217
[2,] 812.614 3179.363 1809.862 3580.975 1514.291 1780.320 1251.891
[3,] 793.432 3346.707 2118.962 2894.173 1517.821 1673.355 1236.918
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.406 3.564 9.234 5.954 2.673 2.688 2.277
[2,] 3236.499 2277.983 4446.009 3327.007 1638.437 2127.193 2048.210
[3,] 2199.021 1907.806 3959.444 3066.497 1494.134 2119.510 1643.782
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.302 3.397 3.295 0.772 5.094 11.3 9.981
[2,] 2160.595 2138.312 1926.167 342.909 4887.761 11325.4 5488.735
[3,] 1860.758 2102.875 1667.848 357.926 4835.051 9581.0 3992.429
[1] "--- VAR model 2017-10-07 12:01:00 completed"
[1] "Completed training sample: 2017-10-07 12:01:00 - 2017-10-07 20:00:00"
[1] "SpVAR; training sample: 2017-10-07 12:31:00 - 2017-10-07 20:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 12:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-8.272 -1.234 -15.89 -49.51
-1.246 8.099 -27.53 -28.17
7.423 -3.537 -50.06 -44.14
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-48.89 1.5189 -4.801 -16.162
-44.10 0.6072 1.363 6.951
-38.30 1.7359 1.695 1.564
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-18.030 -2.780 6.5961 -18.769
3.490 -12.501 0.2928 -24.527
-4.498 -5.286 7.0010 -8.468
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
9.351 -8.154 -1.86 15.744
3.320 -14.419 -11.24 7.278
-10.297 -13.405 -14.39 7.179
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-6.976 -19.15 3.935 18.89
-2.186 -13.99 -3.090 25.31
-8.447 15.52 -7.238 16.27
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-27.17 -6.192 -133.10 -41.11
-40.42 -5.496 -51.73 -43.01
-43.13 -4.104 -73.61 -32.58
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.160 -22.75 -37.24 -7.782
-4.869 -54.80 -55.05 -9.799
-4.480 -31.93 -42.04 -10.847
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-38.18 -4.020 -37.99 -21.68
-38.95 -5.714 -65.21 -19.32
-47.24 -5.404 -57.63 -18.65
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.40 -43.55 -42.55 -46.38
-10.86 -57.35 -51.47 -46.36
-11.73 -34.65 -46.28 -47.93
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
4.502 11.112 8.656 -2.930
-10.189 -12.648 11.746 2.808
1.960 -2.894 -9.589 -1.710
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
11.058 0.8859 -28.73 -39.30
-8.244 1.9194 -33.31 -41.17
-1.866 -0.3060 -26.28 -38.03
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
10.511 3.1504 -18.05 8.213
2.332 -0.2615 -25.63 3.069
5.642 -3.2909 -25.01 13.701
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
7.985 -8.571 -14.33 8.3638
-1.338 -5.916 -10.28 0.8372
12.751 -8.121 -14.95 2.5764
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.786 -13.511 -8.429 -10.192
-2.694 -15.503 -9.469 -2.233
-1.613 -9.282 -1.250 -5.606
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
7.199 -2.522 -0.19134 -4.249
-7.885 -1.989 0.05376 -7.211
-12.041 -3.364 0.12941 -8.615
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-0.91551 -9.162 0.5037 -10.3329
0.01323 5.161 1.1003 -0.7649
-1.85041 -4.903 3.6347 -2.1638
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-0.2546 1.518 9.619 -6.999
13.7964 1.461 -7.264 13.977
-9.2109 -2.118 -8.515 1.377
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-8.484 5.2039 -2.175 -4.0570
12.402 2.2511 -6.737 0.0385
9.473 -0.9076 6.777 -2.0552
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-8.0824 -8.987 -0.6319 3.799
-1.2402 -3.275 22.6567 1.321
-0.8112 1.488 18.3837 13.692
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.882 -0.9331 13.530 9.300
-6.862 0.2688 5.493 2.884
12.838 0.8391 5.811 -1.004
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
17.446 3.885 -3.65284 -0.3551
20.086 4.020 0.05127 -3.4969
9.741 3.332 -6.18658 -1.8732
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.2022 -1.523 19.657 -6.885
-0.4925 3.592 27.700 -2.249
-2.9285 1.426 3.796 -9.744
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.358 4.388 -0.8834 -4.818
3.730 -3.874 2.7327 2.707
-2.056 4.927 -0.5631 -1.147
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-10.57497 5.897 -7.663 134.7
0.01134 -4.515 -8.830 119.6
-1.90799 2.649 -6.961 135.0
rnd_95776.volume rnd_95787.volume
-32.154 -28.43
-43.880 -35.13
-1.639 -34.32
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.574 2.819 9.376 7.398 7.752 1.009 1.752 4.430 5.195 4.407 2.592
[2,] 4.490 3.267 10.795 8.681 9.091 1.156 1.988 5.185 6.499 6.236 3.683
[3,] 5.152 3.582 11.747 9.616 10.105 1.267 2.178 5.858 7.096 6.943 4.195
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.035 2.803 3.048 3.204 3.708 3.850 5.327 6.506 4.949 9.005 2.348
[2,] 4.762 3.409 4.294 4.511 4.583 4.983 6.464 7.958 5.761 10.674 2.746
[3,] 5.268 3.741 5.517 5.455 5.209 6.001 7.249 8.864 6.467 11.822 3.126
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.90 7.507 0.5271 7.578 7.208 1.043 7.447 0.5419 7.061 1.748 1.200
[2,] 17.36 9.113 0.6025 8.973 9.079 1.260 8.535 0.6602 8.756 1.989 1.415
[3,] 19.51 9.911 0.6630 10.227 10.393 1.387 9.587 0.7427 9.801 2.200 1.549
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.753 7.543 7.566 4.648 3.205 3.821 1.632 3.520 1.143 4.100 4.154
[2,] 9.246 8.912 9.627 5.505 4.368 4.686 1.927 4.103 1.322 4.693 5.031
[3,] 10.298 9.815 10.565 6.230 5.094 5.395 2.098 4.624 1.505 5.136 5.540
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.170 1.263 3.420 4.383 4.650 2.368 3.757 3.822 1.496 2.893 2.486
[2,] 2.713 1.547 3.883 5.357 5.454 3.101 5.602 4.448 1.711 3.986 3.629
[3,] 3.069 1.701 4.197 5.916 6.096 3.494 6.367 4.751 1.947 5.375 4.652
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.494 1.587 3.986 0.7210 2.196 1.033 2.330 2.904 2.829 4.137 1.447
[2,] 3.610 3.033 4.727 0.8215 3.397 1.242 2.777 3.505 3.712 4.899 1.728
[3,] 4.339 4.042 5.148 0.9072 4.528 1.391 3.276 3.846 4.204 5.481 1.840
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.281 3.394 3.316 1.334 4.276 3.082 4.095 3.879 4.924 4.079 3.359
[2,] 9.887 4.130 5.070 1.596 5.038 4.540 5.052 5.750 5.894 5.565 4.533
[3,] 11.123 4.617 5.822 1.760 5.657 5.180 5.872 6.645 6.463 6.731 5.727
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.383 3.776 2.966 4.593 2.451 2.098 1.691 2.656 2.857 6.913 4.782
[2,] 1.576 5.017 3.473 5.578 2.870 2.687 2.024 3.936 3.507 8.160 5.673
[3,] 1.748 5.832 3.929 6.270 3.122 3.126 2.311 4.483 3.906 9.146 6.338
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.117 2.094 1.899 1.978 2.497 2.494 0.6308 4.269 9.268 7.904
[2,] 2.565 2.952 2.703 2.731 3.132 3.100 0.7085 6.424 13.965 9.337
[3,] 2.911 3.492 3.084 3.200 3.709 3.439 0.7911 7.865 16.403 10.065
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.539 3.58 11.91 9.394 9.843 1.282 2.225 5.625
[2,] 2899.355 1761.83 5707.89 4845.045 5065.331 602.370 1002.867 2873.523
[3,] 2693.189 1566.99 4939.30 4411.385 4707.781 551.440 946.984 2907.783
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.597 5.596 3.291 3.854 3.559 3.87 4.069
[2,] 4164.094 4706.361 2790.659 3913.694 2069.509 3226.58 3386.337
[3,] 3039.057 3256.434 2142.251 2402.601 1643.205 3694.96 3272.981
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.709 4.889 6.764 8.262 6.284 11.43 2.982
[2,] 2873.599 3374.052 3905.998 4887.683 3146.110 6113.39 1517.787
[3,] 2640.632 3566.577 3500.557 4164.012 3134.485 5421.30 1594.120
[,23] [,24] [,25] [,26] [,27] [,28] [,29]
[1,] 16.38 9.532 0.6693 9.623 9.154 1.324 9.457
[2,] 12391.38 5510.003 311.2280 5124.504 5886.663 754.802 4448.303
[3,] 9494.14 4156.414 295.1226 5232.897 5395.184 617.643 4656.154
[,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] 0.6881 8.967 2.22 1.524 9.845 9.578 9.608 5.903
[2,] 402.2714 5523.188 1011.10 800.150 5373.047 5063.018 6348.219 3145.116
[3,] 362.8898 4696.395 1003.46 671.679 4838.419 4387.368 4641.725 3112.093
[,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
[1,] 4.07 4.852 2.072 4.47 1.452 5.206 5.275 2.755
[2,] 3165.61 2892.352 1092.949 2247.15 708.730 2435.716 3026.610 1737.524
[3,] 2795.28 2852.182 885.371 2275.47 765.939 2226.559 2473.889 1528.906
[,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 1.604 4.342 5.565 5.904 3.007 4.771 4.853 1.9
[2,] 951.820 1962.807 3285.689 3041.644 2134.450 4432.180 2428.076 886.5
[3,] 755.474 1698.886 2678.156 2904.086 1717.491 3226.367 1779.642 990.1
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.673 3.157 3.167 2.015 5.061 0.9155 2.789
[2,] 2924.481 2818.970 2784.151 2756.772 2709.961 419.9210 2764.394
[3,] 3846.108 3105.161 2567.278 2849.571 2176.622 410.6164 3193.804
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.312 2.959 3.688 3.592 5.253 1.837 10.52 4.309
[2,] 734.302 1610.980 2092.475 2562.746 2799.771 1007.054 5761.99 2509.857
[3,] 668.661 1853.889 1688.313 2104.846 2620.594 675.280 5433.92 2201.289
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.21 1.694 5.43 3.914 5.2 4.926 6.252 5.18
[2,] 4091.46 934.823 2841.78 3555.366 3156.5 4526.839 3455.338 4037.64
[3,] 3052.17 789.655 2743.73 2660.854 3190.7 3553.505 2828.634 4038.46
[,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 4.265 1.756 4.794 3.766 5.833 3.113 2.664
[2,] 3247.356 806.566 3523.280 1927.568 3375.980 1592.259 1790.370
[3,] 3732.227 805.277 3173.089 1958.506 3053.196 1309.267 1703.646
[,84] [,85] [,86] [,87] [,88] [,89] [,90]
[1,] 2.147 3.373 3.628 8.779 6.072 2.688 2.659
[2,] 1185.967 3097.759 2169.064 4624.152 3256.023 1545.451 2219.293
[3,] 1189.650 2290.048 1833.848 4404.838 3014.529 1468.906 1991.065
[,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.411 2.512 3.171 3.167 0.801 5.421 11.77 10.04
[2,] 2051.208 2008.623 2016.891 1963.442 344.179 5120.292 11142.18 5300.78
[3,] 1583.885 1777.540 2118.782 1588.807 375.285 4838.780 9177.98 4011.06
[1] "--- VAR model 2017-10-07 12:31:00 completed"
[1] "Completed training sample: 2017-10-07 12:31:00 - 2017-10-07 20:30:00"
[1] "SpVAR; training sample: 2017-10-07 13:01:00 - 2017-10-07 21:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 13:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.9423 1.141 -43.87 -60.21
0.6998 2.274 -44.28 -40.46
6.1973 -2.189 -43.22 -28.83
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-39.79 2.5715 0.6425 -11.061
-67.23 -0.1352 -3.7726 5.494
-48.34 1.8479 4.4335 3.510
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-5.5115 1.892 12.401 -10.72
-0.1941 -6.278 -1.284 -20.20
7.7655 6.435 11.647 -12.11
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
1.8776 -12.3072 -2.5340 -2.7519
1.5121 -0.3702 -15.9236 -5.1663
0.6559 -10.9507 0.9758 -0.7047
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-15.46 -8.333 -3.135 33.38
1.19 -2.310 6.443 13.73
-12.41 3.271 4.387 21.78
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-40.56 -2.0602 -78.31 -43.94
-61.14 -4.1390 -108.71 -36.40
-19.18 0.4836 -69.77 -48.36
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.794 -45.48 -28.57 -8.418
-5.235 -40.86 -63.72 -9.872
-4.119 -59.40 -36.30 -8.722
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-58.69 -5.727 -44.22 -21.54
-36.54 -5.383 -34.70 -19.08
-42.79 -3.458 -56.95 -19.90
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.717 -52.85 -44.66 -53.83
-12.099 -51.54 -61.88 -47.49
-8.832 -57.10 -47.14 -46.62
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
13.117 -0.5235 -11.870 -2.3076
-7.904 -7.0725 5.043 2.1200
4.737 15.0447 -1.594 0.8519
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.7854 0.1011 -25.75 -41.26
-0.4892 -1.1902 -27.65 -28.24
-1.6847 -1.1694 -35.65 -38.93
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
7.865 0.5132 -17.62 23.49
4.456 1.9938 -26.74 -10.26
2.174 -3.4203 -19.54 11.16
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
16.958 1.6571 -26.300 10.141
-5.971 0.7982 5.552 3.836
15.659 -1.7936 -16.092 7.716
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-4.7817 -17.555 -21.2189 -7.961
0.2254 -10.480 -10.9721 -19.954
0.6929 -2.127 -0.8452 -4.468
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
13.549 -1.7510 -0.3201 -0.3547
-26.650 -2.4981 -1.6610 0.5979
-7.223 -0.5308 -0.8774 -20.6062
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.335 -6.121 2.402 0.7619
1.585 4.120 -1.157 -10.4650
-3.484 -7.618 4.642 6.8207
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
4.336 -2.2992 22.429 3.978
-4.025 -0.4893 1.818 -3.739
2.888 1.2762 1.058 6.356
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.800 -1.7613 0.1712 4.21695
7.179 -0.2087 -6.7960 -0.04493
-4.370 0.7774 6.3338 4.54487
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
8.3032 -0.6129 8.614 10.941
-0.6067 7.4960 18.230 9.092
7.1364 -0.3618 15.764 9.916
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
19.591 -1.73 15.84 0.8648
1.557 1.21 15.71 -2.1434
15.564 1.25 13.21 1.7691
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
21.89 2.84950 -0.5316 -0.6153
15.06 2.59932 -2.4289 0.8966
14.42 -0.09764 2.9782 0.2041
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
4.5548 9.575 12.529 -2.034
-8.4180 1.566 5.467 -7.022
0.1062 3.157 -5.563 -2.267
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
-0.761 2.4830 0.5071 -0.4028
2.881 -0.8904 1.6865 3.3170
-2.357 4.0656 3.4478 2.4937
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-11.147 -6.515 -6.893 108.5
11.354 7.574 -6.641 113.2
-6.843 -3.331 -7.620 121.2
rnd_95776.volume rnd_95787.volume
-25.81 -57.38
-21.71 -32.70
-21.43 -46.83
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.539 2.795 8.168 7.169 7.394 1.033 1.713 4.175 5.075 4.388 2.574
[2,] 4.566 3.277 9.495 8.566 8.803 1.168 1.957 4.899 6.273 6.073 3.591
[3,] 5.137 3.621 10.319 9.560 9.822 1.272 2.142 5.619 6.865 6.748 4.063
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.995 2.696 2.974 3.683 3.624 3.810 5.182 6.649 5.113 9.652 2.888
[2,] 4.591 3.305 4.206 4.924 4.670 5.084 6.444 7.956 6.008 11.080 3.367
[3,] 5.095 3.592 5.364 5.909 5.245 6.120 7.222 8.900 6.693 12.251 3.735
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.98 7.410 0.5096 7.239 7.151 0.9714 7.218 0.5453 6.798 1.611 1.185
[2,] 17.11 9.118 0.5876 8.556 8.883 1.1643 8.273 0.6495 8.323 1.909 1.396
[3,] 19.42 9.878 0.6434 9.762 10.129 1.2735 9.396 0.7320 9.449 2.114 1.511
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.473 7.157 7.815 4.480 3.186 3.784 1.614 3.581 1.055 3.925 3.988
[2,] 8.859 8.635 9.600 5.239 4.280 4.689 1.915 4.120 1.278 4.600 4.909
[3,] 9.889 9.438 10.460 5.930 4.871 5.348 2.098 4.595 1.440 5.054 5.451
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.266 1.244 3.268 4.206 4.550 2.390 3.847 3.852 1.456 2.781 2.461
[2,] 2.721 1.499 3.880 5.241 5.393 3.035 5.649 4.589 1.702 3.871 3.703
[3,] 3.062 1.654 4.161 5.864 6.141 3.383 6.489 4.842 1.975 5.156 4.720
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.425 1.494 3.854 0.7307 2.236 1.038 2.334 2.924 2.846 4.082 1.392
[2,] 3.475 2.926 4.510 0.8242 3.328 1.242 2.790 3.457 3.738 4.892 1.643
[3,] 4.288 4.035 4.886 0.9112 4.355 1.379 3.247 3.764 4.222 5.382 1.761
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 8.005 3.222 3.246 1.339 4.282 3.089 4.215 3.915 5.023 4.069 3.361
[2,] 9.766 3.995 4.957 1.588 5.063 4.617 5.164 5.718 5.939 5.508 4.718
[3,] 10.730 4.424 5.727 1.753 5.649 5.197 5.932 6.742 6.515 6.670 5.956
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.256 3.836 2.922 4.237 2.242 2.112 1.655 2.590 2.752 6.536 4.738
[2,] 1.491 5.108 3.381 5.498 2.740 2.648 2.002 3.803 3.417 7.756 5.680
[3,] 1.676 5.917 3.758 6.270 3.000 3.038 2.297 4.305 3.818 8.732 6.311
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.107 2.064 2.035 2.094 2.465 2.477 0.6214 4.530 9.618 7.626
[2,] 2.617 2.920 2.756 2.755 3.102 2.912 0.6980 6.671 13.819 9.162
[3,] 2.930 3.521 3.153 3.242 3.668 3.245 0.7925 8.042 16.492 9.941
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.494 3.549 10.37 9.104 9.389 1.312 2.176 5.302
[2,] 2874.287 1705.084 4822.24 4669.325 4759.614 543.092 942.642 2552.671
[3,] 2342.807 1533.657 4024.76 4226.870 4338.773 500.939 866.567 2740.901
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.445 5.571 3.269 3.803 3.424 3.777 4.677
[2,] 3672.628 4182.331 2493.304 3465.605 1903.131 2962.401 3255.555
[3,] 2777.233 2929.150 1893.370 2201.926 1402.312 3316.632 3252.080
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.603 4.838 6.58 8.443 6.493 12.26 3.667 16.49
[2,] 2933.887 3353.526 3814.85 4352.257 3142.509 5419.95 1724.182 11095.78
[3,] 2378.327 3393.418 3248.23 3972.308 2938.271 5205.15 1611.340 9158.21
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 9.41 0.6472 9.192 9.081 1.233 9.166 0.6925 8.632
[2,] 5291.80 291.2793 4542.188 5248.788 639.380 4027.491 351.3788 4783.786
[3,] 3784.22 261.0736 4681.730 4846.785 513.941 4435.838 336.4115 4455.914
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 2.046 1.505 9.49 9.089 9.923 5.688 4.045 4.806
[2,] 1020.194 735.532 4738.10 4811.376 5554.397 2706.936 2847.026 2757.858
[3,] 904.700 573.826 4378.03 3795.640 4137.295 2765.193 2316.968 2561.831
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 2.049 4.547 1.339 4.984 5.064 2.877 1.579 4.15
[2,] 1026.502 2029.016 718.412 2388.975 2852.138 1500.304 832.628 2083.53
[3,] 852.624 2026.404 660.707 2087.124 2359.778 1399.487 696.263 1496.34
[,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.341 5.777 3.034 4.886 4.891 1.849 3.531
[2,] 3113.889 2883.347 1862.942 4120.381 2483.976 877.103 2682.959
[3,] 2619.822 2926.930 1490.512 3179.185 1540.785 998.364 3392.389
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.125 3.079 1.897 4.894 0.9279 2.84 1.318 2.964
[2,] 2755.678 2479.335 2505.736 2333.018 379.6686 2455.38 679.849 1523.648
[3,] 2915.034 2502.451 2768.300 1871.133 387.1132 2797.84 597.206 1653.829
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.713 3.614 5.184 1.767 10.17 4.092 4.121 1.7
[2,] 1837.184 2413.665 2684.230 869.955 5570.98 2351.730 3731.656 850.6
[3,] 1483.642 1955.653 2236.359 632.246 4427.16 1893.371 2856.813 739.7
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.437 3.923 5.353 4.971 6.378 5.167 4.268
[2,] 2690.708 3417.685 2970.235 4151.798 3157.058 3697.698 3297.560
[3,] 2497.486 2376.471 2908.958 3556.934 2667.237 3747.587 3620.558
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 1.595 4.871 3.71 5.381 2.848 2.682 2.102 3.289
[2,] 799.949 3359.799 1693.97 3490.039 1567.619 1591.619 1121.084 2773.284
[3,] 763.211 2974.350 1633.48 3002.360 1217.972 1481.758 1122.708 2010.980
[,86] [,87] [,88] [,89] [,90] [,91] [,92] [,93]
[1,] 3.494 8.3 6.016 2.676 2.62 2.584 2.659 3.13
[2,] 2017.228 4159.9 3120.828 1545.156 2057.69 1851.603 1783.209 1876.57
[3,] 1697.984 3994.4 2739.035 1312.485 1958.97 1525.181 1701.766 1949.04
[,94] [,95] [,96] [,97] [,98]
[1,] 3.145 0.789 5.752 12.21 9.684
[2,] 1525.510 316.784 4878.486 9883.39 5057.889
[3,] 1426.942 373.812 4472.575 8965.59 3842.408
[1] "--- VAR model 2017-10-07 13:01:00 completed"
[1] "Completed training sample: 2017-10-07 13:01:00 - 2017-10-07 21:00:00"
[1] "SpVAR; training sample: 2017-10-07 13:31:00 - 2017-10-07 21:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 13:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
6.434 9.688 -35.79 -50.00
5.470 -4.565 -54.94 -36.41
2.045 6.860 -34.93 -54.06
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-36.61 -1.21079 3.0200 11.0277
-57.44 0.01485 -1.5061 0.5489
-53.43 2.16900 -0.9321 5.5213
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.8435 -4.893 1.787 -19.44
3.9971 2.552 10.572 -13.12
-0.9073 -3.350 4.506 -12.90
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-0.695 -10.548 -3.3033 -3.901
10.190 -4.555 0.5218 -9.915
7.794 -10.127 -2.3122 -2.476
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-12.839 -13.03 6.636 24.13
-7.020 -12.74 -15.951 13.24
-8.541 -13.01 8.273 19.87
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-27.57 -7.188 -75.84 -29.37
-39.62 -4.673 -107.61 -49.29
-44.25 1.238 -70.32 -38.97
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-5.359 -25.39 -51.97 -9.795
-5.292 -66.13 -38.28 -12.264
-4.557 -42.01 -52.47 -8.715
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-66.10 -5.748 -46.22 -15.21
-31.34 -5.645 -37.65 -24.35
-59.09 -5.591 -28.77 -19.59
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-13.80 -38.09 -52.77 -66.06
-11.58 -43.97 -48.38 -41.11
-12.85 -49.96 -44.44 -50.03
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.133 2.470 -3.882 0.2365
11.778 7.623 6.581 1.0847
-3.951 3.451 -1.989 -0.5380
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.538 -0.5361 -26.33 -14.85
6.401 0.2709 -30.80 -37.53
-0.660 -1.6148 -36.02 -37.86
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
1.445 -3.051 -28.57 16.360
6.314 -4.704 -23.29 -2.531
-1.448 -2.798 -22.64 20.005
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
17.17 -4.4823 -17.863 5.786
-16.62 -2.0479 -5.106 11.796
21.47 -0.7402 -20.285 11.325
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
2.886 -1.115 -2.188 -6.702
-1.480 -15.490 -7.758 -2.587
2.041 -9.988 -4.649 -9.210
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-0.6754 3.116 0.2600 7.364
-6.9885 -6.016 -1.0056 -8.075
-4.0306 1.906 -0.4844 -3.112
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
1.3460 5.623 4.135 9.128
1.1770 -1.808 8.908 5.854
0.6573 -9.483 6.679 1.388
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
16.071 6.7062 -3.3939 -2.319
3.621 1.2895 17.7105 -5.577
-3.938 0.5724 0.4542 9.400
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-13.46 -1.111 9.765 -4.449
15.73 -2.445 11.048 6.302
-1.24 2.960 -3.414 7.547
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-12.238 -6.064 23.86 10.29
5.279 10.073 10.06 13.73
-12.991 -1.655 23.24 13.13
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
3.258 2.3859 5.11852 1.080
16.823 0.2448 -0.05051 2.528
7.716 4.2803 14.71612 4.349
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
3.972 4.762 -2.865 -4.7841
5.329 -5.467 -3.444 1.7609
20.921 1.206 0.131 0.5883
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-3.370 10.112 12.74 -10.789
8.873 -3.645 9.92 8.751
8.484 10.601 -2.70 -10.951
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.872 -0.8289 -0.7677 2.846
1.274 5.9771 3.7371 3.008
4.909 3.0165 3.6011 5.783
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.5368 3.3596 -7.871 109.2
2.9997 -7.7961 -8.675 110.5
0.6502 -0.4349 -7.208 112.8
rnd_95776.volume rnd_95787.volume
-22.706 -43.45
-53.558 -47.10
-9.694 -41.81
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.597 2.796 7.948 7.151 6.976 0.9914 1.700 4.077 4.805 4.411 2.522
[2,] 4.593 3.273 9.252 8.455 8.506 1.1228 1.928 4.826 5.984 6.029 3.558
[3,] 5.218 3.648 10.033 9.406 9.586 1.2375 2.104 5.492 6.708 6.689 4.028
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.040 2.597 2.795 4.508 3.618 3.858 4.932 6.548 5.033 9.183 2.769
[2,] 4.536 3.212 4.104 5.655 4.634 5.098 6.290 7.912 5.902 10.523 3.074
[3,] 5.035 3.523 5.130 6.405 5.275 6.013 7.139 8.842 6.580 11.715 3.371
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.22 7.467 0.5032 6.994 6.895 0.9217 7.286 0.5265 6.881 1.457 1.133
[2,] 17.11 9.166 0.5795 8.327 8.637 1.1312 8.463 0.6105 8.448 1.747 1.347
[3,] 19.37 9.832 0.6374 9.685 9.969 1.2461 9.570 0.6919 9.578 1.931 1.468
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 7.466 6.697 7.214 4.344 3.153 3.750 1.540 3.558 1.017 3.592 3.941
[2,] 8.634 8.197 9.064 4.995 4.115 4.483 1.823 4.120 1.259 4.299 4.783
[3,] 9.615 9.061 9.925 5.586 4.685 5.164 2.005 4.499 1.425 4.782 5.342
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.360 1.301 3.147 4.177 4.643 2.429 3.843 3.968 1.421 2.720 2.487
[2,] 2.853 1.517 3.777 5.127 5.403 2.993 5.667 4.672 1.678 3.817 3.622
[3,] 3.215 1.646 4.159 5.760 6.080 3.339 6.591 4.928 1.957 5.228 4.603
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.487 1.564 3.728 0.7097 2.143 0.9788 2.395 2.839 2.857 4.241 1.332
[2,] 3.427 2.997 4.364 0.8150 3.371 1.1758 2.787 3.313 3.767 5.118 1.583
[3,] 4.175 3.957 4.692 0.8951 4.388 1.3454 3.260 3.643 4.254 5.566 1.708
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.843 3.164 3.319 1.309 4.252 3.063 4.229 4.032 4.899 4.283 3.540
[2,] 9.798 3.905 5.029 1.561 4.918 4.638 5.284 5.775 5.758 5.762 4.782
[3,] 10.875 4.347 5.829 1.736 5.521 5.196 6.019 6.703 6.443 6.938 6.004
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.246 3.646 2.814 4.098 2.152 2.034 1.625 2.556 2.604 6.440 4.825
[2,] 1.467 5.017 3.265 5.505 2.688 2.586 1.969 3.805 3.386 7.678 5.756
[3,] 1.647 5.917 3.624 6.306 2.987 2.992 2.229 4.271 3.802 8.631 6.330
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.080 2.011 1.999 2.050 2.291 2.417 0.5987 4.747 9.463 7.491
[2,] 2.616 2.897 2.704 2.690 2.868 2.835 0.6889 6.681 14.076 8.830
[3,] 2.900 3.492 3.163 3.272 3.511 3.144 0.7812 8.008 16.568 9.519
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.568 3.551 10.09 9.08 8.858 1.259 2.159 5.178
[2,] 2865.717 1707.792 4753.19 4527.37 4885.846 529.119 911.699 2591.135
[3,] 2486.035 1616.786 3894.86 4137.96 4435.435 522.164 845.315 2630.062
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.102 5.602 3.202 3.86 3.297 3.549 5.725
[2,] 3579.254 4124.878 2518.290 3378.36 1897.120 3016.154 3427.030
[3,] 3043.085 2906.733 1896.341 2194.14 1453.914 3089.341 3017.151
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.594 4.899 6.262 8.315 6.392 11.66 3.516
[2,] 2906.337 3344.176 3918.038 4456.494 3093.982 5157.95 1339.264
[3,] 2528.625 3201.357 3388.404 3961.292 2918.826 5166.31 1389.552
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 16.79 9.482 0.639 8.881 8.756 1.17 9.252 0.6685
[2,] 10906.54 5336.100 288.362 4536.853 5220.732 658.19 4321.291 310.2550
[3,] 9109.84 3568.732 266.425 4963.930 4996.451 524.66 4483.658 326.7199
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 8.737 1.85 1.438 9.481 8.505 9.161 5.517 4.004
[2,] 4918.902 968.13 732.461 4352.136 4742.724 5507.323 2473.622 2654.229
[3,] 4531.263 825.79 583.658 4246.474 3876.409 4058.027 2510.690 2246.414
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.762 1.955 4.519 1.291 4.562 5.004 2.997 1.652
[2,] 2466.235 980.172 2083.816 745.204 2369.538 2719.658 1609.593 783.102
[3,] 2571.762 837.779 1813.845 670.585 2102.109 2389.199 1485.976 640.193
[,47] [,48] [,49] [,50] [,51] [,52] [,53]
[1,] 3.997 5.305 5.896 3.085 4.88 5.039 1.805
[2,] 2094.653 2983.278 2772.362 1754.385 4180.06 2475.606 894.614
[3,] 1748.661 2634.525 2797.379 1485.224 3377.89 1572.617 1010.640
[,54] [,55] [,56] [,57] [,58] [,59] [,60]
[1,] 3.453 3.158 3.158 1.986 4.734 0.9012 2.721
[2,] 2688.445 2643.303 2366.680 2565.971 2277.143 402.0699 2611.521
[3,] 3585.146 2851.145 2392.901 2592.880 1728.748 371.4650 2820.134
[,61] [,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 1.243 3.042 3.605 3.627 5.385 1.691 9.96 4.018
[2,] 653.849 1430.842 1713.752 2464.784 2876.665 858.160 5893.90 2297.451
[3,] 656.438 1696.419 1521.989 1982.643 2194.158 644.900 4736.21 1916.405
[,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76]
[1,] 4.214 1.662 5.399 3.89 5.371 5.12 6.221 5.439
[2,] 3791.691 854.086 2479.396 3494.94 3179.902 4149.37 3036.907 3867.616
[3,] 2957.925 761.152 2518.442 2351.48 2892.922 3414.75 2901.016 3879.507
[,77] [,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 4.495 1.582 4.63 3.573 5.204 2.732 2.582 2.064
[2,] 3226.626 778.409 3459.16 1661.976 3689.513 1615.980 1603.924 1116.748
[3,] 3644.256 750.161 3148.21 1579.744 3086.389 1308.531 1510.518 1047.646
[,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 3.246 3.306 8.177 6.127 2.642 2.553 2.538
[2,] 2828.590 2172.439 4196.778 3148.931 1591.148 2093.570 1828.249
[3,] 1946.520 1735.106 3956.742 2644.104 1256.734 1956.925 1646.100
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.604 2.91 3.069 0.7603 6.028 12.02 9.512
[2,] 1748.283 1730.87 1486.716 341.9625 4717.990 10458.91 4691.035
[3,] 1869.642 2032.51 1365.200 369.7168 4431.393 8770.29 3571.114
[1] "--- VAR model 2017-10-07 13:31:00 completed"
[1] "Completed training sample: 2017-10-07 13:31:00 - 2017-10-07 21:30:00"
[1] "SpVAR; training sample: 2017-10-07 14:01:00 - 2017-10-07 22:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 14:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
6.352 5.539 -28.56 -36.57
1.210 -6.865 -36.69 -60.31
5.871 8.364 -41.97 -52.45
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-57.85 -2.1327 -1.698 15.2157
-36.59 0.2621 1.040 0.9578
-49.35 -0.4330 -1.304 -9.1979
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
-14.22 -18.398 2.499 -24.883
25.42 21.914 5.867 -6.670
-10.04 -6.419 9.821 -9.173
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.722 -7.187 -8.102 -2.137
-2.077 -6.543 -1.245 10.460
9.501 -6.562 -2.454 10.152
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
2.407 0.4377 0.1044 22.74
-5.262 -8.2443 -6.1155 18.79
1.520 -0.9410 -9.4160 16.88
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-35.29 -16.703 -145.20 -51.74
-28.16 -1.065 -57.34 -41.67
-44.50 -2.554 -89.13 -40.66
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-3.835 -52.19 -57.40 -11.498
-4.128 -40.04 -63.37 -10.838
-4.309 -16.12 -35.89 -8.156
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-35.64 -5.508 -51.69 -21.67
-51.79 -3.985 -40.54 -20.05
-55.18 -4.548 -59.99 -19.32
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-12.025 -58.64 -47.81 -43.34
-11.304 -37.05 -52.89 -49.39
-8.901 -63.41 -45.74 -43.87
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-5.148 -1.804 0.1989 -0.2564
3.894 8.127 -4.9307 1.4821
-1.952 5.234 4.7833 3.6738
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
2.5060 -1.6445 -27.64 -25.91
6.7654 -1.8450 -35.63 -49.15
0.4441 0.3987 -29.40 -44.37
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
5.930 -1.7084 -38.53 5.732
4.795 -0.2736 -18.39 1.310
2.532 -3.0737 -27.58 12.363
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
21.8584 -2.8525 -17.15 -0.1879
-0.7163 0.5031 -10.03 16.7448
16.5628 -8.1388 -19.03 13.3252
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.557 -8.033 -12.3433 -15.895
-1.209 -16.646 -12.0123 -7.469
-1.977 -4.923 0.7715 -10.334
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.004 8.240 0.05046 1.361
-12.451 -3.829 -0.37246 -9.391
-10.689 3.374 -1.05361 -8.402
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-1.502 1.039 7.180 8.5020
-1.068 -3.081 6.492 5.9605
-1.526 -7.372 5.849 -0.8097
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
14.6753 1.823 10.159 -0.2579
0.4615 1.774 12.273 4.6368
5.2673 2.867 -1.795 -12.3055
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
11.540 2.1100 5.25825 1.394
6.242 3.7311 6.87769 1.006
-4.023 0.4059 0.01664 -0.758
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
2.241 -8.5234 24.48 11.337
-3.532 6.0253 15.27 17.490
-7.326 -0.4341 23.15 5.605
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
19.110 1.6510 21.65 -1.5386
5.031 3.1261 14.76 -0.7897
9.915 0.2554 17.63 -1.0773
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.679 6.005 -3.1261 1.873
10.751 -3.212 0.1547 -3.844
14.898 2.706 -1.4367 5.561
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-1.4924 -1.4697 -3.082 -20.300
12.2662 0.7275 -4.980 -2.315
-0.3727 3.9663 11.216 -8.402
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
10.564 7.964 2.776 6.574
5.662 4.791 9.563 9.160
7.321 8.780 7.669 4.743
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
2.977 -4.061 -5.861 113.5
3.116 1.337 -7.373 128.2
-9.215 4.319 -7.453 133.7
rnd_95776.volume rnd_95787.volume
-25.68 -40.08
-48.36 -35.70
-22.68 -36.96
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.673 2.797 7.723 6.944 6.888 1.018 1.744 3.920 4.592 4.332 2.509
[2,] 4.683 3.260 9.051 8.232 8.229 1.160 1.985 4.626 5.918 5.945 3.480
[3,] 5.240 3.624 9.756 9.294 9.226 1.261 2.155 5.255 6.729 6.602 3.969
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.055 2.548 2.685 4.272 3.667 4.016 5.001 6.618 4.775 9.848 2.779
[2,] 4.489 3.285 3.960 5.457 4.523 5.285 6.288 7.824 5.669 11.007 3.105
[3,] 5.057 3.611 4.874 6.150 5.131 6.193 7.064 8.668 6.364 12.189 3.402
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 13.15 7.352 0.4745 7.174 6.679 0.9079 7.112 0.5217 6.202 1.428 1.080
[2,] 16.85 8.906 0.5586 8.413 8.458 1.1061 8.281 0.5988 8.011 1.697 1.317
[3,] 19.26 9.556 0.6130 9.692 9.772 1.2353 9.361 0.6689 9.227 1.879 1.447
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.922 6.605 7.135 4.303 3.198 3.660 1.491 3.415 1.008 3.531 3.884
[2,] 8.235 7.964 8.953 4.867 4.295 4.344 1.799 3.919 1.244 4.196 4.660
[3,] 9.121 8.848 9.786 5.395 4.757 5.006 2.000 4.271 1.397 4.702 5.230
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.357 1.284 3.03 4.174 4.369 2.464 3.917 3.952 1.402 2.801 2.460
[2,] 2.864 1.516 3.71 5.130 5.250 3.074 5.623 4.597 1.679 3.943 3.748
[3,] 3.206 1.656 4.08 5.690 5.937 3.395 6.585 4.890 1.958 5.343 4.691
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.418 1.559 3.694 0.6890 2.195 0.9852 2.354 2.922 2.807 4.250 1.371
[2,] 3.471 2.963 4.277 0.7977 3.544 1.1623 2.772 3.393 3.649 5.056 1.607
[3,] 4.269 4.087 4.613 0.8734 4.536 1.2903 3.247 3.744 4.202 5.549 1.719
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.443 3.287 3.474 1.330 4.242 3.171 4.023 3.759 4.920 4.203 3.390
[2,] 9.476 4.012 5.194 1.554 4.900 4.624 5.086 5.657 5.731 5.799 4.636
[3,] 10.336 4.342 5.859 1.716 5.456 5.156 5.754 6.532 6.471 6.893 5.852
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.235 3.589 2.864 3.956 2.147 1.990 1.576 2.416 2.772 6.201 4.673
[2,] 1.428 4.927 3.265 5.299 2.655 2.586 1.915 3.854 3.496 7.497 5.553
[3,] 1.608 5.893 3.590 6.025 2.954 2.953 2.159 4.287 3.813 8.449 6.252
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.014 2.007 2.105 2.221 2.339 2.333 0.5928 4.933 9.161 7.494
[2,] 2.540 2.937 2.794 2.846 2.920 2.765 0.6781 6.676 13.939 8.879
[3,] 2.877 3.543 3.247 3.384 3.470 3.022 0.7599 8.078 16.652 9.563
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.665 3.552 9.807 8.818 8.747 1.293 2.215 4.978
[2,] 2980.749 1718.713 4843.927 4535.994 4620.834 570.367 972.143 2521.112
[3,] 2413.442 1623.288 3735.919 4428.909 4280.372 508.078 859.592 2558.204
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.831 5.501 3.186 3.88 3.236 3.409 5.425
[2,] 3830.898 4178.346 2474.877 3374.38 2126.820 2987.651 3484.356
[3,] 3285.787 2946.453 1957.308 2390.92 1539.060 2915.612 2909.866
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.656 5.1 6.351 8.404 6.063 12.51 3.529 16.69
[2,] 2717.385 3524.9 3911.517 4281.947 3136.428 5045.91 1420.154 10825.00
[3,] 2486.788 3313.7 3303.911 3827.703 2968.687 5372.10 1428.323 9556.25
[,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 9.336 0.6025 9.109 8.481 1.153 9.032 0.6625
[2,] 5157.003 302.5028 4510.780 5325.821 648.398 4353.008 301.5946
[3,] 3556.431 259.0203 4937.122 5021.919 564.265 4478.089 305.9573
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 7.875 1.813 1.372 8.79 8.388 9.06 5.465 4.061
[2,] 5203.306 941.831 772.780 4578.33 4566.150 5550.96 2332.123 2942.151
[3,] 4699.314 827.602 615.639 4023.31 3956.564 4052.70 2388.346 2098.425
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.648 1.894 4.336 1.28 4.484 4.932 2.992 1.63
[2,] 2400.343 1032.590 1973.703 746.90 2325.487 2641.770 1669.423 827.69
[3,] 2552.351 895.748 1742.389 653.32 2179.094 2438.037 1480.331 683.52
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.848 5.3 5.547 3.13 4.974 5.019 1.78 3.557
[2,] 2196.101 3061.1 2987.516 1886.05 4140.511 2408.490 947.94 2847.437
[3,] 1742.156 2526.6 2846.107 1478.60 3515.478 1711.110 1032.88 3700.332
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.124 3.07 1.98 4.691 0.8749 2.788 1.251 2.989
[2,] 2902.344 2555.11 2585.22 2212.461 412.4311 2854.454 632.809 1502.302
[3,] 2894.543 2550.19 2888.43 1774.835 364.9603 2906.284 574.984 1735.307
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.711 3.565 5.397 1.741 9.452 4.174 4.411 1.688
[2,] 1768.733 2392.177 2810.068 860.166 6017.652 2360.756 3963.162 826.028
[3,] 1624.788 2138.718 2346.741 627.081 4235.319 1704.794 2780.921 745.978
[,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 5.387 4.026 5.108 4.774 6.247 5.337 4.304
[2,] 2516.300 3453.060 3194.106 4337.090 3017.245 4100.198 3245.672
[3,] 2462.258 2341.752 2760.045 3351.811 3083.392 3824.318 3664.913
[,78] [,79] [,80] [,81] [,82] [,83] [,84]
[1,] 1.568 4.557 3.637 5.023 2.726 2.527 2.001
[2,] 735.355 3463.868 1608.508 3617.510 1602.739 1694.901 1115.650
[3,] 759.819 3317.397 1532.143 2942.806 1328.629 1461.818 1024.798
[,85] [,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.068 3.52 7.875 5.934 2.557 2.549 2.673 2.82
[2,] 3080.994 2185.05 4323.193 3078.288 1588.999 2201.000 1884.934 1825.85
[3,] 1926.625 1563.09 3997.907 2948.912 1386.174 2032.762 1697.863 1879.64
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.97 2.962 0.7528 6.264 11.63 9.516
[2,] 1793.41 1522.517 337.7717 4616.454 10780.66 4887.673
[3,] 1925.14 1252.041 352.0185 4666.634 9348.69 3643.800
[1] "--- VAR model 2017-10-07 14:01:00 completed"
[1] "Completed training sample: 2017-10-07 14:01:00 - 2017-10-07 22:00:00"
[1] "SpVAR; training sample: 2017-10-07 14:31:00 - 2017-10-07 22:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 14:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-0.8398 5.6446 -31.70 -58.33
-7.0187 -2.5590 -42.35 -45.50
3.9464 0.5432 -32.65 -37.89
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-49.76 1.2502 0.6608 -9.772
-38.34 1.4121 0.7419 1.689
-44.88 0.8038 4.7059 -4.868
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
9.060 10.6456 3.596 -17.04
-5.534 -10.2125 7.203 -9.24
-3.487 -0.7223 2.978 -12.32
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
-8.873 -14.391 -10.700 11.329
5.328 -5.712 8.016 11.644
3.244 -3.813 -6.942 5.122
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
-3.977 7.396 7.452 9.702
-1.353 7.070 -1.882 7.687
10.094 1.558 -6.283 18.799
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-16.18 -2.591 -92.86 -53.14
-50.72 -2.859 -80.76 -54.11
-43.52 -2.133 -94.08 -40.79
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-4.456 -39.84 -28.73 -9.272
-4.024 -58.74 -57.32 -8.590
-3.308 -35.46 -37.85 -9.771
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-64.65 -4.218 -43.83 -14.33
-43.33 -3.648 -47.71 -15.96
-34.29 -4.858 -49.68 -18.91
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-9.854 -29.37 -48.32 -56.98
-12.176 -28.72 -44.22 -27.01
-11.593 -38.19 -39.71 -34.51
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
3.953 1.5444 6.213 3.723
4.762 1.5840 4.525 2.051
3.075 0.5945 -1.914 1.899
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
-3.176 2.4641 -28.36 -32.15
-10.120 1.8524 -27.48 -34.26
1.505 -0.8407 -23.65 -28.86
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
3.269 -0.2796 -15.02 12.07
2.261 -1.8872 -17.06 -4.16
1.213 -3.2939 -22.05 13.42
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
21.88 2.5010 -16.149 14.410
-8.33 0.7482 -2.293 4.794
16.66 -6.0404 -12.786 4.466
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-3.74287 -2.040 -13.538 -10.957
2.57085 -10.389 -10.077 -7.776
0.05171 -7.364 -2.619 -6.839
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
4.311 -18.226 -1.5301 3.067
-11.563 -1.181 -0.2370 -14.858
-11.496 -4.524 0.1509 -12.735
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-3.8675 -4.402 -2.93258 -1.583
-0.3724 3.523 4.67972 -5.836
-0.4277 -6.247 0.06115 2.202
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-4.123 4.0074 -6.965 -4.206
-2.713 1.0227 -4.604 -4.332
-2.152 -0.4007 7.251 2.453
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-4.092 0.315 -10.734 -6.136
-10.737 -1.557 3.591 -1.983
2.322 -1.149 -2.051 2.543
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
17.048 14.013 27.12 12.752
-9.114 -5.493 25.68 19.347
-9.283 -9.535 15.58 -1.438
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
11.67 -1.2556 14.448 -9.146
21.93 -2.2111 7.098 1.361
5.27 -0.7164 24.477 -3.107
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
20.65 2.259 6.6907 -2.389
13.51 4.397 -2.7206 -1.525
11.73 -4.725 0.9245 2.123
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
-0.8725 11.199 3.587 -19.235
9.2023 4.535 -3.949 -2.403
0.2554 -2.310 -2.216 -11.325
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
0.2175 6.909 6.091 5.069
9.1281 2.692 2.768 5.279
2.6563 4.264 -1.974 -4.468
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
4.420 7.2378 -7.505 103.1
-3.925 -0.6233 -5.670 110.6
-2.485 -0.8404 -7.716 122.9
rnd_95776.volume rnd_95787.volume
6.731 -49.24
-25.888 -51.71
-23.880 -32.91
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.577 2.868 7.296 6.571 7.016 1.022 1.767 3.917 4.797 4.100 2.580
[2,] 4.604 3.313 8.523 7.923 8.389 1.155 2.009 4.597 6.024 5.713 3.536
[3,] 5.199 3.689 9.160 9.055 9.271 1.243 2.187 5.288 6.773 6.328 3.970
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 3.081 2.492 2.767 4.652 3.677 3.933 4.931 6.598 4.612 9.334 2.877
[2,] 4.432 3.391 4.070 5.686 4.448 5.375 6.260 7.798 5.658 10.556 3.276
[3,] 4.920 3.672 4.972 6.552 5.088 6.166 7.126 8.734 6.423 11.650 3.651
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.45 7.087 0.4378 6.657 6.763 0.9189 7.134 0.5013 6.068 1.373 1.074
[2,] 16.21 8.497 0.5407 7.982 8.574 1.0867 8.347 0.5759 7.982 1.647 1.280
[3,] 18.26 9.262 0.5995 9.349 9.739 1.2071 9.400 0.6520 9.004 1.827 1.413
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.661 6.672 6.998 4.231 3.179 3.476 1.466 3.321 0.9539 3.300 3.879
[2,] 7.960 8.018 8.918 4.789 4.289 4.117 1.769 3.770 1.1982 4.107 4.661
[3,] 8.843 8.834 9.704 5.233 4.736 4.680 1.951 4.179 1.3582 4.621 5.067
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.381 1.261 2.952 4.319 4.364 2.463 3.770 3.737 1.425 2.971 2.442
[2,] 2.918 1.507 3.621 5.213 5.300 3.090 5.724 4.340 1.685 4.116 3.732
[3,] 3.320 1.634 4.017 5.791 6.044 3.405 6.572 4.751 1.944 5.388 4.716
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.289 1.541 3.506 0.6491 2.174 0.9263 2.309 2.863 2.758 4.183 1.321
[2,] 3.388 2.973 4.076 0.7631 3.389 1.1069 2.690 3.322 3.670 4.952 1.553
[3,] 4.202 4.073 4.458 0.8389 4.383 1.2403 3.195 3.690 4.112 5.387 1.671
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.334 3.244 3.395 1.301 4.163 3.005 3.858 3.622 4.840 4.176 3.449
[2,] 9.285 3.926 5.170 1.533 4.841 4.516 4.899 5.429 5.714 5.762 4.629
[3,] 10.169 4.251 5.835 1.679 5.437 5.071 5.606 6.327 6.343 7.014 5.788
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.276 3.455 2.898 3.889 2.154 1.923 1.522 2.403 2.813 5.955 4.665
[2,] 1.447 4.895 3.233 5.329 2.606 2.547 1.852 3.893 3.489 7.022 5.649
[3,] 1.617 5.906 3.581 6.213 2.933 2.962 2.087 4.292 3.873 8.175 6.353
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.109 2.016 2.295 2.336 2.418 2.229 0.5979 5.594 8.832 7.315
[2,] 2.761 3.076 2.937 2.953 2.968 2.604 0.6671 7.639 13.792 8.570
[3,] 3.157 3.666 3.383 3.472 3.488 2.913 0.7356 9.317 16.580 9.253
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.542 3.642 9.264 8.344 8.909 1.298 2.244 4.974
[2,] 2839.067 1623.538 4314.692 4335.249 4503.451 527.016 935.607 2355.408
[3,] 2364.450 1589.795 3286.517 4291.923 3863.506 450.435 846.123 2558.807
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.091 5.206 3.277 3.913 3.164 3.514 5.907
[2,] 3568.435 3896.307 2366.420 3119.582 2251.900 2922.892 3201.945
[3,] 3030.298 2664.432 1767.378 2091.968 1379.974 2795.853 3187.033
[,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 4.669 4.994 6.261 8.378 5.856 11.85 3.653
[2,] 2449.867 3587.537 3775.829 4069.913 3210.056 4827.96 1534.919
[3,] 2420.356 2957.135 3335.369 3852.146 2975.272 4825.68 1577.751
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
[1,] 15.81 8.999 0.556 8.453 8.587 1.167 9.059 0.6366
[2,] 10170.14 4590.900 310.715 4312.387 5160.845 568.008 4243.223 277.4972
[3,] 8213.43 3609.015 253.370 4765.644 4522.251 514.487 4232.458 299.3969
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38]
[1,] 7.705 1.744 1.364 8.458 8.472 8.887 5.373 4.036
[2,] 5077.941 889.940 681.789 4267.968 4353.840 5412.124 2195.843 2818.754
[3,] 4078.449 774.315 585.843 3770.779 3632.686 3746.836 2066.278 1967.456
[,39] [,40] [,41] [,42] [,43] [,44] [,45] [,46]
[1,] 4.414 1.862 4.217 1.211 4.19 4.925 3.023 1.602
[2,] 2159.471 968.666 1747.355 710.030 2394.66 2530.706 1652.612 808.147
[3,] 2179.145 805.895 1764.360 626.184 2073.84 1945.485 1549.687 616.771
[,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 3.749 5.485 5.541 3.128 4.787 4.745 1.81 3.773
[2,] 2053.237 2858.335 2945.201 1827.777 4217.153 2160.321 879.65 2788.164
[3,] 1702.210 2469.128 2845.301 1400.047 3161.829 1894.023 949.25 3404.745
[,55] [,56] [,57] [,58] [,59] [,60] [,61] [,62]
[1,] 3.101 2.907 1.957 4.452 0.8242 2.76 1.176 2.932
[2,] 2763.507 2445.740 2489.873 2036.353 393.0090 2545.47 593.317 1351.245
[3,] 2823.023 2434.026 2725.764 1767.942 341.2135 2721.13 547.983 1688.970
[,63] [,64] [,65] [,66] [,67] [,68] [,69] [,70]
[1,] 3.636 3.502 5.312 1.677 9.314 4.119 4.311 1.652
[2,] 1649.378 2371.111 2595.712 799.049 5575.082 2165.842 3818.567 794.388
[3,] 1573.852 1816.273 2075.655 604.856 4060.870 1595.657 2647.545 669.131
[,71] [,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 5.287 3.816 4.899 4.599 6.146 5.303 4.38 1.62
[2,] 2417.917 3301.217 2956.321 3960.133 2974.621 3887.698 3023.43 668.28
[3,] 2423.246 2257.159 2668.416 3180.477 2696.035 3915.243 3401.58 707.46
[,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.388 3.68 4.938 2.736 2.442 1.933 3.051
[2,] 3394.405 1403.87 3567.181 1436.531 1635.360 1032.409 2999.663
[3,] 3236.026 1508.46 3127.462 1315.912 1479.757 941.774 1768.225
[,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.572 7.562 5.924 2.678 2.56 2.914 2.967
[2,] 2021.167 3642.758 3118.914 1745.446 2274.66 1794.123 1768.013
[3,] 1646.255 4098.280 2845.612 1497.318 1953.10 1644.661 1787.518
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.071 2.831 0.7592 7.104 11.21 9.289
[2,] 1684.742 1317.446 289.7619 5092.947 10372.22 4372.460
[3,] 1793.221 1279.760 303.4571 5222.794 9009.65 3416.450
[1] "--- VAR model 2017-10-07 14:31:00 completed"
[1] "Completed training sample: 2017-10-07 14:31:00 - 2017-10-07 22:30:00"
[1] "SpVAR; training sample: 2017-10-07 15:01:00 - 2017-10-07 23:00:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 15:01:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-3.884 3.0085 -35.20 -54.21
2.740 0.6041 -39.19 -37.24
1.866 -5.5061 -52.28 -51.75
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-45.68 1.2691 3.3198 -5.571
-42.08 -0.9182 2.6181 4.678
-28.31 1.2341 0.4715 -3.476
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
2.4825 -12.4394 -9.522 -10.76
-0.5782 1.3478 7.217 -15.79
-7.8322 -0.3794 2.988 -12.10
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
2.5234 9.688 8.850 3.384
7.3781 -3.005 -1.771 4.591
0.9583 -5.191 4.745 8.262
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
16.888 21.528 7.283 20.97
4.267 6.844 13.343 20.68
5.815 7.605 12.711 23.50
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-55.55 -9.0154 -95.53 -26.44
-53.65 -7.4613 -79.28 -47.44
-37.88 -0.4835 -92.70 -50.15
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-2.394 -58.68 -48.71 -4.662
-3.354 -48.06 -44.60 -10.534
-3.143 -39.52 -50.34 -7.313
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-58.06 -4.060 -42.69 -20.09
-49.84 -3.830 -38.44 -18.73
-39.36 -3.387 -26.31 -15.13
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-11.60 -46.41 -44.17 -35.90
-12.05 -27.66 -48.68 -51.40
-10.27 -36.38 -29.23 -27.52
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
0.9406 -0.2680 1.2607 0.2702
-3.7338 -0.8992 8.8804 -0.0794
2.2436 0.4230 -0.2519 2.1114
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
0.2231 3.1603 -31.15 -29.53
-1.3548 -0.6316 -26.76 -36.04
-4.7028 0.7299 -30.56 -29.38
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
4.4519 -1.589 -8.009 13.036
5.5599 -3.895 -16.525 11.210
-0.1388 -2.639 -17.914 2.854
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
11.25 1.597 -19.974 -6.655
-11.75 -2.704 7.463 4.866
16.49 0.845 -12.740 9.070
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-0.5518 -8.955 -9.349 -19.853
0.1918 -13.446 -17.510 -5.505
-1.2415 1.238 3.645 -2.133
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-8.187 1.269 -0.6230 -1.060
-12.588 1.236 0.6178 -15.185
-17.763 4.706 -0.3503 -7.113
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
-2.2141 0.6959 4.477 -0.04336
1.9645 -1.7258 4.284 5.02210
-0.9971 -10.8432 -1.871 -8.03908
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
1.391 -2.102 1.941 7.687
4.002 1.599 -9.535 3.401
-10.431 0.786 -5.669 1.942
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
-0.2798 -0.89662 0.510 8.229
7.5068 -0.04609 -5.257 1.493
-6.2111 1.31056 -2.537 1.802
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
0.3221 -0.2260 22.44 12.765
-0.2935 0.3489 25.96 15.681
-0.5089 2.5354 17.16 8.937
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
10.68 -4.223 13.98 -6.7762
17.16 3.318 12.61 -0.3349
17.75 3.086 13.89 -1.1322
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
8.828 -0.04705 -4.043 0.2342
12.922 -0.79224 -7.762 -0.9686
12.413 2.81244 2.098 -1.2506
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
1.042 3.065 0.1720 -4.530
2.131 4.926 -11.6109 2.069
-4.148 -3.331 0.9652 1.174
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
1.5341 -0.2585 2.290 2.652
1.8801 0.6727 3.310 2.864
-0.1395 6.4894 1.298 4.304
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
1.267 0.7698 -6.821 123.3
-5.037 -5.7612 -6.897 128.5
-2.099 -0.6422 -5.219 133.1
rnd_95776.volume rnd_95787.volume
-4.571 -29.35
-39.568 -52.73
39.814 -40.44
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.586 2.704 7.355 6.586 6.848 0.9812 1.647 4.001 4.825 3.860 2.533
[2,] 4.571 3.156 8.351 7.871 8.200 1.1532 1.913 4.630 5.901 5.587 3.486
[3,] 5.086 3.498 8.930 8.860 9.096 1.2446 2.118 5.249 6.647 6.150 3.855
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.921 2.492 2.761 5.143 3.847 3.697 4.954 6.509 4.492 9.265 2.833
[2,] 4.391 3.195 3.938 6.314 4.514 5.064 6.229 7.689 5.677 10.505 3.235
[3,] 4.872 3.439 4.955 7.224 5.159 6.145 7.008 8.670 6.492 11.520 3.606
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 12.32 6.926 0.4302 6.116 6.296 0.8152 7.001 0.4783 5.771 1.317 0.9894
[2,] 16.07 8.137 0.5222 7.648 8.269 0.9877 8.267 0.5516 7.486 1.614 1.2016
[3,] 17.98 8.850 0.5843 8.994 9.535 1.1222 9.311 0.6175 8.539 1.784 1.3240
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 6.139 6.463 6.911 3.871 3.011 3.474 1.358 3.137 1.015 3.267 3.599
[2,] 7.529 7.814 8.635 4.591 4.186 4.052 1.674 3.600 1.208 3.989 4.424
[3,] 8.506 8.710 9.371 5.058 4.617 4.570 1.868 3.969 1.378 4.482 4.903
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.374 1.294 2.937 4.310 4.551 2.454 3.533 3.763 1.440 2.995 2.332
[2,] 2.960 1.544 3.598 5.245 5.284 3.036 5.448 4.372 1.706 4.175 3.648
[3,] 3.380 1.668 3.943 5.811 6.115 3.418 6.288 4.808 1.931 5.408 4.617
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.121 1.422 3.456 0.6474 2.218 0.9042 2.266 2.933 2.744 4.092 1.287
[2,] 3.208 2.813 3.909 0.7539 3.404 1.0850 2.669 3.365 3.629 4.810 1.530
[3,] 4.062 3.969 4.323 0.8268 4.361 1.2011 3.120 3.696 4.110 5.283 1.641
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 7.461 3.287 3.447 1.270 4.073 2.976 3.773 3.542 5.029 4.324 3.442
[2,] 9.100 3.870 5.129 1.542 4.706 4.498 4.666 5.289 5.858 5.842 4.811
[3,] 9.810 4.166 5.770 1.695 5.191 4.970 5.313 6.121 6.480 6.968 5.914
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.197 3.503 2.751 3.720 2.110 1.834 1.442 2.347 2.690 5.915 4.989
[2,] 1.392 4.969 3.131 5.150 2.505 2.435 1.751 3.782 3.332 6.859 5.905
[3,] 1.531 5.945 3.491 6.142 2.850 2.810 1.952 4.204 3.732 7.851 6.670
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.999 2.060 2.413 2.435 2.351 2.175 0.5956 5.678 8.84 6.661
[2,] 2.740 3.127 2.968 2.985 2.927 2.538 0.6792 7.718 13.95 8.080
[3,] 3.143 3.654 3.426 3.542 3.388 2.784 0.7507 9.476 16.73 8.744
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.553 3.434 9.34 8.364 8.696 1.246 2.092 5.081
[2,] 2735.570 1570.393 3816.37 4159.076 4353.795 584.715 938.832 2247.544
[3,] 2152.631 1455.980 3054.38 3926.759 3798.582 451.805 877.716 2387.318
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 6.127 4.902 3.217 3.71 3.165 3.506 6.531
[2,] 3279.019 3899.111 2311.517 3163.50 1929.337 2709.467 3535.407
[3,] 2953.844 2480.108 1587.063 2037.83 1227.826 2903.600 3386.701
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.885 4.694 6.29 8.266 5.704 11.77 3.597 15.65
[2,] 2279.380 3339.889 3644.41 3948.903 3350.942 4779.03 1506.946 9948.35
[3,] 2411.162 3360.028 3098.86 3868.282 3040.282 4561.75 1538.685 7791.73
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 8.796 0.5463 7.767 7.994 1.035 8.89 0.6074 7.328
[2,] 4120.642 285.7613 4431.846 5174.447 538.293 4242.93 265.0776 4602.165
[3,] 3360.308 252.9427 4566.913 4583.107 514.223 4134.82 267.9054 3965.522
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.673 1.256 7.796 8.207 8.776 4.916 3.823 4.412
[2,] 899.876 658.028 4206.635 4239.324 4996.228 2381.926 2807.089 2013.220
[3,] 734.022 536.756 3820.141 3712.643 3515.290 2048.085 1880.886 2039.414
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.725 3.983 1.289 4.148 4.57 3.015 1.644 3.73
[2,] 944.975 1704.058 632.824 2209.057 2483.06 1705.907 812.887 2006.69
[3,] 800.602 1613.115 639.174 1973.622 2040.49 1576.145 609.354 1556.84
[,48] [,49] [,50] [,51] [,52] [,53] [,54]
[1,] 5.473 5.779 3.116 4.486 4.778 1.828 3.803
[2,] 2885.466 2591.358 1725.503 4003.396 2149.206 884.007 2806.903
[3,] 2414.572 2971.688 1515.240 3028.974 1930.727 872.499 3318.328
[,55] [,56] [,57] [,58] [,59] [,60] [,61]
[1,] 2.961 2.694 1.806 4.389 0.8221 2.816 1.148
[2,] 2707.899 2322.706 2342.408 1763.469 372.7730 2493.089 578.781
[3,] 2730.209 2404.292 2702.506 1782.192 327.7240 2630.609 497.188
[,62] [,63] [,64] [,65] [,66] [,67] [,68]
[1,] 2.878 3.724 3.484 5.196 1.634 9.474 4.174
[2,] 1360.783 1592.691 2292.934 2440.267 799.785 5029.067 1970.920
[3,] 1558.590 1475.262 1862.103 2107.988 572.580 3536.462 1489.187
[,69] [,70] [,71] [,72] [,73] [,74] [,75]
[1,] 4.377 1.613 5.173 3.779 4.791 4.498 6.386
[2,] 3665.860 843.421 2273.889 3255.798 2649.313 3791.326 2899.468
[3,] 2550.795 679.255 2116.205 2039.305 2453.590 2973.222 2672.829
[,76] [,77] [,78] [,79] [,80] [,81] [,82] [,83]
[1,] 5.491 4.37 1.519 4.448 3.494 4.723 2.679 2.329
[2,] 3791.054 3244.87 685.899 3401.818 1441.815 3438.385 1303.846 1545.826
[3,] 3665.643 3319.30 616.460 3150.256 1491.150 3229.834 1310.759 1354.069
[,84] [,85] [,86] [,87] [,88] [,89] [,90] [,91]
[1,] 1.831 2.98 3.416 7.511 6.335 2.538 2.616 3.065
[2,] 958.271 2862.14 1897.637 3352.308 3049.426 1809.661 2271.086 1667.754
[3,] 834.528 1771.29 1623.263 3685.956 2994.077 1486.094 1824.136 1651.986
[,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 3.093 2.985 2.761 0.7563 7.21 11.23 8.458
[2,] 1666.375 1682.596 1262.315 315.1610 5046.19 10412.61 4414.445
[3,] 1840.547 1647.016 1105.128 308.6061 5306.47 8918.20 3226.959
[1] "--- VAR model 2017-10-07 15:01:00 completed"
[1] "Completed training sample: 2017-10-07 15:01:00 - 2017-10-07 23:00:00"
[1] "SpVAR; training sample: 2017-10-07 15:31:00 - 2017-10-07 23:30:00"
[1] "Estimating VAR model, arLags= 3 , starting from 2017-10-07 15:31:00 , n= 480"
[1] "OK"
orig 480
Forecasts at origin: 480
rnd_1368.volume rnd_1371.volume rnd_172.volume rnd_173.volume
-4.928 2.8581 -39.15 -42.26
1.745 -0.7386 -41.97 -30.62
-1.320 6.0452 -29.35 -30.66
rnd_174.volume rnd_301.volume rnd_85567.volume rnd_85573.volume
-31.39 1.196 3.6897 4.250
-35.24 1.841 -0.3695 -11.118
-48.08 1.058 1.4315 -2.651
rnd_85577.volume rnd_85579.volume rnd_85581.volume rnd_85583.volume
1.630 1.325 7.827 -8.996
-1.823 4.841 3.829 -6.817
-6.692 -16.233 -2.132 -10.432
rnd_85585.volume rnd_85587.volume rnd_85589.volume rnd_85591.volume
4.241 0.3428 -7.701 1.590
6.385 -3.5578 5.038 -1.381
6.099 0.4600 5.237 2.435
rnd_85595.volume rnd_85599.volume rnd_85601.volume rnd_85605.volume
0.08848 4.820 8.743 13.38
1.49649 -7.931 1.663 14.03
-3.51910 6.109 6.892 12.02
rnd_86457.volume rnd_86459.volume rnd_86469.volume rnd_86471.volume
-45.49 -3.5167 -64.86 -19.43
-44.22 -3.8509 -80.56 -24.61
-13.06 -0.1334 -74.31 -34.69
rnd_86473.volume rnd_86475.volume rnd_86477.volume rnd_86479.volume
-1.821 -11.38 -35.17 -6.674
-2.480 -35.21 -34.53 -6.553
-2.364 -39.00 -24.45 -6.219
rnd_86483.volume rnd_86485.volume rnd_86487.volume rnd_86489.volume
-25.00 -3.330 -13.59 -12.93
-37.56 -3.381 -37.30 -13.78
-38.19 -3.767 -29.76 -15.49
rnd_86493.volume rnd_86495.volume rnd_86497.volume rnd_86499.volume
-6.407 -25.08 -40.07 -19.36
-6.109 -25.92 -36.50 -29.76
-7.606 -29.10 -38.74 -31.53
rnd_86617.volume rnd_86619.volume rnd_86623.volume rnd_86625.volume
-2.270 2.1852 -3.276 -0.5180
2.373 -11.9800 2.599 0.9646
-4.074 0.5495 4.509 1.2362
rnd_86627.volume rnd_86629.volume rnd_86895.volume rnd_86899.volume
1.3327 0.08227 -23.20 -31.63
-2.2719 1.35208 -18.21 -31.36
0.6549 -1.90635 -21.10 -25.21
rnd_86901.volume rnd_86937.volume rnd_86939.volume rnd_86941.volume
-1.534 -3.0626 -22.61 5.509
7.211 -1.7252 -11.14 12.541
1.413 0.4588 -12.29 1.055
rnd_86945.volume rnd_86947.volume rnd_86949.volume rnd_86951.volume
1.995 -8.244 -4.667 4.820
6.323 -2.741 -7.718 8.847
8.064 -3.400 -6.643 4.279
rnd_86953.volume rnd_86955.volume rnd_86959.volume rnd_86961.volume
-1.4315 -15.241 -13.9665 -9.838
-0.8525 -7.685 -0.8394 -4.713
-0.5223 -3.914 -2.9274 -6.797
rnd_86965.volume rnd_86967.volume rnd_86969.volume rnd_86971.volume
-10.175 -1.851 0.3981 -10.398
-13.549 -3.881 0.3627 -4.058
2.032 2.973 0.5245 -12.149
rnd_86973.volume rnd_86977.volume rnd_86979.volume rnd_87449.volume
2.1893 -8.423 -4.561 -9.610
0.9153 -9.812 4.430 -8.741
-0.6864 -7.020 -1.802 -2.969
rnd_87451.volume rnd_87453.volume rnd_87455.volume rnd_87457.volume
-10.606 3.439 -7.730 -4.239
-2.318 -1.528 -7.462 3.888
-1.272 -1.524 -2.391 5.934
rnd_87459.volume rnd_87461.volume rnd_88305.volume rnd_88311.volume
1.590 -1.265 -1.531 -0.1414
-9.643 -1.145 2.704 0.2907
1.055 2.074 1.593 -3.4907
rnd_88315.volume rnd_88319.volume rnd_88321.volume rnd_88325.volume
-12.166 -8.1448 14.83 -0.3644
1.514 -0.7635 26.63 12.1352
-4.253 -4.7865 20.56 7.6097
rnd_88327.volume rnd_88329.volume rnd_88331.volume rnd_88333.volume
5.823 2.323 4.001 2.870
7.105 4.269 3.795 -2.835
6.650 2.862 9.673 -2.902
rnd_88335.volume rnd_88337.volume rnd_88549.volume rnd_88577.volume
6.573 1.67482 -3.1435 0.84108
5.740 0.80643 2.3634 -0.59641
-6.476 -0.05956 -0.1294 -0.09477
rnd_88579.volume rnd_88599.volume rnd_88631.volume rnd_88931.volume
5.9204 -8.6115 6.2868 -4.8097
-12.9097 2.0483 -0.3533 0.6311
0.6508 0.8683 5.4051 -13.4300
rnd_89113.volume rnd_89275.volume rnd_89277.volume rnd_89279.volume
5.019 7.710 6.252 6.142
5.551 3.712 9.277 10.582
6.640 13.226 5.940 2.807
rnd_93565.volume rnd_95335.volume rnd_95341.volume rnd_95345.volume
-6.675 0.4974 -6.364 105.5
-2.004 -1.0258 -5.060 101.3
-3.509 2.0427 -4.590 107.6
rnd_95776.volume rnd_95787.volume
-22.603 -20.71
-20.103 -17.60
6.065 -30.86
Standard Errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11]
[1,] 3.546 2.654 6.699 6.394 6.370 0.9522 1.604 4.101 4.619 3.972 2.604
[2,] 4.419 3.022 7.848 7.591 7.694 1.1305 1.895 4.613 5.785 5.725 3.532
[3,] 4.928 3.371 8.557 8.601 8.502 1.2300 2.089 5.271 6.564 6.209 3.871
[,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22]
[1,] 2.750 2.422 2.581 5.416 3.591 3.592 4.767 6.050 4.427 8.902 2.866
[2,] 4.361 3.110 3.776 6.537 4.183 4.775 5.941 7.141 5.694 10.193 3.243
[3,] 4.844 3.386 4.790 7.472 4.753 5.741 6.594 8.109 6.287 11.272 3.599
[,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33]
[1,] 11.61 6.481 0.4271 5.810 6.303 0.8410 6.684 0.4472 5.569 1.297 0.9376
[2,] 14.85 7.606 0.5149 7.252 8.148 0.9788 7.819 0.5204 7.376 1.595 1.1318
[3,] 16.73 8.385 0.5780 8.477 9.388 1.0963 8.810 0.5761 8.444 1.765 1.2545
[,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44]
[1,] 5.835 6.287 6.382 3.855 2.973 3.445 1.225 2.873 1.008 3.241 3.372
[2,] 7.193 7.739 8.259 4.476 4.140 3.918 1.536 3.334 1.211 3.909 4.156
[3,] 8.122 8.650 9.015 4.926 4.487 4.353 1.740 3.718 1.360 4.425 4.587
[,45] [,46] [,47] [,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 2.377 1.298 2.847 4.085 4.625 2.465 3.597 3.744 1.414 2.873 2.257
[2,] 2.989 1.528 3.486 5.042 5.465 3.086 5.480 4.301 1.680 4.157 3.695
[3,] 3.384 1.672 3.839 5.575 6.155 3.448 6.322 4.729 1.891 5.283 4.634
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63] [,64] [,65] [,66]
[1,] 2.107 1.352 3.109 0.6261 2.161 0.8869 2.235 2.891 2.664 3.954 1.162
[2,] 3.134 2.718 3.633 0.7389 3.181 1.0104 2.628 3.312 3.522 4.676 1.428
[3,] 4.015 3.961 3.980 0.8116 4.149 1.1372 3.040 3.631 3.996 5.113 1.543
[,67] [,68] [,69] [,70] [,71] [,72] [,73] [,74] [,75] [,76] [,77]
[1,] 6.747 3.243 3.288 1.252 3.859 2.958 3.802 3.507 4.923 4.223 3.389
[2,] 8.605 3.653 5.040 1.461 4.504 4.430 4.667 5.253 5.826 5.730 4.761
[3,] 9.421 3.926 5.682 1.629 4.969 4.853 5.248 6.015 6.559 6.833 5.862
[,78] [,79] [,80] [,81] [,82] [,83] [,84] [,85] [,86] [,87] [,88]
[1,] 1.152 3.381 2.707 3.629 2.070 1.857 1.387 2.203 2.499 5.934 5.200
[2,] 1.342 4.892 3.062 5.064 2.443 2.352 1.696 3.540 3.105 6.852 6.027
[3,] 1.477 5.914 3.408 6.103 2.763 2.726 1.884 4.006 3.481 7.749 6.723
[,89] [,90] [,91] [,92] [,93] [,94] [,95] [,96] [,97] [,98]
[1,] 1.972 1.971 2.385 2.467 2.316 2.074 0.5599 6.126 8.725 6.160
[2,] 2.699 3.173 2.953 3.007 2.853 2.412 0.6507 8.004 13.339 7.558
[3,] 3.179 3.617 3.407 3.554 3.278 2.659 0.7270 9.723 16.126 8.149
Root mean square errors of predictions:
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,] 4.503 3.37 8.506 8.12 8.089 1.209 2.037 5.207
[2,] 2694.738 1477.32 4178.783 4181.04 4409.728 622.690 1030.516 2160.184
[3,] 2230.002 1526.68 3485.341 4132.63 3697.932 495.323 897.994 2605.987
[,9] [,10] [,11] [,12] [,13] [,14] [,15]
[1,] 5.866 5.044 3.306 3.493 3.076 3.278 6.878
[2,] 3558.701 4214.267 2439.927 3458.432 1993.231 2817.047 3740.774
[3,] 3171.470 2455.562 1618.501 2154.665 1369.760 3011.061 3699.265
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23]
[1,] 4.56 4.561 6.053 7.683 5.621 11.3 3.639 14.74
[2,] 2193.27 3216.306 3622.968 3876.168 3659.250 5075.1 1551.668 9475.16
[3,] 2306.45 3256.706 2924.032 3925.851 2725.113 4919.2 1594.691 7862.10
[,24] [,25] [,26] [,27] [,28] [,29] [,30] [,31]
[1,] 8.23 0.5423 7.378 8.004 1.068 8.488 0.5678 7.072
[2,] 4068.98 293.9497 4434.508 5277.020 511.802 4146.048 272.1298 4942.772
[3,] 3606.12 268.3384 4486.440 4765.883 504.744 4149.364 252.4412 4201.655
[,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39]
[1,] 1.647 1.191 7.409 7.983 8.104 4.895 3.775 4.374
[2,] 948.542 647.819 4299.915 4613.140 5358.023 2325.224 2944.361 1908.225
[3,] 773.501 552.985 3853.214 3948.657 3693.182 2102.285 1768.489 1937.623
[,40] [,41] [,42] [,43] [,44] [,45] [,46] [,47]
[1,] 1.556 3.648 1.28 4.116 4.282 3.018 1.648 3.615
[2,] 945.723 1729.976 686.76 2233.015 2481.448 1852.264 824.457 2056.451
[3,] 835.758 1681.431 631.02 2119.666 1985.918 1620.861 693.641 1644.387
[,48] [,49] [,50] [,51] [,52] [,53] [,54] [,55]
[1,] 5.187 5.873 3.13 4.567 4.754 1.796 3.648 2.866
[2,] 3020.510 2973.943 1898.12 4225.667 2164.790 927.323 3071.256 2990.315
[3,] 2430.180 2893.951 1570.66 3220.758 2008.016 887.166 3331.739 2858.172
[,56] [,57] [,58] [,59] [,60] [,61] [,62] [,63]
[1,] 2.676 1.717 3.948 0.795 2.744 1.126 2.839 3.671
[2,] 2370.422 2409.380 1921.897 401.046 2385.137 494.763 1412.663 1651.428
[3,] 2565.734 2944.632 1659.727 343.122 2723.005 533.192 1561.045 1522.806
[,64] [,65] [,66] [,67] [,68] [,69] [,70] [,71]
[1,] 3.383 5.021 1.476 8.567 4.118 4.175 1.59 4.901
[2,] 2353.981 2550.747 848.656 5459.262 1718.306 3904.106 768.77 2372.020
[3,] 1930.046 2114.144 597.034 3918.922 1469.584 2681.497 737.92 2146.907
[,72] [,73] [,74] [,75] [,76] [,77] [,78]
[1,] 3.756 4.828 4.453 6.252 5.363 4.304 1.463
[2,] 3369.528 2765.565 3996.980 3182.937 3958.427 3416.873 702.903
[3,] 2026.664 2453.792 2993.972 3079.999 3804.522 3494.841 630.307
[,79] [,80] [,81] [,82] [,83] [,84] [,85]
[1,] 4.293 3.438 4.608 2.628 2.358 1.761 2.798
[2,] 3613.835 1462.007 3609.244 1326.923 1475.879 998.183 2831.672
[3,] 3397.151 1528.991 3481.226 1319.086 1406.916 837.763 1917.326
[,86] [,87] [,88] [,89] [,90] [,91] [,92]
[1,] 3.173 7.535 6.603 2.505 2.503 3.028 3.132
[2,] 1883.139 3500.974 3113.877 1883.587 2541.638 1779.737 1757.596
[3,] 1608.754 3699.238 3044.277 1715.137 1773.217 1736.047 1936.404
[,93] [,94] [,95] [,96] [,97] [,98]
[1,] 2.941 2.633 0.711 7.779 11.08 7.823
[2,] 1703.462 1259.481 338.788 5264.781 10311.44 4475.585
[3,] 1649.448 1143.285 331.492 5641.473 9261.34 3114.061
[1] "--- VAR model 2017-10-07 15:31:00 completed"
[1] "Completed training sample: 2017-10-07 15:31:00 - 2017-10-07 23:30:00"
[1] "Forecasting completed" results<-bind_rows(results,res)
# res<-do.call(xModel.star$run,list(sampl=dat.restricted[1:1000,series],
# lagMatrix=NULL,
# arLags=3,complete=T,include.mean=F,forecastingSteps=forecastingSteps),
# envir=environment())
# source(file.path("R","models.R"))
# source(file.path("R","cv_functions.R"))
results%>%group_by(model,forecast_horizon,detector)%>%summarise(mae=mae(actual,forecasted))%>%
group_by(model,forecast_horizon)%>%summarise(mean=mean(mae))# A tibble: 18 x 3
# Groups: model [?]
model forecast_horizon mean
<chr> <int> <dbl>
1 autoarima 1 4.76
2 autoarima 2 4.92
3 autoarima 3 5.09
4 HA 1 8.17
5 HA 2 8.16
6 HA 3 8.12
7 MA 1 4.60
8 MA 2 4.60
9 MA 3 4.60
10 naive 1 6.18
11 naive 2 6.09
12 naive 3 6.09
13 simpleMean 1 6.35
14 simpleMean 2 6.34
15 simpleMean 3 6.29
16 STAR 1 5.61
17 STAR 2 6.08
18 STAR 3 6.63# for (trainingMinute in trainingMinutes){
# trainingSize <- trainingMinute/ta
# dat.restricted<-mysample$data[(validationStart-trainingSize+1):validationEnd,]
# base_params<-list(data=dat.restricted,
# seriesNames=series,
# forecastingSteps=forecastingSteps,
# forecastEvery=forecastEvery)
#
# params<-c(base_params,list(trainingWindowSize=trainingSize))
#
# res<-do.call(movingWindow,
# c(params,list(xModel=xModel.naive)),
# envir=environment())
# results<-add_results(results,res,"naive",trainingSize,ta,forecastingSteps)
#
# res<-do.call(movingWindow,
# c(params,list(xModel=xModel.autoarima,
# stationary=T, allowdrift =T, allowmean = T)),
# envir=environment())
# results<-add_results(results,res,"autoArima",trainingSize,ta,forecastingSteps)
# }
results%>%filter(indicator=="MAE")%>%
group_by(indicator,model,training_size, forecasting_horizon)%>%
summarise(mean=mean(value))%>%spread(key=training_size, value=mean)%>%print(n=50)Error in filter_impl(.data, quo): Evaluation error: object 'indicator' not found.